<TABLE> <S> <C>

<PAGE>
 
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM CONSOLIDATED
STATEMENTS OF FINANCIAL CONDITION, CONSOLIDATED STATEMENTS OF INCOME,
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL AND IS QUALIFIED IN ITS
ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK>   0001005177
<NAME>  ML JWH STRATEGIC ALLOCATION FUND L.P.
       
<S>                             <C>                     <C>
<PERIOD-TYPE>                   12-MOS                   12-MOS
<FISCAL-YEAR-END>                          DEC-31-1996             DEC-31-1995
<PERIOD-START>                             JUL-15-1996             JAN-01-1995
<PERIOD-END>                               DEC-31-1996             DEC-31-1995
<CASH>                                             726                       0
<RECEIVABLES>                               59,013,052                       0
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                        121,535,012                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                             180,548,790                       0
<SHORT-TERM>                                         0                       0
<PAYABLES>                                   8,351,792                       0
<REPOS-SOLD>                                         0                       0
<SECURITIES-LOANED>                                  0                       0
<INSTRUMENTS-SOLD>                                   0                       0
<LONG-TERM>                                          0                       0
<PREFERRED-MANDATORY>                                0                       0
<PREFERRED>                                          0                       0
<COMMON>                                             0                       0
<OTHER-SE>                                 172,196,998                       0
<TOTAL-LIABILITY-AND-EQUITY>               180,548,790                       0
<TRADING-REVENUE>                           34,496,446                       0
<INTEREST-DIVIDENDS>                         3,030,330                       0
<COMMISSIONS>                                4,873,368                       0
<INVESTMENT-BANKING-REVENUES>                        0                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                             27,789,810                       0
<INCOME-PRE-EXTRAORDINARY>                  27,789,810                       0
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                27,789,810                       0
<EPS-PRIMARY>                                    23.88                       0
<EPS-DILUTED>                                    23.88                       0
        

</TABLE>