<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, 2001
                                --------------

                    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 Investment Partners Inc.
                           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,               December 31,
                                                                  2001                      2000
                                                              (unaudited)
                                                           ------------------   ------------------------
<S>                                                        <C>                  <C>
ASSETS
Equity in commodity futures trading accounts:
    Cash and options premium                               $      77,911,615    $           132,821,791
    Net unrealized profit on open contracts                       26,409,289                 50,582,680
Commercial Paper (Cost: $200,445,203 and $111,460,842)           200,445,203                111,460,842
Cash                                                                   2,548                        254
Accrued interest                                                     792,495                  1,840,366
                                                           ------------------   ------------------------

                TOTAL                                      $     305,561,150    $           296,705,933
                                                           ==================   ========================
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
    Redemptions payable                                          $ 5,453,731                $ 1,421,678
    Profit share payable                                           5,869,371                  2,594,708
    Brokerage commissions payable                                  1,464,107                  9,285,988
    Administrative fees payable                                       63,657                     61,812
                                                           ------------------   ------------------------

            Total liabilities                                     12,850,866                 13,364,186
                                                           ------------------   ------------------------

MINORITY INTEREST                                                    191,691                    174,477

PARTNERS' CAPITAL:
General Partner (18,536 and 18,536 Units)                          3,537,249                  3,219,589
Limited Partners (1,514,328 and 1,611,725 Units)                 288,981,344                279,947,681
                                                           ------------------   ------------------------

            Total partners' capital                              292,518,593                283,167,270
                                                           ------------------   ------------------------

                TOTAL                                      $     305,561,150    $           296,705,933
                                                           ==================   ========================
NET ASSET VALUE PER UNIT
(Based on 1,532,864 and 1,630,261 Units outstanding)       $          190.83    $                173.69
                                                           ==================   ========================
</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,
                                                        2001                     2000
                                                -------------------   ------------------------
<S>                                             <C>                   <C>
REVENUES:
    Trading profit (loss):
      Realized                                  $       57,097,690    $            (7,382,827)
      Change in unrealized                             (24,154,053)                 3,484,300
                                                -------------------   ------------------------

            Total trading results                       32,943,637                 (3,898,527)
                                                -------------------   ------------------------

     Interest income                                     3,897,027                  4,341,710
                                                -------------------   ------------------------

            Total revenues                              36,840,664                    443,183
                                                -------------------   ------------------------

EXPENSES:
    Administrative fees                                    179,557                    223,754
    Brokerage commissions                                4,129,816                  6,936,385
    Ongoing offering expense                              -                            65,266
                                                -------------------   ------------------------

            Total expenses                               4,309,373                  7,225,405
                                                -------------------   ------------------------

    INCOME (LOSS) BEFORE
    MINORITY INTEREST AND
    PROFIT SHARE ALLOCATION                             32,531,291                 (6,782,222)

    Profit Share Allocation                             (5,861,481)                 -
    Minority Interest in (income) loss                     (17,214)                    (4,639)
                                                -------------------   ------------------------

NET INCOME (LOSS)                               $       26,652,596    $            (6,786,861)
                                                ===================   ========================

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General
        Partner and Limited Partner Units
        outstanding                                      1,592,579                  2,417,511
                                                ===================   ========================

    Net income (loss) per weighted average
     General Partner and Limited Partner Unit   $            16.74    $                 (2.81)
                                                ===================   ========================
</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, 2001 AND MARCH 31, 2000
                                  (unaudited)

<TABLE>
<CAPTION>
                                                               General             Limited
                                            Units              Partner             Partners               Total
                                     -----------------   -----------------   --------------------  --------------------
<S>                                  <C>                 <C>                 <C>                   <C>
PARTNERS' CAPITAL,
  December 31, 1999                         2,460,563    $      4,087,563    $       356,132,296   $       360,219,859

Additions                                      67,619              23,716              9,977,346            10,001,062

Net loss                                         -                (73,994)            (6,712,867)           (6,786,861)

Redemptions                                  (251,760)           (254,337)           (36,773,703)          (37,028,040)
                                     -----------------   -----------------   --------------------  --------------------

PARTNERS' CAPITAL,
  March 31, 2000                            2,276,422    $      3,782,948    $       322,623,072   $       326,406,020
                                     =================   =================   ====================  ====================

PARTNERS' CAPITAL,
  December 31, 2000                         1,630,261    $      3,219,589    $       279,947,681   $       283,167,270

Net income                                        -               317,660             26,334,936            26,652,596

Redemptions                                   (97,397)               -               (17,301,273)          (17,301,273)
                                     -----------------   -----------------   --------------------  --------------------

PARTNERS' CAPITAL,
  March 31, 2001                            1,532,864         $ 3,537,249          $ 288,981,344         $ 292,518,593
                                     =================   =================   ====================  ====================
</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 March 31, 2001, and the
      results of its operations for the three months ended March 31, 2001
      and 2000. However, the operating results for the interim periods may not
      be indicative of the results expected for the full year.

      Certain information and footnote disclosures normally included in annual
      consolidated financial statements prepared in accordance with accounting
      principles generally accepted in the United States of America have been
      omitted. It is suggested that these consolidated financial statements be
      read in conjunction with the consolidated 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, 2000 (the "Annual Report").

2.    FAIR VALUE AND OFF-BALANCE SHEET RISK

      In June 1998, the Financial Accounting Standards Board issued Statement
      of Financial Accounting Standard ("SFAS") No. 133, "Accounting for
      Derivative Instruments and Hedging Activities" (the "Statement"),
      effective for fiscal years beginning after June 15, 2000, as amended by
      SFAS No. 137. SFAS No. 133 is further amended by SFAS No. 138, which
      clarifies issues surrounding interest risk, foreign currency denominated
      items, normal purchases and sales and net hedging. This Statement
      supercedes SFAS No. 119 ("Disclosure about Derivative Financial
      Instruments and Fair Value of Financial Instruments") and SFAS No. 105
      ("Disclosure of Information about Financial Instruments with Off-Balance
      Sheet Risk and Financial Instruments with Concentrations of Credit Risk")
      whereby disclosure of average aggregate fair values and contract/notional
      values, respectively, of derivative financial instruments is no longer
      required for an entity such as the Partnership which carries its assets
      at fair value. Such Statement sets forth a much broader definition of a
      derivative instrument. The application of the provisions of SFAS No. 133,
      as amended by SFAS No. 137 and SFAS No. 138, did not have a significant
      effect on the consolidated financial statements.

      SFAS No. 133 defines a derivative as a financial instrument or other
      contract that has all three of the following characteristics: (1) one or
      more underlyings and notional amounts or payment provisions; (2) requires
      no initial net investment or a smaller initial net investment than would
      be required for other types of contracts that would be expected to have a
      similar response to changes in market factors; and, (3) terms that require
      or permit net settlement. Generally, derivatives include futures,
      forwards, swaps, options, or other financial instruments with similar
      characteristics such as caps, floors and collars.

      MARKET RISK

      Derivative instruments involve varying degrees of off-balance sheet market
      risk, and 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 in the markets in which such derivative instruments are
      traded.

      The General Partner, Merrill Lynch Investment Partners, Inc., ("MLIP"),
      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.
      The procedures focus primarily on monitoring the trading of John W. Henry
      & Company, Inc. ("JWH(R)") and reviewing outstanding positions for
      over-concentrations. While MLIP will not itself intervene in the markets
      to hedge or diversify the Partnership's market exposure, MLIP may
                                       5
<PAGE>
      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 and trading policies or to be trading erratically, MLIP's basic
      risk control procedures consist simply 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
      transactions (non-exchange-traded), 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 require margin in the over-the-counter markets.

      The credit risk associated with these instruments from counterparty
      non-performance is the net unrealized profit on open contracts, if any,
      included on 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 Futures ("MLF") acting as its commodity
      broker. Pursuant to the brokerage arrangement with MLF (which includes a
      netting arrangement), to the extent that such trading results in
      receivables from and payables to MLF, these receivables and payables are
      offset and reported as a net receivable or payable and are 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>
                        2000    $147.98    $149.61    $143.39
                       -----------------------------------------
                        2001    $172.60    $171.38    $190.83
                       -----------------------------------------
</TABLE>

      PERFORMANCE SUMMARY

      January 1, 2001 to March 31, 2001

      Interest rate trading was the biggest contributor to the Partnership's
      overall profitability during the quarter. The sector realized gains in
      all global bond markets traded, primarily Asia. Interest rates declined
      at year-end and the market reversed in January. Bonds generally benefited
      from the weakness in the equity markets. Gains were realized in
      short-term interest rates on Central Bank easing and the massive rally in
      Japanese government bonds as the Japanese economy showed signs of
      sputtering.

      Currency trading was profitable during the quarter. Currencies suffered
      losses early in the quarter by a weakening in the Euro. The Euro tumbled
      to two-month lows against the U.S. dollar in the wake of Turkey's lira
      currency float. Market concerns about European bank exposure to Turkish
      assets pushed the Euro to new lows. Strength in the U.S. dollar in March
      led to strong profits in Japanese yen, Euro, Swiss franc and British
      pound. Cross-rate trading was also profitable in March.

      Trading in stock indices was profitable despite a slow start to the
      quarter. The NASDAQ continued its slide into the new year, reaching a new
      52 week low during February. The Nikkei 225 set a 15-year low during
      February. Equity indices, in general, declined sharply in March, leading
      to profits from short positions.
                                       6
<PAGE>

      Agricultural commodities posted gains for the quarter. Corn and sugar were
      the primary drivers for poor performance for January. This sector
      rebounded in March as solid gains were attributable to short
      positions in sugar, corn and cotton all falling to new contract lows.

      Metals trading was moderately successful. Positions in gold were
      profitable amid the Bank of England gold sale, but they failed to offset
      losses in other metals traded in January. Gains in copper failed to offset
      losses in aluminum, nickel and silver in February. All contracts were
      slightly profitable in March, leading to a gain in the overall sector.

      Energy trading was the lone sector which sustained losses for the quarter.
      Losses were incurred when U.S. oil prices gained more than $2 a barrel on
      an OPEC announcement that it would cut production by 1.5 million barrels a
      day beginning February 1. OPEC officials made a follow-up announcement
      that they may need to act again on concern of a cooling economy may reduce
      demand for oil products.

      January 1, 2000 to March 31, 2000

      Trading in the energy sector produced profits for the quarter. Crude and
      heating oil prices surged in January as heating demand rose during several
      snowstorms in the Northeast -- the biggest world consumer of heating oil.
      Continued supply restrictions by OPEC further pushed the price of oil to
      price levels near that of the Gulf War. Profits were hindered in March
      after OPEC and Mexico said they would raise oil production beginning
      April 1.

      Performance of agricultural commodities was mixed, however, a profit was
      produced for the quarter. Coffee prices were lower for the quarter due to
      an oversupplied market, limiting the trading profits .

      Currency trading provided modest gains as the dollar rose against the
      British pound and to a 3 1/2 month high against the Japanese yen, as the
      U.S. economy continued to outperform global economies. Currency markets
      provided gains as the yen formed a profitable trend with its continued
      depreciation and contributed significant profits. The Bank of Japan bought
      dollars for yen in an effort to weaken the yen, however the yen moved
      higher despite the intervention.

      The stock index sector suffered losses in the Nikkei 225 Stock Index and
      the All Ordinaries Share Price Index when the market fell in response to
      speculation that the Group of Seven would take steps to weaken the yen.
      Towards the end of the quarter, the Partnership fluctuated with gains and
      then losses in positions in the Nikkei 225 Stock Index, the All
      Ordinaries Share Index and FTSE 100 Index.

      In metals trading, the fourth Bank of England auction of gold reserves was
      well received and positions in gold were profitable, reaching a February
      high and then falling nearly 10% at month-end. News that the Bank of
      France might sell gold reserves drove the price of gold down by
      quarter-end producing losses for the quarter.

      Positions in interest rates were unprofitable. Many major central banks
      raised rates in order to protect against the perception of impending
      inflation; nevertheless, almost all bond markets experienced rallies in
      response to these rate hikes which proved unprofitable for the sector.

      CASH MANAGEMENT

      Prior to June 2000, the Partnership invested a portion of its assets in
      Government Securities. Effective June 2000, the Partnership liquidated the
      Government Securities held and now invests a portion of its assets in
      Commercial Paper. These holdings generally have maturities of 30, 60 or 90
      days and are held to maturity. The investments in Commercial Paper are
      directed by MLIP.

                                       7
<PAGE>

      PART II - OTHER INFORMATION

      Item 1.     Legal Proceedings

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

      Item 2.     Changes in Securities and Use of Proceeds

                  (a) None.
                  (b) None.
                  (c) None.
                  (d) The Fund originally registered 2,000,000 units of limited
                  partnership interest. The Fund subsequently registered an
                  additional 2,960,000 units of limited partnership interest. As
                  of March 31, 2001, the Fund has sold 3,486,416 units of
                  limited partnership interest, with an aggregate price of
                  $445,610,169.

      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 2001.


                                       8
<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:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                           (General Partner)


Date:  May 15, 2001          By /s/ RONALD S. ROSENBERG
                                -----------------------
                                Ronald S. Rosenberg
                                Chairman and Director




Date:  May 15, 2001          By /s/ MICHAEL L. PUNGELLO
                                -----------------------
                                Michael L. Pungello
                                Vice President, Chief Financial Officer
                                and Treasurer

                                       9