**UNITED STATES****SECURITIES AND EXCHANGE COMMISSION****Washington, D.C.  20549**

**FORM 10-K**

**x****Annual Report Pursuant toSection 13 or 15(d) of the Securities Exchange Act of 1934**

**For the fiscal year ended: December 31, 2006**

**or**

**o****Transition Report Pursuant toSection 13 or 15(d) of the Securities Exchange Act of 1934**

**Commission file number: 0-28928**

**ML JWH STRATEGIC ALLOCATION FUND L.P.**(Exact name of registrant as specified in its charter)

| **Delaware**                     |   | **13-3887922**       |
|----------------------------------|--------|----------------------|
| (State or other  jurisdiction of |   | (I.R.S. Employer     |
| incorporation or  organization)  |   | Identification  No.) |

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

**800Scudders Mill Road – Section 2G**

**Plainsboro, New Jersey 08536**(Address of principal executive offices)

Registrant’s telephonenumber, including area code:  **(609) 282-6091**

Securities registered pursuant to Section 12(b) of theAct: **None**

Securities registered pursuant to Section 12(g) of theAct: **Limited Partnership Units**

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 of theSecurities Act.

Yes o    Nox

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or 15(d)of the Act.

Yes o    Nox

Indicate by check markwhether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes x    No o

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, to the bestof registrant’s knowledge, in definitive proxy or information statementsincorporated by reference in Part III of this Form 10-K or any amendment tothis Form 10-K.    x

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o    Acceleratedfiler o    Non-accelerated filer x

Indicate by check markwhether registrant is a shell company (as defined by Rule 12b-2 of the ExchangeAct).

Yes o    Nox

The limitedpartnership units of the registrant are not publicly traded. Accordingly, thereis no aggregate market value for the registrant’s outstanding equity that isreadily determinable.

Asof January 31, 2007, limited partnership units with an aggregate net assetvalue of $1,205,841,861 were held by non-affiliates.

**Documents Incorporated byReference**

The registrant’s 2006 Annual Report and Report of  Independent Registered Public AccountingFirm, the annual report  to securityholders for the fiscal year ended December 31, 2006, is incorporated byreference into Part II, Item 8 and Part IV hereof and filed as an Exhibitherewith.  The annual reports areavailable free of charge by contacting Alternative Investments Client Servicesat 1-877-465-8435.

 

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**ML JWH STRATEGIC ALLOCATION FUND L.P.**

ANNUAL REPORT FOR 2006 ONFORM 10-K

Table of Contents
|            | ** ** | ** **                                                                                                          | ** ** | **PAGE**   |
|------------|------------|---------------------------------------------------------------------------------------------------------------------|------------|------------|
| ** ** | ** ** | **PART I**                                                                                                          | ** ** | ** ** |
| Item 1.    |       | Business                                                                                                            |       | 1          |
|       |       |                                                                                                                |       |       |
| Item  1A.  |       | Risk  factors                                                                                                       |       | 9          |
|       |       |                                                                                                                |       |       |
| Item  2.   |       | Properties                                                                                                          |       | 12         |
|       |       |                                                                                                                |       |       |
| Item  3.   |       | Legal  Proceedings                                                                                                  |       | 12         |
|       |       |                                                                                                                |       |       |
| Item 4.    |       | Submission of  Matters to a Vote of Security Holders                                                                |       | 13         |
|       |       |                                                                                                                |       |       |
|       |       | PART II                                                                                                             |       |       |
|       |       |                                                                                                                |       |       |
| Item 5.    |       | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities |       | 14         |
|       |       |                                                                                                                |       |       |
| Item 6.    |       | Selected Financial  Data                                                                                            |       | 15         |
|       |       |                                                                                                                |       |       |
| Item 7.    |       | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         |       | 17         |
|       |       |                                                                                                                |       |       |
| Item 7A.   |       | Quantitative  and Qualitative Disclosures about Market Risk                                                         |       | 24         |
|       |       |                                                                                                                |       |       |
| Item 8.    |       | Financial  Statements and Supplementary Data                                                                        |       | 29         |
|       |       |                                                                                                                |       |       |
| Item 9.    |       | Changes in and  Disagreements with Accountants on Accounting and Financial Disclosure                               |       | 29         |
|       |       |                                                                                                                |       |       |
| Item 9A.   |       | Controls and  Procedures                                                                                            |       | 29         |
|       |       |                                                                                                                |       |       |
| Item  9B.  | ** ** | Other  Information                                                                                                  |       | 29         |
|       | ** ** | ** **                                                                                                          |       |       |
|       |       | PART III                                                                                                            |       |       |
|       |       |                                                                                                                |       |       |
| Item 10.   |       | Directors and  Executive Officers and Corporate Governance                                                          |       | 30         |
|       |       | ** **                                                                                                          |       |       |
| Item 11.   |       | Executive  Compensation                                                                                             |       | 32         |
|       |       |                                                                                                                |       |       |
| Item 12.   |       | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    |       | 32         |
|       |       |                                                                                                                |       |       |
| Item 13.   |       | Certain  Relationships and Related Transactions                                                                     |       | 33         |
|       |       |                                                                                                                |       |       |
| Item 14.   |       | Principal  Accountant Fees and Services                                                                             |       | 33         |
|       |       |                                                                                                                |       |       |
|       |       | PART IV                                                                                                             |       |       |
|       |       |                                                                                                                |       |       |
| Item 15.   |       | Exhibits and  Financial Statement Schedules                                                                         |       | 35         |

 

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**PART I**

**Item 1: Business**

(a)           GeneralDevelopment of Business:

ML JWH Strategic Allocation Fund L.P. (the “Partnership”)was organized under the Delaware Revised Uniform Limited Partnership Act onDecember 11, 1995 and began trading operations on July 15, 1996.  The Partnership trades through its JointVenture, ML/JWH Strategic Joint Venture (the “Joint Venture”), in theinternational futures and forward markets through a joint venture withJohn W. Henry & Company, Inc. (“JWH ®”), utilizing  JWH’s proprietary trading strategies.

Merrill Lynch Alternative Investments LLC (“MLAI”), anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”), is the general partnerof the Partnership.  Merrill Lynch,Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the Partnership’s commodity broker. (As usedherein, the capitalized term “MLAI” also refers to the general partner at timeswhen its name was MLIM Alternative Strategies LLC, as applicable.)

JWH® has utilized its Strategic AllocationProgram  since inception.  JWH® manages capital in commodities, interestrate and foreign exchange markets for international banks, brokerage firms,pension funds, institutions and high net worth individuals.  JWH® trades a wide range of futures andforward contracts on a 24-hour basis in the United States, Europe and Asia, andis one of the largest advisors in the managed futures industry in terms ofassets under management, trading approximately $1.7 billion in client capitalas of December 31, 2006.

The Partnership may offer its units of limitedpartnership interest (“Units”), when available for sale, as of the beginning ofeach month.  Investors whosesubscriptions are accepted during a month are admitted to the Partnership asLimited Partners as of the beginning of the following month, acquiring Units atthe Net Asset Value per Unit as of the date of admission.  Investors’ customer securities accounts aredebited in the amount of their subscriptions on a single monthly settlementdate within approximately five business days of the issuance of their Units.

As of December 31, 2006, the aggregate Net Asset Valueof the Partnership was $792,303,062, and the Net Asset Value per Unit,originally $100 as of July 15, 1996, had risen to $175.61

Through December 31, 2006, the highest month-end NetAsset Value per Unit was $272.23 (May 31, 2003) and the lowest $98.89 (August31, 1996).

(b)           FinancialInformation about Segments:

The Partnership’s business constitutes only onesegment for financial reporting purposes, i.e*.,*a speculative “commodity pool.”  ThePartnership does not engage in sales of goods or services.

 (c)          Narrative Description of Business:

***General***

The Partnership trades in the international futures,options on futures and forward markets applying the multiple proprietarytrading strategies (“Programs”) of JWH®. In managing the Partnership’s trading, JWH® uses its “JWH® StrategicAllocation Program” in which JWH® selects, allocates and reallocatesPartnership assets in different combinations of its JWH® Programs.  The Partnership’s primary objective isachieving, through speculative trading, substantial long-term capitalappreciation.  At the same time, the useof multiple JWH® Programs has the potential to reduce the expected volatilityand risk of loss, which would typically be associated with the use of anysingle Program.

The Strategic Allocation Program uses a multi-strategyapproach. The joint venture agreement provides that JWH® has full discretionaryauthority over the selection of which JWH ® Trading Programs to use for thejoint venture and the leverage to be applied in the Strategic AllocationProgram.

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One of the objectives of the Partnership is to providediversification to a limited portion of the risk segment of the LimitedPartners’ portfolios in an investment field that has historically oftendemonstrated a low degree of performance correlation with traditional stock andbond holdings.  Since it began trading,the Partnership’s returns have, in fact, frequently been significantlynon-correlated (not, however, negatively correlated) with the United Statesstock and bond markets.

**Leverage Considerations**

The larger the  joint venture’s market commitment (generally equivalent to the faceamount of the positions held) in relation to its assets, the higher theposition size in relation to account equity at which  it  issaid to be trading.  In general, thelarger the  joint venture’s marketcommitment, the profit potential increases, as well as the risk of loss.  JWH® adjusts the joint venture’s  market commitment to levels, which JWH®believes are consistent with its desired  risk/reward  objectives. For example, in volatile markets, JWH® might decide — in order to reducemarket exposure and, accordingly, the risk of loss, but with a correspondingdecrease in profit potential — that the positions ordinarily appropriate for a$50 million allocation are all a $75 million allocation should acquire.  On the other hand, market factors might causeJWH® to decide — in order to increase market exposure and, accordingly, profitpotential as well as risk of loss — that the positions ordinarily indicated fora $100 million allocation are appropriate for an allocation of only $50million.  JWH® monitors and adjusts on anongoing basis the leverage at which the Strategic Allocation Program trades;position size in relation to account equity can range from 50% to 150% ofstandard program trading levels.

At certain times — for example, after substantialgains in several of the Programs — JWH® may conclude that the  portfolio offers more risk than reward.  If so, JWH® may reduce the  market commitment, both taking profits and controllingrisk.  Conversely, JWH® may commit morethan the total assets of the account  tothe markets if the profit potential seems to justify the added risk.

**John W. Henry & Company, Inc.**

**Background**

John W. Henry & Company began managing assets in1981 as a sole proprietorship and was later incorporated in the State ofCalifornia as John W. Henry & Co., Inc. to conduct business as a commoditytrading advisor. JWH® reincorporated in Florida in 1997.  JWH®’s principal offices are at 301 YamatoRoad, Suite 2200, Boca Raton, Florida, 33431-4931.  JWH®’s registration as a commodity tradingadvisor became effective in November 1980. JWH® is a member of the National Futures Association (“NFA”) in thiscapacity.

**Trading Strategy**

***The following description of JWH***®’***s trading strategy relates to JWH***®***generally and not to the Partnership itself.***

***General***

JWH® specializes in managing institutional andindividual capital in the global futures, interest rate and foreign exchangemarkets.  Since 1981, JWH® has developedand implemented proprietary trend-following trading techniques that focus onlong-term rather than short-term, day-to-day trends.  JWH® currently operates eleven tradingprograms.

***Implementingthe Program***

The first step in the JWH® investment process is theidentification of sustained price movements — or trends — in a givenmarket.  While there are many ways toidentify trends, JWH® uses mathematical models that attempt to distinguish realtrends from interim volatility.  It alsopresumes that trends often exceed in duration the expectation of the generalmarketplace.

JWH®’s historical performance demonstrates thatbecause trends often last longer than most market participants expect,significant returns can be generated from positions held over a long period oftime.  JWH® focuses

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onattempting to implement a trading methodology, which identifies a majority of thesignificant, as opposed to the more numerous small, price trends in a givenmarket.

JWH® attempts to pare losing positions relativelyquickly while allowing profitable positions to mature. Most losing positionsare closed within a few days or weeks, while others — those where aprofitable trend continues —are retained. Positions held for two to four months are not unusual, and positionshave been held for more than one year. Historically, less than one third of alltrades made pursuant to the investment methods have been profitable. Largeprofits on a few trades in positions that typically exist for several monthshave produced favorable results overall.

The greatest cumulative percentage decline in  net asset value, which JWH® has experiencedin any single program, was nearly sixty percent on a month-to-month compositebasis since its inception.  Investors inthe Partnership should understand that similar or greater drawdowns arepossible in the future.

JWH does not expect that all trend signals will leadto profitable trades.  Stop-losses areused in some models and managed in a proprietary manner to balance thepotential loss on any trade versus the opportunity for maximum profit.  Stop-losses may not necessarily limit losses,since they become market orders upon execution; as a result, a stop-loss ordermay not be executed at the stop-loss price. Other models do not have any stop-loss methodology but rely on marketdiversification and a change in directional signals to offset risk. Risk insome programs may also be managed by varying position size or risk levels for amarket, based in part on assessment of market volatility, while other programswill maintain position size in markets regardless of changes in volatility.  There are no systematic constraints onportfolio volatility or the maximum drawdown for any program.  Volatility will not cause systematicadjustments to be made to existing positions. Some programs consider volatility in determining the size ofpositions  initiated.  Other programs do not consider volatility indetermining the size of positions initiated.

Modern portfolio techniques are used in an effort toconstruct an overall diversified portfolio for each JWH trading program.  However, some programs have limiteddiversification because of their sector focus or because JWH requiresdemonstrated liquidity in the contracts selected for a portfolio.  These techniques will attempt to take intoaccount the volatility and correlation of the markets that are included in theprogram, as well as projected price behavior during specific  projections of market extremes.  However, no assurances can be made thathistorical market correlations and diversification will occur or persist in allmarket conditions.  In an attempt tomaintain portfolio diversification, portfolio adjustments will be made toaccount for systematic changes identified by JWH’s research in the relationships across markets.  Consistent with JWH’s view of markets,portfolios are managed to meet longer-term risk and volatility tolerances,rather than trading on the basis of short-term tends or short-term volatility.

To reduce exposure to volatility in any particularmarket, most JWH® programs participate in several markets at one time.  In total, JWH® programs participate in up to80 markets, encompassing interest rates, foreign exchange, global stock indicesand commodities such as agricultural products, energy, precious and basemetals.

JWH® at its sole discretion may overridecomputer-generated signals, and may at times use discretion in the applicationof its quantitative models, which may affect performance positively ornegatively.  This could occur, forexample, when JWH® determines that markets are illiquid or erratic, which mayoccur cyclically during holiday seasons or on the basis ofirregularly-occurring market events. Subjective aspects of JWH®’s quantitative models also include thedetermination of the size of the position in relation to account equity, whenan account should commence trading, investments of assets provided throughadditions and reallocations, markets traded, contracts and contract monthselection, and effective trade execution.

***ProgramModifications***

Research is conducted across JWH departments incollaboration with JWH’s investment policy committee. Research may includeanalysis of the dynamic elements of the JWH investment process, includingrefining

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riskmanagement techniques and monitoring market capacity to the extent consistentwith basic JWH methodologies.  Researchalso includes the examination of profit opportunities in markets not currentlytraded by JWH programs and in new instruments as they become available.

All cash in a JWH® investment program is available tobe used to trade in a JWH® program.  Theamounts committed to margin will vary from time to time.  As capital in each JWH® trading programincreases, additional emphasis and weighting may be placed on certain markets,which have historically demonstrated the greatest liquidity.  Furthermore, the weighting of capitalcommitted to various markets in the trading programs is dynamic, and JWH® mayvary the weighting at its discretion as market conditions, liquidity, positionlimit considerations and other factors warrant. MLAI will generally not be informed of any such changes.

Adjustments to the size of trading positions taken inrelation to account equity have been and continue to be an integral part ofJWH®’s investment strategy.  At its dis­cretion,JWH® may adjust position size in relation to account equity in certain marketsor entire programs.  Position size inrelation to account equity adjustments may be made at certain times for someprograms but not for others.  In the caseof declines in equity, position sizes are generally maintained in spite of anytrading losses.  Systematic methods formaintaining or adjusting the trade size in an account may affectperformance  and will alter the riskexposure of the account, with position size increasing in relation to account equity in down markets until lossesare offset, and decreasing in profitable market conditions until systematicadjustments are made. Factors which may affect the deci­sion to adjust positionsize in relation to account equity include: ongoing research; pro­gramvolatility; current market volatility; risk expo­sure; and subjective judgmentand evaluation of these and other general market conditions.  Such decisions to change position size inrelation to account equity may positively or negatively affect performance, andwill alter risk exposure for an account. Position size in relation to account equity adjust­ments may lead togreater profits or losses, more fre­quent and larger margin calls and greaterbrokerage expense.  No assurance is giventhat such position size in relation to account equity adjust­ments will be tothe financial advantage of investors in the Partnership.  JWH® reserves the right, at its solediscretion, to adjust its position size in relation to account equity policywithout notification to MLAI.

***Addition,Redemption and Reallocation of Capital for Commodity Pool or PartnershipAccounts***

Investors purchase or redeem Units at Net Asset Value(“NAV”) on the close of business on the last business day of the month.  In order to provide market exposurecommensurate with the Partnership’s equity on the date of these transactions,JWH®’s general practice is to adjust positions as near as possible to the closeof business on the last trading date of the month.  The intention is to provide for additions andredemptions at a NAV that will be the same for each of these transactions, andto eliminate possible variations in NAVs that could occur as a result ofinter-day price changes if, for example, additions were calculated on the firstday of the subsequent month.  Therefore,JWH® may, at its sole discretion, adjust its investment of the assetsassociated with the addition or redemp­tion as near as possible to the close ofbusiness on the last business day of the month to reflect the amount thenavailable for trading.  Based on JWH®’sdetermination of liquidity or other market conditions, JWH® may decide tocommence trading earlier in the day on, or before, the last business day of themonth, or at its sole discretion, delay adjustments to trading for an accountto a date or time after the close of business on the last day of themonth.  No assurance is given that JWH®will be able to achieve the objectives described above in connection withPartnership equity level changes.  Theuse of discretion by JWH® in the application of this procedure may affectperformance positively or negatively.

***Physicaland Cash Commodities***

JWH® may from time to time trade in physical or cashcommodities for immediate or deferred delivery, including specifically goldbullion, as well as futures and forward contracts when JWH® believes that cashmarkets offer comparable or superior market liquidity or the ability to executetransactions at a single price.  TheCommodity Futures Trading Commission (“CFTC”) does not regulate cash trans­actions,which are subject to the risk of these entities’ failure, inability or refusalto perform with respect to such contracts.

***TheJoint Venture Agreement***

The advisory arrangement between the Partnership andJWH® is a joint venture (“Joint Venture”), a general partnershipstructure.  The Joint Venture Agreementterminates on December 31, 2007 subject to automatic one-year renewals, unlesseither the Partnership or JWH® elects not to renew.

The Partnership has agreed to indemnify JWH® andrelated persons for any claims or proceedings involving the business oractivities of the Partnership, provided that the conduct of such persons doesnot constitute negligence, misconduct or breach of the Joint Venture Agreementor of any fiduciary obligation to the Partnership and was done in good faithand in a manner reasonably believed to be in, or not opposed to, the bestinterests of the Partnership.

JWH® and related persons will not be liable to theJoint Venture, the Partnership or any of the Partners in connection with JWH®’smanagement of the Partnership’s assets except (i) by reason of acts oromissions in breach of the Joint Venture Agreement, (ii) due to theirmisconduct or negligence, or (iii) by reason of not having acted in good

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faithand in the reasonable belief that such actions or omissions were in, or not opposedto, the best interests of the Partnership.  Mr. John W. Henry will not beliable except for his fraud or willful misconduct.

JWH® originally invested$100,000 in the Joint Venture. As of December 31, 2006, JWH®’s investment wasvalued at $177,435.

The Partnership and the Joint Venture are hereincollectively referred to as the “Partnership” unless the context otherwiserequires.

***Useof Proceeds and Cash Management Income***

Subscription Proceeds.

The Partnership’s cash is used as security for and topay the Partnership’s trading losses as well as its expenses andredemptions.  The primary use of theproceeds of the sale of the Units is to permit JWH® to trade on a speculativebasis in a wide range of different futures, forwards and options on futures marketson behalf of the Partnership.  Whilebeing used for this purpose, the Partnership’s assets are also generallyavailable for cash management, as more fully described below under “AvailableAssets.”

Market Sectors.

The Partnership trades in a diversified group ofmarkets under the direction of JWH®. JWH® can, and does, from time to time,materially alter the allocation of its overall trading commitments amongdifferent market sectors. Except in the case of certain trading programs whichare purposefully limited in the markets which they trade, there is essentiallyno restriction on the commodity interests which may be traded by JWH® or therapidity with which JWH® may alter its market sector allocations.

Market Types.

The Partnership trades on a variety of United Statesand foreign futures exchanges. Substantially all of the Partnership’soff-exchange trading takes place in the highly liquid, institutionally basedcurrency forward markets.

Many of the Partnership’s currency trades are executedin the spot and forward foreign exchange markets (the “FX Markets”) where thereare no direct execution costs.  Instead,the participants, banks and dealers in the FX Markets take a “spread” betweenthe prices at which they are prepared to buy and sell a particular currency andsuch spreads are built into the pricing of the spot or forward contracts withthe Partnership.

In its exchange of futures for physical (“EFP”)trading, the Partnership acquires cash currency positions through banks anddealers, including Merrill Lynch.  ThePartnership pays a spread when it exchanges these positions for futures.  This spread reflects, in part, the differentsettlement dates of the cash and the futures contracts, as well as prevailinginterest rates, but also includes a pricing spread in favor of the banks anddealers, which may include a Merrill Lynch entity.

As in the case of its market sector allocations, thePartnership’s commitments to different types of markets — U.S. and non-U.S.,regulated and unregulated — differ substantially from time to time as well asover time.  The Partnership has no policyrestricting its relative commitments to any of these different types ofmarkets, although generally the bulk of the Partnership’s trading takes placeon regulated exchanges.

Custody of Assets.

All of the Partnership’s assets are currently held incustomer accounts at MLPF&S.

Available Assets.

The Partnership earns income, as described below, onits “Available Assets,” which can be generally described as the cash actuallyheld by the Partnership.  AvailableAssets are held primarily in U.S. dollars and are comprised of the Partnership’scash balances held in the offset accounts (as described below), which include “opentrade equity” (unrealized gain and loss on open positions) on United Statesfutures contracts, which is paid into or out of the Partnership’s account on adaily basis and the Partnership’s cash balance in foreign currencies derivedfrom its trading in non-U.S. dollar denominated futures and options contracts,which includes open trade equity on those exchanges which settle gains andlosses on open positions in such contracts prior to closing out such positions.Available Assets do not include, and the Partnership does not earn interest on,the Partnership’s gains or losses on its open forward, commodity option andcertain foreign futures positions since such gains and losses are not collectedor paid until such positions are closed out.

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The Partnership’s Available Assets may be greaterthan, less than or equal to the Partnership’s Net Asset Value (on which theredemption value of the Units is based) primarily because Net Asset Valuereflects all gains and losses on open positions as well as accrued but unpaidexpenses.

Interest Earned on the Partnership’s U.S. Dollar AvailableAssets.

The following description relates to the Partnership’sU.S. dollar Available Assets.

The Partnership’sU.S. dollar Available Assets are held in cash in offset accounts or may beinvested in short-term U.S. Treasury bills purchased from dealers unaffiliatedwith Merrill Lynch.  Offset accounts arenon-interest bearing demand deposit accounts maintained with banks unaffiliatedwith Merrill Lynch.  An integral featureof the offset arrangements is that the participating banks specificallyacknowledge that the offset accounts are MLPF&S customer accounts, notsubject to any Merrill Lynch liability.

Merrill Lynchcredits the Partnership, as of the end of each month, with interest at theeffective prevailing 91-day Treasury bill rate on the average daily U.S. dollarAvailable Assets held in the offset accounts during such month.  The Partnership receives all interest paid onthe short-term Treasury bills in which it invests.

The use of the offset account arrangements for thePartnership’s U.S. dollar Available Assets may be discontinued by Merrill Lynchwhether or not Merrill Lynch otherwise continues to maintain its offsetarrangements. The offset arrangements are dependent on the banks’ continuedwillingness to make overnight credits available to Merrill Lynch, which, inturn, is dependent on the credit standing of Merrill Lynch.  If Merrill Lynch were to determine that theoffset arrangements had ceased to be practicable (either because Merrill Lynchcredit lines at participating banks were exhausted or for any other reason),Merrill Lynch would thereafter attempt to invest all of the Partnership’s U.S.dollar Available Assets to the maximum practicable extent in short-term U.S.Treasury bills.  All interest earned onthe U.S. dollar Available Assets so invested would be paid to the Partnership,but MLAI would expect the amount of such interest to be less than thatavailable to the Partnership under the offset account arrangements.  The remaining U.S. dollar Available Assets ofthe Partnership would be kept in cash to meet variation margin payments and payexpenses, but would not earn interest for the Partnership.

The banks at which the offset accounts are maintainedmake available to Merrill Lynch interest-free overnight credits, loans oroverdrafts in the amount of the Partnership’s U.S. dollar Available Assets heldin the offset accounts, charging Merrill Lynch a small fee for thisservice.  The economic benefits derivedby Merrill Lynch — net of the interest credits paid to the Partnership and thefee paid to the offset banks — from the offset accounts have not exceeded 0.75%per annum of the Partnership’s average daily U.S. dollar Available Assets heldin the offset accounts. These revenues to Merrill Lynch are in addition to theBrokerage Commissions and Administrative Fees paid by the Partnership toMLPF&S and MLAI, respectively.

Interest Paid by Merrill Lynch on the Partnership’sNon-U.S. Dollar Available Assets.

Under the single currency margining system implementedfor the Partnership, the Partnership itself does not deposit foreign currenciesto margin trading in non-U.S. dollar denominated futures contracts and options,if any.  MLPF&S provides thenecessary margin, permitting the Partnership to retain the monies which wouldotherwise be required for such margin as part of the Partnership’s U.S. dollarAvailable Assets.  The Partnership doesnot earn interest on foreign margin deposits provided by MLPF&S. ThePartnership does, however, earn interest on its non-U.S. dollar AvailableAssets.  Specifically, the Partnership iscredited by Merrill Lynch with interest at prevailing short-term local rates onassets and net gains on non-U.S. dollar denominated positions for such gainsactually held in cash by the Partnership. Merrill Lynch charges the Partnership Merrill Lynch’s cost of financingrealized and unrealized losses on such positions.

The Partnershipholds foreign currency gains and finances foreign currency losses on an interimbasis until converted into U.S. dollars and either paid into or out of thePartnership’s U.S. dollar Available Assets. Foreign currency gains or losses on open positions are not convertedinto U.S. dollars until the positions are closed.  Assets of the Partnership while held inforeign currencies are subject to exchange rate risk.

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###### ***Charges***

The following table summarizes the charges incurred by the Fund during2006, 2006 and 2004.
| ** **                      | ** ** | **2006**           | ** ** | **2005**                                               | ** ** | **2004**           | ** ** |
|---------------------------------|------------|--------------------|------------|--------------------------------------------------------|------------|--------------------|------------|
| **Charges**                     | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net  Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net  Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average Month-  End Net Assets** | ** ** |
| Brokerage Commissions           |       | $                  | 61,808,517 |                                                   | 5.88       | %                  | $          | 73,622,017 |   | 5.81 | % | $ | 57,501,150 |   | 6.00 | % |
| Administrative and  filing fees |       | 2,937,327          |       | 0.28                                                   | %          | 3,450,957          |       | 0.27 | % | 2,889,337 |   | 0.30 | % |
| Ongoing Offering Costs          |       | 1,450,000          |       | 0.14                                                   | %          | 475,000            |       | 0.04 | % | 348,101 |   | 0.04 | % |
| Total                           |       | $                  | 66,195,844 |                                                   | 6.30       | %                  | $          | 77,547,974 |   | 6.12 | % | $ | 60,738,588 |   | 6.34 | % |

 

The Partnership’saverage month-end Net Assets during 2006, 2005 and 2004 equaled $1,050,574,066,$1,266,792,130, and $957,699,076, respectively.

In addition to theabove charges, the Partnership and JWH® share in the profits of the JointVenture based on equity provided that 20% of the Joint Venture’s quarterly NewTrading Profits are allocated to JWH®. For  the years ended December 31,2006, 2005 and 2004, JWH® received a profit share allocation of $0, $0 and$38,968,456, and earned interest of $0, $6,312 and $83,034,  on such amounts, respectively.

**Description of Current Charges**

ThePartnership is subject to the following charges and priority profit allocation(“Profit Share”):
| **Recipient** |   | **Nature of Payment**     | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|---------------|--------|---------------------------|------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|          |   |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLPF&S    |   | Brokerage commissions     |       | A flat rate, monthly brokerage commissions of 0.479  of 1% of the Joint Venture’s month-end assets (a 5.75% annual rate) of  the Partnership’s month-end assets (including the monthly interest credit and  before reduction for accrued month-end redemptions, distributions, brokerage  commissions, administrative fees or Profit Shares, in each case as of the end  of the month of determination). Such commissions cover JWH®’s monthly  consulting fee as well as all floor brokerage and exchange, clearing and  National Futures Association (“NFA”) fees incurred in the Partnership’s  trading.

 

During 2006, 2005 and 2004, the round-turn (each  purchase and sale or sale and purchase of a single futures contract)  equivalent rate of the Partnership’s flat-rate brokerage commissions was  approximately $182, $154, and $110, respectively. |
|          |   |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLPF&S    |   | Use of Partnership assets |       | MLPF&S may derive certain economic benefit from  the deposit of certain of the Partnership’s U.S. dollar Available Assets in  offset accounts.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |

 

7

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| MLAI                             |   | Administrative Fee                |   | A flat rate monthly charge of 0.021 of 1% (a 0.25%  annual rate) of the Joint Venture’s month-end assets (including the monthly  interest credit and before reduction for accrued month-end redemptions,  distributions, brokerage commissions, administrative fees or Profit Shares,  in each case as of the end of the month of determination) is paid to MLAI,  which pays all routine administrative expenses of the Joint Venture, other  than the Partnership’s ongoing offering costs and the actual cost of the  State of New Jersey annual filing fee. This filing fee is assessed on a per  partner basis with a maximum charge of $250,000 per year. |
|----------------------------------|--------|-----------------------------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                             |   |                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLIB; Other Counterparties       |   | Bid-ask spreads                   |   | Bid-ask spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|                             |   |                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| JWH®                        |   | Profit Share                      |   | 20% of any New Trading Profits (as the Partnership  owns substantially all of the Joint Venture, such special allocation  effectively is made out of Trading Profits which the Partnership would  otherwise have received).

 

As Profit Shares are calculated on the basis of  quarter-end highs in cumulative Trading Profit, substantial Profit Shares may  (irrespective of the fact that Units are purchased at different times and  prices, and may have materially different investment experiences during a  year) be accrued during a calendar year even though the joint venture has an  overall loss for such year.                                      |
|                             |   |                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| JWH®                        |   | Consulting Fees                   |   | MLPF&S pays JWH® annual Consulting Fees of 2% of  the Partnership’s average month-end assets, after reduction for a portion of  the Brokerage Commissions.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|                             |   |                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLPF&S;  Other Third Parties |   | Extraordinary expenses            |   | Actual payments to third parties; none paid to third  parties to date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|                             |   |                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLAI                             |   | Ongoing offering costs reimbursed |   | Actual costs incurred subject to limitation.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |

 

***Regulation***

MLAI, JWH® and MLPF&S are each subject toregulation by the CFTC and the NFA. Other than in respect of its periodic reporting requirements under theSecurities Exchange Act of 1934, and the registration of the Units forcontinuous public distribution under the Securities Act of 1933, thePartnership itself is generally not subject to regulation by the Securities andExchange Commission (“SEC”).  However,MLAI itself is registered as an “investment adviser” under the InvestmentAdvisers Act of 1940.  MLPF&S is alsoregulated by the SEC and the National Association of Securities Dealers.

(i) Through (xii) — not applicable.

(xiii) The Partnership has no employees.

8

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(d)           FinancialInformation about Geographic Areas:

The Partnership and the Joint Venture do not engage inmaterial operations in foreign countries, nor is a material portion of thePartnership’s revenues derived from customers in foreign countries.  The Partnership does, however, trade from theUnited States on a number of foreign commodity exchanges.  The Partnership does not engage in the salesof goods or services.

**Item 1A: Risk Factors**

***TheLarge Size of the Partnership’s Trading Positions Increases the Risk of Sudden,Major Losses***

The Partnershiptakes positions with face values which are as much as 15 times its totalequity.

***InvestorsMust Not Rely on the Past Performance of the Partnership in Deciding Whether toBuy Units***

The performance of thePartnership is entirely unpredictable, and the past performance of thePartnership is not necessarily indicative of its future results.

The price data which JWH® has researchedin developing its programs may not reflect the changing dynamics of futuremarkets.  If not, the JWH® programs wouldhave little chance of being profitable. An influx of new market participants, changes in market regulation,international political developments, demographic changes and numerous otherfactors can contribute to once-successful strategies becoming outdated.  Not all of these factors can be identified,much less quantified.  There can be noassurance that JWH® will trade profitably for the Partnership.

***JWH***® Analyzes Only Technical Market Data, Not AnyEconomic Factors External to Market Prices

The JWH® programs focusexclusively on statistical analysis of market prices.  Consequently, any factor external to themarket itself which dominates prices is likely to cause major losses.  For example, a pending political or economicevent may be very likely to cause a major price movement, but JWH® would continueto maintain positions that would incur major losses as a result of suchmovement, if its programs indicated that it should do so.

The likelihood of theUnits being profitable could be materially diminished during periods whenevents external to the markets themselves have an important impact onprices.  During such periods, JWH®’s historical price analysis could establish positionson the wrong side of the price movements caused by such events.

***Lackof the Types of Price Trends Which JWH***® Programs Can Identify Will Cause Major Losses

The Partnership cannottrade profitably unless major price trends occur in at least certain marketsthat it trades.  Many markets aretrendless most of the time, and in static markets the JWH® programs arelikely to incur losses.  In fact, JWH® expects morethan half of its trades to be unprofitable; it depends on significant gainsfrom a few major trends to offset these losses. Since inception, the Partnership has had 64  unprofitable and 62 profitable months,and there have been significant periods during which the Net Asset Value of thePartnership has declined.  It is not justany price trend, but price trends of the type which JWH®’s systems have been designed to identify, which arenecessary for the Partnership to be profitable.

***TheDanger to the Partnership of “Whipsaw” Markets***

Often, the mostunprofitable market conditions for the Partnership are those in which prices “whipsaw,”moving quickly upward, then reversing, then moving upward again, then reversingagain.  In such conditions, the programsmay establish a series of losing positions based on incorrectly identifyingboth the brief upward or downward price movements as trends.

9

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***TheSimilarities Among the JWH***® Programs Reduce Diversification, Increasingthe Risk of Loss

The similarities amongthe programs reduce the Partnership’s diversification.  The less diversification, the higher the riskthat the market will move against a large number of positions held by differentprograms at the same time, increasing losses.

***Overlapof the Markets Traded by JWH***® Also Reduces Diversification, Increasing theRisk of Loss

The programs as a groupemphasize trading in the financial instrument and currency markets.  The degree of market overlap changes with theprogram mix.  However, in general, JWH® expectsapproximately a minimum 50% concentration in these two sectors while thecurrent programs continue to be used for the Partnership.  Market concentration increases the risk ofmajor losses and unstable Unit values, as the same price movements adverselyaffect many of the Partnership’s concentrated positions at or about the sametime.

As it is impossible topredict where price trends will occur, certain trend-following managers attemptto maximize the chance of exploiting such trends by taking positions in as manydifferent markets and market sectors as feasible.  The Partnership does not follow this approachand, as a result, may not capture trends which would have been highlyprofitable.

***TheJWH***® Strategic Allocation Program Is Not a FormalProgram or System

The JWH StrategicAllocation Program is not a systematic selection process, and JWH® does not applyany formal selection policies or criteria in choosing combinations of programsfor the Partnership.  Such combinationsare developed solely on the basis of the subjective market judgment andexperience of certain JWH® principals. Subjective, judgmental decision-making may be less disciplined andobjective than a more systematic method, and there can be no assurance that JWH® will select theoptimal combinations of programs for the Partnership.

***ThePartnership’s Substantial Expenses Will Cause Losses Unless Offset by Profits***

The Partnership paysfixed annual expenses of 5.75% brokerage and 0.25% administrative fees of itsaverage month-end assets.  ThePartnership will also reimburse MLAI  forongoing offering costs subject to a ceiling of .25 of 1% of the Partnership’saverage month-end assets in any fiscal year. Miscellaneous costs in connection with its currency trading andcommercial paper investments, when applicable, have equaled approximately 0.25%of the Partnership’s average month-end assets annually.  The Partnership is also subject to 20%quarterly Profit Shares during its profitable quarters.  Because these Profit Shares are calculatedquarterly, they could represent a substantial expense to the Partnership evenin a breakeven or losing year.  Based onMLAI’s experience with other commodities investment partnerships whichMLAI  manages, MLAI expects thatapproximately 1% of the Partnership’s average month-end assets might be paidout in Profit Shares even during a losing year. Overall, investors may expectthat the Partnership will pay about approximately 7.30% per year in expenses,10.30% including the 3% redemption charge paid by investors in effect throughthe end of the first twelve months after a Unit is issued; such figures do nottake into account any interest earned by the Partnership.

The Partnership’sexpenses could, over time, result in significant losses.  Except for the Profit Share, these expensesare payable whether or not the Partnership is profitable.

***IncreasedCompetition from Other Trend-Following Traders Could Reduce JWH***®’s Profitability

There has been a dramaticincrease over the past 25 years in the amount of assets managed bytrend-following trading systems like the JWH® programs. In 1980, the amount of assets in the managed futures industry wereestimated at approximately $300 million; by the end of 2006, this estimate hadrisen to approximately $170 billion (these figures include trend-following andother advisors).  This means increasedtrading competition.  The morecompetition there is for the same positions, the more costly and difficult theyare to acquire.

10

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**JWH****®’s High Level ofEquity Under Management Could Lead to Diminished Returns**

JWH® has asignificant amount of assets under management. As of January 1, 1990, JWH® had approximately $197 million undermanagement; as of December 31, 2006, this figure had risen to approximately$1.7 billion.  The more money JWH® manages, themore difficult it may be for JWH® to trade profitably because of the difficultyof trading larger positions without adversely affecting prices and performance.Large trades may result in more price slippage than smaller orders.

***IlliquidMarkets Could Make It Impossible for JWH***® to Realize Profits or Limit Losses

In illiquid markets, JWH® could be unableto capitalize on trading opportunities or close out losing positions.  There are numerous factors which cancontribute to market illiquidity, far too many for JWH® to be able topredict.  There can be no assurance thata market which has been highly liquid in the past will not experience periodsof unexpected illiquidity.

Unexpected marketilliquidity has caused major losses in recent years in certain sectors.  There can be no assurance that the same willnot happen to the Partnership from time to time.  The large size of the positions which JWH® acquires forthe Partnership increases the risk of illiquidity by both making its positionsmore difficult to liquidate and increasing the losses incurred while trying todo so.

***ThePartnership Trades Extensively in Foreign Markets; These Markets Are LessRegulated Than U.S. Markets and Are Subject to Exchange Rate, Market Practiceand Political Risks***

The programs trade agreat deal outside the U.S.  From time totime, as much as 30%-50% of the Partnership’s overall market exposure couldinvolve positions taken on foreign markets. Foreign trading involves risks — including exchange-rate exposure,possible governmental intervention and lack of regulation — which U.S. tradingdoes not.  In addition, the Partnershipmay not have the same access to certain positions on foreign exchanges as dolocal traders, and the historical market data on which JWH® bases itsstrategies may not be as reliable or accessible as it is in the UnitedStates.  Certain foreign exchanges mayalso be in a more or less developmental stage so that prior price histories maynot be indicative of current price dynamics. The rights of clients in the event of the insolvency or bankruptcy of anon-U.S. market or broker are also likely to be more limited than in the caseof U.S. markets or brokers.

***Risksof Electronic Trading and Order Routing Systems***

JWH® may from timeto time trade on electronic trading and order routing systems, which differfrom traditional open outcry pit trading and manual order routing methods.  Transactions using an electronic system aresubject to the rules and regulations of the exchanges offering the system orlisting the contract.  Characteristics ofelectronic trading and order routing systems vary widely among the differentelectronic systems with respect to order matching procedures, opening andclosing procedures and prices, error trade policies and trading limitations orrequirements.  There are also differencesregarding qualifications for access and grounds for termination and limitationson the types of orders that may be entered into the system.  Each of these matters may present differentrisk factors with respect to trading on or using a particular system.  Each system may also present risks related tosystem access, varying response times and security.  In the case of Internet-based systems, theremay be additional risks related to service providers and the receipt andmonitoring of electronic mail.

Trading through anelectronic trading or order routing system also entails risks associated withsystem or component failure.  In theevent of system or component failure, it is possible that for a certain timeperiod, it might not be possible to enter new orders, execute existing ordersor modify or cancel orders that were previously entered.  System or component failure may also resultin loss of orders or order priority. Some contracts offered on an electronic trading system may be tradedelectronically and through open outcry during the same trading hours.  Exchanges offering an electronic trading ororder routing system and listing the contract may have adopted rules to limittheir liability, the liability of futures brokers and software andcommunication system vendors and the amount that may be collected for systemfailures and delays.  These limitation ofliability provisions vary among the exchanges.

11

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***ThePartnership Could Lose Assets and Have Its Trading Disrupted Due to theBankruptcy of MLPF&S or Others***

The Partnership issubject to the risk of MLPF&S, exchange or clearinghouse insolvency.  Partnership assets could be lost or impoundedduring lengthy bankruptcy proceedings. Were a substantial portion of the Partnership’s capital tied up in abankruptcy, MLAI might suspend or limit trading, perhaps causing thePartnership to miss significant profit opportunities.

***RegulatoryChanges Could Restrict the Partnership’s Operations***

The Partnershipimplements a speculative, highly leveraged strategy.  From time to time there is governmentalscrutiny of these types of strategies and political pressure to regulate theiractivities.  For example, foreigngovernments have from time to time blamed the declines of their currencies onspeculative partnerships and imposed restrictions on speculative trading incertain markets, and the collapse of a major hedge partnership in 1998 led tosignificantly increased regulatory monitoring of the activities of thesepartnerships and, to an extent, commodity pools such as the Partnership.

Regulatory changes couldadversely affect the Partnership by restricting its markets, limiting itstrading and/or increasing the taxes to which Unitholders are subject.  MLAI is not aware of any pending orthreatened regulatory developments which might adversely affect thePartnership.  However, adverse regulatoryinitiatives could develop suddenly and without notice.

***PrematureTermination of the Partnership***

MLAI may withdraw asgeneral partner from the Partnership upon 120 days’ notice, which would causethe Partnership to terminate unless a substitute general partner wereobtained.  Other events, such as substantiallosses suffered by the Partnership, could also cause the Partnership toterminate before the expiration of its stated term.  This could cause you to liquidate yourinvestments and upset the overall maturity and timing of your investmentportfolio.

**Item 2:   Properties**

The Partnership does notuse any physical properties in the conduct of its business.

The Partnership’s administrative office is the officeof MLAI (Merrill Lynch Alternative Investments LLC, Princeton Corporate Campus,800 Scudders Mill Road – Section 2G, Plainsboro, New Jersey 08536).  MLAI performs all administrative services forthe Partnership from MLAI’s offices.

**Item 3:   LegalProceedings**

There have been noadministrative, civil or criminal actions, whether pending or concluded, againstMLAI or Merrill Lynch or any of its individual principals during the past fiveyears which would be considered “material” as that term is defined in Section4.24(l)(2) of the Regulations of the CFTC, except as described below.

On May 21, 2002,MLPF&S, with no admission of wrongdoing or liability, agreed to pay $48million to the State of New York, $50 million to the remaining states,Washington, D.C. & Puerto Rico and $2 million to NASAA relating to aninvestigation conducted by the New York Attorney General concerning researchpractices.

On March 19, 2003,Merrill Lynch & Co., Inc., the parent company and an approved person ofMLPF&S, consented to an injunctive action instituted by the Securities andExchange Commission (the “SEC”).  In itscomplaint, the SEC alleged that three years ago, in 1999, Merrill Lynch aidedand abetted Enron Corp.’s (“Enron”) violations of Sections 10(b), 13(a),13(b)(2) and 13(b)(5) of the Exchange Act and

12

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Rules 10b-5,12b-20, 13a-1, 13a-3 and 13b2-1 thereunder, as a result of Merrill Lynchengaging in certain year-end transactions designed and proposed by Enron.  Without admitting or denying the allegations,Merrill Lynch consented to the entry of an injunction enjoining it from violatingthe above-referenced provisions, and agreed to pay disgorgement, penalties andinterest in the amount of $80 million. In its release announcing the settlement, the Commission acknowledgedthat in agreeing to resolve this matter on the terms described above, theCommission took into account certain affirmative conduct by Merrill Lynch.

In April 2003, MLPF&Sentered into a settlement with the SEC, the National Association of SecuritiesDealers (the “NASD”) and the New York Stock Exchange (the “NYSE”) as part of ajoint settlement with the SEC, the NASD and the NYSE arising from a jointinvestigation by the SEC, the NASD and the NYSE into research analystsconflicts of interests.  Pursuant to theterms of the settlement with the SEC, NASD and NYSE, MLPF&S, withoutadmitting or denying the allegations, consented to a censure.  In addition, MLPF&S agreed to a paymentof (I) $100 million, which was offset in its entirety by the amount alreadypaid by MLPF&S in the related proceeding with the State of New York and theother states (II) $75 million to fund the provision of independent research toinvestors; and (III) $25 million to promote investor education.  The payments for the provision of independentresearch to investors and to promote investor education are required to be madeover the course of the next five years. MLPF&S also agreed to comply with certain undertakings.

In March 2006, MLPF&Sentered into a settlement with the SEC arising from an investigation related toMLPF&S’ retention and production of e-mail. The SEC found that MLPF&S willfully violated Section 17(a) of theExchange Act, and Rules 17a-4(b)(4) and 17a-4(j) thereunder.  Without admitting or denying the allegations,Merrill Lynch consented to the entry of an injunction enjoining it from violatingthe above-referenced provisions, entered into an undertaking regarding itspolicies and procedures and agreed to pay a civil penalty $2,500,000.

**Item 4:   Submissionof Matters to a Vote of Security Holders**

None

13

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**PART II**

**Item 5:****          Marketfor Registrant’s Common Equity, Related Stockholder Matters and IssuerPurchases of Equity Securities**

Item 5

(a)                                  MarketInformation:

There is no established public trading market for theUnits, and none is likely to develop. Limited Partners may redeem Units as of the end of each month at NetAsset Value, subject to certain early redemption charges.

(b)           Holders:

As of December 31, 2006,there were 31,808 holders of Units, including MLAI.

(c)           Dividends:

MLAI has not made, anddoes not contemplate making, any distributions on the Units.

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

Not applicable.

Item 5(a)                                                  RecentSales of Unregistered Securities; Uses of Proceeds From Registered Securities:

Not applicable.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

14

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**Item 6:   SelectedFinancial Data**
| ** **                                                          | ** ** | **For the Years Ended December 31,** | ** **   |
|---------------------------------------------------------------------|------------|---------------------------------------------------------------|--------------|
| **Income Statement Data**                                 | ** ** | **2006**                                                      | ** **   | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
| Revenues                                                            |       |                                                          |         |   |   |   |   |   |   |   |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Trading Profit  (Loss):                                             |       |                                                          |         |   |   |   |   |   |   |   |   |
| Realized                                                            |       | $                                                             | (158,576,895 | ) | $ | (112,908,397 | ) | $ | 151,296,416 |   | $ | 24,882,048 |   | $ | 88,906,578 |   |
| Change in unrealized                                                |       | 12,136,031                                                    |         | (150,020,999 | ) | 91,466,219 |   | 20,384,664 |   | 18,456,720 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Total trading profit (loss)                                         |       | (146,440,864                                                  | )            | (262,929,396 | ) | 242,762,635 |   | 45,266,712 |   | 107,363,298 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Investment  Income                                                  |       |                                                          |         |   |   |   |   |   |   |   |   |
| Interest                                                            |       | 51,861,211                                                    |         | 39,816,009 |   | 14,133,423 |   | 5,168,611 |   | 4,622,596 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Expenses:                                                           |       |                                                          |         |   |   |   |   |   |   |   |   |
| Brokerage commissions                                               |       | 61,808,517                                                    |         | 73,622,017 |   | 57,501,150 |   | 30,474,397 |   | 16,830,711 |   |
| Administrative and filing fees                                      |       | 2,937,327                                                     |         | 3,450,957 |   | 2,889,337 |   | 1,699,677 |   | 731,770 |   |
| Ongoing offering costs                                              |       | 1,450,000                                                     |         | 475,000 |   | 348,101 |   | 1,198,256 |   | 75,000 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Total expenses                                                      |       | 66,195,844                                                    |         | 77,547,974 |   | 60,738,588 |   | 33,372,330 |   | 17,637,481 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Net Investment  Loss                                                |       | (14,334,633                                                   | )            | (37,731,965 | ) | (46,605,165 | ) | (28,203,719 | ) | (13,014,885 | ) |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Income (loss)  before Minority Interest and Profit Share Allocation |       | (160,775,497                                                  | )            | (300,661,361 | ) | 196,157,470 |   | 17,062,993 |   | 94,348,413 |   |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Profit Share  allocation                                            |       | —                                                        |         | (6,312 | ) | (39,051,490 | ) | (5,840,767 | ) | (20,152,858 | ) |
| Minority  interest in (income) loss                                 |       | 29,872                                                        |         | 55,162 |   | (25,137 | ) | (16,777 | ) | (49,824 | ) |
|                                                                |       |                                                          |         |   |   |   |   |   |   |   |   |
| Net Income  (Loss)                                                  |       | $                                                             | (160,745,625 | ) | $ | (300,612,511 | ) | $ | 157,080,843 |   | $ | 11,205,449 |   | $ | 74,145,731 |   |

 
| **Balance Sheet Data** | ** ** | **December 31, 2006** | ** **  | **December 31, 2005** | ** ** | **December 31, 2004** | ** ** | **December 31, 2003** | ** **    | **December 31, 2002** | ** ** |
|----------------------------------|------------|---------------------------------|-------------|---------------------------------|------------|---------------------------------|------------|---------------------------------|---------------|---------------------------------|------------|
|                             |       |                            |        |                            |       |                            |       |                            |          |                            |       |
| Total Partners’  Capital    |       | $                               | 792,303,062 |                            | $          | 1,234,151,526                   |       | $                               | 1,371,799,115 |                            | $          | 695,477,407 |   | $ | 318,297,668 |   |
| Net Asset Value per  Unit        |       | $                               | 175.61      |                            | $          | 205.50                          |       | $                               | 260.33        |                            | $          | 235.60 |   | $ | 219.52 |   |

 

The following selected month-end Net Asset Value per Unit informationhas been derived from the financial and accounting data of the Partnership:
| ** ** | ** ** | **MONTH-END NET ASSET VALUE PER UNIT** | ** ** |
|------------|------------|-----------------------------------------------------------------|------------|
| ** ** | ** ** | **Jan.**                                                        | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2002       |       | $                                                               | 168.42     |   | $ | 162.64 |   | $ | 154.17 |   | $ | 155.57 |   | $ | 168.98 |   | $ | 202.97 |   | $ | 217.66 |   | $ | 226.06 |   | $ | 240.00 |   | $ | 221.21 |   | $ | 206.54 |   | $ | 219.52 |   |
| 2003       |       | $                                                               | 251.24     |   | $ | 269.78 |   | $ | 251.99 |   | $ | 258.85 |   | $ | 272.23 |   | $ | 248.88 |   | $ | 247.63 |   | $ | 256.91 |   | $ | 232.93 |   | $ | 213.37 |   | $ | 215.88 |   | $ | 235.60 |   |
| 2004       |       | $                                                               | 244.57     |   | $ | 265.91 |   | $ | 251.68 |   | $ | 224.34 |   | $ | 210.08 |   | $ | 187.86 |   | $ | 183.46 |   | $ | 182.64 |   | $ | 201.36 |   | $ | 241.05 |   | $ | 268.07 |   | $ | 260.33 |   |
| 2005       |       | $                                                               | 224.16     |   | $ | 213.19 |   | $ | 213.18 |   | $ | 190.18 |   | $ | 208.05 |   | $ | 212.63 |   | $ | 215.46 |   | $ | 214.97 |   | $ | 215.10 |   | $ | 214.98 |   | $ | 232.78 |   | $ | 205.50 |   |
| 2006       |       | $                                                               | 198.52     |   | $ | 180.91 |   | $ | 191.14 |   | $ | 213.21 |   | $ | 212.48 |   | $ | 189.18 |   | $ | 176.75 |   | $ | 190.69 |   | $ | 190.58 |   | $ | 177.15 |   | $ | 188.07 |   | $ | 175.61 |   |

 

Pursuantto CFTC policy, monthly performance is presented from January 1, 2002, eventhough the Units were outstanding prior to such date.

15

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**ML JWH STRATEGIC ALLOCATION FUND L.P.****December 31, 2006**

*Type of Pool:*Single-Advisor/Publicly-Offered/Not “Principal Protected”(1)*Inception of Trading:* July 15, 1996*Aggregate Subscriptions:*   $1,980,192,819*Current Capitalization:*   $792,303,062*Worst Monthly Drawdown:(2)*   (13.89)% (1/05)*Worst Peak-to-Valley Drawdown:(3)*   (34.49)% (12/04 - 12/06)
|                                 | ** ** | **Monthly Rates of Return(4)** | ** ** |
|---------------------------------|------------|-----------------------------------------------|------------|
| **Month**                       | ** ** | **2006**                                      | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
| January                         |       | (3.40                                         | )%         | (13.89 | )% | 3.80 | % | 14.45 | % | (0.91 | )% |
| February                        |       | (8.87                                         | )          | (4.89 | ) | 8.73 |   | 7.38 |   | (3.43 | ) |
| March                           |       | 5.65                                          |       | 0.00 |   | (5.35 | ) | (6.60 | ) | (5.21 | ) |
| April                           |       | 11.55                                         |       | (10.79 | ) | (10.86 | ) | 2.72 |   | 0.91 |   |
| May                             |       | (0.34                                         | )          | 9.40 |   | (6.36 | ) | 5.17 |   | 8.62 |   |
| June                            |       | (10.97                                        | )          | 2.20 |   | (10.58 | ) | (8.58 | ) | 20.11 |   |
| July                            |       | (6.57                                         | )          | 1.33 |   | (2.34 | ) | (0.50 | ) | 7.24 |   |
| August                          |       | 7.89                                          |       | (0.23 | ) | (0.45 | ) | 3.75 |   | 3.86 |   |
| September                       |       | (0.06                                         | )          | 0.06 |   | 10.25 |   | (9.33 | ) | 6.17 |   |
| October                         |       | (7.05                                         | )          | (0.05 | ) | 19.71 |   | (8.40 | ) | (7.83 | ) |
| November                        |       | 6.16                                          |       | 8.28 |   | 11.21 |   | 1.17 |   | (6.63 | ) |
| December                        |       | (6.63                                         | )          | (11.72 | ) | (2.89 | ) | 9.14 |   | 6.28 |   |
| Compound Annual Rate of  Return |       | (14.55                                        | )%         | (21.06 | )% | 10.50 | % | 7.33 | % | 29.15 | % |

 

----

(1) Certain funds, including funds sponsored by MLAI,are structured so as to guarantee to investors that their investment will beworth no less than a specified amount (typically, the amount initiallyinvested) as of a date certain after the date of investment.  The CFTC refers to such funds as “PrincipalProtected.”  The Partnership has no suchfeature.

(2) Worst MonthlyDrawdown represents the largest negative Monthly Rate of Return experienced bythe Partnership since January 1, 2002; a Drawdown is measured on the basis ofmonth-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents thegreatest percentage decline from a month-end cumulative Monthly Rate of Returnwithout such cumulative Monthly Rate of Return being equaled or exceeded as ofa subsequent month-end experienced by the Partnership since January 1, 2002.  For example, if the Monthly Rate of Returnwas (1)% in each of January and February, 1% in March and (2)% in April, thePeak-to-Valley Drawdown would still be continuing at the end of April in theamount of approximately (3)%, whereas if the Monthly Rate of Return had beenapproximately 3% in March, the Peak-to-Valley Drawdown would have ended as ofthe end of February at approximately the (2)% level.

(4) Monthly Rateof Return is the net performance of the Partnership during the month ofdetermination (including interest income and after all expenses accrued orpaid) divided by the total equity of the Partnership as of the beginning ofsuch month, inclusive of subscription activity.

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**Item 7: Management**’**s Discussion and Analysis of Financial Condition and Results ofOperations**

**Results of Operations**

General

JWH®’s programs do not predict price movements.  No fundamental economic supply demandanalysis is used and no macroeconomic assessments of the relative strengths ofdifferent national economies or economic sectors are used.  Instead, the programs apply proprietarycomputer models to analyze past market data, and from this data alone attemptto determine whether market prices are trending.  Technical traders such as JWH ® base theirstrategies on the theory that market prices reflect the collective judgment ofnumerous different traders and are, accordingly, the best and most efficientindication of market movements.  However,there are frequent periods during which fundamental factors external to themarket dominate prices.

If JWH®’s models identify a trend, they signalpositions which follow it.  When thesemodels identify the trend as having ended or reversed, these positions are eitherclosed out or reversed.  Due to theirtrend-following character, the JWH® programs do not predict either thecommencement or the end of a price movement. Rather, their objective is toidentify a trend early enough to profit from it and to detect its end orreversal in time to close out the Partnership’s positions while retaining mostof the profits made from following the trend.

In analyzing the performance of JWH®’s trend-followingprograms, economic conditions, political events, weather factors, etc., are notdirectly relevant because only market data has any input into JWH®’s tradingresults.  Furthermore, there is no directconnection between particular market conditions and price trends.  There are so many influences on the marketsthat the same general type of economic event may lead to a price trend in somecases but not in others.  The analysis isfurther complicated by the fact that the programs are designed to recognizeonly certain types of trends and to apply only certain criteria of when a trendhas begun.  Consequently, even thoughsignificant price trends may occur, if these trends are not comprised of thetype of intra-period price movements which the programs are designed toidentify, the Partnership may miss the trend altogether.

The following performance summary outlines certainmajor price trends which the JWH® programs have identified for the Partnershipsince inception.  The fact that certaintrends were captured does not imply that others, perhaps larger and potentiallymore profitable trends, were not missed or that JWH® will be able to capturesimilar trends in the future.  Moreover,the fact that the programs were profitable in certain market sectors in thepast does not mean that they will be so in the future.

This performance summary is an outline description ofhow the Partnership performed in the past, not necessarily any indication ofhow it will perform in the future. In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

While there can be no assurance that trading directedby JWH®  will be profitable under anygiven market condition, markets in which substantial and sustained pricemovements occur typically offer the best profit potential for the Partnership.

PerformanceSummary
| 2006                              | ** ** | ** **   | ** **   |
|-----------------------------------|------------|--------------|--------------|
|                              |       |         |         |
| Metals                            |       | $            | 41,738,896   |   |
| Agricultural  Commodities         |       | (11,014,707  | )            |
| Energy                            |       | (23,966,341  | )            |
| Interest Rates  and Stock Indices |       | (6,837,362   | )            |
| Currencies                        |       | (146,361,350 | )            |
|                              |       | $            | (146,440,864 | ) |

 

17

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ThePartnership’s performance was an overall loss in 2006 with metals and stockindices posting gains and agriculture, interest rates, energy and currencies postinglosses.

Themetals sector was the most profitable for the Partnership. At the beginning ofthe year, gold surged to a 25 year high and silver climbed to its highest levelsince March 1984. This trend continued through the second quarter with silverclimbing 51%. Factors contributing to the rise in silver includethe escalating dispute with Iran combined with a falling U. S. dollar whichhelped to push the precious metal higher as investors look for a safe-havengiven the global geopolitical uncertainty. Both base and precious metals beganto retreat from highs set in the middle of the quarter. Gold fell to a threemonth low after reaching a 26-year high in May. The sharpsell-off was caused by the combination of a stronger U.S. dollar, as investorsbought dollars as an alternative to gold, and speculation that the FederalReserve could hike interest rates as much as 50 basis points. Silver’s rallywas due to increased demand throughout the world and expectations ofcontinued  economic expansion ofdeveloping nations. Base and precious metals suffered as commodities as anasset class had their biggest quarterly decline in at least 50 years. Duringthe third quarter, gold and silver prices continued to fall as lower energyprices and a stronger U.S. dollar eroded the appeal of the precious metals asan alternative to U.S. stocks and bonds. Although weakness in precious metalshurt performance, the Partnership was able to profit from falling base metalprices. New York copper futures fell 10 percent in December as inventories ofthe metal used in wires and pipes grew, a sign of weakening demand. LondonMetals Exchange copper for March delivery touched $6,250 a metric ton, thelowest since April 20th.Nevertheless, copper’s gain for the year in London was 44 percent and 41percent in New York.  

Stockindices also posted profits for the Partnership. European stock indices hadtheir best January rally in eight years as energy stocks along with miners andsteelmakers gained on expectations earnings would benefit from higher commodityprices. The middle of the first quarter was volatile for the stock indicessector as the Asian stock indices posted their first monthly decline sinceOctober 2005, however the decline reversed  at the end of the quarter as Asian stocksapproached a 16-year high partly due to surging demandfor metals and oil.  The interest raterise, along with China asking the nation’s banks to restrict lending to preventthe economy from overheating, sent shares of mining companies and commodityproducers lower on speculation that increased borrowing costs could curb demandfor raw materials in China’s economy. Global equitymarkets began to fall mid year after the U.S. Federal Reserve met and anadditional rate hike was still a possibility in June. The losses continuedthrough the end of the second quarter due to mounting speculation that actionsof the U.S. Federal Reserve would hurt economic growth and 16 central banksraised interest rates to contain inflation. However, as it became evident thatthe U.S. Federal Reserve was actually closer to ending its rate hiking cycleworld equity markets rallied. The third quarter began with asubstantial portion  of world equitymarkets trend-less as investors continued to speculate over the U.S. FederalReserve’s next move. Global equities reversed the recent losing trend andrallied partly due to decreased concerns about inflation. U.S. Federal Reservepolicy makers signaled that the economy may have cooled enough to precludefurther interest rate increases for the remainder of the year. European stocksrallied at the end of the quarter to a five-year high. The fourth quarter beganwith the All Ordinarys index rising to a record. Also advancing were the U.S.benchmark indices, as earlier optimism that United States households wouldsustain economic growth pushed the Dow industrials to a record high duringOctober and sent the S&P 500 to its highest level since November 2000.Three United States benchmarks had their biggest monthly gain since November2005, with the Dow gaining 3.4 percent, the S&P 500 climbing 3.2 percent,and the NASDAQ advancing 4.8 percent. The year ended as Japanese stockscompleted their longest yearly winning streak since 1989.  The Japaneseyen reached an all-time low of 156.73 against the Euro helping to advanceJapanese equities (a weaker Japanese yen boosts the value of euro-denominatedsales when converted back into local currency).   

Theagriculture sector posted losses for the Partnership. The year began withrecord highs as a result of the surging cost of crude oil which increased thedemand for ethanol, a sugar cane by-product. Brazil, the biggest producer andexporter of sugar, hasbeen converting  more of itssugar cane crop to ethanol in connection with record gasoline prices. New Yorkcoffee rose to seven month highs as worldwide demand outpaced supply. New Yorkcoffee and New York sugar hindered returns in the middle of the first quarterwhile trading in Chicago Board of Traders (“CBOT”) wheat limited losses. Thefirst quarter ended with sugar prices in London rising to their highest levelssince 1989 on speculation that a jump in the cost of oil will force Brazil todirect more of its output towards producing ethanol. Mid-year, cotton fell toits lowest close since December 2, 2005. The gains in cotton were not enough,however, to offset the losses in the rest of the sector as choppy price actiondominated the sector’s performance. Sugar, whose demand has 

18

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increased on itsability to be made into ethanol, fell as energy prices dropped mid-year.Weather conditions had severe affects on various crops in the U.S. and aroundthe world. CBOT wheat fell to a five-week low in the middle of June, after warmdry weather in the central U.S. helped farmers speed up the harvest. At thebeginning of the third quarter, New York and London sugar under performed onspeculation that global demand will slow. Corn and soybeans also hurtperformance as price volatility caused by fluctuating weather conditions in theU.S. Midwest threatened crop yields. Also contributing to corn price volatilitywas a report issued by the U.S. Department of Agriculture that indicatedapproximately 59% of the corn crop was in good condition, which was the lowestpercentage of the year. Losses in wheat third quarter were offset by gains insugar. World sugar production in 2006 was higher than previously forecastedeasing a third straight annual shortfall as favorable weather in India helpedthe harvest. The third quarter ended with sugar prices plunging on speculationthat demand would fall as lower energy costs discouraged the use of sugar as analternative fuel source eroding the value of ethanol. At the beginning of thefourth quarter, corn, the biggest U.S. crop, reached a two-year high. Wheatprices fell 13 percent since reaching $5.57, a ten year high, on October 17th. Wheatprices fell on speculation that U.S. farmers may increase the acreage plantedwith the grain this year.  The sector’sworst performer was London sugar. Sugar fell as supplies are set to grow 3.9percent faster than expected demand in 2007 which may leave unsold stockpiles at approximately 49percent of global consumption by the end of September 2007, the highestpercentage in ten years. Toward the end of 2006, corn and soybean futures in Chicago rose on signs that exportdemand for the two biggest U.S. crops remained strong even after price rallies.Farmers in Brazil, growers of Robusta and Arabica beans traded in New York,held back supplies because drought conditions may reduce the 2007 crop. 2006ended with soybean prices falling on prospects that rains may have improvedSouth American crops.  Despite the fall,soybeans rose to a 17-month high on December 29th in Chicago on speculationthat rising corn prices will cut plantings of the oilseed.  Corn is more appealing than soybeans for U.S.farmers because of record demand for ethanol, a fuel being added to gasoline tomeet federal mandates for renewable energy. 

Theinterest rate sector posted losses for the Partnership. The year began withfixed income markets in the U.S., Europe and Japan selling off over fears oftheir respective central banks raising interest rates. The sector benefitedfrom Japanese Government bonds, which was a price decline. Eurodollar postedgains which were offset by losses in U.S. 30 year bonds, German bunds and bobl.During the first quarter, the U.S. Federal Reserve and the European CentralBank raised their respective interest rates 25 basis points. A catalyst for thesell-off was growing speculation in the markets that both central banks wouldbe forced to continue to raise rates after confidence reports released in bothEurope (IFO) and the U.S. (consumer confidence) on March 28th were stronger than expected.  Mid-year European, Japanese and U.S. fixedincome markets sold off which significantly added to the Partnership’s performance.The Japanese ten year bond (“JGB’s”) added to the sector’s performance as itfell for a fifth month, the longest since 1990, on concerns that the Bank ofJapan will raise interest rates this year. Yields on U.S. ten year Treasuriesrose for a fifth straight month mid-year, the longest stretch since 1999.  During the third quarter, the U.S. benchmarkten year along with the U.S. ten year Treasury bond were the worst performersin the sector as the slowing U.S. economy spurred speculation that the U.S.Federal Reserve will stop raising interest rates. The Bank of Japan raised therate between lenders 25 basis points on July 14th ending a five-year policy of keeping borrowingcosts near zero percent.  Japanesegovernment bonds, German bunds, and the U.S. benchmark ten year Treasury bondrallied. Investors drove yields lower as a smaller than expected increase inconsumer prices, as well as a sharp drop in industrial production, causedspeculation that the Bank of Japan would keep interest rates at their currentlevel for the remainder of the year. U.S. bonds were supported by the U.S.Federal Reserve’s decision to benchmark

U.S.interest rate at 5.25 percent, ending a record two-year run of 17 straight rateincreases. The U.S. ten year yield touched a seven month low of 4.53 percent onSeptember 25th,down from 5.14 percent on June 30th as expectations that the U.S. Federal Reservewould raise interest rates further gave way to the view that it may lower themin the near future.  During the beginningof the fourth quarter, U.S., European, and Japanese debt markets sufferedreversals over speculation surrounding potential global interest rate moves.Japanese ten year  bonds and German tenyear government bonds (“Bunds”) were the worst performing components in thesector on expectations that the European Central Bank (“ECB”) and Bank of Japan(“BOJ”) would have to keep raising interest rates to help containinflation.  Later in the fourth quarter,U.S. Treasuries rose, pushing the benchmark ten-year note yields to 4.46percent, the lowest since January. U.S. Treasuries gained after theNAPM-Chicago business barometer declined to 49.9 from 53.5 in October, (areading below 50 signals a contraction). The U.S. Federal Reserve’s last seriesof interest rate cuts in 2001 began five months after the business barometerdropped below 50. The year ended as German and U.S. government 

19

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bonds fell,experiencing reversing trends while JGB’s oscillated due to market speculationon whether the BOJ would raise interest rates. On December 8th, JGB’s posted their biggestweekly decline in four months as investors increased their positions based onthe belief that the BOJ would raise rates at its December meeting. Germangovernment bonds fell on speculation the ECB will keep lifting rates into nextyear. Benchmark U.S. two-year notes had their longest losing run in more than15 years in December, driving yields to their highest in more than four years.U.S. Treasuries also fell, enduring their first December loss in five years.

Theenergy sector posted losses for the Partnership. At the beginning of the yearvolatility within the energy sector increased as oil and natural gas were beingused as “geopolitical weapons” by Iran, Russia, Venezuela and militants inBolivia. Natural gas fell 17 percent around the beginning of the year as mildweather in several of  the largest U.S.consuming regions cut demand which limited the need for utilities to pull fromreserves . The market continued to be apprehensive in connection with geopolitical conflicts inthe middle East and Nigeria. Mid-year concerns that the U.N.Security Council will impose sanctions that could lead Iran, the fourth-largestoil producer, to cut shipments drove crude oil for June delivery to a new highof $75.35 a barrel. Increased geopolitical uncertainty drove all petroleumbased products higher. While the sector benefited from increased instability inthe world, mild weather in the U.S. hindered performance as natural gas hasfallen 20 percent and approached a nine month low as demand slowed. Crude oilspiked on July 14th to a record high on concern that the fightingin Lebanon might spread to other parts of the Middle East, which is the sourceof approximately a third of the world’s oil. Crude oil plunged 25 percent inOctober, since reaching a record high on July 14th. Energy prices continued their downwardtrend as warm weather in the northern U.S. reduced fuel demand. Alsocontributing to the downward price movement were signs that OPEC would not cutproduction as much as previously pledged. Crude oil fell to a 17-month low. The year ended with the populationcenters of the Midwest and Northeast, where demand for gas is highest,experiencing weather as much as 25 percent warmer than normal.  Forecasters said an El Nino weather pattern,which typically brings above-average winter temperature, is affecting much ofthe U.S. crude oil for February 2007 delivery touched $59.99, the lowest sinceNovember 27th, while heating oil for January 2007 delivery touched $1.5995, thelowest since October 31st.

Thecurrencies sector posted the greatest losses for the Partnership. At thebeginning of the year foreign exchange sector suffered losses as the U.S.dollar posted its biggest monthly decline against the euro since November 2004.This was significantly due to the market’s anticipation of the U.S. FederalReserve’s removal of “measured pace” from its statement after its meeting onJanuary 31st. Theeuro also benefited as the market waited for whether the European CentralBank’s meeting on February 2, 2006 would raise borrowing costs as Europe’seconomy strengthened.  During the secondquarter, stronger than expected core Consumer Price (“CPI”) coupled withstatements from U.S. Federal Reserve Chairman Bernanke calling recent increasesin inflation measures an “unwelcome development”, led investors to speculatethat the U.S. Federal Reserve might raise rates 50 basis points rather than thepreviously expected 25. The increased rate speculation helped the U.S. dollarreach an eight-week high of 1,2479 against the euro. On June 29th, the U.S. Federal Reserve raised rates25 basis points and suggested it may be nearing the end of its 2-year cycle ofrate increases as the statement announcing their decision indicated thatslowing economic growth “should help to limit inflation pressures”. As aresult, the U.S. dollar reversed once again and weakened during the last twodays of the month.  During the thirdquarter, fighting broke out between Israel and Hezbollah causing a sharpreversal in the weakening U.S. dollar trend. The U.S. dollar rallied asfighting in the Middle East escalated sending the currency higher against theJapanese yen and euro. Unfortunately, most of the gains disappeared asinvestors focused on interest rates after U.S. Federal Reserve ChairmanBernanke stated that “moderation” in the economy was under way. On October13th, the dollar rose to its highest level against the Japanese yen this yearand the strongest level versus the euro since July, after a government reportshowed U.S. retail sales excluding gasoline increased in September. On October31st however, the U.S. dollar had given up most of its gains from earlier inthe month and dropped to its lowest level in five weeks against the euro andJapanese yen after a survey of purchasing managers showed business declined anda report revealed U.S consumer confidence unexpectedly fell for the month.  The data provided evidence of a slowdown inthe world’s largest economy, increasing speculation that the U.S. Federal Reservemay cut borrowing costs early in 2007 reducing the appeal of dollar-denominatedassets. Near the end of the year the U.S. dollar tumbled to a 20-month lowagainst the euro and approached a three-month low versus the Japanese yen. Theyear ended as higher European interest rates helped the euro reach a recordhigh against the Japanese yen on December 29th and caused the Japanese yen tofall to its lowest level since 1998 versus the British pound.

20

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| 2005                              | ** ** | ** **   | ** **   |
|-----------------------------------|------------|--------------|--------------|
|                              |       |         |         |
| Metals                            |       | $            | (4,219,696   | ) |
| Agricultural  Commodities         |       | (6,807,238   | )            |
| Energy                            |       | (39,814,815  | )            |
| Interest Rates  and Stock Indices |       | (42,415,774  | )            |
| Currencies                        |       | (169,671,873 | )            |
|                              |       | $            | (262,929,396 | ) |

 

The Partnership postedlosses in all sectors.

Trading in the metalssectors was the least unprofitable for the Partnership. At the beginning of theyear, the loss in metals was primarily due to the weakness in both gold andaluminum. Gold which recently had a strong inverse relationship with the U.S.dollar came under pressure as the U.S. dollar strengthened. Aluminum sustainedlosses as supply increases in Shanghai (among other factors) put pressure onthe market.   A decrease in the Institutefor Supply Management Non-Manufacturing Business Activity Index in thebeginning of the second quarter initially caused base metal prices to fall,while precious metals continued to appreciate. Gold prices rose in the middleof the second quarter as crude oil surged, and then dipped with thestrengthening of the U.S. economy. Gold prices continued to fall early in thethird quarter as the U.S. dollar strengthened, reducing the metal’s appeal asan alternative investment. The cumulative effects of severe price action in thecurrencies and fixed income markets along with the market impact of HurricaneKatrina led gold to under perform. However, gold futures for December deliveryclosed at $475.80 on September 29th, the highest since January 1988.  November 29th, was also a record day as goldreached $506.70, the highest price for a most-active contract since December1987.  Even though the metals sector hadgains at the end of the year, that was not enough to offset the combined lossesin other sectors. 

The agricultural sectorproved to be the second least unprofitable for the Partnership.  Early in the year there was forecasted adrought season in Brazil which positively effected soy bean prices near term.Through the middle part of the year, there was no discernable trend inagricultural commodities due to the fact of the increased volatility in themarket. Coffee returns rose after flooding caused by Hurricane Katrina placedbean inventories at risk in New Orleans, the second largest coffee port in theU.S. Sugar was an important commodity in the last quarter with the EuropeanUnion intentionally limiting the supply of white sugar in London and risingBrazilian demand for ethanol made from cane. However, the European Union wasforced to cut sugar prices 36% after the World Trade Organization ruled thatthe Euro nations were illegally subsidizing prices. The year ended with coffeetrading being a very significant part of this sector due to the fact that onDecember 9th Brazil, the world’s largest coffee grower, announced its 2006-2007crop would increase by 43.6 million bags which was less that what was expected.

The energy sector alsoposted losses for the Partnership. The bull market trend did continue throughthe beginning of the year as commodity prices surged to a 24-year high due tosigns of growing global demand for energy-related goods. However, as it appearedthat global demand for oil would peak to a record 86.4 million barrels a day inthe 4th quarter, an Energy Department report informed investors of anunexpected surge in supplies because of increased productivity in refineries.  Natural gas prices retreated from recordhighs set in September, which resulted when Hurricanes Katrina and Rita struckthe Gulf Coast. The year ended with a dramatic fall in prices as a result ofprivate and government forecasters calling for warmer than normal temperatureacross the country for the beginning of January. Predictions stated that demandin the Midwest, where natural gas is the major heating fuel, will be 20 percentlower than normal on average and in the Northeast, where 80 percent of thenation’s  heating oil is used, will be 13percent lower than normal on average. Crude oil’s surge at the end of Decemberalso hindered performance as the pricing dispute between Russia and the Ukrainedisrupted shipments of natural gas to Europe and raised concerns that Russia isnot a reliable energy supplier. 

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Stock indices andinterest rate futures was the fourth least profitable sector for thePartnership. Losses occurred in the beginning of the year resulting from a selloff in world equity markets, as stocks weakened because of high energy prices.In addition, stocks dropped as American International Group Inc., the world’slargest insurer, lost its top credit rating. Japanese stocks rallied in thethird quarter on the news that the European Central Bank upgraded its assessmentof the Japanese economy, citing improved business confidence and greatercompany investments however; gains were limited as the majority of the world’sequity markets weakened due to record oil prices, caused by Hurricanes Katrinaand Rita. Interest rate futures having losses that were directly related to thefixed income sector as the European, Japanese and U.S. bond markets sold off.The catalyst for the dramatic move higher in world interest rates was thecumulative effect of increases in both energy prices and inflationexpectations. During the second quarter, Japan’s government bond yieldsexperienced record lows because of anticipated economic slowdowns for two mainreasons; the projection that the demand for regional goods would wane because ofa slowing U.S. economy and record high oil prices were expected to take aserious toll on the nation.  Sector’sgains in the third quarter were limited as the majority of the world’s equitymarkets weakened during the quarter on concerns of record oil prices, caused byHurricanes Katrina and Rita. The year ended with limited performance in theEuropean fixed-income market volatility caused by changing expectations as towhether or not the European Central Bank rate hike was a single increase or thebeginning of a series of further moves. 

Trading in currencies wasthe least profitable for the Partnership. Loss in the beginning of the year wasdirectly related to the strength of the U.S. dollar against most majorcurrencies. The recent dollar strength began when Federal Reserve Chairman AlanGreenspan predicted that the deficit in the U.S. current account, the broadestmeasure of trade, may shrink.  However,the second quarter ended with a widening spread between the two-year U.S.Treasury note and the German schatz (two-year note), along with the rally ofthe U.S. dollar against the Japanese yen. In the third quarter, China revaluedits yuan for the first time in a decade. The currency sector continued tosuffer as the U.S. dollar rallied against the Euro, Swiss franc and Britishpound, but offset in part by gains in the Japanese yen and Brazilian real. Theyear ended with the U.S. dollar reversing its strengthening to the Japanese yenbecause of the apparent Federal Reserve signals that it was closer to endingits rate-hiking cycle. The sector also incurred losses from weakness in theBritish pound as it weakened on expectations that the Bank of England may haveto cut rates.
| 2004                              | ** ** | ** **  | ** **  |
|-----------------------------------|------------|-------------|-------------|
|                              |       |        |        |
| Energy                            |       | $           | 173,869,113 |   |
| Interest Rates  and Stock Indices |       | 43,882,548  |        |
| Currencies                        |       | 32,940,127  |        |
| Agricultural  Commodities         |       | 20,007,411  |        |
| Metals                            |       | (27,936,564 | )           |
|                              |       | $           | 242,762,635 |   |

 

The energy sector had the highest gains for thisPartnership.  The upward trend in crudeoil prices and related products continued in their secular bull market trend,in a very volatile fashion. Colder than expected winter months, rising demandout of Asia, supply disruptions in Iraq, fears of worldwide terrorism, anactive hurricane season in the U.S., and unrest in Nigeria, all seem to havecontributed to supporting high prices throughout the year. The end of the yeardid witness a pull back from the all time highs in energy prices, possibly dueto U.S. heating oil perceptions regarding the weather in the U.S. Northeast.

Stock indices and interest rate futures posted thesecond highest gains for the Partnership. Stock indices had strong gains in thebeginning and end of the year. The re-election of President Bush and the lackof any terrorist activity during the U.S. elections may have combined todecrease the uncertainty that had plagued the world equity markets. U.S.,European and Japanese stocks rallied after the U.S. election and energy pricesdecreased.  Early gains for the interestrate 

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futuresmay have been based upon the U.S. Federal Reserve’s accommodating interest ratepolicy being maintained. Interest rates in the European Central Bank communityexperienced a certain amount of downward pressure, due to a terrorist attack inSpain, which may have dampened confidence in local communities. German interestrates fell as bond prices rose after a report that German business confidenceunexpectedly dropped to a nine month low as consumers curtailed their spendingactivity. The hawkish stance of the U.S. Federal Reserve combined with theexpected concretionary effect of higher energy prices helped to push long-terminterest rates lower and flatten the yield curve. The year ended on increasedvolatility in the currency and energy sectors which seemed to spill over to thedebt markets and thereby may have negatively affected the Partnership’sperformance.

Thecurrency sector posted the third highest profit for the Partnership. Theweakening U.S. dollar continued to decline as it has for over a year and thePartnership was well positioned to capitalize on its U.S. dollar positionsagainst other currencies. The strengthening in the U.S. dollar in mid-yearattributed to losses. The U.S. dollar weakened again in October.  As a result of the U.S. dollar’s weakness,many currency markets were able to break out of their well-established tradingranges. The U.S. dollar’s decline, which seems to have resulted from theuncertainty surrounding the outcome of the U.S. election, led to profitablecurrency trades for the Partnership. December marked the third consecutiveannual decline of the dollar against both the euro and the yen.

Agriculturalsector posted gains for the Partnership. The best performers in the sector werecorn, soybeans and soybean oil.  Theprice of cotton continued to move lower due to the World Trade Organization’sruling in June that U.S. subsidies to U.S. farmers are illegal, paving the wayfor increased cotton planting in other countries. The only notable gain was incoffee, as prices rose to a four year high on expectations that global demandwas outpacing production, mainly because Brazil, the world’s top grower,harvested a small crop. 

Themetals sector was the most unprofitable for the Partnership. Prices of basemetals consolidated within certain ranges as the market weighed informationthat China’s appetite for metals may be saturated as that country seems to beattempting to rein in rapid domestic growth. Precious metal prices fell steeplyin the beginning of the second quarter as investors liquidated long positions whichhad been a hedge against the negative real rate of return environment in theU.S. The sector ended the year unprofitable as trading in the metals sector wasmixed as the U.S. dollar’s instability and economic data reports influencedtrading. Gold hurt the metal sector’s performance as it suffered its biggestdecline in more than a year after trading near record highs. Gold’s decline waspossibly due to speculation over the prospects of continued dollar weakening.The largest loss occurred in silver.

**Variables Affecting Performance**

Theprincipal variables that determine the net performance of the Partnership aregross profitability from the Partnership’s trading activities and interestincome.  

Duringall periods set forth above “Selected Financial Data”, the interest rates inmany countries were at unusually low levels. The low interest rates in the United States (although higher than inmany other countries) negatively impacted revenues because interest income istypically a major component of the Partnership’s profitability.  In addition, low interest rates arefrequently associated with reduced fixed income market volatility, and instatic markets the Partnership’s profit potential generally tends to be diminished.  On the other hand, during periods of higherinterest rates, the relative attractiveness of a high risk investment such asthe Partnership may be reduced as compared to high yielding and much lower riskfixed-income investments.

ThePartnership’s Brokerage Commissions and Administrative Fees are a constantpercentage of the Partnership costs (other than the insignificant currencytrading costs which are not based on a percentage of the Partnership’s assetsallocated to trading or total) and the Profit Shares payable to the Advisorbased on the new Trading Profits generated by the Partnership excludinginterest and after reduction for a portion of the Brokerage Commissions.

Unlikemany investment fields, there is no meaningful distinction in the operation ofthe Partnership between realized and unrealized profits.  Most of the contracts traded by thePartnership are highly liquid and can be closed out at any time.

23

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Except in unusualcircumstances, factors—regulatory approvals, cost of goods sold, employeerelations and the like—which often materially affect an operating business havevirtually no impact on the Partnership.

**Liquidity; Capital Resources**

The Partnership borrowsonly to a limited extent and only on a strictly short-term basis in order tofinance losses on non-U.S. dollar denominated trading positions pending theconversion of the Partnership’s U.S. dollar deposits.  These borrowings are at a prevailing short-termrate in the relevant currency.

Inflation by itself doesnot affect profitability, but it can cause price movements that do so.

The Partnership’s assetsand open positions are generally highly liquid.

The Partnership changesits positions and market focus frequently. Consequently, the fact that the Partnership realized gains or incurredlosses in certain markets (gold, stock indices, currencies, etc.) in the pastis not necessarily indicative of whether the Partnership will do so in thefuture.

(The Partnership has nooff-balance sheet arrangements or tabular disclosure of contractual obligationsof the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

**Item 7A: Quantitative andQualitative Disclosures about Market Risk**

## Introduction

The Partnership is aspeculative commodity pool.  The marketsensitive instruments held by it are acquired for speculative trading purposesand all or substantially all of the Partnership’s assets are subject to therisk of trading loss.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, not incidental,to the Partnership’s main line of business.

Market movements resultin frequent changes in the fair market value of the Partnership’s openpositions and, consequently, in its earnings and cash flow.  The Partnership’s market risk is influencedby a wide variety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the market value of financialinstruments and contracts, the diversification effects among the Partnership’sopen positions and the liquidity of the markets in which it trades.

The Partnership, underthe direction of JWH®, rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is not possible to predict how a possible future marketscenario will affect performance, and the Partnership’s past performance is notnecessarily indicative of its future results. 

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculativetrading and the recurrence in the markets traded by the Partnership of marketmovements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Partnership’sexperience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of the quantification inthis section should not be considered to constitute any assurance orrepresentation that the Partnership’s losses in any market sector will belimited to Value at Risk or by the Partnership’s attempts to manage its marketrisk.

## Quantifyingthe Partnership’s Trading Value at Risk

Quantitative Forward-LookingStatements

The followingquantitative disclosures regarding the Partnership’s market risk exposurescontain “forward-looking statements” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the Securities Actof 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

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The Partnership’s riskexposure in the various market sectors traded by JWH® is quantified below in termsof Value at Risk.  Due to the Partnership’smark-to-market accounting, any loss in the fair value of the Partnership’s openpositions is directly reflected in the Partnership’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

Exchange maintenancemargin requirements have been used by the Partnership as the measure of itsValue at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95% to 99% of the one-day timeperiods included in the historical sample (approximately one year, generally)researched for purposes of establishing margin levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility of theoptions on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

In the case of marketsensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements for theequivalent futures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlationin the different positions held in each market risk category has beenassumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects (which would reducethe Value at Risk estimates) resulting from the fact that the Partnership’spositions are rarely, if ever, 100% positively correlated have not beenreflected.

# **The Partnership**’**s Trading Value at Risk in Different Market Sectors**

The following table indicatesthe average, highest, and lowest trading Value at Risk associated with thePartnership’s open positions by market category for the fiscal year 2006.  During the fiscal year 2006, the Partnership’saverage capitalization was approximately $1,050,574,066. During the fiscal year2005, the Partnership’s average capitalization was approximately $1,266,792,130.

December 31, 2006
| **Market Sector**   | ** ** | **Average Value   at Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest Value at  Risk** | ** ** | **Lowest Value at  Risk** | ** **  |
|--------------------------|------------|--------------------------------------------|------------|--------------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|-------------|
|                     |       |                                       |       |                                             |       |                                 |       |                                |        |
| Interest Rates           |       | $                                          | 86,057,447 |                                             | 8.19       | %                                    | $          | 143,544,330                         |        | $ | 9,595,799 |   |
| Currencies               |       | 42,127,000                                 |       | 4.01                                             | %          | 110,188,145                          |       | 6,095,675                           |        |
| Stock Indices            |       | 6,418,343                                  |       | 0.61                                             | %          | 16,139,891                           |       | 1,859,211                           |        |
| Metals                   |       | 3,059,157                                  |       | 0.29                                             | %          | 9,249,917                            |       | 742,261                             |        |
| Agricultural Commodities |       | 1,945,839                                  |       | 0.19                                             | %          | 4,518,867                            |       | 191,779                             |        |
| Energy                   |       | 2,817,055                                  |       | 0.27                                             | %          | 8,262,234                            |       | 316,632                             |        |
|                     |       |                                       |       |                                             |       |                                 |       |                                |        |
| Total                    |       |                                       | $          | 142,424,841                                      |       | 13.56                                | %          | $                                   | 291,903,384 |   | $ | 18,801,357 |   |
|                          |            |                                            |            |                                                  |            |                                      |            |                                     |             |  |  |  |  |

 

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December 31, 2005

 
| **Market Sector**    | ** ** | **Average Value   at Risk** | ** **  | **% of Average   Capitalization** | ** ** | **Highest Value at  Risk** | ** ** | **Lowest Value at  Risk** | ** **  |
|---------------------------|------------|--------------------------------------------|-------------|--------------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|-------------|
|                      |       |                                       |        |                                             |       |                                 |       |                                |        |
| Interest Rates            |       | $                                          | 142,742,675 |                                             | 11.27      | %                                    | $          | 181,601,445                         |        | $ | 62,044,637 |   |
| Currencies                |       | 50,967,050                                 |        | 4.02                                             | %          | 127,242,192                          |       | 8,912,271                           |        |
| Stock Indices             |       | 8,390,092                                  |        | 0.66                                             | %          | 14,588,445                           |       | 977,681                             |        |
| Metals                    |       | 5,903,722                                  |        | 0.47                                             | %          | 12,418,364                           |       | 1,917,416                           |        |
| Agricultural  Commodities |       | 2,308,948                                  |        | 0.18                                             | %          | 9,356,136                            |       | 196,520                             |        |
| Energy                    |       | 15,222,171                                 |        | 1.20                                             | %          | 33,067,577                           |       | 2,237,290                           |        |
|                      |       |                                       |        |                                             |       |                                 |       |                                |        |
| Total                     |       |                                       | $           | 225,534,657                                      |       | 17.80                                | %          | $                                   | 378,274,159 |   | $ | 76,285,815 |   |
|                           |            |                                            |             |                                                  |            |                                      |            |                                     |             |  |  |  |  |

 

Material Limitations on Value at Riskas an Assessment of Market Risk

The face value of themarket sector instruments held by the Partnership is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Partnership.  The magnitude of the Partnership’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Partnership to incur severe losses over a shortperiod of time.  Even comparatively minorlosses could cause MLAI to further deleverage or terminate the Partnership’s trading.  The foregoing Value at Risk table — as wellas the past performance of the Partnership — gives no indication of this “riskof ruin.” 

Non-Trading Risk

Foreign Currency Balances; Cash onDeposit with MLPF&S

The Partnership hasnon-trading market risk on its foreign cash balances not needed for margin.These balances (as well as the market risk they represent) are generallyimmaterial. 

The Partnership also hasnon-trading market risk on the approximately 90-95% of its assets which areheld in cash at MLPF&S.  The value ofthis cash is not interest rate sensitive, but there is cash flow risk in thatif interest rates decline so will the cash flow generated on these monies.  This cash flow risk is generally immaterial.

**Qualitative Disclosures RegardingPrimary Trading Risk Exposures**

The following qualitativedisclosures regarding the Partnership’s market risk exposures through the jointventure — except for (i) those disclosures that are statements of historicalfact and (ii) the descriptions of how the Partnership manages its primarymarket risk exposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act and Section 21E of the SecuritiesExchange Act.  The Partnership’s primarymarket risk exposures as well as the strategies used and to be used by MLAI andJWH® for managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results ofthe  risk controls for the Partnershipand for the trading conducted through the joint venture to differ materiallyfrom the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets,the emergence of dominant fundamental factors, political upheavals, changes inhistorical price relation­ships, an influx of new market participants,increased regulation and many other factors could result in material losses aswell as in material changes to the risk exposures and the risk managementstrategies of the Partnership.  There canbe no assurance that the Partnership’s and joint venture’s current marketexposure and/or risk management strategies will not change materially or thatany such strategies will be effective in either the short- or long-term.  Investors must be prepared to lose all orsubstantially all of the value of their investment in the Partnership.

26

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The following were theprimary trading risk exposures of the Partnership as of December 31, 2006, bymarket sector.

**Currencies.**

The Partnership trades alarge number of currencies.  However, thePartnership’s major exposures have typically been in the U.S. dollar/Japaneseyen, U.S. dollar/Swiss Franc, U.S. dollar/Euro and U.S. dollar/ British poundpositions.  The Partnership does notanticipate that the risk profile of the Partnership’s currency sector willchange significantly in the future. The currency trading Value at Risk figureincludes foreign margin amounts converted into U.S. dollars with an incrementaladjustment to reflect the exchange rate risk of maintaining Value at Risk in afunctional currency other than U.S. dollars. 

**Interest Rates.**

Interest rate movementsdirectly affect the price of derivative sovereign bond positions held by thePartnership and indirectly the value of its stock index and currencypositions.  Interest rate movements inone country, as well as relative interest rate movements between countries,materially impact the Partnership’s profitability.  The Partnership’s primary interest rateexposure is to interest rate fluctuations in the United States, Europe andJapan.  However, the Partnership alsotakes positions in the government debt of smaller nations — e.g*.,* Canada and Australia. 

**Stock Indices.**

The Partnership’s primaryequity exposure is to liquid global equity index price movements.  As of December 31, 2006, the Partnership’sprimary exposures were in the Nasdaq E-mini, Nikkei (Japan) and Eurostoxx 50stock indices. The Partnership is primarily exposed to the risk of adverseprice trends or static markets in the major U.S., European and Asian indices.

**Energy. **

The Partnership’s primary energy market exposure is tonatural gas and oil price movements. Oil prices can be volatile and substantialprofits and losses have been, and are expected to continue to be, experiencedin these markets.

**Metals.**

The Partnership’s primary metals market exposure is tofluctuations in the price of gold.  JWH®also trades silver and base metals such as aluminum and copper,  Gold prices can be volatile, and JWH® hasfrom time to time taken substantial gold positions.    

**Agricultural Commodities. **

The Partnership’sprimary agricultural commodities exposure is to agricultural price movements,which can be directly affected by severe or unexpected weather conditions.  Sugar and coffee accounted for a largeportion of the Partnership’s commodities exposure as of December 31, 2006.  In the past, the Partnership has had materialmarket exposure to grains and live cattle and may do so again in thefuture.  However, MLAI anticipates thatJWH® will maintain an emphasis on grains, coffee, sugar, and meats in which thePartnership has historically taken its largest agricultural positions. 

**Qualitative Disclosures RegardingNon-Trading Risk Exposure**

Thefollowing were the only non-trading risk exposures of the Partnership as ofDecember 31, 2006.

**Foreign Currency Balances.**

The Partnership’s primaryforeign currency balances are in Japanese yen, Euro and British pounds. 

**U.S. Dollar Cash Balance**

The Partnershiphold U.S. dollars only in cash at MLPF&S. The Partnership has immaterialcash flow interest rate risk on its cash on deposit with MLPF&S in thatdeclining interest rates would cause the income from such cash to decline.

27

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**QualitativeDisclosures Regarding Means of Managing Risk Exposure**

TradingRisk

MLAI has procedures inplace intended to control market risk, although there can be no assurance thatthey will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge ordiversify the Partnership’s market exposure; MLAI may urge JWH® to reallocatepositions in an attempt to avoid over-concentrations.  However, such interventions are unusual.  Except in cases in which it appears that JWH®has begun to deviate from past practice and trading policies or to be tradingerratically, MLAI basic risk control procedures consist simply of the ongoingprocess of monitoring JWH® with the market risk controls being applied by JWH®itself.

**Risk Management**

JWH®attempts to control risk in all aspects of the investment process  — from confirmation of a trend to determiningthe optimal exposure in a given market, and to money management issues such asthe startup or upgrade of investor accounts. JWH® double checks the accuracy of market data, and will not trade amarket without multiple price sources for analytical input.  In constructing a portfolio, JWH® seeks tocontrol overall risk as well as the risk of any one position, and JWH® tradesonly markets that have been identified as having positive performancecharacteristics.  Trading discipline requiresplans for the exit of a market as well as for entry.  JWH® factors the point of exit into thedecision to enter (stop loss).  The sizeof JWH®’s positions in a particular market is not a matter of how large areturn can be generated but of how much risk it is willing to take relative tothat expected return.

Toattempt to reduce the risk of volatility while maintaining the potential forexcellent performance, proprietary research is conducted on an ongoing basis torefine the JWH® investment strategies. Research may suggest substitution of alternative investmentmethodologies with respect to particular contracts; this may occur, forexample, when the testing of a new methodology has indicated that its use mighthave resulted in different historical performance.  In addition, risk management research andanalysis may suggest modifications regarding the relative weighting amongvarious contracts, the addition or deletion of particular contracts for aprogram, or a change in position size in relation to account equity.  The weighting of capital committed to variousmarkets in the investment programs is dynamic, and JWH® may vary the weightingat its discretion as market conditions, liquidity, position limit considerationsand other factors warrant.

JWH®may determine that risks arise when markets are illiquid or erratic, which mayoccur cyclically during holiday seasons, or on the basis of irregularlyoccurring market events.  In such cases,JWH® at its sole discretion may override computer-generated signals and may attimes use discretion in the application of its quantitative models, which mayaffect performance positively or negatively.

Adjustmentsin position size in relation to account equity have been and continue to be anintegral part of JWH®’s investment strategy. At its discretion, JWH® may adjust the size of a position in relation toequity in certain markets or entire programs. Such adjustments may be made at certain times for some programs but notfor others.  Factors which may affect thedecision to adjust the size of a position in relation to account equity includeongoing research, program volatility, assessments of current market volatilityand risk exposure, subjective judgment, and evaluation of these and othergeneral market conditions.

## Non-Trading Risk

ThePartnership controls the non-trading exchange rate risk by regularly convertingforeign currency balances back into U.S. dollars at least once per week andmore frequently if a particular foreign currency balance becomes unusually high.

ThePartnership has cash flow interest rate risk on its cash on deposit withMLPF&S in that declining 

28

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interest rateswould cause the income from such cash to decline.  However, a certain amount of cash or cashequivalents must be held by the Partnership in order to facilitate marginpayments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cashheld on deposit at MLPF&S.

**Item 8:   Financial Statements and Supplementary Data**

**SelectedQuarterly Financial Data**

**MLJWH Strategic Allocation Fund L.P.**

Net Income byQuarter

Eight Quarters through December 31, 2006

|                            | ** ** | **Fourth**  | ** **  | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**    | ** ** | **Second**  | ** **  | **First**   | ** ** |
|----------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|--------------|------------|-------------|-------------|-------------|------------|
| ** **                 | ** ** | **Quarter** | ** **  | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter**  | ** ** | **Quarter** | ** **  | **Quarter** | ** ** |
| ** **                 | ** ** | **2006**    | ** **  | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2005**    | ** ** | **2005**     | ** ** | **2005**    | ** **  | **2005**    | ** ** |
| Total Income (Loss)        |       | $      | (60,502,970 | )           | $          | 22,995,154  |       | $           | 12,921,825 |        | $     | (69,993,662  | )          | $      | (37,520,413 | )           | $          | 35,252,571 |   | $ | 18,164,031 |   | $ | (239,009,576 | ) |
| Total Expenses (i)         |       | 14,189,224  |        | 15,914,098  |       | 18,302,296  |       | 17,760,354  |       | 20,416,107  |       | 20,111,863   |       | 18,666,327  |        | 18,304,827  |       |
| Net Income (Loss)          |       | $      | (74,692,194 | )           | $          | 7,081,056   |       | $           | (5,380,471 | )           | $     | (87,754,016  | )          | $           | (57,936,520 | )           | $          | 15,140,708 |   | $ | (502,296 | ) | $ | (257,314,403 | ) |
|                       |       |        |        |        |       |        |       |        |       |        |       |         |       |        |        |        |       |
| Net Income (Loss) per Unit |       | $      | (14.76      | )           | $          | 1.28        |       | $           | (0.89      | )           | $     | (14.48  | )          | $           | (9.45       | )           | $          | 2.47 |   | $ | (0.08 | ) | $ | (45.99 | ) |

 

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(1) Includes Minority Interest

The financial statements required bythis Item are included in Exhibit 13.01.

Thesupplementary financial information (“information about oil and gas producingactivities”) specified by Item 302(b) of Regulation S-K is not applicable.  

**Item 9:   Changes in and Disagreements withAccountants on Accounting and Financial Disclosure**

There were no changes in ordisagreements with the independent registered public accounting firm onaccounting and financial disclosure.

**Item 9A:   Controls and Procedures**

Merrill Lynch Alternative Investments LLC, the GeneralPartner of ML JWH Strategic Allocation Fund L.P., with the participation of theGeneral Partner’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Partnership as of the end of theperiod covered bythis annual report, and,based on their evaluation, have concluded that these disclosure controls andprocedures are effective.  Additionally,there were no significant changes in the Partnership’s internal controls or inother factors that could significantly affect these controls subsequent to thedate of their evaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

**Item 9B:   OtherInformation**

Not Applicable

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**PART III**

 

**Item 10: Directors,ExecutiveOfficers and Corporte Governance**

 

10(a) and 10(b)      Identification of Directors and Executive Officers:

 

As a limited partnership,the Partnership itself has no officers or directors and is managed by MLAI.Trading decisions are made by JWH on behalf of the Partnership. 

 

The managers andexecutive officers of MLAI and their respective business backgrounds are asfollows: 

 
| **Benjamin C. Weston**   | Chief Executive Officer and President |
|--------------------------|---------------------------------------|
|                     |                                  |
| **Robert D. Ollwerther** | Chief Operating Officer and Manager   |
|                     |                                  |
| **Barbra E. Kocsis**     | Chief Financial Officer               |
|                     |                                  |
| **Robert M. Alderman**   | Vice President and Manager            |
| ** **               |                                  |
| **Andrew B. Weisman**    | Manager                               |

 

Benjamin C. Westonwas born in 1954. Mr. Weston is the Chief Executive Officer, President and aManager of MLAI and Head of MLAI’s Hedge Fund Development and Management Groupat Merrill Lynch where he is responsible for all hedge fund investmentactivities for Merrill Lynch worldwide. Mr. Weston joined Merrill Lynch fromIndeman Capital Management (IDM), a hedge fund incubation business formed in2003 with the backing of Ritchie Capital Management and Azimuth Trust. Beforefounding IDM, Mr. Weston worked as a consultant for Ritchie Capital which hejoined in September 2002 from Credit Suisse First Boston where he was aManaging Director and Head of the Funds Development Group. The FundsDevelopment Group developed and launched a series of market-leading hedgefunds, including three that today rank in the world’s 50 largest funds. Until2000, Mr. Weston served on the Management Committee of CSFB’s Fixed Income Divisionand was Head of the Leveraged Capital Services Group, which advised a selectgroup of hedge funds on global market strategy, optimal investment expressionand risk management. Prior to transferring to CSFB in 1996, Mr. Weston wasCo-Head of Credit Suisse Financial Products in the Americas (CSFP) and a Memberof the Executive Board from 1990 to 1995. Before founding CSFP in New York in1990, Mr. Weston held various senior management positions from 1983 to 1990 atBankers Trust including Head of the Capital Markets Group in London, Head ofthe Equity Derivatives business in Europe and Head of the bank’s equitybusinesses in Asia from Hong Kong. Mr. Weston started his career at JP Morganin 1978 where he worked in the Funding Services Group in New York and London.Mr. Weston received a Bachelor of Arts in International Studies from MiamiUniversity in 1976 and a Master of Arts in International Affairs with Honors inEconomics from The Johns Hopkins School of Advanced International Studies

 

Robert D. Ollwerther wasborn in 1956. He is Chief Operating Officer for and a Manager of MLAI. He isresponsible for Finance, Operations, Technology and Administration for the Fundand other MLAI products which invest in hedge funds. He has over 20 years ofexperience in the securities industry. He began his career with Coopers &Lybrand, CPAs. Since joining Merrill Lynch in 1981, he has primarily served infinance positions in the U.S. and abroad, including Chief Financial Officer forEurope, the Middle East and Africa, Chief Financial Officer for Latin Americaand Canada, Chief Financial Officer of Global Equity Markets, Director ofInstitutional and International Audit and Manager of Merrill Lynch FinancialReporting.  He holds a Bachelor ofScience in accounting from Fairfield University and a Master of BusinessAdministration from New York University, and is a Certified Public Accountant.

 

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Barbra E. Kocsis was born in 1966. She is Chief Financial Officer for MLAI.She is also a Director within the Merrill Lynch Global Private Client GlobalInfrastructure Solutions group. Prior to that, she was the Fund Controller ofMLAI. Before coming to MLAI, Ms. Kocsis held various accounting and taxpositions at Derivatives Portfolio Management LLC from May 1992 until May 1999,at which time she held the position of accounting director. Prior to that, she wasan associate at Coopers & Lybrand in both the audit and tax practices. Shegraduated cum laude from Monmouth College in 1988 with a Bachelor of Science inBusiness Administration – Accounting and is a Certified PublicAccountant.

 

Robert M. Alderman was bornin 1960. He is Managing Director of Merrill Lynch Global Private Client, and aVice President and a Manager of MLAI.  Heis responsible for coordinating a global sales effort and managing the retailproduct line, which includes hedge funds, private equity opportunities, managedfutures funds and exchange funds.  Priorto re-joining Merrill Lynch and the International Private Client Group in 1999,he was a partner in the Nashville, Tennessee-based firm of J.C. Bradford &Co. where he was the Director of Marketing, and a National Sales Manager forPrudential Investments.  Mr. Aldermanfirst joined Merrill Lynch in 1987 where he worked until 1997.  During his tenure at Merrill Lynch, Mr.Alderman has held positions in Financial Planning, Asset Management and HighNet Worth Services.  He received hisMaster of Business Administration from the Carroll School of Management, BostonCollege and a Bachelor of Arts from Clark University.  

Andrew B. Weisman wasborn in 1959. He is Manager of MLAI and is head of HFDMG’s ConsolidatedInvestment Analytics group.  Mr. Weismanjoined Merrill Lynch in August 2005. From April 2002 to July 2005, Mr. Weisman was a partner and director ofresearch for Stradivarius Capital Management, and from January 1998 until April2002, he served as Chief Investment Officer of Nikko SecuritiesInternational.  Mr. Weisman holds aMaster of International Affairs and a Bachelor of Arts from ColumbiaUniversity.

As ofDecember 31, 2006, the principals of MLAI had no investment in the Partnership,and MLAI’s general partner interest in the Partnership was valued at$8,204,766. 

MLAI acts as the sponsor,general partner or manager to eight public futures funds whose units of limitedpartner or member interests are registered under the Securities Exchange Act of1934: ML Select Futures I L.P., ML John W. Henry & Co. / Millburn L.P., MLAbsolute Plus Management Global Commodity FuturesAccess LLC, ML AppletonFuturesAccess LLC, ML Aspect FuturesAccess LLC, ML Cornerstone FuturesAccessLLC, ML Winton FuturesAccess LLC and the Partnership. Because MLAI serves asthe sponsor, general partner or manager of each of these funds, the officersand managers of MLAI effectively manage them as officers and directors of suchfunds.   

(c)                                  Identificationof Certain Significant Employees:

 

John W. Henry & Company, Inc. isthe trading advisor of the Partnership. Were JWH®'s services no longer to be available to the Partnership, thePartnership would, in all likelihood, dissolve.

 

(d)                                 FamilyRelationships:

 

None.

 

(e)                                  BusinessExperience:

 

See Item 10(a) and (b) above.

 

(f)                                    Involvementin Certain Legal Proceedings:

 

None.

 

(g)                                 Promotersand Control Persons:

 

Not applicable.

 

31

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Code of Ethics:

 

MLAI and Merrill Lynch have  adopted a code of ethics, as of the end ofthe period covered by this report, which applies to the Partnership’s  (MLAI’s) principal executive officer andprincipal financial officer or persons performing similar functions on behalfof the Partnership.  A copy of the codeof ethics is available to any person, without charge, upon request by calling1-877-465-8435.

 

Nominating Committee:

 

Not applicable. (Neither the Partnership nor MLAI has an audit committee.)

 

Audit Committee: Audit Committee Financial Expert:

Not applicable. (Neither the Partnership nor MLAI hasan audit committee.) There are no listed shares of the Partnership or MLAI.

 

Section 16(a) Beneficial Ownership ReportingCompliance:

 

Not applicable.

 

**Item 11:  ExecutiveCompensation**

 

The officers ofMLAI are remunerated by Merrill Lynch in their respective positions.  The Partnership does not itself have anyofficers, directors or employees.  ThePartnership pays Brokerage Commissions to an affiliate of MLAI and AdministrativeFees to MLAI.  MLAI or its affiliates mayalso receive certain economic benefits from holding certain of thePartnership's U.S. dollar Available Assets in offset accounts, as described inItem 1(c) above. The managers and officers receive no “other compensation” fromthe Partnership, and the managers receive no compensation for serving asmanagers of MLAI.  There are nocompensation plans or arrangements relating to a change in control of eitherthe Partnership or MLAI.

** **

**Item 12:  Security Ownership of Certain BeneficialOwners and Management and Related Stockholder Matters**

 

(a)                                  SecurityOwnership of Certain Beneficial Owners:

 

Not applicable(The Units are non-voting limited partnership interests.  The Partnership is managed  by MLAI, its general partner).

 

(b)                                 SecurityOwnership of Management:

 

As of December 31,2006, MLAI owned 46,719 Unit-equivalent general partnership interests, whichwas 1.04% of the total Units outstanding.

 

(c)                                  Changesin Control:

 

None.

 

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

32

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**Item 13:  Certain Relationships and RelatedTransactions**

 

(a)           Transactions between Merrill Lynchand the Partnership

 

All of the serviceproviders to the Partnership, other than JWH®, are affiliates of MerrillLynch.  Merrill Lynch negotiated withJWH® over the level of its advisory fees and Profit Share.  However, none of the fees paid by thePartnership to any Merrill Lynch party were negotiated, and they are higherthan would have been obtained in arm's-length bargaining.

 

The Partnership paysindirectly Merrill Lynch through MLPF&S and MLAI substantial BrokerageCommissions and Administrative Fees, respectively, as well as bid-ask spreadson forward currency trades.  ThePartnership also pays MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions. 

 

Within the MerrillLynch organization, MLAI is the direct beneficiary of the revenues received bydifferent Merrill Lynch entities from the Partnership.  MLAI controls the management of thePartnership and serves as its promoter. Although MLAI has not sold any assets,directly or indirectly, to the Partnership, MLAI makes substantial profits fromthe Partnership due to the foregoing revenues.

 

No loans have been, are or will be outstanding betweenMLAI or any of its principals and the Partnership. 

 

MLAI payssubstantial selling commissions and trailing commissions to MLPF&S fordistributing the Units.  MLAI isultimately paid back for these expenditures from the revenues it receives fromthe Partnership.

 

(b)                                 CertainBusiness Relationships:

 

MLPF&S, an affiliate of MLAI, acts as theprincipal commodity broker for the Partnership.

 

In 2006, thePartnership expensed:  (i) BrokerageCommissions of $61,808,517 to the Commodity Broker, which included $21,431,431in Consulting Fees paid by the Commodity Broker to JWH®; and (ii)Administrative Fees of $2,687,327 to MLAI. In addition, MLAI and its affiliates derived certain economic benefitfrom possession of the Partnership's assets, as well as from foreign exchangeand EFP trading.

 

See Item 1(c), “NarrativeDescription of Business — Charges” and “— Description of Current Charges” for adiscussion of other business dealings between MLAI affiliates and thePartnership.

 

(c)                                  Indebtednessof Management:

 

The Partnership is prohibited from making any loans,to management or otherwise.

 

**Item 14: PrincipalAccountant Fees and Services**

** **

(a)                                  AuditFees

 

Aggregatefees billed for professional services rendered by Deloitte & Touche LLP inconnection with the audit of the Partnership’s consolidated financialstatements as of and for the year ended December 31, 2006 were $74,857.

 

Aggregatefees billed for these services for the year ended December 31, 2005 were$65,500.

 

(b)                                 Audit-RelatedFees  

 

There were no other audit-related fees billed for the years endedDecember 31, 2006 or 2006 related to the Partnership.

33

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(c)           Tax Fees

Aggregate feesbilled for professional services rendered by Deloitte Tax LLP in connectionwith the tax compliance, advice and preparation of the Partnership’s taxreturns for the year ended December 31, 2006 were $153,000.

Aggregate feesbilled for these services for the year ended December 31, 2005 were $153,500.

(d)           All Other Fees

No fees were paid to Deloitte and Touche LLP or Deloitte Tax LLP duringthe years ended December 31, 2006 or 2005 for any other professional servicesin relation to the Partnership. 

Neither thePartnership nor MLAI has an audit committee to pre-approve principal accountantfees and services. In lieu of an audit committee, the managers and theprincipal financial officer pre-approve all billings prior to the commencementof services.

34

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**PART IV**

**Item 15:  Exhibits and Financial Statement Schedules**
|                                                                                                                     | ** ** | **Page** | ** ** |
|---------------------------------------------------------------------------------------------------------------------|------------|----------|------------|
| 1. Financial  Statements:                                                                                           |       |     |       |
|                                                                                                                |       |     |       |
| REPORT OF  INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM                                                            |       | 1        |       |
|                                                                                                                |       |     |       |
| CONSOLIDATED  FINANCIAL STATEMENTS:                                                                                 |       |     |       |
|                                                                                                                |       |     |       |
| Consolidated  Statements of Financial Condition as of December 31, 2006 and 2005                                    |       | 2        |       |
|                                                                                                                |       |     |       |
| Consolidated  Statements of Operations for the years ended December 31, 2006, 2005 and 2004                         |       | 3        |       |
|                                                                                                                |       |     |       |
| Consolidated  Statements of Changes in Partners’ Capital for the years ended December 31,  2006, 2005 and 2004 |       | 4        |       |
|                                                                                                                |       |     |       |
| Consolidated  Financial Data Highlights for the year ended December 31, 2006                                        |       | 5        |       |
|                                                                                                                |       |     |       |
| Notes to Consolidated  Financial Statements                                                                         |       | 6-12     |       |

 

2.             Financial Statement Schedules:

Financial statementschedules not included in this Form 10-K have been omitted for the reason thatthey are not required or are not applicable or that equivalent information hasbeen included in the financial statements or notes thereto.

3.             Exhibits:

The followingexhibits are incorporated by reference or are filed herewith to this AnnualReport on Form 10-K:

35

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| Designation:             | ** ** | **Description**                                                                                                                                                                                                                                                      |
|--------------------------|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                     |       |                                                                                                                                                                                                                                                                 |
| 1.01                     |       | Form of Selling Agreement among the Registrant,  MLAI, MLPF&S and JWH®.                                                                                                                                                                                     |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 1.01:            |       | Is incorporated herein by reference from Exhibit  1.01 contained in Amendment No. 2 to the Registration Statement (File No.  33-80509) filed on April 23, 1996, on Form S-1 under the Securities Act of  1933 (the "Registrant's Registration Statement"). |
|                     |       |                                                                                                                                                                                                                                                                 |
| 3.01(i)                  |       | Certificate of Limited Partnership of the  Registrant.                                                                                                                                                                                                               |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 3.01(i):         |       | Is incorporated herein by reference from Exhibit  3.01 contained in the Registrant's Registration Statement.                                                                                                                                                         |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.01                    |       | Form of Joint Venture Agreement among the  Registrant, MLAI, MLPF&S and JWH®.                                                                                                                                                                               |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.01:           |       | Is incorporated herein by reference from Exhibit  10.01 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.02                    |       | Form of Customer Agreement between the Registrant's  joint venture with JWH® and MLPF&S.                                                                                                                                                                    |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.02:           |       | Is incorporated herein by reference from Exhibit  10.02 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.03                    |       | Foreign Exchange Desk Service Agreement among  Merrill Lynch Investment Bank, MLAI, MLPF&S and the Partnership.                                                                                                                                                  |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.03:           |       | Is incorporated herein by reference from Exhibit  10.03 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.04                    |       | Joint Venture Agreement Amendment among JWH® and the  Partnership.                                                                                                                                                                                              |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.04:           |       | Is incorporated herein by reference from Exhibit  10.04 contained in the Registrant’s Form 10-K for the fiscal year ended  December 31, 2001, filed on March 30, 2002.                                                                                          |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.05                    |       | Form of Subscription Agreement and Power of Attorney  (included as Exhibit C to the Prospectus).                                                                                                                                                                     |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.05:           |       | Is incorporated herein by reference from Exhibit  10.05 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.06                    |       | Form of Investment Advisory Contract among the  Registrant's joint venture with JWH®, MLAI, and MLPF&S.                                                                                                                                                     |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.06:           |       | Is incorporated herein by reference from Exhibit  10.06 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.07                    |       | Form of Custody Agreement among the Registrant's  joint venture with JWH® and MLPF&S.                                                                                                                                                                       |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.07:           |       | Is incorporated herein by reference from Exhibit  10.07 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.08                    |       | Form of Limited Liability Company Operating  Agreement.                                                                                                                                                                                                              |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.08:           |       | Is incorporated herein by reference from Exhibit  10.08 contained in the Registrant’s Form 10-K, for the fiscal year ended  December 31, 1997, filed March 30, 1998.                                                                                            |
|                     |       |                                                                                                                                                                                                                                                                 |
| 10.09                    |       | Form of Amendatory Agreement.                                                                                                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 10.09:           |       | Is incorporated herein by reference from Exhibit  10.09 contained in the Registrant's Registration Statement.                                                                                                                                                        |
|                     |       |                                                                                                                                                                                                                                                                 |
| 13.01                    |       | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm.                                                                                                                                                                                     |
| Exhibit 13.01:           |       | Is filed herewith.                                                                                                                                                                                                                                                   |
|                     |       |                                                                                                                                                                                                                                                                 |
| 28.01                    |       | Prospectus of the Partnership dated March 31, 2006.                                                                                                                                                                                                                  |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibit 28.01:           |       | Is incorporated herein by reference as filed with  the Securities and Exchange Commission pursuant to Rule 424 under the  Securities Act of 1933, Registration Statement (File No. 333-80509) on  Form S-1, effective March 31, 2003.                           |
|                     |       |                                                                                                                                                                                                                                                                 |
| 31.01 and 31.02          |       | Rule 13a-14(a)/15d-14(a) Certifications.                                                                                                                                                                                                                             |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibits 31.01 and 31.02 |       | Are filed herewith.                                                                                                                                                                                                                                                  |
|                     |       |                                                                                                                                                                                                                                                                 |
| 32.01 and 32.02          |       | Section 1350 Certifications.                                                                                                                                                                                                                                         |
|                     |       |                                                                                                                                                                                                                                                                 |
| Exhibits 32.01 and 32.02 |       | Are filed herewith.                                                                                                                                                                                                                                                  |

 

36

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto be signed on its behalf by the undersigned, thereunto duly authorized.
|            | **ML JWH STRATEGIC ALLOCATION FUND L.P.** |
|------------|-------------------------------------------|
|       |                                      |
| ** ** | **By:**                                   | **MERRILL LYNCH ALTERNATIVE INVESTMENTS  LLC** |
| ** ** | ** **                                | General Partner |
| ** ** | ** **                                |   |
| ** ** | By:                                       | /s/Benjamin C. Weston |   |
| ** ** | Benjamin C. Weston                        |
| ** ** | Chief Executive Officer and President     |
|       | (Principal Executive Officer)             |

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, this report has been signed on March 29,2007 by the following persons on behalf of the Registrant and in the capacitiesindicated.
| Signature                 | ** ** | **Title** | ** **                             | **Date** |
|---------------------------|------------|-----------|----------------------------------------|----------|
|                      |       |      |                                   |     |
| /s/Benjamin C. Weston     |       |      | Chief Executive Officer  and President |     | March 29, 2007 |
| Bejamin C. Weston         |       |      |                                   |     |
|                      |       |      |                                   |     |
| /s/ Robert D.  Ollwerther |       |      | Chief Operating Officer  and Manager   |     | March 29, 2007 |
| Robert D. Ollwerther      |       |      |                                   |     |
|                      |       |      |                                   |     |
| /s/Barbra E. Kocsis       |       |      | Chief Financial Officer                |     | March 29, 2007 |
| Barbra E. Kocsis          |       |      |                                   |     |
|                      |       |      |                                   |     |
| /s/Robert M. Alderman     |       |      | Vice President and  Manager            |     | March 29, 2007 |
| Robert M. Alderman        |       |      |                                   |     |
|                      |       |      |                                   |     |
| /s/Andrew B. Weisman      |       |      | Manager                                |     | March 29, 2007 |
| Andrew B. Weisman         |       |      |                                   |     |
|                           |            |           |                                        |          |  |  |  |  |  |

 

(Being theprincipal executive officer, the principal financial and accounting officer anda majority of the managers of Merrill Lynch Alternative Investments LLC)

37

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**MLJWH STRATEGIC ALLOCATION FUND L.P.**

2006 FORM 10-K

INDEX TO EXHIBITS
|               | ** ** | **Exhibit**                                                                      |
|---------------|------------|----------------------------------------------------------------------------------|
|          |       |                                                                             |
| Exhibit 13.01 |       | 2006 Annual Report and Report of Independent  Registered Public Accounting Firm. |

 

38

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