<PAGE>

                                                                   Exhibit 13.01

                     JOHN W. HENRY & CO./ MILLBURN L.P.
                     (A Delaware Limited Partnership)

                     Financial Statements for the years ended
                     December 31, 1999, 1998 and 1997
                     and Independent Auditors' Report





[LOGO] Merrill Lynch
<PAGE>

JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
 ------------------------------


TABLE OF CONTENTS
--------------------------------------------------------

                                                Page
                                                ----

INDEPENDENT AUDITORS' REPORT                       1

FINANCIAL STATEMENTS FOR THE YEARS ENDED
  DECEMBER 31, 1999, 1998 AND 1997:

  Statements of Financial Condition                2

  Statements of Operations                         3

  Statements of Changes in Partners' Capital       4

  Notes to Financial Statements                 5-14

<PAGE>

INDEPENDENT AUDITORS' REPORT
----------------------------



To the Partners of
 John W. Henry & Co./Millburn L.P.:

We have audited the accompanying statements of financial condition of John W.
Henry & Co./Millburn L.P. (the "Partnership") as of December 31, 1999 and 1998,
and the related statements of operations and of changes in partners' capital for
each of the three years in the period ended December 31, 1999. These financial
statements are the responsibility of the Partnership's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.

We conducted our audits in accordance with generally accepted auditing
standards.  Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement.  An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements.  An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material
respects, the financial position of John W. Henry & Co./Millburn L.P. as of
December 31, 1999 and 1998, and the results of its operations and changes in
partners' capital for each of the three years in the period ended December 31,
1999 in conformity with generally accepted accounting principles.


DELOITTE & TOUCHE LLP



New York, New York
February 4, 2000
<PAGE>

JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
 ------------------------------

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 1999 AND 1998
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                                1999                            1998
                                                                      -------------------------       --------------------------
<S>                                                                   <C>                             <C>
ASSETS

  Investments (Note 6)                                                            $ 42,876,172                     $ 56,163,313
  Receivable from investments (Note 6)                                               1,007,250                          259,704
                                                                      -------------------------       --------------------------

                TOTAL                                                             $ 43,883,422                     $ 56,423,017
                                                                      =========================       ==========================

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
    Redemptions payable                                                            $ 1,007,250                        $ 259,704
                                                                      -------------------------       --------------------------

            Total liabilities                                                        1,007,250                          259,704
                                                                      -------------------------       --------------------------

PARTNERS' CAPITAL:
    General Partner:
        (504 and 504 Series A Units outstanding)                                       131,110                          149,246
        (1,338 and 1,338 Series B Units outstanding)                                   282,923                          321,921
        (926 and 926 Series C Units outstanding)                                       152,600                          173,635
    Limited Partners:
        (39,335 and 44,678 Series A Units outstanding)                              10,232,683                       13,230,285
        (100,451 and 115,421 Series B Units outstanding)                            21,241,923                       27,771,959
        (65,744 and 77,411 Series C Units outstanding)                              10,834,933                       14,516,267
                                                                      -------------------------       --------------------------

            Total partners' capital                                                 42,876,172                       56,163,313
                                                                      -------------------------       --------------------------

                TOTAL                                                             $ 43,883,422                     $ 56,423,017
                                                                      =========================       ==========================

NET ASSET VALUE PER UNIT

    Series A                                                                          $ 260.14                         $ 296.13
                                                                      =========================       ==========================
    Series B                                                                          $ 211.47                         $ 240.61
                                                                      =========================       ==========================
    Series C                                                                          $ 164.80                         $ 187.52
                                                                      =========================       ==========================
</TABLE>

See notes to financial statements.



                                       2
<PAGE>

JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
 ------------------------------

STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>

                                                                    1999                    1998                     1997
                                                          --------------------      -------------------      -------------------

<S>                                                       <C>                       <C>                      <C>
INCOME (LOSS) FROM INVESTMENTS (Note 6)                           $ 6,145,111)             $ 1,867,451              $ 7,357,688
                                                          --------------------      -------------------      -------------------

NET INCOME (LOSS)                                                  (6,145,111)               1,867,451                7,357,688
                                                          ====================      ===================      ===================

NET INCOME (LOSS) PER UNIT:

    Weighted average number of General Partner
    and Limited Partner Units outstanding (Note 5)                    226,394                  264,787                  294,640
                                                          ====================      ===================      ===================

 Net income (loss) per weighted average
    General Partner and Limited
    Partner Unit                                                     $ (27.14)                  $ 7.05                  $ 24.97
                                                          ====================      ===================      ===================

</TABLE>

See notes to financial statements.

                                       3
<PAGE>

JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
 ------------------------------

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                          Series           Series           Series                            General Partner
                                                                          ----------------------------------------------------
                            A                B                 C               Series            Series            Series
                          Units            Units             Units               A                 B                  C
                     -------------   --------------   ---------------     ----------------  ----------------   ---------------
<S>                  <C>             <C>              <C>                 <C>               <C>                <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1996        56,376          148,528           100,695            $ 196,983         $ 405,594         $ 230,192


Redemptions                (4,604)         (11,308)           (8,236)                   -                 -                 -

Net income                      -                -                 -               24,622            50,580            28,707
                     -------------   --------------   ---------------     ----------------  ----------------   ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1997        51,772          137,220            92,459              221,605           456,174           258,899


Redemptions                (6,590)         (20,461)          (14,122)             (70,937)         (133,279)          (82,775)

Net income (loss)               -                -                 -               (1,422)             (974)           (2,489)
                     -------------   --------------   ---------------     ----------------  ----------------   ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1998        45,182          116,759            78,337              149,246           321,921           173,635


Redemptions                (5,343)         (14,970)          (11,667)                   -                 -                 -

Net income (loss)               -                -                 -              (18,136)          (38,998)          (21,035)
                     -------------   --------------   ---------------     ----------------  ----------------   ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1999        39,839          101,789            66,670            $ 131,110         $ 282,923         $ 152,600
                     =============   ==============   ===============     ================  ================   ===============
<CAPTION>
                                                Limited Partners
                          ----------------------------------------------------------
                                 Series                 Series            Series
                                   A                      B                 C                 Total
                          ------------------   --------------------  ----------------    ----------------
<S>                     <C>                  <C>                   <C>                    <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1996          $ 14,040,479           $ 30,082,484      $ 15,878,356        $60,834,088


Redemptions                    (1,255,814)            (2,498,029)       (1,413,769)        (5,167,612)

Net income                      1,702,808              3,638,849         1,912,122          7,357,688
                       -------------------   --------------------  ------------------   ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1997            14,487,473             31,223,304        16,376,709         63,024,164


Redemptions                    (1,665,001)            (4,413,933)       (2,362,377)        (8,728,302)

Net income (loss)                 407,813                962,588           501,935          1,867,451
                       -------------------   --------------------  -------------------  --------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1998            13,230,285             27,771,959        14,516,267         56,163,313


Redemptions                    (1,552,673)            (3,480,805)       (2,108,552)        (7,142,030)

Net income (loss)              (1,444,929)            (3,049,231)       (1,572,782)        (6,145,111)
                       -------------------   --------------------  -------------------  --------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1999          $ 10,232,683           $ 21,241,923      $ 10,834,933        $42,876,172
                    ======================   ====================  ================     ==============
</TABLE>



See notes to financial statements.

                                       4


<PAGE>

JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
 ------------------------------

NOTES TO FINANCIAL STATEMENTS


1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

   Organization
   ------------

   John W. Henry & Co./Millburn L.P. (the "Partnership") was organized under the
   Delaware Revised Uniform Limited Partnership Act on August 29, 1989. The
   Partnership raised $18,182,000 in its initial offering of Units of limited
   partnership interest ("Series A Units") and commenced trading activities on
   January 5, 1990. The Partnership raised an additional $50,636,000 in a second
   offering of Units of limited partnership interest ("Series B Units") and
   commenced trading activities with respect to the Series B Units on January
   28, 1991. The Partnership raised an additional $40,000,000 in a third
   offering of Units of limited partnership interest ("Series C Units") and
   commenced trading activities with respect to the Series C Units on January 2,
   1992. (Series A, B and C units are, hereinafter, collectively referred to as
   "Units.") The Partnership engages (currently, through investments in limited
   liability companies (see below)) in the speculative trading of futures,
   options on futures and forward contracts on a wide range of commodities.
   Merrill Lynch Investment Partners Inc. ("MLIP"), a wholly-owned subsidiary of
   Merrill Lynch Group, Inc., which, in turn, is a wholly-owned subsidiary of
   Merrill Lynch & Co., Inc. ("Merrill Lynch"), is the general partner of the
   Partnership. Merrill Lynch Futures Inc. ("MLF"), an affiliate of Merrill
   Lynch, is the Partnership's commodity broker. MLIP has agreed to maintain a
   general partner's interest of at least 1% of total capital of each Series of
   Units. MLIP and each Limited Partner share in the profits and losses of such
   Series in proportion to their respective interests in it.

   John W. Henry & Company, Inc. and Millburn Ridgefield Corporation (each an
   "Advisor", together, "Advisors") have been the Partnership's only trading
   advisors since inception.  Each Advisor was allocated 50% of the total assets
   of each Series as of the date such Series began trading.  Subsequently, these
   allocations have varied over time.  MLIP may, in its discretion, reallocate
   assets as of any month-end.  The Partnership has placed all of its assets
   under the management of the Advisors through investing in private limited
   liability companies ("Trading LLCs"), as described in Note 6.  Certain of the
   following notes to financial statements are directly related to Partnership
   assets managed by the Advisors in the Trading LLC's.

   Estimates
   ---------

   The preparation of financial statements in conformity with generally accepted
   accounting principles requires management to make estimates and assumptions
   that affect the reported amounts of assets and liabilities and disclosure of
   contingent assets and liabilities at the date of the financial statements as
   well as the reported amounts of revenues and expenses during the reporting
   period. Actual results could differ from those estimates.

   Revenue Recongnition
   --------------------

   See Note 6 for discussion of revenue recognition for the Partnership's
   investment in Trading LLC's.

   Operating Expenses
   ------------------

   MLIP pays all routine operating expenses, including legal, accounting,
   printing, postage and similar administrative expenses. MLIP receives an
   administrative fee as well as a portion

                                       5
<PAGE>

   of the brokerage commissions paid to MLF by the Partnership (see Note 2).

   Income Taxes
   ------------

   No provision for income taxes has been made in the accompanying financial
   statements as each Partner is individually responsible for such Partner's
   respective share of the income and expenses of the series in which such
   partner is invested as reported for income tax purposes.

   Redemptions
   -----------

   A Limited Partner may redeem some or all of such Partner's Units at Net Asset
   Value as of the close of business on the last business day of any month upon
   ten calendar days' notice.

   Dissolution of the Partnership
   ------------------------------

   The Partnership will terminate on December 31, 2016 or at an earlier date if
   certain conditions occur, as well as under certain other circumstances as set
   forth in the Limited Partnership Agreement.

2. RELATED PARTY TRANSACTIONS

   The Partnership's U.S. dollar assets invested in Trading LLC's are maintained
   at MLF. On assets held in U.S. dollars, Merrill Lynch credits the Trading
   LLC's with interest at the prevailing 91-day U.S. Treasury bill rate.  The
   Trading LLC's are credited with interest on any of its net gains actually
   held by Merrill Lynch in non-U.S. dollar currencies at a prevailing local
   rate received by Merrill Lynch.  Merrill Lynch may derive certain economic
   benefit, in excess of the interest which Merrill Lynch pays to the Trading
   LLC's, from possession of such assets.

   Merrill Lynch charges the Trading LLC's Merrill Lynch's cost of financing
   realized and unrealized losses on the Trading LLC's non-U.S. dollar-
   denominated positions.

   The Partnership pays brokerage commissions to MLF through the Trading LLC's
   at a flat monthly rate of .792 of 1% (a 9.50% annual rate) of the
   Partnership's month-end assets. Prior to February 1, 1997, the rate was .979
   of 1% (an 11.75% annual rate). The Partnership also pays MLIP a monthly
   administrative fee through the Trading LLC's of .21 of 1% (an .25% annual
   rate) of the Partnership's month-end assets. Month-end assets are not
   reduced, for purposes of calculating brokerage commissions and administrative
   fees, by any accrued brokerage commissions, administrative fees, Profit
   Shares or other fees or charges.

   MLF pays the Advisors annual consulting fees up to 4% of the average month-
   end assets allocated to them for management.

3. AGREEMENTS

   The Trading LLCs entered the Advisory Agreements with the Advisors (see Note
   6).

   Profit Shares of either 15% or 20%, of any New Trading Profit, as defined,
   either as of the end of each calendar quarter or year, were paid to each
   Advisor based on the performance of the Partnership account managed by such
   Advisor, irrespective of the overall performance of the Partnership.  Profit
   Shares are also paid out in respect of Units redeemed as of the end of
   interim months, to the extent the applicable percentage of any New Trading
   Profits attributable to such Units.

                                       6
<PAGE>

4. STATEMENT OF INCOME BY SERIES

   The profit and loss of the Series A, Series B and Series C Units for the
   years ended December 31, 1999, 1998 and 1997 is as follows:


<TABLE>
<CAPTION>
                                                     Series A                                           Series B
                                  ------------------------------------------------   ---------------------------------------------
                                        1999            1998           1997                1999           1998           1997
                                  ----------------  -----------  ---------------     ----------------  ----------  ---------------

<S>                               <C>               <C>          <C>                 <C>               <C>         <C>
Income (loss) from
 investments (Note 6)                  (1,463,065)     406,391        1,727,430           (3,088,229)    961,614        3,689,429
                                  ----------------  -----------  ---------------     ----------------  ----------  ---------------

NET INCOME (LOSS)                    $ (1,463,065)   $ 406,391      $ 1,727,430         $ (3,088,229)  $ 961,614      $ 3,689,429
                                  ================  ===========  ===============     ================  ==========  ===============

NET INCOME (LOSS) PER
UNIT OF PARTNERSHIP
INTEREST:

  Weighted average number
  of units outstanding (Note 5)            42,998       48,581           54,036              108,954     129,195          143,414
                                  ----------------  -----------  ---------------     ----------------  ----------  ---------------

Net income (loss) per weighted
   Average General Partner and
  Limited Partner Unit                   $ (34.03)      $ 8.37          $ 31.97             $ (28.34)     $ 7.44          $ 25.73
                                  ================  ===========  ===============     ================  ==========  ===============
<CAPTION>
                                                         Series C
                                      ----------------------------------------------
                                           1999            1998           1997
                                      ---------------  -----------  ----------------

<S>                                   <C>              <C>          <C>
Income (loss) from
 investments (Note 6)                     (1,593,817)     499,446         1,940,829
                                      ---------------  -----------  ----------------

NET INCOME (LOSS)                       $ (1,593,817)   $ 499,446        $1,940,829
                                      ===============  ===========  ================

NET INCOME (LOSS) PER
UNIT OF PARTNERSHIP
INTEREST:

  Weighted average number
  of units outstanding (Note 5)               74,442       87,011            97,190
                                      ---------------  -----------  ----------------

Net income (loss) per weighted
  average General Partner and
  Limited Partner Unit                      $ (21.41)      $ 5.74           $ 19.97
                                      ===============  ===========  ================
</TABLE>

                                       7
<PAGE>

5. WEIGHTED AVERAGE UNITS

   The weighted average number of Units of each series outstanding was computed
   for purposes of disclosing net income per weighted average Unit. The weighted
   average number of Units of each series outstanding for the years ended
   December 31, 1999, 1998 and 1997 equals the Units of such series outstanding
   as of such date, adjusted proportionately for Units redeemed based on the
   respective length of time each was outstanding during the year.

6. INVESTMENTS

   The investments in the Trading LLC's are reflected in the financial
   statements at fair value based upon the interest of each series of Units in
   each Trading LLC. Fair value is equal to the market value of the net assets
   of the Trading LLC's. The resulting difference between cost and fair value is
   reflected on the Statements of Operations as Income (loss) from investments.

   At December 31, 1999 and 1998, the Partnership had investments in the ML JWH
   Financial and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC
   ("Millburn LLC") as follows:

                        1999                1998
                  ---------------     ---------------

JWH LLC             $ 19,843,543         $28,886,199
Millburn LLC          23,032,629          27,277,114
                  ---------------     ---------------
Total               $ 42,876,172         $56,163,313
                  ===============     ===============

                                       8
<PAGE>

   Total revenues and fees with respect to such investments are set forth as
   follows:

<TABLE>
<CAPTION>
              For the year ended               Total                          Brokerage                     Administrative
              December 31, 1999              Revenues                        Commissions                         Fees
                                    ----------------------------       ----------------------------------------------------------
                Series A Units
------------------------------------

<S>                                 <C>                                <C>                              <C>
JWH LLC                                              $ (710,851)                      $ 593,051                       $ 15,604
Millburn LLC                                            484,166                         605,625                         15,937
                                    ----------------------------       -------------------------        -----------------------

Total                                                $ (226,685)                    $ 1,198,676                       $ 31,541
                                    ============================       =========================        =======================

                Series B Units
------------------------------------

JWH LLC                                            $ (1,520,888)                    $ 1,214,897                       $ 31,972
Millburn LLC                                            973,195                       1,251,363                         32,930
                                    ----------------------------       -------------------------        -----------------------

Total                                                $ (547,693)                    $ 2,466,260                       $ 64,902
                                    ============================       =========================        =======================

                Series C Units
------------------------------------

JWH LLC                                              $ (775,390)                      $ 647,501                       $ 17,040
Millburn LLC                                            537,575                         666,722                         17,545
                                    ----------------------------       -------------------------        -----------------------

Total                                                $ (237,815)                    $ 1,314,223                       $ 34,585
                                    ============================       =========================        =======================

              Total - All Series
------------------------------------

JWH LLC                                            $ (3,007,129)                    $ 2,455,449                       $ 64,616
Millburn LLC                                          1,994,936                       2,523,710                         66,412
                                    ----------------------------       -------------------------        -----------------------

Total                                              $ (1,012,193)                    $ 4,979,159                      $ 131,028
                                    ============================       =========================        =======================
<CAPTION>
              For the year ended                  Profit                        Income from
              December 31, 1999                   Shares                        Investments
                                    -------------------------------      ---------------------------
                Series A Units
------------------------------------

<S>                                      <C>                             <C>
JWH LLC                                                        $ -                     $ (1,319,506)
Millburn LLC                                                 6,163                         (143,559)
                                         --------------------------      ---------------------------

Total                                                      $ 6,163                     $ (1,463,065)
                                         ==========================      ===========================

                Series B Units
------------------------------------

JWH LLC                                                        $ -                     $ (2,767,757)
Millburn LLC                                                 9,374                         (320,472)
                                         --------------------------      ---------------------------

Total                                                      $ 9,374                     $ (3,088,229)
                                         ==========================      ===========================

                Series C Units
------------------------------------

JWH LLC                                                        $ -                     $ (1,439,931)
Millburn LLC                                                 7,194                         (153,886)
                                         --------------------------      ---------------------------

Total                                                      $ 7,194                     $ (1,593,817)
                                         ==========================      ===========================

              Total - All Series
------------------------------------

JWH LLC                                                        $ -                     $ (5,527,194)
Millburn LLC                                                22,731                         (617,917)
                                         --------------------------      ---------------------------

Total                                                     $ 22,731                     $ (6,145,111)
                                         ==========================      ===========================
</TABLE>

                                       9
<PAGE>

<TABLE>
<CAPTION>
              For the year ended             Total                          Brokerage                     Administrative
              December 31, 1998            Revenues                        Commissions                         Fees
                                  ----------------------------       ------------------------------------------------------------
                Series A Units
----------------------------------

<S>                               <C>                                <C>                              <C>
JWH LLC                                             $ 995,747                       $ 630,513                       $ 16,592
Millburn LLC                                          829,825                         633,628                         16,674
                                  ----------------------------       -------------------------        -----------------------

Total                                             $ 1,825,572                     $ 1,264,141                       $ 33,266
                                  ============================       =========================        =======================

                Series B Units
----------------------------------

JWH LLC                                           $ 2,200,199                     $ 1,356,787                       $ 35,705
Millburn LLC                                        1,832,991                       1,374,689                         36,176
                                  ----------------------------       -------------------------        -----------------------

Total                                             $ 4,033,190                     $ 2,731,476                       $ 71,881
                                  ============================       =========================        =======================

                Series C Units
----------------------------------

JWH LLC                                           $ 1,148,318                       $ 712,552                       $ 18,752
Millburn LLC                                          962,693                         721,776                         18,994
                                  ----------------------------       -------------------------        -----------------------

Total                                             $ 2,111,011                     $ 1,434,328                       $ 37,746
                                  ============================       =========================        =======================

              Total - All Series
----------------------------------

JWH LLC                                           $ 4,344,264                     $ 2,699,852                       $ 71,049
Millburn LLC                                        3,625,509                       2,730,093                         71,844
                                  ----------------------------       -------------------------        -----------------------

Total                                             $ 7,969,773                     $ 5,429,945                      $ 142,893
                                  ============================       =========================        =======================
<CAPTION>
              For the year ended              Profit                        Income from
              December 31, 1998               Shares                        Investments
                                  -----------------------------      ---------------------------
                Series A Units
----------------------------------

<S>                                  <C>                              <C>
JWH LLC                                               $ 76,657                        $ 271,985
Millburn LLC                                            45,117                          134,406
                                     --------------------------      ---------------------------

Total                                                $ 121,774                        $ 406,391
                                     ==========================      ===========================

                Series B Units
----------------------------------

JWH LLC                                              $ 167,835                        $ 639,872
Millburn LLC                                           100,384                          321,742
                                     --------------------------      ---------------------------

Total                                                $ 268,219                        $ 961,614
                                     ==========================      ===========================

                Series C Units
----------------------------------

JWH LLC                                               $ 88,069                        $ 328,945
Millburn LLC                                            51,422                          170,501
                                     --------------------------      ---------------------------

Total                                                $ 139,491                        $ 499,446
                                     ==========================      ===========================

              Total - All Series
----------------------------------

JWH LLC                                              $ 332,561                       $1,240,802
Millburn LLC                                           196,923                          626,649
                                     --------------------------      ---------------------------

Total                                                $ 529,484                       $1,867,451
                                     ==========================      ===========================
</TABLE>

                                       10
<PAGE>

<TABLE>
<CAPTION>
              For the year ended                Total                          Brokerage                     Administrative
              December 31, 1997               Revenues                        Commissions                         Fees
                                     ----------------------------       ---------------------------------------------------------
                Series A Units
-------------------------------------

<S>                                  <C>                                <C>                              <C>
JWH LLC                                              $ 1,759,089                       $ 690,201                       $ 17,813
Millburn LLC                                           1,758,987                         751,834                         19,390
                                     ----------------------------       -------------------------        -----------------------

Total                                                $ 3,518,076                     $ 1,442,035                       $ 37,203
                                     ============================       =========================        =======================

                Series B Units
-------------------------------------

JWH LLC                                              $ 3,771,359                     $ 1,484,456                       $ 38,315
Millburn LLC                                           3,773,695                       1,625,922                         41,942
                                     ----------------------------       -------------------------        -----------------------

Total                                                $ 7,545,054                     $ 3,110,378                       $ 80,257
                                     ============================       =========================        =======================

                Series C Units
-------------------------------------

JWH LLC                                              $ 1,981,710                       $ 783,770                       $ 20,229
Millburn LLC                                           1,995,533                         858,854                         22,154
                                     ----------------------------       -------------------------        -----------------------

Total                                                $ 3,977,243                     $ 1,642,624                       $ 42,383
                                     ============================       =========================        =======================

              Total - All Series
-------------------------------------

JWH LLC                                              $ 7,512,158                     $ 2,958,427                       $ 76,357
Millburn LLC                                           7,528,215                       3,236,610                         83,486
                                     ----------------------------       -------------------------        -----------------------

Total                                               $ 15,040,373                     $ 6,195,037                      $ 159,843
                                     ============================       =========================        =======================
<CAPTION>
              For the year ended                    Profit                        Income from
              December 31, 1997                     Shares                        Investments
                                     --------------------------------      ---------------------------
                Series A Units
-------------------------------------

<S>                                        <C>                             <C>
JWH LLC                                                    $ 103,624                        $ 947,451
Millburn LLC                                                 207,784                          779,979
                                           --------------------------      ---------------------------

Total                                                      $ 311,408                       $1,727,430
                                           ==========================      ===========================

                Series B Units
-------------------------------------

JWH LLC                                                    $ 221,754                       $2,026,834
Millburn LLC                                                 443,236                        1,662,595
                                           --------------------------      ---------------------------

Total                                                      $ 664,990                       $3,689,429
                                           ==========================      ===========================

                Series C Units
-------------------------------------

JWH LLC                                                    $ 116,818                       $1,060,893
Millburn LLC                                                 234,589                          879,936
                                           --------------------------      ---------------------------

Total                                                      $ 351,407                       $1,940,829
                                           ==========================      ===========================

              Total - All Series
-------------------------------------

JWH LLC                                                    $ 442,196                       $4,035,178
Millburn LLC                                                 885,609                        3,322,510
                                           --------------------------      ---------------------------

Total                                                    $ 1,327,805                       $7,357,688
                                           ==========================      ===========================
</TABLE>

                                       11
<PAGE>

Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:

<TABLE>
<CAPTION>
                                JWH                          Millburn                           JWH
                                LLC                             LLC                             LLC
                         December 31, 1999               December 31, 1999               December 31, 1998
                   ------------------------------  ------------------------------  ------------------------------

<S>                <C>                             <C>                             <C>
Assets                              $ 20,495,709                    $ 23,769,789                    $ 29,277,397
                   ==============================  ==============================  ==============================

Liabilities                            $ 652,166                       $ 737,160                       $ 391,198
Members' Capital                      19,843,543                      23,032,629                      28,886,199
                   ------------------------------  ------------------------------  ------------------------------

Total                               $ 20,495,709                    $ 23,769,789                    $ 29,277,397
                   ==============================  ==============================  ==============================


                         For the year ended              For the year ended              For the year ended
                         December 31, 1999               December 31, 1999               December 31, 1998
                   ------------------------------  ------------------------------  ------------------------------

Revenues                            $ (3,007,129)                    $ 1,994,936                     $ 1,391,001

Expenses                               2,520,065                       2,612,853                       4,069,362
                   ------------------------------  ------------------------------  ------------------------------

Net Income (Loss)                   $ (5,527,194)                     $ (617,917)                   $ (2,678,361)
                   ==============================  ==============================  ==============================
<CAPTION>
                             Millburn                           JWH                          Millburn
                                LLC                             LLC                             LLC
                         December 31, 1998
                   ------------------------------

<S>                <C>                             <C>                              <C>
Assets                              $ 27,815,000
                   ==============================

Liabilities                            $ 537,886
Members' Capital                      27,277,114
                   ------------------------------

Total                               $ 27,815,000
                   ==============================


                         For the year ended              For the year ended              For the year ended
                         December 31, 1998               December 31, 1997               December 31, 1997
                   ------------------------------  ------------------------------  ------------------------------

Revenues                             $ 3,593,650                    $ 15,279,401                     $ 8,303,430

Expenses                               3,108,411                       6,714,041                       4,600,706
                   ------------------------------  ------------------------------  ------------------------------

Net Income (Loss)                      $ 485,239                     $ 8,565,360                     $ 3,702,724
                   ==============================  ==============================  ==============================
</TABLE>

                                       12
<PAGE>

7. FAIR VALUE AND OFF-BALANCE SHEET RISK


   For the year ended December 31, 1999, the Partnership invested all of its
   assets in Trading LLC's. Accordingly, the Partnership is invested indirectly
   in derivative instruments, but does not itself hold any derivative instrument
   positions. As such, MLIP does not believe that the adoption of the provisions
   of Statement of Financial Accouting Standards No. 133 had a significant
   effect on the financial statements of the Partnership.


   Market Risk
   -----------

   Derivative financial instruments involve varying degrees of off-balance sheet
   market risk. Changes in the level or volatility of interest rates, foreign
   currency exchange rates or the market values of the underlying financial
   instruments or commodities underlying such derivative instruments frequently
   resulted in changes in the Partnership's net unrealized profit on such
   derivative instruments as reflected in the Statements of Financial Condition
   or, with respect to Partnership assets invested in Trading LLC's, the net
   unrealized profit as reflected in the respective Statements of Financial
   Condition of the Trading LLC's. The Partnership's exposure to market risk is
   influenced by a number of factors, including the relationships among the
   derivative instruments held by the Partnership, through the Trading LLC's, as
   well as the volatility and liquidity of such markets in which such derivative
   instruments are traded.

   MLIP has procedures in place intended to control market risk exposure,
   although there can be no assurance that they will, in fact, succeed in doing
   so. These procedures focus primarily on monitoring the trading of the
   Advisors selected from time to time for the Partnership, calculating the Net
   Asset Value of the Advisors' respective Partnership accounts and Trading LLC
   accounts, as of the close of business on each day and reviewing outstanding
   positions for over-concentrations both on an Advisor-by-Advisor and on an
   overall Partnership basis. While MLIP does not itself intervene in the
   markets to hedge or diversify the Partnership's market exposure MLIP may urge
   Advisors to reallocate positions or itself reallocate Partnership assets
   among Advisors (although typically only as of the end of a month) in an
   attempt to avoid over-concentration. However, such interventions are unusual.
   Except in cases in which it appears that an Advisor has begun to deviate from
   past practice and trading policies or to be trading erratically, MLIP's basic
   risk control procedures consist simply of the ongoing process of advisor
   monitoring and selection, with the market risk controls being applied by the
   Advisors themselves.

   One important aspect of MLIP's risk controls is its adjustments to the
   leverage at which the Partnership trades. By controlling the percentage of
   the Partnership's assets allocated to trading, MLIP can directly affect the
   market exposure of the Partnership. Leverage control is the principal means
   by which MLIP hopes to be able to ensure that Merrill Lynch is never required
   to make any payments under its guarantee that the Net Asset Value per Unit
   will equal no less than a specified minimum as of the Principal Assurance
   Date.

                                      13

<PAGE>

   Credit Risk
   -----------

   The risks associated with exchange-traded contracts are typically perceived
   to be less than those associated with over-the-counter (non-exchange-traded)
   transactions, because exchanges typically (but not universally) provide
   clearinghouse arrangements 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 the financial integrity of the exchange.  In over-the-
   counter transactions, on the other hand, traders must rely solely on the
   credit of their respective individual counterparties.  Margins, which may be
   subject to loss in the event of a default, are generally required in exchange
   trading, and counterparties may also require margin in the over-the-counter
   markets.

   The Partnership has credit risk in respect of its counterparties and brokers,
   but attempts to control this risk by dealing almost exclusively with Merrill
   Lynch entities as counterparties and clearing brokers.

   The Partnership, through the Trading LLC's, in its normal course of business,
   enters into various contracts, with MLF acting as its commodity broker.
   Pursuant to the brokerage agreement with MLF (which includes a netting
   arrangement), to the extent that such trading results in receivables from and
   payables to MLF, these receivables and payables are offset and reported as a
   net receivable or payable and included in the Statements of Financial
   Condition under Equity in commodity futures accounts.





             *     *     *     *     *     *     *     *     *    *

                 To the best of the knowledge and belief of the
                 undersigned, the information contained in this
                        report is accurate and complete.

                           /s/ Michael L. Pungello

                              Michael L. Pungello
                            Chief Financial Officer
                     Merrill Lynch Investment Partners Inc.
                               General Partner of
                       John W. Henry & Co./Millburn L.P.

                                       14