<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, 1996
                                      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) 236-4161
                                                     --------------
<TABLE> 
<S>                                                          <C> 
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)
</TABLE> 


Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) 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 stock held by non-affiliates:  the
registrant is a limited partnership and, accordingly, has no voting stock held
by non-affiliates or otherwise.

                      DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "1996 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1996,
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 1996 ON FORM 10-K

                               Table of Contents
                               -----------------
<TABLE>
<CAPTION>
 
 
                                    PART I                                                       PAGE
                                    ------                                                      ------
<S>        <C>                                                                                   <C>
 
Item 1.    Business.............................................................................   1
 
Item 2.    Properties...........................................................................   7
 
Item 3.    Legal Proceedings....................................................................   7
 
Item 4.    Submission of Matters to a Vote of Security Holders..................................   7
 
                                    PART II
                                    -------
 
Item 5.    Market for Registrant's Common Equity and Related Stockholder Matters................   8
 
Item 6.    Selected Financial Data..............................................................   8
 
Item 7.    Management's Discussion and Analysis of Financial Condition and Results of Operations  13
 
Item 8.    Financial Statements and Supplementary Data..........................................  15
 
Item 9.    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.  15
 
                                    PART III
                                    --------
 
Item 10.   Directors and Executive Officers of the Registrant...................................  16
 
Item 11.   Executive Compensation...............................................................  17
 
Item 12.   Security Ownership of Certain Beneficial Owners and Management.......................  18
 
Item 13.   Certain Relationships and Related Transactions.......................................  18
 
                                    PART IV
                                    -------

Item 14.   Exhibits, Financial Statement Schedules and Reports on Form 8-K......................  19
</TABLE> 

                                      -i-
<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 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 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,
1996; 50% and 50% of the Series A Units capital was allocated to Millburn and
JWH, respectively; 50% and 50% of the Series B Units capital; and 50% and 50% 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 do "Merrill Lynch").

        When the Fund began trading on January 5, 1990, it had an initial
capitalization of $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, 1996, Units with an aggregate Net Asset Value of
$96,968,699 (not including a dividend distribution of $2,345,180 for Series A
Unitholders on November 30, 1990)  had been redeemed (including December 31,
1996 redemptions which were not actually paid out until January 1997).  As of
December 31, 1996, the aggregate capitalization of the Fund was $60,834,088, the
total capitalization of the Series A, Series B and Series C Units was
$14,237,462, $30,488,078 and $16,108,548, 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 $252.54
(excluding a $20 per Series A Unit distribution paid as of November 30, 1990),
$205.27 and $159.97, respectively.  As of December 31, 1996, the Fund had 489
Series A, 1,539 Series B and 791 Series C Limited Partners.

        The highest month-end Net Asset Value per Series A Unit through
December 31, 1996 was $255.50 (November, 1996) and the lowest $100.31 (May,
1990); the highest month-end Net Asset Value per Series B Unit through December
31, 1996 was $207.63 (November, 1996) and the lowest $91.20 (May, 1992); the
highest month-end Net Asset Value per Series C Unit through December 31, 1996
was $161.74 (November, 1996) 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 significant profits over time.

          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 is retained to trade 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 is retained to trade the Partnership's assets allocated to it
pursuant to its currency program, which concentrates exclusively on currency
trading, primarily in the interbank market.

          One of the objectives of the Fund is to provide diversification to a
limited portion of the risk segment of the Limited Partners' portfolios into an
investment field that 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 on futures
markets on behalf of the Partnership.  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 ultimate
counterparties, which include Merrill Lynch Investment 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.

                                      -2-
<PAGE>
 
          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 or invested in short-term Treasury bills.  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; (b) short-term Treasury bills
purchased by the Fund; and (c) 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
Fund receives all the interest paid on the short-term Treasury bills in which it
invests.

          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 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.

                                      -3-
<PAGE>
 
          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.  Consequently, the Fund does not earn interest on foreign
margin deposits.  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.

          Forward Transactions.  Spot and forward currency contracts are the
          --------------------                                              
only non-exchange traded instruments held by the Fund.

          To date, approximately 20% to 30% of the Fund's trades by volume have
been in forward currency contracts, but from time to time the percentage of the
Fund's trading represented by forward currency trades may fall substantially
outside this range.  In using the F/X Desk, the Fund trades through MLF.
Because the Fund need not deposit any margin with MLF in respect of the Fund's
forward trading, the Fund's additional risk in trading in such unregulated
markets should be limited to a possible loss of unrealized profits on open
forward positions which a counterparty accessed through MLF would not, in the
event of its bankruptcy, be able to pay to MLF for the account of the Fund.
(MLF would not itself be required to pay such unrealized profits to the Fund if
MLF did not receive such profits from such counterparties.)

          Having the Fund (and the other MLF clients using the F/X Desk) trade
through the F/X Desk on the basis of MLF's credit lines permits the F/X Desk to
access a wide range of counterparties without the need of such counterparties
evaluating the individual credit of the Fund (or any other MLF client).

          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 1994, the Series A Units' average month-end
          --------------                                                     
Net Asset equaled $12,383,435, and the Series recognized gross trading gains of
$130,786 or 1.06% of such average month-end Net Assets.  Brokerage Commissions
of $1,572,088 or 12.70% and Profit Shares of $103,313 or 0.83% of average month-
end Net Assets were paid.  Interest income of $414,937 or 3.35% of average
month-end Net Assets resulted in a net loss of $1,129,678 or 9.12% of average
month-end Net Assets, which resulted in a 8.64% decrease in the Net Asset Value
per Unit.

          During 1995, the Series A Units' average month-end Net Assets equalled
$13,360,144, and the Series recognized gross trading gains of $5,089,863 or
38.10% of such average month-end Net Assets.  Brokerage Commissions of
$1,654,078 or 12.38% and Profit Shares of $168,968 or 1.26% of average month-end
Net Assets were paid.  Interest income of $636,781 or 4.77% of average month-end
Net Assets resulted in net income of $3,903,598 or 29.22% of average month-end
Net Assets which resulted in a 34.89% increase in the Net Asset Value per Unit.

          During 1996, the Series A Units' average month-end Net Assets equalled
$12,941,058, and the Series recognized gross trading gains of $1,647,329 or
12.73% of such average month-end Net Assets.  Brokerage Commissions of
$1,239,114 or 9.58%, Administrative Fees of $26,364 or 0.20% and Profit Shares
of $26,690 or 0.21% of average month-end Net Assets were paid.  Interest income
etc. resulted in net income of $2,519,013 or 19.47% of average month-end Net
Assets, which resulted in a 20.09% increase in the Net Asset Value per Unit.

                                      -4-
<PAGE>
 
          Series B Units.  During 1994, the Series B Units' average month-end
          --------------                                                     
Net Assets equalled $24,388,421, and the Series recognized gross trading gains
of $368,693 or 1.51% of such average month-end Net Assets.  Brokerage
Commissions of $3,760,979 or 15.42% and Profit Shares of $247,361 or 1.01% of
average month-end Net Assets were paid.  Interest income of $987,769 or 4.05% of
average month-end Net Assets resulted in a net loss of $2,651,878 or 10.87% of
average month-end Net Assets, which resulted in a 8.43% decrease in the Net
Asset Value per Unit.

          During 1995, the Series B Units' average month-end Net Assets equalled
$24,425,858, and the Series recognized gross trading gains of $11,540,056 or
47.25% of such average month-end Net Assets.  Brokerage Commissions of
$3,698,343 or 15.14% and Profit Shares of $362,058 or 1.48% of average month-end
Net Assets were paid.  Interest income of $1,431,186 or 5.86% of average month-
end Net Assets resulted in net income of $8,910,841 or 36.48% of average month-
end Net Assets, which resulted in a 34.49% increase in the Net Asset Value per
Unit.

          During 1996, the Series B Units' average month-end Net Assets equalled
$27,873,607, and the Series recognized gross trading gains of $3,471,941 or
12.46% of such average month-end Net Assets.  Brokerage Commissions of
$2,695,105 or 9.67%, Administrative Fees of $57,343 or 0.21% and Profit Shares
of $44,910 or 0.16% of average month-end Net Assets are paid.  Interest income
of $920,755 or 3.30% of average month-end Net Assets resulted in net income of
$5,157,739 or 18.50% of average month-end Net Assets, which resulted in a 20.03%
increase in the Net Asset Value per Unit.

          Series C Units.  During 1994, the Series C Units' average month-end
          --------------                                                     
Net Assets equalled $18,436,262, and the Series recognized gross trading gains
of $419,381 or 2.27% of such average month-end Net Assets.  Brokerage
Commissions of $2,384,202 or 12.93% and Profit Shares of $157,828 or 0.86% of
average month-end Net Assets were paid.  Interest income of $596,124 or 3.23% of
average month-end Net Assets resulted in a net loss of $1,526,525 or 8.28% of
average month-end Net Assets, which resulted in a 7.88% decrease in the Net
Asset Value per Unit.

          During 1995, the Series C Units' average month-end Net Assets equalled
$16,554,503, and the Series recognized gross trading gains of $6,571,541 or
39.70% of such average month-end Net Assets.  Brokerage Commissions of
$2,060,368 or 12.45% and Profit Shares of $198,112 or 1.20% of average month-end
Net Assets were paid.  Interest income of $795,417 or 4.80% of average month-end
Net Assets resulted in net income of $5,108,478 or 30.86% of average month-end
Net Assets, which resulted in a 35.08% increase in the Net Asset Value per Unit.

          During 1996, the Series C Units' average month-end Net Assets equalled
$15,096,182 and the Series recognized gross trading gains of $1,869,922 or
12.39% of such average month-end Net Assets.  Brokerage Commissions of
$1,472,632 or 9.75%, Administrative Fees of $31,332 or 0.21%, and Profit Shares
of $25,868 or 0.17% of  average month-end Net Assets were paid.  Interest income
of $504,393 or 3.34% of average month-end Net Assets resulted in net income of
$2,707,578 or 17.94% of average month-end Net Assets, which resulted in a 19.54%
increase in the Net Asset Value per Unit.

                         ______________________________

                         DESCRIPTION OF CURRENT CHARGES

RECIPIENT  NATURE OF PAYMENT        AMOUNT OF PAYMENT
---------  -----------------        -----------------
                                    
MLF        Brokerage Commissions    A flat-rate monthly commission of 0.9792 of 
                                    1% of the Fund's month-end assets (an 11.75%
                                    annual rate).                               
                                                                                
                                    During 1994, 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 $56, $207 and 
                                    $143, respectively.  The round-turn rates   
                                    reflect Brokerage Commissions at the rate of
                                    11.75% per annum.  As of February 1, 1997,  
                                    this rate was reduced to 9.50%.
                                    


                                      -5-
<PAGE>
 
                    DESCRIPTION OF CURRENT CHARGES (CONT.)
                    --------------------------------------

RECIPIENT      NATURE OF PAYMENT   AMOUNT OF PAYMENT
---------      -----------------   -----------------
                                  
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  As of January 1, 1996, the Brokerage
                                    Commissions payable by the Fund were reduced
                                    from 12% to 11.75% annually, and the Fund
                                    began to pay MLIP a monthly Administrative
                                    Fee equal to 0.020833 of 1% of the Fund's
                                    month-end assets (0.25% annually).  This
                                    change had no economic effect on the Fund.
                                    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
Counterparties Bid--ask spreads     The counterparties other than MLIB with
                                    which the F/X Desk deals also each receive
                                    bid-ask spreads on the forward trades
                                    executed with the Fund.

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 generated by each advisor,
                                    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.

                                      -6-
<PAGE>
 
                    DESCRIPTION OF CURRENT CHARGES (CONT.)
                    --------------------------------------

RECIPIENT      NATURE OF PAYMENT    AMOUNT OF PAYMENT
---------      -----------------    -----------------

MLF;
 Others        Extraordinary        Actual costs incurred; none paid to date,
                expenses            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 and the
National Futures Association.  Other than in respect of its periodic reporting
requirements, 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.

     (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
         -----------------

         There are no pending legal proceedings to which the Partnership or the
General Partner is a party.

         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, 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 the same allegations as the New
York and California complaints. 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.

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.

                                      -7-
<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, 1996, there were 490, 1,540 and 774 holders of
the Series A, B and C Units, respectively, including the General Partner and the
Trading Advisors.

        (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.

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                    1996          1995          1994         1993          1992
---------------------                ------------  ------------  ------------  -----------  -------------
<S>                                  <C>           <C>           <C>           <C>          <C>
 
Revenues:
 
   Trading Profits (Loss):
      Realized Gain                  $ 8,749,410   $23,852,578   $ 3,650,307   $17,886,014  $ 18,957,117
      Change in Unrealized Gain       (1,760,218)     (651,118)   (2,731,447)    4,187,590   (23,653,935)
                                     -----------   -----------   -----------   -----------  ------------
 
         Total Trading Results         6,989,192    23,201,460       918,860    22,073,604    (4,696,818)
 
Interest Income                        1,842,887     2,863,384     1,998,830     1,847,581     2,317,491
                                     -----------   -----------   -----------   -----------  ------------
 
 
         Total Revenues                8,832,079    26,064,844     2,917,690    23,921,185    (2,379,327)
                                     -----------   -----------   -----------   -----------  ------------
 
Expenses:
 
   Brokerage Commissions               5,406,851     7,412,789     7,717,269     9,559,369    10,532,323
   Administrative Fees                   115,039             0             0             0             0
   Profit Shares                          97,468       729,138       508,502       551,684       523,840
                                     -----------   -----------   -----------   -----------  ------------
 
        Total Expenses                 5,619,358     8,141,927     8,225,771    10,111,053   (11,056,163)
                                     -----------   -----------   -----------   -----------  ------------
 
      Income from Investments          7,171,609             0             0             0             0
                                     -----------   -----------   -----------   -----------  ------------
 
      Net Income (Loss)              $10,384,330   $17,922,917   $(5,308,081)  $13,810,132  $(13,435,490)
                                     ===========   ===========   ===========   ===========  ============
 
 
BALANCE SHEET DATA                       1996          1995          1994          1993          1992
------------------                   -----------   -----------   -----------   -----------  ------------
 
Fund Net Asset Value                 $60,834,088   $57,921,834   $53,987,444   $71,749,780  $ 82,863,393
Net Asset Value per Series A Unit    $    252.54   $    210.29   $    155.90   $    170.64  $     141.44
Net Asset Value per Series B Unit    $    205.27   $    171.02   $    127.16   $    138.87  $     115.98
Net Asset Value per Series C Unit    $    159.97   $    133.82   $     99.07   $    107.55  $      92.87*
</TABLE>

*  The December 31, 1992 Net Asset Value per Series C Unit was $0.83 per Unit
higher than the GAAP Net Asset Value due to the amortization of  organization
and offering cost reimbursements.

                                      -8-
<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>
1992  $142.57 $128.54 $130.12 $117.75 $111.34 $125.75 $143.95 $158.02 $151.50 $143.69 $144.39 $141.44
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
-----------------------------------------------------------------------------------------------------

-----------------------------------------------------------------------------------------------------         
                           MONTH-END NET ASSET VALUE PER SERIES B UNIT
-----------------------------------------------------------------------------------------------------
       Jan.     Feb.    Mar.    Apr.    May   June    July    Aug.    Sept.    Oct.    Nov.    Dec.
-----------------------------------------------------------------------------------------------------
1992  $114.45 $104.79 $106.01  $96.15  $91.20 $103.23 $118.11 $129.56 $124.39 $117.89 $118.48 $115.98
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

-----------------------------------------------------------------------------------------------------
                           MONTH-END NET ASSET VALUE PER SERIES C UNIT
-----------------------------------------------------------------------------------------------------
       Jan.    Feb.    Mar.    Apr.    May    June    July    Aug.    Sept.    Oct.    Nov.    Dec.
-----------------------------------------------------------------------------------------------------
1992  $92.41  $85.30  $86.02  $79.31  $75.87  $85.03  $95.51 $103.93 $100.18  $94.88  $95.63 $93.70**
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
</TABLE>
** The December 31, 1992 Net Asset Value per Series C Unit was $0.83 per Unit
higher than the GAAP Net Asset Value due to the amortization of  organization
and offering cost reimbursements.

Pursuant to CFTC policy, monthly performance is presented from January 1, 1992
even though the Series A and B Units were outstanding prior to such date.

                                      -9-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                               (SERIES A UNITS)
                               DECEMBER 31, 1996

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                    Inception of Trading:  January 5, 1990
                    Aggregate Subscriptions:    $18,182,000
                     Current Capitalization:   $14,237,462
                Worst Monthly Drawdown/(2)/:  (15.99)%  (1/92)
         Worst Peak-to-Valley Drawdown/(3)/:  (34.40)%  (1/92 - 5/92)
                                 _____________

        Net Asset Value per Series A Unit, December 31, 1996:   $252.54

--------------------------------------------------------------------------------
                         Monthly Rates of Return/(4)/
--------------------------------------------------------------------------------
    Month            1996       1995       1994       1993       1992
--------------------------------------------------------------------------------
     January        10.17%     (5.81)%    (7.76)%     0.07%    (15.99)%

     February       (9.58)     14.09       0.08       8.97      (9.84)

     March          (1.97)     22.24       8.78      (1.82)      1.22

     April           3.93       4.72      (0.36)      8.16      (9.51)

     May            (4.31)      0.81      (0.11)      1.62      (5.44)

     June            1.46      (1.63)      6.73      (2.54)     12.95

     July           (0.17)     (2.66)     (6.94)      7.79      14.47

     August         (2.38)      2.45      (5.72)     (6.90)      9.78

     September       3.19      (1.99)      2.58       1.56      (4.13)

     October        14.17       0.45       1.31      (0.64)     (5.15)

     November        7.39       0.34      (3.75)      0.26       0.49

     December       (1.16)      0.38      (2.41)      3.61      (2.04)

  Compound Annual
  Rate of Return    20.09%     34.89%     (8.64)%    20.64%    (16.65)%

          (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, 1992 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, 1992 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.

                                      -10-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                               (SERIES B UNITS)
                               DECEMBER 31, 1996

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                    Inception of Trading:  January 28, 1991
                    Aggregate Subscriptions:    $50,636,000
                     Current Capitalization:   $30,488,078
                Worst Monthly Drawdown/(2)/:  (15.01)%  (1/92)
         Worst Peak-to-Valley Drawdown/(3)/:  (32.28)%  (1/92 - 5/92)
                                 _____________

       Net Asset Value per Series B Unit, December 31, 1996 : $205.27

--------------------------------------------------------------------------------
                         Monthly Rates of Return/(4)/
--------------------------------------------------------------------------------
Month         1996          1995          1994          1993          1992 
--------------------------------------------------------------------------------
January      10.47%        (5.93)%       (7.91)%        0.04%       (15.01)%
February     (9.41)        14.22          0.09          8.73         (8.44)
March        (2.14)        22.06          9.08         (1.68)         1.16
April         3.86          4.57         (0.41)         8.18         (9.30)
May          (4.38)         0.66         (0.22)         1.54         (5.15)
June          1.40         (1.52)         6.85         (2.58)        13.19
July         (0.14)        (2.75)        (6.90)         7.51         14.42
August       (2.49)         2.71         (5.77)        (7.17)         9.69
September     3.22         (2.04)         2.59          1.49         (3.99)
October      14.17          0.48          1.53         (0.75)        (5.23)
November      7.30          0.31         (3.81)         0.40          0.50
December     (1.14)         0.31         (2.42)         3.65         (2.11)
Compound
 Annual
 Rate of
 Return      20.03%        34.49%        (8.43)%       19.74%       (13.88)%

          (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, 1992 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, 1992 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.

                                      -11-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                               (SERIES C UNITS)
                               DECEMBER 31, 1996

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                    Inception of Trading:  January 2, 1992
                    Aggregate Subscriptions:    $40,000,000
                     Current Capitalization:   $16,108,548
                 Worst Monthly Drawdown/(2)/:  (9.54)%  (2/96)
          Worst Peak-to-Valley Drawdown/(3)/:  (24.13)%  (1/92-5/92)
                                 _____________

       Net Asset Value per Series C Unit, December 31, 1996 : $159.97

--------------------------------------------------------------------------------
                         Monthly Rates of Return/(4)/
--------------------------------------------------------------------------------
Month              1996       1995       1994       1993       1992
January           10.52%     (6.00)%    (7.97)%     0.33%     (7.59)%
February          (9.54)     14.12       0.13       7.47      (7.69)
March             (2.18)     22.31       9.19      (1.99)      0.84
April              3.86       4.53      (0.36)      7.11      (7.79)
May               (4.43)      0.70      (0.36)      0.85      (4.35)
June               1.45      (1.44)      7.28      (2.68)     12.08
July              (0.08)     (2.74)     (7.05)      6.57      12.33
August            (2.71)      2.90      (5.90)     (7.17)      8.82
September          3.21      (1.91)      2.83       1.66      (3.61)
October           14.17       0.59       1.58      (0.97)     (5.92)
November           7.14       0.32      (3.69)      0.24       0.79
December          (1.09)      0.17      (2.31)      3.46      (2.02)
Compound Annual
Rate of Return    19.54%     35.08%     (7.88)%    14.78%     (6.30)%

          (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, 1992 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, 1992 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>
 
ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         -----------------------------------------------------------------------
         OF OPERATION
         ------------

         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.

         PERFORMANCE SUMMARY

         1994

         1994 was characterized by relatively quiet markets without many major
price trends.   United States interest rates generally declined during the
period, and as they did, so did the U.S. dollar as compared to the Deutschemark
and certain other major currencies.

         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 

                                      -13-
<PAGE>
 
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.

          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.

                                      -14-
<PAGE>
 
          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.

          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.

          In terms of cash flow, it makes little difference whether a market
position remains open (so that the profit or loss on such positions remains
unrealized), as cash settlement of  unrealized gains and losses occurs
periodically whether or not positions are closed out.  The only meaningful
difference between realized and unrealized gains or losses in the case of the
Fund is that unrealized items reflect gains or losses on positions which the
Advisors have determined not to close out (presumably, in the hope of future
profits), whereas realized gains or losses reflect amounts received or paid in
respect of positions no longer being maintained.

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 and financial disclosure.

                                      -15-
<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 principal officers of MLIP and their business backgrounds are as
follows.

           John R. Frawley, Jr.   Chief Executive Officer, President           
                                  and Director                                 
                                                                             
                                                                             
           James M. Bernard       Chief Financial Officer,                     
                                  Senior Vice President and Treasurer          
                                                                             
                                                                             
           Jeffrey F. Chandor     Senior Vice President, Director of           
                                  Sales, Marketing and Research and Director   
                                                                             
                                                                             
           Allen N. Jones         Chairman and Director                        
                                  
           Steven B. Olgin        Vice President, Secretary and Director       
                                  of Administration                            
                                
                                   
 
                                


     John R. Frawley, Jr. was born in 1943.  Mr. Frawley is Chief Executive
Officer, President and a Director of MLIP as well as Co-Chairman of MLF.  He
joined Merrill Lynch, Pierce, Fenner & Smith ("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 inception in 1990 through its dissolution in 1994.
Mr. Frawley is currently a member of the CFTC's Financial Products Advisory
Committee.  In January 1996, he was re-elected to a one-year term as Chairman of
the Managed Futures Association, the national trade association of the United
States managed futures industry.  Mr. Frawley is also a Director of that
organization, and a Director of the Futures Industry Institute.  Mr. Frawley
also 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.

     James M. Bernard was born in 1950.  Mr. Bernard is Chief Financial Officer,
Senior Vice President and Treasurer of MLIP.  He joined MLF in 1983.  Before
that he was the Commodity Controller for Nabisco Brands Inc. from November 1976
to 1982 and a Supervisor at Ernst & Whinney from 1972 to November 1976.  Mr.
Bernard is a member of the American Institute of Certified Public Accountants
and holds a Bachelor of Science degree from St. John's University and a Master
of Business Administration degree from Fordham University.

     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 Equity, Derivative
Products 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.

     Allen N. Jones was born in 1942.  Mr. Jones is Chairman and a Director 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.  In February 1994, Mr. Jones
became the Director of Individual Financial Services of the Merrill Lynch
Private Client Group.  From January 1992 to June 1992, he held the position of
First Vice 

                                      -16-
<PAGE>
 
President of MLPF&S. From January 1990 to June 1992, he held the position of
District Director of MLPF&S. Before January 1990, he held the position of Senior
Regional Vice President of MLPF&S.

      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 Futures Association's Government Relations Committee and
has served as an arbitrator for the NFA.

      At its December 1996 Board of Directors meeting, MLIP formed a Finance
Committee composed of representatives of several different operating and
administrative units at Merrill Lynch to oversee the financial controls and
accounting procedures implemented by MLIP.  The Finance Committee will meet
periodically to review MLIP's financial reporting, monitoring and record
keeping, as well as all proposed changes - other than the selection of Advisors
- affecting the operations of the Fund.

      As of December 31, 1996, the principals of MLIP had no investment in the
Fund, and MLIP's general partnership interest was valued at $832,769.

      MLIP acts as general partner to thirteen 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 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) IV 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:
      ----------------------------- 

      The General Partner is the sole promoter and controlling person of the
Partnership.

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

  The officers of the General Partner are remunerated 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 

                                      -17-
<PAGE>
 
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, 1996, 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, 1996, each Trading Advisor owned 515 Series A
Units, 500 Series B Units and 1,439 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 3%, 2% and 3% of
the total Units outstanding, respectively.

        (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 1996 the Partnership paid: (i) Brokerage Commissions of
$5,406,851 to the Commodity Broker, which included $1,828,360 in consulting fees
paid by the Commodity Broker to the Trading Advisors; and (ii) Administrative
Fees of $115,039 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.

                                      -18-
<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, 1996 and 1995                        2

               For the years ended December 31, 1996,
                1995 and 1994:
                    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.

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.

                                      -19-
<PAGE>
 
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 Investment Bank, Merrill Lynch Investment
                  Partners Inc., Merrill Lynch Futures Inc. and the Fund.

Exhibit 10.06:    Is filed herewith.
-------------                       

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 filed herewith.
----------------                       

10.07(b)          Form of Amendment to the Customer Agreement among the
                  Partnership and MLF.

Exhibit 10.07(b)  Is filed herewith.
----------------                      

13.01             1996 Annual Report and Independent Auditors' Report.

Exhibit 13.01:    Is filed herewith.
-------------                       

28.01             Prospectus of the Partnership dated September 29, 1989.

Exhibit 28.01:    Is incorporated by reference as filed with the
-------------                                                   
                  Securities and Exchange Commission pursuant to Rule 424 under
                  the Securities Act of 1933, as amended, on October 10, 1989.

28.02             Prospectus of the Partnership dated December 14, 1990.

Exhibit 28.02:    Is incorporated by reference as filed with the
-------------                                                   
                  Securities and Exchange Commission pursuant to Rule 424 under
                  the Securities Act of 1933, as amended, on December 20, 1990.

28.03             Prospectus of the Partnership dated September 13, 1991.

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 1996.

                                      -20-
<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.
                              President, Chief Executive Officer 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 14, 1997 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.    President and Chief Executive Officer and Director       March 14, 1997
-------------------------
John R. Frawley, Jr.
 
/s/James M. Bernard        Chief Financial Officer, Treasurer (Principal Financial  March 14, 1997
-------------------------
James M. Bernard           and Accounting Officer) and Senior Vice President
 
/s/Jeffrey F. Chandor      Senior Vice President and Director of Sales,             March 14, 1997
-------------------------
Jeffrey F. Chandor         Marketing and Research, and Director
 
/s/Allen N. Jones          Director                                                 March 14, 1997
-------------------------
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.)

MERRILL LYNCH INVESTMENT      General Partner of Registrant     
 PARTNERS INC.

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

                                      -21-
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.

                                 1996 FORM 10-K

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


                  Exhibit                                                       
                  -------                                                       
                                                                                
Exhibit 10.06     Foreign Exchange Desk Service Agreement, dated July 1,        
                  1993 among Merrill Lynch Investment Bank, Merrill Lynch       
                  Investment Partners Inc., Merrill Lynch Futures Inc. and      
                  the Fund                                                      
                                                                                
Exhibit 10.07(a)  Form of Advisory and Consulting Agreement Amendment by        
                  and among Merrill Lynch Investment Partners Inc., each        
                  Advisor, the Fund and Merrill Lynch Futures Inc.              
                                                                                
Exhibit 10.07(b)  Form of Amendment to the Customer Agreement among the         
                  Partnership and MLF                                           
                                                                                
Exhibit 13.01     1996 Annual Report and Independent Auditors' Report           

                                      -22-
<PAGE>
 
                To the best of the knowledge and belief of the
                   undersigned, the information contained in
                     this report is accurate and complete.



                               James M. Bernard
                            Chief Financial Officer
                    Merrill Lynch Investment Partners Inc.
                              General Partner of
                       JOHN W. HENRY & CO./MILLBURN L.P.

                                     -23-