<PAGE>
 
                       SECURITIES AND EXCHANGE COMMISSION

                            Washington, D.C.  20549

                                   FORM 10-K

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

                 For the fiscal year ended:  December 31, 1996
                                       or
                 ( ) Transition Report Pursuant to Section 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 of other jurisdiction of              (I.R.S. Employer
  incorporation or organization)               Identification No.)

                   C/O MERRILL LYNCH INVESTMENT PARTNERS INC.
                        MERRILL LYNCH WORLD HEADQUARTERS
                             WORLD FINANCIAL CENTER
                SOUTH TOWER, 6TH FLOOR, NEW YORK, NY  10080-6106
                ------------------------------------------------
                    (Address of principal executive offices)

      Registrant's telephone number, including area code:  (212) 236-4167
                                                           --------------

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:  None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT:  Limited Partnership
                                                             -------------------
                                                             Units
                                                             -----
                                                             (Title of Class)

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.  Yes   X          No 
                                        -----           -----

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [X]


Aggregate market value of the voting stock held by non-affiliates:  the
registrant is a limited partnership and, accordingly, has no voting stock held
by non-affiliates or otherwise.

                      DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "1996 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1996,
is incorporated by reference into Part II, Item 8, and Part IV hereof and filed
as an Exhibit herewith.
<PAGE>
 
                     ML JWH STRATEGIC ALLOCATION FUND L.P.

                      ANNUAL REPORT FOR 1996 ON FORM 10-K


                               Table of Contents
                               -----------------

<TABLE>
<CAPTION>
                                   PART I                      PAGE
                                   ------                      ----
<C>        <S>                                                  <C>

Item 1.    Business...........................................   1
 
Item 2.    Properties.........................................  10
 
Item 3.    Legal Proceedings..................................  10

Item 4.    Submission of Matters to a Vote of Security 
           Holders............................................  10
 
                                    PART II
                                    -------
Item 5.    Market for Registrant's Common Equity and Related 
           Stockholder Matters................................  10
 
Item 6.    Selected Financial Data............................  11
 
Item 7.    Management's Discussion and Analysis of Financial 
           Condition and Results of Operations................  13
 
Item 8.    Financial Statements and Supplementary Data........  16
 
Item 9.    Changes in and Disagreements with Accountants on 
           Accounting and Financial Disclosure................  16
 
                                    PART III
                                    --------
 
Item 10.   Directors and Executive Officers of the Registrant.  17
 
Item 11.   Executive Compensation.............................  18
 
Item 12.   Security Ownership of Certain Beneficial Owners 
           and Management.....................................  19
 
Item 13.   Certain Relationships and Related Transactions.....  19
 
                                    PART IV
                                    -------

Item 14.   Exhibits, Financial Statement Schedules and Reports 
           on Form 8-K........................................  20
</TABLE> 
                                      -i-
<PAGE>
 
                                     PART I

ITEM 1:   BUSINESS
          --------

          (a) General Development of Business:
              ------------------------------- 

              ML JWH Strategic Allocation Fund L.P. (the "Partnership" or the
"Fund") was organized under the Delaware Revised Uniform Limited Partnership Act
on December 11, 1995 and began trading operations on July 15, 1996. The Fund
trades in the international futures and forward markets applying multiple
proprietary trading strategies under the direction of John W. Henry & Company,
Inc. ("JWH").  The primary objective of the Fund is achieving, through
speculative trading, substantial capital appreciation.

              Merrill Lynch Investment Partners Inc. (the "General Partner" or
"MLIP") acts as the general partner of the Partnership.  Merrill Lynch Futures
Inc. (the "Commodity Broker" or "MLF") is the Partnership's commodity broker.
Merrill Lynch Asset Management, L.P. ("MLAM") provides cash management services
to the Partnership.  The General Partner is a wholly-owned subsidiary of Merrill
Lynch Group Inc., which in turn is a wholly-owned subsidiary of Merrill Lynch &
Co., Inc.  The Commodity Broker is an indirect wholly-owned subsidiary of
Merrill Lynch & Co., Inc. (Merrill Lynch & Co., Inc. and its affiliates are
herein sometimes referred to as "Merrill Lynch").

              The Fund offers its units of limited partnership interest
("Units") on a continuous basis throughout each month. Investors whose
subscriptions are accepted during a month are admitted to the Fund as Limited
Partners as of the beginning of the following month, acquiring Units at the Net
Asset Value per Unit as of the date of admission. Investors' customer securities
accounts are debited in the amount of their subscriptions on a single monthly
settlement date within approximately five business days of the issuance of their
Units.

              The Fund began trading on July 15, 1996 with an initial
capitalization of $102,000,000. A total of an additional $64,774,217 was
invested in the Units through December 31, 1996, and Units with an aggregate Net
Asset Value of $3,241,918 were redeemed. As of December 31, 1996, the aggregate
Net Asset Value of the Fund was $172,844,448, and the Net Asset Value per Unit,
originally $100 as of July 15, 1996, had risen to $123.16. As of December 31,
1996, the Fund had 5,324 Limited Partners.

              Through December 31, 1996, the net gain in the Net Asset Value per
Unit was 23.16%.  The highest month-end Net Asset Value per Unit was $123.16
(December 31, 1996) and the lowest $98.89 (August 31, 1996).

          (b) Financial Information about Industry Segments:
              ---------------------------------------------

              The Partnership's business constitutes only one segment for
financial reporting purposes, i.e., a speculative "commodity pool."

          (c) Narrative Description of Business:
              ---------------------------------

              GENERAL

              The Partnership applies a multi-strategy, not a multi-manager,
approach.  Furthermore, MLIP has allocated to JWH full discretionary authority
over the selection of which JWH Trading Programs to use for the Partnership and
the leverage to be applied in doing so.

              The Fund trades in the international futures, options on futures
and forward markets, with the objectives of achieving substantial capital
appreciation.

              One of the objectives of the Fund is to provide diversification to
a limited portion of the risk segment of the Limited Partners' portfolios into
an investment field that has historically often demonstrated a low degree of
performance correlation with traditional stock and bond holdings. Since it began
trading, the Fund's returns have, in fact, frequently been significantly non-
correlated (not, however, negatively correlated) with the United States stock
and bond markets.

                                       1
<PAGE>
 
          Multiple JWH Programs.  JWH selects, on an ongoing basis, various
          ---------------------                                            
different combinations of JWH Programs to be used by the Fund, allocating and
reallocating its assets among these strategies in response to existing and
anticipated market conditions as well as to the performance of the individual
Programs and of the Fund as a whole.

          The Partnership has available to it, in the discretion of JWH, most of
the currently active JWH Programs, and will have access to such new Programs as
JWH may develop from time to time and determine to be both suitable for and
available to the Fund.

          JWH classifies its Programs as Diversified, Financial, or Foreign
Exchange.  The dates in parentheses below indicate the month when client trading
began for the Program in question.

                        JWH STRATEGIC ALLOCATION PROGRAM
                         AVAILABLE JWH TRADING PROGRAMS
                               DECEMBER 31, 1996

DIVERSIFIED                             FINANCIAL
-----------                             ---------
Global Diversified Portfolio (6/88)     Financial and Metals Portfolio (10/84)
Original Investment Program (10/82)     Global Financial Portfolio (6/94)
                                        International Currency and Bond 
                                         Portfolio (1/93)
FOREIGN EXCHANGE
----------------                        The World Financial Perspective (4/87)
Dollar Program (6/94)                   Worldwide Bond Program (10/94)
G-7 Currency Portfolio (2/91)           Yen Financial Portfolio (1/92)
International Foreign Exchange
  Program (8/86)

          Considered collectively, these JWH Trading Programs trade in a wide
range of international  currencies, financial instruments, commodities, metals
and stock indices, although these Programs place substantial emphasis on the
currency and interest-rate sectors.

          Leverage Adjustments.  An integral feature of the JWH Strategic
          --------------------                                           
Allocation Program is JWH's ongoing monitoring and adjustment of the overall
leverage at which the Fund trades.  Factors which may affect the decision to
adjust leverage include: ongoing research; portfolio volatility; recent market
volatility; perceived risk exposure; and subjective evaluation of general market
conditions.  During certain periods, the Fund's market commitments may exceed
(by as much as approximately 50%), and during other periods be reduced below
(also by as much as approximately 50%), the Fund's actual Net Assets.  Leverage
adjustments, if successful, can augment both profit potential and risk control.

          THE JOINT VENTURE STRUCTURE OF THE FUND'S TRADING

          The trading management relationship between the Fund and JWH has been
structured in the form of a Joint Venture Agreement.  The Joint Venture
Agreement terminates September 30, 1997, subject to up to two one-year renewals,
on the same terms, at the option of the MLIP.  JWH has the right to terminate
the Joint Venture Agreement for certain reasons, including JWH determining to
cease managing client accounts pursuant to the JWH Strategic Allocation Program.
The Fund contributes substantially all of its capital to the joint venture, and
the joint venture is the entity which actually trades in the futures and forward
markets, allocating its profits and losses between JWH and the Fund (the Fund
being allocated substantially all such profits and losses except in respect of
any Profit Shares allocated to JWH).  All expenses (other than organizational
and initial offering cost reimbursements and ongoing offering costs) and trading
activities described herein as being incurred or engaged in by, and services
described herein as being provided to, the Fund are, in fact, incurred or
engaged in by, or provided to, the joint venture.  The Fund trading through a
joint venture with JWH, rather than directly in its own account while retaining
JWH as an advisor, has no effect on investors (other than causing the Profit
Share to constitute a reduction of the capital gain allocated to the Fund as
opposed to an incentive fee deductible by the Fund as an ordinary and necessary
business expense).  For convenience of reference, the term "Fund" is used in
this Report to refer to the Fund, the joint venture or both, as the context may
require.

                                       2
<PAGE>
 
          USE OF PROCEEDS AND CASH MANAGEMENT INCOME

          Subscription Proceeds.  MLIP pays from its own funds the selling
          ---------------------                                           
commissions relating to the sale of the Units.  Accordingly, 100% of the
proceeds of Unit sales are received in cash by the Partnership and available for
use in its speculative trading.  In such trading, the Partnership's assets are
not used to purchase or acquire any physical commodity but rather held as
security for and to pay the Partnership's trading losses as well as any expenses
and redemptions.  The primary use of the proceeds of the sale of the Units is to
permit JWH to trade on a speculative basis in a wide range of different futures,
forwards and options on futures markets on  behalf of the Partnership.  While
being used for this purpose, the Partnership's assets are also generally
available for cash management, as more fully described below under "-- Available
Assets."

          Market Sectors.  The Partnership trades in a diversified group of
          --------------                                                   
markets under the direction of JWH. JWH can, and does, from time to time
materially alter the allocation of its overall trading commitments among
different market sectors.   Except in the case of certain trading programs which
are purposefully limited in the markets which they trade, there is essentially
no restriction on the commodity interests which may be traded by JWH or the
rapidity with which JWH may alter its market sector allocations.

          The Fund's financial statements contain information relating to the
market sectors traded by the Fund. There can, however, be no assurance as to
which markets may be included in the Fund's portfolio or as to in which market
sectors the Fund's trading may be concentrated at any one time or over time.

          Market Types.  The Partnership trades on a variety of United States
          ------------                                                       
and foreign futures exchanges. Applicable exchange rules differ significantly
among different countries and exchanges.  Substantially all of the Fund's off-
exchange trading takes places in the highly liquid, institutionally based
currency forward markets.  The forward markets are generally unregulated, and in
its forward trading the Fund does not deposit margin with respect to its
positions.  The Partnership's forward currency trading is executed exclusively
through the Foreign Exchange Service Desk (the "F/X Desk") operated by MLIP and
certain of its affiliates, with MLF as the back-to-back intermediary to the
ultimate counterparties, which include Merrill Lynch International Bank ("MLIB")
with which JWH trades on behalf of the Fund.

          As in the case of its market sector allocations, the Fund's
commitments to different types of markets -- U.S. and non-U.S., regulated and
unregulated -- differ substantially from time to time as well as over time.  The
Fund has no policy restricting its relative commitment to any of these different
types of markets, although generally the bulk of the Fund's trading takes place
on regulated exchanges.

          The Fund's financial statements contain information relating to the
types of markets traded by the Fund. There can, however, be no assurance as to
in which markets the Fund may trade or the Fund's trading may be concentrated at
any one time or over time.

          Custody of Assets.  All of the Fund's assets -- other than the assets
          -----------------                                                    
managed by MLAM and held in a custodial account as described below under "--The
Fund's U.S. Dollar Available Assets Managed by MLAM" -- are currently held in
customer accounts at Merrill Lynch.

          Available Assets.  The Fund earns income, as described below, on its
          ----------------                                                    
"Available Assets,"  which can be generally described as the cash actually held
by the Fund or invested in short-term Treasury bills.  Available Assets are held
primarily in U.S. dollars or in U.S. dollar denominated securities issued by the
United States Government or certain of its agencies ("Government Securities"),
and to a lesser extent in foreign currencies, and are comprised of the
following:  (a) the Fund's cash balances managed by MLAM or held in the offset
accounts (as described below) -- which include "open trade equity" (unrealized
gain and loss on open positions) on United States futures contracts, which is
paid into or out of the Fund's account on a daily basis; (b) short-term Treasury
bills purchased by the Fund; and (c) the Fund's cash balance in foreign
currencies derived from its trading in non-U.S. dollar denominated futures and
options contracts,  which includes open trade equity on those exchanges which
settle gains and losses on open positions in such contracts prior to closing out
such positions.  Available Assets do not include, and the Fund does not earn
interest on, the Fund's gains or losses on its open forward, commodity option
and certain foreign futures positions since such gains and losses are not
collected or paid until such positions are closed out.

                                       3
<PAGE>
 
          The Partnership's Available Assets may be greater than, less than or
equal to the Fund's Net Asset Value (on which the redemption value of the Units
is based) primarily because Net Asset Value reflects all gains and losses on
open positions as well as accrued but unpaid expenses.

          The interest income arrangements for the Partnership's U.S. dollar
Available Assets differ from those applicable to its non-U.S. dollar Available
Assets.  Interest income, once accrued by the Fund, is subject to the risk of
trading losses.

          The Fund's U.S. Dollar Available Assets Managed by MLAM.
          -------------------------------------------------------  
Approximately 80% of the Fund's U.S. dollar Available Assets are managed
directly by MLAM, pursuant to guidelines established by MLIP for which MLAM
assumes no responsibility, in the Government Securities markets.  MLIP's
objective in retaining MLAM to provide cash management services to the Fund is
to enhance the return earned on the Fund's U.S. dollar Available Assets  managed
by MLAM to slightly above the 91-day Treasury bill rate, while maintaining
minimal (but by no means eliminating) market risk in the Fund's cash management
operations.

          The Government Securities acquired by MLAM on behalf of the Fund are
maintained in a custodial account at a Merrill Lynch affiliate and are
specifically traceable to the Fund.  All income earned on such Government
Securities inures to the benefit of the Fund.

          MLF pays all fees due to MLAM in respect of its management of a
portion of the Fund's U.S. dollar Available Assets, at no additional cost to the
Fund.

          MLAM does business as Merrill Lynch Asset Management.  MLAM is a
limited partnership.  ML&Co. is its limited partner, and Princeton Services,
Inc., a wholly-owned subsidiary of ML&Co., is the general partner.  As of
December 31, 1996, MLAM and its affiliates, collectively, had a total of
approximately $234.1 billion in investment company and other portfolio assets
under management, including accounts of certain affiliates of MLAM.

          Interest Earned on the Fund's U.S. Dollar Available Assets Not Managed
          ----------------------------------------------------------------------
by MLAM.  The following description relates to the approximately 20% of the
-------                                                                    
Fund's U.S. dollar Available Assets not managed by MLAM.

          The Fund's U.S. dollar Available Assets not managed by MLAM are held
in cash in offset accounts and in short-term Treasury bills purchased from
dealers unaffiliated with Merrill Lynch.  Offset accounts are non-interest
bearing demand deposit accounts maintained with banks unaffiliated with Merrill
Lynch.  An integral feature of the offset arrangements is that the participating
banks specifically acknowledge that the offset accounts are MLF customer
accounts, not subject to any Merrill Lynch liability.

          MLF credits the Partnership, as of the end of each month, with
interest at the effective daily 91-day Treasury bill rate on the average daily
U.S. dollar Available Assets held in the offset accounts during such month.  The
Fund receives all the interest paid on the short-term Treasury bills in which it
invests.

          The use of the offset account arrangements for the Partnership's U.S.
dollar Available Assets not managed by MLAM may be discontinued by Merrill Lynch
whether or not Merrill Lynch otherwise continues to maintain its offset
arrangements.  The offset arrangements are dependent on the banks' continued
willingness to make overnight credits available to Merrill Lynch, which, in
turn, is dependent on the credit standing of ML&Co.  If Merrill Lynch were to
determine that the offset arrangements had ceased to be practicable (either
because ML&Co. credit lines at participating banks were exhausted or for any
other reason), Merrill Lynch would thereafter attempt to invest all of the
Fund's U.S. dollar Available Assets not managed by MLAM to the maximum
practicable extent in short-term United States Treasury bills.  All interest
earned on the U.S. dollar Available Assets so invested would be paid to the
Fund, but MLIP would expect the amount of such interest to be less than that
available to the Fund under the offset account arrangements.  The remaining U.S.
dollar Available Assets of the Fund not managed by MLAM would be kept in cash to
meet variation margin payments and pay expenses, but would not earn interest for
the Fund.

          The banks at which the offset accounts are maintained make available
to Merrill Lynch interest-free overnight credits, loans or overdrafts in the
amount of the Fund's U.S. dollar Available Assets held in the offset accounts,

                                       4
<PAGE>
 
charging Merrill Lynch a small fee for this service.  The economic benefits
derived by Merrill Lynch -- net of the interest credits paid to the Fund and the
fee paid to the offset banks -- from the offset accounts have not exceeded  3/4
of 1% per annum of the Fund's average daily U.S. dollar Available Assets not
managed by MLAM and held in the offset accounts. These revenues to Merrill Lynch
are in addition to the Brokerage Commissions and Administrative Fees paid by the
Fund to MLF and MLIP, respectively.

          Interest Paid by Merrill Lynch on the Fund's Non-U.S. Dollar Available
          ----------------------------------------------------------------------
Assets.  Under the single currency margining system implemented for the
-------                                                                
Partnership, the Partnership itself does not deposit foreign currencies to
margin trading in non-U.S. dollar denominated futures contracts and options. MLF
provides the necessary margin, permitting the Fund to retain the monies which
would otherwise be required for such margin as part of the Partnership 's U.S.
dollar Available Assets.  Consequently, the Partnership does not earn interest
on foreign margin deposits.  The Partnership does, however, earn interest on its
non-U.S. dollar Available Assets.  Specifically, the Fund is credited by Merrill
Lynch with interest at the local short-term rate on realized and unrealized
gains on non-U.S. dollar denominated positions for such gains actually held in
cash by the Fund (MLAM does not manage any of the Fund's non-U.S. dollar
Available Assets.).  Merrill Lynch charges the Fund Merrill Lynch's cost of
financing realized and unrealized losses on such positions.

          In order to avoid the expense of daily currency conversions, the
Partnership holds foreign currency gains and finances foreign currency losses on
an interim basis until converted into U.S. dollars and either paid into or out
of the Partnership's U.S. dollar Available Assets.  Foreign currency gains or
losses on open positions are not converted into U.S. dollars until the positions
are closed.  Assets of the Partnership while held in foreign currencies are
subject to exchange rate risk.

          Forward Transactions.  Spot and forward currency contracts are the
          ---------------------                                             
only non-exchange traded instruments held by the Fund.

          To date, approximately 20% to 30% of the Fund's trades by volume have
been in forward currency contracts, but from time to time the percentage of the
Fund's trading represented by forward currency trades may fall substantially
outside this range.  In using the F/X Desk, the Fund trades through MLF.
Because the Fund need not deposit any margin with MLF in respect of the Fund's
forward trading, the Fund's additional risk in trading in such unregulated
markets should be limited to a possible loss of unrealized profits on open
forward positions which a counterparty accessed through MLF would not, in the
event of its bankruptcy, be able to pay to MLF for the account of the Fund (MLF
not itself being obligated to pay such unrealized profits to the Fund unless MLF
is paid by MLF's counterparty).

          Having the Fund (and the other MLF clients using the F/X Desk) trade
through the F/X Desk on the basis of MLF's credit lines permits the F/X Desk to
access a wide range of counterparties without the need of such counterparties
evaluating the individual credit of the Fund (or any other MLF client).

                                       5
<PAGE>
 
          CHARGES

          The Partnership traded for only 5 1/2 months in 1996.  During that
period, the Brokerage Commissions, Administrative Fees, and other expenses were
generally consistent with the following estimates.  During such 5 1/2 month
period, the Partnership's average month-end Net Assets were $132,779,232, and
the Partnership's Brokerage Commissions, Administrative Fees, and reimbursement
of organizational and initial offering costs totaled $4,873,368, $157,205 and
$149,621 respectively (or 3.67%, 0.12% and 0.11% of average month-end net
assets).

          In addition to the above charges, the Partnership and JWH share in the
profits of the Joint Venture based on equity ownership after 15% of the Joint
Venture's quarterly New Trading Profits are allocated to JWH.  During such 5 1/2
month period, JWH received Profit Shares of $4,683,010 (inclusive of interest).
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
                                    BREAKEVEN TABLE
---------------------------------------------------------------------------------------
                                                                        COLUMN II
                                                COLUMN I         DOLLAR BREAKEVEN RETURN
                                          PERCENTAGE BREAKEVEN   FIRST TWELVE MONTHS OF
                                                 RETURN                INVESTMENT
                                           FIRST TWELVE MONTHS       ($5,000 INITIAL
            ROUTINE EXPENSES                  OF INVESTMENT           INVESTMENT)
----------------------------------------------------------------------------------------
<S>                                       <C>                    <C>
Reimbursement of Organizational and                 0.50%                  $ 25.00
 Initial Offering Costs/(1)/                     
                                                 
Ongoing Offering Costs/(2)/                         0.25%                  $ 12.50
                                                 
Brokerage Commissions                               7.75%                  $387.50
                                                 
Administrative Fee                                  0.25%                  $ 12.50
                                                 
Profit Share/(3)/                                   1.00%                  $ 50.00
                                                 
F/X Desk Service and Related Fees/(4)/              0.10%                  $  5.00
                                                 
Redemption Charge/(5)/                              3.10%                  $155.00
                                                 
Cash Management Income/ (6)/                        5.00%                  $250.00
                                                 
RETURN ON $5,000 INITIAL                           17.95%                  $897.50
 INVESTMENT REQUIRED TO
 BREAKEVEN
----------------------------------------------------------------------------------------
</TABLE>
NOTES TO BREAKEVEN TABLE

(1) Assumes a $100 million average capitalization for the Fund.

(2) Assumes the maximum percentage ongoing offering costs.  MLIP will pay any
    such costs to the extent that they exceed 0.25 of 1% of the Fund's average
    month-end Net Assets in any year.

(3) The 1% Profit Share  assumed during a breakeven year is intended to reflect
    possible timing differences between quarterly Profit Shares and annual
    performance.

(4) Estimated; paid on a per-transaction basis.  Bid-ask spreads on forward
    currency trades are difficult to estimate and are not included as an expense
    in the Breakeven Table.  The F/X Desk is the Foreign Exchange Service Desk
    through which the Fund trades forward currency contracts.

(5) Redemption charges would equal 3.10% of the initial $5,000 investment
    because these charges would equal 3% of the $5,155 Net Asset Value necessary
    in order for the investor to receive net redemption proceeds of $5,000 after
    subtracting the 3% redemption charge.

(6) Estimated.  The total cash management return earned on the Fund's assets,
    including the results of MLAM's cash management services, is assumed to
    approximate the 91-day Treasury bill rate for purposes of this estimate; in
    fact, however, MLAM's cash management may be unable to produce an enhanced
    cash management return or avoid a loss of principal.  Such estimate does

                                       6
<PAGE>
 
    not reflect the economic benefit which may be derived by Merrill Lynch from
    the deposit of certain of the Fund's U.S. dollar Available Assets in offset
    accounts.  See Item (c), "Narrative  Description of Business -- Use of
    Proceeds and Cost Management Income -- Interest Earned on the Fund's U.S.
    Dollars Available Asset Not Managed by MLAM," above.

                         DESCRIPTION OF CURRENT CHARGES

          The Fund and the Fund/JWH joint venture are subject to the following
charges and priority profit allocation (Profit Share):
<TABLE>
<CAPTION>
 
RECIPIENT                     NATURE OF PAYMENT       AMOUNT OF PAYMENT
---------                     -----------------       -----------------
<C>                          <C>                      <S>
 
MLIP                         Organizational and       MLIP advanced these costs, $1,000,000 of which are being reimbursed to MLIP
                             initial offering costs   by the Fund in 24 equal monthly installments.
                             reimbursement
 
MLF                          Brokerage commissions    A flat-rate monthly Brokerage Commission of 0.646 of 1% of the Fund/JWH joint
                                                      venture's month-end assets (a 7.75% annual rate).

                                                      During the first 5 1/2 months of trading the round-turn (each purchase and
                                                      sale or sale and purchase of a single futures contract) equivalent rate of
                                                      the Funds' flat-rate Brokerage Commissions was approximately $208.

MLF                          Use of Fund assets       MLF may derive an economic benefit from the deposit of certain of the Fund's
                                                      U.S. dollar Available Assets not managed by MLAM in offset accounts; this
                                                      benefit to date has not exceeded  3/4 of 1% of such average daily U.S. dollar
                                                      Available Assets.

MLIP                         Administrative Fee       An Administrative Fee of 0.25% per annum of the Fund/JWH joint venture's
                                                      month-end assets is paid to MLIP, which pays all routine administrative
                                                      expenses of the joint venture, other than the Fund's ongoing offering costs.

MLIB                         Bid-ask spreads          Under MLIP's F/X Desk arrangements, MLIB receives bid-ask spreads on the
                                                      forward trades which it executes with the Fund.

Other Counterparties         Bid-ask spreads          The counterparties' other than MLIB, with which the F/X Desk trades each
                                                      receive bid-ask spreads on the forward trades executed with the joint venture.

MLIP                         F/X Desk service fees    Under the F/X Desk arrangements, MLIP receives  a service fee equal, at
                                                      current exchange rates, to approximately $5.00 to $12.50 on each purchase or
                                                      sale of a futures contract-equivalent face amount of a currency executed with
                                                      counterparties other than MLIB.
 
MLIB                         EFP differentials        MLIB or an affiliate receives a differential spread for exchanging the joint
                                                      venture's spot currency positions (which are acquired through the F/X Desk,
                                                      as described above) for equivalent futures positions.

</TABLE> 
                                       7
<PAGE>

                    DESCRIPTION OF CURRENT CHARGES (CONT.)
<TABLE> 
<CAPTION> 
RECIPIENT                    NATURE OF PAYMENT        AMOUNT OF PAYMENT
---------                    -----------------        -----------------
<C>                          <C>                      <S> 

Government Securities        Bid-ask spreads          The dealers with which MLAM executes Government Securities trades include
 Dealers                                              bid-ask spreads in the prices they quote to the Fund.

Third Parties                Ongoing offering costs   The Fund does not pay its routine administrative expenses (these are paid by
                                                      MLIP, as described above); however, the Fund pays the costs, as incurred, of
                                                      the ongoing offering of the Units, subject to MLIP absorbing (without
                                                      reimbursement) any such costs to the extent that they exceed 0.25% of the
                                                      Fund's average month-end Net Assets in any fiscal year.

                                                      The ongoing offering costs payable by the Fund do not include the selling
                                                      commissions or ongoing compensation payable to the Selling Agent in respect 
                                                      of the Units. Such commissionsand ongoing compensation are paid by MLIP.
 
JWH                          Profit Share             15% of any New Trading Profits, i.e. any cumulative calendar quarter-end
                                                      Trading Profit in excess of the highest level of such cumulative Trading
                                                      Profit as of any previous calendar quarter-end, are specially allocated by
                                                      the joint venture to JWH (as the Fund owns substantially all of the Fund/JWH
                                                      joint venture, such special allocation effectively is made out of Trading
                                                      Profits which the Fund would otherwise have received).
 
                                                      Trading Profit does not include interest income.
 
                                                      Trading Profit is calculated after reduction for annual brokerage commissions
                                                      calculated at a 5.00% rather than a 7.75% annual rate.  Trading Profit is not
                                                      reduced by the Administrative Fee, organizational and initial offering cost
                                                      reimbursements or ongoing offering costs.
 
                                                      Trading Profit is calculated on the basis of the overall performance of the
                                                      joint venture, not the performance of each JWH Trading Program considered
                                                      individually.
</TABLE> 

                                       8
<PAGE>
                    DESCRIPTION OF CURRENT CHARGES (CONT.)

<TABLE> 
<CAPTION> 
RECIPIENT                    NATURE OF PAYMENT        AMOUNT OF PAYMENT
---------                    -----------------        -----------------
<C>                          <C>                     <S>  
JWH                          Profit Share             Because the Profit Share is calculated on the basis of any Trading Profits
                             (cont.)                  achieved by the joint venture in excess of the highest level of cumulative
                                                      Trading Profits achieved by the joint venture as of any previous calendar
                                                      quarter-end, rather than on the basis of increases in the Net Asset Value per
                                                      Unit over the highest Net Asset Value per Unit as of any previous calendar
                                                      quarter-end, the Profit Shares allocated to JWH may not reflect the
                                                      investment experience of any particular Limited Partner.  In fact, JWH may be
                                                      allocated substantial Profit Shares (allocated equally among all outstanding
                                                      Units) even though many Units have declined significantly in value from their
                                                      initial purchase price.
 
                                                      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.

MLF; Other                   Extraordinary expenses   Actual payments to third parties; expected to be negligible.
Third Parties
</TABLE>
          REGULATION

          The General Partner, JWH and the Commodity Broker are each subject to
regulation by the Commodity Futures Trading Commission and the National Futures
Association.  Other than in respect of its periodic reporting requirements, and
the registration of the Units for continuous public distribution under the
Securities Act of 1933, the Partnership itself is generally not subject to
regulation by the Securities and Exchange Commission.  However, MLIP itself is
registered as an "investment adviser" under the Investment Advisers Act of 1940.

          (i) through (xii) -- not applicable.

          (xiii)  The Partnership has no employees.

      (d) Financial Information about Foreign and Domestic Operations
          -----------------------------------------------------------
and Export Sales:
---------------- 

          The Partnership and the Joint Venture do not engage in material
operations in foreign countries, nor is a material portion of the Partnership's
revenues derived from customers in foreign countries.  The Joint Venture does,
however, trade, from the United States, on a number of foreign commodity
exchanges.

                                       9
<PAGE>
 
ITEM 2:        PROPERTIES
               ----------

               The Partnership does not use any physical properties in the
conduct of its business.

               The Partnership's only place of business is the place of business
of the General Partner (see Item 10 herein). The General Partner performs all
administrative services for the Partnership from the General Partner's offices.

ITEM 3:        LEGAL PROCEEDINGS
               -----------------

               There are no pending legal proceedings to which the Partnership
or the General Partner is a party.

               In September 1996, JWH was named as a co-defendant in class
action lawsuits brought in the California Superior Court, Los Angeles County and
in the New York Supreme Court, New York County. In November, JWH was named as a
co-defendant in a class action complaint filed in Superior Court of the State of
Delaware for Newcastle County that contained the same allegations as the New
York and California complaints. The actions, which seek unspecified damages,
purport to be brought on behalf of investors in certain Dean Witter, Discover &
Co. ("Dean Witter") commodity pools, some of which are advised by JWH, and are
primarily directed at Dean Witter's alleged fraudulent selling practices in
connection with the marketing of those pools. JWH is essentially alleged to have
aided and abetted or directly participated with Dean Witter in those practices.
JWH believes the allegations against it are without merit; it intends to contest
these allegations vigorously, and is convinced that it will be shown to have
acted properly and in the best interest of the investors.

ITEM 4:        SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
               ---------------------------------------------------

               The Partnership has never submitted any matters to a vote of its
Limited Partners.


                                    PART II

ITEM 5:        MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER
               -------------------------------------------------------------
MATTERS
-------

               (a) Market Information:
                   ------------------ 

                   There is no established public trading market for the Units,
nor will one develop. Rather, Limited Partners may purchase or redeem Units as
of the end of each month at Net Asset Value, subject to certain early redemption
charges.

               (b) Holders:
                   ------- 

                   As of December 31, 1996, there were 5,325 holders of Units,
including the General Partner and JWH.

               (c) Dividends:
                   --------- 

                   The General Partner has not made, and does not contemplate
making, any distributions on the Units.

                                       10
<PAGE>
 
ITEM 6:        SELECTED FINANCIAL DATA
               -----------------------

               The following selected financial data has been derived from the
audited financial statements the Partnership:
<TABLE>
<CAPTION>
 
                                       JULY 15, 1996 TO
INCOME STATEMENT DATA                  DECEMBER 31, 1996
---------------------                  ------------------
<S>                                    <C>                
 
Revenues:
 
  Realized Gain                             29, 800, 074
  Change in Unrealized Gain                    4,696,372
                                           -------------
 
    Total Trading Results                     34,496,446
 
  Interest Income                              3,030,330
                                           -------------
 
    Total Revenues                            37,526,776
 
Expenses:
 
  Brokerage Commissions                        4,873,368
  Administrative Fees                            157,205
                                           -------------
 
    Total Expenses                             5,030,573
                                           -------------
 
Net Income Before Minority Interest           32,496,203
Special Profit Share Allocation               (4,683,010)
Minority Interest in  income                     (23,383)
                                           -------------
 
    Net Income                                27,789,810
                                           =============
</TABLE> 

<TABLE> 
<CAPTION> 
 
BALANCE SHEET DATA*                    DECEMBER 31, 1996     JULY 15, 1996
-------------------------------------  -----------------   ----------------
<S>                                    <C>                 <C>  
Aggregate Net Asset Value                  $ 172,844,448       $102,000,000
 
Net Asset Value per Unit                         $123.16       $        100

</TABLE>

* Balance sheet data is based on redemption values which differ immaterially
from Net Asset Values as determined under Generally Accepted Accounting
Principles ("GAAP") due to the treatment of organizational and initial offering
cost reimbursements.
<TABLE>
<CAPTION>
 
              MONTH-END NET ASSET VALUE PER UNIT
----------------------------------------------------------
         JULY    AUG.    SEPT.    OCT.     NOV.     DEC.
----------------------------------------------------------
<S>     <C>     <C>     <C>      <C>      <C>      <C>
1996    $98.98  $98.89  $104.32  $114.96  $122.58  $123.16
----------------------------------------------------------
 
</TABLE>

          The Net Asset value per Unit varies from how it would be calculated
for purposes of GAAP due to the amortization of organizational and initial
offering costs.

                                       11
<PAGE>
 
                     ML JWH STRATEGIC ALLOCATION FUND L.P.
                               DECEMBER 31, 1996

 Type of Pool:  Single-Advisor/Publicly-Offered/Not "Principal Protected"/(1)/
                     Inception of Trading:   July 15, 1996
                    Aggregate Subscriptions:   $166,774,217
                     Current Capitalization:   $172,844,448
                 Worst Monthly Drawdown:/(2)/   (1.02)%  (7/96)
             Worst Peak-to-Valley Drawdown:/(3)/   (1.02)%  (7/96)
<TABLE>
<CAPTION>
                --------------------------------------
                  1996 MONTHLY RATES OF RETURN/(4)/     
                --------------------------------------
                MONTH                        1996     
                --------------------------------------
                <S>                        <C>        
                July ( 1/2 month)            (1.02)%  
                                                      
                August                       (0.09)%  
                                                      
                September                      5.31%  
                                                      
                October                        8.80%  
                                                      
                November                       6.01%  
                                                      
                December                       0.43%  
                                                      
                Compound Rate of              20.63%  
                Return (5 1/2 months)                 
                -------------------------------------- 
</TABLE>
                           _________________________

          (1)  Certain funds, including funds sponsored by MLIP, are structured
so as to guarantee to investors that their investment will be worth no less than
a specified amount (typically, the amount initially invested) as of a date
certain after the date of investment.  The CFTC refers to such funds as
"principal protected."  The Fund has no such feature.

          (2)  Worst Monthly Drawdown  represents the largest negative Monthly
Rate of Return experienced by the Fund; a drawdown is measured on the basis of
month-end Net Asset Value only, and does not reflect intra-month figures.

          (3)  Worst Peak-to-Valley Drawdown  represents the greatest percentage
decline from a month-end cumulative Monthly Rate of Return without such
cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent
month-end. For example, if the Monthly Rate of Return was (1)% in each of
January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown
would still be continuing at the end of April in the amount of approximately
(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,
the Peak-to-Valley Drawdown would have ended as of the end of February at
approximately the (2)% level.

          (4)  Monthly Rate of Return is the net performance of the Fund during
the month of determination (including interest income and after all expenses
accrued or paid) divided by the total equity of the Fund as of the beginning of
such month.

                                       12
<PAGE>
 
ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         -----------------------------------------------------------------------
OF OPERATION
------------

          The Fund's results of operations depend on JWH's ability to select
Programs and the Programs' ability to trade profitably.  JWH's selection
procedures and trading leveraging analysis, as well as the Programs themselves,
are confidential, so that substantially the only available information relevant
to the Fund's results of operations is its actual performance record to date.
However, because of the speculative nature of its trading, the Fund's past
performance is not necessarily indicative of its future results.

          In the Partnership's trading, JWH did not change any of the Programs
used for the Fund, but did deleverage trading significantly in December 1996.
See "-- JWH Trading Program Allocation," below.

          RESULTS OF OPERATIONS

          General.  MLIP believes that the Fund should be regarded as medium-
          -------                                                            
to-long-term (i.e., three to five years) investments, but it is difficult to
identify "trends" in the Fund's operations and virtually impossible to make any
predictions regarding future results based on the results to date.  An
investment in the Fund may be less successful over a longer than a shorter
period.

          Markets with sustained price trends tend to be more favorable to
managed futures investments than "whipsaw," "choppy" markets, but (i) this is
not always the case, and (ii) it is impossible to predict when price trends will
occur.

          MLIP attempts to control credit risk in the Fund's futures, forward
and options trading (the Fund does not trade derivatives other than futures and
forward contracts and related options) by trading only through MLF.  MLF acts
solely as a broker or counterparty to the Fund's trades; it does not advise with
respect to, or direct, any such trading.

          MLIP may consider making distributions to investors under certain
circumstances (for example, if substantial profits are recognized); however,
MLIP has not done so to date and does not presently intend to do so.

          JWH TRADING PROGRAM ALLOCATIONS

          Of the 11 Programs which JWH currently includes in the JWH Strategic
Allocation Program, the following seven were being used for the Fund as of
December 31, 1996 (the selection of, and percentage of the Fund's assets
allocated among, such Programs may be changed at any time in JWH's discretion):

                     ML JWH STRATEGIC ALLOCATION FUND L.P.
                          STRATEGIC ALLOCATION PROGRAM
                               DECEMBER 31, 1996
<TABLE>
<CAPTION>
 
                                        APPROXIMATE                                                          APPROXIMATE
                                      % OF FUND ASSETS                                                    % OF FUND ASSETS
                                      ----------------                                                    ----------------
<S>                                   <C>                        <C>                                      <C>

DOLLAR PROGRAM                               7.0%                GLOBAL FINANCIAL PORTFOLIO                      21.0%
                                          
FINANCIAL AND METALS                        15.5%                ORIGINAL INVESTMENT PROGRAM                     26.0%
 PORTFOLIO                                
                                          
G-7 CURRENCY PORTFOLIO                      15.5%                WORLDWIDE BOND PROGRAM                           5.0%
                                          
GLOBAL DIVERSIFIED                          10.0%
 PORTFOLIO
</TABLE> 
 
As of December 31, 1996, these JWH Trading Programs, weighted as set forth
  above, had approximately the following market sector commitments:
<TABLE> 
<CAPTION> 

<S>                                          <C>                 <C>                   <C>  
 CURRENCIES                                  29.2%               METALS                10.5%
 FINANCIAL INSTRUMENTS                       31.5%               STOCK INDICES          5.6%
 COMMODITIES                                  8.1%               ENERGY                15.1%
</TABLE>

                                       13
<PAGE>
 
        JWH, in its discretion, may from time to time allocate Fund assets to
 other JWH Programs deemed suitable by JWH. JWH may also choose to remove
 certain Programs from, or not to include certain new Programs in, the Fund's
 portfolio for one or more of a wide variety of reasons (e.g., overlap with
 other Programs, the lack of a sustained proprietary or client performance
 record, etc.).
 
        The factors which JWH considers in allocating assets to, or reallocating
  assets away from, a particular Program include, but are not limited to: recent
  or anticipated market conditions, perceived rate of return potential,
  performance (absolute performance, performance of the Program relative to
  other JWH Programs and the Program's recent performance relative to its
  historical returns), reward/risk ratios (both absolute and comparing one
  Program to another) and continuing Program and portfolio research.
 
        There is no pre-established range for the percentage allocations of the
  Fund's assets which may be made to any particular JWH Trading Program, and JWH
  believes that it is in the best interests of the Fund for JWH to maintain
  significant flexibility in making such allocations. However, it would be only
  in exceptional circumstances that JWH would allocate more than approximately
  25% of the Fund's trading level (which trading level may potentially
  constitute as much as 150% of the Fund's Net Assets) to any single Program.

        JWH may make adjustments to the Fund's combination of JWH Trading
  Programs at any time. However, both MLIP and JWH believe that frequent
  reallocations among different JWH Trading Programs would risk incurring
  substantial opportunity costs as well as running counter to the long-term
  nature of these Programs' profit potential.

        LEVERAGE CONSIDERATIONS
 
        Because of the low margins required to trade in the futures and forward
markets, it is possible to adjust the market commitment of the Fund to levels
considered by JWH to be consistent with the Fund's intended reward/risk profile,
with little regard to the actual capital available to it. In highly volatile
markets, for example, JWH might determine that positions of a magnitude that
would ordinarily be acquired for a $50 million account represented a level of
risk consistent with the objectives of an account with $75 million in equity. On
the other hand, a particular allocation among various JWH Trading Programs might
be considered to have a sufficient degree of inter-Program non-correlation that
JWH would decide that positions of a magnitude that would ordinarily be acquired
for a $50 million account could prudently be held by an account of only $30
million. By varying the Fund's "trading level," JWH can, if successful, position
the Fund to have a degree of market exposure consistent, in JWH's analysis, with
the Fund's reward/risk and profit objectives across a broad range of different
market conditions. JWH may determine that for sustained periods of time it is in
the Fund's best interests to trade at either above or below 100% leverage --
i.e., with the JWH Trading Programs managing aggregate Fund capital commitments
either greater or less than the actual equity in the Fund (JWH does not
presently intend to trade, except perhaps on an occasional interim basis, at
less than approximately 50% nor more than approximately 150% leverage).
Increasing trading level over actual Fund capital can, if JWH's trading is
successful, significantly offset the opportunity costs of the multi-strategy
structure (while correspondingly increasing expected performance volatility). On
the other hand, decreasing the Fund's trading level below its actual equity can
help to conserve assets in unfavorable markets (while correspondingly reducing
profit potential).
 
        At certain times, JWH may reach the conclusion that the Fund's portfolio
offers more risk than reward. Such a conclusion may be reached, for example,
after a prolonged or dramatic "run-up" in the markets traded by several
Programs. At these times, JWH has the ability to allocate the Fund's assets away
from the Programs, in whole or in part, thereby both taking profits and reducing
or eliminating exposure to adverse market movements. JWH may also conclude that
it is appropriate to reduce the Fund's market commitment in unusually volatile
or trendless periods. This, in fact, happened in early December 1996, when JWH
significantly deleveraged the Fund's trading and was able, as a result, to avoid
the major losses incurred by a number of systematic traders during that month.
On the other hand, JWH's flexibility in controlling the leverage of the Fund's
trading need not be applied solely in a defensive manner. If, for example, JWH's
market analysis identifies what it believes to be an attractive opportunity but
the Fund's assets are already fully committed, JWH has the ability to commit
more than the total assets of the Fund to the markets through upleveraging the
Fund's trading so that its collective market commitments to the various Programs
exceed the Fund's actual equity.
 
                                       14
<PAGE>
 
        "Deleveraging" the Fund's trading involves significant potential
opportunity costs; "upleveraging" such trading involves correspondingly
increased risk. There can be no assurance that JWH's leverage adjustments will
not result in losses or cause the Fund to miss profit opportunities which a
static leveraging policy would have avoided or capitalized upon, respectively.

        PERFORMANCE SUMMARY

        1996  (5 1/2 months)

        Statistics. From July 15, 1996 (commencement of operations) through
        ----------
December 31, 1996, the Fund's average month-end Net Assets equaled $132,779,232.
The Fund recognized gross trading gains of $34,496,446, and incurred Brokerage
Commissions of $4,873,368, Administrative Fees of $157,205 and Profit Shares of
$4,706,392 (or 25.98%, 3.67%, 0.12% and 3.54% respectively, of average month-end
Net Assets). Interest income of $3,030,330 or 2.28% of average month-end Net
Assets resulted in a net income of $27,789,810 (before organizational and
initial offering cost reimbursement payments of $229,167 and after deducting
JWH's $4,706,393 minority interest in the profits and losses of the Joint
Venture) or 20.92% of average month-end Net Assets, which resulted in a 23.16%
increase in the Net Asset Value per Unit.

        Overview. The first 5 1/2 months of the Fund's trading were
        --------
characterized by difficult trading conditions in many markets and a lack of
clear price trends in key markets. The Fund's trading performance was slightly
negative from the commencement of its operations on July 15, 1996 through the
end of August 1996, as currencies and agricultural commodities provided JWH with
particularly volatile and difficult trading environments. Performance rebounded
significantly in September 1996; currency markets exhibited less volatility than
they had in the first six weeks of the Fund's operations, energy prices rose
significantly, and the bond markets remained unsettled. In September heating oil
hit a five- year high on soaring prices in Europe, and the Fund was also able to
capitalize on downward trends in the metals markets. Strong trends in the
currency and global bond markets produced significant gains in October and
November, but the year ended with declining performance as December witnessed
the reversal of several strong upward trends and increased volatility in key
markets. JWH had deleverged the Fund's trading positions to a significant extent
in December, a strategy which was effective in controlling losses in this month.

        PERFORMANCE OVERVIEW
 
        The principal variables which determine the net performance of the Fund
are gross profitability and interest income. During all periods set forth under
"Selected Financial Data," the interest rates in many countries were at
unusually low levels. This negatively impacted revenues because interest income
is typically a major component of commodity pool profitability. In addition, low
interest rates are frequently associated with reduced fixed-income market
volatility, and in static markets the Fund's profit potential generally tends to
be diminished. On the other hand, during periods of higher interest rates, the
relative attractiveness of a high risk investment such as the Fund may be
reduced as compared to high yielding and much lower risk fixed-income
investments.
 
        The Partnership's Brokerage Commissions and Administrative Fees are a
constant percentage of assets. The only Fund costs (other than the insignificant
F/X Desk service fees, EFP differentials, as well as bid-ask spreads and forward
contracts and organizational and offering cost reimbursement payments) which are
not based on a percentage of the Fund's assets are the Profit Shares payable to
JWH. (Brokerage Commissions and Administrative Fees are not adjusted to reflect
any "upleveraging" or "deleveraging" of the Fund's trading which may be
implemented by JWH.)
 
        The events that primarily determine the Fund's profitability are those
that produce sustained and major price movements. It does not matter whether
such movements are up or down -- JWH is generally more likely to be able to
profit from sustained trends, irrespective of their direction than from
trendless markets. During the course of the Fund's performance to date, such
events have ranged from the apparent refusal of Iraq to arrive at a settlement
which would permit it to sell oil internationally and a combination of drought
and excessive rain negatively impacting U.S. agricultural harvesting as well as
planting. While these events are representative of the type of circumstances
which materially affect the Fund, the specific events which will do so in the
future, and what their effects will be, cannot be predicted or identified.

                                       15
<PAGE>
 
         Unlike many investment fields, there is no meaningful distinction in
 the operation of the Fund between realized and unrealized profits. Most of the
 contracts traded by the Fund are highly liquid and can be closed out at any
 time. Furthermore, the profits on many open positions are effectively realized
 on a daily basis through the payment of variation margin.

         Except in unusual circumstances, factors such as regulatory approvals,
cost of goods sold, employee relations and the like -- which often materially
affect an operating business -- have virtually no impact on the Fund.

         LIQUIDITY AND CAPITAL RESOURCES

         The amount of capital raised for the Fund should not have a significant
impact on its operations, except at extremely large levels of capitalization.
The Fund's costs are generally proportional to its asset base, and within broad
ranges of capitalization, JWH's trading positions, and the resulting gains or
losses, should increase or decrease in approximate proportion to the size of the
Fund.

         The Fund raises additional capital only through the continuous offering
of its Units.

         Inflation per se is not a significant factor in the Fund's
profitability, although inflationary cycles can give rise to the type of major
price movements that can have a materially favorable or adverse impact on the
Fund's performance.

         In its trading to date, the Fund has had, from time to time,
substantial unrealized gains and losses on its open positions. These gains or
losses are received or paid on a periodic basis as part of the routine clearing
cycle on the exchanges or in the unregulated markets (in the case of the Fund,
exclusively the inter-bank forward market in currencies) in which the Fund
trades. In highly unusual circumstances, market illiquidity could make it
difficult for JWH to close out open positions, and any such illiquidity could
expose the Fund to significant losses, or cause it to be unable to recognize
unrealized gains. However, in general, there is no meaningful difference between
the Fund's realized and unrealized gains.

         In terms of cash flow, it makes little difference whether a market
 position remains open (so that profit or loss on such positions remains
 "unrealized") as cash settlement of "unrealized" gains and losses occurs
 periodically whether or not positions are closed out. The only meaningful
 difference between realized and unrealized gains or losses in the case of the
 Fund is that unrealized items reflect gains or losses on positions which the
 Advisors have determined not to close out (presumably, in the expectation of
 future profits), whereas realized gains or losses reflect amounts received or
 paid in respect of positions no longer being maintained.

ITEM 8:  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
         -------------------------------------------

         The financial statements required by this Item are included in Exhibit 
13.01.

         The supplementary financial information ("selected quarterly financial
data" and "information about oil and gas producing activities") specified by
Item 302 of Regulation S-K is not applicable.

ITEM 9:  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         ---------------------------------------------------------------
FINANCIAL DISCLOSURE
--------------------

         There were no changes in or disagreements with accountants on 
accounting and financial disclosure.

                                       16
<PAGE>
 
                                    PART III

ITEM 10:  DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
          --------------------------------------------------

          (a,b)  Identification of Directors and Executive Officers:
                 -------------------------------------------------- 

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

        The principal officers of MLIP and their business backgrounds are as 
follows.
<TABLE>
<CAPTION>
<S>                                     <C> 
John R. Frawley, Jr.                    Chief Executive Officer, President
                                         and Director
 
James M. Bernard                        Chief Financial Officer,
                                         Senior Vice President and Treasurer

Jeffrey F. Chandor                      Senior Vice President, Director of
                                          Sales, Marketing and Research and
                                          Director

Allen N. Jones                          Chairman and Director

Steven B. Olgin                         Vice President, Secretary and
                                          Director of
                                          Administration
</TABLE>

        John R. Frawley, Jr. was born in 1943. Mr. Frawley is Chief Executive
Officer, President and a Director of MLIP as well as Co-Chairman of MLF. He
joined Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") in 1966 and
has served in various positions, including Retail and Institutional Sales,
Manager of New York Institutional Sales, Director of Institutional Marketing,
Senior Vice President of Merrill Lynch Capital Markets, and Director of
International Institutional Sales. Mr. Frawley holds a Bachelor of Science
degree from Canisius College. Mr. Frawley served on the CFTC's Regulatory
Coordination Advisory Committee from its inception in 1990 through its
dissolution in 1994. Mr. Frawley is currently a member of the CFTC's Financial
Products Advisory Committee. In January 1996, he was re-elected to a one-year
term as Chairman of the Managed Futures Association, the national trade
association of the United States managed futures industry. Mr. Frawley is a
Director of that organization, and a Director of the Futures Industry Institute.
Mr. Frawley also currently serves on a panel created by the Chicago Mercantile
Exchange and The Board of Trade of the City of Chicago to study cooperative
efforts related to electronic trading, common clearing, and issues regarding a
potential merger.
 
        James M. Bernard was born in 1950. Mr. Bernard is Chief Financial
Officer, Senior Vice President and Treasurer of MLIP. He joined MLF in 1983.
Before that he was the Commodity Controller for Nabisco Brands Inc. from
November 1976 to 1982 and a Supervisor at Ernst & Whinney from 1972 to November
1976. Mr. Bernard is a member of the American Institute of Certified Public
Accountants and holds a Bachelor of Science degree from St. John's University
and a Master of Business Administration degree from Fordham University.
 
        Jeffrey F. Chandor was born in 1942. Mr. Chandor is Senior Vice
President and the Director of Sales, Marketing and Research and a Director of
MLIP. He joined MLPF&S in 1971 and has served as the Product Manager of Equity,
Derivative Products and Mortgage-Backed Securities as well as Managing Director
of International Sales in the United States, and Managing Director of Sales in
Europe. Mr. Chandor holds a Bachelor of Arts degree from Trinity College,
Hartford, Connecticut.
 
        Allen N. Jones was born in 1942. Mr. Jones is Chairman and a Director of
MLIP. Mr. Jones graduated from the University of Arkansas with a Bachelor of
Science, Business Administration degree in 1964. Since June 1992, Mr. Jones has
held the position of Senior Vice President of MLPF&S. From June 1992 through
February 1994, Mr. Jones was the President and Chief Executive Officer of
Merrill Lynch Insurance Group, Inc. ("MLIG") and remains on the Board of
Directors of MLIG and its subsidiary companies. In February 1994, Mr. Jones
became the Director of Individual Financial

                                       17
<PAGE>
 
Services of the Merrill Lynch Private Client Group. From January 1992 to June
1992, he held the position of First Vice President of MLPF&S. From January 1990 
to June 1992, he held the position of District Director of MLPF&S. Before 
January 1990, he held the position of Senior Regional Vice President of MLPF&S.

        Steven B. Olgin was born in 1960. Mr. Olgin is Vice President, Secretary
and the Director of Administration of MLIP. He joined MLIP in July 1994 and
became a Vice President in July 1995. From 1986 until July 1994, Mr. Olgin was
an associate of the law firm of Sidley & Austin. In 1982, Mr. Olgin graduated
from The American University with a Bachelor of Science degree in Business
Administration and a Bachelor of Arts degree in Economics. In 1986, he received
his Juris Doctor degree from The John Marshall Law School. Mr. Olgin is a member
of the Managed Futures Association's Government Relations Committee and has
served as an arbitrator for the NFA.
 
        At its December 1996 Board of Directors meeting, MLIP formed a Finance
Committee composed of representatives of several different operating and
administrative units at Merrill Lynch to oversee the financial controls and
accounting procedures implemented by MLIP. The Finance Committee will meet
periodically to review MLIP's financial reporting, monitoring and record
keeping, as well as all proposed changes affecting the operations of the Fund.
 
        As of December 31, 1996, the principals of MLIP had $8,006 invested in
the Fund and MLIP's general partner interest in the Fund was valued at
approximately $2 million.
 
        MLIP acts as general partner to thirteen public futures funds whose
units of limited partnership interest are registered under the Securities
Exchange Act of 1934: The Futures Expansion Fund Limited Partnership, The Growth
and Guarantee Fund L.P., ML Futures Investments II L.P., ML Futures Investments
L.P., John W. Henry & Co./Millburn L.P., The S.E.C.T.O.R. Strategy Fund(SM)
L.P., The SECTOR Strategy Fund(SM) II L.P., The SECTOR Strategy Fund(SM) IV
L.P., The SECTOR Strategy Fund(SM) V L.P., The SECTOR Strategy Fund(SM) VI L.P.,
ML Global Horizons L.P., ML Principal Protection L.P. (formerly, ML Principal
Protection Plus L.P.) and the Fund. Because MLIP serves as the sole general
partner of each of these funds, the officers and directors of MLIP effectively
manage them as officers and directors of such funds.

        (c) Identification of Certain Significant Employees:
            ----------------------------------------------- 

            John W. Henry & Company, Inc. is the Trading Advisor of the Fund.
Were JWH's services no longer to be available to the Fund, the Fund would, in
all likelihood, dissolve.

        (d)  Family Relationships:
             -------------------- 

             None.

        (e)  Business Experience:
             ------------------- 

             See Item 10(a)(b) above.

         (f) Involvement in Certain Legal Proceedings:
             ---------------------------------------- 

             None.

        (g)  Promoters and Control Persons:
             ----------------------------- 

             The General Partner is the sole promoter and controlling person of
the Partnership.

ITEM 11:  EXECUTIVE COMPENSATION
          ----------------------

          The officers of the General Partner are remunerated in their
 respective positions. The Partnership does not itself have any officers,
 directors or employees. The Partnership pays Brokerage Commissions to an
 affiliate of the General Partner and Administrative Fees to the General
 Partner. The General Partner or its affiliates may also receive certain
 economic benefits from holding certain of the Fund's dollar Available Assets in
 offset accounts, as described in Item 1(c)

                                       18
<PAGE>
 
above. The directors and officers receive no "other compensation" from the
Partnership, and the directors receive no compensation for serving as directors
of the General Partner. There are no compensation plans or arrangements relating
to a change in control of either the Partnership or the General Partner.

ITEM 12:  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
          --------------------------------------------------------------

          (a) Security Ownership of Certain Beneficial Owners:
              ----------------------------------------------- 

              As of December 31, 1996, no person or "group" is known to be or
have been the beneficial owner of more than five percent of the Units. All of
the Partnership's units of general partnership interest are owned by the General
Partner.

          (b) Security Ownership of Management:
              -------------------------------- 

              As of December 31, 1996, the General Partner owned 16,643 Units
(unit-equivalent general partnership interests), which was less than 2% of the
total Units outstanding.

          (c) Changes in Control:
              ------------------ 

              None.

ITEM 13:  CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
          ----------------------------------------------

          (a) Transactions with Management and Others:
              --------------------------------------- 

              The General Partner acts as administrative and trading manager of
 the Fund. The General Partner provides all normal ongoing administrative
 functions of the Partnership, such as accounting, legal and printing services.
 The General Partner, which receives the Administrative Fee, pays all expenses
 relating to such services.

          (b) Certain Business Relationships:
              ------------------------------ 

              MLF, an affiliate of the General Partner, acts as the principal
commodity broker for the Partnership.

              In 1996, the Partnership paid: (i) Brokerage Commissions of
$4,873,368 to the Commodity Broker, which included $2,507,682 in Management Fees
paid by the Commodity Broker to JWH; and (ii) Administrative Fees of $157,205 to
MLIP. In addition, MLIP and its affiliates may have derived certain economic
benefit from maintaining a portion of the Fund's assets in "offset accounts" as
described under Item 1(c), "Narrative Description of Business -- Use of Proceeds
and Cash Management Income -- Interest Earned or the Fund's U.S. Dollar
Available Assets Not Managed by MLAM," and Item 11, "Executive Compensation"
herein, as well from the Fund's F/X Desk and exchange of futures for physical
("EFP") trading.

              See Item 1(c), "Narrative Description of Business -- Charges" and
"--Description of Current Charges" for a discussion of other business dealings
between MLIP affiliates and the Partnership.

          (c) Indebtedness of Management:
              -------------------------- 

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

          (d)  Transactions with Promoters:
               --------------------------- 

               Not applicable.

                                       19
<PAGE>
 
                                    PART IV

ITEM 14:  EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K
          ---------------------------------------------------------------
<TABLE> 
<CAPTION> 

          (a)1.  Financial Statements (found in Exhibit 13.01):                          Page
                 --------------------------------------------                            ----
<S>                                                                                      <C> 
                 Independent Auditors' Report                                              1

                 Consolidated Statement of Financial Condition as of December 31, 1996     2

                 For the period from July 15, 1996 (commencement of trading) to
                 December 31, 1996:
                    Consolidated Statement of Operations                                   3
                    Consolidated Statement of Changes in Partners' Capital                 4

                 Notes to Financial Statements                                          5-12
</TABLE> 

          (a)2.  Financial Statement Schedules:
                 ----------------------------- 

                 Financial statement schedules not included in this Form 10-K
have been omitted for the reason that they are not required or are not
applicable or that equivalent information has been included in the financial
statements or notes thereto.

          (a)3.  Exhibits:
                 ---------

                 The following exhibits are incorporated by reference or are
filed herewith to this Annual Report on Form 10-K:
<TABLE>
<CAPTION>
 
Designation                        Description
-----------                        -----------
<S>                                <C>
 
1.01
                                   Form of Selling Agreement among the Registrant, MLIP, Merrill Lynch Futures Inc. ("Merrill
                                   Lynch Futures"), Merrill Lynch, Pierce, Fenner & Smith Incorporated (the "Selling Agent") 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. 333-80509) filed on April 23, 1996, on Form S-1 under the
                                   Securities Act of 1993 (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, MLIP, Merrill Lynch Futures Inc. and
                                   JWH.
 
Exhibit 10.01:                     Is incorporated herein by reference from Exhibit 10.01 contained in the Registrant's Registration
-------------
                                    Statement.
 
</TABLE>

                                       20
<PAGE>
 
<TABLE>
<CAPTION> 
<C>                                <S>
10.02                              Form of Customer Agreement between the Registrant's joint venture with JWH and Merrill
                                   Lynch Futures Inc.
 
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, Merrill
                                   Lynch Investment Partners Inc., Merrill Lynch Futures Inc. and the Fund.
 
Exhibit 10.03:                     Is incorporated herein by reference from Exhibit 10.03 contained in the Registrant's Registration
-------------
                                   Statement.
 
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, MLIP,
                                   Merrill Lynch Futures Inc. and Merrill Lynch Asset Management, L.P.                 
 
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 Merrill Lynch
                                   Futures Inc.
 
Exhibit 10.07:                     Is incorporated herein by reference from Exhibit 10.07 contained in the Registrant's Registration
-------------
                                   Statement.
 
13.01                              1996 Annual Report and Independent Auditors' Report.
 
Exhibit 13.01:                     Is filed herewith.
-------------
 
28.01                              Prospectus of the Partnership dated April 25, 1996.
 
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 April 25, 1996. 
 
</TABLE>
          (b)  Report on Form 8-K:
               ------------------ 

               No reports on Form 8-K were filed during the fourth quarter of 
1996.

                                       21
<PAGE>
 
                                   SIGNATURES


        Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

                         ML JWH STRATEGIC ALLOCATION FUND L.P.

                        By:  MERRILL LYNCH INVESTMENT PARTNERS, INC.
                             General Partner

                        By:  ________________________________________________
                             John R. Frawley, Jr.
                             President, Chief Executive Officer and Director
                               (Principal Executive Officer)

        Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 14, 1997 by the
following persons on behalf of the Registrant and in the capacities indicated.
<TABLE> 
<CAPTION> 

Signature                  Title                                                    Date
---------                  -----                                                    ----
<C>                        <S>                                                      <C> 
/s/John R. Frawley, Jr.    President and Chief Executive Officer and Director       March 14, 1997
-----------------------                                                    
John R. Frawley, Jr.

/s/James M. Bernard        Chief Financial Officer, Treasurer (Principal Financial  March 14, 1997
-----------------------
James M. Bernard           and Accounting Officer) and Senior Vice President
 
/s/Jeffrey F. Chandor      Senior Vice President and Director of Sales,             March 14, 1997
-----------------------
Jeffrey F. Chandor         Marketing and Research, and Director
 
/s/Allen N. Jones          Director                                                 March 14, 1997
-----------------------
Allen N. Jones
</TABLE> 

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of Merrill Lynch Investment Partners
Inc.)

MERRILL LYNCH INVESTMENT         General Partner of Registrant    March 14, 1997
  PARTNERS INC.

By: /s/John R. Frawley, Jr.
    -----------------------
    John R. Frawley, Jr.

                                       22
<PAGE>
 
                     ML JWH STRATEGIC ALLOCATION FUND L.P.

                                 1996 FORM 10-K

                               INDEX TO EXHIBITS
                               -----------------

<TABLE> 
<CAPTION> 
               Exhibit                                              
               -------                                              
<C>            <S>                                                  

Exhibit 13.01  1996 Annual Report and Independent Auditors' Report  
</TABLE> 
                                       23
<PAGE>
 
                 To the best of the knowledge and belief of the
                   undersigned, the information contained in
                     this report is accurate and complete.



                                James M. Bernard
                            Chief Financial Officer
                     Merrill Lynch Investment Partners Inc.
                               General Partner of
                     ML JWH STRATEGIC ALLOCATION FUND L.P.

                                       24