**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-K**

 

**ý****Annual Report Pursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of1934**

 

**For the fiscal year ended:December 31, 2005**

 

**or**

 

**o****Transition Report Pursuant to Section 13 or**

**15(d) of the Securities ExchangeAct of 1934**

 

**Commission file number: 0-28928**

 

**ML JWH STRATEGIC ALLOCATION FUNDL.P.**

(Exact name of registrantas specified in its charter)

 

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

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Princeton Corporate Campus**

**800 Scudders Mill Road – Section2G**

**Plainsboro, New Jersey 08536**

(Address of principalexecutive offices)

 

Registrant’s telephonenumber, including area code:  **(609) 282-6996**

 

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

 

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

 

Indicate by check mark  if the  registrant is a well-known seasoned issuer, asdefined in Rule 405 of the Securities Act.

 

| Yes o |   | No ý |
|------------|--------|----------------|

 

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

 

| Yes o |   | No ý |
|------------|--------|----------------|

 

Indicate by check mark whether the registrant (1) has filed all reportsrequired to be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

 

| Yes ý |   | No o |
|-----------------|--------|-----------|

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 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 informationstatements incorporated by reference in Part III of this Form 10-K or anyamendment to this Form 10-K. ý

 

Indicate by check mark whether the registrant is a large acceleratedfiler, an accelerated filer, or a non-accelerated filer. See definition of “acceleratedfiler and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Checkone):

 
|   |   | Large accelerated filer o | Accelerated filer o | Non-accelerated filer ý |
|--------|--------|--------------------------------|---------------------|-----------------------------------|

 

Indicate by check mark whether registrant is a shell company (asdefined by Rule 12b-2 of the Exchange Act).

 

| Yes o |   | No ý |
|------------|--------|----------------|

 

The limited partnership units of the registrant are not publiclytraded. Accordingly, there is no aggregate market value for the registrant’soutstanding equity that is readily determinable.

 

As of February 1, 2006, limited partnership units with an aggregate netasset value of $1,205,841,861 were held by non-affiliates.

 

**Documents Incorporated byReference**

 

The registrant’s 2005 Annual Report and Report of  Independent Registered Public Accounting Firm,the annual report  to security holdersfor the fiscal year ended December 31, 2005, is incorporated by reference intoPart II, Item 8 and Part IV hereof and filed as an Exhibit herewith. Theannual reports are available free of charge by contacting AlternativeInvestments Client Services at1-877-465-8435.

 

 

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**ML JWH STRATEGIC ALLOCATION FUNDL.P.**

 

ANNUAL REPORT FOR 2005 ONFORM 10-K

 

Table of Contents

 
|     | PART I                                                                                                              |   |
|----------|---------------------------------------------------------------------------------------------------------------------|--------|
|     |                                                                                                                |   |
| Item 1.  | Business                                                                                                            | 1      |
|     |                                                                                                                |   |
| Item 1A. | Risk  factors                                                                                                       | 8      |
|     |                                                                                                                |   |
| Item 2.  | Properties                                                                                                          | 12     |
|     |                                                                                                                |   |
| Item 3.  | Legal Proceedings                                                                                                   | 12     |
|     |                                                                                                                |   |
| Item 4.  | Submission  of Matters to a Vote of Security Holders                                                                | 12     |
|     |                                                                                                                |   |
|     | PART II                                                                                                             |   |
|     |                                                                                                                |   |
| Item 5.  | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 13     |
|     |                                                                                                                |   |
| Item 6.  | Selected Financial  Data                                                                                            | 14     |
|     |                                                                                                                |   |
| Item 7.  | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 16     |
|     |                                                                                                                |   |
| Item 7A. | Quantitative  and Qualitative Disclosures about Market Risk                                                         | 21     |
|     |                                                                                                                |   |
| Item 8.  | Financial  Statements and Supplementary Data                                                                        | 27     |
|     |                                                                                                                |   |
| Item 9.  | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               | 27     |
|     |                                                                                                                |   |
| Item 9A. | Controls and  Procedures                                                                                            | 27     |
|     |                                                                                                                |   |
| Item 9B. | Other Information                                                                                                   | 27     |
|     |                                                                                                                |   |
|     | PART III                                                                                                            |   |
|     |                                                                                                                |   |
| Item 10. | Directors  and Executive Officers of the Registrant                                                                 | 28     |
|     |                                                                                                                |   |
| Item 11. | Executive  Compensation                                                                                             | 29     |
|     |                                                                                                                |   |
| Item 12. | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 30     |
|     |                                                                                                                |   |
| Item 13. | Certain  Relationships and Related Transactions                                                                     | 30     |
|     |                                                                                                                |   |
| Item 14. | Principal  Accountant Fees and Services                                                                             | 31     |
|     |                                                                                                                |   |
|     | PART IV                                                                                                             |   |
| Item 15. | Exhibits and  Financial Statement Schedules                                                                         | 32     |

 

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** **

**PART I**

 

**Item 1: Business**

 

(a)           GeneralDevelopment of Business:

 

ML JWHStrategic Allocation Fund L.P. (the “Partnership”) was organized under theDelaware Revised Uniform Limited Partnership Act on December 11, 1995 andbegan trading operations on July 15, 1996. The Partnership trades in theinternational futures and forward markets applying multiple proprietary tradingstrategies under the direction of John W. Henry & Company, Inc. (“JWH®”).

 

Merrill LynchAlternative Investments LLC (“MLAI”), is a wholly-owned subsidiary of MerrillLynch Investment Managers, LP (“MLIM”), which, in turn, is an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”), isthe general partner of the Partnership. Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Partnership’s commodity broker.

 

Through ajoint venture with the Partnership, JWH® has been the sole trading advisor forthe Partnership since inception. JWH® manages capital in commodities, interestrate and foreign exchange markets for international banks, brokerage firms,pension funds, institutions and high net worth individuals. JWH® trades a widerange 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 futuresindustry in terms of assets under management, trading approximately $2.6billion in client capital as of December 31, 2005.

 

ThePartnership may offer its units of limited partnership interest (“Units”), whenavailable for sale, as of the beginning of each month. Investors whosesubscriptions are accepted during a month are admitted to the Partnership asLimited Partners as of the beginning of the following month, acquiring Units atthe Net Asset Value per Unit as of the date of admission. Investors’ customersecurities accounts are debited in the amount of their subscriptions on asingle monthly settlement date within approximately five business days of theissuance of their Units.

 

As of December31, 2005, the aggregate Net Asset Value of the Partnership was $1,234,151,526,and the Net Asset Value per Unit, originally $100 as of July 15, 1996, hadrisen to $205.50.

 

ThroughDecember 31, 2005, the highest month-end Net Asset Value per Unit was $272.23(May 31, 2003) and the lowest $98.89 (August 31, 1996).

 

(b)           FinancialInformation about Segments:

 

ThePartnership’s business constitutes only one segment for financial reportingpurposes, i.e*.,* a speculative “commoditypool.”  The Partnership does not engagein sales of goods or services.

 

 (c)          NarrativeDescription of Business:

 

***General***

 

ThePartnership trades in the international futures, options on futures and forwardmarkets applying the multiple proprietary trading strategies (“Programs”) ofJWH®. In managing the Partnership’s trading, JWH® uses its “JWH® StrategicAllocation Program” in which JWH® selects, allocates and reallocatesPartnership assets in different combinations of its JWH® Programs. ThePartnership’s primary objective is achieving, through speculative trading,substantial long-term capital appreciation. At the same time, the use ofmultiple JWH® Programs has the potential to reduce the expected volatility andrisk of loss, which would typically be associated with the use of any singleProgram.

 

ThePartnership applies a multi-strategy approach. MLAI has delegated to JWH® fulldiscretionary authority over the selection of which JWH® Trading Programs touse for the Partnership and the leverage to be applied.

 

1

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One of theobjectives of the Partnership is to provide diversification to a limitedportion of the risk segment of the Limited Partners’ portfolios into aninvestment field that has historically often demonstrated a low degree ofperformance correlation with traditional stock and bond holdings. Since itbegan trading, the Partnership’s returns have, in fact, frequently beensignificantly non-correlated (not, however, negatively correlated) with theUnited States stock and bond markets.

 

**LeverageConsiderations**

 

The larger thePartnership’s market commitment (generally equivalent to the face amount of thepositions held) in relation to its assets, the higher the position size inrelation to account equity at which the Partnership is said to be trading. Ingeneral, the larger the Partnership’s market commitment, the profit potentialincreases, as well as the risk of loss. JWH® adjusts the Partnership’s marketcommitment to levels, which JWH® believes are consistent with the Partnership’sdesired internal risk/reward profile. For example, in volatile markets, JWH®might decide — in order to reduce market exposure and, accordingly, the risk ofloss, but with a corresponding decrease in profit potential — that thepositions ordinarily appropriate for a $50 million allocation are all a $75million allocation should acquire. On the other hand, market factors mightcause JWH® to decide — in order to increase market exposure and, accordingly,profit potential as well as risk of loss — that the positions ordinarilyindicated for a $100 million allocation are appropriate for an allocation ofonly $50 million. JWH® monitors and adjusts on an ongoing basis the leverage atwhich the Strategic Allocation Program trades; position size in relation toaccount equity can range from 50% to 150% of standard program trading levels.

 

At certaintimes — often after substantial gains in several of the Programs — JWH® mayconclude that the Partnership’s portfolio offers more risk than reward. If so,JWH® may reduce the Partnership’s market commitment, both taking profits andcontrolling risk. Conversely, JWH® may commit more than the total assets of thePartnership to the markets if the profit potential seems to justify the addedrisk.

 

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

 

**Background**

 

John W. Henry& Company began managing assets in 1981 as a sole proprietorship and waslater incorporated in the State of California as John W. Henry & Co., Inc.to conduct business as a commodity trading advisor. JWH® reincorporated inFlorida in 1997. JWH®’s principal offices are at 301 Yamato Road, Suite 2200,Boca Raton, Florida, 33431-4931. JWH®’s registration as a commodity tradingadvisor became effective in November 1980. JWH® is a member of the NationalFutures Association (“NFA”) in this capacity.

 

**TradingStrategy**

 

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

 

***General***

 

JWH®specializes in managing institutional and individual capital in the globalfutures, interest rate and foreign exchange markets. Since 1981, JWH® hasdeveloped and implemented proprietary trend-following trading techniques thatfocus on long-term rather than short-term, day-to-day trends. JWH® currentlyoperates eleven trading programs.

 

***Implementing the Program***

 

The first stepin the JWH® investment process is the identification of sustained pricemovements — or trends — in a given market. While there are many waysto identify trends, JWH® uses mathematical models that attempt to distinguishreal trends from interim volatility. It also presumes that trends often exceedin duration the expectation of the general marketplace.

 

JWH®’shistorical performance demonstrates that because trends often last longer thanmost market participants expect, significant returns can be generated frompositions held over a long period of time. JWH® focuses 

 

2

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on attempting to implement atrading methodology, which identifies a majority of the significant, as opposedto the more numerous small, price trends in a given market.

 

JWH® attemptsto pare losing positions relatively quickly while allowing profitable positionsto mature. Most losing positions are closed within a few days or weeks, whileothers — those where a profitable trend continues —are retained.Positions held for two to four months are not unusual, and positions have beenheld for more than one year. Historically, only 30% to 40% of all trades madepursuant to the investment methods have been profitable. Large profits on a fewtrades in positions that typically exist for several months have producedfavorable results overall.

 

The greatestcumulative percentage decline in daily net asset value, which JWH® hasexperienced in any single program, was nearly sixty percent on a month-to-monthcomposite basis since its inception. Investors in the Partnership shouldunderstand that similar or greater drawdowns are possible in the future.

 

To reduceexposure to volatility in any particular market, most JWH® programs participatein several markets at one time. In total, JWH® participates in up to 80markets, encompassing interest rates, foreign exchange, and commodities such asagricultural products, energy and precious metals.

 

JWH® at itssole discretion may override computer-generated signals, and may at times usediscretion in the application of its quantitative models, which may affectperformance positively or negatively. This could occur, for example, when JWH®determines that markets are illiquid or erratic, which may occur cyclicallyduring holiday seasons or on the basis of irregularly-occurring market events.Subjective aspects of JWH®’s quantitative models also include the determinationof the size of the position in relation to account equity, when an accountshould commence trading, investments of assets provided through additions andreallocations, markets traded, contracts and contract month selection, andeffective trade execution.

 

***Program Modifications***

 

Proprietaryresearch is conducted on an ongoing basis to refine the JWH® investmentstrategies. The potential benefits of employing more than one investmentmethodology, varying combinations, applying investment methodologies in varyingcombinations, and the possible substitution of alternative investmentmethodologies with respect to particular contracts may be assessed throughtesting different methodologies, along with the possible benefits of suchmodifications to improve program performance over historical levels. Extensiveresearch may suggest substitution of alternative investment methodologies withrespect to particular contracts in light of relative differences in historicalperformance achieved through testing different methodologies. In addition, riskmanagement research and analysis may suggest modifications regarding therelative weighting among various contracts, modifying style and/or timing usedin a program, the addition or deletion of particular contracts for a program ora change in the degree of leverage employed. However, most investment programsmaintain a consistent portfolio composition to allow opportunities in as manymajor market trends as possible.

 

All cash in aJWH® investment program is available to be used to trade in a JWH® program. Theamounts committed to margin will vary from time to time. As capital in eachJWH® trading program increases, additional emphasis and weighting may be placedon certain markets, which have historically demonstrated the greatestliquidity. Furthermore, the weighting of capital committed to various marketsin the trading programs is dynamic, and JWH® may vary the weighting at itsdiscretion as market conditions, liquidity, position limit considerations andother factors warrant. MLAI will generally not be informed of any such changes.

 

Adjustments tothe size of trading positions taken in relation to account equity have been andcontinue to be an integral part of JWH®’s investment strategy. At itsdiscretion, JWH® may adjust position size in relation to account equity incertain markets or entire programs. Position size in relation to account equityadjustments may be made at certain times for some programs but not for others.Factors which may affect the decision to adjust position size in relation toaccount equity include: ongoing research; program volatility; current marketvolatility; risk exposure; and subjective judgment and evaluation of these andother general market conditions. Such decisions to change position size inrelation to account equity may positively or negatively affect performance, andwill alter risk exposure for an account. Position size in relation to accountequity adjustments may lead to greater profits or losses, more frequent andlarger margin calls and greater brokerage expense. No assurance is given thatsuch position size in relation to account equity adjustments will be to thefinancial advantage of investors in the Partnership. JWH® reserves the right,at its sole discretion, to adjust its position size in relation to accountequity policy without notification to MLAI.

 

3

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***Addition, Redemption and Reallocation ofCapital for Commodity Pool or Partnership Accounts***

 

Investorspurchase or redeem Units at Net Asset Value (“NAV”) on the close of business onthe last business day of the month. In order to provide market exposurecommensurate with the Partnership’s equity on the date of these transactions,JWH®’s general practice is to adjust positions as near as possible to the closeof business on the last trading date of the month. The intention is to providefor additions and redemptions at a NAV that will be the same for each of thesetransactions, and to eliminate possible variations in NAVs that could occur asa result of inter-day price changes if, for example, additions were calculatedon the first day of the subsequent month. Therefore, JWH® may, at its solediscretion, adjust its investment of the assets associated with the addition orredemption as near as possible to the close of business on the last business dayof the month to reflect the amount then available for trading. Based on JWH®’sdetermination of liquidity or other market conditions, JWH® may decide tocommence trading earlier in the day on, or before, the last business day of themonth, or at its sole discretion, delay adjustments to trading for an accountto a date or time after the close of business on the last day of the month. Noassurance is given that JWH® will be able to achieve the objectives describedabove in connection with Partnership equity level changes. The use ofdiscretion by JWH® in the application of this procedure may affect performancepositively or negatively.

 

***Physical and Cash Commodities***

 

JWH® may fromtime to time trade in physical or cash commodities for immediate or deferreddelivery, including specifically gold bullion, as well as futures and forwardcontracts when JWH® believes that cash markets offer comparable or superiormarket liquidity or the ability to execute transactions at a single price. TheCommodity Futures Trading Commission (“CFTC”) does not regulate cashtransactions, which are subject to the risk of these entities’ failure,inability or refusal to perform with respect to such contracts.

 

***The Joint Venture Agreement***

 

The advisoryarrangement between the Partnership and JWH® is a joint venture (“JointVenture”), a general partnership structure. The Joint Venture Agreementterminates on December 31, 2006 subject to automatic one-year renewals, unlesseither the Partnership or JWH® elects not to renew.

 

The Partnershiphas agreed to indemnify JWH® and related persons for any claims or proceedingsinvolving the business or activities of the Partnership, provided that theconduct of such persons does not constitute negligence, misconduct or breach ofthe Joint Venture Agreement or of any fiduciary obligation to the Partnershipand was done in good faith and in a manner reasonably believed to be in, or notopposed to, the best interests of the Partnership.

 

JWH® andrelated persons will not be liable to the Joint Venture, the Partnership or anyof the Partners in connection with JWH®’s management of the Partnership’sassets except (i) by reason of acts or omissions in breach of the Joint VentureAgreement, (ii) due to their misconduct or negligence, or (iii) by reason ofnot having acted in good faith and in the reasonable belief that such actionsor omissions were in, or not opposed to, the best interests of the Partnership.Mr. John W. Henry will not be liable except for his fraud or willfulmisconduct.

 

JWH® originallyinvested $100,000 in the Joint Venture. As of December 31, 2005, JWH®’sinvestment was valued at $207,307.

 

ThePartnership and the Joint Venture are herein collectively referred to as the“Partnership” unless the context otherwise requires.

 

4

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***Use of Proceeds and Cash Management Income***

 

Subscription Proceeds.

ThePartnership’s cash is used as security for and to pay the Partnership’s tradinglosses as well as its expenses and redemptions. The primary use of the proceedsof the sale of the Units is to permit JWH® to trade on a speculative basis in awide range of different futures, forwards and options on futures markets onbehalf of the Partnership. While being used for this purpose, the Partnership’sassets are also generally available for cash management, as more fullydescribed below under “Available Assets.”

 

Market Sectors.

ThePartnership trades in a diversified group of markets under the direction ofJWH®. JWH® can, and does, from time to time, materially alter the allocation ofits overall trading commitments among different market sectors. Except in thecase of certain trading programs which are purposefully limited in the marketswhich they trade, there is essentially no restriction on the commodityinterests which may be traded by JWH® or the rapidity with which JWH® may alterits market sector allocations.

 

Market Types.

ThePartnership trades on a variety of United States and foreign futures exchanges.Substantially all of the Partnership’s off-exchange trading takes place in thehighly liquid, institutionally based currency forward markets.

 

Many of thePartnership’s currency trades are executed in the spot and forward foreignexchange markets (the “FX Markets”) where there are no direct execution costs.Instead, the participants, banks and dealers in the FX Markets take a “spread”between the prices at which they are prepared to buy and sell a particularcurrency and such spreads are built into the pricing of the spot or forwardcontracts with the Partnership.

 

In itsexchange of futures for physical (“EFP”) trading, the Partnership acquires cashcurrency positions through banks and dealers, including Merrill Lynch. ThePartnership pays a spread when it exchanges these positions for futures. This spreadreflects, in part, the different settlement dates of the cash and the futurescontracts, as well as prevailing interest rates, but also includes a pricingspread in favor of the banks and dealers, which may include a Merrill Lynchentity.

 

As in the caseof its market sector allocations, the Partnership’s commitments to differenttypes of markets — U.S. and non-U.S., regulated and unregulated — differsubstantially from time to time as well as over time. The Partnership has nopolicy restricting its relative commitments to any of these different types ofmarkets, although generally the bulk of the Partnership’s trading takes placeon regulated exchanges.

 

Custody of Assets.

All of thePartnership’s assets are currently held in customer accounts at MLPF&S.

 

Available Assets.

ThePartnership earns income, as described below, on its “Available Assets,” whichcan be generally described as the cash actually held by the Partnership.Available Assets are held primarily in U.S. dollars and are comprised of the Partnership’scash balances held in the offset accounts (as described below), which include“open trade equity” (unrealized gain and loss on open positions) on UnitedStates futures contracts, which is paid into or out of the Partnership’saccount on a daily basis and the Partnership’s cash balance in foreigncurrencies derived from its trading in non-U.S. dollar denominated futures andoptions contracts, which includes open trade equity on those exchanges whichsettle gains and losses on open positions in such contracts prior to closingout such positions. Available Assets do not include, and the Partnership doesnot earn interest on, the Partnership’s gains or losses on its open forward,commodity option and certain foreign futures positions since such gains andlosses are not collected or paid until such positions are closed out.

 

ThePartnership’s Available Assets may be greater than, less than or equal to thePartnership’s Net Asset Value (on which the redemption value of the Units isbased) primarily because Net Asset Value reflects all gains and losses on openpositions as well as accrued but unpaid expenses.

 

5

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Interest Earned on the Partnership’s U.S. Dollar Available Assets.

The followingdescription relates to the Partnership’s U.S. dollar Available Assets.

 

The Partnership’s U.S. dollar Available Assets areheld in cash in offset accounts or may be invested in short-term U.S. Treasurybills purchased from dealers unaffiliated with Merrill Lynch. Offset accountsare non-interest bearing demand deposit accounts maintained with banksunaffiliated with Merrill Lynch. An integral feature of the offset arrangementsis that the participating banks specifically acknowledge that the offsetaccounts are MLPF&S customer accounts, not subject to any Merrill Lynchliability.

 

Merrill Lynch credits the Partnership, as of the endof each month, with interest at the effective prevailing 91-day Treasury billrate on the average daily U.S. dollar Available Assets held in the offsetaccounts during such month. The Partnership receives all interest paid on theshort-term Treasury bills in which it invests.

 

The use of theoffset account arrangements for the Partnership’s U.S. dollar Available Assetsmay be discontinued by Merrill Lynch whether or not Merrill Lynch otherwisecontinues to maintain its offset arrangements. The offset arrangements aredependent on the banks’ continued willingness to make overnight creditsavailable to Merrill Lynch, which, in turn, is dependent on the credit standingof Merrill Lynch. If Merrill Lynch were to determine that the offsetarrangements had ceased to be practicable (either because Merrill Lynch creditlines at participating banks were exhausted or for any other reason), MerrillLynch would thereafter attempt to invest all of the Partnership’s U.S. dollarAvailable Assets to the maximum practicable extent in short-term U.S. Treasurybills. All interest earned on the U.S. dollar Available Assets so investedwould be paid to the Partnership, but MLAI would expect the amount of suchinterest to be less than that available to the Partnership under the offsetaccount arrangements. The remaining U.S. dollar Available Assets of thePartnership would be kept in cash to meet variation margin payments and payexpenses, but would not earn interest for the Partnership.

 

The banks atwhich the offset accounts are maintained make available to Merrill Lynchinterest-free overnight credits, loans or overdrafts in the amount of thePartnership’s U.S. dollar Available Assets held in the offset accounts,charging Merrill Lynch a small fee for this service. The economic benefitsderived by Merrill Lynch — net of the interest credits paid to the Partnershipand the fee paid to the offset banks — from the offset accounts have notexceeded 0.75% per annum of the Partnership’s average daily U.S. dollarAvailable Assets held in the offset accounts. These revenues to Merrill Lynchare in addition to the Brokerage Commissions and Administrative Fees paid bythe Partnership to MLPF&S and MLAI, respectively.

 

Interest Paid by Merrill Lynch on the Partnership’s Non-U.S. DollarAvailable Assets.

Under thesingle currency margining system implemented for the Partnership, thePartnership itself does not deposit foreign currencies to margin trading innon-U.S. dollar denominated futures contracts and options, if any. MLPF&Sprovides the necessary margin, permitting the Partnership to retain the monieswhich would otherwise be required for such margin as part of the Partnership’sU.S. dollar Available Assets. The Partnership does not earn interest on foreignmargin deposits provided by MLPF&S. The Partnership does, however, earninterest on its non-U.S. dollar Available Assets. Specifically, the Partnershipis credited by Merrill Lynch with interest at prevailing short-term local rateson assets and net gains on non-U.S. dollar denominated positions for such gainsactually held in cash by the Partnership. Merrill Lynch charges the PartnershipMerrill Lynch’s cost of financing realized and unrealized losses on suchpositions.

 

ThePartnership holds foreign currency gains and finances foreign currency losseson an interim basis until converted into U.S. dollars and either paid into orout of the Partnership’s U.S. dollar Available Assets. Foreign currency gainsor losses on open positions are not converted into U.S. dollars until thepositions are closed. Assets of the Partnership while held in foreigncurrencies are subject to exchange rate risk.

 

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

###### *** ***

The followingtable summarizes the charges incurred by the Fund during 2005, 2004 and 2003.

 
| ** **              | ** ** | **2005**   | ** ** | **2004**          | ** ** | **2003**   | ** ** |
|-------------------------|------------|------------|------------|-------------------|------------|------------|------------|
| ** **              | ** ** | ** ** | ** ** | **% of Average**  | ** ** | ** ** | ** ** | **% of Average** | ** ** | ** ** | ** ** | **% of Average** | ** ** |
| ** **              | ** ** | **Dollar** | ** ** | **Month-End Net** | ** ** | **Dollar** | ** ** | **Month-End Net** | ** ** | **Dollar** | ** ** | **Month-End Net** | ** ** |
| **Charges**             | ** ** | **Amount** | ** ** | **Assets**        | ** ** | **Amount** | ** ** | **Assets** | ** ** | **Amount** | ** ** | **Assets** | ** ** |
| Brokerage               |       |       |       |              |       |       |       |   |   |   |   |   |   |
| Commissions             |       | $          | 73,622,017 |              | 5.81       | %          | $          | 57,501,150 |   | 6.00 | % | $ | 30,474,397 |   | 6.04 | % |
| Administrative  Fees    |       | 3,450,957  |       | 0.27              | %          | 2,889,337  |       | 0.30 | % | 1,699,677 |   | 0.33 | % |
| Ongoing  Offering Costs |       | 475,000    |       | 0.04              | %          | 348,101    |       | 0.04 | % | 1,198,256 |   | 0.24 | % |
| Total                   |       | $          | 77,547,974 |              | 6.12       | %          | $          | 60,738,588 |   | 6.34 | % | $ | 33,372,330 |   | 6.61 | % |

 

The Partnership’s average month-end Net Assets during2005, 2004 and 2003 equaled $1,266,792,130, $957,699,076, and $504,717,470,respectively.

 

In addition to the above charges, the Partnership andJWH® share in the profits of the Joint Venture based on equity provided that20% of the Joint Venture’s quarterly New Trading Profits are allocated to JWH®.For  the years ended December 31, 2005,2004 and 2003, JWH® received a profit share allocation of $0, $38,968,456, and$5,790,782 and earned interest of $6,312, $83,034 and $49,985,  on such amounts, respectively.

 

**Description of Current Charges**

 

ThePartnership is subject to the following charges and priority profit allocation(“Profit Share”):

 
| **Recipient**                |   | **Nature  of Payment**     |   | **Amount  of Payment**                                                                                                                                                                                                                                                                                                                                                                                                               |
|------------------------------|--------|----------------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S                   |   | Brokerage  commissions     |   | A flat rate,  monthly brokerage commissions of 0.479 of 1% of the Joint Venture’s month-end  assets (a 5.75% annual rate).                                                                                                                                                                                                                                                                                                      |
|                         |   |                       |   |                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|                         |   |                       |   | During 2005,  2004 and 2003, the round-turn (each purchase and sale or sale and purchase of  a single futures contract) equivalent rate of the Partnership’s flat-rate  brokerage commissions was approximately $154, $110, and $117.                                                                                                                                                                                           |
|                         |   |                       |   |                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| MLPF&S                   |   | Use of  Partnership assets |   | MLPF&S  may derive certain economic benefit from the deposit of certain of the  Partnership’s U.S. dollar Available Assets in offset accounts.                                                                                                                                                                                                                                                                              |
|                         |   |                       |   |                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| MLAI                         |   | Administrative  Fee        |   | A monthly  administrative fee of 0.021 of 1% (a 0.25% annual rate) of the Joint  Venture’s month-end assets is paid to MLAI, which pays all routine  administrative expenses of the Joint Venture, other than the Partnership’s  ongoing offering costs and the actual cost of the State of New Jersey annual  filing fee. This filing fee is assessed on a per partner basis with a maximum  charge of $250,000 per year. |
|                         |   |                       |   |                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| MLIB;   Other Counterparties |   | Bid-ask  spreads           |   | Bid-ask  spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                                      |

 

7

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| JWH®                         |   | Profit Share                       |   | 20% of any  New Trading Profits (as the Partnership owns substantially all of the Joint  Venture, such special allocation effectively is made out of Trading Profits  which the Partnership would otherwise have received).                                                                                                                                                                     |
|-----------------------------------|--------|------------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                              |   |                               |   |                                                                                                                                                                                                                                                                                                                                                                                            |
|                              |   |                               |   | As Profit  Shares are calculated on the basis of quarter-end highs in cumulative Trading  Profit, substantial Profit Shares may (irrespective of the fact that Units  are purchased at different times and prices, and may have materially  different investment experiences during a year) be accrued during a calendar  year even though the joint venture has an overall loss for such year. |
|                              |   |                               |   |                                                                                                                                                                                                                                                                                                                                                                                            |
| JWH®                         |   | Consulting  Fees                   |   | MLPF&S  pays JWH® annual Consulting Fees of 2% of the Partnership’s average month-end  assets, after reduction for a portion of the Brokerage Commissions.                                                                                                                                                                                                                        |
|                              |   |                               |   |                                                                                                                                                                                                                                                                                                                                                                                            |
| MLPF&S;   Other Third Parties |   | Extraordinary  expenses            |   | Actual  payments to third parties; none paid to third parties to date.                                                                                                                                                                                                                                                                                                                          |
|                              |   |                               |   |                                                                                                                                                                                                                                                                                                                                                                                            |
| MLAI                              |   | Ongoing  offering costs reimbursed |   | Actual costs  incurred subject to limitation.                                                                                                                                                                                                                                                                                                                                                   |

 

###### ***Regulation***

 

MLAI, JWH® andMLPF&S are each subject to regulation by the CFTC and the NFA. Other thanin respect of its periodic reporting requirements under the Securities ExchangeAct of 1934, and the registration of the Units for continuous publicdistribution under the Securities Act of 1933, the Partnership itself isgenerally not subject to regulation by the Securities and Exchange Commission(“SEC”). However, MLAI itself is registered as an “investment adviser” under theInvestment Advisers Act of 1940. MLPF&S is also regulated by the SEC andthe National Association of Securities Dealers.

 

(i) through(xii) — not applicable.

 

(xiii) ThePartnership has no employees.

 

(d)           FinancialInformation about Geographic Areas:

 

ThePartnership and the Joint Venture do not engage in material operations inforeign countries, nor is a material portion of the Partnership’s revenuesderived from customers in foreign countries. The Partnership does, however,trade from the United States on a number of foreign commodity exchanges. ThePartnership does not engage in the sales of goods or services.

 

**Item 1A:RiskFactors**

 

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

*** ***

The Partnership takes positionswith face values which are as much as 15 times its total equity.

 

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

*** ***

The performance of the Partnership is entirelyunpredictable, and the past performance of the Partnership is not necessarilyindicative of its future results.

 

8

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

 

***JWH®Analyzes Only Technical Market Data, Not Any Economic Factors External toMarket Prices***

*** ***

The JWH® programs focus exclusively onstatistical analysis of market prices. Consequently, any factor external to themarket itself which dominates prices is likely to cause major losses. Forexample, a pending political or economic event may be very likely to cause amajor price movement, but JWH® would continue to maintain positionsthat would incur major losses as a result of such movement, if its programsindicated that it should do so.

 

The likelihood of the Units being profitable could bematerially diminished during periods when events external to the marketsthemselves have an important impact on prices. During such periods, JWH®’shistorical price analysis could establish positions on the wrong side of theprice movements caused by such events.

 

***Lack ofthe Types of Price Trends Which JWH® Programs Can Identify WillCause Major Losses***

*** ***

The Partnership cannot trade profitably unless majorprice trends occur in at least certain markets that it trades. Many markets aretrendless most of the time, and in static markets the JWH® programsare likely to incur losses. In fact, JWH® expects more than half ofits trades to be unprofitable; it depends on significant gains from a few majortrends to offset these losses. Since inception, the Partnership has had 541⁄2unprofitable and 59 profitable months, and there have been significant periodsduring which the Net Asset Value of the Partnership has declined. It is notjust any price trend, but price trends of the type which JWH®’ssystems have been designed to identify, which are necessary for the Partnershipto be profitable.

 

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

*** ***

Often, the most unprofitable market conditions for thePartnership are those in which prices “whipsaw,” moving quickly upward, thenreversing, then moving upward again, then reversing again. In such conditions,the programs may establish a series of losing positions based on incorrectlyidentifying both the brief upward or downward price movements as trends.

 

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

*** ***

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

 

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

*** ***

The programs as a group emphasize trading in thefinancial instrument and currency markets. The degree of market overlap changeswith the program mix. However, in general, JWH® expectsapproximately a minimum 50% concentration in these two sectors while thecurrent programs continue to be used for the Partnership. Market concentrationincreases the risk of major losses and unstable Unit values, as the same pricemovements adversely affect many of the Partnership’s concentrated positions ator about the same time.

 

As it is impossible to predict where price trends willoccur, certain trend-following managers attempt to maximize the chance ofexploiting such trends by taking positions in as many different markets andmarket sectors as feasible. The Partnership does not follow this approach and,as a result, may not capture trends which would have been highly profitable.

 

9

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***The JWH®Strategic Allocation Program Is Not a Formal Program or System***

*** ***

The JWH Strategic Allocation Program is not asystematic selection process, and JWH® does not apply any formalselection policies or criteria in choosing combinations of programs for thePartnership. Such combinations are developed solely on the basis of thesubjective market judgment and experience of certain JWH®principals. Subjective, judgmental decision-making may be less disciplined andobjective than a more systematic method, and there can be no assurance that JWH®will select the optimal combinations of programs for the Partnership.

 

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

*** ***

The Partnership pays fixed annual expenses of 6% ofits average month-end assets. The Partnership will also reimburse MLAI  for ongoing offering costs subject to aceiling of .25 of 1% of the Partnership’s average month-end assets in any fiscalyear. Miscellaneous costs, paid as incurred, have equaled approximately 0.25%of the Partnership’s average month-end assets annually. The Partnership is alsosubject to 20% quarterly Profit Shares during its profitable quarters. Becausethese Profit Shares are calculated quarterly, they could represent asubstantial expense to the Partnership even in a breakeven or losing year.Based on MLAI’s experience with its other Partnerships, MLAI expects thatapproximately 1% of the Partnership’s average month-end assets might be paidout in Profit Shares even during a losing year. Overall, investors must expectthat the Partnership will pay about 7.30% per year in expenses, 10.30%including the 3% redemption charge paid by investors in effect through the endof the first twelve months after a Unit is issued; such figures do not takeinto account any interest earned by the Partnership.

 

The Partnership’s expenses could, over time, result insignificant losses. Except for the Profit Share, these expenses are payablewhether or not the Partnership is profitable.

 

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

*** ***

There has been a dramatic increase over the past 25years in the amount of assets managed by trend-following trading systems likethe JWH® programs. In 1980, the amount of assets in the managedfutures industry were estimated at approximately $300 million; by the end of2005, this estimate had risen to approximately $130.9 billion (these figuresinclude trend-following and other advisors). This means increased tradingcompetition. The more competition there is for the same positions, the morecostly and difficult they are to acquire.

 

***JWH®’sHigh Level of Equity Under Management Could Lead to Diminished Returns***

*** ***

JWH® has a significant amount of assetsunder management. As of January 1, 1990, JWH® had approximately $197million under management; as of December 31, 2005, this figure had risen toapproximately $2.6 billion. The more money JWH® manages, the moredifficult it may be for JWH® to trade profitably because of thedifficulty of trading larger positions without adversely affecting prices andperformance. Large trades may result in more price slippage than smallerorders.

 

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

*** ***

In illiquid markets, JWH® could be unableto capitalize on trading opportunities or close out losing positions. There arenumerous factors which can contribute to market illiquidity, far too many forJWH® to be able to predict. There can be no assurance that a marketwhich has been highly liquid in the past will not experience periods ofunexpected illiquidity.

 

Unexpected market illiquidity has caused major lossesin recent years in certain sectors. There can be no assurance that the samewill not happen to the Partnership from time to time. The large size of thepositions which JWH® acquires for the Partnership increases the riskof illiquidity by both making its positions more difficult to liquidate andincreasing the losses incurred while trying to do so.

 

10

----

 

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

*** ***

The programs trade a great deal outside the U.S. Fromtime to time, as much as 30%-50% of the Partnership’s overall market exposurecould involve positions taken on foreign markets. Foreign trading involvesrisks — including exchange-rate exposure, possible governmental interventionand lack of regulation — which U.S. trading does not. In addition, thePartnership may not have the same access to certain positions on foreignexchanges as do local traders, and the historical market data on which JWH®bases its strategies may not be as reliable or accessible as it is in theUnited States. Certain foreign exchanges may also be in a more or lessdevelopmental stage so that prior price histories may not be indicative ofcurrent price dynamics. The rights of clients in the event of the insolvency orbankruptcy of a non-U.S. market or broker are also likely to be more limitedthan in the case of U.S. markets or brokers.

 

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

*** ***

JWH® may from time to time trade onelectronic trading and order routing systems, which differ from traditionalopen outcry pit trading and manual order routing methods. Transactions using anelectronic system are subject to the rules and regulations of the exchangesoffering the system or listing the contract. Characteristics of electronictrading and order routing systems vary widely among the different electronicsystems with respect to order matching procedures, opening and closingprocedures and prices, error trade policies and trading limitations orrequirements. There are also differences regarding qualifications for accessand grounds for termination and limitations on the types of orders that may beentered into the system. Each of these matters may present different risk factorswith respect to trading on or using a particular system. Each system may alsopresent risks related to system access, varying response times and security. Inthe case of Internet-based systems, there may be additional risks related toservice providers and the receipt and monitoring of electronic mail.

 

Trading through an electronic trading or order routingsystem also entails risks associated with system or component failure. In theevent of system or component failure, it is possible that for a certain timeperiod, it might not be possible to enter new orders, execute existing ordersor modify or cancel orders that were previously entered. System or componentfailure may also result in loss of orders or order priority. Some contractsoffered on an electronic trading system may be traded electronically andthrough open outcry during the same trading hours. Exchanges offering anelectronic trading or order routing system and listing the contract may haveadopted rules to limit their liability, the liability of futures brokers andsoftware and communication system vendors and the amount that may be collectedfor system failures and delays. These limitation of liability provisions varyamong the exchanges.

 

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

*** ***

The Partnership is subject to the risk of MLPF&S,exchange or clearinghouse insolvency. Partnership assets could be lost orimpounded during lengthy bankruptcy proceedings. Were a substantial portion ofthe Partnership’s capital tied up in a bankruptcy, MLAI might suspend or limittrading, perhaps causing the Partnership to miss significant profitopportunities. No MLAI Partnership has ever lost any assets due to thebankruptcy or default of a broker, exchange or clearinghouse, but there can beno assurance that this will not happen in the future.

 

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

*** ***

The Partnership implements a speculative, highlyleveraged strategy. From time to time there is governmental scrutiny of thesetypes of strategies and political pressure to regulate their activities. Forexample, foreign governments have from time to time blamed the declines oftheir currencies on speculative Partnerships and imposed restrictions onspeculative trading in certain markets, and the collapse of a major hedgePartnership in 1998 led to significantly increased regulatory monitoring of theactivities of these Partnerships and, to an extent, commodity pools such as thePartnership.

 

11

----

 

Regulatory changes could adversely affect thePartnership by restricting its markets, limiting its trading and/or increasingthe taxes to which Unitholders are subject. MLAI is not aware of any pending orthreatened regulatory developments which might adversely affect thePartnership. However, adverse regulatory initiatives could develop suddenly andwithout notice.

 

***PrematureTermination of the Partnership***

*** ***

MLAI may withdraw as general partner from the Partnershipupon 120 days’ notice, which would cause the Partnership to terminate unless asubstitute general partner were obtained. Other events, such as substantiallosses suffered by the Partnership, could also cause the Partnership toterminate before the expiration of its stated term. This could cause you toliquidate your investments and upset the overall maturity and timing of yourinvestment portfolio.

 

**Item 2:****   Properties**

 

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

 

ThePartnership’s administrative office is the office of MLAI (Merrill LynchAlternative Investments LLC, Princeton Corporate Campus, 800 Scudders Mill Road– Section 2G, Plainsboro, New Jersey 08536). MLAI performs all administrativeservices for the Partnership from MLAI’s offices.

 

**Item 3:****   LegalProceedings**

 

*MerrillLynch*

 

Neither thePartnership nor MLAI has ever been the subject of any material litigation.Merrill Lynch  is the 100% indirect ownerof MLAI, MLIM, MLPF&S and all other Merrill Lynch entities involved in the operation of the Partnership.Merrill Lynch, as well as certain of its subsidiaries and affiliates have beennamed as defendants in civil actions, arbitration proceedings and claimsarising out of their respective business activities. Although the ultimateoutcome of these actions cannot be predicted at this time and the results oflegal proceedings cannot be predicted with certainty, it is the opinion ofmanagement that the result of these matters will not be materially adverse tothe business operations or financial condition of MLAI or the Partnership.

 

**Item 4:****   Submission of Matters to aVote of Security Holders**

 

None

 

12

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**PART II**

 

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

 

Item 5

 

(a)                                  MarketInformation:

 

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

 

(b)                                 Holders:

 

As of December31, 2005, there were 39,874 holders of Units, including MLAI.

 

(c)                                  Dividends:

 

MLAI has notmade, and does not contemplate making, any distributions on the Units.

 

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Notapplicable.

 

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

 

Notapplicable.

 

Item 5(b)

 

Notapplicable.

 

Item 5(c)

 

Notapplicable.

 

13

----

 

**Item 6:****   Selected Financial Data**

 
| ** **                                                    | ** ** | **For the Years Ended December 31,** | ** **   |
|---------------------------------------------------------------|------------|---------------------------------------------------------------|--------------|
| **Income Statement Data**                           | ** ** | **2005**                                                      | ** **   | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
| Revenues                                                      |       |                                                          |         |   |   |   |   |   |   |   |   |
|                                                          |       |                                                          |         |   |   |   |   |   |   |   |   |
| Trading  Profits (Losses):                                    |       |                                                          |         |   |   |   |   |   |   |   |   |
| Realized                                                      |       | $                                                             | (112,908,397 | ) | $ | 151,296,416 |   | $ | 24,882,048 |   | $ | 88,906,578 |   | $ | 43,747,023 |   |
| Change  in unrealized                                         |       | (150,020,999                                                  | )            | 91,466,219 |   | 20,384,664 |   | 18,456,720 |   | (35,627,391 | ) |
| Total  trading profits (losses)                               |       | (262,929,396                                                  | )            | 242,762,635 |   | 45,266,712 |   | 107,363,298 |   | 8,119,632 |   |
| Investment  Income                                            |       |                                                          |         |   |   |   |   |   |   |   |   |
| Interest                                                      |       | 39,816,009                                                    |         | 14,133,423 |   | 5,168,611 |   | 4,622,596 |   | 9,573,671 |   |
|                                                          |       |                                                          |         |   |   |   |   |   |   |   |   |
| Expenses:                                                     |       |                                                          |         |   |   |   |   |   |   |   |   |
| Brokerage  commissions                                        |       | 73,622,017                                                    |         | 57,501,150 |   | 30,474,397 |   | 16,830,711 |   | 15,061,052 |   |
| Administrative  fees                                          |       | 3,450,957                                                     |         | 2,889,337 |   | 1,699,677 |   | 731,770 |   | 654,829 |   |
| Ongoing  offering costs                                       |       | 475,000                                                       |         | 348,101 |   | 1,198,256 |   | 75,000 |   | - |   |
| Total  expenses                                               |       | 77,547,974                                                    |         | 60,738,588 |   | 33,372,330 |   | 17,637,481 |   | 15,715,881 |   |
| Net  Investment Loss                                          |       | (37,731,965                                                   | )            | (46,605,165 | ) | (28,203,719 | ) | (13,014,885 | ) | (6,142,210 | ) |
|                                                          |       |                                                          |         |   |   |   |   |   |   |   |   |
| Income  before Minority Interest  and Profit Share Allocation |       | (300,661,361                                                  | )            | 196,157,470 |   | 17,062,993 |   | 94,348,413 |   | 1,977,422 |   |
|                                                          |       |                                                          |         |   |   |   |   |   |   |   |   |
| Profit  Share allocation                                      |       | (6,312                                                        | )            | (39,051,490 | ) | (5,840,767 | ) | (20,152,858 | ) | (5,986,223 | ) |
| Minority  interest in (income) loss                           |       | 55,162                                                        |         | (25,137 | ) | (16,777 | ) | (49,824 | ) | 3,746 |   |
| Net  Income (Loss)                                            |       | $                                                             | (300,612,511 | ) | $ | 157,080,843 |   | $ | 11,205,449 |   | $ | 74,145,731 |   | $ | (4,005,055 | ) |

 
| **Balance Sheet Data**    | ** ** | **December 31, 2005** | ** **    | **December 31, 2004** | ** ** | **December 31, 2003** | ** ** | **December 31, 2002** | ** **  | **December 31, 2001** |   |
|---------------------------|------------|-----------------------|---------------|-----------------------|------------|-----------------------|------------|-----------------------|-------------|-----------------------|--------|
| Fund  Net Asset Value     |       | $                     | 1,234,151,526 |                  | $          | 1,371,799,115         |       | $                     | 695,477,407 |                  | $      | 318,297,668 |   | $ | 253,976,990 |   |
| Net  Asset Value per Unit |       | $                     | 205.50        |                  | $          | 260.33                |       | $                     | 235.60      |                  | $      | 219.52 |   | $ | 169.97 |   |

 

**MONTH-END NET ASSET VALUE PER UNIT**

** **
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2001       |       | $        | 172.60     |     | $          | 171.38   |       | $        | 190.83     |    | $          | 172.29   |       | $        | 176.63     |     | $          | 168.12    |       | $        | 161.28     |     | $          | 170.97   |       | $ | 175.99 |   | $ | 183.39 |   | $ | 156.62 |   | $ | 169.97 |   |
| 2002       |       | $        | 168.42     |     | $          | 162.64   |       | $        | 154.17     |    | $          | 155.57   |       | $        | 168.98     |     | $          | 202.97    |       | $        | 217.66     |     | $          | 226.06   |       | $ | 240.00 |   | $ | 221.21 |   | $ | 206.54 |   | $ | 219.52 |   |
| 2003       |       | $        | 251.24     |     | $          | 269.78   |       | $        | 251.99     |    | $          | 258.85   |       | $        | 272.23     |     | $          | 248.88    |       | $        | 247.63     |     | $          | 256.91   |       | $ | 232.93 |   | $ | 213.37 |   | $ | 215.88 |   | $ | 235.60 |   |
| 2004       |       | $        | 244.57     |     | $          | 265.91   |       | $        | 251.68     |    | $          | 224.34   |       | $        | 210.08     |     | $          | 187.86    |       | $        | 183.46     |     | $          | 182.64   |       | $ | 201.36 |   | $ | 241.05 |   | $ | 268.07 |   | $ | 260.33 |   |
| 2005       |       | $        | 224.16     |     | $          | 213.19   |       | $        | 213.18     |    | $          | 190.18   |       | $        | 208.05     |     | $          | 212.63    |       | $        | 215.46     |     | $          | 214.97   |       | $ | 215.10 |   | $ | 214.98 |   | $ | 232.78 |   | $ | 205.50 |   |

 

Pursuant to CFTC policy,monthly performance is presented from January 1, 2001, even though the Unitswere outstanding prior to such date.

 

14

----

 

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

**December 31, 2005**

 

*Type of Pool:*Single-Advisor/Publicly-Offered/Not “Principal Protected”(1)

*Inception of Trading:* July 15, 1996

*Aggregate Subscriptions:*   $1,853,940,286

*Current Capitalization:*   $1,234,151,526

*Worst Monthly Drawdown:(2)*   (14.60)% (11/01)

*Worst Peak-to-Valley Drawdown:(3)*   (31.32)% (3/04 - 8/04)

** **

**Monthly Rates of Return(4)**

 

| **Month**                       | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | (13.89   | )%         | 3.80     | %          | 14.45    | %          | (0.91    | )%         | (0.63    | )%         |
| February                        |       | (4.89    | )          | 8.73     |       | 7.38     |       | (3.43    | )          | (0.70    | )          |
| March                           |       | 0.00     |       | (5.35    | )          | (6.60    | )          | (5.21    | )          | 11.35    |       |
| April                           |       | (10.79   | )          | (10.86   | )          | 2.72     |       | 0.91     |       | (9.71    | )          |
| May                             |       | 9.40     |       | (6.36    | )          | 5.17     |       | 8.62     |       | 2.51     |       |
| June                            |       | 2.20     |       | (10.58   | )          | (8.58    | )          | 20.11    |       | (4.81    | )          |
| July                            |       | 1.33     |       | (2.34    | )          | (0.50    | )          | 7.24     |       | (4.07    | )          |
| August                          |       | (0.23    | )          | (0.45    | )          | 3.75     |       | 3.86     |       | 6.00     |       |
| September                       |       | 0.06     |       | 10.25    |       | (9.33    | )          | 6.17     |       | 2.94     |       |
| October                         |       | (0.05    | )          | 19.71    |       | (8.40    | )          | (7.83    | )          | 4.20     |       |
| November                        |       | 8.28     |       | 11.21    |       | 1.17     |       | (6.63    | )          | (14.60   | )          |
| December                        |       | (11.72   | )          | (2.89    | )          | 9.14     |       | 6.28     |       | 8.52     |       |
| Compound  Annual Rate of Return |       | (21.06   | )%         | 10.50    | %          | 7.33     | %          | 29.15    | %          | (2.15    | )%         |

 

----

(1) Certainfunds, including funds sponsored by MLAI, are structured so as to guarantee toinvestors that their investment will be worth no less than a specified amount(typically, the amount initially invested) as of a date certain after the dateof investment. The CFTC refers to such funds as “Principal Protected.”  The Partnership has no such feature.

 

(2) Worst Monthly Drawdown represents the largestnegative Monthly Rate of Return experienced by the Partnership since January 1,2001; a Drawdown is measured on the basis of month-end Net Asset Value only,and does not reflect intra-month figures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline from a month-endcumulative Monthly Rate of Return without such cumulative Monthly Rate ofReturn being equaled or exceeded as of a subsequent month-end experienced bythe Partnership since January 1, 2001. For example, if the Monthly Rate ofReturn 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 inthe amount of approximately (3)%, whereas if the Monthly Rate of Return hadbeen approximately 3% in March, the Peak-to-Valley Drawdown would have ended asof the end of February at approximately the (2)% level.

 

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

 

15

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**Item 7: Management’s Discussion and Analysis of Financial Conditionand Results of Operations**

 

**Results ofOperations**

 

General

 

JWH®’sprograms do not predict price movements. No fundamental economic supply demandanalysis is used and no macroeconomic assessments of the relative strengths ofdifferent national economies or economic sectors are used. Instead, theprograms apply proprietary computer models to analyzing past market data, andfrom this data alone attempt to determine whether market prices are trending.Technical traders such as JWH ® base their strategies on the theory that marketprices reflect the collective judgment of numerous different traders and are,accordingly, the best and most efficient indication of market movements.However, there are frequent periods during which fundamental factors externalto the market dominate prices.

 

If JWH®’smodels identify a trend, they signal positions which follow it. When thesemodels identify the trend as having ended or reversed, these positions areeither closed out or reversed. Due to their trend-following character, the JWH®programs do not predict either the commencement or the end of a price movement.Rather, their objective is to identify a trend early enough to profit from itand to detect its end or reversal in time to close out the Partnership’spositions while retaining most of the profits made from following the trend.

 

In analyzingthe performance of JWH®’s trend-following programs, economic conditions,political events, weather factors, etc., are not directly relevant because onlymarket data has any input into JWH®’s trading results. Furthermore, there is nodirect connection between particular market conditions and price trends. Thereare so many influences on the markets that the same general type of economicevent may lead to a price trend in some cases but not in others. The analysisis further complicated by the fact that the programs are designed to recognizeonly certain types of trends and to apply only certain criteria of when a trendhas begun. Consequently, even though significant price trends may occur, if thesetrends are not comprised of the type of intra-period price movements which theprograms are designed to identify, the Partnership may miss the trendaltogether.

 

The followingperformance summary outlines certain major price trends which the JWH® programshave identified for the Partnership since inception. The fact that certaintrends were captured does not imply that others, perhaps larger and potentiallymore profitable trends, were not missed or that JWH® will be able to capturesimilar trends in the future. Moreover, the fact that the programs wereprofitable in certain market sectors in the past does not mean that they willbe so in the future.

 

Thisperformance summary is an outline description of how the Partnership performedin the past, not necessarily any indication of how it will perform in thefuture. In addition, the general causes to which certain price movements areattributed may or may not in fact have caused such movements, but simplyoccurred at or about the same time.

 

While therecan be no assurance that trading directed by JWH®  will be profitable under any given marketcondition, markets in which substantial and sustained price movements occurtypically offer the best profit potential for the Partnership.

 

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PerformanceSummary

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

 

The Partnership posted lossesin all sectors.

 

Trading in the metals sectorswas the least unprofitable for the Partnership. At the beginning of the year,the loss in metals was primarily due to the weakness in both gold and aluminum.Gold which recently had a strong inverse relationship with the U.S. dollar cameunder pressure as the U.S. dollar strengthened. Aluminum sustained losses assupply increases in Shanghai (among other factors) put pressure on the market.A decrease in the Institute for Supply Management Non-Manufacturing BusinessActivity Index in the beginning of the second quarter initially caused basemetal prices to fall, while precious metals continued to appreciate. Goldprices rose in the middle of the second quarter as crude oil surged, and then dippedwith the strengthening of the U.S. economy. Gold prices continued to fall earlyin the third quarter as the U.S. dollar strengthened, reducing the metal’sappeal as an alternative investment. The cumulative effects of severe priceaction in the currencies and fixed income markets along with the market impactof Hurricane Katrina led gold to under perform. However, gold futures forDecember delivery closed at $475.80 on September 29th, the highest sinceJanuary 1988. November 29th, was also a record day as gold reached $506.70, thehighest price for a most-active contract since December 1987. Even though themetals sector had gains at the end of the year, that was not enough to offsetthe combined losses in other sectors.

 

The agricultural sector proved tobe the second least unprofitable for the Partnership. Early in the year therewas forecasted a drought season in Brazil which positively effected soy beanprices near term. Through the middle part of the year, there was no discernabletrend in agricultural commodities due to the fact of the increased volatilityin the market. Coffee returns rose after flooding caused by Hurricane Katrinaplaced bean inventories at risk in New Orleans, the second largest coffee portin the U.S. Sugar was an important commodity in the last quarter with theEuropean Union intentionally limiting the supply of white sugar in London andrising Brazilian demand for ethanol made from cane. However, the European Unionwas forced to cut sugar prices 36% after the World Trade Organization ruledthat the Euro nations were illegally subsidizing prices. The year ended withcoffee trading being a very significant part of this sector due to the factthat on December 9th Brazil, the world’s largest coffee grower, announced its2006-2007 crop would increase by 43.6 million bags which was less that what wasexpected.

 

The energy sector also postedlosses for the Partnership. The bull market trend did continue through thebeginning of  the year as commodityprices surged to a 24-year high due to signs of growing global demand forenergy-related goods. However, as it appeared that global demand for oil wouldpeak to a record 86.4 million barrels a day in the 4th quarter, an EnergyDepartment report informed investors of an unexpected surge in supplies becauseof increased productivity in refineries. Natural gas prices retreated fromrecord highs set in September, which resulted when Hurricanes Katrina and Ritastruck the Gulf Coast. The year ended with a dramatic fall in prices as aresult of private and government forecasters calling for warmer than normaltemperature across the country for the beginning of January. Predictions statedthat demand in the Midwest, where natural gas is the major heating fuel, willbe 20 percent lower than normal on average and in the Northeast, where 80percent of the nation’s  heating oil isused, will be 13 percent lower than normal on average. Crude oil’s surge at theend of December also hindered performance as the pricing dispute between Russiaand the Ukraine disrupted shipments of natural gas to Europe and raisedconcerns that Russia is not a reliable energy supplier.

 

17

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Stock indices and interest ratefutures was the fourth least profitable sector for the Partnership. Lossesoccurred in the beginning of the year resulting from a sell off in world equitymarkets, as stocks weakened because of high energy prices. In addition, stocksdropped as American International Group Inc., the world’s largest insurer, lostits top credit rating. Japanese stocks rallied in the third quarter on the newsthat the European Central Bank upgraded its assessment of the Japanese economy,citing improved business confidence and greater company investments however,gains were limited as the majority of the world’s equity markets weakened dueto record oil prices, caused by Hurricanes Katrina and Rita. Interest ratefutures having losses that were directly related to the fixed income sector asthe European, Japanese and U.S. bond markets sold off. The catalyst for thedramatic move higher in world interest rates was the cumulative effect ofincreases in both energy prices and inflation expectations. During the secondquarter, Japan’s government bond yields experienced record lows because ofanticipated economic slowdowns for two main reasons; the projection that thedemand for regional goods would wane because of a slowing U.S. economy andrecord high oil prices were expected to take a serious toll on the nation.Sector’s gains in the third quarter were limited as the majority of the world’sequity markets weakened during the quarter on concerns of record oil prices,caused by Hurricanes Katrina and Rita. The year ended with limited performancein the European fixed-income market volatility caused by changing expectationsas to whether or not the European Central Bank rate hike was a single increaseor the beginning of a series of further moves.

 

Trading in currencies was theleast profitable for the Partnership. Loss in the beginning of the year wasdirectly related to the strength of the U.S. dollar against most majorcurrencies. The recent dollar strength began when Federal Reserve Chairman AlanGreenspan predicted that the deficit in the U.S. current account, the broadestmeasure of trade, may shrink. However, the second quarter ended with a wideningspread between the two-year U.S. Treasury note and the German schatz, alongwith the rally of the U.S. dollar against the Japanese yen. In the thirdquarter, China revalued its yuan for the first time in a decade. The currencysector continued to suffer as the U.S. dollar rallied against the Euro, Swissfranc and British pound, but offset in part by gains in the Japanese yen andBrazilian real. The year ended with the U.S. dollar reversing its strengtheningto the Japanese yen because of the apparent Federal Reserve signals that it wascloser to ending its rate-hiking cycle. The sector also incurred losses fromweakness in the British pound as it weakened on expectations that the Bank ofEngland may have to cut rates.

 
| **2004**                          | ** ** | ** **  | ** **  |
|-----------------------------------|------------|-------------|-------------|
|                              |       |        |        |
| Energy                            |       | $           | 173,869,113 |   |
| Interest  Rates and Stock Indices |       | 43,882,548  |        |
| Currencies                        |       | 32,940,127  |        |
| Agricultural  Commodities         |       | 20,007,411  |        |
| Metals                            |       | (27,936,564 | )           |
|                              |       | $           | 242,762,635 |   |

 

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

 

Stock indicesand interest rate futures posted the second highest gains for the Partnership.Stock indices had strong gains in the beginning and end of the year. The re-electionof President Bush and the lack of any terrorist activity during the U.S.elections may have combined to decrease the uncertainty that had plagued theworld equity markets. U.S., European and Japanese stocks rallied after the U.S.election and energy prices decreased. Early gains for the interest rate futuresmay have been based upon the U.S. Federal Reserve’s accommodating interest ratepolicy being 

 

18

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maintained. Interest rates inthe European Central Bank community experienced a certain amount of downwardpressure, due to a terrorist attack in Spain, which may have dampenedconfidence in local communities. German interest rates fell as bond prices roseafter a report that German business confidence unexpectedly dropped to a ninemonth low as consumers curtailed their spending activity. The hawkish stance ofthe U.S. Federal Reserve combined with the expected concretionary effect ofhigher energy prices helped to push long-term interest rates lower and flattenthe yield curve. The year ended on increased volatility in the currency andenergy sectors which seemed to spill over to the debt markets and thereby mayhave negatively affected the Partnership’s performance.

 

The currencysector posted the third highest profit for the Partnership. The weakening U.S.dollar continued to decline as it has for over a year and the Partnership waswell positioned to capitalize on its U.S. dollar positions against othercurrencies. The strengthening in the U.S. dollar in mid-year attributed tolosses. The U.S. dollar weakened again in October. As a result of the U.S.dollar’s weakness, many currency markets were able to break out of theirwell-established trading ranges. The U.S. dollar’s decline, which seems to haveresulted from the uncertainty surrounding the outcome of the U.S. election, ledto profitable currency trades for the Partnership. December marked the thirdconsecutive annual decline of the dollar against both the euro and the yen.

 

Agriculturalsector posted gains for the Partnership. The best performers in the sector werecorn, soybeans and soybean oil. The price of cotton continued to move lower dueto the World Trade Organization’s ruling in June that U.S. subsidies to U.S.farmers are illegal, paving the way for increased cotton planting in othercountries. The only notable gain was in coffee, as prices rose to a four yearhigh on expectations that global demand was outpacing production, mainlybecause Brazil, the world’s top grower, harvested a small crop.

 

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

 
| **2003**                          | ** ** | ** **  | ** ** |
|-----------------------------------|------------|-------------|------------|
|                              |       |        |       |
| Interest  Rates and Stock Indices |       | $           | (6,638,594 | ) |
| Agricultural  Commodities         |       | (28,857,431 | )          |
| Currencies                        |       | 110,263,071 |       |
| Energy                            |       | (45,479,292 | )          |
| Metals                            |       | 15,978,958  |       |
|                              |       | $           | 45,266,712 |   |

 

ThePartnership’s overall trading was profitable for the year, resulting in an over7.33% compounded annual rate of return for 2003, net of all fees and expenses.The major contributor was the currency sector with the metals sector alsorealizing a profit. The remaining sectors had net losses for the year.

 

The currencysector had the greatest gains for the year. The weakening U.S. dollar continuedto decline as it has for over a year and the Partnership was well positioned tocapitalize on its U.S. dollar positions against other currencies. Thestrengthening in the U.S. dollar in the second quarter attributed to losses inJune and July. The U.S. dollar weakened again in September amid opinions thatexchange rates, particularly in Asian currencies, should have greaterflexibility and large profits were posted in the fourth quarter. December gainsmade up the majority of the profits for the year, primarily due to four majorforeign currencies, the Euro, Japanese yen, British pound, and the Swiss franc.

 

The metalssector proved profitable for the year as well. Gold drove profits in January,only to fall back in February and March when the German Bundesbank announced ithad sold a portion of its gold reserves.  The

 

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downward trend continued ingold during the second quarter alongside other metals. Gold’s performanceturned around in August and September on renewed buying interest from thespeculative community and because of anticipated higher inflation as a resultof the Federal Reserve’s monetary policy and the U.S.’s increased budgetdeficits. Copper drove most of the profits in October and gold proved to be thedriver of the profits in the latter half of the fourth quarter. This wasprimarily due to the weakening U.S. dollar, making precious metals moreaffordable in foreign currencies. Gold also does well historically in anegative real rate environment.

 

Stock indicesand interest rate futures posted losses for the year, despite large gains inthe first three quarters for interest rates and an overall profitable year forthe stock indices. The majority of the gains for stock indices were received inJune attributable to a weakening U.S. dollar. Investors sought higher yieldsthan readily available in U.S. dollar denominated assets, this lead to the saleof U.S. dollars against major currencies. The latter half of the year postedgains initially primarily due to the Osaka Nikkei and the Nasdaq-E-Mini. TheOsaka Nikkei then dropped amid heavy selling of Japanese bank stocks. The OsakaNikkei continued its decline to end the fourth quarter and the profits in theEurostoxx50, German Dax, and the Nasdaq-E-Mini were not enough to compensatefor the loss. Interest rates continued to push lower during the first quarteras economic data for the fourth quarter 2002 announced an annual growth ratefor the economy of only 1% for 2002. Consumer spending and confidence remainedlow and even the housing market stumbled in March. The global fixed incomemarkets continued their upward climb until mid-March when expectations of ashort conflict in Iraq triggered the liquidation of many fixed incomeinvestments hurting long exposures. The majority of the profits in the secondquarter came from the Japanese ten-year government bonds, which continued to bea very vibrant market for trading. The optimism in Japan sent the price of theJapanese ten-year government bond spiraling down from massive liquidation asthe ten-year interest rate tripled. This created the large losses in July,however the Partnership capitalized on the plummeting prices of Japaneseten-year government bonds in August. Unfortunately, the recovery of theJapanese ten-year government bonds in September caused significant losses forthe Partnership. The rising interest rates that began mid-year only to reversein September reversed again in October as interest rates started climbing oncemore. Terrorist activity in Saudi Arabia and Turkey cast a pall on the globaleconomic recovery in November. Additionally, talk of tariffs from the UnitedStates provided more incentive for reducing short positions.

 

Trading inagricultural commodities posted losses for the year. Trading was volatile duringthe second quarter with the largest positions held were coffee, cotton andcocoa. The downward trend in grains that started in June reversed in thebeginning of August due to harsh weather conditions. This diminished prospectsfor a large harvest season, forcing the speculators to cover short positions.Corn and cotton suffered the largest losses. New York sugar also incurred aloss due to heavy Brazilian producer selling, forcing the market down.Soybeans, bean oil and soy meal continued to trend higher due to lower U.S.production and increased global demand. Live cattle continued an upward trendand produced positive results for the third quarter, but when news broke of madcow disease the market reversed. Cotton and wheat were also down in the fourth quarter.

 

Energy was the mostunprofitable sector for the year. With the continuation of the strike inVenezuela, the tensions with Iraq and the cold winter, long positions in oiland natural gas were profitable in the beginning of the year. In February, thebest performing month, natural gas prices rose nearly 40% in a single day inconnection with  expected severely coldweather and supply shortages. Prices plummeted within a week of the start ofthe war with Iraq, causing the loss of almost half of the profits earned inJanuary and February. The sector had a positive return in April which wasreversed and overshadowed by negative results for May and June. The vastmajority of the losses occurred in natural gas, which was very volatile duringJune. Cooler weather in the northern states in the latter part of the secondquarter and the largest storage injection on record in the U.S. released inJune reversed the market, pushing it to the lows of the second quarter. InSeptember, OPEC agreed to cut quotas by 900,000 barrels a day in order tostabilize the price of oil. This surprise announcement quickly reversed theprevious downtrend, sending prices higher. Unfortunately, the profits innatural gas were not enough to compensate for the losses in crude oil, heatingoil, London gas oil and unleaded gas. In October, the worst performing month,when crude oil and related prices fell in connection with  news of higher than expected increases inU.S. inventories and anticipated moderate temperatures in the Midwest andNortheast. In November all components were up with the exception of heatingoil. The largest gains came from crude oil and natural gas. In December, crudeoil, heating oil, London gas oil and unleaded gas all contributed positivelyfor the month but were not enough to overcome the loss in natural gas.

 

**Variables Affecting Performance**

 

The principalvariables that determine the net performance of the Partnership are grossprofitability and interest income.

 

During allperiods set forth above “Selected Financial Data”, the interest rates in manycountries were 

 

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at unusually low levels. Thelow interest rates in the United States (although higher than in many othercountries) negatively impacted revenues because interest income is typically amajor component of the Partnership’s profitability. In addition, low interestrates are frequently associated with reduced fixed income market volatility,and in static markets the Partnership’s profit potential generally tends to bediminished. On the other hand, during periods of higher interest rates, therelative attractiveness of a high risk investment such as the Partnership maybe reduced as compared to high yielding and much lower risk fixed-incomeinvestments.

 

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

 

Unlike manyinvestment fields, there is no meaningful distinction in the operation of thePartnership between realized and unrealized profits. Most of the contractstraded by the Partnership are highly liquid and can be closed out at any time.

 

Except inunusual circumstances, factors—regulatory approvals, cost of goods sold,employee relations and the like—which often materially affect an operatingbusiness have virtually no impact on the Partnership.

 

**Liquidity;Capital Resources**

 

ThePartnership borrows only to a limited extent and only on a strictly short-termbasis in order to finance losses on non-U.S. dollar denominated tradingpositions pending the conversion of the Partnership’s U.S. dollar deposits.These borrowings are at a prevailing short-term rate in the relevant currency.

 

Inflation byitself does not affect profitability, but it can cause price movements that doso.

 

ThePartnership’s assets and open positions are generally highly liquid.

 

ThePartnership changes its positions and market focus frequently. Consequently,the fact that the Partnership realized gains or incurred losses in certainmarkets (gold, stock indices, currencies, etc.) in the past is not necessarilyindicative of whether the Partnership will do so in the future.

 

(ThePartnership has no off-balance sheet arrangements or tabular disclosure ofcontractual obligations of the type described in Items 3.03(a)(4) and3.03(a)(5) of Regulation S-K.)

 

**Item 7A: Quantitative and Qualitative Disclosures about Market Risk**

 

## Introduction

 

ThePartnership is a speculative commodity pool. The market sensitive instrumentsheld by it are acquired for speculative trading purposes and all orsubstantially all of the Partnership’s assets are subject to the risk oftrading loss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership’s main line ofbusiness.

 

Marketmovements result in frequent changes in the fair market value of thePartnership’s open positions and, consequently, in its earnings and cash flow.The Partnership’s market risk is influenced by a wide variety of factors,including the level and volatility of interest rates, exchange rates, equityprice levels, the market value of financial instruments and contracts, thediversification effects among the Partnership’s open positions and theliquidity of the markets in which it trades.

 

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ThePartnership, under the direction of JWH®, rapidly acquires and liquidates bothlong and short positions in a wide range of different markets. Consequently, itis not possible to predict how a possible future market scenario will affectperformance, and the Partnership’s past performance is not necessarilyindicative of its future results.

 

Value at Riskis a measure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty ofthe Partnership’s speculative trading and the recurrence in the markets tradedby the Partnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Value at Riskor the Partnership’s experience to date (i.e., “risk of ruin”). In light of theforegoing as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section should not beconsidered to constitute any assurance or representation that the Partnership’slosses in any market sector will be limited to Value at Risk or by thePartnership’s attempts to manage its market risk.

 

## Quantifying the Partnership’s Trading Value at Risk

 

Quantitative Forward-Looking Statements

 

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

 

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

 

Exchangemaintenance margin requirements have been used by the Partnership as themeasure of its Value at Risk. Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95% to 99% of the one-day time periods included in thehistorical sample (approximately one year, generally) researched for purposesof establishing margin levels. The maintenance margin levels are established bydealers and exchanges using historical price studies as well as an assessmentof current market volatility (including the implied volatility of the optionson a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

 

In the case ofmarket sensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements for theequivalent futures positions have been used as Value at Risk. In those rarecases in which a futures-equivalent margin is not available, dealers’ marginshave been used.

 

100% positivecorrelation in the different positions held in each market risk category hasbeen assumed. Consequently, the margin requirements applicable to the opencontracts have been aggregated to determine each trading category’s aggregateValue at Risk. The diversification effects (which would reduce the Value atRisk estimates) resulting from the fact that the Partnership’s positions arerarely, if ever, 100% positively correlated have not been reflected.

 

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

# ** **

The followingtable indicates the average, highest, and lowest trading Value at Riskassociated with the Partnership’s open positions by market category for thefiscal year 2005. During the fiscal year 2005, the Partnership’s averagecapitalization was approximately $1,266,792,130. During the fiscal year 2004,the Partnership’s average capitalization was approximately $957,699,076.

 

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December 31, 2005

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

 

December 31, 2004

 
| ** **               | ** ** | **Average Value** | ** **  | **% of Average** | ** ** | **Highest Value at** | ** ** | **Lowest Value at** | ** ** |
|--------------------------|------------|------------------------|-------------|----------------------------|------------|--------------------------------|------------|-------------------------------|------------|
| **Market Sector**   | ** ** | **at Risk**       | ** **  | **Capitalization**         | ** ** | **Risk**                       | ** ** | **Risk**                      | ** ** |
|                     |       |                   |        |                       |       |                           |       |                          |       |
| Interest Rates           |       | $                      | 148,202,754 |                       | 15.47      | %                              | $          | 211,838,811                   |       | $ | 69,568,572 |   |
| Currencies               |       | 50,175,719             |        | 5.24                       | %          | 117,645,627                    |       | 4,141,229                     |       |
| Stock Indices            |       | 5,729,844              |        | 0.60                       | %          | 21,513,263                     |       | 8,107                         |       |
| Metals                   |       | 10,054,248             |        | 1.05                       | %          | 45,391,384                     |       | 1,273,306                     |       |
| Agricultural Commodities |       | 2,660,376              |        | 0.28                       | %          | 7,125,453                      |       | 799,741                       |       |
| Energy                   |       | 10,778,367             |        | 1.13                       | %          | 17,030,111                     |       | 6,021,891                     |       |
|                     |       |                   |        |                       |       |                           |       |                          |       |
| Total                    |       | $                      | 227,601,308 |                       | 23.77      | %                              | $          | 420,544,649                   |       | $ | 81,812,846 |   |

 

Material Limitations on Value at Risk as an Assessment of Market Risk

 

The face value of the market sector instruments heldby the Partnership is typically many times the applicable maintenance marginrequirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Partnership. The magnitude of the Partnership’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles. Because of the size of its positions, certain market conditions —unusual, but historically recurring from time to time — could cause thePartnership to incur severe losses over a short period of time. Evencomparatively minor losses could cause MLAI to further deleverage or terminatethe Partnership’s trading. The foregoing Value at Risk table — as well as thepast performance of the Partnership — gives no indication of this “risk ofruin.”

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Partnership has non-trading market risk on itsforeign cash balances not needed for margin. These balances (as well as themarket risk they represent) are generally immaterial.

 

The Partnership also has non-trading market risk onthe approximately 90-95% of its assets which are held in cash at MLPF&S. Thevalue of this cash is not interest rate sensitive, but there is cash flow riskin that if interest rates decline so will the cash flow generated on thesemonies. This cash flow risk is generally immaterial.

 

**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

 

The following qualitativedisclosures regarding the Partnership’s market risk exposures — except for (i)those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary 

 

23

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market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section21E of the Securities Exchange Act. The Partnership’s primary market riskexposures as well as the strategies used and to be used by MLAI and JWH® formanaging such exposures are subject to numerous uncertainties, contingenciesand risks, any one of which could cause the actual results of the Partnership’srisk controls to differ materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of thePartnership. There can be no assurance that the Partnership’s current marketexposure and/or risk management strategies will not change materially or thatany such strategies will be effective in either the short- or long-term. Investorsmust be prepared to lose all or substantially all of the time value of theirinvestment in the Partnership.

 

24

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The following were the primary trading risk exposuresof the Partnership as of December 31, 2005, by market sector.

 

**Currencies**.

The Partnership trades in a large number of currencies.However, the Partnership’s major exposures have typically been in the U.S.dollar/Japanese yen, U.S. dollar/Swiss Franc, U.S. dollar/Euro and U.S. dollar/British pound positions. MLAI does not anticipate that the risk profile of thePartnership’s currency sector will change significantly in the future. Thecurrency trading Value at Risk figure includes foreign margin amounts convertedinto U.S. dollars with an incremental adjustment to reflect the exchange raterisk of maintaining Value at Risk in a functional currency other than U.S.dollars.

 

**InterestRates**.

Interest rate movements directly affect the price ofderivative sovereign bond positions held by the Partnership and indirectly thevalue of its stock index and currency positions. Interest rate movements in onecountry, as well as relative interest rate movements between countries,materially impact the Partnership’s profitability. The Partnership’s primaryinterest rate exposure is to interest rate fluctuations in the United Statesand the other G-7 countries. However, the Partnership also takes positions inthe government debt of smaller nations — e.g*.,* New Zealandand Australia.

 

**Stock Indices**.

The Partnership’s primary equity exposure is to G-7equity index price movements. As of December 31, 2005, the Partnership’sprimary exposures were in the S&P 200, Nikkei (Japan) and DAX (Germany)stock indices. MLAI anticipates little, if any, trading in non-G-7 stockindices. The Partnership is primarily exposed to the risk of adverse pricetrends or static markets in the major U.S., European and Asian indices.

 

**Energy**.

The Partnership’s primary energy market exposure is tonatural gas and oil price movements, often resulting from politicaldevelopments in the Middle East. Oil prices can be volatile and substantialprofits and losses have been and are expected to continue to be experienced inthis market.

 

**Metals**.

The Partnership’s primary metals market exposure is tofluctuations in the price of gold and silver. Although JWH® trades base metalssuch as aluminum, copper and tin, the principal market exposures of thePartnership have consistently been in the precious metals, gold and silver. However,gold prices can be volatile, and JWH® has from time to time taken substantialpositions, as it has perceived market opportunities to develop. MLAIanticipates that gold and silver will remain the primary metals market exposurefor the Partnership.

 

**AgriculturalCommodities**.

The Partnership’s primary agricultural commoditiesexposure is to agricultural price movements, which are often directly affectedby severe or unexpected weather conditions. Sugar and coffee accounted for alarge portion  of the Partnership’scommodities exposure as of December 31, 2005. In the past, the Partnership hashad material market exposure to grains and live cattle and may do so again inthe future. However, MLAI anticipates that JWH® will maintain an emphasis onsoybeans, grains, coffee and sugar, in which the Partnership has historicallytaken its largest positions.

 

25

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**Qualitative Disclosures Regarding Non-Trading RiskExposure**

 

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2005.

 

**Foreign Currency Balances.**

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

 

**U.S. Dollar Cash Balance**

The Partnership hold U.S. dollars only in cash atMLPF&S. The Partnership has immaterial cash flow interest rate risk on itscash on deposit with MLPF&S in that declining interest rates would causethe income from such cash to decline.

 

**Qualitative Disclosures Regarding Means ofManaging Risk Exposure**

 

#### Trading Risk

 

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

 

**Risk Management**

 

JWH® attempts to control risk in all aspects of theinvestment process — from confirmation of a trend to determining the optimalexposure in a given market, and to money management issues such as the startupor upgrade of investor accounts. JWH® double checks the accuracy of marketdata, and will not trade a market without multiple price sources for analyticalinput. In constructing a portfolio, JWH® seeks to control overall risk as wellas the risk of any one position, and JWH® trades only markets that have beenidentified as having positive performance characteristics. Trading disciplinerequires plans for the exit of a market as well as for entry. JWH® factors thepoint of exit into the decision to enter (stop loss). The size of JWH®’spositions in a particular market is not a matter of how large a return can begenerated but of how much risk it is willing to take relative to that expectedreturn.

 

To attempt to reduce the risk of volatility whilemaintaining the potential for excellent performance, proprietary research isconducted on an ongoing basis to refine the JWH® investment strategies. Researchmay suggest substitution of alternative investment methodologies with respectto particular contracts; this may occur, for example, when the testing of a newmethodology has indicated that its use might have resulted in differenthistorical performance. In addition, risk management research and analysis maysuggest modifications regarding the relative weighting among various contracts,the addition or deletion of particular contracts for a program, or a change inposition size in relation to account equity. The weighting of capital committedto various markets in the investment programs is dynamic, and JWH® may vary theweighting at its discretion as market conditions, liquidity, position limitconsiderations and other factors warrant.

 

JWH® may determine that risks arise when markets areilliquid or erratic, which may occur cyclically during holiday seasons, or onthe basis of irregularly occurring market events. In such cases, JWH® at itssole discretion may override computer-generated signals and may at times usediscretion in the application of its quantitative models, which may affectperformance positively or negatively.

 

Adjustments in position size in relation to accountequity have been and continue to be an integral part of JWH®’s investmentstrategy. At its discretion, JWH® may adjust the size of a position in relationto equity in certain markets or entire programs. Such adjustments may be madeat certain times for some programs but not for others. Factors which may affectthe decision to adjust the size of a position in relation to account equityinclude ongoing research, program volatility, assessments of current marketvolatility and risk exposure, subjective judgment, and 

 

26

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evaluation of these and other general market conditions.

 

## Non-Trading Risk

 

The Partnership controls the non-trading exchange raterisk by regularly converting foreign currency balances back into U.S. dollarsat least once per week and more frequently if a particular foreign currencybalance becomes unusually high.

 

The Partnership has cash flow interest rate risk onits cash on deposit with MLPF&S in that declining interest rates wouldcause the income from such cash to decline. However, a certain amount of cashor cash equivalents must be held by the Partnership in order to facilitatemargin payments and pay expenses and redemptions. MLAI does not take any stepsto limit the cash flow risk on the cash held on deposit at MLPF&S.

 

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

 

**Selected Quarterly Financial Data**

**ML JWH Strategic Allocation Fund L.P.**

 

NetIncome by Quarter

Eight Quartersthrough December 31, 2005

 
| ** **                 | ** ** | **Fourth**  | ** **  | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**    | ** ** | **Second**  | ** **  | **First**   | ** ** |
|----------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|--------------|------------|-------------|-------------|-------------|------------|
| ** **                 | ** ** | **Quarter** | ** **  | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter**  | ** ** | **Quarter** | ** **  | **Quarter** | ** ** |
| ** **                 | ** ** | **2005**    | ** **  | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2004**    | ** ** | **2004**     | ** ** | **2004**    | ** **  | **2004**    | ** ** |
| Total Income (Loss)        |       | $           | (37,520,413 | )           | $          | 35,252,571  |       | $           | 18,164,031 |        | $          | (239,009,576 | )          | $           | 355,285,751 |        | $          | 82,400,609 |   | $ | (249,330,534 | ) | $ | 68,540,232 |   |
| Total Expenses             |       | 20,416,107  |        | 20,111,863  |       | 18,666,327  |       | 18,304,827  |       | 52,552,061  |       | 13,736,729   |       | 12,898,231  |        | 20,628,194  |       |
| Net Income (Loss)          |       | $           | (57,936,520 | )           | $          | 15,140,708  |       | $           | (502,296   | )           | $          | (257,314,403 | )          | $           | 302,733,690 |        | $          | 68,663,880 |   | $ | (262,228,765 | ) | $ | 47,912,038 |   |
|                       |       |        |        |        |       |        |       |        |       |        |       |         |       |        |        |        |       |
| Net Income (Loss) per Unit |       | $           | (9.45       | )           | $          | 2.47        |       | $           | (0.08      | )           | $          | (45.99       | )          | $           | 58.53       |        | $          | 14.39 |   | $ | (63.45 | ) | $ | 14.39 |   |

 

The financial statements required by this Item areincluded in Exhibit 13.01.

 

The supplementary financial information (“informationabout oil and gas producing activities”) specified by Item 302(b) of RegulationS-K is not applicable.

 

**Item 9:   Changes in and Disagreements with Accountants on Accounting andFinancial Disclosure**

 

There were no changes in or disagreements with the independentregistered public accounting firm on accounting and financial disclosure.

 

**Item 9A:  Controls and Procedures**

 

Merrill Lynch AlternativeInvestments LLC, the General Partner of ML JWH Strategic Allocation Fund L.P.,with the participation of the General Partner’s Chief Executive Officer and theChief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to thePartnership as of the end of the period covered by this annual report, and,based on their evaluation, have concluded that these disclosure controls andprocedures are effective. Additionally, there were no significant changes inthe Partnership’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of their evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

**Item 9B:  OtherInformation**

 

Not applicable.

 

27

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**PART III**

 

**Item 10: Directors andExecutive Officers of the Registrant**

 

10(a) and 10(b)      Identificationof Directors and Executive Officers:

 

As a limited partnership, the Partnership itself hasno officers or directors and is managed by MLAI. Trading decisions are made byJWH on behalf of the Partnership.

 

The managers and executive officers of MLAI and theirrespective business backgrounds are as follows:

 
| **Robert M. Alderman**  | Chief Executive Officer, President and Manager         |
|-------------------------|--------------------------------------------------------|
| ** **              |                                                   |
| **Steven B. Olgin**     | Vice President, Chief Operating Officer and Manager    |
| ** **              |                                                   |
| **Michael L. Pungello** | Vice President, Chief Financial Officer and  Treasurer |
| ** **              |                                                   |
| **Jeffrey F. Chandor**  | Manager                                                |

 

Mr. Alderman was born in 1960.Mr. Robert M. Alderman is Chief Executive Officer, President and Manager ofMLAI. Mr. Alderman is a Managing Director of Merrill Lynch Global PrivateClient and global head of Retail Sales and Business Management for AlternativeInvestments. Prior to re-joining Merrill Lynch and the International PrivateClient Group in 1999, he was a partner in the Nashville, Tennessee based firmof J.C. Bradford & Co. where he was the Director of Marketing, and aNational Sales Manager for Prudential Investments. Mr. Alderman first joinedMerrill Lynch in 1987 where he worked until 1997. During his tenure at MerrillLynch, Mr. Alderman has held positions in Financial Planning, Asset Managementand High Net Worth Services. He received his Master’s of BusinessAdministration from the Carroll School of Management Boston College and aBachelor of Arts from Clark University.

 

Steven B. Olgin was born in 1960. Mr. Olgin is VicePresident, Chief Operating Officer and a Manager of MLAI. He joined MLAI inJuly 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 inBusiness Administration and a Bachelor of Arts in Economics. In 1986, hereceived his Juris Doctor from the John Marshall Law School. Mr. Olgin is amember of the Managed Funds Association’s Government Relations Committee andhas served as an arbitrator for the National Futures Association. Mr. Olgin isa member of the Illinois Bar.

 

Michael L. Pungello was born in 1957. Mr. Pungello isa Vice President, Chief Financial Officer and Treasurer of MLAI. He was FirstVice President and Senior Director of Finance for Merrill Lynch’s Operations,Services and Technology Group from January 1998 to March 1999. Prior to that,Mr. Pungello spent over 18 years with Deloitte & Touche LLP, and was apartner in their financial services practice from June 1990 to December 1997.He graduated from Fordham University in 1979 with a Bachelor of Science inAccounting and received his Master’s of Business Administration in Finance fromNew York University in 1987.

 

Jeffrey F. Chandor was born in 1942. Mr. Chandor isthe Global Sales Director of the General Partner. Mr. Chandor became a Managerof the General Partner on April 1, 2003. He was a Senior Vice President,Director of Sales, Marketing and Research and a Director of Merrill LynchInvestment Partners, Inc., a predecessor to the General Partner. He joinedMerrill Lynch, Pierce, Fenner & Smith Incorporated in 1971 and has servedas the Product Manager of International Institutional Equities, EquityDerivatives and Mortgage-Backed Securities as well as Managing Director ofInternational Sales in the United States, and Managing Director of Sales inEurope. Mr. Chandor holds a Bachelor of Arts degree from Trinity College,Hartford, Connecticut.

 

28

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As of December 31, 2005, the principals of MLAI had noinvestment in the Partnership, and MLAI’s general partner interest in thePartnership was valued at $12,613,943.

 

MLAI acts as thesponsor, general partner or manager to ten public futures funds whose units oflimited partner or member interests are registered under the SecuritiesExchange Act of 1934: ML Select Futures I L.P., ML John W. Henry & Co. /Milburn L.P., ML Global Horizons I L.P., ML Principal Protection L.P., MLFutures Investments L.P., ML Appleton FuturesAccess LLC, ML AspectFuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML Winton FuturesAccessLLC and the Partnership. Because MLAI serves as the sponsor, general partner ormanager of each of these funds, the officers and managers of MLAI effectivelymanage them as officers and directors of such funds.

 

(c)           Identificationof Certain Significant Employees:

 

John W. Henry & Company, Inc. is the tradingadvisor of the Partnership. Were JWH®’s services no longer to be available tothe Partnership, the Partnership would, in all likelihood, dissolve.

 

(d)           FamilyRelationships:

 

None.

 

(e)           BusinessExperience:

 

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

 

(f)            Involvementin Certain Legal Proceedings:

 

None.

 

(g)           Promotersand Control Persons:

 

Not applicable.

 

(h)           AuditCommittee Financial Expert:

 

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

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

Code of Ethics

 

The Partnership has adopted a code of ethics, as ofthe end of the period covered by this report, that applies to the Partnership’s(MLAI’s) principal executive officer and principal financial officer or personsperforming similar functions on behalf of the Partnership. A copy of the codeof ethics is available to any person, without charge, upon request by calling1-877-465-8435.

 

**Item 11:  Executive Compensation**

 

The officers of MLAI are remunerated in theirrespective positions. The Partnership does not itself have any officers,directors or employees. The Partnership pays Brokerage Commissions to anaffiliate of MLAI and Administrative Fees to MLAI. MLAI or its affiliates mayalso receive certain economic benefits from holding certain of the Partnership’sU.S. dollar Available Assets in offset accounts, as described in Item 1(c)above. The managers and officers receive no “other compensation” from thePartnership, and the managers receive no compensation for serving as 

 

29

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managers of MLAI. There are no compensation plans or arrangementsrelating to a change in control of either the Partnership or MLAI.

 

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

 

(a)           SecurityOwnership of Certain Beneficial Owners:

 

Not applicable (The Units are non-voting limitedpartnership interests.  The Partnershipis managed by MLAI, its general partner).

 

(b)           SecurityOwnership of Management:

 

As of December 31, 2005, MLAI owned 61,381 Unit-equivalentgeneral partnership interests, which was 1.02% of the total Units outstanding.

 

(c)           Changesin Control:

 

None.

 

(d)           SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

 

**Item 13:  Certain Relationships and RelatedTransactions**

 

(a)           Transactionsbetween Merrill Lynch and the Partnership

 

All of the service providers to the Partnership, otherthan JWH®, are affiliates of Merrill Lynch. Merrill Lynch negotiated with JWH®over the level of its advisory fees and Profit Share. However, none of the feespaid by the Partnership to any Merrill Lynch party were negotiated, and theyare higher than would have been obtained in arm’s-length bargaining.

 

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

 

Within the Merrill Lynch organization, MLAI is thedirect beneficiary of the revenues received by different Merrill Lynch entitiesfrom the Partnership. MLAI controls the management of the Partnership andserves as its promoter. Although MLAI has not sold any assets, directly orindirectly, to the Partnership, MLAI makes substantial profits from thePartnership due to the foregoing revenues.

 

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

 

MLAI pays substantial selling commissions and trailingcommissions to MLPF&S for distributing the Units. MLAI is ultimately paidback for these expenditures from the revenues it receives from the Partnership.

 

(b)           CertainBusiness Relationships:

 

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

 

In 2005, the Partnership expensed: (i) BrokerageCommissions of $73,622,017 to the Commodity Broker, which included $25,527,634 inConsulting Fees paid by the Commodity Broker to JWH®; and (ii) AdministrativeFees of $3,450,957 to MLAI. In addition, MLAI and its affiliates derivedcertain economic benefit from possession of the Partnership’s assets, as wellas from foreign exchange and EFP trading.

 

30

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See Item 1(c), “Narrative Description of Business — Charges”and “— Description of Current Charges” for a discussion of other businessdealings between MLAI affiliates and the Partnership.

 

(c)           Indebtednessof Management:

 

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

 

**Item 14: Principal AccountantFees and Services**

 

(a)           AuditFees

 

Aggregate fees billed forprofessional services rendered by Deloitte & Touche LLP in connection withthe audit of the Partnership’s consolidated financial statements as of and for theyear ended December 31, 2005 were $65,500.

 

Aggregate fees billed forthese services for the year ended December 31, 2004 were $50,000.

 

(b)           Audit-RelatedFees

 

There were no otheraudit-related fees billed for the years ended December 31, 2005 or 2004 relatedto the Partnership.

 

(c)           TaxFees

 

Aggregate fees billed forprofessional services rendered by Deloitte Tax LLP in connection with the taxcompliance, advice and preparation of the Partnership’s tax returns for theyear ended December 31, 2005 were $51,500.

 

Aggregate fees billed forthese services for the year ended December 31, 2004 were $50,000.

 

(d)           AllOther Fees

 

No fees were billed toDeloitte and Touche LLP or Deloitte Tax LLP during the years ended December 31,2005 or 2004 for any other professional services in relation to thePartnership.

 

Neither the Partnershipnor MLAI has an audit committee to pre-approve principal accountant fees andservices. In lieu of an audit committee, the managers and the principalfinancial officer pre-approve all billings prior to the commencement ofservices.

 

31

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**PART IV**

 

**Item 15:  Exhibits and Financial Statement Schedules**

 
| 1.     |   | Financial Statements:                                                            |   |   |
|--------|--------|----------------------------------------------------------------------------------|--------|--------|
|   |   |                                                                             |   |   |
|   |   | Report of Independent Registered Public Accounting  Firm                         |   | 1      |
|   |   |                                                                             |   |   |
|   |   | Consolidated Statements of Financial Condition as of  December 31, 2005 and 2004 |   | 2      |
|   |   |                                                                             |   |   |
|   |   | For the years ended December 31, 2005, 2004 and  2003:                           |   |   |
|   |   | Consolidated  Statements of Operations                                           |   | 3      |
|   |   | Consolidated  Statements of Changes in Partners’ Capital                    |   | 4      |
|   |   |                                                                             |   |   |
|   |   | Consolidated Financial Data Highlights for the year  ended December 31, 2005     |   | 5      |
|   |   |                                                                             |   |   |
|   |   | Notes to Consolidated Financial Statements                                       |   | 6      |
|   |   |                                                                             |   |   |
|   |   |                                                                             |   |   |
| 2.     |   | Financial Statement Schedules:                                                   |   | 9      |

 

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

 

3.         Exhibits:

 

The following exhibitsare incorporated by reference or are filed herewith to this Annual Report onForm 10-K:

 
| **Designation:** | ** ** | **Description**                                                                                                                                                                                                                                                           |
|------------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|             |       |                                                                                                                                                                                                                                                                      |
| 1.01             |       | Form of Selling Agreement among the Registrant,  MLAI, MLPF&S and JWH®.                                                                                                                                                                                          |
|             |       |                                                                                                                                                                                                                                                                      |
| Exhibit 1.01:    |       | Is incorporated herein by reference from Exhibit  1.01 contained in Amendment No. 2 to the Registration Statement (File No.  33-80509) filed on April 23, 1996, on Form S-1 under the Securities Act of  1933 (the “Registrant’s Registration Statement”). |
|             |       |                                                                                                                                                                                                                                                                      |
| 3.01(i)          |       | Certificate of Limited Partnership of the Registrant.                                                                                                                                                                                                                     |
|             |       |                                                                                                                                                                                                                                                                      |
| Exhibit 3.01(i): |       | Is incorporated herein by reference from Exhibit  3.01 contained in the Registrant’s Registration Statement.                                                                                                                                                         |
|             |       |                                                                                                                                                                                                                                                                      |
| 10.01            |       | Form of Joint Venture Agreement among the  Registrant, MLAI, MLPF&S and JWH®.                                                                                                                                                                                    |
|             |       |                                                                                                                                                                                                                                                                      |
| Exhibit 10.01:   |       | Is incorporated herein by reference from Exhibit  10.01 contained in the Registrant’s Registration Statement.                                                                                                                                                        |
|             |       |                                                                                                                                                                                                                                                                      |
| 10.02            |       | Form of Customer Agreement between the Registrant’s  joint venture with JWH® and MLPF&S.                                                                                                                                                                    |
|             |       |                                                                                                                                                                                                                                                                      |
| Exhibit 10.02:   |       | Is incorporated herein by reference from Exhibit  10.02 contained in the Registrant’s Registration Statement.                                                                                                                                                        |
|             |       |                                                                                                                                                                                                                                                                      |
| 10.03            |       | Foreign Exchange Desk Service Agreement among  Merrill Lynch Investment Bank, MLAI, MLPF&S and the Partnership.                                                                                                                                                       |
|             |       |                                                                                                                                                                                                                                                                      |
| Exhibit 10.03:   |       | Is incorporated herein by reference from Exhibit  10.03 contained in the Registrant’s Registration Statement.                                                                                                                                                        |
|             |       |                                                                                                                                                                                                                                                                      |
| 10.04            |       | Joint Venture Agreement Amendment among JWH® and the  Partnership.                                                                                                                                                                                                   |

 

32

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| Exhibit 10.04:           |   | Is incorporated herein by reference from Exhibit  10.04 contained in the Registrant’s Form 10-K for the fiscal year ended  December 31, 2001, filed on March 30, 2002.                                                           |
|--------------------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                     |   |                                                                                                                                                                                                                                  |
| 10.05                    |   | Form of Subscription Agreement and Power of Attorney  (included as Exhibit C to the Prospectus).                                                                                                                                      |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 10.05:           |   | Is incorporated herein by reference from Exhibit  10.05 contained in the Registrant’s Registration Statement.                                                                                                                    |
|                     |   |                                                                                                                                                                                                                                  |
| 10.06                    |   | Form of Investment Advisory Contract among the  Registrant’s joint venture with JWH®, MLAI, and MLPF&S.                                                                                                                 |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 10.06:           |   | Is incorporated herein by reference from Exhibit  10.06 contained in the Registrant’s Registration Statement.                                                                                                                    |
|                     |   |                                                                                                                                                                                                                                  |
| 10.07                    |   | Form of Custody Agreement among the Registrant’s  joint venture with JWH® and MLPF&S.                                                                                                                                   |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 10.07:           |   | Is incorporated herein by reference from Exhibit  10.07 contained in the Registrant’s Registration Statement.                                                                                                                    |
|                     |   |                                                                                                                                                                                                                                  |
| 10.08                    |   | Form of Limited Liability Company Operating  Agreement.                                                                                                                                                                               |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 10.08:           |   | Is incorporated herein by reference from Exhibit  10.08 contained in the Registrant’s Form 10-K, for the fiscal year ended  December 31, 1997, filed March 30, 1998.                                                             |
|                     |   |                                                                                                                                                                                                                                  |
| 10.09                    |   | Form of Amendatory Agreement.                                                                                                                                                                                                         |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 10.09:           |   | Is incorporated herein by reference from Exhibit  10.09 contained in the Registrant’s Registration Statement.                                                                                                                    |
|                     |   |                                                                                                                                                                                                                                  |
| 13.01                    |   | 2005 Annual Report and Report of Independent  Registered Public Accounting Firm.                                                                                                                                                      |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 13.01:           |   | Is filed herewith.                                                                                                                                                                                                                    |
|                     |   |                                                                                                                                                                                                                                  |
| 28.01                    |   | Prospectus of the Partnership dated March 31, 2005.                                                                                                                                                                                   |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibit 28.01:           |   | Is incorporated herein by reference as filed with  the Securities and Exchange Commission pursuant to Rule 424 under the  Securities Act of 1933, Registration Statement (File No. 333-80509) on Form  S-1, effective March 31, 2003. |
|                     |   |                                                                                                                                                                                                                                  |
| 31.01 and 31.02          |   | Rule 13a-14(a)/15d-14(a) Certifications.                                                                                                                                                                                              |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibits 31.01 and 31.02 |   | Are filed herewith.                                                                                                                                                                                                                   |
|                     |   |                                                                                                                                                                                                                                  |
| 32.01 and 32.02          |   | Section 1350 Certifications.                                                                                                                                                                                                          |
|                     |   |                                                                                                                                                                                                                                  |
| Exhibits 32.01 and 32.02 |   | Are filed herewith.                                                                                                                                                                                                                   |

 

33

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SIGNATURES

 

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

 
|       | **ML JWH STRATEGIC ALLOCATION FUND L.P.**      |
|------------|------------------------------------------------|
|       |                                           |
| ** ** | By:                                            | **MERRILL LYNCH ALTERNATIVE INVESTMENTS  LLC** |
| ** ** |                                           |  General Partner |
|       |                                           |
|       | By:                                            | /s/Robert M. Alderman |   |
|       | Robert M. Alderman                             |
|       | Chief Executive Officer, President and Manager |
|       | (Principal Executive Officer)                  |
|            |                                                |  |  |  |

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, this report has been signed on March 31,2006 by the following persons on behalf of the Registrant and in the capacitiesindicated.

 
| **Signature**          | ** ** | **Title** | ** **                                             | **Date** | ** **    |
|------------------------|------------|-----------|--------------------------------------------------------|----------|---------------|
|                   |       |      |                                                   |     |          |
| /s/Robert M. Alderman  |       |      | Chief Executive Officer, President and Manager         |     | March 1, 2006 |   |
| Robert M. Alderman     |       |      | (Principal Executive Officer)                          |     |          |   |
|                   |       |      |                                                   |     |          |   |
| /s/Steven B. Olgin     |       |      | Vice President, Chief Operating Officer and Manager    |     | March 1, 2006 |   |
| Steven B. Olgin        |       |      |                                                   |     |          |   |
|                   |       |      |                                                   |     |          |   |
| /s/Michael L. Pungello |       |      | Vice President, Chief Financial Officer and  Treasurer |     | March 1, 2006 |   |
| Michael L. Pungello    |       |      | (Principal Financial and Accounting Officer)           |     |          |   |
|                   |       |      |                                                   |     |          |   |
| /s/Jeffrey F. Chandor  |       |      | Manager                                                |     | March 1, 2006 |   |
| Jeffrey F. Chandor     |       |      |                                                   |     |          |   |

 

(Being the principal executive officer, the principal financial andaccounting officer and a majority of the managers of Merrill Lynch AlternativeInvestments LLC)

 
| **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC** |   |          |   |
|-----------------------------------------------|--------|---------------|--------|
| General Partner of Registrant                 |   | March 1, 2006 |   |
| Robert M. Alderman                            |   |          |   |

 
| By:    | /s/Robert M. Alderman                          |   |   |
|--------|------------------------------------------------|--------|--------|
|   | Robert M. Alderman                             |
|   | Chief Executive Officer, President and Manager |
|   | (Principal Executive Officer)                  |

 

34

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**ML JWH STRATEGIC ALLOCATION FUNDL.P.**

 

2005 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **    | ** ** | **Exhibit**                                                                      |
|---------------|------------|----------------------------------------------------------------------------------|
|          |       |                                                                             |
| Exhibit 13.01 |       | 2005 Annual Report and Report of Independent Registered  Public Accounting Firm. |

 

35

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