<Page>

                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

(Mark One)

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2003

                       OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
   EXCHANGE ACT OF 1934

For the transition period from _________ to _________

Commission File Number 0-28928

                      ML JWH STRATEGIC ALLOCATION FUND L.P.
                      -------------------------------------
                          (Exact Name of Registrant as
                            specified in its charter)

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

                  c/o Merrill Lynch Alternative Investments LLC
                           Princeton Corporate Campus
                       800 Scudders Mill Road - Section 2G
                          Plainsboro, New Jersey 08536
                          ----------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                  609-282-6996
                  --------------------------------------------
              (Registrant's telephone number, including area code)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes /X/ No / /

<Page>

                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

                      ML JWH STRATEGIC ALLOCATION FUND L.P.
                      ------------------------------------
                        (A Delaware Limited Partnership)
                        --------------------------------
                 CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
                 ----------------------------------------------

<Table>
<Caption>
                                                              SEPTEMBER 30,        DECEMBER 31,
                                                                  2003               2002
                                                              (UNAUDITED)
                                                            -----------------   -----------------
<S>                                                          <C>                 <C>
ASSETS
Equity in commodity futures trading accounts:
  Cash and options premium                                   $   556,233,245     $   309,093,654
  Net unrealized profit on open contracts                         26,239,871          33,411,491
Accrued interest                                                     485,573             338,254
Subscriptions receivable                                              18,498                   -
                                                            -----------------   -----------------

      Total assets                                           $   582,977,187     $   342,843,399
                                                            =================   =================

LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
  Brokerage commissions payable                              $     2,765,532     $     1,546,360
  Profit share payable                                             5,827,067          20,144,968
  Redemptions payable                                              1,722,051           2,554,115
  Ongoing offering costs payable                                     120,241              12,500
  Administrative fees payable                                        120,241              67,233
                                                            -----------------   -----------------

      Total liabilities                                           10,555,132          24,325,176
                                                            -----------------   -----------------

MINORITY INTEREST                                                    234,402             220,555

PARTNERS' CAPITAL:
  General Partner (23,142 and 15,665 Units)                        5,390,463           3,438,707
  Limited Partners (2,433,336 and 1,434,337 Units)               566,797,190         314,858,961
                                                            -----------------   -----------------

      Total partners' capital                                    572,187,653         318,297,668
                                                            -----------------   -----------------

        TOTAL                                                $   582,977,187     $   342,843,399
                                                            =================   =================

NET ASSET VALUE PER UNIT
  (Based on 2,456,478 and 1,450,002 Units outstanding)       $        232.93     $        219.52
                                                            =================   =================
</Table>

See notes to consolidated financial statements.

                                        2
<Page>

                      ML JWH STRATEGIC ALLOCATION FUND L.P.
                      -------------------------------------
                        (A Delaware Limited Partnership)
                        --------------------------------

                      CONSOLIDATED STATEMENTS OF OPERATIONS
                      -------------------------------------
                                   (unaudited)

<Table>
<Caption>
                                                      FOR THE THREE      FOR THE THREE        FOR THE NINE        FOR THE NINE
                                                       MONTHS ENDED       MONTHS ENDED        MONTHS ENDED        MONTHS ENDED
                                                      SEPTEMBER 30,       SEPTEMBER 30,       SEPTEMBER 30,       SEPTEMBER 30,
                                                          2003               2002                2003                2002
                                                    ----------------    ----------------    ----------------    ----------------
<S>                                                  <C>                 <C>                 <C>                 <C>
REVENUES:
  Trading income (loss):
    Realized                                         $  (97,324,839)     $   94,319,676      $   29,561,940      $  120,491,181
    Change in unrealized                                 65,082,543         (22,453,299)         (7,164,145)         12,862,558
                                                    ----------------    ----------------    ----------------    ----------------

      Total trading results                             (32,242,296)         71,866,377          22,397,795         133,353,739
                                                    ----------------    ----------------    ----------------    ----------------

  Interest income                                         1,391,373           1,533,008           3,853,298           3,354,794
                                                    ----------------    ----------------    ----------------    ----------------

      Total revenues                                    (30,850,923)         73,399,385          26,251,093         136,708,533
                                                    ----------------    ----------------    ----------------    ----------------

EXPENSES:
  Administrative fees                                       363,257             215,463             935,249             534,605
  Brokerage commissions                                   8,354,913           4,955,662          21,510,722          12,295,917
  Ongoing offering expense                                  363,257              37,500             803,206              37,500
                                                    ----------------    ----------------    ----------------    ----------------

      Total expenses                                      9,081,427           5,208,625          23,249,177          12,868,022
                                                    ----------------    ----------------    ----------------    ----------------

  INCOME (LOSS) BEFORE MINORITY
  INTEREST AND PROFIT SHARE
  ALLOCATION                                            (39,932,350)         68,190,760           3,001,916         123,840,511

  Profit Share Allocation                                   (33,895)        (13,882,433)         (5,827,067)        (20,090,778)
  Minority Interest in (income) loss                         15,894             (37,233)            (13,846)            (70,382)
                                                    ----------------    ----------------    ----------------    ----------------

NET INCOME (LOSS)                                    $  (39,950,351)     $   54,271,094      $   (2,838,997)     $  103,679,351
                                                    ================    ================    ================    ================

NET INCOME (LOSS) PER UNIT:

  Weighted average number of General Partner
    and Limited Partners Units outstanding                2,348,237           1,464,316           1,938,837           1,486,772
                                                    ================    ================    ================    ================

  Net income (loss) per weighted average
    General Partner and Limited Partner Unit         $       (17.01)     $        37.06      $        (1.46)     $        69.73
                                                    ================    ================    ================    ================
</Table>

See notes to consolidated financial statements.

                                        3
<Page>

                      ML JWH STRATEGIC ALLOCATION FUND L.P.
                      -------------------------------------
                        (A Delaware Limited Partnership)
                        --------------------------------

             CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
             -------------------------------------------------------
              For the nine months ended September 30, 2003 and 2002
              -----------------------------------------------------
                                   (unaudited)

<Table>
<Caption>

                                                        GENERAL             LIMITED
                                     UNITS              PARTNER             PARTNERS              TOTAL
                                ----------------    ----------------    ----------------    ----------------
<S>                                   <C>            <C>                 <C>                 <C>
PARTNERS' CAPITAL,
  December 31, 2001                   1,494,282      $    2,556,954      $  251,420,036      $  253,976,990

Additions                               132,329             100,924          24,012,884          24,113,808

Net income                                    -           1,091,950         102,587,401         103,679,351

Redemptions                            (201,032)                  -         (39,624,800)        (39,624,800)
                                ----------------    ----------------    ----------------    ----------------

PARTNERS' CAPITAL,
  September 30, 2002                  1,425,579      $    3,749,828      $  338,395,521      $  342,145,349
                                ================    ================    ================    ================

PARTNERS' CAPITAL,
  December 31, 2002                   1,450,002      $    3,438,707      $  314,858,961      $  318,297,668

Additions                             1,131,423           1,966,291         286,643,300         288,609,591

Net income (loss)                             -              17,865          (2,856,862)         (2,838,997)

Redemptions                            (124,947)            (32,400)        (31,848,209)        (31,880,609)
                                ----------------    ----------------    ----------------    ----------------

PARTNERS' CAPITAL,
  September 30, 2003                  2,456,478      $    5,390,463      $  566,797,190      $  572,187,653
                                ================    ================    ================    ================
</Table>

See notes to consolidated financial statements.

                                        4
<Page>

                      ML JWH STRATEGIC ALLOCATION FUND L.P.
                      -------------------------------------
                        (A Delaware Limited Partnership)
                        --------------------------------

                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                                   (unaudited)

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     These consolidated financial statements have been prepared without audit.
     In the opinion of management, the consolidated financial statements contain
     all adjustments (consisting of only normal recurring adjustments) necessary
     to present fairly the financial position of ML JWH Strategic Allocation
     Fund L.P. (the "Partnership") as of September 30, 2003, and the results of
     its operations for the three and nine months ended September 30, 2003 and
     2002. However, the operating results for the interim periods may not be
     indicative of the results for the full year.

     Certain information and footnote disclosures normally included in annual
     financial statements prepared in conformity with accounting principles
     generally accepted in the United States of America have been omitted. It is
     suggested that these financial statements be read in conjunction with the
     financial statements and notes thereto included in the Partnership's Annual
     Report on Form 10-K filed with the Securities and Exchange Commission for
     the year ended December 31, 2002.

2.   FAIR VALUE AND OFF-BALANCE SHEET RISK

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

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

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

     The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI
     LLC"), has procedures in place intended to control market risk exposure,
     although there can be no assurance that they will, in fact, succeed in
     doing so. These procedures focus primarily on monitoring the trading
     of John W. Henry & Company ("JWH(R)"), calculating the Net Asset Value
     of the Partnership as of the close of business on each day and reviewing
     outstanding positions for over-concentrations. While MLAI LLC does not
     itself intervene in the markets to hedge or diversify the Partnership's
     market exposure, MLAI LLC may urge JWH(R) to reallocate positions in an
     attempt to avoid over-concentrations. However, such interventions are
     unusual. Except in cases in which it appears that JWH(R) has begun to
     deviate from past practice or trading policies or to be trading
     erratically, MLAI LLC's basic risk control procedures consist simply of
     the ongoing process of advisor monitoring, with the market risk controls
     being applied by JWH(R) itself.

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

     The risks associated with exchange-traded contracts are typically perceived
     to be less than those associated with over-the-counter
     (non-exchange-traded) transactions, because exchanges typically (but not
     universally) provide clearinghouse arrangements in which the collective
     credit (in some cases limited in amount, in some

                                        5
<Page>

     cases not) of the members of the exchange is pledged to support the
     financial integrity of the exchange. In over-the-counter transactions, on
     the other hand, traders must rely solely on the credit of their respective
     individual counterparties. Margins, which may be subject to loss in the
     event of a default, are generally required in exchange trading, and
     counterparties may also require margin in the over-the-counter markets.

     The credit risk associated with these instruments from counterparty
     nonperformance is the net unrealized profit on open contracts, if any,
     included in the Consolidated Statements of Financial Condition. The
     Partnership attempts to mitigate this risk 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 & Smith Inc. ("MLPF&S")
     acting as its commodity broker. Pursuant to the brokerage agreement with
     MLPF&S (which includes a netting arrangement), to the extent that such
     trading results in receivables from and payables to MLPF&S, these
     receivables and payables are offset and reported as a net receivable or
     payable and included in the Consolidated Statements of Financial Condition
     under Equity in commodity futures trading accounts.

Item 2:   Management's Discussion and Analysis of Financial
          Condition and Results of Operations


                       MONTH-END NET ASSET VALUE PER UNIT

<Table>
<Caption>
                    JAN        FEB        MAR        APR       MAY        JUN        JUL       AUG        SEP
          ----------------------------------------------------------------------------------------------------
          <S>     <C>        <C>        <C>        <C>       <C>        <C>        <C>       <C>       <C>
          2002    $168.42    $162.64    $154.17    $155.57   $168.98    $202.97    $217.66   $226.06   $240.00
          ----------------------------------------------------------------------------------------------------
          2003    $251.24    $269.78    $251.98    $258.85   $272.23    $248.88    $247.63   $256.91   $232.93
          ----------------------------------------------------------------------------------------------------
</Table>

Performance Summary

January 1, 2003 to September 30, 2003
-------------------------------------

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the interest rate, energy, stock index and
currency sectors and losses in the metals and agricultural commodity sectors.
Overall, for the quarter, the Partnership experienced a positive rate of return
of almost 15%.

Interest rate futures were the best performers for the quarter. Interest rates
continued to push lower as economic data for the fourth quarter announced an
annual growth rate for the economy of about 1% for 2002. Consumer spending and
confidence remained low and even the housing market stumbled in March. The
global fixed income markets continued their upward climb until mid-March when
expectations of a short conflict triggered the liquidation of many fixed income
investments hurting long exposures.

Energy was also a strong performer for the quarter. With the continuation of the
strike in Venezuela, the tensions with Iraq and the cold winter, long positions
in oil and natural gas were profitable in the beginning of the year. In
February, the best performing month, natural gas prices rose nearly 40% in a
single day citing expected severely cold weather and supply shortages. Prices
plummeted within a week of the start of the war with Iraq, causing the loss of
almost half of the profits earned in January and February.

Trading in stock indices posted gains for each of the months in the quarter.
European stock markets attempted to start the year with some optimism only to
succumb to eroding prices throughout the quarter. Global economies suffered
throughout the quarter, however in mid-March the equities market did react with
the currency and fixed income markets. Equities appeared to be more in tune to
the overall market fundamental and were quick to resume their downward trend.

                                        6
<Page>

The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing to decline as it has for over a year and
the Partnership was well positioned to capitalize on its U.S. dollar positions
against other currencies. In March, on hopes that the war with Iraq would be
short, the U.S. dollar strengthened and returned some of the profits earned
early in the year.

The metals sector had slight losses for the quarter. Gold drove profits in
January as it continued its run up. The general perception of risks in the
financial markets and the geopolitical situation unfolding was the main driver
for the gold market in January. The Partnership sustained losses in February as
the long bias in precious metals hurt the portfolio when gold reversed its
rising trend in February with the announcement that the German Bundesbank had
sold a portion of its gold reserves. Industrial metals markets were choppy
throughout the quarter.

Trading in agricultural commodities posted losses for the quarter. The
Partnership held positions in sugar, corn, wheat, cocoa, coffee and the soybean
complex. Agricultural trading represents about 5% of the Partnership's trading.


April 1, 2003 to June 30, 2003

The Partnership experienced gains in the stock index, interest rate, and
currency sectors and losses in the agricultural commodity, energy and metal
sectors. Overall, for the quarter, the Partnership experienced losses.

Trading in the stock index sector was profitable for the Partnership. After a
volatile April and May, a rally in the Nikkei started in June after the Bank of
Japan was proactive in helping the distressed Japanese banking group, Resona
Holdings Inc. This helped to inject confidence in the Japanese financial system
which contributed to gains in this sector for June.

Interest rate futures were a strong performer for the quarter. The majority of
the profits from this sector came from the Japanese ten-year Government Bonds,
which continues to be a very vibrant market for trading, as the Japanese economy
falls further into the economic abyss. A turn in the market and increasing
yields hurt performance in June, particularly in the longer end of the yield
curve.

Stock indices trading posted gains for the quarter. The bulk of the profits in
April and May were attributed to a weakening U.S. dollar although some profits
were given back in June as the trend reversed. The past few months have
witnessed investors seeking higher yields than readily available in U.S. dollar
denominated assets. This has led to the sale of U.S. dollars against major
currencies.

Agricultural commodities trading was not profitable for the Partnership this
quarter. Trading was volatile during the quarter with the largest contributors
being coffee, cotton and cocoa.

The energy sector posted losses this quarter. The sector had a positive return
in April which was reversed and overshadowed by negative results for May and
June. The vast majority of the losses occurred in natural gas, which was very
volatile during June. Recent cooler weather in the northern states and the
largest storage injection on record in the U.S. released on June 20th reversed
the market, pushing it to the lows of the month. Crude oil was also down for the
month in volatile trading.

The metals sector was the worst performer for the quarter. After rallying for
most of April and May, gold fell by over 5% in June. The other components were
also down due to the inability of other metals to trend in this environment.


                                       7
<Page>

July 1, 2003 to September 30, 2003

The Partnership was profitable in the stock index and metals sectors and
unprofitable in the interest rate, currency, agricultural commodities and
energy sectors.  Overall, the Partnership incurred losses for the quarter.

Trading in stock indices provided the Partnership with profits for the
quarter. Most major stock indices were higher in July and August, however, it
appeared that they did so in an almost reluctant fashion. This could be the
effect of some of the lingering problems that still exist in the U.S., such
as the large current account deficit, low savings rate, and excess corporate
and personal debt. Better than expected earnings in the U.S. and increased
foreign investment in Japan bolstered both the U.S. Nasdaq market and Japan's
Osaka Nikkei market.  The reluctant rise in global equities for the past few
months reversed in September under the weight of the renewed skepticism of a
global economic recovery causing the Partnership to return some profits.

The metals sector was also profitable for the quarter.  Gold performed
negatively in July since it had been trading in lock step with the euro for
the past few months. The strength in the U.S. dollar and weakness in the euro
has translated into lower gold prices.  Gold's performance turned around in
August and September on renewed buying interest from the speculative
community and because of anticipated higher inflation as a result of the
Federal Reserve's monetary policy and the U.S.'s increased budget deficits.
The base metal complex had mixed results for the quarter due to volatile
conditions which made trading difficult.

Interest rate futures trading incurred losses for the Partnership. The upward
trend in bond prices that began in April of this year has ended. Economic
releases, particularly in the U.S., have been positive.  The Institute for
Supply Management Index registered over 50 in July (51.8) for the first time
since February. The Federal Reserve's Beige Book released at the end of the
July showed improvement in U.S. manufacturing activity and new orders in June
and July. Unfortunately, not all of the good economic news was to the
Partnership's benefit. The optimism in Japan sent the price of the ten-year
government bond spiraling down from massive liquidation as the ten-year
interest rate tripled. This created the large losses in July, however the
Partnership capitalized on the plummeting prices of Japanese ten-year
government bonds in August.  Unfortunately, the recovery of the Japanese
ten-year government bonds in September caused great losses for the
Partnership.  Losses for the quarter were also generated from the U.S.
ten-year and 30-year bonds and the European bunds.

Trading in the currency sector was unprofitable.  Large losses were posted
for July due to positive economic news in the U.S., which helped to
strengthen the U.S. dollar. The currency sector rebounded in August and
September. The U.S. dollar strengthened against most major currencies, with
the exception of the Japanese yen. The U.S. dollar lost strength against the
Japanese yen because the Bank of Japan did not intervene in the market, as it
has done for most of the year, supporting a weak Japanese yen policy, and
inflows for Japanese securities were up dramatically during August. During
September, the Group of Seven stated that exchange rates should reflect
economic fundamentals and that there should be greater flexibility in
exchange rates, particularly in Asian currencies. The immediate reaction was
a weakening of the U.S. dollar against most major currencies changing the
market direction again, creating a difficult trading environment.

                                       8

<Page>

Trading in agricultural commodities incurred losses for the Partnership for
the quarter. The downward trend in grains that started in June reversed in
the beginning of August due to harsh weather conditions. This diminished
prospects for a large harvest season, forcing the speculators to cover short
positions. Corn and cotton suffered the largest losses. New York sugar also
incurred a loss due to heavy Brazilian producer selling, forcing the market
down. Live cattle continued an upward trend and produced positive results for
this quarter.  Soybeans, bean oil and soy meal continue to trend higher due
to lower U.S. production and increased global demand.

The energy sector was the most unprofitable sector for the quarter. Gains in
July and August were reversed sharply in September. On September 24th, OPEC
agreed to cut quotas by 900,000 barrels a day in order to stabilize the price
of oil.  This surprise announcement quickly reversed the previous downtrend,
sending prices higher.  However, this announcement had no effect on natural
gas, which continues to trend lower due to increasing inventories and
favorable climate conditions.  Unfortunately, the profits in natural gas were
not enough to compensate for the losses in crude oil, heating oil, London gas
oil and unleaded gas.

January 1, 2002 to September 30, 2002
-------------------------------------

January 1, 2002 to March 31, 2002

Trading in the energy markets was profitable. Trading in natural gas and crude
oil resulted in gains. All markets posted gains in March, as crude and Brent
oil, gas oil, heating oil and unleaded gas produced profits.

Metals trading was moderately profitable. The Japanese government announced that
at the end of March they would no longer guarantee time deposits in excess of
ten million yen. Concerned Japanese citizens purchased physical gold, causing a
rally. Profits were realized in copper, zinc, nickel and silver as industrial
demand in anticipation of a strong global economic recovery pushed prices
higher.

Losses were posted across the board in agricultural commodity trading. Soybean
and sugar combined for the largest losses. The sector was flat by quarter end.

Stock index trading was unprofitable as volatile conditions made it difficult to
generate profits. Losses were realized in the Nikkei, DAX, Eurostoxx and NASDAQ
indices.

The interest rate sector sustained losses throughout the quarter. Optimism
surrounding the Japanese government's proposed anti-deflation measures had a
negative effect on Japanese government bonds. The sector as a whole was
unprofitable, as U.S. and Japanese interest rate contracts were unprofitable.

Significant losses occurred in the currency markets. The U.S. dollar weakened
against major currencies, particularly the Japanese yen. The sector performed
poorly, specifically the U.S. dollar/Japanese yen cross trades, as Japanese
fiscal year-end considerations made trading extremely volatile. Positions in
Swiss franc, Euro and British pound also turned in negative performances.

April 1, 2002 to June 30, 2002

Profits resulting from trading in the currency sector provided the Partnership
with an over 33% rate of return (on the total net assets of the Partnership) for
the second quarter. Strong trends developed from a weakening U.S. dollar, which
continued through June. Most of the major currencies made new highs versus the
U.S. dollar in June.

The trading in stock indices found profits from its short positions. Worldwide
equity markets attempted to move higher, but failed and resumed their downtrend.

The interest rate sector was profitable for the Partnership despite its slow
start. The quarter began with a loss as interest rates were particularly
sensitive to economic data that was released, and more so to its varied
interpretations. By quarter end, the Partnership profited from a strong bond
market, which benefited from the weakness in the stock market and unchanged
interest rates.

The metals sector sustained slight losses for the quarter. In June, the uptrend
in gold reversed and losses were sustained on a long position eliminating slight
profits earned earlier in the quarter.

Losses were experienced in the agricultural commodities markets. Positions in
coffee, corn and soybean meal were mostly to blame.

                                       9
<Page>

Energy produced losses for the Partnership. Fears of possible supply disruption
abated, stifling a previously strong uptrend. In June, a good crude supply
coupled with tensions in the Middle East provided negative returns for the
month.

July 1, 2002 to September 30, 2002

Economic numbers in the United States suggested that the economy was
stabilizing, however, consumer confidence continued to deteriorate fueling the
bond rallies in the quarter. As the U.S. economy slowed down, the rest of the
world also suffered. Economists continued to revise their world growth estimates
for 2003 downward under 4%. Consequently, the interest rate sector was the best
performing sector for the quarter. Interest rate trading represented 30% of the
trading in the Partnership. The sector brought in gross returns of over 20% for
the quarter.

Equity markets were under heavy pressure from poor corporate earnings,
accounting irregularities and a general global economic slowdown. Volatility was
at a high level, keeping bargain hunters from re-entering the markets. All
components of the stock index sector, which represents 13% of the trading in the
Partnership, were up, making this the second most profitable sector for the
quarter.

Volatile energy markets kept profits low in this sector until September when
more distinct profits were produced. Energy represented 17% of the Partnership's
trading. Crude oil continued to climb as possible military conflict in Iraq
looms. Inventories were showing a decline in storage facilities. The level at
the end of the quarter was the lowest since the data started to be collected in
1984. The inventory tightness could have been explained by the recent government
stockpiling by the U.S., Japan, China and Europe, counteracting any production
disruption attempt by Iraq. Natural gas was also strong during September as the
hurricane season kicked up in the Gulf of Mexico.

Agriculture commodities provided positive returns. Hot, dry weather conditions
in the U.S., China and South America kept various grains prices up throughout
most of the quarter. As harvest estimates rose late in the quarter, the sector
returned some profits.

Metals produced losses for the quarter. A choppy market for industrial metals
prevented profits. Precious metals experienced similar choppy conditions. Gold
appears to have been the most popular investment metal, but producers were
hesitant to hedge at current levels and limit their upside potential.

Currencies produced the highest losses for the quarter. Foreign assets were
being sold by international investors and currencies repatriated to their home
country. Global cash balances are high creating a difficult market for the
Partnership in major currencies. Currency trading represents 27% of the
Partnership's trading and brought in losses of more than 6%.

                                       10
<Page>

Item 3.  Quantitative and Qualitative Disclosure About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Alternative Investments LLC, the General Partner of ML JWH
Strategic Allocation Fund L.P., with the participation of the General Partner's
Chief Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                       11
<Page>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending proceedings to which the Partnership or MLAI LLC
          is a party.

Item 2.   Changes in Securities and Use of Proceeds

          (a) None.
          (b) None.
          (c) None.
          (d) The Partnership originally registered 2,000,000 units of
          limited partnership interest. The Partnership subsequently registered
          an additional 3,310,000 units of limited partnership interest. As of
          September 30, 2003, the Partnership has sold 5,186,279 units of
          limited partnership interest, with an aggregate price of $844,465,614.

          Effective October 14, 2003, the Partnership registered an
          additional 2,738,667 units of limited partnership interest.

Item 3.   Defaults Upon Senior Securities

          None.

Item 4.   Submission of Matters to a Vote of Security Holders

          None.

Item 5.   Other Information

          None.

Item 6.   Exhibits and Reports on Form 8-K.

             (a) Exhibits

             There are no exhibits required to be filed as part of this report.

             (b) Reports on Form 8-K.

             There were no reports on Form 8-K filed during the first nine
             months of fiscal 2003.

                                       12
<Page>

                                   SIGNATURES

Pursuant to the requirements 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.


                               ML JWH STRATEGIC ALLOCATION FUND L.P.


                                 By: MERRIL LYNCH ALTERNATIVE
                                      INVESTMENTS  LLC
                                       (General Partner)


Date: November 14, 2003        By /s/ ROBERT M. ALDERMAN
                                  ----------------------
                                 Robert M. Alderman
                                 Chairman, Chief Executive Officer and Manager
                                 (Principal Executive Officer)


Date: November 14, 2003        By /s/ MICHAEL L. PUNGELLO
                                  -----------------------
                                 Michael L. Pungello
                                 Vice President, Chief Financial Officer
                                 and Treasurer
                                 (Principal Financial and Accounting Officer)

                                       13
<Page>

                                   EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Robert M. Alderman, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML JWH Strategic
Allocation Fund L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this quarterly report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     quarterly report (the "Evaluation Date"); and

     c) presented in this quarterly report our conclusions about the
     effectiveness of the disclosure controls and procedures based on our
     evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: November 14, 2003

-----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
 Robert M. Alderman
 Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       14
<Page>

                                 EXHIBIT 99 (a)

                                 AS ADOPTED TO
                                 -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of ML JWH Strategic Allocation Fund
L.P. on Form 10-Q for the period ended September 30, 2003 as filed with the
Securities and Exchange Commission on the date hereof, I, Robert M. Alderman,
certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the
Sarbanes-Oxley Act of 2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML JWH
Strategic Allocation Fund L.P.


Date: November 14, 2003

-----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       15
<Page>

                                   EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Michael L. Pungello, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML JWH Strategic
Allocation Fund L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this quarterly report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     quarterly report (the "Evaluation Date"); and

     c) presented in this quarterly report our conclusions about the
     effectiveness of the disclosure controls and procedures based on our
     evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: November 14, 2003

-----------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
 Michael L. Pungello
 Vice President, Chief Financial Officer
 and Treasurer
(Principal Financial and Accounting Officer)

                                       16
<Page>

                                 EXHIBIT 99 (a)

                                 AS ADOPTED TO
                                 -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of ML JWH Strategic Allocation Fund
L.P. on Form 10-Q for the period ended September 30, 2003 as filed with the
Securities and Exchange Commission on the date hereof, I, Michael L. Pungello,
certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the
Sarbanes-Oxley Act of 2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML JWH
Strategic Allocation Fund L.P.


Date: November 14, 2003

-----------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       17