**Exhibit13.01**

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

***(A Delaware Limited Partnership)***

***ANDJOINT VENTURE***

Consolidated Financial Statements for the years endedDecember 31, 2006, 2005 and 2004and Report of Independent Registered Public Accounting Firm

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ML JWH STRATEGICALLOCATION FUND L.P.(A Delaware Limited Partnership) AND JOINT VENTURE

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

 

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REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Tothe Partners of  ML JWH Strategic Allocation Fund L.P.:

Wehave audited the accompanying consolidated statements of financial condition ofML JWH Strategic Allocation Fund L.P. (the “Partnership”) and ML/JWH StrategicJoint Venture as of December 31, 2006 and 2005, and the related consolidatedstatements of operations and of changes in partners’ capital for each of thethree years in the period ended December 31, 2006 and the consolidatedfinancial data highlights for the year ended December 31, 2006.  These consolidated financial statements andconsolidated financial data highlights are the responsibility of thePartnership’s management. Our responsibility is to express an opinion on thesefinancial statements and financial data highlights based on our audits.

We conducted ouraudits in accordance with the standards of the Public Company AccountingOversight Board (United States).  Thosestandards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial data highlightsare free of material misstatement. The Partnership is not required to have, norwere we engaged to perform, an audit of its internal control over financialreporting. Our audits included consideration of internal control over financialreporting as a basis for designing audit procedures that are appropriate in thecircumstances but not for the purpose of expressing an opinion on theeffectiveness of the Partnership’s internal control over financial reporting.Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supportingthe amounts and disclosures in the financial statements, assessing theaccounting principles used and significant estimates made by management, aswell as evaluating the overall financial statement presentation.  We believe that our audits provide areasonable basis for our opinion.

In our opinion, theconsolidated financial statements and consolidated financial data highlightsreferred to above present fairly, in all material respects, the financialposition of ML JWH Strategic Allocation Fund L.P. and ML/JWH Strategic JointVenture as of December 31, 2006 and 2005, the results of their operations and thechanges in their partners’ capital for each of the three years in the periodthen ended, and the financial data highlights for the year then ended, inconformity with accounting principles generally accepted in the United Statesof America.
| /s/Deloitte  and Touche |   |
|-------------------------|--------|
| Deloitte and Touche     |
|                    |
| New York, New York      |
| March 2, 2007           |

 

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ML JWH STRATEGICALLOCATION FUND L.P.

(A Delaware Limited Partnership) AND JOINT VENTURE

CONSOLIDATEDSTATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2006 AND 2005
| ** **                                                                          | ** ** | **2006**    | ** **  | **2005**      | ** ** |
|-------------------------------------------------------------------------------------|------------|-------------|-------------|---------------|------------|
| **ASSETS**                                                                          | ** ** | ** **  | ** **  | ** **    | ** ** |
| Equity in commodity  futures trading accounts:                                      |       |        |        |          |       |
| Cash (includes  restricted cash of $313,038,069 for 2006 and $430,918,337 for 2005) |       | $           | 833,258,309 |          | $          | 1,259,995,704 |   |
| Net unrealized  profit (loss) on open contracts                                     |       | 7,308,299   |        | (4,725,026    | )          |
| Accrued interest                                                                    |       | 3,815,156   |        | 4,186,964     |       |
| Subscriptions  receivable                                                           |       | 10,648      |        | 11,450        |       |
|                                                                                |       |        |        |          |       |
| **TOTAL  ASSETS**                                                                   |       | $           | 844,392,412 |          | $          | 1,259,469,092 |   |
|                                                                                |       |        |        |          |       |
| **LIABILITIES AND PARTNERS’  CAPITAL AND MINORITY INTEREST:**                  | ** ** | ** **  | ** **  | ** **    | ** ** |
| LIABILITIES:                                                                        |       |        |        |          |       |
| Brokerage commissions  payable                                                      |       | $           | 4,045,866   |          | $          | 6,034,745 |   |
| Profit Share  payable                                                               |       | —      |        | 6,312         |       |
| Redemptions  payable                                                                |       | 47,544,300  |        | 18,710,981    |       |
| Ongoing offering  costs payable                                                     |       | 125,000     |        | 75,000        |       |
| Administrative  and filing fees payable                                             |       | 196,749     |        | 283,221       |       |
|                                                                                |       |        |        |          |       |
| Total liabilities                                                                   |       | 51,911,915  |        | 25,110,259    |       |
|                                                                                |       |        |        |          |       |
| **PARTNERS’ CAPITAL:**                                                         | ** ** | ** **  | ** **  | ** **    | ** ** |
| General Partner  (46,719 Units and 61,381 Units)                                    |       | 8,204,766   |        | 12,613,943    |       |
| Limited Partners  (4,465,097 Units and 5,944,149 Units)                             |       | 784,098,296 |        | 1,221,537,583 |       |
|                                                                                |       |        |        |          |       |
| Total partners’  capital                                                       |       | 792,303,062 |        | 1,234,151,526 |       |
|                                                                                |       |        |        |          |       |
| **MINORITY INTEREST**                                                               |       | 177,435     |        | 207,307       |       |
|                                                                                |       |        |        |          |       |
| **TOTAL  LIABILITIES, PARTNERS’ CAPITAL AND MINORITY INTEREST**                | ** ** | $           | 844,392,412 | ** **    | $          | 1,259,469,092 | ** ** |
|                                                                                |       |        |        |          |       |
| **NET ASSET VALUE PER UNIT:**                                                       |       | $           | 175.61      |          | $          | 205.50 |   |
| (Based on 4,511,816 and  6,005,530 Units outstanding, 12,508,667 Units authorized)  |       |        |        |          |       |

 

See notes to consolidated financial statements.

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ML JWH STRATEGICALLOCATION FUND L.P.

(A DelawareLimited Partnership) AND JOINT VENTURE

CONSOLIDATEDSTATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER31, 2006, 2005 AND 2004
| ** **                                                                        | ** ** | **2006**     | ** **   | **2005**     | ** ** | **2004**     | ** ** |
|-----------------------------------------------------------------------------------|------------|--------------|--------------|--------------|------------|--------------|------------|
| **TRADING PROFIT (LOSS):**                                                        | ** ** | ** **   | ** **   | ** **   | ** ** | ** **   | ** ** |
|                                                                              |       |         |         |         |       |         |       |
| Realized                                                                          |       | $            | (158,576,895 | )            | $          | (112,908,397 | )          | $ | 151,296,416 |   |
| Change in  unrealized                                                             |       | 12,136,031   |         | (150,020,999 | )          | 91,466,219   |       |
|                                                                              |       |         |         |         |       |         |       |
| Total trading  profit (loss)                                                      |       | (146,440,864 | )            | (262,929,396 | )          | 242,762,635  |       |
|                                                                              |       |         |         |         |       |         |       |
| **INVESTMENT INCOME:**                                                            | ** ** | ** **   | ** **   | ** **   | ** ** | ** **   | ** ** |
|                                                                              |       |         |         |         |       |         |       |
| Interest                                                                          |       | 51,861,211   |         | 39,816,009   |       | 14,133,423   |       |
|                                                                              |       |         |         |         |       |         |       |
| **EXPENSES:**                                                                     | ** ** | ** **   | ** **   | ** **   | ** ** | ** **   | ** ** |
|                                                                              |       |         |         |         |       |         |       |
| Brokerage commissions                                                             |       | 61,808,517   |         | 73,622,017   |       | 57,501,150   |       |
| Administrative and  filing fees                                                   |       | 2,937,327    |         | 3,450,957    |       | 2,889,337    |       |
| Ongoing offering costs                                                            |       | 1,450,000    |         | 475,000      |       | 348,101      |       |
|                                                                              |       |         |         |         |       |         |       |
| Total expenses                                                                    |       | 66,195,844   |         | 77,547,974   |       | 60,738,588   |       |
|                                                                              |       |         |         |         |       |         |       |
| **NET INVESTMENT LOSS**                                                           |       | (14,334,633  | )            | (37,731,965  | )          | (46,605,165  | )          |
|                                                                              |       |         |         |         |       |         |       |
| **INCOME (LOSS) BEFORE MINORITY  INTEREST AND PROFIT SHARE ALLOCATION**           |       | (160,775,497 | )            | (300,661,361 | )          | 196,157,470  |       |
|                                                                              |       |         |         |         |       |         |       |
| Profit Share allocation                                                           |       | —       |         | (6,312       | )          | (39,051,490  | )          |
| Minority interest in  (income) loss                                               |       | 29,872       |         | 55,162       |       | (25,137      | )          |
|                                                                              |       |         |         |         |       |         |       |
| **NET INCOME (LOSS)**                                                             |       | $            | (160,745,625 | )            | $          | (300,612,511 | )          | $ | 157,080,843 |   |
|                                                                              |       |         |         |         |       |         |       |
| **NET INCOME (LOSS) PER UNIT:**                                                   | ** ** | ** **   | ** **   | ** **   | ** ** | ** **   | ** ** |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       | 5,604,599    |         | 5,970,850    |       | 4,351,797    |       |
|                                                                              |       |         |         |         |       |         |       |
| Net income (loss) per  weighted average General Partner and Limited Partner Unit  |       | $            | (28.68       | )            | $          | (50.35       | )          | $ | 36.10 |   |

 

See notes toconsolidated financial statements.

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ML JWH STRATEGICALLOCATION FUND L.P.

(A DelawareLimited Partnership) AND JOINT VENTURE

CONSOLIDATED STATEMENTSOF CHANGES IN PARTNERS’ CAPITALFOR THE YEARS ENDED DECEMBER 31, 2006, 2005 AND 2004
| ** **                                 | ** ** | **Units**  | ** ** | **General Partner** | ** ** | **Limited Partners** | ** ** | **Total**     | ** ** |
|--------------------------------------------|------------|------------|------------|--------------------------|------------|---------------------------|------------|---------------|------------|
|                                       |       |       |       |                     |       |                      |       |          |       |
| PARTNERS’ CAPITAL,  DECEMBER 31, 2003 |       | 2,951,915  |       | $                        | 8,182,951  |                      | $          | 687,294,456   |       | $ | 695,477,407 |   |
| Additions                                  |       | 2,640,813  |       | 3,565,324                |       | 590,809,888               |       | 594,375,212   |       |
| Net income                                 |       | —     |       | 1,718,705                |       | 155,362,138               |       | 157,080,843   |       |
| Redemptions                                |       | (323,266   | )          | (41,705                  | )          | (75,092,642               | )          | (75,134,347   | )          |
| PARTNERS’ CAPITAL,  DECEMBER 31, 2004 |       | 5,269,462  |       | 13,425,275               |       | 1,358,373,840             |       | 1,371,799,115 |       |
| Additions                                  |       | 1,613,068  |       | 2,102,855                |       | 348,829,251               |       | 350,932,106   |       |
| Net loss                                   |       | —     |       | (2,914,187               | )          | (297,698,324              | )          | (300,612,511  | )          |
| Redemptions                                |       | (877,000   | )          | —                   |       | (187,967,184              | )          | (187,967,184  | )          |
| PARTNERS’ CAPITAL,  DECEMBER 31, 2005 |       | 6,005,530  |       | 12,613,943               |       | 1,221,537,583             |       | 1,234,151,526 |       |
| Additions                                  |       | 652,497    |       | 4,888                    |       | 126,252,532               |       | 126,257,420   |       |
| Net loss                                   |       | —     |       | (1,731,789               | )          | (159,013,836              | )          | (160,745,625  | )          |
| Redemptions                                |       | (2,146,211 | )          | (2,682,276               | )          | (404,677,983              | )          | (407,360,259  | )          |
| PARTNERS’ CAPITAL, DECEMBER 31, 2006  |       | 4,511,816  |       | $                        | 8,204,766  |                      | $          | 784,098,296   |       | $ | 792,303,062 |   |

 

See notes toconsolidated financial statements.

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MLJWH STRATEGIC ALLOCATION FUND L.P.

(A Delaware Limited Partnership) AND JOINT VENTURE

CONSOLIDATEDFINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDEDDECEMBER 31, 2006

The following per unitdata and ratios have been derived from information provided in the consolidatedfinancial statements.
| **Per  Unit Operating Performance:** |       |       |       |
|--------------------------------------|------------|------------|------------|
|                                 |       |       |       |
| Net asset value, beginning  of year  |       | $          | 205.50     |   |
|                                 |       |       |       |
| Realized trading  loss               |       | (28.01     | )          |
| Change in  unrealized trading loss   |       | 0.62       |       |
| Interest income                      |       | 9.28       |       |
| Minority  interest in loss           |       | 0.01       |       |
| Expenses                             |       | (11.79     | )          |
|                                 |       |       |       |
| Net asset value,  end of year        |       | $          | 175.61     |   |
|                                 |       |       |       |
| **Total  return:**                   | ** ** | ** ** | ** ** |
|                                 |       |       |       |
| Total return                         |       | -14.55     | %(i)       |
|                                 |       |       |       |
| **Ratios  to Average Net Assets:**   | ** ** | ** ** | ** ** |
|                                 |       |       |       |
| Expenses                             |       | 6.30       | %(i)       |
|                                 |       |       |       |
| Net investment loss                  |       | -1.36      | %(i)       |

 

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(i)  Impact of minority interest less than .01%

See notes to consolidatedfinancial statements.

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ML JWH STRATEGICALLOCATION FUND L.P.

(A Delaware LimitedPartnership) AND JOINT VENTURE

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

Organization

ML JWH StrategicAllocation Fund L.P. (the “Partnership”) was organized under the DelawareRevised Uniform Limited Partnership Act on December 11, 1995 and commencedtrading on July 15, 1996.  ThePartnership engages in the speculative trading of futures, options on futures andforward contracts on a wide range of commodities through its joint venture,ML/JWH Strategic Joint Venture (the “Joint Venture”), with John W. Henry &Company, Inc. (“JWH**®**”),the trading advisor for the Partnership. Merrill Lynch Alternative InvestmentsLLC (“MLAI”) is the general partner of the Partnership. MLAI is an indirectwholly-owned subsidiary of Merrill Lynch & Co. Inc. (“Merrill Lynch”).Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), awholly-owned subsidiary of Merrill Lynch, is the Partnership’s commoditybroker. MLAI has agreed to maintain a general partner interest of at least 1%of the total capital of the Partnership. MLAI and each Limited Partner share inthe profits and losses of the Partnership in proportion to their respectiveeconomic interests.

The Joint Venture trades in the international futuresand forward markets, applying multiple proprietary trading strategies under thedirection of JWH®.  JWH® selects, allocates and reallocates thePartnership’s assets among different combinations of JWH®’s programs—an approach which JWH® refers to as the “JWH Strategic AllocationProgram”.

The consolidated financial statements include theaccounts of the Joint Venture to which the Partnership contributedsubstantially all of its capital, representing a current equity interest in theJoint Venture of approximately 99%.  Allrelated transactions between the Partnership and the Joint Venture areeliminated in consolidation.

Estimates

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

Revenue Recognition

Commodity futures, options on futures and forwardcontract transactions are recorded on the trade date, and open contracts arereflected in Net unrealized profit (loss) on open contracts in the ConsolidatedStatements of Financial Condition as the difference between the originalcontract value and the market value (for those commodity interests for whichmarket quotations are readily available) or at fair value. The change in netunrealized profit (loss) on open contracts from one period to the next isreflected in Change in unrealized under trading profit (loss) in theConsolidated Statements of Operations.

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Foreign CurrencyTransactions

The Partnership’s functional currency is the U.S.dollar; however, it transacts business in currencies other than the U.S.dollar.  Assets and liabilitiesdenominated in currencies other than the U.S. dollar are translated into U.S.dollars at the rates in effect at the dates of the Consolidated Statements ofFinancial Condition.  Income and expenseitems denominated in currencies other than the U.S. dollar are translated intoU.S. dollars at the rates in effect during the period.  Gains and losses resulting from thetranslation to U.S. dollars are reported in Realized in the Statements ofOperations.

Ongoing Offering Costs,Operating Expenses and Selling Commissions

MLAI is entitled toreceive, from the Partnership, ongoing offering cost reimbursements subject toa ceiling of up to .25 of 1% of the Partnership’s average month-end assets inany fiscal year.

MLAI pays for all routineoperating costs excluding the State of New Jersey filing fee (which is borne bythe Partnership) (See Note 4) but including legal, accounting, printing,postage and similar administrative expenses of the Partnership, including thePartnership’s share of any such costs incurred by the Joint Venture (See Note3).  MLAI receives an administrative feefrom the Partnership, as well as a portion of the brokerage commissions paid toMLPF&S by the Joint Venture (See Note 4).

No selling commissionshave been or are paid directly by the Limited Partners.  All selling commissions are paid by MLAI.

Cash at Broker

Aportion of the assets maintained at MLPF&S is restricted cash required tomeet maintenance margin requirements. Included in cash deposits with the broker at December 31, 2006 and 2005is restricted cash for margin requirements of $313,038,069 and $430,918,337,respectively.

Income Taxes

No provision for incometaxes has been made in the accompanying consolidated financial statements aseach Partner is individually responsible for reporting income or loss based onsuch Partner’s respective share of the Partnership’s income and expenses asreported for income tax purposes.

Distributions

The Limited Partners areentitled to receive, equally per Unit, any distribution which may be made bythe Partnership.  No such distributionshave been declared for the years ended December 31, 2006, 2005 or 2004.

Subscriptions

Units of the Partnershipare offered as of the close of business at the end of each month.  Units are purchased as of the first businessday of any month at Net Asset Value, but the subscription request must be submittedat least three calendar days before the end of the preceding month.  Subscriptions submitted less than three daysbefore the end of a month will be applied to Units subscriptions as of thebeginning of the second month after receipt, unless revoked by MLAI.

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Redemptions

A Limited Partner mayredeem some or all of such Partner’s Units at Net Asset Value as of the closeof business, on the last business day of any month, upon ten calendar days’notice. Units redeemed on or prior to the end of the twelfth full month afterpurchase are assessed an early redemption charge of 3% of their Net Asset Valueas of the date of redemption.  If aninvestor acquired Units at more than one time, Units are treated on a first-in,first-out basis for purposes of determining whether redemption charges areapplicable.  Redemption charges, if any,are subtracted from redemption proceeds and paid to MLAI.

Dissolution of thePartnership

The Partnership willterminate on December 31, 2026 or at an earlier date if certain conditionsoccur, as well as under certain other circumstances as set forth in the LimitedPartnership Agreement.

Indemnifications

In the normal course ofbusiness, the Partnership enters into contracts and agreements that contain avariety of representations and warranties and which provide generalindemnifications.  The Partnership’smaximum exposure under these arrangements is unknown, as this would involvefuture claims that may be made against the Partnership that have not yetoccurred.  The Partnership expects therisk of any future obligation under these indemnifications to be remote.

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2.               CONDENSED SCHEDULESOF INVESTMENTS

The Partnership’sinvestments, defined as Net unrealized profit (loss) on open contracts in theConsolidated Statements of Financial Condition, as of December 31, 2006 and2005, are as follows.

2006
| ** **                                | ** ** | **Long Positions** | ** ** | **Short Positions**                 | ** ** | ** **                                 | ** ** | ** **    | ** ** | ** **                               | ** ** |
|-------------------------------------------|------------|-------------------------|------------|------------------------------------------|------------|--------------------------------------------|------------|---------------|------------|------------------------------------------|------------|
| **Commodity   Industry Sector** | ** ** | **Contracts**           | ** ** | **Unrealized profit   (loss)** | ** ** | **Percent of   Net Assets** | ** ** | **Contracts** | ** ** | **Unrealized profit   (loss)** | ** ** | **Percent of   Net Assets** | ** ** | **Net unrealized   profit (loss)** | ** ** | **Percent of   Net Assets** | ** ** | **Maturity Date** | ** ** |
| Agriculture                               |       | 2,749                   |       | $                                        | 2,804,466  |                                       | 0.35       | %             | (1,310     | )                                        | $          | 201,777 |   | 0.03 | % | $ | 3,006,243 |   | 0.38 | % | March  07 |   |
| Currencies                                |       | 69,156,812              |       | 6,768,222                                |       | 0.85                                       | %          | (65,752,422   | )          | 5,303,474                                |       | 0.67 | % | 12,071,696 |   | 1.52 | % | March  07 |   |
| Energy                                    |       | —                  |       | —                                   |       | 0.00                                       | %          | (1,623        | )          | 7,150,316                                |       | 0.90 | % | 7,150,316 |   | 0.90 | % | March  07 - April 07 |   |
| Interest rates                            |       | 13,785                  |       | (20,933,333                              | )          | -2.64                                      | %          | (15,897       | )          | 4,976,400                                |       | 0.63 | % | (15,956,933 | ) | -2.01 | % | March  07 - December 07 |   |
| Metals                                    |       | 588                     |       | 806,662                                  |       | 0.10                                       | %          | (1,734        | )          | (1,519,240                               | )          | -0.19 | % | (712,578 | ) | -0.09 | % | January  07 - March 07 |   |
| Stock indices                             |       | 4,400                   |       | 1,749,555                                |       | 0.22                                       | %          | —        |       | —                                   |       | 0.00 | % | 1,749,555 |   | 0.22 | % | March  07 |   |
|                                      |       |                    |       |                                     |       |                                       |       |          |       |                                     |       |   |   |   |   |   |   |   |   |
| Total                                     |       |                    |       | $                                        | (8,804,428 | )                                          | -1.12      | %             |       |                                     | $          | 16,112,727 |   | 2.04 | % | $ | 7,308,299 |   | 0.92 | % |   |   |
|                                           |            |                         |            |                                          |            |                                            |            |               |            |                                          |            |  |  |  |  |  |  |  |  |  |  |  |  |  |

 

2005
| **Commodity   Industry Sector** | ** ** | **Contracts** | ** ** | **Unrealized profit   (loss)** | ** **  | **Percent of   Net Assets** | ** ** | **Contracts** | ** ** | **Unrealized profit   (loss)** | ** ** | **Percent of   Net Assets** | ** ** | **Net unrealized   profit (loss)** | ** ** | **Percent of   Net Assets** | ** ** | **Maturity Date**  | ** ** |
|-------------------------------------------|------------|---------------|------------|------------------------------------------|-------------|--------------------------------------------|------------|---------------|------------|------------------------------------------|------------|--------------------------------------------|------------|---------------------------------------------------|------------|--------------------------------------------|------------|-------------------------|------------|
| Agriculture                               |       | 5,556         |       | $                                        | 11,909,746  |                                       | 0.97       | %             | (6,708     | )                                        | $          | (6,253,534                                 | )          | -0.51                                             | %          | $                                          | 5,656,212  |                    | 0.46       | % | February  06 - March 06 |   |
| Currencies                                |       | 88,543,161    |       | (16,746,107                              | )           | -1.36                                      | %          | (136,037,421  | )          | 31,431,492                               |       | 2.55                                       | %          | 14,685,385                                        |       | 1.19                                       | %          | March  06               |       |
| Energy                                    |       | 1,339         |       | (47,729,890                              | )           | -3.86                                      | %          | (4,738        | )          | (3,178,724                               | )          | -0.26                                      | %          | (50,908,614                                       | )          | -4.12                                      | %          | February  06 - April 06 |       |
| Interest rates                            |       | 28            |       | 17,183                                   |        | 0.00                                       | %          | (31,727       | )          | (11,273,093                              | )          | -0.91                                      | %          | (11,255,910                                       | )          | -0.91                                      | %          | March  06 - December 06 |       |
| Metals                                    |       | 8,945         |       | 33,434,352                               |        | 2.71                                       | %          | (1,201        | )          | (3,546,988                               | )          | -0.29                                      | %          | 29,887,364                                        |       | 2.42                                       | %          | January  06 - March 06  |       |
| Stock indices                             |       | 7,285         |       | 7,210,537                                |        | 0.58                                       | %          | —        |       | —                                   |       | 0.00                                       | %          | 7,210,537                                         |       | 0.58                                       | %          | March  06               |       |
|                                      |       |          |       |                                     |        |                                       |       |          |       |                                     |       |                                       |       |                                              |       |                                       |       |                    |       |
| Total                                     |       |          |       | $                                        | (11,904,179 | )                                          | -0.96      | %             |       |                                     | $          | 7,179,153                                  |       | 0.58                                              | %          | $                                          | (4,725,026 | )                       | -0.38      | % |   |   |
|                                           |            |               |            |                                          |             |                                            |            |               |            |                                          |            |                                            |            |                                                   |            |                                            |            |                         |            |  |  |  |  |  |

 

No individualcontract’s unrealized profit or loss comprised greater than 5% of thePartnership’s net assets as of December 31, 2006 and 2005.

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3.               JOINTVENTURE AGREEMENT

The Partnership and JWH® entered into a Joint Venture Agreement wherebyJWH® contributed $100,000 to the Joint Venture andthe Partnership contributed substantially all of its capital. The Joint VentureAgreement is subject to automatic one-year renewals on the same terms, unlesseither the Partnership or JWH® elects not to renew.  The Joint Venture Agreement was renewedthrough the year ended December 31, 2007. MLAI is the manager of the Joint Venture, while JWH® hassole discretion in determining the commodity futures, options on futures andforward trades to be made on its behalf, subject to the trading limitationsoutlined in the Joint Venture Agreement.

Pursuant to the JointVenture Agreement, JWH® and the Partnership share in the profits ofthe Joint Venture based on equity ownership provided that 20% of thePartnership’s allocable quarterly New Trading Profits, as defined, areallocated to JWH®.  Losses are allocated to JWH® andthe Partnership based on equity ownership.

Pursuant to the JointVenture Agreement, JWH®’sshare of profits may earn interest at the prevailing rates for 91-day U.S.Treasury bills or such share of profits may participate in the profits andlosses of the Joint Venture.  For theyears ended December 31, 2006, 2005 and 2004, JWH® received a Profit Share allocation of $0, $0,and $38,968,456 and earned interest of $0, $6,312, and $83,034 on such amounts,respectively.

4.               RELATED PARTYTRANSACTIONS

The Joint Venture’s U.S. dollar assets are maintainedat MLPF&S.  On assets held in U.S.dollars, Merrill Lynch credits the Joint Venture with interest at theprevailing 91-day U.S. Treasury bill rate. The Joint Venture is credited with interest on any of its assets and netgains actually held by MLPF&S in non-U.S. dollar currencies at a prevailinglocal rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit in excess of theinterest which Merrill Lynch pays to the Joint Venture, from possession of suchassets.

Merrill Lynch charges the Joint Venture, at prevailinglocal interest rates, for financing realized and unrealized losses on the JointVenture’s non-U.S. dollar-denominated positions.

The Joint Venturecurrently pays brokerage commissions to MLPF&S at a flat monthly rate of..479 of 1% (a 5.75% annual rate) of the Joint Venture’s month-end tradingassets. The Joint Venture also pays MLAI a monthly administrative fee of .021of 1% (a 0.25% annual rate) of the Joint Venture’s month-end trading assets.The Partnership reimburses MLAI for payment of the actual State of New Jerseyannual filing fee assessed on a per partner basis with a maximum of $250,000per year which is paid on its behalf. Month-end trading assets are not reducedfor purposes of calculating brokerage and administrative fees by any accruedbrokerage commissions, administrative fees, Profit Shares or other fees orcharges.

MLAI estimates that theround-turn equivalent commission rate charged to the Joint Venture byMLPF&S during the years ended December 31, 2006, 2005 and 2004 wasapproximately $182, $154, and $110, respectively (not including, in calculatinground-turn equivalents, forward contracts on a futures-equivalent basis).

MLPF&S pays JWH® annual Consulting Fees of 2% of thePartnership’s average month-end assets, after reduction for a portion of thebrokerage commissions.

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5.               WEIGHTEDAVERAGE UNITS

The weighted averagenumber of Units outstanding was computed for purposes of disclosing net income(loss) per weighted average Unit.  Theweighted average Units outstanding for the years ended December 31, 2006, 2005and 2004 equals the Units outstanding as of such date, adjusted proportionatelyfor Units sold and redeemed based on the respective length of time each wasoutstanding during the year.

6.               RECENT ACCOUNTING PRONOUNCEMENTS

In July 2006, the FinancialAccounting Standards Board (“FASB”) issued Interpretation No. 48 (“FIN 48”),Accounting for Uncertainty in Income Taxes — an interpretation of FASBStatement No. 109. FIN 48 prescribes the minimum recognition threshold a taxposition must meet in connection with accounting for uncertainties in incometax positions taken or expected to be taken by an entity before being measuredand recognized in the financial statements. Adoption of FIN 48 is required forfiscal years beginning after December 15, 2006. The impact on the Partnership’sconsolidated financial statements, if any, is currently being assessed.

In September 2006, theSecurities Exchange Commission (“SEC”) staff also issued Staff AccountingBulletin No. 108,**Considering the Effects of Prior YearMisstatements when Quantifying Misstatements in Current Year FinancialStatements (“SAB 108”). While not an official rule or interpretation ofthe SEC, SAB 108 was issued to address the diversity in practice in quantifyingmisstatements from prior years and assessing their effect on current yearfinancial statements. SAB 108 is effective for the first annual period endingafter November 15, 2006, with early application encouraged. The Partnership hasassessed the impact of SAB 108 on its consolidated financial statements anddoes not expect the impact of adoption to be material to its consolidatedfinancial statements.

In September 2006, the FASBissued Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS157”).  FAS 157 establishes a common definition for fair value underaccounting principles generally accepted in the United States of America,establishes a framework for measuring fair value and expands disclosurerequirements about such fair value measurements.  FAS 157 is effective forfiscal years beginning after November 15, 2007.  The Partnership iscurrently evaluating the impact of adopting FAS 157 on its consolidatedfinancial statements.

7.               MARKET AND CREDITRISKS

The nature of thisPartnership has certain risks, which cannot be presented on the consolidatedfinancial statements.  The followingsummarizes some of those risks.

Market Risk

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in thePartnership’s net unrealized profit (loss) on such derivative instruments asreflected in the Consolidated Statements of Financial Condition.  The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Partnership as well as the volatility andliquidity of the markets in which the derivative instruments are traded.Investments in foreign markets may also entail legal and political risks.

MLAI has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring

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the trading of JWH®, calculating the Net AssetValue of the Partnership as of the close of business on each day and reviewingoutstanding positions for over-concentrations. While MLAI does not itself intervene in the markets to hedge ordiversify the Partnership’s market exposure, MLAI may urge JWH® toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are unusual andunless it appears that JWH® has begun to deviate from past practice ortrading policies or to be trading erratically, MLAI’s basic risk controlprocedures consist simply of the ongoing process of advisor monitoring, withthe market risk controls being applied by JWH®.

Credit Risk

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, and counterpartiesmay also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterpartynonperformance is the net unrealized profit on open contracts, if any, includedin the Consolidated Statements of Financial Condition.  The Partnership attempts to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Partnership, in its normal course of business, enters into variouscontracts with MLPF&S acting as its commodity broker.  Pursuant to the brokerage agreement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Net unrealized profit (loss) on open contracts on theConsolidated Statements of Financial Condition.

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*     *     *    *     *     *    *     *     *    *     *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurateand complete.

/s/Barbra E.Kocsis

Barbra E.Kocsis

Chief Financial Officer

Merrill Lynch AlternativeInvestments LLC

General Partner of

ML JWH StrategicAllocation Fund L.P.

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