<TABLE> <S> <C>

<PAGE>
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM STATEMENTS
OF FINANCIAL CONDITION, STATEMENTS OF OPERATIONS, STATEMENTS OF CHANGES IN
PARTNERS' CAPITAL AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH
FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000853456
<NAME> JOHN W. HENRY & CO. / MILLBURN LP:
       
<S>                             <C>                     <C>
<PERIOD-TYPE>                   12-MOS                   12-MOS
<FISCAL-YEAR-END>                          DEC-31-1996             DEC-31-1995
<PERIOD-START>                             JAN-01-1996             JAN-01-1995
<PERIOD-END>                               DEC-31-1996             DEC-31-1995
<CASH>                                               0                       0
<RECEIVABLES>                                  779,075              59,462,793
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                         60,834,087                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                              61,613,162              59,462,793
<SHORT-TERM>                                         0                       0
<PAYABLES>                                     779,074               1,540,959
<REPOS-SOLD>                                         0                       0
<SECURITIES-LOANED>                                  0                       0
<INSTRUMENTS-SOLD>                                   0                       0
<LONG-TERM>                                          0                       0
<PREFERRED-MANDATORY>                                0                       0
<PREFERRED>                                          0                       0
<COMMON>                                             0                       0
<OTHER-SE>                                  60,834,088              57,921,834
<TOTAL-LIABILITY-AND-EQUITY>                61,613,162              59,462,793
<TRADING-REVENUE>                            6,989,192              23,201,460
<INTEREST-DIVIDENDS>                         1,842,887               2,863,384
<COMMISSIONS>                                5,406,851               7,412,789
<INVESTMENT-BANKING-REVENUES>                        0                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                             10,384,330              17,922,917
<INCOME-PRE-EXTRAORDINARY>                  10,384,330              17,922,917
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                10,384,330              17,922,197
<EPS-PRIMARY>                                    31.67                   46.20
<EPS-DILUTED>                                    31.67                   46.20
        

</TABLE>