<PAGE>
 
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                            Washington, D.C.  20549

                                   FORM 10-K

               (x) Annual Report Pursuant to Section 13 or 15(d)
                     of the Securities Exchange Act of 1934

                 For the fiscal year ended:  December 31, 1997
                                       or
                 (  ) 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 its charter)

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

                   C/O MERRILL LYNCH INVESTMENT PARTNERS INC.
                        MERRILL LYNCH WORLD HEADQUARTERS
                             WORLD FINANCIAL CENTER
                SOUTH TOWER, 6TH FLOOR, NEW YORK, NY  10080-6106
                ------------------------------------------------
                    (Address of principal executive offices)

      Registrant's telephone number, including area code:  (212) 236-5662
                                                           --------------

SECURITIES REGISTERED PURSUANT TO SECTION 12(B) OF THE ACT:  None

SECURITIES REGISTERED PURSUANT TO SECTION 12(G) OF THE ACT:  
                                                             
                                                       Limited Partnership Units
                                                       -------------------------
                                                            (Title of Class)

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
                                                     Yes   X          No 
                                                         -----           -----
                                                            
Indicate by check mark if disclosure of delinquent filers pursuant to Item 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 information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K.                                                                  [X]


Aggregate market value of the voting and non-voting stock held by non-affiliates
of the registrant:  the registrant is a limited partnership; as of February 1,
1998, limited partnership units with an aggregate value of $61,731,534 were
outstanding and  held by non-affiliates.

                      DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "1997 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1997,
is incorporated by reference into Part II, Item 8, and Part IV hereof and filed
as an Exhibit herewith.
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.

                      ANNUAL REPORT FOR 1997 ON FORM 10-K

                               Table of Contents
                               -----------------


                                   PART I                     PAGE
                                   ------                     ----
Item 1.    Business...........................................  1
 
Item 2.    Properties.........................................  8
 
Item 3.    Legal Proceedings..................................  8
 
Item 4.    Submission of Matters to a Vote of Security Holders  8
 

                                    PART II
                                    -------
Item 5.     Market for Registrant's Common Equity and Related
            Stockholder Matters..............................   9
 
Item 6.     Selected Financial Data..........................  10
 
Item 7.     Management's Discussion and Analysis of Financial
            Condition and Results of Operations..............  15
 
Item 7A.    Quantitative and Qualitative Disclosures About
            Market Risk......................................  18
 
Item 8.     Financial Statements and Supplementary Data......  18
 
Item 9.     Changes in and Disagreements with Accountants on
            Accounting and Financial Disclosure..............  18
 
                                    PART III
                                    --------
Item 10.    Directors and Executive Officers of the
            Registrant.......................................  19
 
Item 11.    Executive Compensation...........................  21
 
Item 12.    Security Ownership of Certain Beneficial Owners
            and Management...................................  21
 
Item 13.    Certain Relationships and Related Transactions...  22
 
                                    PART IV
                                    -------
Item 14.  Exhibits, Financial Statement Schedules and Reports
          on Form 8-K......................................    23

                                     -ii-
<PAGE>
 
                                     PART I

ITEM 1:   BUSINESS
          --------

     (a) General Development of Business:
         ------------------------------- 

          John W. Henry & Co./Millburn L.P. (the "Partnership" or the "Fund")
was organized under the Delaware Revised Uniform Limited Partnership Act on
August 29, 1989.  The original public offering of units of limited partnership
interest (the "Series A Units") commenced on September 29, 1989, and the
Partnership commenced trading with respect to the Series A Units on January 5,
1990.  A reopening of the Partnership through the public offering of Series B
Limited Partnership Units (the "Series B Units") commenced on December 14, 1990.
The Partnership began trading with respect to the Series B Units on January 28,
1991.  A second reopening of the Partnership through the public offering of
Series C Limited Partnership Units (the "Series C Units") commenced on September
13, 1991.  The Partnership began trading with respect to the Series C Units on
January 2, 1992.  The Fund's objective is achieving, through speculative
trading, substantial capital appreciation over time.

          The proceeds of each of the three series of Units were each initially
allocated equally among the Partnership's two trading advisors -- Millburn
Ridgefield Corporation ("Millburn") and John W. Henry & Company, Inc. ("JWH")
(collectively, the "Trading Advisors" or the "Advisors").  As of December 31,
1997; 49% and 51% of the Series A Units capital was allocated to Millburn and
JWH, respectively; 49% and 51% of the Series B Units capital; and 49% and 51% of
the Series C Units capital.

          Merrill Lynch Investment Partners Inc. (the "General Partner" or
"MLIP") acts as the general partner of the Partnership.  Merrill Lynch Futures
Inc. (the "Commodity Broker" or "MLF") is the Partnership's commodity broker.
The General Partner is a wholly-owned subsidiary of Merrill Lynch Group Inc.,
which in turn is a wholly-owned subsidiary of Merrill Lynch & Co., Inc.  The
Commodity Broker is an indirect wholly-owned subsidiary of Merrill Lynch & Co.,
Inc.  (Merrill Lynch & Co., Inc. and its affiliates are hereinafter sometimes
referred to as "Merrill Lynch").

          The initial capitalization of the Fund was $18,182,000. A total of an
additional $50,636,000 was invested in the Fund on January 28, 1991 (when the
Series B Units were sold) and an additional $40,000,000 on January 2, 1992 (when
the Series C Units were sold).  Through December 31, 1997, Units with an
aggregate Net Asset Value of $102,136,315 (not including a dividend distribution
of $2,345,180 for Series A Unitholders on November 30, 1990) had been redeemed
including December 31, 1997 redemptions which were not actually paid out until
January 1998). As of December 31, 1997, the aggregate capitalization of the Fund
was $63,024,164, the total capitalization of the Series A, Series B and Series C
Units was $14,709,078, $31,679,478 and $16,635,608, 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 $284.11 (excluding a $20 per Series A Unit distribution paid as of November
30, 1990), $230.87 and $179.92, respectively. As of December 31, 1997, the Fund
had 455 Series A, 1,407 Series B and 720 Series C Limited Partners.

          The highest month-end Net Asset Value per Series A Unit through
December 31, 1997 was $284.11 (December, 1997) and the lowest $100.31(May,
1990); the highest month-end Net Asset Value per Series B Unit through December
31, 1997 was $230.87 (December, 1997) and the lowest $91.20 (May, 1992); the
highest month-end Net Asset Value per Series C Unit through December 31, 1997
was $179.92 (December, 1997) and the lowest $75.87 (May, 1992).

     (b) Financial Information about Industry Segments:
         --------------------------------------------- 

          The Partnership's business constitutes only one segment for financial
reporting purposes, i.e., a speculative "commodity pool."

                                      -1-
<PAGE>
 
     (c) Narrative Description of Business:
         --------------------------------- 

          GENERAL

          The Fund trades in the international futures, options on futures and
forward markets with the objective of achieving substantial capital
appreciation.

          The Partnership has entered into advisory agreements with each Trading
Advisor (the  "Advisory Agreement") with respect to each of the Series A Units,
Series B Units and Series C Units and allocated 50% of the initial capital of
each Series to each Trading Advisor.   JWH trades the Partnership's assets
allocated to it in four market sectors -- interest rates, stock indices,
currencies and metals -- pursuant to its Financial and Metals Program. Millburn
trades the Partnership's assets allocated to it pursuant to its currency
program, which concentrates exclusively on currency trading, primarily in the
interbank market.

          MLIP may from time to time direct certain individual Advisors to
manage their Fund accounts as if they were managing up to 50% more equity than
the actual capital allocated to them.  This additional leverage is subject to
the condition that the Fund as a whole will not trade as if it had in excess of
20% more equity than actual capital.
 
          One of the objectives of the Fund is to provide diversification to a
limited portion of the risk segment of the Limited Partners' portfolios.
Commodity pool performance has historically often demonstrated a low degree of
performance correlation with traditional stock and bond holdings.  Since it
began trading, the Fund's returns have, in fact, frequently been significantly
non-correlated (not, however, negatively correlated) with the United States
stock and bond markets.

          The Fund accesses the Trading Advisors not by opening individual
managed accounts with them, but rather through investing in private funds
sponsored by MLIP through which the trading accounts of different MLIP-sponsored
funds managed by the same Advisor and pursuant to the same strategy are
consolidated.

          USE OF PROCEEDS AND INTEREST INCOME

          General.  The Fund's assets are not used to purchase or acquire any
          -------                                                            
physical commodity but rather held as security for and to pay the Partnership's
speculative trading losses as well as any expenses and redemptions. The primary
use of the Fund's capital is to permit the Advisors to trade on a speculative
basis in a wide range of different futures, forwards and options markets.  While
being used for this purpose, the Partnership's assets are also generally
available to earn interest, as more fully described below under "-- Available
Assets."
 
          Market Sectors.  The Partnership trades in a diversified group of
          --------------                                                   
markets under the direction of its two independent Advisors.  These Advisors
can, and do, from time to time materially alter the allocation of their overall
trading commitments among different market sectors.   Except in the case of
certain trading programs which are purposefully limited in the markets which
they trade, there is essentially no restriction on the commodity interests which
may be traded by any Advisor or the rapidity with which an Advisor may alter its
market sector allocations.

          The Fund's financial statements contain information relating to the
market sectors traded by the Fund. There can, however, be no assurance as to
which markets may be included in the Fund's portfolio or as to in which market
sectors the Fund's trading may be concentrated at any one time or over time.

          Market Types.  The Fund trades on a variety of United States and
          ------------                                                    
foreign futures exchanges. Applicable exchange rules differ significantly among
different countries and exchanges.  Substantially all of the Fund's off-exchange
trading takes place in the highly liquid, institutionally based currency forward
markets.  The forward markets are generally unregulated, and in its forward
trading the Fund does not deposit margin with respect to its positions.  The
Partnership's forward currency trading is executed exclusively through the
Foreign Exchange Service Desk (the "F/X Desk") operated by MLIP and certain of
its affiliates, with MLF as the back-to-back intermediary to the 

                                      -2-
<PAGE>
 
ultimate counterparties, which include Merrill Lynch International Bank ("MLIB")
with which the Advisors trade on behalf of the Fund.

          As in the case of its market sector allocations, the Fund's
commitments to different types of markets -- U.S. and non-U.S., regulated and
unregulated -- differ substantially from time to time as well as over time.  The
Fund has no policy restricting its relative commitment to any of these different
types of markets.

          The Fund's financial statements contain information relating to the
types of markets traded by the Fund.  There can, however, be no assurance as to
in which markets the Fund may trade or the Fund's trading may be concentrated at
any one time or over time.

          Custody of Assets.  All of the Fund's assets are currently held in
          -----------------                                                 
customer accounts at Merrill Lynch.

          Available Assets.  The Fund earns interest, as described below, on its
          ----------------                                                      
"Available Assets,"  which can be generally described as the cash actually held
by the Fund.  Available Assets are held primarily in U.S. dollars, and to a
lesser extent in foreign currencies, and are comprised of the following:  (a)
the Fund's cash balance in the offset accounts (as described below) -- which
includes "open trade equity" (unrealized gains and losses on open positions) on
United States futures contracts, which is paid into or out of the Fund's account
on a daily basis; and (b) the Fund's cash balance in foreign currencies derived
from its trading in non-U.S. dollar denominated futures and options contracts,
which includes open trade equity on those exchanges which settle gains and
losses on open positions in such contracts prior to the closing out of such
positions.  Available Assets do not include, and the Fund does not earn interest
on, the Fund's gains or losses on its open forward, commodity option and certain
foreign futures positions since such gains or losses are not collected or paid
until such positions are closed out.

          The Partnership's Available Assets may be greater than, less than or
equal to the Fund's Net Asset Value (on which the redemption value of the Units
is based) primarily because Net Asset Value reflects all gains and losses on
open positions as well as accrued but unpaid expenses.

          The interest income arrangements for the Partnership's U.S. dollar
Available Assets differ from those applicable to its non-U.S. dollar Available
Assets.  Interest income, once accrued by the Fund, is subject to the risk of
trading losses.

          Interest Earned on the Fund's U.S. Dollar Available Assets.  The
          ----------------------------------------------------------      
Fund's U.S. dollar Available Assets are held in cash in offset accounts and in
short-term Treasury bills purchased from dealers unaffiliated with Merrill
Lynch.  Offset accounts are non-interest bearing demand deposit accounts
maintained with banks unaffiliated with Merrill Lynch.  An integral feature of
the offset arrangements is that the participating banks specifically acknowledge
that the offset accounts are MLF customer accounts, not subject to any Merrill
Lynch liability.

          MLF credits the Partnership, as of the end of each month, with
interest at the effective daily 91-day Treasury bill rate on the average daily
U.S. dollar Available Assets held in the offset accounts during such month.

          The use of the offset account arrangements for the Partnership's U.S.
dollar Available Assets may be discontinued by Merrill Lynch whether or not
Merrill Lynch otherwise continues to maintain its offset arrangements. The
offset arrangements are dependent on the banks' continued willingness to make
overnight credits available to Merrill Lynch, which, in turn, is dependent on
the credit standing of ML&Co.  If Merrill Lynch were to determine that the
offset arrangements had ceased to be practicable (either because ML&Co. credit
lines at participating banks were exhausted or for any other reason), Merrill
Lynch would thereafter attempt to invest all of the Fund's U.S. dollar Available
Assets to the maximum practicable extent in short-term Treasury bills.  All
interest earned on the U.S. dollar Available Assets so invested would be paid to
the Fund, but MLIP would expect the amount of such interest to be less than that
available to the Fund under the offset account arrangements.  The remaining U.S.
dollar Available Assets of the Fund would be kept in cash to meet variation
margin payments and pay expenses, but would not earn interest for the Fund.  The
banks at which the offset accounts are maintained make available to Merrill
Lynch interest-free overnight credits, loans or overdrafts in the amount of  the
Fund's U.S. dollar Available Assets held in the offset accounts, charging
Merrill Lynch 

                                      -3-
<PAGE>
 
a small fee for this service. The economic benefits derived by Merrill Lynch --
net of the interest credits paid to the Fund and the fee paid to the offset
banks -- from the offset accounts have not exceeded 3/4 of 1% per annum of the
Fund's average daily U.S. dollar Available Assets held in the offset accounts.
These revenues to Merrill Lynch are in addition to the Brokerage Commissions and
Administrative Fees paid by the Fund to MLF and MLIP, respectively.

          Interest Paid by Merrill Lynch on the Fund's Non-U.S. Dollar Available
          ----------------------------------------------------------------------
Assets.  Under the single currency margining system implemented for the
------                                                                 
Partnership, the Partnership itself does not deposit foreign currencies to
margin trading in non-U.S. dollar denominated futures contracts and options. MLF
provides the necessary margin, permitting the Fund to retain the monies which
would otherwise be required for such margin as part of the Fund's U.S. dollar
Available Assets.  The Fund does not earn interest on foreign margin deposits
provided by MLF.  The Fund does, however, earn interest on its non-U.S. dollar
Available Assets.  Specifically, the Fund is credited by Merrill Lynch with
interest at the local short-term rate on realized and unrealized gains on non-
U.S. dollar denominated positions for such gains actually held in cash by the
Fund.  Merrill Lynch charges the Fund Merrill Lynch's cost of financing realized
and unrealized losses on such positions.

          In order to avoid the expense of daily currency conversions, the Fund
holds foreign currency gains and finances foreign currency losses on an interim
basis until converted into U.S. dollars and either paid into or out of the
Fund's U.S. dollar Available Assets.  Foreign currency gains or losses on open
positions are not converted into U.S. dollars until the positions are closed.
Assets of the Fund while held in foreign currencies are subject to exchange rate
risk.

                        -------------------------------

          The General Partner has determined that there may have been a
miscalculation in the interest credited to the Fund for a period prior to
November 1996.  Accordingly, Merrill Lynch has credited certain amounts to the
Fund's investors (directly, not by credit to the Fund itself).  For current
Merrill Lynch clients, this credit, which includes compounded interest, appeared
on their December 1997 account statements.  The total amount of the adjustment
is approximately $779,000 for Series A Units, $1,739,000 for Series B Units and
$773,000 for Series C Units.

          CHARGES

          Each of the Series of Units is subject to the same charges.  However,
these charges are calculated separately with respect to each Series, each of
which maintains its own Net Asset Value.

          PERFORMANCE SUMMARY

          Series A Units . During 1995, 1996 and 1997, the Series A Units'
          --------------                                                  
          average month-end Net Assets equaled:

           1995   $13,360,144, and the Series recognized gross trading gains of
                  $5,089,863 or 38.10% of such average month-end Net Assets;
 
          1996    $12,941,058, and the Series recognized gross trading gains of
                  $1,647,329 or 12.73% of such average month-end Net Assets; and

          1997    $14,483,904, and the Series recognized a gain from investments
                  of $1,727,430 or 11.93% of average month-end Net Assets; which
                  resulted in a 12.50% increase in the Net Asset Value per Unit.

          Series B Units. During 1995, 1996 and 1997,  the Series B Units'
          --------------                                                  
          average month-end Net Assets equalled:

                                      -4-
<PAGE>
 
          1995    $24,425,858, and the Series recognized gross trading gains of
                  $11,540,056 or 47.25% of such average month-end Net Assets;

          1996    $27,873,607, and the Series recognized gross trading gains of
                  $3,471,941 or 12.46% of such average month-end Net Assets; and

          1997    $31,251,336, and the Series recognized a gain from investments
                  of $3,689,429 or 11.81% of average month-end Net Assets; which
                  resulted in a 12.47% increase in the Net Asset Value per Unit.
 
          Series C Units.  During 1995, 1996 and 1997, the Series C Units'
          --------------                                                  
          average month-end Net Asset equaled:

          1995    $16,554,503, and the Series recognized gross trading gains of
                  $6,571,541;

          1996    $15,096,182, and the Series recognized gross trading gains of
                  $1,869,922 or 12.39% of such average month-end Net Assets; and

          1997    $16,499,268, and the Series recognized a gain from Investments
                  of $1,940,829 or 11.76% of average month-end Net Assets.
 
          CHARGES

          The following table summarizes the charges incurred by the Fund during
1995, 1996 and 1997.

<TABLE>
<CAPTION>
                            1995                      1996                   1997
                    --------------------       -------------------     -----------------
                                  % OF                       % OF                 % OF
                                AVERAGE                    AVERAGE              AVERAGE
                    DOLLAR     MONTH-END       DOLLAR    MONTH-END     DOLLAR  MONTH-END
      COST          AMOUNT    NET ASSETS       AMOUNT    NET ASSETS    AMOUNT  NET ASSETS
      ----          ------    ----------       ------    ----------    ------  ----------
 
 <S>               <C>         <C>            <C>         <C>           <C>     <C>
Brokerage         $7,412,789     13.64%    $5,406,851         9.67%       -            -
Commissions

Administrative             -         -        115,039         0.21        -            -
Fees

Profit Shares        729,138      1.34         97,468         0.17        -            -
                     -------      ----         ------         ----     ------  -----------

  Total           $8,141,927     14.98%    $5,619,358        10.05%       -            -
                  ==========     =====     ==========        =====     ======  ===========
</TABLE>

                          ____________________________

          The foregoing table does not reflect the bid-ask spreads paid by the
Fund on its forward trading, or the benefits which may be derived by Merrill
Lynch from the deposit of certain of the Fund's U.S. dollar available assets in
offset accounts.  See Item 1(c), "Narrative Description of Business -- Use of
Proceeds and Interest Income."

                                      -5-
<PAGE>
 
          The Fund's average month-end Net Assets during 1995, 1996 and 1997
equaled $54,340,505, $55,910,847 , and $62,234,507, respectively.

          During 1995, 1996 and 1997, the Fund earned $2,863,384, $1,842,887 and
$0 in interest income, or approximately 5.27%, 3.30%, and 0% of the Fund's
average month-end Net Assets.

          As of January 1, 1996, the 11.75% per annum Brokerage Commissions paid
by the Fund to MLF were recharacterized as 9.75% per annum Brokerage Commissions
and a .25% per annum Administrative Fee paid by the Fund to MLIP.  This
recharacterization had no economic effect on the Fund.

        The significant variations in charges is primarily due to placing assets
in Trading LLCs (See Item 7).

                         ______________________________

                         DESCRIPTION OF CURRENT CHARGES
 
RECIPIENT           NATURE OF PAYMENT       AMOUNT OF PAYMENT
---------           -----------------       -----------------
 
MLF                 Brokerage Commissions   A flat-rate monthly commission of
                                            0.7917 of 1% of the Fund's month-end
                                            assets (a 9.50% annual rate).
 
                                            During 1995 and 1996, the round-turn
                                            (each purchase and sale or sale and
                                            purchase of a single futures
                                            contract) equivalent rate of the
                                            Fund's flat-rate Brokerage
                                            Commissions was approximately $207
                                            and $143, respectively. The round-
                                            turn rates for 1995 and 1996 reflect
                                            Brokerage Commissions at the rate of
                                            11.75% per annum. As of February 1,
                                            1997, this rate was reduced to
                                            9.50%.

MLF                 Use of Fund assets      Merrill Lynch may derive an economic
                                            benefit from the deposit of certain
                                            of the Fund's U.S. dollar Available
                                            Assets in offset accounts; such
                                            benefit to date has not exceeded 3/4
                                            of 1% of such average daily U.S.
                                            dollar Available Assets.

MLIP                Administrative Fees     The Fund pays MLIP a monthly
                                            Administrative Fee equal to 0.020833
                                            of 1% of the Fund's month-end assets
                                            (0.25% annually). MLIP pays all of
                                            the Fund's routine administrative
                                            costs.

MLIB                Bid-ask spreads         Under MLIP's F/X Desk arrangements,
                                            MLIB receives bid-ask spreads on the
                                            forward trades it executes with the
                                            Fund.

Other               Bid-ask spreads         The counterparties other than MLIB
  Counterparts                              with which the F/X Desk deals also
                                            each receive bid-ask spreads on the
                                            forward trades executed with the
                                            Fund.

                                      -6-
<PAGE>
 
MLIP                F/X Desk service fees   Under the F/X Desk arrangements,
                                            MLIP or another Merrill Lynch entity
                                            receives a service fee equal, at
                                            current exchange rates, to
                                            approximately $5.00 to $12.50 on
                                            each purchase or sale of each
                                            futures contract-equivalent forward
                                            contract executed with
                                            counterparties other than MLIB.
 
MLIB                EFP differentials       MLIB or an affiliate receives a
                                            differential spread for exchanging
                                            the Fund's spot currency positions
                                            (which are acquired through the F/X
                                            Desk, as described above) for
                                            equivalent futures positions.

Trading Advisors    Profit Shares           Prior to January 1, 1997, quarterly
                                            profit shares of 15% and 20% of any
                                            New Trading Profit achieved by each
                                            Advisor's Fund account,
                                            individually, were paid to JWH and
                                            Millburn, respectively. Beginning
                                            January 1, 1997, a quarterly Profit
                                            Share of 15% continues to be payable
                                            to JWH and an annual Profit Share of
                                            20% is payable to Millburn, in each
                                            case as of the end of each calendar
                                            quarter or year (as the case may be)
                                            and upon redemption of Units. New
                                            Trading Profit is calculated
                                            separately in respect of each
                                            Advisor, irrespective of the overall
                                            performance of the Fund. Units may
                                            generate New Trading Profit and be
                                            subject to paying Profit Shares even
                                            though the Net Asset Value per Unit
                                            has declined below the purchase
                                            price of such Units.

MLF;                Extraordinary expenses  Actual costs incurred; none paid to
  Others                                    date, and expected to be negligible.

                       ---------------------------------

          REGULATION

          The General Partner, the Trading Advisors and the Commodity Broker are
each subject to regulation by the Commodity Futures Trading Commission (the
"CFTC") and the National Futures Association. Other than in respect of its
periodic reporting requirements under the Securities Exchange Act of 1934, the
Partnership itself is generally not subject to regulation by the Securities and
Exchange Commission.  However, MLIP itself is registered as an "investment
adviser" under the Investment Advisers Act of 1940.

          (i) through (xii) -- not applicable.

          (xiii)  The Partnership has no employees.

                                      -7-
<PAGE>
 
     (d) Financial Information about Foreign and Domestic Operations and Export
         ----------------------------------------------------------------------
Sales:
----- 

          The Partnership does not engage in material operations in foreign
countries, nor is a material portion of the Partnership's revenues derived from
customers in foreign countries.  The Partnership does, however, trade, from the
United States, on a number of foreign commodity exchanges.

ITEM 2:   PROPERTIES
          ----------

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

     The Partnership's only place of business is the place of business of the
General Partner (see Item 10 herein).  The General Partner performs all
administrative services for the Partnership from the General Partner's offices.

ITEM 3:   LEGAL PROCEEDINGS
          -----------------

     In September 1996, JWH was named as a co-defendant in class action lawsuits
brought in the California Superior Court, Los Angeles County and in the New York
Supreme Court, New York County.  In November 1996, JWH was named as a co-
defendant in a class action complaint filed in Superior Court of the State of
Delaware for Newcastle County that contained essentially the same allegations as
the New York and California complaints. Additional complaints containing the
same allegations as the earlier California complaints were filed in California
in March 1997.  The California complaints were consolidated under the caption
"In re Dean Witter Managed Futures Litigation" in May 1997.  The New York
complaints were consolidated under the caption "In re Dean Witter Managed
Futures Limited Partnerships Litigation" in July 1997. The actions, which seek
unspecified damages, purport to be brought on behalf of investors in certain
Dean Witter, Discover & Co. ("Dean Witter") commodity pools, some of which are
advised by JWH, and are primarily directed at Dean Witter's alleged fraudulent
selling practices in connection with the marketing of those pools.  JWH is
essentially alleged to have aided and abetted or directly participated with Dean
Witter in those practices.  JWH believes the allegations against it are without
merit; it intends to contest these allegations vigorously, and is convinced that
it will be shown to have acted properly and in the best interest of the
investors.

          On June 24, 1997, the CFTC accepted an Offer of Settlement from MLF
and others, in a matter captioned "In the Matter of Mitsubishi Corporation and
Merrill Lynch Futures Inc., et al.," CFTC Docket No. 97-10, pursuant to which
MLF, without admitting or denying the allegations against it, consented to a
finding by the Commission that MLF had violated Section 4c(a)(A) of the
Commodity Exchange Act, relating to wash sales (the CFTC alleged that the
customer entered nearly simultaneous orders without the intent to engage in a
bona fide trading transaction), and CFTC Regulation 1.37(a), relating to
recordkeeping requirements.  MLF agreed to cease and desist from violating
Section 4c(a)(A) of the Act and Regulation 1.37(a), and to pay a civil monetary
penalty of $175,000.

ITEM 4:   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
          ---------------------------------------------------

     The Partnership has never submitted any matters to a vote of its Limited
Partners.

                                      -8-
<PAGE>
 
                                    PART II

ITEM 5:   MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS
          ---------------------------------------------------------------------

     (a)  Market Information:
          ------------------ 

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

     (b)  Holders:
          ------- 

          As of December 31, 1997, there were 456, 1408 and 734 holders of the
Series A, B and C Units, respectively, including the General Partner.

     (c)  Dividends:
          --------- 

          The Partnership has made only one distribution ($20 per Series A Unit
payable as of November 30, 1990) since trading commenced.  The General Partner
does not presently intend to make any distributions, but may do so if a series
of Units recognizes substantial profits.

                                      -9-
<PAGE>
 
ITEM 6:   SELECTED FINANCIAL DATA
          -----------------------

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

<TABLE>
<CAPTION>
INCOME STATEMENT  DATA         1997         1996          1995          1994          1993                     
----------------------         ----         ----          ----          ----          ----
<S>                            <C>         <C>           <C>           <C>            <C>
Revenues:

Trading Profits (Loss):


 Realized Gain               $           $ 8,749,410   $23,852,578   $  3,650,307   $17,886,014

Change in Unrealized Gain             -   (1,760,218)     (651,118)    (2,731,447)    4,187,590
                             ----------  -----------   -----------   ------------   -----------
Total Trading results                 -    6,989,192    23,201,460        918,860    22,073,604

Interest Income                       -    1,842,887     2,863,384      1,998,830     1,847,581
                             ----------  -----------   -----------   ------------   -----------
 Total Revenues                       -    8,832,079    26,064,844      2,917,690    23,921,185
                             ----------  -----------   -----------   ------------   -----------

 
Expenses:

Brokerage Commissions                 -    5,406,851     7,412,789      7,717,269     9,559,369

 Administrative Fees                  -      115,039             -              -             -

 Profit Shares                        -       97,468       729,138        508,502       551,684
                             ----------  -----------   -----------   ------------   -----------
 Total Expenses                       -    5,619,358     8,141,927   $  8,225,771    10,111,053
                             ----------  -----------   -----------   ------------   -----------

 Income from Investments     $7,357,688  $ 7,171,609   $         -   $          -   $         -
                             ----------  -----------   -----------   ------------   -----------
 
 Net Income (Loss)           $7,357,688  $10,384,330   $17,922,917    ($5,308,081)  $13,810,132
                             ==========  ===========   ===========   ============   ===========
</TABLE>


 
<TABLE>
<CAPTION>
BALANCE SHEET DATA                 1997         1996         1995         1994         1993
------------------------------  -----------  -----------  -----------  -----------  -----------
<S>                             <C>          <C>          <C>          <C>          <C>
Fund Net Asset Value            $63,024,164  $60,834,088  $57,921,834  $53,987,444  $71,749,780

Net Asset Value per Series A    $    284.11  $    252.54  $    210.29  $    155.90  $    170.64
nit

Net Asset Value per Series B    $    230.87  $    205.27  $    171.02  $    127.16  $    138.87
Unit

Net Asset Value per Series C    $    179.92  $    159.97  $    133.82  $     99.07  $    107.55
Unit
</TABLE>


        Significant variations in income statement line items is primarily due 
to placing assets in Trading LLCs (See Item 7).

                                      -10-
<PAGE>
 
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
                                   MONTH-END NET ASSET VALUE PER SERIES A UNIT
------------------------------------------------------------------------------------------------------------------
         JAN.     FEB.     MAR.     APR.      MAY     JUNE     JULY     AUG.     SEPT.    OCT.     NOV.     DEC.
------------------------------------------------------------------------------------------------------------------
<S>     <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>
 1993   $141.54  $154.24  $151.42  $163.78  $166.43  $162.20  $174.85  $162.78  $165.32  $164.26  $164.70  $170.64
------------------------------------------------------------------------------------------------------------------
 1994   $157.40  $157.52  $171.35  $170.73  $170.55  $182.02  $169.39  $159.71  $163.83  $165.97  $159.74  $155.90
------------------------------------------------------------------------------------------------------------------
 1995   $146.85  $167.54  $204.80  $214.46  $216.21  $212.68  $207.03  $212.10  $207.87  $208.79  $209.51  $210.29
------------------------------------------------------------------------------------------------------------------
 1996   $231.67  $209.48  $205.35  $213.42  $204.22  $207.21  $206.87  $201.95  $208.39  $237.92  $255.50  $252.54
------------------------------------------------------------------------------------------------------------------
 1997   $273.52  $270.58  $267.94  $261.04  $251.03  $257.22  $283.93  $270.03  $274.52  $273.84  $277.30  $284.11
------------------------------------------------------------------------------------------------------------------
</TABLE>



<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
                                   MONTH-END NET ASSET VALUE PER SERIES B UNIT
------------------------------------------------------------------------------------------------------------------
         JAN.     FEB.     MAR.     APR.      MAY     JUNE     JULY     AUG.     SEPT.    OCT.     NOV.     DEC.
------------------------------------------------------------------------------------------------------------------
<S>     <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>
 1993   $116.02  $126.15  $124.04  $134.19  $136.26  $132.74  $142.71  $132.47  $134.45  $133.44  $133.97  $138.87
------------------------------------------------------------------------------------------------------------------
 1994   $127.89  $128.01  $139.63  $139.06  $138.76  $148.27  $138.03  $130.06  $133.43  $135.47  $130.31  $127.16
------------------------------------------------------------------------------------------------------------------
 1995   $119.62  $136.63  $166.77  $174.39  $175.54  $172.89  $168.13  $172.70  $169.17  $169.98  $170.50  $171.02
------------------------------------------------------------------------------------------------------------------
 1996   $188.93  $171.14  $167.47  $173.94  $166.31  $168.64  $168.41  $164.21  $169.49  $193.51  $207.63  $205.27
------------------------------------------------------------------------------------------------------------------
 1997   $222.32  $219.93  $217.78  $212.17  $204.08  $209.10  $230.77  $219.46  $223.11  $222.53  $225.33  $230.87
------------------------------------------------------------------------------------------------------------------
</TABLE>



<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------
                                   MONTH-END NET ASSET VALUE PER SERIES  C UNIT
------------------------------------------------------------------------------------------------------------------
         JAN.     FEB.     MAR.     APR.      MAY     JUNE     JULY     AUG.     SEPT.    OCT.     NOV.     DEC.
------------------------------------------------------------------------------------------------------------------
<S>     <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>
 1993   $ 94.01  $101.04  $ 99.03  $106.07  $106.98  $104.11  $110.95  $102.99  $104.71  $103.70  $103.95  $107.55
------------------------------------------------------------------------------------------------------------------
 1994   $ 98.97  $ 99.10  $108.21  $107.82  $107.43  $115.26  $107.13  $100.81  $103.66  $105.30  $101.41  $ 99.07
------------------------------------------------------------------------------------------------------------------
 1995   $ 93.13  $106.27  $129.98  $135.87  $136.83  $134.85  $131.16  $134.97  $132.39  $133.17  $133.60  $133.82
------------------------------------------------------------------------------------------------------------------
 1996   $147.90  $133.80  $130.88  $135.93  $129.91  $131.79  $131.69  $128.12  $132.22  $150.96  $161.74  $159.97
------------------------------------------------------------------------------------------------------------------
 1997   $173.26  $171.40  $169.73  $165.35  $159.04  $162.96  $179.85  $171.03  $173.88  $173.43  $175.61  $179.92
------------------------------------------------------------------------------------------------------------------
</TABLE>

Pursuant to CFTC policy, monthly performance is presented from January 1, 1993
even though the Series A and B Units were outstanding prior to such date.

                                      -11-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                                (SERIES A UNITS)
                               DECEMBER 31, 1997

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                     Inception of Trading:  January 5, 1990
                    Aggregate Subscriptions:    $18,182,000
                     Current Capitalization:   $14,709,078
                   Worst Monthly Drawdown/(2)/:(9.58)% (2/96)
            Worst Peak-to-Valley Drawdown/(3)/:(19.33)% (7/94-1/95)

        Net Asset Value per Series A Unit, December 31, 1997:   $284.11

-------------------------------------------------------------------------------
                         MONTHLY RATES OF RETURN/(4)/
-------------------------------------------------------------------------------
      MONTH          1997          1996         1995         1994         1993
-------------------------------------------------------------------------------
January             8.31%        10.17 %       (5.81)%      (7.76)%       0.07%
-------------------------------------------------------------------------------
February           (1.07)        (9.58)        14.09         0.08         8.97
-------------------------------------------------------------------------------
March              (0.98)        (1.97)        22.24         8.78        (1.82)
-------------------------------------------------------------------------------
April              (2.58)         3.93          4.72        (0.36)        8.16
-------------------------------------------------------------------------------
May                (3.83)        (4.31)         0.81        (0.11)        1.62
-------------------------------------------------------------------------------
June                2.47          1.46         (1.63)        6.73        (2.54)
-------------------------------------------------------------------------------
July               10.38        ( 0.17)        (2.66)       (6.94)        7.79
-------------------------------------------------------------------------------
August             (4.90)        (2.38)         2.45        (5.72)       (6.90)
-------------------------------------------------------------------------------
September           1.66          3.19        (1.99)         2.58         1.56
-------------------------------------------------------------------------------
October            (0.25)        14.17         0.45          1.31        (0.64)
-------------------------------------------------------------------------------
November            1.26          7.39         0.34         (3.75)        0.26
-------------------------------------------------------------------------------
December            2.46         (1.16)        0.38         (2.41)        3.61
-------------------------------------------------------------------------------
Compound Annual    12.49%        20.09%       34.89%        (8.64)%      20.64%
 Rate of Return
-------------------------------------------------------------------------------

              (1)  Pursuant to applicable CFTC regulations, a "Multi-Advisor"
fund is defined as one that allocates no more than 25% of its trading assets to
any single manager.  As the Fund allocates over 25% of its assets to each of JWH
and Millburn, it is referred to as a "Selected-Advisor" fund.  Certain funds,
including funds sponsored by MLIP, are structured so as to guarantee to
investors that their investment will be worth no less than a specified amount
(typically, the initial purchase price) as of a date certain after the date of
investment.  The CFTC refers to such funds as "principal protected."  The
Partnership has no such feature.

          (2)  Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 1993 by the Series; a drawdown is
measured on the basis of month-end Net Asset Value only, and does not reflect
intra-month figures.

          (3)  Worst Peak-to-Valley Drawdown represents the greatest percentage
decline since January 1, 1993 from a month-end cumulative Monthly Rate of Return
without such cumulative Monthly Rate of Return being equaled or exceeded as of a
subsequent month-end.  For example, 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 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, the Peak-to-Valley Drawdown would have ended as of the end of
February at approximately the (2)% level.

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

                                      -12-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                                (SERIES B UNITS)
                               DECEMBER 31, 1997

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                    Inception of Trading:  January 28, 1991
                    Aggregate Subscriptions:    $50,636,000
                     Current Capitalization:   $31,679,478
                  Worst Monthly Drawdown/(2)/: (9.41)% (2/96)
            Worst Peak-to-Valley Drawdown/(3)/:(19.32)% (7/94-1/95)

                            -----------------------

       Net Asset Value per Series B Unit, December 31, 1997:    $230.87

-------------------------------------------------------------------------------
                         MONTHLY RATES OF RETURN/(4)/
-------------------------------------------------------------------------------
       MONTH        1997        1996        1995         1994          1993
-------------------------------------------------------------------------------
      January       8.31%      10.47%     (5.93)%       (7.91)%       0.04%
-------------------------------------------------------------------------------
     February      (1.08)      (9.41)      14.22         0.09         8.73
-------------------------------------------------------------------------------
      March        (0.98)      (2.14)      22.06         9.08        (1.68)
-------------------------------------------------------------------------------
      April        (2.58)       3.86        4.57        (0.41)        8.18
-------------------------------------------------------------------------------
       May         (3.81)      (4.38)       0.66        (0.22)        1.54
-------------------------------------------------------------------------------
      June          2.46        1.40       (1.52)        6.85        (2.58)
-------------------------------------------------------------------------------
      July         10.36       (0.14)      (2.75)       (6.90)        7.51
-------------------------------------------------------------------------------
     August        (4.90)      (2.49)       2.71        (5.77)       (7.17)
-------------------------------------------------------------------------------
   September        1.66        3.22       (2.04)        2.59         1.49
-------------------------------------------------------------------------------
    October        (0.26)      14.17        0.48         1.53        (0.75)
-------------------------------------------------------------------------------
    November        1.26        7.30        0.31        (3.81)        0.40
-------------------------------------------------------------------------------
    December        2.46       (1.14)       0.31        (2.42)        3.65
-------------------------------------------------------------------------------
 Compound Annual   12.46%      20.03%      34.49%       (8.43)%       19.74%
  Rate of Return
-------------------------------------------------------------------------------
                                        
          (1)  Pursuant to applicable CFTC regulations, a "Multi-Advisor" fund
is defined as one that allocates no more than 25% of its trading assets to any
single manager.  As the Fund allocates over 25% of its assets to each of JWH and
Millburn, it is referred to as a "Selected-Advisor" fund.  Certain funds,
including funds sponsored by MLIP, are structured so as to guarantee to
investors that their investment will be worth no less than a specified amount
(typically, the initial purchase price) as of a date certain after the date of
investment.  The CFTC refers to such funds as "principal protected."  The
Partnership has no such feature.

          (2)  Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 1993 by the Series; a drawdown is
measured on the basis of month-end Net Asset Value only, and does not reflect
intra-month figures.

          (3)  Worst Peak-to-Valley Drawdown represents the greatest percentage
decline since January 1, 1993 from a month-end cumulative Monthly Rate of Return
without such cumulative Monthly Rate of Return being equaled or exceeded as of a
subsequent month-end.  For example, 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 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, the Peak-to-Valley Drawdown would have ended as of the end of
February at approximately the (2)% level.

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

                                      -13-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                                (SERIES C UNITS)
                               DECEMBER 31, 1997

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                     Inception of Trading:  January 2, 1992
                    Aggregate Subscriptions:    $40,000,000
                     Current Capitalization:   $16,635,608
                  Worst Monthly Drawdown/(2)/: (9.54)% (2/96)
            Worst Peak-to-Valley Drawdown/(3)/: (19.20)% (7/94-1/95)
                                 _____________

        Net Asset Value per Series C Unit, December 31, 1997:   $179.92

-------------------------------------------------------------------------------
                         MONTHLY RATES OF RETURN/(4)/
-------------------------------------------------------------------------------
        MONTH         1997         1996         1995          1994       1993
-------------------------------------------------------------------------------
       January       8.31%        10.52%      (6.00)%       (7.97)%     0.33%
-------------------------------------------------------------------------------
      February       (1.07)       (9.54)       14.12         0.13       7.47
-------------------------------------------------------------------------------
       March         (0.97)       (2.18)       22.31         9.19      (1.99)
-------------------------------------------------------------------------------
       April         (2.58)        3.86         4.53        (0.36)      7.11
-------------------------------------------------------------------------------
        May          (3.82)       (4.43)        0.70        (0.36)      0.85
-------------------------------------------------------------------------------
       June           2.46         1.45        (1.44)        7.28      (2.68)
-------------------------------------------------------------------------------
       July           10.36       (0.08)       (2.74)       (7.05)      6.57
-------------------------------------------------------------------------------
      August         (4.90)       (2.71)        2.90        (5.90)     (7.17)
-------------------------------------------------------------------------------
    September          1.67        3.21        (1.91)        2.83       1.66
-------------------------------------------------------------------------------
     October          (0.26)      14.17         0.59         1.58      (0.97)
-------------------------------------------------------------------------------
    November           1.26        7.14         0.32        (3.69)      0.24
-------------------------------------------------------------------------------
    December           2.45       (1.09)        0.17        (2.31)      3.46
-------------------------------------------------------------------------------
 Compound Annual      12.47%      19.54%       35.08%       (7.88)%    14.78%
 Rate of Return
-------------------------------------------------------------------------------
                                        
          (1)  Pursuant to applicable CFTC regulations, a "Multi-Advisor" fund
is defined as one that allocates no more than 25% of its trading assets to any
single manager.  As the Fund allocates approximately 50% of its assets to each
of JWH and Millburn, it is referred to as a "Selected-Advisor" fund.  Certain
funds, including funds sponsored by MLIP, are structured so as to guarantee to
investors that their investment will be worth no less than a specified amount
(typically, the initial purchase price) as of a date certain after the date of
investment.  The CFTC refers to such funds as "principal protected."  The
Partnership has no such feature.

          (2)  Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 1993 by the Series; a drawdown is
measured on the basis of month-end Net Asset Value only, and does not reflect
intra-month figures.

          (3)  Worst Peak-to-Valley Drawdown represents the greatest percentage
decline since January 1, 1993 from a month-end cumulative Monthly Rate of Return
without such cumulative Monthly Rate of Return being equaled or exceeded as of a
subsequent month-end.  For example, 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 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, the Peak-to-Valley Drawdown would have ended as of the end of
February at approximately the (2)% level.

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

                                      -14-
<PAGE>
 
ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         -----------------------------------------------------------------------
         OF OPERATIONS
         -------------

          OPERATIONAL OVERVIEW

          The Fund's results of operations depend on the Advisors' ability to
trade profitably.  The Advisors' trading methods, are confidential, so that
substantially the only available information relevant to the Fund's results of
operations is its actual performance record to date.  However, because of the
speculative nature of its trading, the Fund's past performance is not
necessarily indicative of its future results.

          RESULTS OF OPERATIONS

            General.  MLIP believes that managed futures funds should be
            -------                                                     
regarded as medium- to long-term (i.e., three to five year) investments, but it
is difficult to identify trends in the Fund's operations and virtually
impossible to make any predictions regarding future results based on the results
to date.  An investment in the Fund may be less successful over a longer than a
shorter period.

          Markets with sustained price trends tend to be more favorable to
managed futures investments than whipsaw, choppy markets, but (i) this is not
always the case, (ii) it is impossible to predict when price trends will occur
and (iii) JWH and Millburn are affected differently by trending markets as well
as by particular types of trends.

          MLIP attempts to control credit risk in the Fund's futures, forward
and options trading (the Fund does not trade derivatives other than futures and
forward contracts and options thereon) by trading only through MLF.  MLF acts
solely as a broker or counterparty to the Fund's trades; it does not advise with
respect to, or direct, any such trading.

          MLIP relies principally on JWH's and Millburn's respective risk
management policies and strategies to control the market risk inherent in the
Fund's trading.  MLIP reviews the positions acquired by each of the Advisors on
a daily basis in an effort to determine whether such policies and strategies are
being followed and whether the overall positions of the Fund may have become
what MLIP analyzes as being excessively concentrated in a limited number of
markets -- in which case MLIP may discuss the possibility of rebalancing or
deleveraging the Fund's portfolio with JWH, Millburn or both.  To date, however,
MLIP has only intervened once to request any rebalancing or deleveraging of
either Advisor's trading (JWH deleveraged its trading at the request of MLIP
from May 1992 through August 1992).

          MLIP may consider making distributions to investors under certain
circumstances (for example, if substantial profits are recognized).  MLIP caused
the Fund to make a $20 distribution on each Series A Unit as of November 30,
1990.  This is the only distribution made to date.

          The significant variations in both the statement of financial
condition and the income statement line items is primarily due to the
Partnership placing assets under the management of certain of the Advisors not
through opening managed accounts with them but rather through investing in a
private limited liability company ("Trading LLC") sponsored by MLIP. As of
December 1, 1996, the Partnership placed all of its assets under the management
of Trading LLCs. The only members of the Trading LLC are commodity pools
sponsored by MLIP. The Trading LLC trades under the management of a single
Advisor pursuant to a single strategy and at a uniform degree of leverage.
Placing assets with an Advisor through investing in a Trading LLC rather than a
managed account has no economic effect on the Partnership, except to the extent
that the Partnership benefits from the Advisor not having to allocate trades
among a number of different accounts (rather than acquiring a single position
for the Trading LLC as a whole).

          The results of the Partnership's Trading LLC investments are reflected
in the Partnership's financial statements as "Income from Investments."  The
investments are reflected in the financial statements at fair value based upon
the Partnership's  interest in the Trading LLCs.  Fair value is equal to the
market value of the net assets of the Trading LLCs.  The resulting difference
between cost and fair value is reflected on the Statement of Operations as
income or loss from investments.

                                      -15-
<PAGE>
 
PERFORMANCE SUMMARY

1995

     In 1995, prevailing price trends in several key markets enabled the
Advisors to trade profitably for the Fund.  Although trading in many of the
traditional commodity markets may have been lackluster, the currency and
financial markets offered exceptional trading conditions.  After months
characterized by very difficult trading environments, solid price trends across
many markets (including U.S. Treasury and non-dollar bond markets) began to
emerge during the first quarter of 1995.  In the second quarter, market
volatility once again began to affect trading, as many previously strong price
trends began to weaken and, in some cases, reverse.  The U.S. dollar hit new
lows versus the Japanese yen and Deutschemark before rebounding sharply.  In
addition, there were strong indications that the U.S. economy was slowing which,
when coupled with a failure of the German Central Bank to lower interest rates,
stalled a rally in the German bond market.  During the third quarter, there was
a correction in U.S. bond prices after several months of a strong uptrend.
Despite exposure to the global interest-rate markets, the Fund's long positions
in Treasury bonds had a negative impact on the Fund.  Throughout August and into
September, the U.S. dollar rallied sharply against the Japanese yen and the
Deutschemark as a result of the coordinated intervention by major central banks
and widespread recognition of the growing banking crisis in Japan. Despite
continued price volatility during the final quarter of 1995, the Trading
Advisors were able to identify several trends in key markets.  U.S. Treasury
bond prices continued their strong move upward throughout November, due both to
weak economic data and optimism on federal budget talks.  As the year ended, the
yield on the 30-year Treasury bond was pushed to its lowest level in more than
two years.


1996

     1996 began with the East Coast blizzard, continuing difficulties in federal
budget talks and an economic slowdown having a negative impact on many markets.
The Fund was profitable in January due to strong profits in currency trading as
the U.S. dollar reached a 23-month high against the Japanese yen.  In February,
however, the Fund incurred a significant loss due to the sudden reversals in
several strong price trends and considerable volatility in the currency and
financial markets.  During March, large profits were taken in the crude oil and
gasoline markets as strong demand continued and talks between the United Nations
and Iraq were suspended.  This trend continued into the second quarter, during
which strong gains were also recognized in the agricultural markets as a
combination of drought and excessive rain drove wheat and grain prices to
historic highs.  In the late summer and early fall months, the Fund continued to
trade profitably as trending prices in a number of key markets favorably
impacted the Fund's performance.  In September heating oil hit a five-year high
on soaring prices in Europe, and the Fund was also able to capitalize on
downward trends in the metals markets.  Strong trends in the currency and global
bond markets produced significant gains in October and November, but the year
ended with declining performance as December witnessed the reversal of several
strong upward trends and increased volatility in key markets.


1997

     Trend  reversals and extreme market volatility, affected by such factors as
the Asian flu and El Nino, were characteristic of most of 1997.  However, the
year proved to be a profitable one overall for the Fund as trends in several key
markets enabled the Trading Advisors to profit despite the significant
obstacles.  Although trading results in several sectors may have been
lackluster, the global currency and bond markets offered noteworthy trading
opportunities, which resulted in significant profits in these markets during the
year.  Additionally, the currency and interest rate sectors of the Fund's
portfolio represented its largest percentage of market commitments.

     In currency markets, the U.S. dollar rallied and started 1997 on a strong
note, rising to a four-year high versus the Japanese yen and two-and-a-half year
highs versus the Deutsche mark and the Swiss franc.  However, the dollar
underwent two significant corrections during the year.  The first correction
occurred in the Spring against the Japanese yen, due to the G7 finance
ministers' determination that a further dollar advance would be counter-
productive to their current goals.  From August through mid-November, the dollar
corrected against the 

                                      -16-
<PAGE>
 
Eurocurrencies in advance of a well-advertised tightening by the Bundesbank. By
mid-December the dollar had bounced back to new highs against the yen and was
rallying against the mark.

     Global interest rate markets began the year on a volatile note, as
investors evaluated economic data for signs of inflation.  By the middle of the
year, economic data in key countries was positive indicating lower inflation and
igniting a worldwide rally in the bond markets.  Specifically, investor
sentiment was particularly strong in the U.S., where prices on the 30-year
Treasury bond and 10-year Treasury note rose to their highest levels in over two
years.  This followed a largely positive economic report delivered by Federal
Reserve Chairman Greenspan in testimony before Congress.  Effects of the plunge
in the Hong Kong stock market in late October spread rapidly throughout the
world's financial markets, including global bond markets.  After continued
volatility in subsequent months made trading difficult, 1997 interest rate
trading ended on a positive note when U.S. and Japanese bond markets rallied as
a flight to safety from plunging stock markets around the world occurred in
December.


PERFORMANCE OVERVIEW

     The principal variables which determine the net performance of the
Partnership are profitability and interest income.  During all periods set forth
under "Selected Financial Data," the interest rates in many countries were at
unusually low levels.  This negatively impacted revenues because interest income
is typically a major component of commodity pool profitability.  In addition,
low interest rates are frequently associated with reduced fixed-income market
volatility, and in static markets the Fund's profit potential generally tends to
be diminished. On the other hand, during periods of higher interest rates, the
relative attractiveness of a high risk investment such as the Partnership may be
reduced as compared to high yielding and much lower risk fixed-income
investments.

     The  Partnership's Brokerage Commissions and Administrative Fees are a
constant percentage of assets charge.  The only Fund costs (other than the
insignificant F/X Desk service fees and EFP differentials as well as bid-ask
spreads on forward contracts) which are not based on a percentage of the Fund's
assets are the Profit Shares payable to each of JWH and Millburn based on their
individual performance.  During periods when Profit Shares are a high percentage
of net trading gains, it is likely that there has been substantial performance
non-correlation between the Advisors (so that the total Profit Shares paid to
the Advisor which has traded profitably are a high percentage, or perhaps even
in excess, of the total profits recognized, as the other Advisor has incurred
offsetting losses, reducing overall trading gains but not the Profit Shares paid
to the successful Advisor).

     The events that primarily determine the Fund's profitability are those that
produce sustained and major price movements.  The Advisors are generally more
likely to be able to profit from sustained trends, irrespective of their
direction, than from static markets.  During the course of the Partnership's
performance to date, such events have ranged from Federal Reserve Board
reductions in interest rates, the apparent refusal of Iraq to arrive at a
settlement which would permit it to sell oil internationally, the inability of
the U.S. government to agree upon a federal budget and a combination of drought
and excessive rain negatively impacting U.S. agricultural harvesting as well as
planting.  While these events are representative of the type of circumstances
which materially affect the Fund, the specific events which will do so in the
future cannot be predicted or identified.

     Unlike many investment fields, there is no meaningful distinction in the
operation of the Fund between realized and unrealized profits.  Most of the
contracts traded by the Fund are highly liquid and can be closed out at any
time.  Furthermore, the profits on many open positions are effectively realized
on a daily basis through the payment of variation margin.

     Except in unusual circumstances, factors such as regulatory approvals, cost
of goods sold, employee relations and the like which often materially affect an
operating business have virtually no impact on the Fund.

                                      -17-
<PAGE>
 
LIQUIDITY AND CAPITAL RESOURCES

     The Fund's costs are generally proportional to its asset base, and, within
broad ranges of capitalization, the Advisors' trading positions (and the
resulting gains and losses) should increase or decrease in approximate
proportion to the size of the Fund account managed by each of them,
respectively.

     Inflation per se is not a significant factor in the Fund's profitability,
although inflationary cycles can give rise to the type of major price movements
that can have a materially favorable or adverse impact on the Fund's
performance.

     In its trading to date, the Fund has from time to time had substantial
unrealized gains and losses on its open positions.  These gains or losses are
received or paid on a periodic basis as part of the routine clearing cycle on
exchanges or in the over-the-counter markets (the only over-the-counter market
in which the Fund trades is the inter-bank forward market in currencies).  In
highly unusual circumstances, market illiquidity could make it difficult for
certain Advisors to close out open positions, and any such illiquidity could
expose the Fund to significant losses, or cause it to be unable to recognize
unrealized gains.  However, in general, there is no meaningful difference
between the Fund's realized and unrealized gains.


THE YEAR 2000 COMPUTER ISSUE

     Merrill Lynch's modifications for Year 2000 systems compliance are
proceeding according to plan and are expected to be completed in early 1999.
Based on information currently available, the remaining expenditures are
estimated at $200 million and will cover hardware and software upgrades, systems
consulting, and computer maintenance.  These expenditures are not expected to
have a material adverse impact on Merrill Lynch's financial position, results of
operations, or cash flows in future periods.  However, the failure of Merrill
Lynch's securities exchanges, clearing organizations, vendors, clients, or
regulators to resolve their own processing issues in a timely manner could
result in a material financial risk.  Merrill Lynch is devoting necessary
resources to address all Year 2000 issues in a timely manner.

ITEM 7A:  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISKS.
          ----------------------------------------------------------- 

     Not applicable.

ITEM 8:   FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
          -------------------------------------------

     The financial statements required by this Item are included in Exhibit
13.01.

     The supplementary financial information ("selected quarterly financial
data" and "information about oil and gas producing activities") specified by
Item 302 of Regulation S-K is not applicable.

ITEM 9:   CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
          ---------------------------------------------------------------
FINANCIAL DISCLOSURE
--------------------

     There were no changes in or disagreements with accountants on accounting or
financial disclosure.

                                      -18-
<PAGE>
 
                                    PART III

ITEM 10:  DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
------------------------------------------------------------

     (a,b)  Identification of Directors and Executive Officers:
            -------------------------------------------------- 

          As a limited partnership, the Partnership itself has no officers or
directors and is managed by the General Partner.  Trading decisions are made by
the Trading Advisors on behalf of the Partnership.

          The directors and executive officers of MLIP and their business
backgrounds are as follows.
   
 
           John R. Frawley, Jr.         Chairman, Chief Executive Officer,
                                        President and Director

           Jeffrey F. Chandor           Senior Vice President, Director of
                                        Sales, Marketing and Research and
                                        Director
 
           Joseph H. Moglia             Director
 
           Allen N. Jones               Director
 
           Stephen G. Bodurtha          Director
 
           Michael A. Karmelin          Chief Financial Officer, Vice
                                        President and Treasurer
 
           Steven B. Olgin              Vice President, Secretary and Director
                                        of Administration

     John R. Frawley, Jr. was born in 1943.  Mr. Frawley is Chairman, Chief
Executive Officer,  President and a Director of MLIP and Co-Chairman of Merrill
Lynch Futures Inc. ("MLF").  He joined Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S") in 1966 and has served in various positions, including
Retail and Institutional Sales, Manager of New York Institutional Sales,
Director of Institutional Marketing, Senior Vice President of Merrill Lynch
Capital Markets and Director of International Institutional Sales.  Mr. Frawley
holds a Bachelor of Science degree from Canisius College.  Mr. Frawley served on
the CFTC's Regulatory Coordination Advisory Committee from its formation in 1990
through its dissolution in 1994.  Mr. Frawley is currently serving his fourth
consecutive  one-year term as Chairman of the Managed Funds Association
(formerly, the Managed Futures Association), a national trade association that
represents the managed futures, hedge funds and fund of funds industry.  Mr.
Frawley is also a Director of that organization.  Mr. Frawley currently serves
on a  panel created by the Chicago Mercantile Exchange and The Board of Trade of
the City of Chicago to study cooperative efforts related to electronic trading,
common clearing and the issues regarding a potential merger.

     Jeffrey F. Chandor was born in 1942.  Mr. Chandor is Senior Vice President,
the Director of Sales, Marketing and Research and a Director of MLIP.  He joined
MLPF&S in 1971 and has served as the Product Manager of International
Institutional Equities, Equity Derivatives and Mortgage-Backed Securities as
well as Managing Director of International Sales in the United States, and
Managing Director of Sales in Europe.  Mr. Chandor holds a Bachelor of Arts
degree from Trinity College, Hartford, Connecticut.

     Joseph H. Moglia was born in 1949.  He is a director of MLIP.  In 1971, he
graduated from Fordham University with a Bachelor of Arts degree in Economics.
He later received his Master of Science degree from the 

                                      -19-
<PAGE>
 
University of Delaware. He taught at the high school and college level for
sixteen years. Mr. Moglia joined MLPF&S in 1984, and has served in a number of
senior roles, including Director of New York Fixed Income Institutional Sales,
Director of Global Fixed Institutional Sales, and Director of the Municipal
Division. He is currently Senior Vice President and Director of the Investment
Strategy and Product Group in Merrill Lynch Private Client, and Director of
Middle Markets.

     Allen N. Jones was born in 1942.  Mr. Jones is a Director of MLIP and, from
July 1995 until January 1998, Mr. Jones was Chairman of the Board of Directors
of MLIP.  Mr. Jones graduated from the University of Arkansas with a Bachelor of
Science, Business Administration degree in 1964.  Since June 1992, Mr. Jones has
held the position of Senior Vice President of MLPF&S.  From June 1992 through
February 1994, Mr. Jones was the President and Chief Executive Officer of
Merrill Lynch Insurance Group, Inc. ("MLIG") and remains on the Board of
Directors of MLIG and its subsidiary companies. From February 1994 to April
1997, Mr. Jones was the Director of Individual Financial Services of the Merrill
Lynch Private Client Group.  In April 1997, Mr. Jones became the Director of
Private Client marketing.

     Stephen G. Bodurtha was born in 1958.  Mr. Bodurtha is a Director of MLIP.
In 1980, Mr. Bodurtha graduated from Wesleyan University, Middletown,
Connecticut with a Bachelor of Arts degree in Government, magna cum laude.  From
1980 to 1983, Mr. Bodurtha worked in the Investment Banking Division of Merrill
Lynch.  In 1985, he was awarded his Master of Business Administration degree
from Harvard University, where he also served as Associates Fellow (1985-1986).
From 1986 to 1989, Mr. Bodurtha held the positions of Associate and Vice
President with Kidder, Peabody & Co., Incorporated where he worked in their
Financial Futures & Options Group.  Mr. Bodurtha joined MLPF&S in 1989 and has
held the position of First Vice President since 1995.  He has been the Director
in charge of MLPF&S's Structured Investments Group since 1995.

     Michael A. Karmelin was born in 1947.  Mr. Karmelin is Chief Financial
Officer, Vice President and Treasurer of MLIP.  Prior to joining MLIP in April
1997, Mr. Karmelin was Chief Financial Officer of Merrill Lynch, Hubbard Inc.
("ML Hubbard"), a sponsor of real estate limited partnerships.  Mr. Karmelin
joined ML Hubbard in January 1994 and was a Vice President of ML Hubbard.  From
May 1994 to April 1997, he was the Chief Financial Officer of ML Hubbard,
responsible for its accounting, treasury and tax functions.  Prior to joining ML
Hubbard, Mr. Karmelin held several senior financial positions with ML&Co and
MLPF&S from December 1985 to December 1993, including Vice President/Senior
Financial Officer Corporate Real Estate and Purchasing, Manager Commitment
Control/Capital Budgeting, and Senior Project Manager/Project Analysis. Prior to
joining ML&Co., Mr. Karmelin was employed at Avco Corporation for 17 years,
where he held a variety of financial positions.  Mr. Karmelin holds a B.B.A.
degree in Accounting from Baruch College, C.U.N.Y. and a Master of Business
Administration degree in Corporate Strategy and Finance from New York
University.  Mr. Karmelin passed the Certified Public Accounting examination in
1974 and is a member of the Treasury Management Association, the Institute of
Management Accountants and The Strategic Leadership Forum.

     Steven B. Olgin was born in 1960.  Mr. Olgin is Vice President, Secretary
and the Director of Administration of MLIP.  He joined MLIP in July 1994 and
became a Vice President in July 1995.  From 1986 until July 1994, Mr. Olgin was
an associate of the law firm of Sidley & Austin.  In 1982, Mr. Olgin graduated
from The American University with a Bachelor of Science degree in Business
Administration and a Bachelor of Arts degree in Economics.  In 1986, he received
his Juris Doctor degree from The John Marshall Law School. Mr. Olgin is a member
of the Managed Funds Association's Government Relations Committee and has served
as an arbitrator for the NFA.  Mr. Olgin is also a member of the Committee on
Futures Regulation of the Association of the Bar of the City of New York.

     Messrs. Moglia and Bodurtha became Directors in January 1998.

     As of December 31, 1997, the principals of MLIP had no investment in the
Fund, and MLIP's general partnership interest was valued at $936,678.

     MLIP acts as general partner to twelve  public futures funds whose units of
limited partnership interest are registered under the Securities Exchange Act of
1934:  The Futures Expansion Fund Limited Partnership, The 

                                      -20-
<PAGE>
 
Growth and Guarantee Fund L.P., ML Futures Investments L.P., ML Futures
Investments II L.P. , The S.E.C.T.O.R. Strategy Fund/(SM)/ L.P., The SECTOR
Strategy Fund/(SM)/ II L.P., The SECTOR Strategy Fund/(SM)/ V L.P., The SECTOR
Strategy Fund/(SM)/ VI L.P., ML Global Horizons L.P., ML Principal Protection
L.P. (formerly, ML Principal Protection Plus L.P.), ML JWH Strategic Allocation
Fund L.P. and the Fund. Because MLIP serves as the sole general partner of each
of these funds, the officers and directors of MLIP effectively manage them as
officers and directors of such funds.

     (c) Identification of Certain Significant Employees:
         ----------------------------------------------- 

          None.

     (d)  Family Relationships:
          -------------------- 

          None.

     (e)  Business Experience:
          ------------------- 

          See Item 10(a)(b) above.

     (f) Involvement in Certain Legal Proceedings:
         ---------------------------------------- 

          None.

     (g)  Promoters and Control Persons:
          ----------------------------- 

          Not applicable

ITEM 11:  EXECUTIVE COMPENSATION
          ----------------------

     The officers of the General Partner are remunerated by the General Partner
in their respective positions. The Partnership does not itself have any
officers, directors or employees.  The Partnership pays Brokerage Commissions to
an affiliate of the General Partner and Administrative Fees to the General
Partner.  The General Partner or its affiliates also may receive certain
economic benefits from holding the Fund's dollar Available Assets in offset
accounts, as described in Item 1(c) above.  The directors and officers receive
no "other compensation" from the Partnership, and the directors receive no
compensation for serving as directors of the General Partner. There are no
compensation plans or arrangements relating to a change in control of either the
Partnership or the General Partner.

ITEM 12:  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
          --------------------------------------------------------------

          (a) Security Ownership of Certain Beneficial Owners:
              ----------------------------------------------- 

          As of December 31, 1997, no person or "group" is known to be or have
been the beneficial owner of more than five percent of the Units.  All of the
Partnership's units of general partnership interest are owned by the General
Partner.

          (b) Security Ownership of Management:
              -------------------------------- 

          As of December 31, 1997, each Trading Advisor owned 1,015 Series A
Units, 1,000 Series B Units and 1,500 Series C Units and the General Partner
owned 780 Series A Units, 1,976 Series B Units and 1,439 Series C Units (unit-
equivalent general partnership interests) which was less than 4%, 3% and 4% of
the total Units outstanding, respectively.

                                      -21-
<PAGE>
 
          (c)  Changes in Control:
               ------------------ 

               None.

ITEM 13:  CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
          ----------------------------------------------

          (a) Transactions with Management and Others:
              --------------------------------------- 

          The General Partner acts as administrative and trading manager of the
          Fund.  The General Partner provides all  normal ongoing administrative
          functions of the Partnership, such as accounting, legal and printing
          services.  The General Partner, which receives the Administrative
          Fees, pays all expenses relating to such services.

          (b) Certain Business Relationships:
              ------------------------------ 

          MLF, an affiliate of the General Partner, acts as the principal
          commodity broker for the Partnership.

          In 1997 the Partnership paid:  (i) Brokerage Commissions of  $0 to the
Commodity Broker, which included $0 in consulting fees paid by the Commodity
Broker to the Trading Advisors;  and (ii) Administrative Fees of $0 to MLIP.  
Through its investments in Trading LLCs, the following fees were paid: (i) 
Brokerage Commissions of $6,195,037 to the Commodity Broker, which included 
$1,886,277 in consulting fees paid by the Commodity Broker to the Trading 
Advisors; and (ii) Administrative Fees of $159,843 to MLIP. In addition, MLIP
and its affiliates may have derived certain economic benefits from maintaining a
portion of the Fund's assets in "offset accounts," as described under Item 1(c),
"Narrative Description of Business -- Use of Proceeds and Interest Income --
Interest Earned on the Fund's U.S. Dollar Available Assets" and Item 11,
"Executive Compensation" herein.

          See Item 1(c), "Narrative Description of Business -- Charges" and "--
Description of Current Changes" for a discussion of other business dealings
between MLIP affiliates and the Partnership.

          (c)  Indebtedness of Management:
               -------------------------- 

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

          (d)  Transactions with Promoters:
               --------------------------- 

               Not applicable.

                                      -22-
<PAGE>
 
                                    PART IV

ITEM 14:  EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K
          ---------------------------------------------------------------
 
         (a)1.  Financial Statements:                                  Page
                --------------------                                   ----
                Independent Auditors' Report                              1
 
                Statements of Financial Condition as of 
                December 31, 1997 and 1996                                2
 
                For the years ended December 31, 1997, 1996 and 1995:
                         Statements of Operations                         3
                         Statements of Changes in Partners' Capital       4
 
               Notes to Financial Statements                           5-14

     (a)2.     Financial Statement Schedules:
               ----------------------------- 

          Financial statement schedules not included in this Form 10-K have been
omitted for the reason that they are not required or are not applicable or that
equivalent information has been included in the financial statements or notes
thereto.

     (a)3.     Exhibits:
               -------- 

               The following exhibits are incorporated by reference or are filed
               herewith 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,
                       Merrill Lynch Investment Partners Inc., Merrill Lynch
                       Futures Inc. 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 Merrill Lynch Futures Inc.

                                      -23-
<PAGE>
 
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
                     Merrill Lynch Futures Inc.

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, Merrill Lynch
                     Investment Partners Inc., Merrill Lynch Futures Inc. and
                     the Fund.

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
                     Merrill Lynch Investment Partners Inc., each Advisor, the
                     Fund and Merrill Lynch Futures.
                     
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 MLF.
                     
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                1997 Annual Report and Independent Auditors' Report.
                     
Exhibit 13.01:       Is filed herewith.
--------------                                                  

13.01(a)             1997 Annual Reports and Independent Auditors' Report
                     for the following Trading Limited Liability Companies
                     sponsored by Merrill Lynch Investment Partners' Inc.:
                     ML Millburn Global L.L.C.
                     ML Sjo Prospect L.L.C.
                     ML Chesapeake Diversified L.L.C.
                     ML JWH Financial and Metals Portfolio L.L.C.

Exhibits 13.01(a)    Is incorporated herein by reference from Form 10-K
                     (fiscal year ended December 31, 1997) Commission File
                     number 0-18702 for The S.E.C.T.O.R. Fund (SM) L.P.
                     (Registration Statement File No. 33-34432 filed on
                     May 25, 1990 under the Securities Act, of 1933).

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.
                     
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.                                    
                     

     (b)  Report on Form 8-K:

          No reports on Form 8-K were filed during the fourth quarter of 1997.

                                      -24-
<PAGE>
 
                                   SIGNATURES


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

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

                       BY:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                            General Partner

                       By: /s/John R. Frawley, Jr.
                              John R. Frawley, Jr.
                              Chairman, Chief Executive Officer, President
                              and Director (Principal Executive Officer)

     Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 25, 1998 by the
following persons on behalf of the Registrant and in the capacities indicated.
<TABLE>
<CAPTION>
 
Signature                  Title                                                      Date
<S>                        <C>                                                        <C>
 
/s/John R. Frawley, Jr.    Chairman, Chief Executive Officer, President and Director           March 25, 1998
-------------------------  (Principal Executive Officer)
John R. Frawley, Jr.
 
/s/Michael A. Karmelin     Vice President, Chief Financial Officer, and Treasurer              March 25, 1998
-------------------------  (Principal Financial and Accounting Officer) 
Michael A. Karmelin        
 
/s/Jeffrey F. Chandor      Senior Vice President, Director of Sales,                            March 25, 1998
-------------------------  Marketing and Research, and Director
Jeffrey F. Chandor         
 
/s/Allen N. Jones          Director                                                             March 25, 1998
-------------------------
Allen N. Jones
</TABLE>


(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of Merrill Lynch Investment Partners
Inc.)
<TABLE> 
<S>                        <C>                                                                  <C> 
MERRILL LYNCH INVESTMENT   General Partner of Registrant                                        March 25, 1998
  PARTNERS INC.
</TABLE> 

By: /s/John R. Frawley, Jr.
---------------------------
    John R. Frawley, Jr.

                                      -25-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.

                                 1997 FORM 10-K

                               INDEX TO EXHIBITS
                               -----------------


                         Exhibit
                         -------

Exhibit 13.01            1997 Annual Report and Independent Auditors' Report




Exhibit 13.01(a)        1997 Annual Reports and Independent Auditors' Report
                        for the following Trading Limited Liability Companies
                        sponsored by Merrill Lynch Investment Partners' Inc.:
                        ML Millburn Global L.L.C.
                        ML Sjo Prospect L.L.C.
                        ML Chesapeake Diversified L.L.C.
                        ML JWH Financial and Metals Portfolio L.L.C.



                                      -26-