**UNITED STATES**

**SECURITIESAND EXCHANGE COMMISSION**

 

**Washington, D.C. 20549**

 

**FORM 10-K**

 
| **ý****Annual Report Pursuant to  Section 13 or 15(d)** |
|--------------------------------------------------------------|
| **of the Securities Exchange Act of 1934**                   |
|                                                         |
| **For the  fiscal year ended: December 31, 2005**            |
|                                                         |
| **or**                                                       |
|                                                         |
| **o****Transition Report Pursuant to  Section 13**           |
| **or 15(d) of the Securities Exchange Act of 1934**          |

 

**Commission file number: 0-18215**

 

**JOHN W. HENRY & CO./MILLBURN L.P.**

(Exact name of registrant as specified in itscharter)

 

| **Delaware**                    | ** ** | **06-1287586**      |
|---------------------------------|------------|---------------------|
| (State or other jurisdiction of |       | (I.R.S. Employer    |
| incorporation or organization)  |       | Identification No.) |

 

**c/o Merrill Lynch Alternative Investments LLC****Princeton Corporate Campus****800 Scudders Mill Road – Section 2G**

**Plainsboro, New Jersey  08536**

(Address of principal executive offices)

 

Registrant’s telephone number, including areacode:  **(609)282-6996**

 

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

 

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

 

Indicate by check mark if the registrant is a well-known seasonedissuer, as defined in Rule 405 of the Securities Act.

Yes  o    No  ý

 

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

 

Yes  o    No  ý

 

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

 

Yes  ý    No  o

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulation S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K or anyamendment to this Form 10-K. ý

 

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

 

Large accelerated filer  o         Acceleratedfiler  o         Non-acceleratedfiler  ý

 

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

Yes  o    No  ý

 

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

 

As of February 1, 2006, limited partnership units with an aggregate netasset value of $22,867,174 were held by non-affiliates.

 

**Documents Incorporated by Reference**

 

The registrant’s 2005 Annual Report and Report of IndependentRegistered Public Accounting Firm, the annual report to security holders forthe fiscal year ended December 31, 2005, is incorporated by reference into PartII, Item 8 and Part IV hereof and filed as an Exhibit herewith. The annualreports are available free of charge by contacting Alternative InvestmentsClient Services at 1-877-465-8435.

 

 

----

 

**JOHN W. HENRY & CO./MILLBURN L.P.**

 

ANNUAL REPORT FOR 2005 ON FORM 10-K

 

Table of Contents

 
| PART  I   |
|-----------|
|      |   |   |
| Item 1.   | Business | 1 |
|      |   |   |
| Item 1A.  | Risk Factors | 5 |
|      |   |   |
| Item 2.   | Properties | 6 |
|      |   |   |
| Item 3.   | Legal Proceedings | 6 |
|      |   |   |
| Item 4.   | Submission of Matters to a Vote of Security  Holders | 6 |
|      |   |   |
| PART  II  |
|      |   |   |
| Item 5.   | Market for Registrant’s Common Equity,  Related Stockholder Matters and Issuer Purchases of Equity Securities | 7 |
|      |   |   |
| Item 6.   | Selected Financial Data | 8 |
|      |   |   |
| Item 7.   | Management’s Discussion and Analysis of  Financial Condition and Results of Operations | 13 |
|      |   |   |
| Item 7A.  | Quantitative and Qualitative Disclosures  about Market Risk | 18 |
|      |   |   |
| Item 8.   | Financial Statements and Supplementary Data | 24 |
|      |   |   |
| Item 9.   | Changes in and Disagreements with  Accountants on Accounting and Financial Disclosure | 24 |
|      |   |   |
| Item 9A.  | Controls and Procedures | 24 |
|      |   |   |
| Item 9B.  | Other Information | 24 |
|      |   |   |
| PART  III |
|      |   |   |
| Item 10.  | Directors and Executive Officers of the  Registrant | 25 |
|      |   |   |
| Item 11.  | Executive Compensation | 27 |
|      |   |   |
| Item 12.  | Security Ownership of Certain Beneficial  Owners and Management and Related Stockholder Matters | 27 |
|      |   |   |
| Item 13.  | Certain Relationships and Related  Transactions | 27 |
|      |   |   |
| Item 14.  | Principal Accountant Fees and Services | 28 |
|      |   |   |
| PART  IV  |
|      |   |   |
| Item 15.  | Exhibits and Financial Statement Schedules | 29 |

 

----

 

**PART I**

 

**Item 1:   Business**

 

(a)           GeneralDevelopment of Business:

 

John W. Henry & Co./Millburn L.P. (the “Partnership”) was organizedunder the Delaware Revised Uniform Limited Partnership Act on August 29,1989.  The original public offering ofthe Partnership’s units of limited partnership interest (the “Series A Units”)commenced on September 29, 1989, and the Partnership commenced trading withrespect to the Series A Units on January 5, 1990.  A second public offering of Series B Units oflimited partnership interest (the “Series B Units”) commenced on December 14,1990.  The Partnership began trading withrespect to the Series B Units on January 28, 1991.  A third public offering of Series C Units oflimited partnership interest (the “Series C Units”) commenced on September 13,1991.  The Partnership began trading withrespect to the Series C Units on January 2, 1992.  The Partnership’s objective is achieving,through speculative trading, substantial capital appreciation over time.

 

The proceeds of each of the three series of Units were each initiallyallocated equally between the Partnership’s two trading advisors — John W.Henry & Company, Inc. (“JWH”) and Millburn Ridgefield Corporation (“Millburn”)(collectively, the “Advisors”).

 

Merrill Lynch Alternative Investments LLC (“MLAI”) is a wholly-ownedsubsidiary of Merrill Lynch Investment Managers, LP (“MLIM”), which, in turn,is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”), is the general partner of the Partnership.  Merrill Lynch, Pierce, Fenner & SmithIncorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is thePartnership’s commodity broker. As used herein, the capitalized term “MLAI”also refers to the general partner at times when its name was MLIM AlternativeStrategies LLC, as applicable.

 

The Advisors have been the Partnership’s only trading advisors sinceinception.  Each Advisor was allocated50% of the total assets of each Series as of the date such Series begantrading.  Subsequently, these allocationshave varied over time, but currently the allocations are rebalanced to 50%/50%at the start of each quarter.  All serieshave the same percentage allocation of assets between the Advisors.  As of December 1, 1996, the Partnershipplaced all of its assets under the management of the Advisors through investingin two private limited liability companies (“Trading LLCs”) sponsored by MLAI,each one of which was traded by one of the Advisors.  Investing assets in the Trading LLCs ratherthan trading directly did not change the operation or fee structure of thePartnership. The administrative authority over the Partnership remains withMLAI. Throughout this document, references to the Partnership refer to thePartnership’s investment in the Trading LLC’s.

 

As of December 31, 2005, the aggregate capitalization of thePartnership was $22,731,551, the total capitalization of the Series A, Series Band Series C Units was $5,871,507, $10,811,424 and $6,048,620, respectively,and the Net Asset Value per Series A, Series B and Series C Units, originally$100 as of January 5, 1990, January 28, 1991 and January 2, 1992, respectively,had risen to $357.74  (excluding a $20per Series A Unit distribution paid as of November 30, 1990), $290.32  and $226.29, respectively.

 

1

----

 

The highest month-end Net Asset Value per Series A Unit throughDecember 31, 2005 was $422.69  (excludingthe distributions paid in 1990) (February 29, 2004) and the lowest $100.31 (May31, 1990); the highest month-end Net Asset Value per Series B Unit throughDecember 31, 2005 was $343.47  (February29, 2004) and the lowest $91.20 (May 31, 1992); the highest month-end Net AssetValue per Series C Unit through December 31, 2005 was $267.65  (February 29, 2004) and the lowest $75.87(May 31, 1992).

 

(b)           FinancialInformation about Segments:

 

The Partnership’s business constitutes only one segment for financialreporting purposes, i.e*.,* aspeculative “commodity pool”. The Partnership does not engage in sales of goodsor services.

 

(c)                                  NarrativeDescription of Business:

 

***General***

 

The Partnership trades (through its investments in the Trading LLCs) inthe international futures, options on futures and forward markets with theobjective of achieving substantial capital appreciation.

 

The Partnership has entered into advisory agreements with each Advisor(the “Advisory Agreement”).  JWH tradesthe Partnership’s assets allocated to it in four market sectors — interestrates, stock indices, currencies and metals — pursuant to its Financial andMetals Program.  Millburn trades thePartnership’s assets allocated to it pursuant to its currency program, whichconcentrates exclusively on currency trading, primarily in the interbankmarket.

 

One of the objectives of the Partnership is to provide diversificationto a limited portion of the risk segment of the Limited Partners’portfolios.  Commodity pool performancehas historically often demonstrated a low degree of performance correlationwith traditional stock and bond holdings. Since it began trading, the Partnership’s returns have, in fact,frequently been significantly non-correlated with the United States stock andbond markets.

 

The Partnership accesses the Advisors not by opening individual managedaccounts with them, but rather through investing in private funds sponsored byMLAI through which the trading accounts of different MLAI sponsored fundsmanaged by the same Advisor and pursuant to the same strategy are consolidated.

 

***Use of Proceeds and Interest Income***

 

Market Sectors.

 

Under the direction of the two Advisors, the Partnership trades aportfolio, which is concentrated in the financial, currency and metalsmarkets.  The limited focus of thePartnership’s trading increases volatility and market risk.

 

Market Types.

 

The Partnership trades on a variety of United States and foreignfutures exchanges. Substantially all of the Partnership’s off-exchange tradingtakes place in the highly liquid, institutionally based currency forwardmarkets.

 

Many of the Partnership’s currency trades are executed in the spot andforward foreign exchange markets (the “FX Markets”) where there are no directexecution costs.  Instead, theparticipants, banks and dealers, in the FX Markets take a “spread” between theprices at which they are prepared to buy and sell a particular currency andsuch spreads are built into the pricing of the spot or forward contracts withthe Partnership.  In its exchange offutures for physical (“EFP”) trading, the Partnership acquires cash currencypositions through banks and dealers.  ThePartnership pays a spread when it exchanges these positions for futures.  This spread reflects, in part, the differentsettlement dates of the cash and the futures contracts, as well as prevailinginterest rates, but also includes a pricing spread in favor of the banks anddealers, which may include a Merrill Lynch entity.

 

2

----

 

As in the case of its market sector allocations, the Partnership’scommitments to different types of markets — U.S. and non-U.S., regulated andnon-regulated — differ substantially from time to time, as well as overtime.  The Partnership has no policyrestricting its relative commitment to any of these different types of markets.

 

Custody of Assets.

 

All of the Partnership’s assets are currently held in customer accountsat MLPF&S.

 

Interest paid by Merrill Lynch on the Partnership’s U.S. Dollar and NonU.S. Dollar Assets.

 

The Partnership’s (through the Trading LLCs) U.S. dollar assets aremaintained at MLPF&S.  On assets heldin U.S. dollars, Merrill Lynch credits the Partnership with interest at theprevailing 91-day U.S. Treasury bill rate. The Partnership is credited with interest on any of its net gainsactually held by Merrill Lynch 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 Partnership, from possession of suchassets.

 

Merrill Lynch charges the Partnership (through the Trading LLCs)Merrill Lynch’s cost of financing realized and unrealized losses on thePartnership’s non-U.S. dollar-denominated positions**.**

 

***Charges***

 

Each of the Series of Units is subject to the same charges.  However, these charges are calculatedseparately with respect to each Series, each of which maintains its own NetAsset Value.

 

During 2005, 2004 and 2003, all of the Partnership’sassets were invested in the two Trading LLCs mentioned above.

 

The Partnership’s average month-end Net Assets during 2005, 2004 and2003 equaled $23,675,182, $27,020,332, and $32,317,001, respectively.

 

3

----

 

**Description of Current Charges**

 
| **Recipient**        | ** ** | **Nature  of Payment**    | ** ** | **Amount  of Payment**                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------------------|------------|---------------------------|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S           |       | Brokerage Commissions     |       | A flat-rate monthly commission of 0.708 of 1% of the Partnership’s  month-end trading assets (an 8.50% annual rate).                                                                                                                                                                                                                                                                                                      |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
|                 |       |                      |       | MLAI estimates that the round-turn equivalent rates charged to  Millburn during the years ended 2005, 2004 and 2003 were approximately $230,  $306, and $249, respectively. MLAI estimates that the round-turn equivalent  rates charged to JWH during the years ended 2005, 2004 and 2003 were  approximately $203, $221, and $264, respectively.                                                                             |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| MLPF&S           |       | Use of Partnership assets |       | Merrill Lynch may derive an economic benefit from the deposit of  certain of the Partnership’s U.S. dollar assets.                                                                                                                                                                                                                                                                                                        |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| MLAI                 |       | Administrative Fees       |       | The Partnership pays MLAI a monthly Administrative Fee equal to 0.021  of 1% (0.25% annually) of the Partnership’s month-end trading assets.  MLAI pays all of the Partnership’s routine  administrative costs. The Partnership also pays the actual cost of the State  of New Jersey annual filing fee.  This  filing fee is assessed on a per partner basis with a maximum charge of  $250,000 per year. |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| Other Counterparties |       | Bid–ask spreads      |       | Bid–ask spreads on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                            |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| Advisors             |       | Profit Shares             |       | Profit shares of 20% of any New Trading Profit, either as of the end  of each calendar quarter or year, achieved by each Advisor’s trading account,  individually, were paid to JWH and Millburn, respectively.  Profit Shares are also paid upon redemption  of Units.  New Trading Profit is  calculated separately in respect of each Advisor, irrespective of the overall  performance of the Partnership.  |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| Advisors             |       | Consulting Fees           |       | MLPF&S pays the Advisors annual consulting fees of 2% of the  average month-end assets allocated to them for management.                                                                                                                                                                                                                                                                                                   |
|                 |       |                      |       |                                                                                                                                                                                                                                                                                                                                                                                                                           |
| MLPF&S; Others   |       | Extraordinary expenses    |       | Actual costs incurred; none paid to date.                                                                                                                                                                                                                                                                                                                                                                                      |

 

4

----

 

***Regulation***

 

MLAI, the Advisors and MLPF&S are each subject to regulation by theCommodity Futures Trading Commission (the “CFTC”) and the National FuturesAssociation (“NFA”).  Other than inrespect of its periodic reporting requirements under the Securities ExchangeAct of 1934, the Partnership itself is generally not subject to regulation bythe Securities and Exchange Commission. However, MLAI itself is registered as an “investment adviser” under theInvestment Advisers Act of 1940.

 

(i) through (xii) — not applicable.

 

(xiii)  The Partnership has noemployees.

 

(d)           FinancialInformation about Geographic Areas

 

The Partnership trades on a number of foreign commodity exchanges.  The Partnership does not engage in the salesof goods or services.

 

**Item1A:  Risk Factors**

 

## **Past Performance Not NecessarilyIndicative of Future Results**

 

Pastperformance is not necessarily indicative of future results.  The Advisor’s past performance may be notrepresentative of how it may trade in the future for the Partnership.

 

## **Volatile Markets; HighlyLeveraged Trading**

 

Futuresand forward trading is highly leveraged, and market price levels are volatileand materially affected by unpredictable factors such as weather andgovernmental intervention.  Thecombination of leverage and volatility creates a high degree of risk.

 

## **Importance of General MarketConditions**

 

Overallmarket or economic conditions — which neither MLAI nor the Advisor can predictor control — have a material effect on the performance of any managed futuresstrategy.

 

## **Forward Trading**

 

ThePartnership will trade currencies in the forward in addition to in the futuresmarkets.  The forward markets areover-the-counter, not exchange, markets, and in trading in these markets, thePartnership will be dependent on the credit standing of the counterparties withwhich they trade, without the financial support of any clearinghousesystem.  In addition, the prices offeredfor the same forward contract may vary significantly among different forwardmarket participants.  Forward marketcounterparties are under no obligation to enter into forward transactions witha Partnership, including transactions through which the Partnership isattempting to liquidate open positions.

 

## **Illiquid Markets**

 

Certainpositions held by the Partnership may become illiquid, preventing the Advisorfrom acquiring positions otherwise indicated by its strategy or making itimpossible for the Advisor to close out positions against which the market ismoving.

 

Certainfutures markets are subject to “daily price limits,” restricting the maximumamount by which the price of a particular contract can change during any giventrading day.  Once a contract’s price hasmoved “the limit,” it may be impossible or economically non-viable to executetrades in such contract.  From time totime, prices have moved “the limit” for a number of consecutive days,making it impossible for traders against whose positions the market was movingto prevent large losses.

 

5

----

 

## **Trading on Non-U.S. Exchanges**

 

TheAdvisor may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by anyUnited States governmental agency.  ThePartnership could incur substantial losses trading on foreign exchanges towhich it would not have been subject had the Advisor limited its trading toU.S. markets.

 

Theprofits and losses derived from trading foreign futures and options willgenerally be denominated in foreign currencies; consequently, the Partnershipwill be subject to a certain degree of exchange-rate risk in trading suchcontracts.

 

## **Risks of Electronic Trading andOrder Routing Systems**

 

AnAdvisor may from time to time trade on electronic trading and order routingsystems, which differ from traditional open outcry pit trading and manual orderrouting methods.  Transactions using anelectronic system are subject to the rules and regulations of the exchangesoffering the system or listing the contract. Characteristics of electronic trading and order routing systems varywidely among the different electronic systems with respect to order matchingprocedures, opening and closing procedures and prices, error trade policies andtrading limitations or requirements. There are also differences regarding qualifications for access andgrounds for termination and limitations on the types of orders that may beentered into the system.  Each of thesematters may present different risk factors with respect to trading on or usinga particular system.  Each system mayalso present risks related to system access, varying response times andsecurity.  In the case of Internet-basedsystems, there may be additional risks related to service providers and thereceipt and monitoring of electronic mail.

 

Tradingthrough an electronic trading or order routing system also entails risksassociated with system or component failure. In the event of system or component failure, it is possible that for acertain time period, it might not be possible to enter new orders, executeexisting orders or modify or cancel orders that were previously entered.  System or component failure may also resultin loss of orders or order priority. Some contracts offered on an electronic trading system may be tradedelectronically and through open outcry during the same trading hours.  Exchanges offering an electronic trading ororder routing system and listing the contract may have adopted rules to limittheir liability, the liability of futures brokers and software andcommunication system vendors and the amount that may be collected for systemfailures and delays.  These limitation ofliability provisions vary among the exchanges.

 

**Item 2:   Properties**

 

The Partnership does not use any physical properties in the conduct ofits business.

 

The Partnership’s offices are the offices of MLAI (Merrill LynchAlternative Investments LLC, Princeton Corporate Campus, 800 Scudders Mill Road- Section 2G, Plainsboro, New Jersey 08536). MLAI performs administrative servicesfor the Partnership from MLAI’s offices.

 

**Item 3:   Legal Proceedings**

 

Neither the Partnership nor MLAI has ever been the subject of anymaterial litigation.  Merrill Lynch isthe 100% indirect owner of MLAI, MLIM, MLPF&S and all other Merrill Lynchentities involved in the operation of the Partnership. Merrill Lynch as well ascertain of its subsidiaries and affiliates have been named as defendants incivil actions, arbitration proceedings and claims arising out of theirrespective business activities.  Althoughthe ultimate outcome of these actions cannot be predicted at this time and theresults of legal proceedings cannot be predicted with certainty, it is theopinion of management that the result of these matters will not be materiallyadverse to the business operations or financial condition of MLAI or thePartnership.

 

**Item 4:   Submission of Mattersto a Vote of Security Holders**

 

None.

 

6

----

 

**PART II**

 

**Item 5:****          Market for Registrant’sCommon Equity, Related Stockholder Matters and Issuer Purchases of EquitySecurities**

 

Item 5(a)

 

(a)           MarketInformation:

 

There is no established public trading market for the Units, nor is itanticipated that one will develop. Limited Partners may redeem Units as of the end of each month at theirNet Asset Value.

 

(b)           Holders:

 

As of December 31, 2005, there were 168, 491 and 241 holders of theSeries A, B and C Units, respectively, including MLAI.

 

(c)           Dividends:

 

The Partnership has made only one distribution ($20 per Series A Unitpayable as of November 30, 1990) since trading commenced. MLAI does notpresently intend to make any further distributions.

 

(d)           SecuritiesAuthorized for Issuance under Equity Compensation Plans:

 

Not applicable.

 

(e)                                  RecentSales of Unregistered Securities; Uses of Proceeds From Registered Securities:

 

Not applicable.

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable

 

7

----

 

**Item 6:   Selected FinancialData**

 

The following selected financial data has been derived from the auditedfinancial statements of the Partnership.

 
| ** **                     | ** ** | **For the Years Ended December 31,** | ** ** |
|--------------------------------|------------|--------------------------------------|------------|
| **Income Statement Data**      | ** ** | **2005**                             | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|                           |       |                                 |       |   |   |   |   |   |   |   |   |
| Revenues:                      |       |                                 |       |   |   |   |   |   |   |   |   |
|                           |       |                                 |       |   |   |   |   |   |   |   |   |
| Trading Profits (Loss)         |       |                                 |       |   |   |   |   |   |   |   |   |
| Realized                       |       | $                                    | 496,604    |   | $ | 1,696,804 |   | $ | 7,494,259 |   | $ | 10,429,479 |   | $ | 6,379,319 |   |
| Change in Unrealized           |       | (1,111,030                           | )          | (281,869 | ) | (624,127 | ) | 1,084,889 |   | (3,588,388 | ) |
| Total Trading Results          |       | (614,426                             | )          | 1,414,935 |   | 6,870,132 |   | 11,514,368 |   | 2,790,931 |   |
|                           |       |                                 |       |   |   |   |   |   |   |   |   |
| Interest Income                |       | 738,940                              |       | 367,819 |   | 339,103 |   | 452,175 |   | 1,003,296 |   |
| Total Revenues                 |       | 124,514                              |       | 1,782,754 |   | 7,209,235 |   | 11,966,543 |   | 3,794,227 |   |
|                           |       |                                 |       |   |   |   |   |   |   |   |   |
| Expenses:                      |       |                                 |       |   |   |   |   |   |   |   |   |
| Brokerage Commissions          |       | 2,019,957                            |       | 2,309,431 |   | 2,823,906 |   | 2,442,927 |   | 2,456,699 |   |
| Administrative Fees            |       | —                               |       | 537,182 |   | 710,980 |   | 1,149,373 |   | — |   |
| Profit Shares                  |       | 206,410                              |       | 131,611 |   | 101,873 |   | 71,850 |   | 72,253 |   |
| Total Expenses                 |       | 2,226,367                            |       | 2,978,224 |   | 3,636,759 |   | 3,664,150 |   | 2,528,952 |   |
|                           |       |                                 |       |   |   |   |   |   |   |   |   |
| Income (Loss) from Investments |       | $                                    | (1,487,427 | ) | $ | (2,610,406 | ) | $ | (3,297,656 | ) | $ | (3,211,975 | ) | $ | (1,525,656 | ) |
| Net Income (Loss)              |       | $                                    | (2,101,853 | ) | $ | (1,195,471 | ) | $ | 3,572,476 |   | $ | 8,302,393 |   | $ | 1,265,275 |   |

 
| ** **                        | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** | **December 31,** | ** ** |
|-----------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|
| **Balance Sheet Data**            | ** ** | **2005**         | ** ** | **2004**         | ** ** | **2003**         | ** ** | **2002**         | ** ** | **2001**         | ** ** |
|                              |       |             |       |             |       |             |       |             |       |             |       |
| Partnership Net Asset Value       |       | $                | 22,731,551 |             | $          | 27,635,033       |       | $                | 31,976,838 |             | $          | 30,928,775 |   | $ | 26,155,682 |   |
| Net Asset Value per Series A Unit |       | $                | 357.74     |             | $          | 386.22           |       | $                | 400.38     |             | $          | 358.55 |   | $ | 267.82 |   |
| Net Asset Value per Series B Unit |       | $                | 290.32     |             | $          | 313.44           |       | $                | 325.34     |             | $          | 291.34 |   | $ | 217.61 |   |
| Net Asset Value per Series C Unit |       | $                | 226.29     |             | $          | 244.32           |       | $                | 253.53     |             | $          | 227.02 |   | $ | 169.60 |   |

 

All income is from investingin the Trading LLCs.

 

8

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MONTH-ENDNET ASSET VALUE PER SERIES A UNIT

 
| ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|------------|
| ** ** | ** ** | **Jan.**   | ** ** | **Feb.**   | ** ** | **Mar.**   | ** ** | **Apr.**   | ** ** | **May**    | ** ** | **June**   | ** ** | **July**   | ** ** | **Aug.**   | ** ** | **Sept.**  | ** ** | **Oct.**   | ** ** | **Nov.**   | ** ** | **Dec.**   | ** ** |
| 2001       |       | $          | 264.13     |       | $          | 265.03     |       | $          | 297.36     |       | $          | 274.43     |       | $          | 279.83     |       | $          | 265.64     |       | $          | 253.76     |       | $          | 273.76     |       | $ | 283.68 |   | $ | 296.39 |   | $ | 254.29 |   | $ | 267.82 |   |
| 2002       |       | $          | 269.22     |       | $          | 255.81     |       | $          | 242.23     |       | $          | 237.12     |       | $          | 258.85     |       | $          | 317.98     |       | $          | 345.63     |       | $          | 355.58     |       | $ | 378.00 |   | $ | 350.39 |   | $ | 333.11 |   | $ | 358.55 |   |
| 2003       |       | $          | 383.74     |       | $          | 393.54     |       | $          | 371.52     |       | $          | 376.91     |       | $          | 415.46     |       | $          | 402.31     |       | $          | 397.73     |       | $          | 406.17     |       | $ | 398.56 |   | $ | 388.98 |   | $ | 379.17 |   | $ | 400.38 |   |
| 2004       |       | $          | 405.87     |       | $          | 422.69     |       | $          | 405.35     |       | $          | 363.10     |       | $          | 342.77     |       | $          | 328.18     |       | $          | 298.88     |       | $          | 303.02     |       | $ | 300.68 |   | $ | 329.80 |   | $ | 379.21 |   | $ | 386.22 |   |
| 2005       |       | $          | 358.46     |       | $          | 348.10     |       | $          | 331.64     |       | $          | 320.87     |       | $          | 337.99     |       | $          | 363.01     |       | $          | 356.04     |       | $          | 329.68     |       | $ | 337.66 |   | $ | 340.34 |   | $ | 366.89 |   | $ | 357.74 |   |

 

MONTH-END NET ASSET VALUE PER SERIES B UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2001       |       | $        | 214.61     |     | $          | 215.32   |       | $        | 241.58     |    | $          | 222.96   |       | $        | 227.36     |     | $          | 215.83    |       | $        | 206.18     |     | $          | 222.29   |       | $ | 230.47 |   | $ | 240.80 |   | $ | 206.64 |   | $ | 217.61 |   |
| 2002       |       | $        | 218.75     |     | $          | 207.86   |       | $        | 196.82     |    | $          | 192.67   |       | $        | 210.33     |     | $          | 258.37    |       | $        | 280.70     |     | $          | 288.92   |       | $ | 307.14 |   | $ | 284.70 |   | $ | 270.66 |   | $ | 291.34 |   |
| 2003       |       | $        | 311.82     |     | $          | 319.78   |       | $        | 301.90     |    | $          | 306.27   |       | $        | 337.59     |     | $          | 326.91    |       | $        | 323.18     |     | $          | 330.04   |       | $ | 323.86 |   | $ | 316.08 |   | $ | 308.10 |   | $ | 325.34 |   |
| 2004       |       | $        | 329.80     |     | $          | 343.47   |       | $        | 329.38     |    | $          | 294.84   |       | $        | 278.12     |     | $          | 266.28    |       | $        | 242.50     |     | $          | 245.86   |       | $ | 243.96 |   | $ | 267.60 |   | $ | 307.75 |   | $ | 313.44 |   |
| 2005       |       | $        | 290.90     |     | $          | 282.50   |       | $        | 269.14     |    | $          | 260.40   |       | $        | 274.30     |     | $          | 294.60    |       | $        | 288.94     |     | $          | 267.55   |       | $ | 274.03 |   | $ | 276.20 |   | $ | 297.75 |   | $ | 290.32 |   |

 

MONTH-END NET ASSET VALUE PER SERIES C UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2001       |       | $        | 167.25     |     | $          | 167.81   |       | $        | 188.27     |    | $          | 173.76   |       | $        | 177.19     |     | $          | 168.20    |       | $        | 160.69     |     | $          | 173.24   |       | $ | 179.62 |   | $ | 187.67 |   | $ | 161.04 |   | $ | 169.60 |   |
| 2002       |       | $        | 170.48     |     | $          | 161.99   |       | $        | 153.39     |    | $          | 150.15   |       | $        | 163.92     |     | $          | 201.36    |       | $        | 218.76     |     | $          | 225.14   |       | $ | 239.33 |   | $ | 221.85 |   | $ | 210.91 |   | $ | 227.02 |   |
| 2003       |       | $        | 242.97     |     | $          | 249.18   |       | $        | 235.24     |    | $          | 238.65   |       | $        | 263.07     |     | $          | 245.75    |       | $        | 251.85     |     | $          | 257.19   |       | $ | 252.38 |   | $ | 246.31 |   | $ | 240.10 |   | $ | 253.53 |   |
| 2004       |       | $        | 257.00     |     | $          | 267.65   |       | $        | 256.68     |    | $          | 229.80   |       | $        | 216.82     |     | $          | 207.59    |       | $        | 189.06     |     | $          | 191.68   |       | $ | 190.19 |   | $ | 208.62 |   | $ | 239.88 |   | $ | 244.32 |   |
| 2005       |       | $        | 226.75     |     | $          | 220.20   |       | $        | 209.79     |    | $          | 202.98   |       | $        | 213.81     |     | $          | 229.63    |       | $        | 225.22     |     | $          | 208.55   |       | $ | 213.60 |   | $ | 215.29 |   | $ | 232.08 |   | $ | 226.29 |   |

 

Pursuant to CFTC policy, monthly performance is presented from January1, 2001 even though all Series were outstanding prior to such date.

 

9

----

 

**JOHN W. HENRY & CO./MILLBURN L.P.**

**(SERIES A UNITS)**

**December 31, 2005**

 

*Type of Pool:*  Selected-Advisor/Publicly-Offered/Non-“PrincipalProtected”(1)*Inception of Trading:*  January 5, 1990*Aggregate Subscriptions:*   $18,182,000*Current Capitalization: * $5,871,507*Worst Monthly Drawdown(2):(14.20)*%(11/01)*Worst Peak-to-Valley Drawdown(3):*(29.29)%(3/04-7/04)

 

*Net AssetValue per Series A Unit, December 31, 2005:*   $357.74

 

**Monthly Rates of Return(4)**

 

| **Month**                      | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          | 2.36     | %          |
| February                       |       | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          | 0.34     |       |
| March                          |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          | 12.20    |       |
| April                          |       | (3.25    | )          | (10.42   | )          | 1.45     |       | (2.11    | )          | (7.71    | )          |
| May                            |       | 5.34     |       | (5.60    | )          | 10.23    |       | 9.17     |       | 1.97     |       |
| June                           |       | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       | (5.07    | )          |
| July                           |       | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.70     |       | (4.47    | )          |
| August                         |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.88     |       | 7.82     |       |
| September                      |       | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.31     |       | 3.69     |       |
| October                        |       | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          | 4.48     |       |
| November                       |       | 7.80     |       | 14.98    |       | (2.52    | )          | (4.93    | )          | (14.20   | )          |
| December                       |       | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       | 5.32     |       |
|                           |       |     |       |     |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (7.38    | )%         | (3.53    | )%         | 11.67    | %          | 33.90    | %          | 3.79     | %          |

 

----

(1)  Pursuant to applicable CFTCregulations, a “Multi-Advisor” fund is defined as one that allocates no morethan 25% of its trading assets to any single manager.  As the Partnership allocates approximately50% of its assets to each of JWH and Millburn, it is referred to as a “Selected-Advisor”fund.  Certain funds, including fundssponsored by MLAI, are structured so as to guarantee to investors that theirinvestment will be worth no less than a specified amount (typically, theinitial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”. The Partnership has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative Monthly Rateof Return experienced since January 1, 2001 by the Series; a Drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatest percentagedecline since January 1, 2001 from a month-end cumulative Monthly Rate ofReturn without such cumulative Monthly Rate of Return being equaled or exceededas of a subsequent month-end.  Forexample, if the Monthly Rate of Return was (1)% in each of January and February,1% in March and (2)% in April, the Peak-to-Valley Drawdown would still becontinuing at the end of April in the amount of approximately (3)%, whereas ifthe Monthly Rate of Return had been approximately 3% in March, thePeak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4)  Monthly Rate of Return isthe net performance of the Series during the month of determination (includinginterest income and after all expenses have been accrued or paid) divided bythe total equity of the Series as of the beginning of such month.

 

10

----

 

**JOHN W. HENRY & CO./MILLBURN L.P.**

**(SERIES B UNITS)**

**December 31, 2005**

 

*Type of Pool:*  Selected-Advisor/Publicly-Offered/Non-“PrincipalProtected”(1)

*Inception of Trading:*  January 28, 1991

*Aggregate Subscriptions:*   $50,636,060

*Current Capitalization: * $10,811,424

*Worst Monthly Drawdown(2): (14.91)*%(11/01)

*Worst Peak-to-Valley Drawdown(3):*(29.29)%(3/04-7/04)

 

*Net Asset Valueper Series B Unit, December 31, 2005:*   $290.32

 

**Monthly Rates of Return(4)**

 

| **Month**                      | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          | 2.36     | %          |
| February                       |       | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          | 0.33     |       |
| March                          |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          | 12.20    |       |
| April                          |       | (3.25    | )          | (10.49   | )          | 1.45     |       | (2.11    | )          | (7.71    | )          |
| May                            |       | 5.34     |       | (5.67    | )          | 10.22    |       | 9.17     |       | 1.97     |       |
| June                           |       | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       | (5.07    | )          |
| July                           |       | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.64     |       | (4.47    | )          |
| August                         |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.92     |       | 7.81     |       |
| September                      |       | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.30     |       | 3.68     |       |
| October                        |       | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          | 4.48     |       |
| November                       |       | 7.80     |       | 15.00    |       | (2.52    | )          | (4.93    | )          | (14.19   | )          |
| December                       |       | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       | 5.31     |       |
|                           |       |     |       |     |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (7.38    | )%         | (3.66    | )%         | 11.67    | %          | 33.88    | %          | 3.78     | %          |

 

----

(1)  Pursuant to applicable CFTCregulations, a “Multi-Advisor” fund is defined as one that allocates no morethan 25% of its trading assets to any single manager.  As the Partnership allocates approximately50% of its assets to each of JWH and Millburn, it is referred to as a “Selected-Advisor”fund.  Certain funds, including fundssponsored by MLAI, are structured so as to guarantee to investors that theirinvestment will be worth no less than a specified amount (typically, theinitial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”. The Partnership has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative Monthly Rateof Return experienced since January 1, 2001 by the Series; a Drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatest percentagedecline since January 1, 2001 from a month-end cumulative Monthly Rate ofReturn without such cumulative Monthly Rate of Return being equaled or exceededas of a subsequent month-end.  Forexample, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately (3)%,whereas if the Monthly Rate of Return had been approximately 3% in March, thePeak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4)  Monthly Rate of Return isthe net performance of the Series during the month of determination (includinginterest income and after all expenses have been accrued or paid) divided bythe total equity of the Series as of the beginning of such month.

 

11

----

 

**JOHN W. HENRY & CO./MILLBURN L.P.**

**(SERIES C UNITS)**

**December 31, 2005**

 

*Type of Pool:*Selected-Advisor/Publicly-Offered/Non-“Principal Protected”(1)

*Inception of Trading:* January 2, 1992

*Aggregate Subscriptions:*   $40,000,000

*Current Capitalization: * $6,048,620

*Worst Monthly Drawdown(2): (14.19)*%(11/01)

*Worst Peak-to-Valley Drawdown(3):*(29.36)%(3/04-7/04)

 

*Net AssetValue per Series C Unit, December 31, 2005:*   $226.29

 

**Monthly Rates of Return(4)**

 

| **Month**                      | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** | **2001** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (7.19    | )%         | 1.37     | %          | 7.03     | %          | 0.52     | %          | 2.36     | %          |
| February                       |       | (2.89    | )          | 4.14     |       | 2.55     |       | (4.98    | )          | 0.33     |       |
| March                          |       | (4.73    | )          | (4.10    | )          | (5.59    | )          | (5.31    | )          | 12.20    |       |
| April                          |       | (3.25    | )          | (10.47   | )          | 1.45     |       | (2.11    | )          | (7.71    | )          |
| May                            |       | 5.34     |       | (5.65    | )          | 10.24    |       | 9.17     |       | 1.97     |       |
| June                           |       | 7.40     |       | (4.26    | )          | (3.16    | )          | 22.84    |       | (5.07    | )          |
| July                           |       | (1.92    | )          | (8.93    | )          | (1.14    | )          | 8.64     |       | (4.47    | )          |
| August                         |       | (7.40    | )          | 1.39     |       | 2.12     |       | 2.92     |       | 7.81     |       |
| September                      |       | 2.42     |       | (0.77    | )          | (1.87    | )          | 6.30     |       | 3.68     |       |
| October                        |       | 0.79     |       | 9.69     |       | (2.40    | )          | (7.30    | )          | 4.48     |       |
| November                       |       | 7.80     |       | 14.99    |       | (2.52    | )          | (4.93    | )          | (14.19   | )          |
| December                       |       | (2.50    | )          | 1.85     |       | 5.59     |       | 7.64     |       | 5.31     |       |
|                           |       |     |       |     |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (7.38    | )%         | (3.63    | )%         | 11.68    | %          | 33.86    | %          | 3.79     | %          |

 

----

(1)  Pursuant to applicable CFTCregulations, a “Multi-Advisor” fund is defined as one that allocates no morethan 25% of its trading assets to any single manager.  As the Partnership allocates approximately50% of its assets to each of JWH and Millburn, it is referred to as a “Selected-Advisor”fund.  Certain funds, including fundssponsored by MLAI, are structured so as to guarantee to investors that theirinvestment will be worth no less than a specified amount (typically, theinitial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”. The Partnership has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative Monthly Rateof Return experienced since January 1, 2001 by the Series; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatest percentagedecline since January 1, 2001 from a month-end cumulative Monthly Rate ofReturn without such cumulative Monthly Rate of Return being equaled or exceededas of a subsequent month-end.  Forexample, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would stillbe continuing at the end of April in the amount of approximately (3)%, whereasif the Monthly Rate of Return had been approximately 3% in March, thePeak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

(4)  Monthly Rate of Return isthe net performance of the Series during the month of determination (includinginterest income and after all expenses have been accrued or paid) divided bythe total equity of the Series as of the beginning of such month.

 

12

----

 

**Item 7:   Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

 

#### **Results of Operations**

 

### *General*

 

JWH and Millburn have been the Partnership’s two Advisors sinceinception.  Although from time to timeone of the Advisors is allocated a greater percentage of the Partnership’sassets than the other as a result of differential performance, MLAIperiodically rebalances the Partnership’s asset allocation to approximately50%/50% generally on a quarterly basis.

 

The Advisors are both trend-following traders, whose programs do notattempt to predict price movements. Neither JWH nor Millburn has generallyrelied on using fundamental economic supply or demand analyses, macroeconomicassessments of the relative strengths of different national economies oreconomic sectors.  Instead, theirprograms apply proprietary computer models to analyzing past market data, andfrom this data attempt to determine whether market prices are trending.  As technical traders, JWH and Millburn basetheir strategies on the theory that market prices reflect the collectivejudgment of numerous market participants and are, accordingly, an efficientindication of market movements.  However,there are frequent periods during which fundamental factors external to themarket dominate prices.

 

If an Advisor’s models identify a trend, they signal positions, whichfollow it.  When these models identifythe trend as having ended or reversed, these positions are either closed out orreversed.  Due to their trend-followingcharacter, the Advisors’ programs do not predict either the commencement or theend of a price movement. Rather, their objective is to identify a trend earlyenough to profit from it and detect its end or reversal in time to close outthe Partnership’s positions while retaining most of the profits made fromfollowing the trend.

 

There are many influences on the markets that the same general type ofeconomic event may lead to a price trend in some cases but not in others.  The analysis is further complicated by thefact that the programs are designed to recognize only certain types of trendsand to apply only certain criteria of when a trend has begun.  Consequently, even though significant pricetrends may occur, if these trends are not comprised of the type of intra-periodprice movements, which their programs are, designed to identify, either or bothAdvisors may miss the trend altogether.

 

Performance Summary

 

This performance summary is an outline description of how thePartnership performed in the past, not necessarily any indication of how itwill perform in the future.  In addition,the general causes to which certain price movements are attributed may or maynot in fact have caused such movements, but simply occurred at or about thesame time.

 

Both Advisors are unlikely to be profitable in markets in which suchtrends do not occur.  Static or erraticprices are likely to result in losses. Similarly, unexpected events (for example, a political upheaval, naturaldisaster or governmental intervention) can lead to major short-term losses, aswell as gains.

 

While there can be no assurance that either Advisor will be profitable,under any given market condition, markets in which substantial and sustainedprice movements occur typically offer the best profit potential for thePartnership.

 

13

----

 

***2005***

 

The Partnership’s overall trading was unprofitable for the year. ThePartnership experienced gains in two of the four sectors, with the largest gainin the stock indices.

 

The stock indices were the most profitable for the Partnership.  The markets were very choppy and exposureschanged continuously. The main drivers to performance in the first quarter werethe Asian equities and selected U.S. equities. The Asian equities and selectedU.S. equities markets began the first quarter with a loss only to gain in themiddle part of the quarter and ending the quarter with a loss. Weak U.S.economic data and disappointing earnings reports sent global equities lowerearly in the second quarter. The second quarter ended with gains generated inlong exposure to European and Asian stock indices. Gains were experienced earlyon in the third quarter as global indices rallied. Long exposure across thesector, both domestic and international, contributed to the positiveperformance. The largest gains came from exposure to the Nikkei and the NASDAQ.Gains continued during the quarter as the Nikkei and TOPIX rallied as theJapanese economy grew for the third straight quarter. The Nikkei rallied to afour year high. Optimism for Japanese growth and the election victory of PrimeMinister Koizumi sparked a rally in Japanese equities. Stock indices suffered asignificant loss at the beginning of the fourth quarter as most major globalequity indices reversed from their trend upwards on fear of rising inflationand continued rate hikes by the Federal Reserve. However, the year ended withstock indices as the most profitable of all the sectors due to long positionsheld in all 15 traded markets throughout the end of the quarter.

 

The metals sector had the second highest gains for the Partnership. Thesector gained during the first quarter as markets rallied in both the preciousand base metals, particularly in gold, copper and aluminum. The gains from thebase metals such as aluminum and copper were offset by losses in silver andgold. Base metals took a step back during the second quarter specifically inaluminum and copper. A slight gain in the middle part of the quarter due toexposure to precious metals was not enough to outweigh other losses. The secondquarter ended with gold being sold off due to a strengthening U.S. dollar.Copper and gold added to the performance of this sector in the third quarter.Copper prices were driven higher on stronger global economic data and goldrallied on increased fear of inflationary pressures due to higher energy costs.Base metals, particularly copper, trended higher throughout the fourth quarteras the fear increased that demand could outweigh supply in the short-term asU.S. economic growth increased. The year ended with gold rising to 4.9% whichwas a 24 year high.

 

The interest rate sector posted losses for this Partnership. Thebeginning of the first quarter gains were generated in exposure to Japanese,U.S. and European fixed income. Profits were also made from short exposure toEurodollar and U.S. Treasury note contracts. The quarter ended with gainsgenerated at the front end of the U.S. curve, while losses were experienced inexposure to European and Japanese fixed income. A sell off of stocks and anincrease in bond investments during the second quarter sparked a rally ininterest rates. Long exposure to European bonds and a rally in the bond marketattributed to profits. Stronger than expected economic growth in Europe, Japanand the U.S. caused a sell off in global bond markets at the beginning of thethird quarter. Exposure to the German Bund, Japanese government bonds, and theU.S. Treasury bond were the detractors from performance.  Concerns over Hurricane Katrina and theimpact it would have on energy prices sparked a rally at the end of August inglobal bond markets, contributing further to losses. Volatility increased inthe markets contributing to a significant loss at the end of the quarter.  As it became clear that the hurricanes in theUnited States would not send the economy into recession, U.S. Treasury ratesbegan to rise causing additional losses in the portfolio. Gains were made inthe beginning of the fourth quarter as concerns over central banks raisinginterest rates caused a sell-off in U.S., Japanese and European fixed income.The year ended with losses in short interest rates in nearly every market.Losses were incurred in all U.S. traded markets as well as in Japanese, Germanand UK markets.

 

The currency sector was the least profitable for the Partnership. Thefirst quarter began with a loss, as the U.S. dollar strengthened againstvarious other currencies. Losses early in the second quarter were posted ascurrency trading continued to be challenging and the U.S. dollar remained in atight range. Exposure to the Euro, Japanese yen and Swiss franc were the maindrivers of performance. The third quarter began with a gain as the U.S. dollarstrengthened based on widening interest rate differential versus many developedcountries. The currency markets were extremely volatile in reaction to Chinaending its policy of pegging its currency at 8.3 yuan to the U.S. dollar. Chinarevalued the yuan by 2.1% in July. Exposure to the Japanese yen and the Swissfranc were the main drivers of performance, while exposure to

 

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the Australian dollar detracted from performance. Halfway through thethird quarter, the U.S. dollar began to decline against most major currencies.The decline was a result of the expected slowdown in growth due to higherenergy prices in the U.S.. The U.S. dollar strengthened against most majorcurrencies early in the fourth quarter as a result of the possibility that theU.S. Federal Reserve would raise rates at a faster pace than previouslyexpected after reports showed a large increase in inflation figures and datapointing to the U.S. economy expanding faster than the economies in Europe andJapan.  The year ended with a loss drivenby a large exposure to the Japanese yen which reacted to a strong JapaneseTankan Confidence report and accommodative hints from the Bank of Japan.

 

Specific trading results are not included for 2005 because thePartnership traded exclusively through investing in Trading LLCs.

 

***2004***

 

The Partnership’s overall trading was unprofitable for the year.  The Partnership experienced gains in two ofthe four sectors, with the largest gain in the interest rate sector.

 

The interest rate sector was the most profitable for the Partnership,despite choppy trading conditions early in the year.  Long exposure early in the year to most ofthe major global yield curves proved to generate positive results thoughoverall exposure was light compared to historical exposure. Bond markets werefairly range bound during the second quarter however, yields on the U.S.ten-year note reached their highest levels since July 2002. U.S. Treasurymarkets reacted to the employment data during the third quarter with a strongsell-off, which caused the sector to reduce the long exposure to change to anet short bias. The Federal Reserve raised key interest rates by 25 basispoints on September 21st and softer economic data eventually pushedlonger-term maturities higher by the end of the quarter. The U.S. fixed incomemarkets, particularly the front end, reversed their sell-off, which started inNovember, but rallied during the first week of December, only to reverse thattrend during the last two weeks of the year.

 

The metals sector had the second highest gains for the Partnership.Base metals continued their upward move early in the year as the sectorexperienced strong demand, shrinking supply and the U.S. dollar weakeninghelped to drive prices higher. Strong industrial demand for copper andcontinued speculative interest pushed the market to a seven year high. Bothindustrial and precious metals generated slight losses in the second quarterdue to the fact most markets were range-bound and the U.S. dollar did notprovide any momentum to these markets. Industrial metals, particularly copper added to performance in the thirdquarter. Copper rallied based on increasing demand from China and tight supplyconditions. The year ended with the sector posting a small loss as gains inindustrials were outweighed by losses in long precious metals exposure.

 

The currency sector posted a loss for the Partnership. The currencymarkets continued its long trend of a weakening U.S. dollar. However, tradingwas very choppy and gains generated in the beginning of the first quarter werelost. Early U.S. dollar strength turned around towards the end of the firstquarter and a large drop at the close of the first quarter resulted in the U.S.dollar falling to a four year low against the Japanese yen. The U.S. dollarrebounded at the beginning of the second quarter only to be range boundthroughout the quarter pending the Federal Reserve’s decision on short terminterest rates. The currency markets remained range bound versus the U.S.dollar throughout the third quarter. The year ended with a bearish U.S. dollartrend on the speculation that U.S. officials favor a weaker currency to shrinkthe record current account deficit. The U.S. dollar declined to a record lowversus the Euro and fell to its lowest level versus the Japanese yen since2000.

 

Stock indices were the least profitable for the Partnership. ThePartnership was able to realize some gains in the beginning of the year. Themain drivers to performance in this sector were the DAX and the NASDAQ indices.The markets were very choppy and exposures changed continuously. Losses wereincurred during the second quarter in both the U.S. and global equitypositioning due to the concerns of the imminent rate increases in U.S. interestrates. Losses in the U.S. outweighed moderate gains in some of theinternational markets late in the third quarter. However, stock indices postedstronger gains towards the end of the year, as markets continued an upwardtrend on positive economic data, a decline in energy prices and increasedoverall confidence. Gains were made across the U.S., Asia and Europe.

 

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Specific trading results are not included for 2004 because thePartnership traded exclusively through investing in Trading LLCs.

 

***2003***

 

The Partnership’s overall trading was profitable for the year, bringingin approximately 11.67% compounded annual rate of return for 2003. ThePartnership experienced gains in all the sectors, with the largest gain in thecurrency sector.

 

Gains in the currency sector early in the year were due to theweakening U.S. dollar, and the Partnership was well positioned to capitalize onits U.S. dollar positions against other currencies.  In March, on hopes that the war with Iraqwould be short, the U.S. dollar strengthened and returned some of the profitsearned early in the year.                Thecurrency markets judged the developments in the Middle East as negative for theU.S. economy and trade, and the U.S. dollar sold off against most majorcurrencies in April and May.  U.S.Treasury Secretary John Snow indicated he was comfortable with current declinein the U.S. dollar and that a cheaper U.S. dollar would increase exports. TheU.S. dollar reversed its weakening trend in June which offset some of theprevious gains. In the beginning of the third quarter, the U.S. dollarappreciated relative to other currencies with losses being experienced in mostpositions specifically, the Australian dollar, the Canadian dollar and theBritish pound. During the middle of the third quarter, the U.S. dollarappreciated relative to the European currencies. The third quarter ended withforeign currencies against the U.S. dollar appreciating.  The year ended with the U.S. dollar fallingunder pressure on concerns that a strengthening U.S. economy may expand thetrade deficit.

 

Trading in stock indices posted gains for the year as well.  European stock markets started the year on anupward trend, which reversed as prices eroded throughout the firstquarter.  Global economies sufferedthroughout the quarter; however, in mid-March the equities market rebounded.Stock index futures capitalized on the global upswing in stock prices in June.During the first part of the third quarter, U.S. equities were fairly quietwhile strong gains were generated in trading global stock indices. The JapaneseNikkei was a solid performer during the third quarter as it gained over 8% onstrong economic numbers. Investors reacted to the hope that deflation andeconomic contractions were coming to an end in Japan. Gains in the Nikkei andthe U.S. outweighed small losses in other markets. The fourth quarter postedgains overall with the main driver of performance being the DAX index.

 

The interest rate sector managed to post a gain despite continuouslosses, during the last half of the year. Interest rates continued to pushlower in the beginning of the year as economic data for the fourth quarter of2002 announced an annual growth rate for the economy of approximately 1% for2002. Consumer spending and confidence remained low and even the housing marketstumbled in March.  The global fixedincome markets continued their upward climb until mid-March when expectationsof a short conflict in Iraq triggered the liquidation of many fixed incomeinvestments hurting long exposure. May gains outpaced losses from June.   Some factors that kept the interest ratesfalling were rumors of deflation, hedging by long term lenders against thefalling interest rates, and foreign banks buying U.S. Treasuries as part oftheir monetary policy to control the value of their currency.  The market reversed in June due todisappointing news about a smaller rate cut by the Federal Reserve then expected.In the beginning of the third quarter, the U.S. bond market suffered heavylosses after the U.S government announced its intentions to borrow a recordamount to finance the huge deficit. There were massive sell-offs in bonds during July, which seemed to havefound a base during the month of August.  With interest rates on hold at the short end of the curve in the U.S.,trading was characterized by small ranges, which generated minor losses.  Trading conditions in this sector remainchoppy and overall exposure continues to remain low, since no clear trends haveemerged.

 

The metals sector had gains for the year as well despite losses in thefirst half of the year.  Gold droveprofits in January as it continued its run up. The general perception of risks in the financial markets and the geopoliticalsituation unfolding was a main driver for the gold market in January.  Gold reversed its rising trend in Februarywith the announcement that the German Bundesbank had sold a portion of its goldreserves. Positions in gold shifted from profitable to unprofitable throughoutthe second quarter. In the beginning of the third quarter profits in theindustrial complex were outweighed by losses in the precious metal sector.Copper and other industrial metals rallied on technical buying and stronger demandas economies showed stronger growth prospects. During the mid part of the thirdquarter,

 

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the metals sector posted a gainwhile profits in precious metals outweighed losses in the industrialcomplex.  At the end of the thirdquarter, the metals sector posted a profit with long positions in the metalsparticularly gold and nickel, making significant price movements to theupside.  The fourth quarter posted gainspartially due to weaker U.S. dollar allowing base metals to advance sharply, aswell as a strong demand from Asia.  Goldprices reached a six-year high and were one of the main drivers of performance.

 

Specific trading results are not included for 2003 because thePartnership traded exclusively through investing in Trading LLCs.

 

## VariablesAffecting Performance

 

The principal variables, which determine the net performance of thePartnership, are gross profitability and interest income.

 

During all periods set forth under “Selected Financial Data,” theinterest rates in many countries were at unusually low levels.  The low interest rates in the United States(although higher than in many other countries) negatively impacted revenuesbecause interest income is typically a major component of the Partnership’sprofitability.  In addition, low interestrates are frequently associated with reduced fixed income market volatility,and in static markets the Partnership’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Partnership may be reduced as compared to high yieldingand much lower risk fixed-income investments.

 

The Partnership’s Brokerage Commissions andAdministrative Fees are a constant percentage of the Partnership’s assetsallocated to trading.  The onlyPartnership costs (other than the New Jersey filing fees and the insignificantcurrency trading costs) which are not based on a percentage of the Partnership’sassets (allocated to trading or total) are the Profit Shares payable to JWH andMillburn separately on their individual performance, irrespective of theoverall performance of the Partnership. During periods when Profit Shares are a high percentage of net tradinggains, it is likely that there has been substantial performance non-correlationbetween JWH and Millburn (so that the total Profit Shares paid to the Advisorwhich has traded profitably are a high percentage, or perhaps even in excess,of the total profits recognized, as the other Advisor incurred offsettinglosses, reducing overall trading gains but not the Profit Shares paid to thesuccessful Advisor) — suggesting the likelihood of generally trendless,non-consensus markets.

 

Unlike many investment fields, there is no meaningful distinction inthe operation of the Partnership between realized and unrealized profits.  Most of the contracts traded by thePartnership are highly liquid and can be closed out at any time.

 

Except in unusual circumstances, factors — regulatory approvals, costof goods sold, employee relations and the like — which often materially affectan operating business, have virtually no impact on the Partnership.

 

##### Liquidity; Capital Resources

 

The Partnership borrows only to a limited extent and only on a strictlyshort-term basis in order to finance losses on non-U.S. dollar denominatedtrading positions pending the conversion of the Partnership’s U.S. dollardeposits.  These borrowings are at aprevailing short-term rate in the relevant currency.

 

Substantially all of the Partnership’s assets at the Trading LLCs areheld in cash.  The Net Asset Value of thePartnership’s cash is not affected by inflation.   However, changes in interest rates couldcause periods of strong up or down price trends, during which the Partnership’sprofit potential generally increases. Inflation in commodity prices could also generate price movements, whichthe strategies might successfully follow.

 

Except in very unusual circumstances, the Trading LLCs should be ableto close out any or all of their open trading positions and liquidate any orall of their securities holdings quickly and at market prices.  This permits an Advisor to limit losses aswell as reduce market exposure on short notice should its strategies indicatedoing so.  In

 

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addition, because there is areadily available market value for the Partnership’s positions and assets, thePartnership’s monthly Net Asset Value calculations are precise, and investorsneed only wait ten business days to receive the full redemption proceeds oftheir Units.

 

(The Partnership has no off-balance sheet arrangements or contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.)

 

**Item 7A: Quantitative and Qualitative Disclosures about Market Risks.**

 

***Introduction***

 

Past Results Not Necessarily Indicative ofFuture Performance

 

The Partnership is a speculative commodity pool.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Partnership’smain line of business.

 

Market movements result in frequent changes in thefair market value of the Trading LLC’s open positions and, consequently, in itsearnings and cash flow.  The Partnership’smarket risk is influenced by a wide variety of factors, including the level andvolatility of interest rates, exchange rates, equity price levels, the marketvalue of financial instruments and contracts, the diversification effects amongthe Partnership’s open positions and the liquidity of the markets in which ittrades.

 

The Partnership, under the direction of the twoAdvisors, which it has retained since inception, rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership’s past performance is not necessarilyindicative of its future results.

 

Value at Risk is a measure of the maximum amount which the Partnershipcould reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of thePartnership’s speculative trading and the recurrence in the markets traded bythe Partnership of market movements far exceeding expectations could result inactual trading or non-trading losses far beyond the indicated Value at Risk orthe Partnership’s experience to date (i.e*.,* “risk ofruin”).  In light of the foregoing, aswell as the risks and uncertainties intrinsic to all future projections, thequantifications included in this section should not be considered to constituteany assurance or representation that the Partnership’s losses in any marketsector will be limited to Value at Risk or by the Partnership’s attempts tomanage its market risk.

 

***Quantifying the Partnership’s Trading Value at Risk***

 

Quantitative Forward-Looking Statements

 

*Thefollowing quantitative disclosures regarding the Partnership’s market riskexposures contain “forward-looking statements” within the meaning of the safeharbor from civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.*

* *

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

 

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Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95%–99% of the one-day timeperiods included in the historical sample (generally approximately one year)researched for purposes of establishing margin levels. The maintenance marginlevels are established by dealers and exchanges using historical price studiesas well as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Partnership),the margin requirements for the equivalent futures positions have been used asValue at Risk. In those rare cases in which a futures-equivalent margin is notavailable, dealers’ margins have been used.

 

The fair value of the Partnership’s futures andforward positions does not have any optionality component. However, both JWHand Millburn trade options on futures to a limited extent. The Value at Riskassociated with options is reflected in the following table as the marginrequirement attributable to the instrument underlying each option.

 

100% positive correlation in the different positionsheld in each market risk category has been assumed. Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk. The diversification effectsresulting from the fact that the Partnership’s positions are rarely, if ever,100% positively correlated have not been reflected.

 

***The Partnership’s Trading Value at Risk inDifferent Market Sectors***

 

The following table indicates the average, highest andlowest trading Value at Risk associated with the Partnership’s open positionsby market category for the fiscal year 2005. During the fiscal year 2005, thePartnership’s average capitalization was approximately $23,675,183. As ofDecember 31, 2004, the average capitalization was approximately $27,020,334.

 

The Partnership does not trade commodities or energy futures.

 

**Fiscal Year 2005**

 
| ** **        | ** ** | **AverageValue** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|-------------------|------------|------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector** | ** ** | **at Risk**      | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|              |       |             |       |               |       |              |       |             |       |
| Interest Rates    |       | $                | 2,366,567  |               | 10.00      | %                 | $          | 3,130,761        |       | $ | 1,696,426 |   |
| Currencies        |       | 545,071          |       | 2.30               | %          | 981,619           |       | 117,105          |       |
| Stock Indices     |       | 461,653          |       | 1.95               | %          | 696,031           |       | 191,445          |       |
| Metals            |       | 117,727          |       | 0.50               | %          | 237,480           |       | 39,876           |       |
| TOTAL             |       | $                | 3,491,018  |               | 14.75      | %                 | $          | 5,045,891        |       | $ | 2,044,852 |   |

 

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**Fiscal Year 2004**

 
| ** **        | ** ** | **AverageValue** | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|-------------------|------------|------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector** | ** ** | **at Risk**      | ** ** | **Capitalization** | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|              |       |             |       |               |       |              |       |             |       |
| Interest Rates    |       | $                | 2,925,256  |               | 10.83      | %                 | $          | 4,497,842        |       | $ | 2,131,941 |   |
| Currencies        |       | 942,591          |       | 3.49               | %          | 1,847,546         |       | 117,092          |       |
| Stock Indices     |       | 189,981          |       | 0.70               | %          | 638,850           |       | 41,167           |       |
| Metals            |       | 123,728          |       | 0.46               | %          | 347,329           |       | 17,491           |       |
| TOTAL             |       | $                | 4,181,556  |               | 15.48      | %                 | $          | 7,331,567        |       | $ | 2,307,691 |   |

 

Average, highest andlowest value at Risk amounts relate to month end amounts for each month duringthe year. Average Capitalization is the average or the Partnership’scapitalization at the end of each month of 2005 and 2004.

 

***Material Limitations on Value at Risk as anAssessment of Market Risk***

 

The face value of the market sector instruments heldby the Partnership is typically many times the applicable maintenance marginrequirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Partnership. The magnitude of the Partnership’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles. Because of the size of its positions, certain market conditions —unusual, but historically recurring from time to time — could cause thePartnership to incur severe losses over a short period of time. The foregoingValue at Risk table — as well as the past performance of the Partnership — giveno indication of this “risk of ruin.”

 

***Non-Trading Risk***

 

*Foreign Currency Balances; Cash on Depositwith MLPF&S*

 

The Partnership has non-trading market risk on itsforeign cash balances not needed for margin. However, these balances (as wellas the market risk they represent) are immaterial.

 

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

 

**Qualitative Disclosures Regarding PrimaryTrading Risk Exposures**

 

The following qualitative disclosures regarding the Partnership’smarket risk exposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Partnership manages itsprimary market risk exposures — constitute forward-looking statements withinthe meaning of Section 27A of the Securities Act and Section 21E of the SecuritiesExchange Act. The Partnership’s primary market risk exposures as well as thestrategies used and to be used by MLAI and the Partnership’s two Advisors formanaging such exposures are subject to numerous uncertainties, contingenciesand risks, any one of which could cause the actual results of the Partnership’srisk controls to differ materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of thePartnership. There can be no assurance that the Partnership’s current marketexposure and/or risk management strategies

 

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will not change materially orthat any such strategies will be effective in either the short- or long-term. Investorsmust be prepared to lose all or substantially all of the time value of theirinvestment in the Partnership.

 

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

 

**Interest Rates**.

 

Interest rate risk is the principal market exposure of the Partnership.Interest rate movements directly affect the price of derivative sovereign bondpositions held by the Partnership and indirectly the value of its stock indexand currency positions. Interest rate movements in one country as well asrelative interest rate movements between countries materially impact thePartnership’s profitability. The Partnership’s primary interest rate exposureis to interest rate fluctuations in the United States and the other G-7countries. However, the Partnership also takes positions in the government debtof smaller nations — e.g*.,* New Zealandand Australia. MLAI anticipates that G-7 interest rates will remain the primarymarket exposure of the Partnership for the foreseeable future.

 

**Currencies**.

 

The Partnership trades in a large number of currencies, includingcross-rates — i.e*.,* positions between twocurrencies other than the U.S. dollar. However, the Partnership’s majorexposures have typically been in the U.S. dollar/Japanese yen and U.S. dollar/Euro positions. MLAI does not anticipate that the risk profile of thePartnership’s currency sector will change significantly in the future. Thecurrency trading Value at Risk figure includes foreign margin amounts convertedinto U.S. dollars with an incremental adjustment to reflect the exchange raterisk inherent to the U.S. dollar-based Partnership in expressing Value at Riskin a functional currency other than U.S. dollars.

 

**Stock Indices**.

 

The Partnership’s primary equity exposure is to equity index pricemovements. The stock index futures traded by the Partnership are by law limitedto futures on broadly based indices. As of December 31, 2005, the Partnership’sprimary exposures were in the S&P 500, Financial Times (England), Nikkei(Japan) and DAX (Germany) stock indices. MLAI anticipates little, if any,trading in non-G-7 stock indices. The Partnership is primarily exposed to therisk of adverse price trends or static markets in the major U.S., European andJapanese indices.

 

**Metals**.

 

The Partnership’s primary metals market exposure is to fluctuations inthe price of gold and silver. Although the Advisors will from time to timetrade base metals such as aluminum, copper and tin, the principal marketexposures of the Partnership have consistently been in the precious metals,gold and silver (and, to a much lesser extent, platinum). However, gold priceshave remained volatile over this period, and the Advisors have from time totime taken substantial positions as they have perceived market opportunities todevelop. MLAI anticipates that gold and silver will remain the primary metalsmarket exposure for the Partnership.

 

***Qualitative Disclosures Regarding Non-TradingRisk Exposure***

 

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

 

**Foreign Currency Balances.**

 

The Partnership’s primary foreign currency balances are in Japaneseyen, British pounds and Euros.

 

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**U.S. Dollar Cash Balance.**

 

The Partnership holds U.S. dollars only in cash at MLPF&S. ThePartnership has immaterial cash flow interest rate risk on its cash on depositwith MLPF&S in that declining interest rates would cause the income fromsuch cash to decline.

 

***Qualitative Disclosures Regarding Means ofManaging Risk Exposure***

 

*Trading Risk*

 

MLAI has procedures in place intended to controlmarket risk, although there can be no assurance that they will, in fact,succeed in doing so. These procedures focus primarily on monitoring the tradingof JWH and Millburn, calculating the Net Asset Value of the Partnershipaccounts managed by the two Advisors as of the close of business on each dayand reviewing outstanding positions for over-concentrations. While MLAI doesnot itself intervene in the markets to hedge or diversify the Partnership’smarket exposure, MLAI may urge either or both of JWH and Millburn to reallocatepositions managed by the two Advisors, in an attempt to avoid over-concentrations.However, such interventions are unusual. Each of JWH and Millburn applies itsown risk management policies to its trading.

 

*JWH Risk Management*

 

JWH attempts to control risk in all aspects of theinvestment process — from confirmation of a trend to determining the optimalexposure in a given market, and to money management issues such as the startupor upgrade of investor accounts. JWH double checks the accuracy of market data,and will not trade a market without multiple price sources for analytical input.In constructing a portfolio, JWH seeks to control overall risk as well as therisk of any one position, and JWH trades only markets that have been identifiedas having positive performance characteristics. Trading discipline requiresplans for the exit of a market as well as for entry. JWH factors the point ofexit into the decision to enter (stop loss). The size of JWH’s positions in aparticular market is not a matter of how large a return can be generated but ofhow much risk it is willing to take relative to that expected return.

 

To attempt to reduce therisk of volatility while maintaining the potential for excellent performance,proprietary research is conducted on an ongoing basis to refine the JWHinvestment strategies. Research may suggest substitution of alternativeinvestment methodologies with respect to particular contracts; this may occur,for example, when the testing of a new methodology has indicated that its usemight have resulted in different historical performance. In addition, riskmanagement research and analysis may suggest modifications regarding therelative weighting among various contracts, the addition or deletion ofparticular contracts from a program, or a change in position size in relationto account equity. The weighting of capital committed to various markets in theinvestment programs is dynamic, and JWH may vary the weighting at itsdiscretion as market conditions, liquidity, position limit considerations andother factors warrant.

 

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

 

Adjustments in positionsize in relation to account equity have been and continue to be an integralpart of JWH’s investment strategy. At its discretion, JWH may adjust the sizeof a position in relation to equity in certain markets or entire programs. Suchadjustments may be made at certain times for some programs but not for others. Factors,which may affect the decision to adjust the size of a position in relation toaccount equity, include ongoing research, program volatility, assessments ofcurrent market volatility and risk exposure, subjective judgment, andevaluation of these and other general market conditions.

 

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*Millburn Risk Management*

 

Millburn attempts to control risk through thesystematic application of its trading method, which includes a multi-systemapproach to price trend recognition, an analysis of market volatility, the applicationof certain money management principles, which may be revised from time to time,and adjusting leverage or portfolio size. In addition, Millburn limits itstrading to markets which it believes are sufficiently liquid in respect of theamount of trading it contemplates conducting.

 

Millburn develops trading systems using variousclasses of quantitative models and data such as price, volume and interestrates, and tests those systems in numerous markets against historical data tosimulate trading results. Millburn then analyzes the profitability of thesystems looking at such features as the percentage of profitable trades, theworst losses experienced, the average giveback of maximum profits on profitabletrades and risk-adjusted returns. The performance of all systems in the marketare then ranked, and three or four systems are selected which make decisions indifferent ways at different times. This multi-system approach ensures that thetotal risk intended to be taken in a market is spread over several differentstrategies.

 

Millburn also attempts to assess market volatility asa means of monitoring and evaluating risk. In doing so, Millburn uses avolatility overlay system which measures the risk in a portfolio’s position ina market and signals a decrease in position size when risk increases and anincrease in position size when risk decreases. Millburn’s volatility overlaymaintains overall portfolio risk and distribution of risk across markets withindesignated ranges.

 

Millburn’s risk management also focuses on moneymanagement principles applicable to a portfolio as a whole rather than toindividual markets. The first principle is reducing overall portfoliovolatility through diversification among markets. Millburn seeks a portfolio inwhich returns from trading in different markets are not highly correlated, thatis, in which returns are not all positive or negative at the same time. Additionalmoney management principles include limiting the assets committed as margin orcollateral, generally within a range of 15% to 30% of an account’s net assets;avoiding the use of unrealized profits in a particular market as margin foradditional positions in the same market; and changing the equity used fortrading an account solely on a controlled periodic basis, not automatically dueto an increase in equity from trading profits.

 

Another important risk management function is thecareful control of leverage or portfolio size. Leverage levels are determinedby simulating the entire portfolio over the past five or ten years to determinethe worst case experienced by the portfolio in the simulation period. The worstcase or peak-to-trough drawdown, is measured from a daily high in portfolioassets to the subsequent daily low whether that occurs days, weeks or monthsafter the daily high. If Millburn considers the drawdown too severe, it reducesthe leverage or portfolio size.

 

Millburn determines asset allocation among markets andposition size on the basis of the money management principles and trading dataresearch discussed above and the market experience of Millburn’s principles.From time to time Millburn may adjust the size of a position, long or short, inany given market. Decisions to make such adjustments require the exercise ofjudgment and may include consideration of the volatility of the particularmarket, the pattern of price movements, both inter-day and intra-day, openinterest, volume of trading, changes in spread relationships between variousforward contracts, and overall portfolio balance and risk exposure.

 

*Non-Trading Risk*

 

The Partnership controls the non-trading exchange raterisk by regularly converting foreign balances back into U.S. dollars on aweekly basis.

 

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

 

23

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**Item 8:****   Financial Statements andSupplementary Data**

 

**Selected Quarterly Financial Data**

**    John W.Henry & Co. / Millburn L.P.**

 

Net Income by Quarter

Eight Quarters through December 31, 2005

 
| ** **                        | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|-----------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                        | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                        | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2005**    | ** ** | **2004**    | ** ** | **2004**    | ** ** | **2004**    | ** ** | **2004**    | ** ** |
| Total Income                      |       | $           | 1,853,207  |        | $          | (1,161,816  | )          | $           | 2,740,646  |        | $          | (3,307,523  | )          | $           | 7,138,991  |        | $          | (1,405,497 | ) | $ | (5,232,588 | ) | $ | 1,281,848 |   |
| Total Expenses                    |       | 545,346     |       | 540,479     |       | 561,126     |       | 579,416     |       | 840,562     |       | 643,539     |       | 646,264     |       | 847,860     |       |
| Net Income                        |       | $           | 1,307,861  |        | $          | (1,702,295  | )          | $           | 2,179,520  |        | $          | (3,886,939  | )          | $           | 6,298,429  |        | $          | (2,049,036 | ) | $ | (5,878,852 | ) | $ | 433,988 |   |
|                              |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Net Income  (loss) per Unit  |       |        |       |        |       |        |       |        |       |        |       |        |       |
|                              |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Series A                          |       | $           | 20.41      |        | $          | (25.35      | )          | $           | 31.24      |        | $          | (54.65      | )          | $           | 85.93      |        | $          | (27.52 | ) | $ | (77.27 | ) | $ | 5.22 |   |
| Series B                          |       | 16.19       |       | (20.63      | )          | 25.37       |       | (44.36      | )          | 69.56       |       | (22.39      | )          | (63.26      | )          | 4.87        |       |
| Series C                          |       | 12.74       |       | (16.12      | )          | 19.66       |       | (34.58      | )          | 54.13       |       | (17.48      | )          | (49.26      | )          | 3.17        |       |

 

The financial statements required by this Item are included in Exhibit13.01.

 

The supplementaryfinancial information (“information about oil and gas producing activities”)specified by Item 302 of Regulation S-K is not applicable. MLAI promoted thePartnership and is its controlling person.

 

**Item 9:****   Changes in and Disagreementswith Accountants on Accounting and Financial Disclosure**

 

There were nochanges in or disagreements with the independent registered public accountingfirm on accounting or financial disclosure.

 

**Item 9A: Controls and Procedures**

 

Merrill LynchAlternative Investments LLC, the General Partner of John W. Henry &Co./Millburn L.P., with the participation of the General Partner’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Partnership as of the end of the period coveredby this annual report, and, based on their evaluation, have concluded thatthese disclosure controls and procedures are effective. Additionally, therewere no significant changes in the Partnership’s internal controls or in otherfactors that could significantly affect these controls subsequent to the dateof their evaluation, including any corrective actions with regard tosignificant deficiencies and material weaknesses.

 

**Item 9B: OtherInformation**

 

Not applicable.

 

24

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**PART III**

 

**Item 10:  Directors and ExecutiveOfficers of the Registrant**

 

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

 

As a limited partnership, the Partnership itself has no officers ordirectors and is managed by MLAI. Trading decisions are made by the Advisors onbehalf of the Partnership.

 

The managers and executive officers of MLAI and their businessbackgrounds are as follows.

 
| **ROBERT M. ALDERMAN**  |   | Chief Executive Officer, President and Manager        |
|-------------------------|--------|-------------------------------------------------------|
|                    |   |                                                  |
| **STEVEN B. OLGIN**     |   | Vice President, Chief Operating Officer and Manager   |
|                    |   |                                                  |
| **MICHAEL L. PUNGELLO** |   | Vice President, Chief Financial Officer and Treasurer |
|                    |   |                                                  |
| **JEFFREY F. CHANDOR**  |   | Manager                                               |

 

Mr. Alderman wasborn in 1960. Mr. Robert M. Alderman is Chief Executive Officer, President andManager of MLAI. Mr. Alderman is a Managing Director of Merrill Lynch GlobalPrivate Client and global head of Retail Sales and Business Management forAlternative Investments. Prior to re-joining Merrill Lynch and theInternational Private Client Group in 1999, he was a partner in the Nashville,Tennessee based firm of J.C. Bradford & Co. where he was the Director ofMarketing, and a National Sales Manager for Prudential Investments. Mr.Alderman first joined Merrill Lynch in 1987 where he worked until 1997. Duringhis tenure at Merrill Lynch, Mr. Alderman has held positions in FinancialPlanning, Asset Management and High Net Worth Services. He received his Master’sof Business Administration from the Carroll School of Management Boston Collegeand a Bachelor of Arts from Clark University.

 

Steven B. Olgin was born in 1960. Mr. Olgin is a Vice President, ChiefOperating Officer and a Manager of MLAI. He joined MLAI in July 1994 and becamea Vice President in July 1995. From 1986 until July 1994, Mr. Olgin was anassociate of the law firm of Sidley & Austin. In 1982, Mr. Olgin graduatedfrom The American University with a Bachelor of Science in BusinessAdministration and a Bachelor of Arts in Economics. In 1986, he received hisJuris Doctor from The John Marshall Law School. Mr. Olgin is a member of theManaged Funds Association’s Government Relations Committee and has served as anarbitrator for the National Futures Association. Mr. Olgin is a member of theIllinois Bar.

 

Michael L. Pungello was born in 1957. Mr. Pungello is a Vice President,Chief Financial Officer and Treasurer of MLAI. He was First Vice President andSenior Director of Finance for Merrill Lynch’s Operations, Services andTechnology Group from January 1998 to March 1999. Prior to that, Mr. Pungellospent over 18 years with Deloitte & Touche LLP, and was a partner in theirfinancial services practice from June 1990 to December 1997. He graduated fromFordham University in 1979 with a Bachelor of Science in Accounting andreceived his Master’s of Business Administration in Finance from New YorkUniversity in 1987.

 

Jeffrey F. Chandor wasborn in 1942. Mr. Chandor is the Global Sales Director of the General Partner.Mr. Chandor became a Manager of the General Partner on April 1, 2003. He was aSenior Vice President, Director of Sales, Marketing and Research and a Directorof Merrill Lynch Investment Partners, Inc., a predecessor to the GeneralPartner. He joined Merrill Lynch, Pierce, Fenner & Smith Incorporated in1971 and has served as the Product Manager of International InstitutionalEquities, Equity Derivatives and Mortgage-Backed Securities as well as ManagingDirector of International Sales in the United States, and Managing Director ofSales in Europe. Mr. Chandor holds a Bachelor of Arts degree from TrinityCollege, Hartford, Connecticut.

 

As of December 31, 2005, the principals of MLAI had no investment inthe Partnership, and MLAI’s general partnership interest was valued at$257,978.

 

25

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MLAI acts as the sponsor,general partner or manager to ten public futures funds whose units of limitedpartner or member interests are registered under the Securities Exchange Act of1934: ML Select Futures I L.P., ML JWH Strategic Allocation L.P., GlobalHorizons I L.P., ML Principal Protection L.P., ML Futures Investments L.P., MLAppleton FuturesAccess LLC, ML Aspect FuturesAccess LLC, ML CornerstoneFuturesAccess LLC, ML Winton FuturesAccess LLC and the Partnership. BecauseMLAI serves as the sponsor, general partner or manager of each of these Funds,the officers and managers of MLAI effectively manage them as officers anddirectors of such funds.

 

(c)           Identificationof Certain Significant Employees:

 

None.

 

(d)           Family Relationships:

 

None.

 

(e)           Business Experience:

 

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

 

(f)            Involvement inCertain Legal Proceedings:

 

None.

 

(g)           Promoters andControl Persons:

 

Not applicable.

 

(h)           Audit CommitteeFinancial Expert:

 

Not applicable. (Neither the Partnership nor MLAI has an auditcommittee.)

 

Section 16 (a): Beneficial OwnershipReporting Compliance:

 

Not applicable.

 

Code of Ethics:

 

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

 

26

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**Item 11: Executive Compensation**

 

The officers of MLAI are remunerated by MLAI in their respectivepositions. The Partnership does not itself have any officers, directors oremployees. The Partnership pays Brokerage Commissions to an affiliate of MLAIand Administrative Fees to MLAI. MLAI or its affiliates also may receivecertain economic benefits from holding the Partnership’s U.S. dollar assets inoffset accounts, as described in Item 1(c) above. The managers and officersreceive no “other compensation” from the Partnership, and the managers receiveno compensation for serving as directors of MLAI. There are no compensationplans or arrangements relating to a change in control of either the Partnershipor MLAI.

 

**Item 12:  Security Ownershipof Certain Beneficial Owners and Management and Related Stockholder Matters**

 

(a)           Security Ownershipof Certain Beneficial Owners:

 

Not applicable (The Units are non-voting limited partnership interests.The Partnership is managed by MLAI, its general partner).

 

(b)           Security Ownershipof Management:

 

As of December 31, 2005, the Advisors owned 1,015 Series A Units, 1000Series B Units and 1,500 Series C Units and MLAI owned 189 Series A Units,425 Series B Units and 296 Series C Units (unit-equivalent general partnershipinterests) which was, in each case, less than 3.50% of each series of the totalUnits outstanding, respectively.

 

(c)           Changes in Control:

 

None.

 

**Item 13:  CertainRelationships and Related Transactions**

 

(a)           Transactions betweenMerrill Lynch and the Partnership

 

All of the service providers to the Partnership, other than theAdvisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with theAdvisors over the level of their advisory fees and Profit Shares. However, noneof the fees paid by the Partnership to any Merrill Lynch party were negotiated,and they are higher than would have been obtained in arm’s-length bargaining.

 

The Partnership through trading LLCs indirectly pays Merrill Lynchthrough MLPF&S and MLAI substantial Brokerage Commissions andAdministrative Fees, respectively, as well as bid-ask spreads on forwardcurrency trades. The Partnership through trading LLCs also pays MLPF&Sinterest on short-term loans extended by MLPF&S to cover losses on foreigncurrency positions.

 

Within the Merrill Lynchorganization, MLAI is the direct beneficiary of the revenues received bydifferent Merrill Lynch entities from the Partnership. MLAI controls themanagement of the Partnership and serves as its promoter. Although MLAI has notsold any assets, directly or indirectly, to the Partnership, MLAI makessubstantial profits from the Partnership due to the foregoing revenues.

 

No loans have been, are or will be outstanding between MLAI or any ofits principals and the Partnership.

 

27

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MLAI pays substantial sellingcommissions and trailing commissions to MLPF&S for distributing the Units. MLAIis ultimately paid back for these expenditures from the revenues it receivesfrom the Partnership.

 

(b)           Certain BusinessRelationships:

 

MLPF&S, an affiliateof MLAI, acts as the principal commodity broker for the Partnership.

 

In 2005, the Partnership expensed through its investment in the TradingLLCs:  (i) Brokerage Commissions of $2,019,957  to MLPF&S, which included$472,610  in consulting fees earned bythe Advisors; and (ii) Administrative Fees of $206,410  to MLAI. In addition, MLAI and its affiliatesmay have derived certain economic benefits from possession of the Partnership’sassets, as well as from foreign exchange and EFP trading.

 

(c)           Indebtedness ofManagement:

 

The Partnership is prohibited from making any loans, to management orotherwise.

 

(d)           Transactions withPromoters:

 

Not applicable.

 

**Item 14: Principal Accountant Fees and Services**

 

(a)           AuditFees

 

Aggregate fees billed forprofessional services rendered by Deloitte & Touche LLP in connection withthe audit of the Partnership’s financial statements as of and for the yearended December 31, 2005 were $40,000.

 

Aggregate fees billed forthese services for the year ended December 31, 2004 were $52,350.

 

*(b)*           Audit-Related Fees

 

*Therewere no other audit-related fees billed for the years ended December 31, 2005or 2004 related to the Partnership.*

 

*(c)*           Tax Fees

 

*Aggregatefees billed for professional services rendered by Deloitte Tax LLP inconnection with the tax compliance, advice and preparation of the Partnershipstax returns for the year ended December 31, 2005 were $190,000.*

* *

*Aggregatefees billed for these services for the year ended December 31, 2004 were$80,000.*

* *

*(d)*           All Other Fees

* *

*No feeswere billed to Deloitte & Touche LLP nor Deloitte Tax LLP or any of theirrelated entities during the years ended December 31, 2005 or 2004 for any otherprofessional services in relation to the Partnership.*

* *

*Neitherthe Partnership nor MLAI has an audit committee to pre-approve principal accountantfees and services. In lieu of an audit committee, the managers and theprincipal financial officer pre-approve all billings prior to the commencementof the performance of such services.*

 

28

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**PART IV**

 

**Item 15:  Exhibits andFinancial Statement Schedules**

 
| 1. | Financial Statements: | 29 |
|----|-----------------------|----|

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

 

2.             FinancialStatement Schedules:

 

Financial statement schedules not included in this Form 10-K have beenomitted for the reason that they are not required or are not applicable or thatequivalent information has been included in the financial statements or notesthereto.

 

3.             Exhibits:

 

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

 
| **Designation**   | ** ** | **Description**                                                                                                                                                                                                                                                                                |
|-------------------|------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|              |       |                                                                                                                                                                                                                                                                                           |
| 3.01(ii)          |       | Amended and Restated Limited Partnership Agreement of the  Partnership.                                                                                                                                                                                                                        |
|              |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 3.01(ii): |       | Is incorporated herein by reference from Exhibit 3.01(ii) contained  in Amendment No. 1  (as Exhibit A) to the Registration Statement (File No. 33-41373) filed on  August 20, 1991, on Form S-1 under the Securities Act of 1933 (the  “Registrant’s Registration Statement”). |
|              |       |                                                                                                                                                                                                                                                                                           |
| 3.02(c)           |       | Amended and Restated Certificate of Limited Partnership of the  Partnership, dated July 27, 1995.                                                                                                                                                                                              |
|              |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 3.02(c):  |       | Is incorporated by reference from Exhibit 3.02(c) contained in the  Registrant’s report on Form 10-Q for the Quarter Ended June 30, 1995.                                                                                                                                                 |
|              |       |                                                                                                                                                                                                                                                                                           |
| 10.01(o)          |       | Form of Advisory Agreement between the Partnership, MLIM , MLPF&S  and each of John W. Henry & Company, Inc. and Millburn Ridgefield  Corporation.                                                                                                                                     |
|              |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 10.01(o): |       | Is incorporated by reference from Exhibit 10.01(o) contained in the  Registrant’s report on Form 10-Q for the Quarter Ended June 30, 1995.                                                                                                                                                |
|              |       |                                                                                                                                                                                                                                                                                           |
| 10.02(a)          |       | Form of Consulting Agreement between each trading advisor, the  Partnership and MLPF&S.                                                                                                                                                                                                    |

 

29

----

 
| Exhibit 10.02(a): |   | Is incorporated herein by reference from Exhibit 10.02(a) contained  in Amendment No. 1 to the Registration Statement (File No. 33-30096) dated as  of September 21, 1989, on Form S-1 under the Securities Act of 1933. |
|-------------------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|              |   |                                                                                                                                                                                                                          |
| 10.03             |   | Form of Customer Agreement between the Partnership and MLPF&S.                                                                                                                                                            |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 10.03:    |   | Is incorporated herein by reference from Exhibit 10.03 contained in  the Registrant’s Registration Statement.                                                                                                            |
|              |   |                                                                                                                                                                                                                          |
| 10.06             |   | Foreign Exchange Desk Service Agreement, dated July 1, 1993 among  Merrill Lynch International Bank, MLIM, MLPF&S and the Partnership.                                                                                    |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 10.06:    |   | Is incorporated herein by reference from Exhibit 10.06 contained in  the Registrant’s report on Form 10-K for the year ended December 31, 1996.                                                                          |
|              |   |                                                                                                                                                                                                                          |
| 10.07(a)          |   | Form of Advisory and Consulting Agreement Amendment among MLIM, each  Advisor, the Partnership and MLPF&S.                                                                                                                |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 10.07(a): |   | Is incorporated herein by reference from Exhibit 10.07(a) contained  in the Registrant’s report on Form 10-K for the year ended December 31, 1996.                                                                       |
|              |   |                                                                                                                                                                                                                          |
| 10.07(b)          |   | Form of Amendment to the Customer Agreement among the Partnership and  MLPF&S.                                                                                                                                            |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 10.07(b)  |   | is incorporated herein by reference from Exhibit 10.07(b) contained  in the Registrant’s report on Form 10-K for the year ended December 31, 1996.                                                                       |
|              |   |                                                                                                                                                                                                                          |
| 13.01             |   | 2005 Annual Report and Report of Independent Registered Public  Accounting Firm.                                                                                                                                              |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 13.01:    |   | Is filed herewith.                                                                                                                                                                                                            |
|              |   |                                                                                                                                                                                                                          |
| 13.01(a)          |   | 2005 Annual Report and Independent Auditors’ Report for the following  Trading Limited Liability Companies sponsored by MLAI:                                                                                            |
|              |   | ML Millburn Global L.L.C.                                                                                                                                                                                                     |
|              |   | ML JWH Financial and Metals Portfolio L.L.C.                                                                                                                                                                                  |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 13.01(a): |   | Is filed herewith.                                                                                                                                                                                                            |
|              |   |                                                                                                                                                                                                                          |
| 28.01             |   | Prospectus of the Partnership dated September 29, 1989.                                                                                                                                                                  |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 28.01:    |   | Is incorporated by reference as filed with the Securities and  Exchange Commission pursuant to Rule 424 under the Securities Act of 1933, as  amended, on October 10, 1989.                                              |
|              |   |                                                                                                                                                                                                                          |
| 28.02             |   | Prospectus of the Partnership dated December 14, 1990.                                                                                                                                                                   |
|              |   |                                                                                                                                                                                                                          |
| Exhibit 28.02:    |   | Is incorporated by reference as filed with the Securities and  Exchange Commission pursuant to Rule 424 under the Securities Act of 1933, as  amended, on December 20, 1990.                                             |
|              |   |                                                                                                                                                                                                                          |
| 28.03             |   | Prospectus of the Partnership dated September 13, 1991.                                                                                                                                                                       |

 

30

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| Exhibit 28.03:           |   | Is incorporated by reference as filed with the Securities and  Exchange Commission pursuant to Rule 424 under the Securities Act of 1933,  Registration Statement on September 23, 1991. |
|--------------------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                     |   |                                                                                                                                                                                          |
| 31.01 and 31.02          |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                                                                                                       |
|                     |   |                                                                                                                                                                                          |
| Exhibit 31.01 and 31.02: |   | Are filed herewith.                                                                                                                                                                           |
|                     |   |                                                                                                                                                                                          |
| 32.01 and 32.02          |   | Section 1350 Certifications                                                                                                                                                                   |
|                     |   |                                                                                                                                                                                          |
| Exhibit 32.01 and 32.02: |   | Are filed herewith.                                                                                                                                                                           |

 

31

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SIGNATURES

 

Pursuant to the requirements of Section 13 or 15(d) of the SecuritiesExchange Act of 1934, the Registrant has duly caused this report to be signedon its behalf by the undersigned, thereunto duly authorized.

 
|   | **JOHN W. HENRY & CO./MILLBURN L.P.**        |
|--------|--------------------------------------------------|
|   |                                             |
|   | By: **MERRIL LYNCH ALTERNATIVE INVESTMENTS LLC** |
|   | General Partner                                  |
|   |                                             |
|   | By:                                              | /s/Robert M. Alderman |   |
|   | Robert M. Alderman                               |
|   | Chief Executive Officer, President and Manager   |
|   | (Principal Executive Officer)                    |

 

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

 
| **Signature**          | ** ** | **Title**                                     | ** **                                            | **Date** |
|------------------------|------------|-----------------------------------------------|-------------------------------------------------------|----------|
|                   |       |                                          |                                                  |     |
| /s/Robert M. Alderman  |       |                                          | Chief Executive Officer, President and Manager        |     | March 31, 2006 |
| Robert M. Alderman     |       | (Principal executive officer)                 |                                                  |     |
|                   |       |                                          |                                                  |     |
| /s/Steven B. Olgin     |       |                                          | Vice President, Chief Operating Officer and Manager   |     | March 31, 2006 |
| Steven B. Olgin        |       |                                          |                                                  |     |
|                   |       |                                          |                                                  |     |
| /s/Michael L. Pungello |       |                                          | Vice President, Chief Financial Officer and Treasurer |     | March 31, 2006 |
| Michael L. Pungello    |       | (Principal financial and accounting  officer) |                                                  |     |
|                   |       |                                          |                                                  |     |
| /s/Jeffrey F. Chandor  |       |                                          | Manager                                               |     | March 31, 2006 |
| Jeffrey F. Chandor     |       |                                          |                                                  |     |
|                        |            |                                               |                                                       |          |  |  |  |  |

 

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

 
| **MERRILL LYNCH ALTERNATIVE** | General Partner of Registrant | March 31, 2006 |
|-------------------------------|-------------------------------|----------------|
| **INVESTMENTS LLC**           |                          |           |

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

 

32

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**JOHN W. HENRY & CO./MILLBURNL.P.**

 

2005 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **       | ** ** | **Exhibit**                                                                     |
|------------------|------------|---------------------------------------------------------------------------------|
|             |       |                                                                            |
| Exhibit 13.01    |       | 2005 Annual Report and Report of Independent  Registered Public Accounting Firm |
|             |       |                                                                            |
| Exhibit 13.01(a) |       | 2005 Annual Report and Independent Auditors’ Report                        |
|             |       | ML Millburn Global, LLC                                                         |
|             |       | ML JWH Financials & Metals Portfolio, LLC                                   |

 

33

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