<PAGE>

                                 UNITED STATES
                       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, 1997
                                       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) 236-5662
                                                           --------------

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 and non-voting stock held by non-affiliates
of the registrant; as of February 1, 1998, limited partnership units with an
aggregate net asset value of $219,995,212 were held by non-affiliates.

                      DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "1997 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1997,
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 1997 ON FORM 10-K


                               Table of Contents
                               -----------------
<TABLE>
<CAPTION>
                                   PART I                                                          PAGE
                                   ------                                                          ----

<S>                                                                                                <C>
Item 1     Business...............................................................................  1

Item 2     Properties............................................................................. 18

Item 3     Legal Proceedings...................................................................... 18
 .
Item 4     Submission of Matters to a Vote of Security Holders.................................... 20

                                    PART II
                                    -------


Item 5      Market for Registrant's Common Equity and Related Stockholder Matters................. 20

Item 6      Selected Financial Data............................................................... 21

Item 7      Management's Discussion and Analysis of Financial Condition and Results of Operations. 23

Item 7A     Quantitative and Qualitative Disclosures About Market Risk............................ 24

Item 8      Financial Statements and Supplementary Data........................................... 24

Item 9      Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.. 24


                                    PART III
                                    --------


Item 10     Directors and Executive Officers of the Registrant.................................... 25

Item 11     Executive Compensation................................................................ 27

Item 12     Security Ownership of Certain Beneficial Owners and Management........................ 27

Item 13     Certain Relationships and Related Transactions........................................ 28


                                    PART IV
                                    -------

Item 14.  Exhibits, Financial Statement Schedules and Reports on Form 8-K......................... 28
</TABLE>

                                      -1-
<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(R)").

          Merrill Lynch Investment Partners Inc. (the "General Partner" or
"MLIP") is 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").

          John W. Henry & Company, Inc. has been the sole trading advisor for
the Fund since inception.  JWH manages capital in commodities, interest rate and
foreign exchange markets for international banks, brokerage firms, pension
funds, institutions and high net worth individuals.  JWH trades a wide range of
futures and forward contracts on a 24-hour basis in the United States, Europe
and Asia, and is one of the largest advisors in the managed futures industry in
terms of assets under management, trading approximately $2.3 billion in client
capital as of February 1, 1998.

          Merrill Lynch Asset Management, L.P. ("MLAM") provides cash management
services to the Fund within parameters established by MLIP (for which MLAM
assumes no responsibility).

          The Fund offers its units of limited partnership interest ("Units") on
a continuous basis for sale as of the beginning of 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 $97,895,866 was invested in the Units
at month-end closings through December 31, 1997, and Units with an aggregate Net
Asset Value of $23,889,637 were redeemed.  As of December 31, 1997, the
aggregate Net Asset Value of the Fund was $223,752,247, and the Net Asset Value
per Unit, originally $100 as of July 15, 1996, had risen to $135.40.  As of
December 31, 1997, the Fund had 6,409 Limited Partners.

          Through December 31, 1997, the net gain in the Net Asset Value per
Unit was 35.40%.  The highest month-end Net Asset Value per Unit was $135.40
(December 31, 1997) 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."

                                      -1-
<PAGE>

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

          GENERAL

          The Fund trades in the international futures, options on futures and
forward markets applying the multiple property target strategies ("Programs") of
JWH. In managing the Fund's trading, JWH uses its "JWH Strategy Allocation
Program" in which JWH selected, and allocates and reallocates Fund assets in any
different combinations of its JWH Programs.  The Fund's primary objective is
substantial capital appreciation.  At the same time, the use of multiple JWH
Programs has the potential to reduce the expected volatility and risk of loss
which would  typically be associated with the use of any single Program.

          The Partnership applies a multi-strategy approach.  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.

          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.

          JWH Trading Programs.  JWH's 11 active Programs are all available to
          --------------------
the JWH Strategic Allocation Program.  As of December 31, 1997, eight Programs
were being used for the Fund.

          A number of factors -- including recent trading performance, market
sector opportunities, overall economic conditions, range of markets traded,
volatility, inter-Program correlation and inter-Program market overlap -- affect
JWH's Program selection.  Some of these are Program-specific; others relate to
general market conditions.

          The Fund's Programs as of December 31, 1997 provide exposure to a wide
range of markets,  using different quantitative filters.

                                                           % of
                                                        Fund Assets
                                                        -----------

               Dollar Program                              7.5%
               Financial and Metals Portfolio             12.5%
               G-7 Currency Portfolio                     12.5%
               Global Diversified Portfolio               10.0%
               Global Financial Portfolio                 15.0%
               Original Investment Program                20.0%
               Worldwide Bond Program                      5.0%
               JWH GlobalAnalytics(TM) Family             17.5%
                                                         ------
                                                           100%
                                                         ======

                 AVERAGE COMPOUNDED ANNUALIZED RATES OF RETURN
<TABLE>
<CAPTION>
                                                                         January 1, 1993-
               Name of Program                                          December 31, 1997
               ---------------                                          -----------------
<S>                                                                     <C>
               Financial and Metals Portfolio                                  23.5%
               Original Investment Program                                     21.4
               Global Diversified Portfolio                                    22.5
               Global Financial Portfolio                                      14.2
                                                                          (6/1/94-12/31/97)
               International Foreign Exchange Program                          13.2
               G-7 Currency Portfolio                                          10.3
               JWH GlobalAnalytics(TM) Family
                of Programs                                                    17.6*
                                                                          (6/1/94-12/31/97)
               International Currency and Bond Portfolio                       16.5
</TABLE>

                                      -2-
<PAGE>

<TABLE>
<S>                                                                     <C>

               The World Financial Perspective                                 14.7
               Dollar Program                                       11.8  (7/1/96-12/31/97)
               Worldwide Bond Program                               18.6  (7/1/96-12/31/97)
</TABLE>

            *THIS NUMBER IS THE COMPOUND ANNUAL RATE OF RETURN FOR THIS PROGRAM
     AS CALCULATED BY COMPOUNDING THE MONTHLY RATES OF RETURN OVER THE NUMBER OF
     PERIODS IN A GIVEN YEAR.  FOR EXAMPLE, EACH MONTH'S MONTHLY RATE OF RETURN
     IN HUNDREDTHS IS ADDED TO ONE (1) AND THE RESULT IS MULTIPLIED BY THE
     PREVIOUS MONTH'S COMPOUNDED MONTHLY RATE OF RETURN SIMILARLY EXPRESSED.
     ONE (1) IS THEN SUBTRACTED FROM THE PRODUCT.  FOR PERIODS OF LESS THAN ONE
     YEAR, THE RESULTS ARE YEAR TO DATE.  AVERAGE COMPOUNDED ANNUALIZED RATE OF
     RETURN IS SIMILARLY CALCULATED EXCEPT THAT BEFORE SUBTRACTING ONE (1) FROM
     THE PRODUCT, THE PRODUCT IS EXPONENTIALLY CHANGED BY THE FACTOR OF ONE (1)
     DIVIDED BY THE NUMBER OF YEARS OF THE PROGRAM'S PERFORMANCE RECORD AND THEN
     ONE (1) IS SUBTRACTED.

        The following are brief summaries of the active JWH Programs.

                                                   APPROXIMATE
                                                  ASSETS MANAGED
               FINANCIAL AND METALS PORTFOLIO    FEBRUARY 1, 1998
               ------------------------------    ----------------

               Program Composition:                $1.3 BILLION
                    Global Interest Rates
                    Global Stock Indices
                    Foreign Exchange
                    Precious Metals

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:      (9.8)% (7/94)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (30.5)% (6/94-6/95)
               1997 COMPOUND RATE OF RETURN:          15.2%
               1996 COMPOUND RATE OF RETURN:          29.7%
               1995 COMPOUND RATE OF RETURN:          38.5%
               1994 COMPOUND RATE OF RETURN:          (5.3)%
               1993 COMPOUND RATE OF RETURN:          46.8%
               ANNUAL COMPOUND RATE OF RETURN:        23.5%


          JWH's largest Program, the Financial and Metals Portfolio, attempts to
deliver attractive risk-adjusted returns in global financial and precious metals
markets.  Currency positions are held both as outrights -- trading positions
taken in foreign currencies versus the dollar -- and cross-rates -- trading
foreign currencies against each other -- in the interbank market and
occasionally futures exchanges.  This Program is designed to identify and
capitalize on intermediate and long-term price movements in these markets using
a systematic approach to ensure disciplined investment decisions.  If a trend is
identified, the Program attempts to take a position; in nontrending market
environments, the Program may remain neutral or liquidate open positions.  This
Program began trading client capital in October 1984.

                                      -3-
<PAGE>

                                                APPROXIMATE
                                               ASSETS MANAGED
          ORIGINAL INVESTMENT PROGRAM         FEBRUARY 1, 1998
          ---------------------------         ----------------

          Program Composition:                 $377.2 MILLION
               Global Interest Rates
               Global Stock Indices
               Foreign Exchange
               Fiber
               Energy
               Softs
               Grains
               Precious and Base Metals

          WORST MONTHLY DECLINE ON
            AN INDIVIDUAL ACCOUNT BASIS:      (16.3)% (10/94)
          WORST PEAK-TO-VALLEY DECLINE
            ON AN INDIVIDUAL ACCOUNT BASIS:  (31.0)% (7/94-10/94)
          1997 COMPOUND RATE OF RETURN:           5.7%
          1996 COMPOUND RATE OF RETURN:           22.6%
          1995 COMPOUND RATE OF RETURN:           53.2%
          1994 COMPOUND RATE OF RETURN:           (5.7)%
          1993 COMPOUND RATE OF RETURN:           40.6%
          ANNUAL COMPOUND RATE OF RETURN:         21.4%

          The Original Investment Program, the first Program offered by JWH,
offers access to a spectrum of worldwide financial and non-financial futures
markets using a disciplined trend identification investment approach. The
Original Investment Program utilizes a long-term quantitative approach which
always maintains a position -- long or short -- in every market traded by the
Program.  This Program began trading client capital in October 1982.

                                                   APPROXIMATE
                                                  ASSETS MANAGED
               GLOBAL DIVERSIFIED PORTFOLIO      FEBRUARY 1, 1998
               ----------------------------      ----------------

               Program Composition:                $181.7 MILLION
                    Global Interest Rates
                    Global Stock Indices
                    Foreign Exchange
                    Fiber
                    Energy
                    Softs
                    Grains
                    Precious and Base Metals

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:      (11.2)% (2/96)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (24.1)% (6/95-10/95)
               1997 COMPOUND RATE OF RETURN:          (3.3)%
               1996 COMPOUND RATE OF RETURN:          26.9%
               1995 COMPOUND RATE OF RETURN:          19.6%
               1994 COMPOUND RATE OF RETURN:          10.1%
               1993 COMPOUND RATE OF RETURN:          59.8%
               ANNUAL COMPOUND RATE OF RETURN:        22.5%


          Trading futures and forwards in up to 60 markets, the Global
Diversified Portfolio is one of JWH's most diversified Programs.  The Global
Diversified Portfolio is designed to identify and capitalize on long-term price
movements in a spectrum of financial and nonfinancial markets using a systematic
approach.  The Program does not

                                      -4-
<PAGE>

maintain continuous positions and, in fact, may take a neutral stance (i.e., no
position) if a long-term trend fails to develop or during periods of non-
trending markets. This Program began trading client capital in June 1988.

                                                     APPROXIMATE
                                                   ASSETS MANAGED
               GLOBAL FINANCIAL PORTFOLIO         FEBRUARY 1, 1998
               --------------------------         ----------------

               Program Composition:                $156.1 MILLION
                    Global Interest Rates
                    Global Stock Indices
                    Foreign Exchange
                    Energy
                    Precious Metals

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:      (19.5)% (11/94)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (48.9)% (1/94-1/95)
               1997 COMPOUND RATE OF RETURN:             4.9%
               1996 COMPOUND RATE OF RETURN:            32.4%
               1995 COMPOUND RATE OF RETURN:            86.2%
               1994 COMPOUND RATE OF RETURN:       (37.7)% (7 MOS.)
               ANNUAL COMPOUND RATE OF RETURN:          14.2%

          The Global Financial Portfolio offers access to a small group of
energy and financial markets, including global currencies, interest rates and
stock indices.  This Program is designed to identify and capitalize on long-term
price movements using a disciplined trend identification approach.  This Program
always maintains a futures position -- long or short -- in every market traded
by the Program.  In 1997, the sector allocation for this Program was altered to
include precious metals.  This Program began trading client capital in June
1994.

                                                  APPROXIMATE
               INTERNATIONAL FOREIGN             ASSETS MANAGED
               EXCHANGE PROGRAM                 FEBRUARY 1, 1998
               ----------------                 ----------------

               Program Composition:               $89.2 MILLION
                    Foreign Exchange

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:      (8.3)% (5/97)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (35.9)% (9/92-1/95)
               1997 COMPOUND RATE OF RETURN:          71.1%
               1996 COMPOUND RATE OF RETURN:           3.7%
               1995 COMPOUND RATE OF RETURN:          16.9%
               1994 COMPOUND RATE OF RETURN:          (6.3)%
               1993 COMPOUND RATE OF RETURN:          (4.5)%
               ANNUAL COMPOUND RATE OF RETURN:        13.2%


          The International Foreign Exchange Program ("Forex") is designed to
identify and capitalize on intermediate and long-term price movements in a broad
range of major and minor currencies on the interbank market. Positions are taken
as outrights against the dollar, or cross-rates, which reduce dependence on the
dollar. Forex attempts to take a position if a trend is identified, and attempts
to eliminate the position quickly -- i.e., a neutral stance is taken -- if long-
term trends fail to continue or during periods of nontrending markets. This
Program began trading client capital in August 1986.

                                      -5-
<PAGE>

                                                    APPROXIMATE
                                                   ASSETS MANAGED
               G-7 CURRENCY PORTFOLIO             FEBRUARY 1, 1998
               ----------------------             ----------------

               Program Composition:                 $80.9 MILLION
                    Foreign Exchange

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:       (12.3)% (11/94)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (31.4)% (10/92-1/95)
               1997 COMPOUND RATE OF RETURN:            21.0%
               1996 COMPOUND RATE OF RETURN:            14.5%
               1995 COMPOUND RATE OF RETURN:            32.2%
               1994 COMPOUND RATE OF RETURN:            (4.9)%
               1993 COMPOUND RATE OF RETURN:            (6.3)%

               ANNUAL COMPOUND RATE OF RETURN:          10.3%

          The G-7 Currency Portfolio invests in the highly liquid currencies of
the Group of Seven industrialized nations and Switzerland.  Not all of these
currencies are traded at all times.  Forward positions are primarily taken in
the interbank market as outrights against the dollar, or as cross-rates, which
reduce dependence on the dollar.  Because the G-7 Currency Portfolio excludes
minor currencies, which  may be less liquid, and maintains a lower degree of
leverage, the performance characteristics are different from those of Forex.

          The Program is designed to identify and capitalize on intermediate and
long-term price movements using a disciplined trend identification methodology.
The G-7 Currency Portfolio attempts to take a position if a trend is identified,
and attempts to eliminate the position quickly -- i.e., a neutral stance is
taken -- if long-term trends fail to develop or during periods of nontrending
markets.  This Program began trading client capital in February 1991.

                                                 APPROXIMATE
               JWH GLOBALANALYTICS(TM)          ASSETS MANAGED
               FAMILY OF PROGRAMS              FEBRUARY 1, 1998
               ------------------              ----------------

               Program Composition:              $46.1 MILLION
                    Global Interest Rates
                    Global Stock Indices
                    Foreign Exchange
                    Energy
                    Agriculture
                    Precious Metals

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:     (4.5)% (8/97)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (4.5)% (8/97)
               1997 COMPOUND RATE OF RETURN:     17.6% (7 MOS.)
               ANNUAL COMPOUND RATE OF RETURN:       17.6%

          JWH GlobalAnalytics(TM) Family of Programs is an integrated investment
system consisting of a family of Programs, collectively known as JWH
GlobalAnalytics.  The family of Programs combines different trend identification
methodologies into a single, broadly diversified investment portfolio.  JWH
GlobalAnalytics trades a wide range of financial and commodity markets.  Certain
energy and agricultural contracts not previously available through other JWH
investment Programs are also included.

          Unlike other JWH Programs, which generally take an intermediate to
long-term perspective on markets, JWH GlobalAnalytics identifies, offsets and
invests in a broad spectrum of price trends -- from very short to exceptionally
long-term.  The family of Programs tracks key asset classes, remaining neutral
if no substantive trends are apparent, building or reducing positions over time
as appropriate.

                                      -6-
<PAGE>

          JWH GlobalAnalytics is the result of an extensive period of research
and testing.  This family of Programs manages positions which can be modified
quickly, allowing timely substitution of one market for another. JWH's research
indicates that the potential benefits of this approach include increased trend
sensitivity and lower overall volatility.  This Program began trading client
capital in June 1997, when this Program was first used to manage assets for the
Fund.

                                                    APPROXIMATE
               INTERNATIONAL CURRENCY              ASSETS MANAGED
               AND BOND PORTFOLIO                 FEBRUARY 1, 1998
               -----------------------            ----------------

               Program Composition:                 $31.7 MILLION
                    Foreign Exchange
                    Global Interest Rates

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:       (7.8)% (7/94)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (23.6)% (7/94-1/95)
               1997 COMPOUND RATE OF RETURN:            17.0%
               1996 COMPOUND RATE OF RETURN:            19.9%
               1995 COMPOUND RATE OF RETURN:            36.5%
               1994 COMPOUND RATE OF RETURN:            (2.3)%
               1993 COMPOUND RATE OF RETURN:            14.8%
               ANNUAL COMPOUND RATE OF RETURN:          16.5%

          Using a more conservative approach to leverage compared to that used
in other JWH Programs, the International Currency and Bond Portfolio ("ICB")
targets the long end of interest rate and currency futures of major
industrialized nations.  Foreign exchange positions are held both as outrights -
- positions taken in foreign currencies versus the dollar -- and cross-rates --
trading foreign currencies against each other.  ICB is designed to identify and
capitalize on intermediate and long-term price movements in the world's bond and
foreign exchange markets using a systematic approach to ensure disciplined
investment decisions.  If a trend is identified, the Program will take a
position; in nontrending market environments, the Program may liquidate
positions and remain neutral.  This Program began trading client capital in
January 1993.

                                                     APPROXIMATE
               THE WORLD FINANCIAL                 ASSETS MANAGED
               PERSPECTIVE                         FEBRUARY 1, 1998
               --------------------------          ----------------

               Program Composition:                 $31.2 MILLION
                    Global Interest Rates
                    Global Stock Indices
                    Foreign Exchange
                    Energy
                    Precious Metals

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:       (11.6)% (3/93)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:  (25.9)% (7/94-1/95)
               1997 COMPOUND RATE OF RETURN:            10.4%
               1996 COMPOUND RATE OF RETURN:            40.9%
               1995 COMPOUND RATE OF RETURN:            32.2%
               1994 COMPOUND RATE OF RETURN:            (15.2)%
               1993 COMPOUND RATE OF RETURN:            13.7%
               ANNUAL COMPOUND RATE OF RETURN:          14.7%

          The World Financial Perspective seeks to capitalize on market
opportunities by holding positions from multiple currency perspectives,
including the British pound, German mark, Japanese yen, Swiss franc and dollar.
This Program is designed to systematically identify long-term price movements in
financial, metals and energy markets.  The World Financial Perspective always
maintains a futures position -- long or short -- in every market traded by the
Program.  This Program began trading client capital in April 1987.

                                      -7-
<PAGE>

                                                          APPROXIMATE
                                                        ASSETS MANAGED
               DOLLAR PROGRAM                          FEBRUARY 1, 1998
               --------------                          ----------------

               Program Composition:                     $24.8 MILLION
                    Foreign Exchange

               WORST MONTHLY DECLINE ON
                AN INDIVIDUAL ACCOUNT BASIS:             (8.4)% (5/97)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:      (11.6)% (5/97-9/97)
               1997 COMPOUND RATE OF RETURN:                6.8%
               1996 COMPOUND RATE OF RETURN:            10.6% (6 MOS.)
               ANNUAL COMPOUND RATE OF RETURN:              11.8%

          The Dollar Program specializes in the foreign exchange sector using
outright trading, an approach that has significantly contributed to the success
of other JWH Programs.  The Dollar Program trades four of the world's major
currencies -- Japanese yen, German mark, Swiss franc and British pound -- versus
the dollar.  This Program is designed to identify and capitalize on intermediate
and long-term price movements using a disciplined trend identification
methodology which attempts to employ a neutral stance during periods of
nontrending markets.

          Unlike some JWH Programs, the Dollar Program does not participate in
cross-rates.  Because this Program invests in a limited number of contracts, it
may experience greater volatility than other JWH foreign exchange programs.
This Program began trading client capital in July 1996.

                                                          APPROXIMATE
                                                         ASSETS MANAGED
               WORLDWIDE BOND PROGRAM                   FEBRUARY 1, 1998
               ----------------------                   ----------------

               Program Composition:                      $19.7 MILLION
                    Interest Rates

               WORST MONTHLY DECLINE ON
                 AN INDIVIDUAL ACCOUNT BASIS:            (3.8)% (4/97)
               WORST PEAK-TO-VALLEY DECLINE
                 ON AN INDIVIDUAL ACCOUNT BASIS:        (6.2)% (12/96-5/97)
               1997 COMPOUND RATE OF RETURN:               7.7% (11 MOS.)
               1996 COMPOUND RATE OF RETURN:               17.8% (6 MOS.)
               ANNUAL COMPOUND RATE OF RETURN:                 18.6%

          The Worldwide Bond Program ("WWB") invests through financial futures
in the long-term portion of global interest rate markets, including the U.S. 30-
year bond, U.S. 10-year note, British long gilt, the French, German and Italian
bond and the Australian 10-year bond.  WWB is not limited to investments that
have the potential to profit in a stable or declining interest rate environment;
rather, the Program attempts to capitalize on dominant trends, whether rising or
falling, in bond markets around the world.  Although WWB concentrates in one
sector, diversification is achieved by trading futures contracts on the interest
rate instruments of numerous countries.

          WWB utilizes intermediate and long-term quantitative trend
identification models, some of which attempt to employ neutral stances during
periods of nontrending markets.  In an effort to control risks, WWB's investment
methodology uses lower levels of leverage compared to JWH Programs that
participate in multiple market sectors.  This Program began trading client
capital in July 1996.

                                  ___________


JWH PROGRAM SELECTION

          JWH may change the Fund's Program combination at any time.

          The JWH Trading Programs are highly systematic and technical in
nature.  The allocations among such Programs made by the JWH Strategic
Allocation Program are, in marked contrast, based entirely on JWH's discretion
and market experience.  In implementing the JWH Strategic Allocation Program,
JWH is able to draw upon its

                                      -8-
<PAGE>

considerable experience trading the different Programs under a wide variety of
different market conditions, as well as on its extensive and proprietary
knowledge of the functionality and limitations of these Programs. However, JWH's
selection of Programs for the Fund and allocation of the Fund's trading level
among the Programs so selected is not made on the basis of any statistical model
or quantitative analysis, but solely in JWH's best judgment.

          JWH will review the Fund's Program combinations in light of a number
of factors, including (without limitation) the recent trading performance of the
Fund as a whole and of the Programs themselves, perceived market sector
opportunities and overall market conditions, range of markets traded,
volatility, inter-Program correlation and inter-Program market overlap.  Other
factors which will be weighed in reviewing the Fund's portfolio are not specific
to any one Program, but instead will relate to the market position of the Fund
as a whole -- for example, monitoring appropriate levels of leverage, liquidity,
market sector concentration, degree of exposure to any single market, overall
open position exposure and ability to react to possible market volatility.

          There is no maximum allocation that may be made to any particular
Trading Program, but JWH does not expect any allocation  to exceed 25% of the
Fund's total trading level (which may range from 50% to 150% of the Fund's Net
Assets).

          See "-- Leverage Considerations," below.

          The maximum peak-to-valley decline JWH has experienced in any single
Program was over sixty percent (60)%.  Certain Programs have lost over ten
percent (10%) in a single day.

MARKETS TRADED

     The JWH Programs trade in the futures, forward and spot markets,
emphasizing currencies and financial instruments, and the Fund trades in major
sectors of the global economy, including but not limited to:

                                  CURRENCIES

               Australian Dollar                *Italian Lira
               *Belgian Franc                   Japanese Yen
               British Pound                    *Malaysian Ringgit
               *Canadian Dollar                 *New Zealand Dollar
               *Danish Krone                    Norwegian Krone
               Deutsche Mark                    *Singapore Dollar
               *French Franc                    *South African Rand
               Hong Kong Dollar                 *Spanish Peseta
                                                *Swedish Krone
                                                Swiss Franc

                             FINANCIAL INSTRUMENTS

               Australian (90-day)              German Bonds
                  Bank Bills                    Italian Bonds
               Australian (3-year and           Japanese Bonds
                  10-year) Treasury Bonds       *Spanish Bonds
               *Canadian Bonds                  Spanish MIBOR
               Eurodollar                       U.K. Long "Gilts"
               Eurolira                         U.K. Short Sterling
               Euromark                         U.S. 10-year Treasury
               Euroswiss                        Notes
               Euroyen                          U.S. Treasury Bonds
               French Notionnel Bonds
               French PIBOR


                                 STOCK INDICES

               *Australian All Ordinaries       FTSE 100 (UK)
                  Index                         *New York
               *CAC 40 Stock Index              Composite
                  (France)                      Nikkei 225 Index
               *DAX (German)                    (Japan)
               *S&P 500 Stock                           Index

                                      -9-
<PAGE>

                                 METALS

               *Aluminum                        *Palladium
               Copper                           *Platinum
               Gold                             Silver
               *Lead                            *Tin
               *Nickel                          *Zinc

               ____________

               * These markets are integrated into the JWH Trading Programs as
               contract liquidity, legal constraints, market conditions and data
               reliability standards meet JWH's specifications.

                             AGRICULTURAL PRODUCTS

               *Cattle                          *Orange Juice
               Cocoa                            Soybeans
               Coffee                           Soymeal
               Corn                             Soy Oil
               Cotton                           Sugar
               *Hogs                            *Wheat
               *Lumber

                                    ENERGY

               Crude Oil                        No. 2 Heating Oil
               Natural Gas                      Unleaded Gasoline
               ____________

               * These markets are integrated into the JWH Trading Programs as
               contract liquidity, legal constraints, market conditions and data
               reliability standards meet JWH's specifications.

LEVERAGE CONSIDERATIONS

          Due to the leverage available in the futures and forward markets, JWH
can adjust the Fund's market commitment to levels JWH believes are consistent
with its intended risk/reward profile.  The larger the market commitment
(generally equivalent to the face amount of the positions held) in relation to a
fixed amount of assets managed in one account, the higher the leverage at which
it is said to be trading.  Larger market commitments, unless they are only one
part of a hedged or spread position, generally result in correspondingly greater
profit potential as well as risk of loss.  For example, in volatile markets, JWH
might decide -- in order to reduce market exposure and, accordingly, the risk of
loss, but with a possible decrease in profit potential -- that the positions
ordinarily appropriate for a $50 million account are all a $75 million account
should hold.  On the other hand, market factors might cause JWH to decide -- in
order to increase market exposure and, accordingly, the profit potential, but
with a possible increase in the risk of loss -- that the positions ordinarily
indicated for a $100 million account are appropriate for an account of only $50
million.

          At certain times -- often after substantial gains in several of the
Programs -- JWH may conclude that the Fund's portfolio offers more risk than
reward.  If so, JWH may reduce the Fund's market commitment, both taking profits
and controlling risk.  Conversely,  JWH may commit more than the total assets of
the Fund to the markets if the profit potential seems to justify the added risk.


JOHN W. HENRY & COMPANY, INC.

BACKGROUND

          John W. Henry & Company began managing assets in 1981 as a sole
proprietorship and was later incorporated in the State of California as John W.
Henry & Co., Inc. to conduct business as a commodity trading advisor.  JWH
reincorporated in Florida in 1997.  JWH's offices are at One Glendinning Place,
Westport, Connecticut 06880, (203) 221-0431 and 301 Yamato Road, Suite 2200,
Boca Raton, Florida 3343-4931, (561) 241-0018.  JWH's registration as a
Commodity Trading Advisor became effective in November 1980, and its
registration as a Commodity Pool Operator in July 1989.  JWH is a member of the
National Futures Association ("NFA") in these capacities.


                                      -10-
<PAGE>

          GENERAL

          JWH specializes in managing institutional and individual capital in
the global futures, interest rate and foreign exchange markets.  Since 1981, JWH
has developed and implemented proprietary trend-following trading techniques
that focus on long-term rather than short-term, day-to-day trends.  JWH
currently operates eleven trading programs.

          A DISCIPLINED INVESTMENT PROCESS

          Regardless of recent performance in any one market, or widely held
opinions on futures market direction, JWH maintains a disciplined investment
process.  The consistent application of JWH's investment techniques facilitates
the ability to participate in rising or falling markets without bias.

          The first step in the JWH investment process is the identification of
sustained price movements -- or trends -- in a given market.  While there are
many ways to identify trends, JWH uses mathematical models that attempt to
distinguish real trends from interim volatility.  It also presumes that trends
often exceed in duration the expectation of the general marketplace.

          JWH's historical performance demonstrates that, because trends often
last longer than most market participants expect, significant returns can be
generated from positions held over a long period of time.  The first step in the
JWH investment process is the identification of a price trend.  JWH focuses on
attempting to implement a trading methodology which identifies a majority of the
significant, as opposed to the more numerous small, price trends in a given
market.

          JWH attempts to pare losing positions relatively quickly while
allowing profitable positions to mature. Most losing positions are closed within
a few days or weeks, while others -- those where a profitable trend continues --
are retained.  Positions held for two to four months are not unusual, and
positions have been held for more than one year.  Historically, only 30% to 40%
of all trades made pursuant to the investment methods have been profitable.
Large profits on a few trades in positions that typically exist for several
months have produced favorable results overall.

          The maximum equity retracement JWH has experienced in any single
program was nearly sixty percent.  Clients should understand that similar or
greater drawdowns are possible in the future.

          To reduce exposure to volatility in any particular market, most JWH
programs participate in several markets at one time.  In total, JWH participates
in up to 60 markets, encompassing interest rates, foreign exchange, and
commodities such as agricultural products, energy and precious metals.  Most
investment programs maintain a consistent portfolio composition to allow
opportunities in as many major market trends as possible.

          Throughout the investment process, risk controls are maintained to
reduce the possibility of an extraordinary loss in any one market.  Proprietary
research is conducted on an ongoing basis to refine the JWH investment
strategies and attempt to reduce volatility while maintaining the potential for
excellent performance.

          JWH at its sole discretion may override computer-generated signals,
and may at times use discretion in the application of its quantitative models
which may affect performance positively or negatively. This could occur, for
example, when JWH determines that markets are illiquid or erratic, such as may
occur during holiday seasons. Subjective aspects of JWH's quantitative models
also include the determination of program leverage, commencement of trading in
an account, markets traded, contracts traded, contract month selection, margin
utilization and effective trade execution.

          PROGRAM MODIFICATIONS

          In an effort to maintain and improve performance, JWH has engaged, and
continues to engage, in extensive research.  While the basic philosophy
underlying the firm's investment methodology has remained intact throughout its
history, the potential benefits of employing more than one investment
methodology, alternatively, or in varying combinations, is a subject of
continual testing, review and evaluation.  Extensive research and analysis may
suggest substitution of alternative investment methodologies with respect to
particular contracts in light of relative differences in historical performance
achieved through testing different methodologies.  In addition, risk management

                                      -11-
<PAGE>

research and analysis may suggest modifications regarding the relative weighting
among various contracts, the addition or deletion of particular contracts for a
program or a change in the degree of leverage employed.

          As capital in each JWH trading program increases, additional emphasis
and weighting may be placed on certain markets which have historically
demonstrated the greatest liquidity and profitability.  Furthermore, the
weighting of capital committed to various markets in the trading programs is
dynamic, and JWH may vary the weighting at its discretion as market conditions,
liquidity, position limit considerations and other factors warrant. MLIP will
generally not be informed of any such changes.

          LEVERAGE

          Leverage adjustments have been and continue to be an integral part of
JWH's investment strategy. At its discretion, JWH may adjust leverage in certain
markets or entire programs.  JWH reserves the right, at its sole discretion, to
adjust its leverage policy without notification to MLIP.  Leverage adjustments
may be made at certain times for some accounts but not for others.  Factors
which may affect the decision to adjust leverage include:  ongoing research;
program volatility; current market volatility; risk exposure; and subjective
judgment and evaluation of these and other general market conditions.  Such
decisions to change leverage may positively or negatively affect performance,
and will alter risk exposure for an account.  Leverage adjustments may lead to
greater profits or losses, more frequent and larger margin calls and greater
brokerage expense.  No assurance is given that such leverage adjust  ments will
be to the financial advantage of investors in the Fund.

          ADDITION, REDEMPTION AND REALLOCATION OF CAPITAL FOR COMMODITY POOL OR
          FUND ACCOUNTS

          JWH has developed the following procedures which it applies in
adjusting to additions and redemptions of Units.  Investors purchase or redeem
Units at Net Asset Value on the close of business on the last business day of
the month.  In order to provide market exposure commensurate with the Fund's
equity on the date of these transactions, JWH's general practice is to adjust
positions as near as possible to the close of business on the last trading date
of the month.  The intention is to provide for additions and redemptions at an
NAV that will be the same for each of these transactions, and to eliminate
possible variations in NAVs that could occur as a result of inter-day price
changes if, for example, additions were calculated on the first day of the
subsequent month.  Therefore, JWH may, at its sole discretion, adjust its
investment of the assets associated with the addition or redemption as near as
possible to the close of business on the last business day of the month to
reflect the amount then available for trading.  Based on JWH's determination of
liquidity or other market conditions, JWH may decide to commence trading earlier
in the day on, or before, the last business day of the month, or at its sole
discretion, delay adjustments to trading for an account to a date or time after
the close of business on the last day of the month.  No assurance is given that
JWH will be able to achieve the objectives described above in connection with
Fund equity level changes.  The use of discretion by JWH in the application of
this procedure may affect performance positively or negatively.

          PHYSICAL AND CASH COMMODITIES

          JWH may from time to time trade in physical or cash commodities for
immediate or deferred delivery, including specifically gold bullion, as well as
futures and forward contracts when JWH believes that cash markets offer
comparable or superior market liquidity or the ability to execute transactions
at a single price.  The Commodity Futures Trading Commission ("CFTC") does not
regulate cash transactions, which are subject to the risk of these entities'
failure, inability or refusal to perform with respect to such contracts.

THE LIMITED LIABILITY COMPANY AGREEMENT

          The advisory arrangement between the Fund and JWH was initially
structured as a joint venture but was reorganized as a limited liability company
structure (effectively, a general partnership but with limited liability for
both the Fund and JWH) in March 1998.  The Organization Agreement for the
limited liability company terminates September 30, 1998, subject to one one-year
renewal, on the same terms, at the option of the Fund.  The term of the Joint
Venture Agreement and the Organization Agreement are materially the same.

          The Fund has agreed to indemnify JWH and related persons for any
claims or proceedings involving the business or activities of the Fund, provided
that the conduct of such persons does not constitute negligence, misconduct or
breach of the Organization Agreement or of any fiduciary obligation to the Fund
and was done in good faith and in a manner reasonably  believed to be in, or not
opposed to, the best interests of the Fund.

          JWH and related persons will not be liable to the limited liability
company, the Fund or any of the Partners in connection with JWH's management of
the Fund's assets except (i) by reason of acts or omissions in breach

                                      -12-
<PAGE>

of the Organization Agreement, (ii) due to their misconduct or negligence, or
(iii) by reason of not having acted in good faith and in the reasonable belief
that such actions or omissions were in, or not opposed to, the best interests of
the Fund. Mr. John W. Henry will not be liable except for his fraud or willful
misconduct.

          JWH has invested $100,000 in the limited liability company.

          The Partnership and the Joint Venture/Limited Liability Company are
herein collectively referred to as the "Partnership" or the "Fund" unless the
context otherwise requires.

          USE OF PROCEEDS AND CASH MANAGEMENT INCOME

          Subscription Proceeds.  The Partnership's assets are used as security
          ---------------------
for and to pay the Partnership's trading losses as well as its 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 place 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").

          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 commitments 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

                                      -13-
<PAGE>

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.

          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, 1997, 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 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,
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

                                      -14-
<PAGE>

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.  The Fund does not earn interest on foreign margin
deposits provided by MLF.  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.

          During 1997, the Fund earned $145,383 in cash management income.

CHARGES

     The following table summarizes the charges incurred by the Fund during the
5 1/2 months in 1996 and for 1997.

<TABLE>
<CAPTION>
                                 1996        1997
                              -----------------------
          COST                  DOLLAR      DOLLAR
          ----                  AMOUNT      AMOUNT
                              ----------  -----------

<S>                           <C>         <C>
BROKERAGE COMMISSIONS         $4,873,368  $17,377,236

ADMINISTRATIVE FEES           $  157,205  $   560,556

ORGANIZATIONAL AND INITIAL
 OFFERING COSTS               $  149,621  $   298,039
                              ----------  -----------

          TOTAL               $5,180,194  $18,235,831
                              ==========  ===========
</TABLE>

          IN ADDITION TO THE ABOVE CHARGES, THE PARTNERSHIP AND JWH SHARE IN THE
PROFITS OF THE JOINT VENTURE, 15% OF THE JOINT VENTURE'S QUARTERLY NEW TRADING
PROFITS ARE BEING ALLOCATED TO JWH.  DURING 1997, JWH RECEIVED PROFIT SHARES OF
$2,640,194 (INCLUSIVE OF INTEREST).

                        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
---------                -----------------       -----------------
<S>                      <C>                     <C>

MLIP                     Organizational and      Reimbursement for these costs in the amount of
                         initial offering costs  $16,421 per month will end June 30, 1998.
                         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).
</TABLE>

                                     -15-
<PAGE>

                    DESCRIPTION OF CURRENT CHARGES (CON'T)


<TABLE>
<CAPTION>

RECIPIENT                NATURE OF PAYMENT       AMOUNT OF PAYMENT
---------                -----------------       -----------------
<S>                      <C>                     <C>

                                                 During the first 5 1/2 months of 1996 and during the
                                                 year 1997, the round-turn (each purchase and sale or
                                                 sale and purchase of a single futures contract)
                                                 equivalent rate of the Fund's flat-rate Brokerage
                                                 Commissions was approximately $208 and $212.

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.

Government Securities    Bid-ask spreads         The dealers with which MLAM executes Government
Dealers                                          Securities trades include 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 commissions and ongoing
                                                 compensation are paid by MLIP.
</TABLE>

                                      -16-
<PAGE>

                    DESCRIPTION OF CURRENT CHARGES (CONT'D)

<TABLE>
<CAPTION>

RECIPIENT                NATURE OF PAYMENT       AMOUNT OF PAYMENT
---------                -----------------       -----------------
<S>                      <C>                     <C>
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.

                                                 Because the Profit Share is calculated on the basis of
                                                 any Trading Profits 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
Third Parties                                    negligible.
</TABLE>

                                      -17-
<PAGE>

          REGULATION

          The General Partner, JWH and the Commodity Broker are each subject to
regulation by the CFTC and the NFA.  Other than in respect of its periodic
reporting requirements under the Securities Exchange Act of 1934, 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 (Limited Liability Company) 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 Partnership does, however, trade, from the United States, on a
number of foreign commodity exchanges.

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
          -----------------

          JWH

          There neither now exists nor has there previously ever been any
administrative, civil or criminal action against JWH or its principals which is
material, except that 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 1996,
JWH was named as a co-defendant in a class action complaint filed in the
Superior Court of the State of Delaware for Newcastle County that contained the
same allegations as the New York and California complaints.  Additional
complaints containing the same allegations as the earlier California complaints
were filed in California in March 1997.  The actions, which seek unspecified
damages, purport to be brought on behalf of investors in certain Deal Witter,
Discover & Co. 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 investors.


         The names and filing dates of the various actions described above
are as follows:

Kozlowski et al. v. John W. Henry & Co. et al., BC156941 (Superior Court of the
State of California, Los Angeles County, September 6, 1996).

Gurevitz et al. v. John W. Henry & Co. et al., BC156922 (Superior Court of the
State of California, Los Angeles County, September 10, 1996).

Malichio et al. v. John W. Henry & Co. et al., #116698-96 (Superior Court of the
State of New York, New York County, September 18, 1996).

Hamel et al. v. John W. Henry & Co. et al. #604775/96 (Supreme Court of the
State of New York, New York County, September 20, 1996).

Shifflet et al. v. John W. Henry & Co. et al., BC157596 (Superior Court of the
State of California, Los Angeles County, September 20, 1996).

                                      -18-
<PAGE>

Liptak et al. v. Dean Witter Reynolds Inc. et al., #966C-11-115VAB (Superior
Court of the State of Delaware, New Castle County, November 14, 1996).

Redd et al. v. John W. Henry & Co. et al., BC167463; Gibson et al. v. John W.
Henry & Co. et al., BC167469; and Kendall et al. v. John W. Henry & Co. et al.,
BC167470 (Superior Court of the State of California, Los Angeles County, March
13, 1997; Krieger et al. v. John W. Henry & Co. et al. BC167636 (Superior Court
of the State of California, Los Angeles County, March 17, 1997).

          The California complaints were consolidated under the caption "In re
          Dean Witter Managed Futures Litigation" in May 1997.

          The New York complaints were consolidated under the caption "In re
          Dean Witter Managed Futures Partnerships Litigation" in July 1997.

          The foregoing claims do not vary significantly in the remedies they
          seek.  These remedies are generally the following:

(i)   to recover damages sustained by all persons in the class in an amount to
      be proven at trial;

(ii)  to receive reasonable attorneys' fees, costs and expenses incurred;

(iii) to be awarded pre- and post-judgment interest;

(iv)  to be awarded punitive damages (in certain cases); and

(v)   to receive such other and further relief as the court may deem necessary
      or appropriate.

          None of the foregoing actions involve the Fund.  Furthermore, the
Fund's operations, earnings and assets are largely unaffected by JWH's financial
condition.  It would only be in the highly unlikely event that such financial
condition was impaired to the point that JWH could no longer effectively manage
the Fund's assets that the Fund would itself be affected by any of the
proceedings described above .  Consequently, MLIP does not believe that any of
the foregoing actions will have an adverse effect on the Fund's operations,
earnings or assets.

          The outcome of all litigation is uncertain, but JWH believes -- based
in part on discussions with its counsel -- that the foregoing suits will not
have a material adverse effect on JWH's operations, earnings or assets.

     Merrill Lynch

          ML&Co. -- the sole stockholder of Merrill Lynch Group, Inc. (which is
the sole stockholder of MLIP and MLF and the 100% indirect owner of all Merrill
Lynch entities involved in the operation of the Fund) -- as well as certain of
its subsidiaries and affiliates have been named as defendants in civil actions,
arbitration proceedings and claims arising out of their respective business
activities. Although the ultimate outcome of these actions cannot be ascertained
at this time and the results of legal proceedings cannot be predicted with
certainty, it is the opinion of management that the result of these matters will
not be materially adverse to the business operations or financial condition of
MLIP or the Fund.

          MLIP itself has never been the subject of any material litigation.

          On June 24, 1997, the CFTC accepted an Offer of Settlement from MLF
and others, in a matter captioned "In the Matter of Mitsubishi Corporation and
Merrill Lynch Futures Inc., et al.," CFTC Docket No. 97-10, pursuant to which
MLF, without admitting or denying the allegations against it, consented to a
finding by the Commission that MLF had violated Section 4c(a)(A) of the
Commodity Exchange Act, relating to wash sales (the CFTC alleged that the
customer entered nearly simultaneous orders without the intent to engage in a
bona fide trading transaction), and CFTC Regulation 1.37(a), relating to
recordkeeping requirements.  MLF agreed to cease and desist from violating
Section 4c(a)(A) of the Act and Regulation 1.37(a), and to pay a civil monetary
penalty of $175,000.

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.


                                      -19-
<PAGE>

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

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

          There is no 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, 1997, there were 6,410 holders of Units, including
the General Partner.


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

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

     (d)  Recent Sales of Unregistered Securities;
          ---------------------------------------

          Use of Proceeds form Registered Securities:
          ------------------------------------------

            The Fund originally registered $200,000,000 of limited partnership
interest. The Fund has sold 1,971,418 units of limited partnership interest,
with an aggregate price of $198,061,545.

                                      -20-
<PAGE>

ITEM 6:   SELECTED FINANCIAL DATA
          -----------------------

     The following selected financial data has been derived from the audited is
financial statements the Partnership:

<TABLE>
<CAPTION>
                                       JANUARY 1, 1997 TO    JULY 15, 1996 TO
INCOME STATEMENT DATA                   DECEMBER 31, 1997   DECEMBER 31, 1996
---------------------                  -------------------  ------------------

<S>                                    <C>                  <C>
Revenues:

  Realized Gain                              $ 18,820,033       $29, 800, 074
  Change in Unrealized Gain                    10,201,917           4,696,372
                                             ------------       -------------

    Total Trading Results                      29,021,950          34,496,446
                                             ------------

  Interest Income                              12,021,263           3,030,330
                                             ------------       -------------

    Total Revenues                             41,043,213          37,526,776

Expenses:

  Brokerage Commissions                        17,377,236           4,873,368
  Administrative Fees                             560,556             157,205
                                             ------------       -------------

    Total Expenses                             17,937,792           5,030,573

Net Income Before Minority Interest            23,105,421          32,496,203
Special Profit Share Allocation                (2,640,194)         (4,683,010)
Minority Interest in Income                       (12,447)            (23,383)
                                             ------------       -------------

    Net Income                               $ 20,452,780       $  27,789,810
                                             ============       =============
</TABLE>


BALANCE SHEET DATA*                    DECEMBER 31, 1997    December 31, 1996
-------------------                    ------------------   -----------------

Aggregate Net Asset Value                    $223,752,247       $ 172,844,448
Net Asset Value per Unit                          $135.40             $123.16


* 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
------------------------------------------------------------------------------------------------------------------
         JAN.     FEB.     MAR.     APR.     MAY.     JUN.     JULY     AUG.     SEPT.    OCT.     NOV.     DEC.
------------------------------------------------------------------------------------------------------------------
<S>     <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>
1996    N/A      N/A      N/A      N/A      N/A      N/A      $ 98.98  $ 98.89  $104.32  $114.96  $122.58  $123.16
------------------------------------------------------------------------------------------------------------------
1997    $126.87  $126.83  $126.92  $126.34  $122.41  $122.74  $131.47  $127.12  $126.28  $129.54  $130.80  $135.40
------------------------------------------------------------------------------------------------------------------
</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.

                                      -21-
<PAGE>

                     ML JWH STRATEGIC ALLOCATION FUND L.P.
                               DECEMBER 31, 1997

 Type of Pool:  Single-Advisor/Publicly-Offered/Not "Principal Protected"/(1)/
                     Inception of Trading:   July 15, 1996
                    Aggregate Subscriptions:   $199,895,865
                     Current Capitalization:   $223,752,247
                 Worst Monthly Drawdown:/(2)/   (3.31)% (8/97)
           Worst Peak-to-Valley Drawdown:/(3)/   (3.95)%  (8/97-9/97)

<TABLE>
<CAPTION>
                MONTHLY RATES OF RETURN/(4)/
                ----------------------------------------
                MONTH               1997        1996
                ----------------------------------------
                <S>                <C>         <C>
                January             3.01%      N/A
                ----------------------------------------
                February           (0.03)      N/A
                ----------------------------------------
                March               0.07       N/A
                ----------------------------------------
                April              (0.46)      N/A
                ----------------------------------------
                May                (3.11)      N/A
                ----------------------------------------
                June                0.27       N/A
                ----------------------------------------
                July                7.11      (1.02)%
                ----------------------------------------
                August             (3.31)     (0.09)
                ----------------------------------------
                September          (0.66)      5.49
                ----------------------------------------
                October             2.58      10.20
                ----------------------------------------
                November            0.97       6.62
                ----------------------------------------
                December            3.52       0.47
                ----------------------------------------
                Compound Annual     9.93%     23.15 %
                 Rate of 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.

                                      -22-
<PAGE>

ITEM 7: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
        -----------------------------------------------------------------------
        OF OPERATIONS
        -------------

RESULTS OF OPERATIONS

General
-------

          Because JWH's systems are designed with the objective of identifying
and profiting from long-term price trends, they are unlikely to be profitable in
markets in which such trends do not occur.  Static or erratic prices are likely
to result in losses.  Similarly, unexpected events (for example, a political
upheaval, natural disaster or governmental intervention) can lead to major
short-term losses as well as gains.

          While there can be no assurance that the JWH Programs will be
profitable even in trending markets, markets in which substantial and sustained
price movements occur offer the best profit potential for the Fund.

Performance Summary
-------------------

1997

          The Fund's most profitable positions in 1997 were in the currency
markets.  Strong gains were realized in positions on the German mark, which
weakened in world markets as hopes for European Monetary Union rose.  Reflecting
sound economic fundamentals in the U.S., the dollar dominated world currencies,
setting new records against the mark, yen and Swiss franc.

          Solid gains were generated for the year in global interest rate
markets, particularly in Japanese Government bonds where yields plummeted to
historic lows as the nation sank relentlessly into a recession and a string of
financial sector bankruptcies followed.  Strong gains were also recorded in
Australian 10-year and three-year bonds and in German and Italian bonds.  In the
U.S., yields on the benchmark 30-year Treasury bond dipped below 6% in the final
quarter of the year, reflecting the flight of foreign capital to quality amid
increasing turbulence in Asian markets; positions in U.S. government bonds were
profitable overall.

          Positions in gold and the Nikkei also resulted in profits for the
year.  Gold prices declined to the lowest level in over a decade reflecting its
declining value as an alternative monetary asset as central banks increased
their willingness to sell or lease the precious metal.  The Nikkei suffered the
same fate as the Japanese yen.  Losses were incurred in agricultural markets,
despite a strong performance by coffee futures earlier in the year.  Energy
markets were also disappointing as ample world inventories and mild weather kept
supply and demand in balance.

1996  (5 1/2 months)

          Gains in 1996 were considerable, as the Fund's investment programs
outperformed the major stock markets of the world.  The Worldwide Bond Program
capitalized both on rising interest rates in the U.S. and falling rates
elsewhere.

          Trading began on July 15 amid sharp declines in U.S. and global stock
markets.  The U.S. dollar weakened against most major currencies as investors
fled U.S. assets in search of safe havens overseas.  Investors remained cautious
through August, unwilling to take positions prior to key central bank policy
meetings and economic reports slated at month-end.  Performance was mixed in
July and August, with some investment programs benefiting from the soaring
energy markets while others reflected the difficult trading environments for
global interest rates and currencies.  Changing weather patterns buffeted
agricultural commodity markets.

          By September, a combination of global economic and political
developments reduced the level of volatility in major interest rate and currency
markets.  Chief among these was the decision by the U.S. Federal Reserve Board's
policy making committee to keep interest rates at current levels.  Convinced
that European nations seeking membership in the European Monetary Union would
continue to keep rates low, investors turned again to higher yielding U.S.
dollar-denominated assets.  Foreign central banks were heavy buyers of U.S.
bonds.  The U.S. dollar strengthened.  Performance was strong in all markets.

          All of the Fund's investment programs recorded strong performance in
October.  Sound economic fundamentals kept the U.S. dollar strong against most
major currencies.  The one exception was the British pound,

                                      -23-
<PAGE>

which soared against the dollar as a result of positive economic indicators.
Cash flooded the bond and equity markets in October and November.  Positions in
global interest rates and currencies resulted in gains.

          By year-end, however, most markets were experiencing seasonal
illiquidity and were becoming highly volatile.  Early in December, JWH completed
a significant reduction in leverage in some investment programs to reduce
investors' exposure to that volatility and to help retain the substantial
profits made in the second half of 1996.

LIQUIDITY AND CAPITAL RESOURCES

          The level of the Fund's capitalization generally does not affect its
performance.

          The Fund does not borrow (except on an interim basis in order to
facilitate multi-currency margining), and sells no securities other than the
Units.

          Inflation by itself does not affect profitability, but it can cause
price movements that do so.

          The Fund's assets and open positions are generally highly liquid.
                                _______________

The Fund changes its positions and market focus frequently.  Consequently, the
fact that the Fund realized gains or incurred losses in certain markets (gold,
stock indices, currencies, etc.) in the past is not necessarily indicative of
whether the Fund will do so in the future.

                             THE YEAR 2000 COMPUTER ISSUE

          Merrill Lynch's modifications for Year 2000 systems compliance are
proceeding according to plan and are expected to be completed in early 1999.
Based on information currently available, the remaining expenditures are
estimated at $200 million and will cover hardware and software upgrades, systems
consulting and computer maintenance.  These expenditures are not expected to
have a material adverse impact on Merrill Lynch's financial position, results of
operations or cash flows in future periods.  However, the failure of Merrill
Lynch's securities exchanges, clearing organizations, vendors, clients or
regulators to resolve their own processing issues in a timely manner could
result in a material financial risk.  Merrill Lynch is devoting necessary
resources to address all Year 2000 issues in a timely manner.

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
         ----------------------------------------------------------

          Not applicable.

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.

                                      -24-
<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.

          Merrill Lynch Investment Partners Inc., a subsidiary of  ML&Co., has
as its primary objective providing quality alternative investments for its
clients.  MLIP is one of the largest sponsors of managed futures funds in terms
both of assets invested in funds for which it serves as trading manager or
sponsor, and of financial and personnel resources.  Offering hedge fund, managed
futures and currency investments for individuals, corporations and financial
institutions, MLIP has operated with one primary objective since its inception
in 1986 -- to provide investors with an opportunity for long-term capital
appreciation and diversification through quality investments in equity, debt,
currency, interest rate, metals, energy and agricultural markets, utilizing a
variety of instruments and trading strategies.  While MLIP concentrated its
efforts primarily on managed futures investments during its early years of
operation, since 1996 MLIP has offered a number of multi-advisor and single-
advisor hedge funds.  MLIP has dedicated significant resources to the growth of
its hedge fund business, and has the investment management, operational,
administrative, research and risk management experience to manage substantial
assets in both hedge funds and managed futures investments in the global
financial markets.  As of February 1, 1998, MLIP was acting as trading manager
or sponsor to futures and hedge funds in which approximately $3.1 billion of
client capital was invested.

          The principal officers and the directors of MLIP and their respective
business backgrounds are as follows:

               JOHN R. FRAWLEY, JR.  Chairman, Chief Executive Officer,
                                     President and  Director

               JEFFREY F. CHANDOR    Senior Vice President, Director of
                                     Sales, Marketing and Research and
                                     Director

               JOSEPH H. MOGLIA      Director

               ALLEN N. JONES        Director

               STEPHEN G. BODURTHA   Director

               MICHAEL A. KARMELIN   Chief Financial Officer, Vice
                                     President and Treasurer

               STEVEN B. OLGIN       Vice President, Secretary and
                                     Director of Administration

          John R. Frawley, Jr. was born in 1943.  Mr. Frawley is Chairman, Chief
Executive Officer, President and a Director of MLIP and 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 formation in 1990 through its
dissolution in 1994.  Mr. Frawley is currently serving his fourth consecutive
one-year term as Chairman of the U.S. Managed Funds Association (formerly, the
Managed Futures Association), a U.S. national trade association that represents
the managed futures, hedge funds and fund of funds industry.   Mr. Frawley is
also a Director of that organization.  Mr. Frawley 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 the issues regarding a potential merger.

                                      -25-
<PAGE>

          Jeffrey F. Chandor was born in 1942.  Mr. Chandor is Senior Vice
President, 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 International
Institutional Equities, Equity Derivatives 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.

          Joseph H. Moglia was born in 1949.  Mr. Moglia is a Director of MLIP.
In 1971, he graduated from Fordham University with a Bachelor of Arts degree in
Economics.  He later received his Master of Science degree from the University
of Delaware.  He taught at the high school and college level for sixteen years.
Mr. Moglia joined MLPF&S in 1984, and has served in a number of senior roles,
including Director of New York Fixed Income Institutional Sales, Director of
Global Fixed Institutional Sales, and Director of the Municipal Division.  He is
currently Senior Vice President and Director of the Investment Strategy and
Product Group in Merrill Lynch Private Client, and Director of Middle Markets.

          Allen N. Jones was born in 1942.  Mr. Jones is a Director of MLIP and,
from July 1995 until January 1998, Mr. Jones was also Chairman of the Board of
Directors 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.  From February 1994 to April
1997, Mr. Jones was the Director of Individual Financial Services of the Merrill
Lynch Private Client Group.  In April 1997, Mr. Jones became the Director of
Private Client marketing.

          Stephen G. Bodurtha was born in 1958.  Mr. Bodurtha is a Director of
MLIP.  In 1980, Mr. Bodurtha graduated from Wesleyan University, Middletown,
Connecticut with a Bachelor of Arts degree in Government, magna cum laude.  From
1980 to 1983, Mr. Bodurtha worked in the Investment Banking Division of Merrill
Lynch.  In 1985, he was awarded his Master of Business Administration degree
from Harvard University, where he also served as Associates Fellow (1985-1986).
From 1986 to 1989, Mr. Bodurtha held the positions of Associate and Vice
President with Kidder, Peabody & Co., Incorporated where he worked in their
Financial Futures & Options Group.  Mr. Bodurtha joined MLPF&S in 1989 and has
held the position of First Vice President since 1995.  He has been the Director
in charge of the Structured Investments Group of MLPF&S since 1995.

          Michael A. Karmelin was born in 1947.  Mr. Karmelin is Chief Financial
Officer, Vice President and Treasurer of MLIP.  Prior to joining MLIP in April
1997, Mr. Karmelin was Chief Financial Officer of Merrill Lynch, Hubbard Inc.
("ML Hubbard"), a sponsor of real estate limited partnerships.  Mr. Karmelin
joined ML Hubbard in January 1994 and was a Vice President of ML Hubbard.  From
May 1994 to April 1997, he was the Chief Financial Officer of ML Hubbard,
responsible for its accounting, treasury and tax functions.  Prior to joining ML
Hubbard, Mr. Karmelin held several senior financial positions with ML&Co. and
MLPF&S from December 1985 to December 1993, including Vice President/Senior
Financial Officer Corporate Real Estate and Purchasing, Manager Commitment
Control/Capital Budgeting, and Senior Project Manager/Project Analysis.  Prior
to joining ML&Co., Mr. Karmelin was employed at Avco Corporation for 17 years,
where he held a variety of financial positions.  Mr. Karmelin holds a B.B.A.
degree in Accounting from Baruch College, C.U.N.Y. and a Master of Business
Administration degree in Corporate Strategy and Finance from New York
University.  Mr. Karmelin passed the Certified Public Accounting examination in
1974 and is a member of the Treasury Management Association, the Institute of
Management Accountants and The Strategic Leadership Forum.

          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 Funds Association's Government Relations Committee
and has served as an arbitrator for the NFA.  Mr. Olgin is also a member of the
Committee on Futures Regulation of the Association of the Bar of the City of New
York.

          As of December 31, 1997, the principals of MLIP had no investments in
the Fund and MLIP's general partner interest in the Fund was valued at
approximately $2,455,940.

          MLIP acts as general partner to twelve  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) V L.P.,

                                      -26-
<PAGE>

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) 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, 1997, 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, 1997, the General Partner owned 18,177 (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.

                                      -27-
<PAGE>

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

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

          In 1997, the Partnership paid:  (i) Brokerage Commissions of
$17,377,236 to the Commodity Broker, which included $8,940,868 in Management
Fees paid by the Commodity Broker to JWH; and (ii) Administrative Fees of
$560,556 to MLIP.  In addition, MLIP and its affiliates 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.


                                    PART IV

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

(a)1.   Financial Statements:                                           Page
        --------------------                                            ----
<S>                                                                     <C>

Independent Auditors' Report                                            1

Consolidated Statements of Financial Condition as of December 31, 1997  2

For the year ended December 31, 1997 and  the period from
July 15, 1996 (commencement of trading) to
December 31, 1996:
        Consolidated Statements of Income                               3
        Consolidated Statements of Changes in Partners' Capital         4

Notes to Consolidated Financial Statements                           5-11
</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.

                                      -28-
<PAGE>

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

                The following exhibits are incorporated by reference or are
                filed herewith to this Annual Report on Form 10-K:

Designation             Description
-----------             -----------

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.

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.

10.08                   Form of Limited Liability Company Operating Agreement.

                                      -29-
<PAGE>

Exhibit 10.08:          Is filed herewith.
-------------

10.09                   Form of Amendatory Agreement.

Exhibit 10.09:          Is filed herewith.
-------------

13.01                   1997 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.

     (b)        Report on Form 8-K:
                ------------------

                No reports on Form 8-K were filed during the fourth quarter of
1997.

                                      -30-
<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:  /s/ John R. Frawley, Jr.
                   ---------------------------------------------
                      John R. Frawley, Jr.
                      Chairman, Chief Executive Officer, President 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 25, 1998 by the
following persons on behalf of the Registrant and in the capacities indicated.

<TABLE>
<CAPTION>

Signature                  Title                                                       Date
---------                  -----                                                       ----
<S>                        <C>                                                         <C>

/s/John R. Frawley, Jr.    Chairman,  Chief Executive Officer, President and Director  March 25, 1998
-------------------------
John R. Frawley, Jr.       (Principal Executive Officer)

/s/Michael A. Karmelin     Vice President, Chief Financial Officer and Treasurer       March 25, 1998
-------------------------
Michael A. Karmelin        (Principal Financial and Accounting Officer)

/s/Jeffrey F. Chandor      Senior Vice President, Director of Sales,                   March 25, 1998
-------------------------
Jeffrey F. Chandor         Marketing and Research and Director

/s/Allen N. Jones          Director                                                    March 25, 1998
-------------------------
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.)
<TABLE>
<S>                                           <C>                                      <C>
MERRILL LYNCH INVESTMENT                      General Partner of Registrant            March 25, 1998
  PARTNERS INC.
</TABLE>
By: /s/John R. Frawley, Jr.
    -----------------------
     John R. Frawley, Jr.

                                      -31-
<PAGE>

                     ML JWH STRATEGIC ALLOCATION FUND L.P.

                                 1997 FORM 10-K

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


                Exhibit
                -------


Exhibit 13.01   1997 Annual Report and Independent Auditors' Report

                                      -32-