**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM10-Q**

 

| **(Mark One)**                                                                                                                                                                                                                           |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                     |
| **ý****QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES  EXCHANGE ACT OF 1934**                                                                                                                                   |
|                                                                                                                                                                                                                                     |
| **For the quarterly period ended  March 31, 2006**                                                                                                                                                                                       |
|                                                                                                                                                                                                                                     |
| **OR**                                                                                                                                                                                                                                   |
|                                                                                                                                                                                                                                     |
| **o****TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES  EXCHANGE ACT OF 1934**                                                                                                                                       |
|                                                                                                                                                                                                                                     |
| **For the transition period from                    to                ** |

 

**CommissionFile Number 0-28928**

 

**ML JWH STRATEGIC ALLOCATION FUND L.P.**

(Exact Name ofRegistrant asspecified in its charter)

 

| **Delaware**                                                    | ** ** | **13-3887922**                    |
|-----------------------------------------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of  incorporation or organization) |       | (IRS Employer Identification No.) |

 

**c/o Merrill Lynch Alternative Investments LLC**

**Princeton Corporate Campus**

**800 Scudders Mill Road – Section 2G**

**Plainsboro, New Jersey  08536**

 (Address of principal executiveoffices)

(Zip Code)

 

**609-282-6996**

(Registrant’stelephone number, including area code)

 

Indicateby check mark if the registrant is a well-known seasoned issuer, as defined inRule 405 of the Securities Act.

 

Yes o   No ý

 

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.

 

Yes o   No ý

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes ý   No o

 

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, to the bestof registrant’s knowledge, in definitive proxy or information statementsincorporated by reference in Part II of this Form 10-Q or any amendment to thisForm 10-Q.    ý

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” inRule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer o    Accelerated filero  Non-accelerated filer ý

 

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

 

Yes o   No ý

 

 

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**ML JWHSTRATEGIC ALLOCATION FUND L.P.**

 

QUARTERLY REPORTFOR MARCH 31, 2006 ON FORM 10-Q

 

Table of Contents

 
| ** ** | PART I                                                                                      | **2**  |
|------------|---------------------------------------------------------------------------------------------|--------|
|       |                                                                                        |   |
| Item 1.    | Financial Statements                                                                        | 2      |
|       |                                                                                        |   |
| Item  2.   | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 6      |
|       |                                                                                        |   |
| Item 3.    | Quantitative and Qualitative  Disclosures About Market Risk                                 | 9      |
|       |                                                                                        |   |
| Item 4.    | Controls and Procedures                                                                     | 9      |
|       |                                                                                        |   |
|       | PART II                                                                                     | 10     |
|       |                                                                                        |   |
| Item  1.   | Legal  Proceedings                                                                          | 10     |
|       |                                                                                        |   |
| Item  2.   | Changes  in Securities and Use of Proceeds                                                  | 10     |
|       |                                                                                        |   |
| Item  3.   | Defaults  Upon Senior Securities                                                            | 10     |
|       |                                                                                        |   |
| Item 4.    | Submission of Matters to a  Vote of Security Holders                                        | 10     |
|       |                                                                                        |   |
| Item 5.    | Other Information                                                                           | 10     |
|       |                                                                                        |   |
| Item 5a.   | Recent Sales of Unregistered  Securities: Uses of Proceeds From Registered Securities       | 10     |
|       |                                                                                        |   |
| Item 6     | Exhibits and Reports on Form  8-K                                                           | 10     |

 

1

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PART I - FINANCIALINFORMATION

 

Item1.    FinancialStatements

 

ML JWH STRATEGIC ALLOCATION FUND L.P.

(a Delaware limited partnership)

 

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

 
| ** **                                                           | ** ** | **March 31,**   | ** **    | **December 31,** | ** ** |
|----------------------------------------------------------------------|------------|-----------------|---------------|------------------|------------|
| ** **                                                           | ** ** | **2006**        | ** **    | **2005**         | ** ** |
| ** **                                                           | ** ** | **(unaudited)** | ** **    | ** **       | ** ** |
|                                                                 |       |            |          |             |       |
| **ASSETS:**                                                          |       |            |          |             |       |
| Equity in commodity futures trading accounts:                        |       |            |          |             |       |
| Cash                                                                 |       | $               | 1,079,529,275 |             | $          | 1,259,995,704 |   |
| Net unrealized  profit (loss) on open contracts                      |       | 74,979,803      |          | (4,725,026       | )          |
| Accrued interest                                                     |       | 4,423,807       |          | 4,186,964        |       |
| Subscriptions receivable                                             |       | 18,829          |          | 11,450           |       |
|                                                                 |       |            |          |             |       |
| **TOTAL  ASSETS**                                                    |       | $               | 1,158,951,714 |             | $          | 1,259,469,092 |   |
|                                                                 |       |            |          |             |       |
| **LIABILITIES, PARTNERS’ CAPITAL, AND MINORITY  INTEREST:**     |       |            |          |             |       |
| **LIABILITIES:**                                                     |       |            |          |             |       |
| Brokerage  commissions payable                                       |       | $               | 5,553,130     |             | $          | 6,034,745 |   |
| Profit share  payable                                                |       | —          |          | 6,312            |       |
| Redemptions  payable                                                 |       | 42,169,689      |          | 18,710,981       |       |
| Ongoing offering  costs payable                                      |       | 125,000         |          | 75,000           |       |
| Administrative  fees payable                                         |       | 262,281         |          | 283,221          |       |
|                                                                 |       |            |          |             |       |
| Total  liabilities                                                   |       | 48,110,100      |          | 25,110,259       |       |
|                                                                 |       |            |          |             |       |
| **PARTNERS’ CAPITAL:**                                          |       |            |          |             |       |
| General Partner (61,402 and 61,381 Units)                            |       | 11,736,812      |          | 12,613,943       |       |
| Limited Partner (5,749,383 and 5,944,149 Units)                      |       | 1,098,911,923   |          | 1,221,537,583    |       |
|                                                                 |       |            |          |             |       |
| Total partners’  capital                                        |       | 1,110,648,735   |          | 1,234,151,526    |       |
|                                                                 |       |            |          |             |       |
| **MINORITY INTEREST**                                                |       | 192,879         |          | 207,307          |       |
|                                                                 |       |            |          |             |       |
| **TOTAL  LIABILITIES, PARTNERS’ CAPITAL AND MINORITY INTEREST** |       | $               | 1,158,951,714 |             | $          | 1,259,469,092 |   |
|                                                                 |       |            |          |             |       |
| **NET ASSET VALUE PER UNIT**                                         |       |            |          |             |       |
| (Based on 5,810,785 and 6,005,530 Units outstanding)                 |       | $               | 191.14        |             | $          | 205.50 |   |

 

See notes toconsolidated financial statements.

 

2

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ML JWH STRATEGIC ALLOCATION FUND L.P.

(a Delaware limited partnership)

 

CONSOLIDATEDSTATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                                                        | ** ** | **For the three** | ** **   | **For the three** | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------------|--------------|-------------------|------------|
| ** **                                                                        | ** ** | **months ended**  | ** **   | **months ended**  | ** ** |
| ** **                                                                        | ** ** | **March 31,**     | ** **   | **March 31,**     | ** ** |
| ** **                                                                        | ** ** | **2006**          | ** **   | **2005**          | ** ** |
|                                                                              |       |              |         |              |       |
| **TRADING PROFITS (LOSSES):**                                                     |       |              |         |              |       |
|                                                                              |       |              |         |              |       |
| Realized                                                                          |       | $                 | (162,486,416 | )                 | $          | (159,267,497 | ) |
| Change in  unrealized                                                             |       | 79,717,443        |         | (87,583,755       | )          |
|                                                                              |       |              |         |              |       |
| Total trading  losses                                                             |       | (82,768,973       | )            | (246,851,252      | )          |
|                                                                              |       |              |         |              |       |
| **INVESTMENT INCOME:**                                                            |       |              |         |              |       |
|                                                                              |       |              |         |              |       |
| Interest                                                                          |       | 12,775,311        |         | 7,841,676         |       |
|                                                                              |       |              |         |              |       |
| **EXPENSES:**                                                                     |       |              |         |              |       |
|                                                                              |       |              |         |              |       |
| Brokerage  commissions                                                            |       | 16,662,811        |         | 17,521,677        |       |
| Administrative  fees                                                              |       | 786,970           |         | 824,312           |       |
| Ongoing offering  costs                                                           |       | 325,000           |         | —            |       |
|                                                                              |       |              |         |              |       |
| Total expenses                                                                    |       | 17,774,781        |         | 18,345,989        |       |
|                                                                              |       |              |         |              |       |
| **NET INVESTMENT LOSS**                                                           |       | (4,999,470        | )            | (10,504,313       | )          |
|                                                                              |       |              |         |              |       |
| **LOSS  BEFORE MINORITY INTEREST AND PROFIT SHARE ALLOCATION**                    |       | (87,768,443       | )            | (257,355,565      | )          |
|                                                                              |       |              |         |              |       |
| Profit share  allocation                                                          |       | —            |         | (6,363            | )          |
| Minority  interest in loss                                                        |       | 14,427            |         | 47,525            |       |
|                                                                              |       |              |         |              |       |
| **NET LOSS**                                                                      |       | $                 | (87,754,016  | )                 | $          | (257,314,403 | ) |
|                                                                              |       |              |         |              |       |
| **NET LOSS PER UNIT:**                                                            |       |              |         |              |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       | 6,062,449         |         | 5,594,898         |       |
|                                                                              |       |              |         |              |       |
| Net loss per  weighted average General Partner and Limited Partner Unit           |       | $                 | (14.48       | )                 | $          | (45.99 | ) |

 

See notes toconsolidated financial statements.

 

3

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ML JWH STRATEGICALLOCATION FUND L.P.

(a Delawarelimited partnership)

 

CONSOLIDATEDSTATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the threemonths ended March 31, 2006 and 2005

(unaudited)

 
| ** **                                  | ** ** | **Units** | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | **Total**     | ** ** |
|---------------------------------------------|------------|-----------|------------|----------------------|------------|-----------------------|------------|---------------|------------|
|                                        |       |      |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2004 |       | 5,269,462 |       | $                    | 13,425,275 |                  | $          | 1,358,373,840 |       | $ | 1,371,799,115 |   |
|                                        |       |      |       |                 |       |                  |       |          |       |
| Subscriptions                               |       | 592,845   |       | 1,557,017            |       | 134,249,033           |       | 135,806,050   |       |
|                                        |       |      |       |                 |       |                  |       |          |       |
| Net loss                                    |       |      |       | (2,441,902           | )          | (254,872,501          | )          | (257,314,403  | )          |
|                                        |       | —    |       |                 |       |                  |       |          |       |
| Redemptions                                 |       | (125,392  | )          | —               |       | (27,287,618           | )          | (27,287,618   | )          |
|                                        |       |      |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  March 31, 2005    |       | 5,736,915 |       | $                    | 12,540,390 |                  | $          | 1,210,462,754 |       | $ | 1,223,003,144 |   |
|                                        |       |      |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2005 |       | 6,005,530 |       | $                    | 12,613,943 |                  | $          | 1,221,537,583 |       | $ | 1,234,151,526 |   |
|                                        |       |      |       |                 |       |                  |       |          |       |
| Subscriptions                               |       | 303,858   |       | 4,888                |       | 58,752,324            |       | 58,757,212    |       |
|                                        |       |      |       |                 |       |                  |       |          |       |
| Net loss                                    |       | —    |       | (882,019             | )          | (86,871,997           | )          | (87,754,016   | )          |
|                                        |       |      |       |                 |       |                  |       |          |       |
| Redemptions                                 |       | (498,603  | )          | —               |       | (94,505,987           | )          | (94,505,987   | )          |
|                                        |       |      |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  March 31, 2006    |       | 5,810,785 |       | $                    | 11,736,812 |                  | $          | 1,098,911,923 |       | $ | 1,110,648,735 |   |

 

See notes toconsolidated financial statements.

 

4

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ML JWH STRATEGICALLOCATION FUND L.P.

(a Delawarelimited partnership)

 

NOTES TOCONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

In the opinion of management, the consolidatedfinancial statements contain all adjustments necessary to present fairly thefinancial position of ML JWH Strategic Allocation Fund L.P. (the “Partnership”)as of March 31, 2006, and the results of its operations for the three monthsended March 31, 2006 and 2005. However, the operating results for the interimperiods may not be indicative of the results for the full year.  These consolidated financial statementscontain the activities of both the Partnership and the joint venture in whichthe trading activities occur.

 

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in accordance with accountingprinciples generally accepted in the United States of America have (“US GAAP”) beenomitted.  It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto included in the Partnership’s Annual Report on form 10-K filedwith the Securities and Exchange Commission for the year ended December 31, 2005.

 

The preparation of financial statements in conformitywith US GAAP requires management to make estimates and assumptions that affectthe reported amounts of assets and liabilities and disclosure of contingentassets and liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

2.     FAIR VALUE ANDOFF-BALANCE SHEET RISK

 

The nature of this Partnership has certain risks,which cannot all be presented on the financial statements.  The following summarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of off-balancesheet market risk.  Changes in the levelor volatility of interest rates, foreign currency exchange rates or the marketvalues of the financial instruments or commodities underlying such derivativeinstruments frequently result in changes in the Partnership’s net unrealizedprofit (loss) on such derivative instruments as reflected in the ConsolidatedStatements of Financial Condition. The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Partnership as well as the volatility andliquidity of the markets in which the derivative instruments are traded.

 

The General Partner, Merrill Lynch AlternativeInvestments LLC (“MLAI”), has procedures in place intended to control marketrisk exposure, although there can be no assurance that they will, in fact,succeed in doing so.  These proceduresfocus primarily on monitoring the trading of John W. Henry & Co., Inc., (“JWH®”), the investment advisor, calculatingthe Net Asset Value of the Partnership as of the close of business on each dayand reviewing outstanding positions for over-concentrations.  While MLAI does not itself intervene in themarkets to hedge or diversify the Partnership’s market exposure, MLAI may urgeJWH® to reallocate positions in an attempt to avoidover-concentration.  However, suchinterventions are unusual.  Except incases in which it appears that JWH® has begun to deviate from pastpractice and trading policies or to be

 

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trading erratically, MLAI’s basic risk controlprocedures consist simply of the ongoing process of advisor monitoring, withthe market risk controls being applied by JWH® itself.

 

Credit Risk

 

The risks associated with exchange-traded contractsare typically perceived to be less than those associated with over-the-counter(non-exchange-traded) transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on the otherhand, traders must rely solely on the credit of their respective individualcounterparties.  Margins, which may besubject to loss in the event of a default, are generally required in exchangetrading, and counterparties may also require margin in the over-the-countermarkets.

 

The credit risk associated with these instruments fromcounterparty nonperformance is the net unrealized profit on open contracts, ifany, included in the Consolidated Statements of Financial Condition.  The Partnership attempts to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Partnership, in its normal course of business,enters into various contracts, with Merrill Lynch Pierce Fenner & SmithInc. (“MLPF&S”) acting as its commodity broker.  Pursuant to the brokerage agreement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Net unrealized profit (loss) on open contracts on theConsolidated Statements of Financial Condition.

 
| Item 2: | Management’s Discussion and Analysis of Financial |
|---------|--------------------------------------------------------|
|    | Condition and Results of Operations                    |

 

MONTH-END NETASSET VALUE PER UNIT

 

| ** ** | ** ** | **Jan** | ** ** | **Feb** | ** ** | **Mar** | ** ** |
|------------|------------|---------|------------|---------|------------|---------|------------|
| 2005       |       | $       | 224.16     |    | $          | 213.19  |       | $ | 213.18 |   |
| 2006       |       | $       | 198.52     |    | $          | 180.91  |       | $ | 191.14 |   |

 

PERFORMANCE SUMMARY

 

January 1, 2006 toMarch 31, 2006

 

The Partnership’s performance was an overall loss for the first quarterwith metals, stock indices, interest rates, and agriculture posting gains whileenergy and currencies posted losses.

 

The metals sector was the most profitable for the Partnership. Thequarter began with gold surging to a 25 year high and silver climbing to itshighest level since March 1984. This occurred because of concerns that the U.S.dollar may weaken because of higher oil prices, increasing the metal’s appealas a hedge against further declines in the U.S. currency. London copper pricesrose to a near record as production for the world’s mines are failing to keeppace with increased demand from countries like China, the world’s largest userof the metal. Gold, silver and copper continued the upward trend throughout thequarter.

 

The stock indices were profitable for the Partnership. European stockindices had their best January rally in eight years as energy stocks along withminers and steelmakers gained on expectations earnings would benefit fromhigher commodity prices. Leading the sector’s performance was the Nikkei (Osaka),which despite increased volatility caused by geopolitical events, approached adecade high. The middle of the quarter was

 

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volatile for the stock indices sector as Asian stocks posted theirfirst monthly decline since October 2005. The decline was short lived as Asianstocks approached a 16-year high on surging demand for metals and oil at theend of the quarter. The Nikkei 225 climbed above 17,000 for the first time inmore than five years. The All Ordinaries rose 8% this quarter, while the NasdaqComposite Index rose to a five year high.

 

The interest rate sector was profitable for the Partnership, however, thebeginning of the quarter was not profitable due the fact the fixed incomemarkets in the U.S., Europe and Japan sold off over fears of their respectivecentral banks raising interest rates. Performance in various marketscounterbalanced each other in the middle of the quarter.  The sector benefited from Japanese Governmentbonds, which was in a price decline. Eurodollar posted gains, which were offsetby losses in U.S. 30 year bonds, German bunds and bobl. The quarter ended withboth the Federal Reserve and the European Central Bank raising their respectiveinterest rates 25 basis points. The true catalyst for the sell-off was growingspeculation in the markets that both central banks would be forced to continueto raise rates after confidence reports released in both Europe and the U.S.(consumer confidence) on March 28th were much stronger thanexpected. The largest gains in this sector were achieved in the German bund andthe Japanese Government bond while the largest loss occurred in the Australian3-year bond as traders increased speculation that the Reserve Bank of Australiamay have to raise interest rates to keep pace with the Federal Reserve.

 

The agricultural sector was profitable for the Partnership.  The quarter began with record highs as aresult of the surging cost of crude oil which increased the demand for ethanol,a sugar cane by-product. Brazil, the biggest producer and exporter of sugar, isconveting more of its cane crop to ethanol to cope with record gasoline prices.New York (“N.Y.”) coffee rose to seven month highs as worldwide demand outpacedsupply. N.Y. coffee and N.Y. sugar hindered returns in the middle of thequarter while trading in CBOT (Chicago Board of Trade) wheat limited losses.CBOT wheat rose to a 20 month high on speculation that unusually hot, dryweather from Texas to Nebraska reduced U.S. production. The quarter ended withsugar prices in London rising to their highest levels since 1989 on speculationthat a jump in the cost of oil will force Brazil to direct more of its outputtowards producing ethanol. Wheat was weaker as rains revived winter wheat cropsin the U.S. great plains after four months of dry weather. Corn posted a lossfor this sector as prices in Chicago rose the most in eight months after U.S.farmers told the government they plan to slash this year’s plantings to thelowest levels since 2001. 

 

The energy sector was not profitable for the Partnership. Volatilitywithin the energy sector increased as oil and natural gas are now being used as“geopolitical weapons” by Iran, Russia, Venezuela and militants in Bolivia.Crude oil is up 41 percent from a year ago and 11 percent since the beginningof the first quarter. However, the gains were not enough to offset the lossesincurred in natural gas, which for the first time in almost six months droppedbelow $8 in New York. Natural gas fell 17 percent since the beginning of thequarter as mild weather in the largest U.S. consuming regions cut demand whichlimited the need for utilities to pull from reserves. The market continued tobe apprehensive over the unrest in Iran, Iraq, Nigeria and Saudi Arabia. Limitinglosses in the sector was natural gas, as prices fell to their lowest level inalmost nine months as U.S. stockpiles for the week ended February 17, 2006 werealmost 700 billion cubic feet above the five year average. The quarter endedwith crude oil rising to a two month high and gasoline surged as U.S. fuelsupplies declined. Prices fell after Iran stated it would not use crude oil asleverage in a dispute with western countries over its nuclear program.

 

The currencies sector was the least profitable for the Partnership. Theforeign exchange sector suffered losses as the U.S. dollar posted its biggestmonthly decline against the Euro since November 2004. This was due to themarket’s anticipation of the Federal Reserve’s removal of “measured pace” fromits statement after its meeting on January 31st. The Euro alsobenefited as the market waited for the European Central Bank’s meeting onFebruary 2, 2006 to raise borrowing costs as Europe’s economy strengthened. TheU.S. dollar also suffered losses against the Swiss franc, Japanese yen and theEuro. Investors no longer expect interest rate differentials to benefit the U.S.dollar as the spread narrowed between the U.S. and both European and Japaneseinterest rates. The U.S. dollar rose against the Euro in the middle of thequarter as new Federal Reserve Chairman, Ben S. Bernanke, stated that inflationmay quicken. His comments suggest further tightening by the Federal Reserve.The quarter ended as range-bound trading continued to negatively affect

 

7

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the Partnership’s long term trend following approach. Although somecurrencies had directional moves during the month, they were then accompaniedby strong reversals.

* *

January 1, 2005 toMarch 31, 2005

 

The energy sectorwas the best performing sector for the Partnership.  The quarter began with a loss due to higherenergy prices.  Events in the Middle Eastand bad weather dominated the sector’s price action.  Mid-quarter, energies rallied as commodityprices surged to a 24-year high due to signs of growing global demand foreverything energy-related. London gas oil and crude oil led performance afterthe U.S. government reported an unexpected decline in U.S. oil stockpiles. Thisraised concerns that refineries would have insufficient supplies for makinggasoline during peak summer demand. A Goldman Sachs prediction that crude oilprices could spike up to as high as $105 per barrel also bolstered the rise in oil prices.  In addition, the International Energy Agencyraised its prediction for global consumption for a third consecutive month, andforecasts of colder temperatures across Europe and the U.S. also helped todrive energy prices even higher.

 

The agriculturalcommodities sector was profitable for the Partnership for the quarter.  Wheat helped returns as prices fell, early inthe quarter, to a 20-month low after a report showed that U.S. exports slowedwhen the European Union indicated it would subsidize exports of the grain forthe first time since June 2003.  Cornslightly boosted returns as prices fell to the lowest level since June 2001 onslumping demand for record supplies in the U.S., which is the world’s largestproducer and exporter of the grain.  Theforecasted dry season in Brazil was the driving factor behind the majority ofthe agricultural price movements mid-quarter. The Partnership was able to benefit from rising New York (“NY”) coffeeprices as production declined and stocks held by roasters and producers fell totheir lowest level in 15 years.  Profitsfrom the rally in NY coffee caused by this forecast were enough to offset thecombined losses in various other agricultural markets including corn, wheat andsoybeans.  Soybean prices rose in Chicagoamid speculation that the four-week drought in Brazil will reduce the harvestof the world’s second biggest crop. Wheat prices rose, later in the quarter, onspeculation that importers will increase purchases of U.S. supplies.

 

The stock indicessector was profitable for the quarter. Losses occurred in the beginning of the quarter resulting from a selloff in world equity markets, as stocks weakened because energy prices roseduring January.  Stock indices posted again mid-quarter as the Nikkei rallied on hopes that quicker U.S. growth wouldhelp Japan start an export-led economic recovery. However, at the end of thequarter, higher bond yields and oil prices made equities less attractive toinvestors as inflationary pressures started to weigh on the globaleconomy.  In addition, stocks dropped asAmerican International Group Inc., the world’s largest insurer, lost its topcredit rating.  In addition, GeneralMotors, the world’s third largest borrower, announced that it was forecastingits biggest quarterly loss since 1992. The largest gain was achieved in theNasdaq e-mini, while the largest loss occurred in the Nikkei.  

 

The metals sectorwas unprofitable for the quarter.  Theloss in metals was due to the weakness in both gold and aluminum.  Gold, which recently has had a strong inverserelationship with the U.S. dollar, came under pressure as the U.S. dollarstrengthened throughout the beginning of the quarter.  Aluminum sustained losses as supply increasesin Shanghai put pressure on the market. The metals sector posted negative returns, as inflation fears in theU.S. pushed gold prices higher.  Risingenergy prices also bolstered the appeal of the precious metals as a hedgeagainst inflation. London copper prices rose after government reports showedJapan’s industrial production gained in January. The largest gain in thissector was achieved in copper, while the largest loss occurred in gold.  

 

The interest ratesector was unprofitable for the quarter. A significant portion of the losseswere directly related to the fixed income sector as the European, Japanese andU.S. bond markets sold off.  The catalystfor the dramatic move higher in world interest rates was the cumulative effectof increases in both energy prices and inflation expectations. On February 10th,the benchmark U.S. ten-year Treasury note fell from recent highs after joblessclaims unexpectedly declined, exports rose, and the U.S. government sold $14billion ten-year notes at a higher-than-expected yield, a sign of weak demand.Federal Reserve Chairman Alan

 

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Greenspan’stestimony, prepared for the Senate Banking Committee, further added pressure tothe sector as he stated that the decline in long-term interest rates during thepast year “remains a conundrum”. The release of a higher-than-expected ProducerPrice Index (+0.8 vs. +0.2) in the U.S. helped to spark inflation fearsworldwide and added further to the fixed-income markets’ decline. The largestloss occurred in the Japanese government bond. 

 

The currencysector was the most unprofitable sector in the quarter.  The single most influential factor drivingperformance in this sector was the U.S. dollar. A significant portion of the loss in the beginning of the quarter wasdirectly related to the strength of the U.S. dollar against most majorcurrencies.  The weak U.S. dollar trend,which had dominated the markets during the second half of last year, began toreverse itself as market expectations of a Yuan revaluation by the Chinesecentral bank began to diminish.  Theweakness of the Japanese yen against the U.S. dollar mid-quarter also hurtperformance. On February 10th, the U.S. dollar rose to a three-monthhigh against the Japanese yen after a Commerce Department report showed theU.S. trade deficit narrowed in January from a previous record high. The recentdollar strength began when Federal Reserve Chairman Alan Greenspan predictedthat the deficit in the U.S. current account, the broadest measure of trade,may shrink. Further adding to the Japanese yen’s weakness were reports thatshowed Japanese household spending and industrial output had dropped inDecember 2004, and that Japan had officially fallen into a recession for thefourth time since 1991.  Additionallosses in this sector occurred as the Swiss franc rose against the U.S. dollaron speculation that the Swiss National Bank would raise its target interestrate.  The largest gain in this sectorwas achieved in the Japanese yen, while the largest loss occurred in the Swissfranc.

 

Item 3.   Quantitative and Qualitative DisclosuresAbout Market Risk

 

Not applicable

 

Item 4. Controls and Procedures 

 

Merrill LynchAlternative Investments LLC, the General Partner of ML JWH Strategic AllocationFund L.P.,

 

with theparticipation of the General Partner’s Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design and operationof its disclosure controls and procedures with respect to the Partnership as ofthe end of the period of this quarterly report, and, based on this evaluation,has concluded that these disclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Partnership’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

9

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PART II - OTHERINFORMATION

 

Item 1.            LegalProceedings

 

Neither the Partnership nor MLAI has ever been the subject of anymaterial litigation.  Merrill Lynch isthe 100% indirect owner of MLAI, MLPF&S and all other Merrill Lynchentities involved in the operation of the Partnership.  Merrill Lynch as well as certain of itssubsidiaries and affiliates have been named as defendants in civil actions,arbitration proceedings and claims arising out of their respective businessactivities. Although the ultimate outcome of these actions cannot be predictedat this time and the results of legal proceedings cannot be predicted withcertainty, it is the opinion of management that the result of these matterswill not be materially adverse to the business operations or the financialcondition of MLAI or the Partnership.

 

Item 2.            Changesin Securities and Use of Proceeds

 

      (a) None.

 

      (b) None.

 

      (c) None.

 

(d) ThePartnership originally registered 2,000,000 units of limited partnershipinterest.  The Partnership subsequentlyregistered an additional 10,508,667 units of limited partnership interest.  

 

As of March 31,2006, the Partnership has sold 17,267,323 units of limited partnershipinterest, with an aggregate price of $1,912,697,498. 

 

Item 3.          DefaultsUpon Senior Securities

 

None.

 

Item 4.          Submissionof Matters to a Vote of Security Holders

 

None.

 

Item5           Other Information

 

None

 

Item 5 (a)                Recent Sale of Unregistered Securities;Uses of Proceeds From Registered Securities:

 

Notapplicable

 

Item 6.          Exhibitsand Reports on Form 8-K.

 

(a) Exhibits

 

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The followingexhibits are incorporated by reference or are filed herewith to this QuarterlyReport on Form 10-Q:

 

31.01 and 

31.02       Rule13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02:              Arefiled herewith.

 

32.01 and

 

32.02                       Section1350 Certifications

 

Exhibit 32.01

and 32.02               Arefiled herewith.

 

(b) Reports on Form 8-K.

 

There were no reports on Form 8-K filed during the first three monthsof fiscal 2006.

 

11

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SIGNATURES

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|               | ML JWH STRATEGIC  ALLOCATION FUND L.P.         |
|--------------------|------------------------------------------------|
|               |                                           |
|               | By: MERRIL LYNCH ALTERNATIVE                   |
| ** **         | **INVESTMENTS  LLC**                           |
|               | (General Partner)                              |
|               |                                           |
|               |                                           |
| Date: May 15, 2006 | By                                             | /s/ ROBERT M. ALDERMAN |   |
|               | Robert M. Alderman                             |
|               | Chief Executive Officer, President and Manager |
|               | (Principal Executive Officer)                  |
|               |                                           |
|               |                                           |
|               |                                           |
| Date: May 15, 2006 | By                                             | /s/ MICHAEL L. PUNGELLO |   |
|               | Michael L. Pungello                            |
|               | Vice President, Chief Financial Officer        |
|               | and Treasurer                                  |
|               | (Principal Financial and Accounting Officer)   |
|                    |                                                |  |  |  |  |

 

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