<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 March 31, 2005

                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>
                                                                  MARCH 31,
                                                                    2005          DECEMBER 31,
                                                                 (UNAUDITED)          2004
                                                               ---------------   ---------------
<S>                                                            <C>               <C>
ASSETS
Equity in commodity futures trading accounts:
  Cash and option premiums                                     $ 1,177,407,065   $ 1,283,896,801
  Net unrealized profit on open contracts                           57,657,643       145,214,452
Accrued interest                                                     2,858,392         2,215,147
Subscriptions receivable                                                25,699            33,098
                                                               ---------------   ---------------

      TOTAL                                                    $ 1,237,948,799   $ 1,431,359,498
                                                               ===============   ===============
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
  Brokerage commissions payable                                $     5,931,627   $     6,821,515
  Profit share payable                                                   6,363        39,051,490
  Redemptions payable                                                8,513,983        13,106,314
  Administrative fees payable                                          278,738           318,595
                                                               ---------------   ---------------

    Total liabilities                                               14,730,711        59,297,914
                                                               ---------------   ---------------

MINORITY INTEREST                                                      214,944           262,469
                                                               ---------------   ---------------

PARTNERS' CAPITAL:
General Partner (58,825 and 51,570 Units)                           12,540,390        13,425,275
Limited Partner (5,678,090 and 5,217,892 Units)                  1,210,462,754     1,358,373,840
                                                               ---------------   ---------------

    Total partners' capital                                      1,223,003,144     1,371,799,115
                                                               ---------------   ---------------

      TOTAL                                                    $ 1,237,948,799   $ 1,431,359,498
                                                               ===============   ===============
NET ASSET VALUE PER UNIT
(Based on 5,736,915 and 5,269,462 Units outstanding)           $        213.18   $        260.33
                                                               ===============   ===============
</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
                                                                MONTHS ENDED      MONTHS ENDED
                                                                  MARCH 31,         MARCH 31,
                                                                    2005              2004
                                                               ---------------   ---------------
<S>                                                            <C>               <C>
TRADING REVENUE (LOSS):

  Trading profit (loss):
   Realized                                                    $  (159,267,497)  $   111,801,700
   Change in unrealized                                            (87,583,755)      (45,186,061)
                                                               ---------------   ---------------

     Total trading revenue (loss)                                 (246,851,252)       66,615,639
                                                               ---------------   ---------------
INVESTMENT INCOME

  Interest                                                           7,841,676         1,924,593
                                                               ---------------   ---------------
EXPENSES:

  Administrative fees                                                  824,312           728,957
  Brokerage commissions                                             17,521,677        12,366,403
  Ongoing offering costs                                                     -           348,101
                                                               ---------------   ---------------

     Total expenses                                                 18,345,989        13,443,461
                                                               ---------------   ---------------

NET INVESTMENT LOSS                                                (10,504,313)      (11,518,868)
                                                               ---------------   ---------------

  INCOME BEFORE MINORITY INTEREST AND
  PROFIT SHARE ALLOCATION                                         (257,355,565)       55,096,771

  Profit share allocation                                               (6,363)       (7,168,367)
  Minority interest in (income) loss                                    47,525           (16,366)
                                                               ---------------   ---------------

NET INCOME (LOSS)                                              $  (257,314,403)  $    47,912,038
                                                               ===============   ===============
NET INCOME (LOSS) PER UNIT:
  Weighted average number of General Partner
   and Limited Partner Units outstanding                             5,594,898         3,328,991
                                                               ===============   ===============

  Net income (loss) per weighted average
   General Partner and Limited Partner Unit                    $        (45.99)  $         14.39
                                                               ===============   ===============
</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 THREE MONTHS ENDED MARCH 31, 2005 AND 2004
                                   (unaudited)

<Table>
<Caption>
                                              GENERAL            LIMITED
                            UNITS             PARTNER           PARTNERS             TOTAL
                       ---------------    ---------------    ---------------    ---------------
<S>                          <C>          <C>                <C>                <C>
PARTNERS' CAPITAL,
 December 31, 2003           2,951,915    $     8,182,951    $   687,294,456    $   695,477,407

Additions                      649,623             14,891        163,140,517        163,155,408

Net income                           -            557,610         47,354,428         47,912,038

Redemptions                    (51,000)                 -        (12,945,287)       (12,945,287)
                       ---------------    ---------------    ---------------    ---------------

PARTNERS' CAPITAL,
 March 31, 2004              3,550,538    $     8,755,452    $   884,844,114    $   893,599,566
                       ===============    ===============    ===============    ===============

PARTNERS' CAPITAL,
 December 31, 2004           5,269,462    $    13,425,275    $ 1,358,373,840    $ 1,371,799,115

Additions                      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
                       ===============    ===============    ===============    ===============
</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

      In the opinion of management, the consolidated financial statements
      contain all adjustments necessary to present fairly the financial
      position of ML JWH Strategic Allocation Fund L.P. (the "Partnership") as
      of March 31, 2005, and the results of its operations for the three months
      ended March 31, 2005 and 2004. 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 accordance 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, 2004.

2.    FAIR VALUE AND OFF-BALANCE SHEET RISK

      The nature of this Partnership has certain risks, which cannot be
      presented on the 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 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.

      Merrill Lynch Alternative Investments LLC ("MLAI"), the General Partner,
      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 & Co., Inc., ("JWH(R)"), the trading advisor, 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 does
      not itself intervene in the markets to hedge or diversify the
      Partnership's market exposure, MLAI may urge JWH(R) to reallocate
      positions in an attempt to avoid over-concentration. However, such
      interventions are unusual. Except in cases in which it appears that JWH(R)
      has begun to deviate from past practice and trading policies or to be
      trading erratically, MLAI'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.

                                        5
<Page>

      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 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
                             --------   --------    --------
                     <S>     <C>        <C>         <C>
                     2004    $ 244.57   $ 265.91    $ 251.68
                     2005    $ 224.16   $ 213.19    $ 213.18
</Table>

      PERFORMANCE SUMMARY

      January 1, 2005 to March 31, 2005

      The energy sector was the best performing sector for the Partnership. The
      quarter began with a loss due to higher energy prices. Events in the
      Middle East and bad weather dominated the sector's price action.
      Mid-quarter, energies rallied as commodity prices surged to a 24-year high
      due to signs of growing global demand for everything energy-related.
      London gas oil and crude oil led performance after the U.S. government
      reported an unexpected decline in U.S. oil stockpiles. This raised
      concerns that refineries would have insufficient supplies for making
      gasoline during peak summer demand. A Goldman Sachs prediction that crude
      oil prices could spike up to as high as $105 per barrel also bolstered the
      rise in oil prices. In addition, the International Energy Agency raised
      its prediction for global consumption for a third consecutive month, and
      forecasts of colder temperatures across Europe and the U.S. also helped to
      drive energy prices even higher.

      The agricultural commodities sector was profitable for the Partnership for
      the quarter. Wheat helped returns as prices fell, early in the quarter, to
      a 20-month low after a report showed that U.S. exports slowed when the
      European Union indicated it would subsidize exports of the grain for the
      first time since June 2003. Corn slightly boosted returns as prices fell
      to the lowest level since June 2001 on slumping demand for record supplies
      in the U.S., which is the world's largest producer and exporter of the
      grain. The forecasted dry season in Brazil was the driving factor behind
      the majority of the agricultural price movements mid-quarter.

                                        6
<Page>

      The Partnership was able to benefit from rising New York ("NY") coffee
      prices as production declined and stocks held by roasters and producers
      fell to their lowest level in 15 years. Profits from the rally in NY
      coffee caused by this forecast were enough to offset the combined losses
      in various other agricultural markets including corn, wheat and soybeans.
      Soybean prices rose in Chicago amid speculation that the four-week drought
      in Brazil will reduce the harvest of the world's second biggest crop.
      Wheat prices rose, later in the quarter, on speculation that importers
      will increase purchases of U.S. supplies.

      The stock indices sector was profitable for the quarter. Losses occurred
      in the beginning of the quarter resulting from a sell off in world equity
      markets, as stocks weakened because energy prices rose during January.
      Stock indices posted a gain mid-quarter as the Nikkei rallied on hopes
      that quicker U.S. growth would help Japan start an export-led economic
      recovery. However, at the end of the quarter, higher bond yields and oil
      prices made equities less attractive to investors as inflationary
      pressures started to weigh on the global economy. In addition, stocks
      dropped as American International Group Inc., the world's largest insurer,
      lost its top credit rating. In addition, General Motors, the world's third
      largest borrower, announced that it was forecasting its biggest quarterly
      loss since 1992. The largest gain was achieved in the Nasdaq e-mini, while
      the largest loss occurred in the Nikkei.

      The metals sector was unprofitable for the quarter. The loss in metals was
      due to the weakness in both gold and aluminum. Gold, which recently has
      had a strong inverse relationship with the U.S. dollar, came under
      pressure as the U.S. dollar strengthened throughout the beginning of the
      quarter. Aluminum sustained losses as supply increases in Shanghai put
      pressure on the market. The metals sector posted negative returns, as
      inflation fears in the U.S. pushed gold prices higher. Rising energy
      prices also bolstered the appeal of the precious metals as a hedge against
      inflation. London copper prices rose after government reports showed
      Japan's industrial production gained in January. The largest gain in this
      sector was achieved in copper, while the largest loss occurred in gold.

      The interest rate sector was unprofitable for the quarter. A significant
      portion of the losses were directly related to the fixed income sector as
      the European, Japanese and U.S. bond markets sold off. The catalyst for
      the dramatic move higher in world interest rates was the cumulative effect
      of increases in both energy prices and inflation expectations. On February
      10th, the benchmark U.S. ten-year Treasury note fell from recent highs
      after jobless claims unexpectedly declined, exports rose, and the U.S.
      government sold $14 billion ten-year notes at a higher-than-expected
      yield, a sign of weak demand. Federal Reserve Chairman Alan Greenspan's
      testimony, prepared for the Senate Banking Committee, further added
      pressure to the sector as he stated that the decline in long-term interest
      rates during the past year "remains a conundrum". The release of a
      higher-than-expected Producer Price Index (+0.8 vs. +0.2) in the U.S.
      helped to spark inflation fears worldwide and added further to the
      fixed-income markets' decline. The largest loss occurred in the Japanese
      government bond.

      The currency sector was the most unprofitable sector in the quarter. The
      single most influential factor driving performance in this sector was the
      U.S. dollar. A significant portion of the loss in the beginning of the
      quarter was directly related to the strength of the U.S. dollar against
      most major currencies. The weak U.S. dollar trend, which had dominated the
      markets during the second half of last year, began to reverse itself as
      market expectations of a Yuan revaluation by the Chinese central bank
      began to diminish. The weakness of the Japanese yen against the U.S.
      dollar mid-quarter also hurt performance. On February 10th, the U.S.
      dollar rose to a three-month high against the Japanese yen after a
      Commerce Department report showed the U.S. trade deficit narrowed in
      January from a previous record high. The recent dollar strength began when
      Federal Reserve Chairman Alan Greenspan predicted that 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 that showed Japanese
      household spending and industrial output had dropped in December 2004, and
      that Japan had officially fallen into a recession for the fourth time
      since 1991. Additional losses in this sector occurred as the Swiss franc
      rose against the U.S. dollar on speculation that the Swiss National Bank
      would raise its target interest rate. The largest gain in this sector was
      achieved in the Japanese yen, while the largest loss occurred in the Swiss
      franc.

                                        7
<Page>

      January 1, 2004 to March 31, 2004

      The Partnership was profitable overall, with gains in all sectors except
      the currency sector.

      The interest sector was the most profitable sector for the Partnership.
      The world trend of interest rates moving lower continued in January. This
      was a result of the Federal Open Market Committee's December meeting
      statement that interest rates were likely to remain low for a considerable
      time, which influenced investors to further accept the current low yield
      environment. In February, interest rates continued to move lower in the
      U.S., Europe and Asia. U.S. Federal Reserve Bank Chairman Alan Greenspan
      commented in his semi-annual testimony to the U.S. Congress that inflation
      in the U.S. continues to be of little concern, and that the U.S. central
      bank could be patient in removing the current accommodative monetary
      policy keeping interest rates low. Additionally, employment in the U.S.
      continued to gradually show signs of improvement, further pushing interest
      rates low. Market expectations that the Federal Reserve's accommodating
      interest rate policy would remain in place, keeping rates low. Interest
      rates in the European Central Bank community also felt the downward
      pressure as the terrorist attack in Spain dampened confidence in local
      economies. The biggest change in interest rates occurred in Japan, where
      rates actually increased for the month.

      The energy sector experienced gains despite losses early in the quarter.
      The upward trend in crude prices and related products continued in a
      volatile fashion during January. Energy prices became highly sensitive to
      the release of weekly inventory numbers provided by the U.S. Department of
      Energy and the American Petroleum Institute. The colder than expected
      winter weather, coupled with numerous storms, also helped create large
      trading ranges on fears that inventories would receive increased pressure.
      In February, daily volatility in the crude oil markets remained at
      extremely high levels. Energy markets, with the exception of natural gas,
      continued to move higher in reaction to low inventory concerns.
      Additionally, prices were further buoyed by members of OPEC who agreed to
      cut production approximately 10% by April 1st in order to support higher
      prices during the upcoming seasonal slowdown. Conversely, natural gas
      reacted to the anticipated warmer weather and reduced demand by sending
      prices lower in a more orderly fashion than the crude markets. Buildups in
      U.S. inventory levels at the end of the quarter, especially the magnitude
      of the increases, surprised most energy analysts and sent crude prices
      lower.

      Agricultural commodities posted gains during all three months of the
      quarter. In January, corn had a significant run higher when the carry-over
      stocks were reported lower than expected, and amid fears that China would
      soon become a larger importer of U.S. corn production. New York coffee
      also benefited from a run up in prices due to Brazilian farmers cutting
      down coffee plants in favor of planting soybeans, which can yield two
      crops a year at its current high price. Cotton had the largest loss when
      the price fell sharply late in the month on fears that China would curb
      further buying, which in turn prompted speculative long liquidation. In
      February, corn, soybeans, and soybean oil were the best performing
      components of the sector. On the other hand, cotton and New York coffee
      were the largest detractors in this group. In March, the best performance
      in the sector came from cotton, which fell on reports by the U.S.
      Agricultural Department that sales are slowing. Grains performed well due
      to rising prices from surging exports. New York sugar sustained the
      largest loss for the sector when prices dropped due to technical selling.

      The metals sector also posted modest returns for all three months of the
      quarter. Base metals performed well in January as prices continue to climb
      due to strong demand from China, which is building its infrastructure.
      Nickel was the exception, showing a considerable price correction this
      month from the nearly 100% price increase over the past six months.
      Copper, aluminum and silver had the best performance, while gold was the
      biggest detractor from profits. Gold has become highly correlated to the
      Euro and rallied in the beginning of February, only to fall back at the
      end of the month when the Euro fell. The price of silver fared better as
      it

                                        8
<Page>

      was able to maintain its higher level by taking more of a cue from base
      metals. Base metals maintained lofty levels due to low inventory levels
      and increased global demand, particularly from China. The best performance
      for this sector came from copper, silver and aluminum. Gold and nickel
      posted the largest losses for this sector. In March, precious metals moved
      higher despite the strengthening of the U.S. dollar. The driving force has
      been the negative real interest rate (Fed Funds rate minus Consumer Price
      Index) environment currently in the U.S. Silver had the best performance
      for the sector while gold and nickel had the lowest returns.

      Stock indices also experienced gains for the quarter. Despite increased
      volatility, the sector was profitable in January. In February, most stock
      indices appeared to be consolidating in recent ranges, as the financial
      markets remained more attuned to the fixed-income and foreign exchange
      markets. The only positive performance in this sector came from the
      Eurostoxx, while the other components failed to register profits in
      February. During the first half of March, increased concern over terrorist
      activity weighed heavily on share prices pushing markets down. However,
      indices recovered in the latter half of the month in reaction to favorable
      economic data. In the U.S., durable goods orders were up, inflation
      remained benign and consumer confidence rose.

      The currency sector posted considerable losses despite profits early in
      the quarter. Following comments from then European Central Bank ("ECB")
      President Jean-Claude Trichet about "excessive" currency volatility, the
      U.S. dollar reacted swiftly by strengthening against most currencies in a
      significant manner. Most currencies traded in volatile fashion for the
      remainder of the month, thereby curtailing previous profits. The Japanese
      yen and the British pound made the greatest contributions to profits,
      while the Swiss franc and South African rand had the largest losses. In
      February, the U.S. dollar returned to its weakening trend until mid-month,
      when officials in Europe began publicly voicing concern over the level of
      the U.S. dollar and possible action that could be taken in order to stem
      the slide. That was enough to reverse the trend and strengthen the U.S.
      dollar, forcing the liquidation of large short positions. The best
      performance for this sector came from the British pound and the
      Euro/British pound cross. The Japanese yen and the Swiss franc recorded
      the largest losses for the sector. In March, large losses were posted. The
      sector was dominated by Japanese yen selling and U.S. dollar purchasing,
      orchestrated by the Bank of Japan to allow Japanese exporters to hedge
      their U.S. dollar profits at favorable rates for the Japanese fiscal year
      end, March 31. Most other currencies traded in a sideways fashion in
      varying degrees of volatility. The Euro came under pressure on
      expectations of ECB rate cuts. The British pound was range bound due to
      fears that its recent rise would diminish export activity. The South
      African rand posted the largest gains for the sector while the largest
      losses came in the Japanese yen, British pound and the Euro.

      Item 3.   Quantitative and Qualitative Disclosures 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 this evaluation,
      has 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 this evaluation, including any
      corrective actions with regard to significant deficiencies and material
      weaknesses.

                                        9
<Page>

                           PART II - OTHER INFORMATION

      Item 1.   Legal Proceedings

                There are no pending proceedings to which the Partnership or
                MLAI 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 6,048,667 units of limited partnership
                interest. As of March 31, 2005, the Partnership has sold
                8,744,575 units of limited partnership interest, with an
                aggregate price of $1,638,880,160.

                Effective May 21, 2004, the Partnership registered an additional
                4,460,000 units of limited partnership interest.

                Effective March 31, 2005, the Partnership registered an
                additional 3,428,904 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.

      Reports on Form 8-K.

                There were no reports on Form 8-K filed during the first three
                months of fiscal 2005.

                                       10
<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:  May 16, 2005            By /s/ ROBERT M. ALDERMAN
                                  ----------------------
                                 Robert M. Alderman
                                 Chief Executive Officer, President and Manager
                                 (Principal Executive Officer)


Date:  May 16, 2005            By /s/ MICHAEL L. PUNGELLO
                                  -----------------------
                                 Michael L. Pungello
                                 Vice President, Chief Financial Officer
                                 and Treasurer
                                 (Principal Financial and Accounting Officer)

                                       11