**UNITED STATES SECURITIESAND 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 June 30, 2006**                                                                                                                                                                                           |
| ** **                                                                                                                                                                                                                                 |
| **OR**                                                                                                                                                                                                                                     | ** ** |
| ** **                                                                                                                                                                                                                                 | ** ** | ** ** |
| **o**                                                                                                                                                                                                                                      | ** ** | **TRANSITION REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
| ** **                                                                                                                                                                                                                                 | ** ** | ** ** |
| **For the transition period from                    to                  ** |
|                                                                                                                                                                                                                                            |  |  |  |  |

 

**Commission File Number  0-28928**

**ML JWH STRATEGIC ALLOCATION FUNDL.P.**

(Exact Name of Registrant asspecified in its charter)

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

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

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

**Plainsboro,New Jersey 08536**

(Address ofprincipal executive offices)

(Zip Code)

**609-282-6996**

(Registrant’s telephone number, including area code)

Indicate by check mark if the registrant is a well-known seasonedissuer, as defined in Rule 405 of the Securities Act.
|  | Yes | o | No |   | x |
|--|-----|---|----|--------|---|

 

Indicate by checkmark if the registrant is not required to file reports pursuant to Section 13or 15(d) of the Act.
|  | Yes | o | No |   | x |
|--|-----|---|----|--------|---|

 

Indicate by check mark whetherthe registrant (1) has filed all reports required to be filed by Section 13 or15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (orfor 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 |   | o |
|--|-----|---|----|--------|---|

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulation S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part II of this Form 10-Q or anyamendment to this Form 10-Q.   x

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer  o         Acceleratedfiler  o             Non-acceleratedfiler  x

Indicate by check mark whether registrant is a shell company (asdefined by Rule 12b-2 of the Exchange Act).
|  | Yes | o | No |   | x |
|--|-----|---|----|--------|---|

 

 

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

QUARTERLY REPORT FOR JUNE30, 2006 ON FORM 10-Q

Table of Contents
| ** ** | ** ** | **PAGE**                                                                                    |
|------------|------------|---------------------------------------------------------------------------------------------|
|       |       |                                                                                        |
| PART I     |       |                                                                                        |
|       |       |                                                                                        |   |   |
| Item 1.    |       | Financial  Statements                                                                       |   | 2 |
|       |       |                                                                                        |   |   |
| Item 2.    |       | Management’s Discussion and Analysis of Financial  Condition and Results of Operations |   | 6 |
|       |       |                                                                                        |   |   |
| Item 3.    |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |   | 12 |
|       |       |                                                                                        |   |   |
| Item 4.    |       | Controls and Procedures                                                                     |   | 12 |
|       |       |                                                                                        |   |   |
| PART II    |       |                                                                                        |
|       |       |                                                                                        |   |   |
| Item 1.    |       | Legal Proceedings                                                                           |   | 13 |
|       |       |                                                                                        |   |   |
| Item 2.    |       | Changes in Securities and Use of Proceeds                                                   |   | 13 |
|       |       |                                                                                        |   |   |
| Item 3.    |       | Defaults Upon Senior Securities                                                             |   | 13 |
|       |       |                                                                                        |   |   |
| Item 4.    |       | Submission of Matters to a Vote of Security Holders                                         |   | 13 |
|       |       |                                                                                        |   |   |
| Item 5.    |       | Other Information                                                                           |   | 13 |
|       |       |                                                                                        |   |   |
| Item 5a.   |       | Recent Sales of Unregistered Securities: Uses of  Proceeds From Registered Securities       |   | 13 |
|       |       |                                                                                        |   |   |
| Item 6.    |       | Exhibits                                                                                    |   | 13 |

 

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PART I - FINANCIAL INFORMATION

Item 1.    Financial Statements

ML JWH STRATEGICALLOCATION FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
| ** **                                                                       | ** ** | **June 30,** | ** **    | **December 31,** | ** ** |
|----------------------------------------------------------------------------------|------------|-------------------|---------------|-----------------------|------------|
| ** **                                                                       | ** ** | **2006**          | ** **    | **2005**              | ** ** |
| ** **                                                                       | ** ** | **(unaudited)**   | ** **    | ** **            | ** ** |
|                                                                             |       |              |          |                  |       |
| **ASSETS:**                                                                      | ** ** | ** **        | ** **    | ** **            | ** ** |
| Equity in commodity  futures trading accounts:                                   |       |              |          |                  |       |
| Cash                                                                             |       | $                 | 1,102,298,357 |                  | $          | 1,259,995,704 |   |
| Net unrealized  loss on open contracts                                           |       | (34,588,689       | )             | (4,725,026            | )          |
| Accrued interest                                                                 |       | 4,467,157         |          | 4,186,964             |       |
| Subscriptions  receivable                                                        |       | 13,740            |          | 11,450                |       |
|                                                                             |       |              |          |                  |       |
| **TOTAL  ASSETS**                                                                |       | $                 | 1,072,190,565 |                  | $          | 1,259,469,092 |   |
|                                                                             |       |              |          |                  |       |
| **LIABILITIES, PARTNERS’ CAPITAL  AND MINORITY INTEREST LIABILITIES:**      | ** ** | ** **        | ** **    | ** **            | ** ** |
| Brokerage  commissions payable                                                   |       | $                 | 5,137,399     |                  | $          | 6,034,745 |   |
| Profit share  payable                                                            |       | —            |          | 6,312                 |       |
| Redemptions  payable                                                             |       | 15,315,824        |          | 18,710,981            |       |
| Ongoing offering  costs payable                                                  |       | 145,833           |          | 75,000                |       |
| Administrative  fees payable                                                     |       | 223,373           |          | 283,221               |       |
|                                                                             |       |              |          |                  |       |
| Total  liabilities                                                               |       | 20,822,429        |          | 25,110,259            |       |
|                                                                             |       |              |          |                  |       |
| **PARTNERS’ CAPITAL:**                                                      | ** ** | ** **        | ** **    | ** **            | ** ** |
| General Partner (61,402  and 61,381 Units)                                       |       | 11,616,736        |          | 12,613,943            |       |
| Limited Partner  (5,495,076 and 5,944,149 Units)                                 |       | 1,039,560,423     |          | 1,221,537,583         |       |
|                                                                             |       |              |          |                  |       |
| Total partners’  capital                                                    |       | 1,051,177,159     |          | 1,234,151,526         |       |
|                                                                             |       |              |          |                  |       |
| **MINORITY INTEREST**                                                            |       | 190,977           |          | 207,307               |       |
|                                                                             |       |              |          |                  |       |
| **TOTAL  LIABILITIES, PARTNERS’ CAPITAL AND MINORITY INTEREST**             |       | $                 | 1,072,190,565 |                  | $          | 1,259,469,092 |   |
|                                                                             |       |              |          |                  |       |
| **NET ASSET VALUE PER UNIT**(Based on 5,556,478 and 6,005,530 Units outstanding) | ** ** | $                 | 189.18        |                  | $          | 205.50 | ** ** |

 

See notes toconsolidated financial statements.

2

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ML JWH STRATEGICALLOCATION FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATEDSTATEMENTS OF OPERATIONS

(unaudited)
| ** **                                                                        | ** ** | **For the three** | ** **  | **For the three** | ** ** | **For the six** | ** ** | **For the six** | ** **  |
|-----------------------------------------------------------------------------------|------------|-----------------------------|-------------|-----------------------------|------------|---------------------------|------------|---------------------------|-------------|
| ** **                                                                        | ** ** | **months ended**       | ** **  | **months ended**       | ** ** | **months ended**     | ** ** | **months ended**     | ** **  |
| ** **                                                                        | ** ** | **June 30,**           | ** **  | **June 30,**           | ** ** | **June 30,**         | ** ** | **June 30,**         | ** **  |
| ** **                                                                        | ** ** | **2006**                    | ** **  | **2005**                    | ** ** | **2006**                  | ** ** | **2005**                  | ** **  |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **TRADING  PROFITS (LOSSES):**                                                    | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
| ** **                                                                        | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
| Realized                                                                          |       | $                           | 108,731,809 |                        | $          | (39,603,041               | )          | $                         | (53,754,607 | ) | $ | (198,870,538 | ) |
| Change in unrealized                                                              |       | (109,526,609                | )           | 49,176,344                  |       | (29,809,166               | )          | (38,407,411               | )           |
| ** **                                                                        | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
| Total trading profits (losses)                                                    |       | (794,800                    | )           | 9,573,303                   |       | (83,563,773               | )          | (237,277,949              | )           |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **INVESTMENT  INCOME:**                                                           | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| Interest                                                                          |       | 13,716,625                  |        | 8,590,728                   |       | 26,491,936                |       | 16,432,404                |        |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **EXPENSES:**                                                                     | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| Brokerage commissions                                                             |       | 17,122,253                  |        | 17,733,360                  |       | 33,785,064                |       | 35,255,037                |        |
| Administrative fees                                                               |       | 806,946                     |        | 833,516                     |       | 1,593,916                 |       | 1,657,828                 |        |
| Ongoing offering costs                                                            |       | 375,000                     |        | 100,000                     |       | 700,000                   |       | 100,000                   |        |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| Total expenses                                                                    |       | 18,304,199                  |        | 18,666,876                  |       | 36,078,980                |       | 37,012,865                |        |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **NET  INVESTMENT LOSS**                                                          |       | (4,587,574                  | )           | (10,076,148                 | )          | (9,587,044                | )          | (20,580,461               | )           |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **LOSS BEFORE MINORITY INTEREST AND PROFIT SHARE  ALLOCATION**                    |       | (5,382,374                  | )           | (502,845                    | )          | (93,150,817               | )          | (257,858,410              | )           |
| ** **                                                                        | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
| Profit share allocation                                                           |       | —                      |        | 19                          |       | —                    |       | (6,344                    | )           |
| Minority interest in loss                                                         |       | 1,903                       |        | 530                         |       | 16,330                    |       | 48,055                    |        |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **NET  LOSS**                                                                     |       | $                           | (5,380,471  | )                           | $          | (502,296                  | )          | $                         | (93,134,487 | ) | $ | (257,816,699 | ) |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| **NET  LOSS PER UNIT:**                                                           | ** ** | ** **                  | ** **  | ** **                  | ** ** | ** **                | ** ** | ** **                | ** **  |
| Weighted average number of General Partner and  Limited Partner Units outstanding |       | 6,062,449                   |        | 6,023,522                   |       | 5,918,890                 |       | 5,809,210                 |        |
|                                                                              |       |                        |        |                        |       |                      |       |                      |        |
| Net loss per  weighted average General Partner and Limited Partner Unit           |       | $                           | (0.89       | )                           | $          | (0.08                     | )          | $                         | (15.74      | ) | $ | (44.38 | ) |

 

See notes toconsolidated financial statements.

3

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ML JWH STRATEGICALLOCATION FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATEDSTATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the six monthsended June 30, 2006 and 2005

(unaudited)
| ** **                                 | ** ** | **Units**  | ** ** | **General   Partner** | ** ** | **Limited   Partners** | ** ** | **Total**     | ** ** |
|--------------------------------------------|------------|------------|------------|----------------------------|------------|-----------------------------|------------|---------------|------------|
| ** **                                 | ** ** | ** ** | ** ** | ** **                 | ** ** | ** **                  | ** ** | ** **    | ** ** |
| PARTNERS’  CAPITAL, December 31, 2004 |       | 5,269,462  |       | $                          | 13,425,275 |                        | $          | 1,358,373,840 |       | $ | 1,371,799,115 |   |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Subscriptions                              |       | 1,098,572  |       | 1,593,722                  |       | 237,385,962                 |       | 238,979,684   |       |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Net loss                                   |       | —     |       | (2,470,066                 | )          | (255,346,633                | )          | (257,816,699  | )          |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Redemptions                                |       | (339,791   | )          | —                     |       | (71,184,009                 | )          | (71,184,009   | )          |
|                                       |       |       |       |                       |       |                        |       |          |       |
| PARTNERS’ CAPITAL,  June 30, 2005     |       | 6,028,243  |       | $                          | 12,548,931 |                        | $          | 1,269,229,160 |       | $ | 1,281,778,091 |   |
|                                       |       |       |       |                       |       |                        |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2005 |       | 6,005,530  |       | $                          | 12,613,943 |                        | $          | 1,221,537,583 |       | $ | 1,234,151,526 |   |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Subscriptions                              |       | 477,730    |       | 4,888                      |       | 93,860,589                  |       | 93,865,477    |       |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Net loss                                   |       | —     |       | (1,002,095                 | )          | (92,132,392                 | )          | (93,134,487   | )          |
|                                       |       |       |       |                       |       |                        |       |          |       |
| Redemptions                                |       | (926,782   | )          | —                     |       | (183,705,357                | )          | (183,705,357  | )          |
|                                       |       |       |       |                       |       |                        |       |          |       |
| PARTNERS’ CAPITAL, June  30, 2006     |       | 5,556,478  |       | $                          | 11,616,736 |                        | $          | 1,039,560,423 |       | $ | 1,051,177,159 |   |

 

See notes to consolidatedfinancial statements.

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ML JWH STRATEGIC ALLOCATION FUND L.P.

(a Delaware LimitedPartnership)

NOTES TOCONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the consolidatedfinancial statements contain all adjustments necessary to present fairly thefinancial position of ML JWH Strategic Allocation Fund L.P. (the “Partnership”)as of June 30, 2006, and the results of its operations for the three and sixmonth periods ended June 30, 2006 and 2005. However, the operating results forthe interim periods may not be indicative of the results for the full year.These consolidated financial statements contain the activities of both thePartnership and the joint venture in which the trading activities occur.

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in conformity with accountingprinciples generally accepted in the United States of America (“US GAAP”) havebeen omitted. It is suggested that these financial statements be read inconjunction with the financial statements and notes thereto included in thePartnership’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2005.

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

2.     FAIR VALUE AND OFF-BALANCE SHEET RISK

The nature of thisPartnership has certain risks, which cannot all be presented on the financialstatements.  The following summarizessome of those risks.

Market Risk

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

The General Partner,Merrill Lynch Alternative Investments LLC (“MLAI”) has procedures in placeintended to control market risk exposure, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of John W.Henry & Co., Inc., (“JWH®”), theinvestment advisor, calculating the Net Asset Value of the Partnership as ofthe close of business on each day and reviewing outstanding positions forover-concentrations. While MLAI does not itself intervene in the markets tohedge or diversify the Partnership’s market exposure, MLAI may urge JWH® to reallocatepositions in an attempt to avoid over-concentration.  However, such interventions are unusual.  Except in cases in which it appears that JWH® has begun todeviate from past practice or trading policies or to be trading erratically,MLAI’s basic risk control procedures consist simply of the ongoing process ofadvisor monitoring, with the market risk controls being applied by JWH® itself.

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Credit Risk

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject to loss in the event of a default, aregenerally required in exchange trading, and counterparties may also requiremargin in the over-the-counter markets.

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

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

Item 2:            Management’sDiscussion and Analysis of Financial Condition and Results of Operations

MONTH-END NET ASSET VALUEPER UNIT

|      | ** ** | **Jan.**                              | ** ** | **Feb.**                              | ** ** | **Mar.**                              | ** ** | **Apr.**                              | ** ** | **May**                               | ** ** | **Jun.**                              | ** ** |
|------|------------|---------------------------------------|------------|---------------------------------------|------------|---------------------------------------|------------|---------------------------------------|------------|---------------------------------------|------------|---------------------------------------|------------|
| 2005 |       | $     224.16 |       | $     213.19 |       | $     213.18 |       | $     190.18 |       | $     208.05 |       | $     212.63 |       |
| 2006 |       | $     198.52 |       | $     180.91 |       | $     191.14 |       | $     213.21 |       | $     212.48 |       | $     189.18 |       |

 

PerformanceSummary

January 1, 2006 toJune 30, 2006

January 1, 2006 to March 31, 2006

The Partnership’s performance was an overall lossfor the first quarter with metals, stock indices, interest rates, andagriculture posting gains while energy and currencies posted losses.

The metals sector was the most profitable forthe Partnership. The quarter began with gold surging to a 25 year high andsilver climbing to its highest level since March 1984. This occurred because ofconcerns that the U.S. dollar may weaken because of higher oil prices,increasing the metal’s appeal as a hedge against further declines in the U.S.currency. London copper prices rose to a near record as production for theworld’s mines are failing to keep pace with increased demand from countrieslike China, the world’s largest user of the metal. Gold, silver and coppercontinued the upward trend throughout the quarter.

The stock indices were profitable for thePartnership. European stock indices had their best January rally in eight yearsas energy stocks along with miners and steelmakers gained on expectationsearnings would benefit from higher commodity prices. Leading the sector’sperformance was the Nikkei (Osaka), which despite increased volatility causedby geopolitical events, approached a decade high. The middle of the quarter wasvolatile for the

6

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stock indices sector as Asian stocks postedtheir first monthly decline since October 2005. The decline was short lived asAsian stocks approached a 16-year high on surging demand for metals and oil atthe end of the quarter. The Nikkei 225 climbed above 17,000 for the first timein more than five years. The All Ordinaries rose 8% this quarter, while theNasdaq Composite Index rose to a five year high.

The interest rate sector was profitable forthe Partnership, however, the beginning of the quarter was not profitable duethe fact the fixed income markets in the U.S., Europe and Japan sold off overfears of their respective central banks raising interest rates. Performance invarious markets counterbalanced each other in the middle of the quarter.  The sector benefited from Japanese Governmentbonds, which was in a price decline. Eurodollar posted gains, which were offsetby losses in U.S. 30 year bonds, German bunds and bobl. The quarter ended withboth the Federal Reserve and the European Central Bank raising their respectiveinterest rates 25 basis points. The true catalyst for the sell-off was growingspeculation in the markets that both central banks would be forced to continueto raise rates after consumer confidence reports released in both Europe andthe U.S. on March 28th weremuch stronger than expected. The largest gains in this sector were achieved inthe German bund and the Japanese Government bond while the largest lossoccurred in the Australian three-year bond as traders increased speculationthat the Federal Reserve Bank of Australia may have to raise interest rates tokeep pace with the U.S. Federal Reserve.

The agricultural sector was profitable forthe Partnership.  The quarter began withrecord highs as a result of the surging cost of crude oil which increased thedemand for ethanol, a sugar cane by-product. Brazil, the biggest producer andexporter of sugar, is conveting more of its cane crop to ethanol to cope withrecord gasoline prices. New York (“N.Y.”) coffee rose to seven month highs asworldwide demand outpaced supply. N.Y. coffee and N.Y. sugar hindered returnsin the middle of the quarter while trading in CBOT (Chicago Board of Trade)wheat limited losses. CBOT wheat rose to a 20 month high on speculation thatunusually hot, dry weather from Texas to Nebraska reduced U.S. production. Thequarter ended with sugar prices in London rising to their highest levels since1989 on speculation that a jump in the cost of oil will force Brazil to directmore of its output towards producing ethanol. Wheat was weaker as rains revivedwinter wheat crops in the U.S. great plains after four months of dry weather.Corn posted a loss for this sector as prices in Chicago rose the most in eightmonths after U.S. farmers told the government they plan to slash this year’splantings to the lowest levels since 2001.

The energy sector was not profitable for thePartnership. Volatility within the energy sector increased as oil and naturalgas are now being used as “geopolitical weapons” by Iran, Russia, Venezuela andmilitants in Bolivia. Crude oil is up 41 percent from a year ago and 11 percentsince the beginning of the first quarter. However, the gains were not enough tooffset the losses incurred in natural gas, which for the first time in almostsix months dropped below $8 in New York. Natural gas fell 17 percent since thebeginning of the quarter as mild weather in the largest U.S. consuming regionscut demand which limited the need for utilities to pull from reserves. Themarket continued to be apprehensive over the unrest in Iran, Iraq, Nigeria andSaudi Arabia. Limiting losses in the sector was natural gas, as prices fell totheir lowest level in almost nine months as U.S. stockpiles for the week endedFebruary 17, 2006 were almost 700 billion cubic feet above the five yearaverage. The quarter ended with crude oil rising to a two month high andgasoline surged as U.S. fuel supplies declined. Prices fell after Iran statedit would not use crude oil as leverage in a dispute with western countries overits nuclear program.

The currencies sector was the least profitable for the Partnership. Theforeign exchange sector suffered losses as the U.S. dollar posted its biggestmonthly decline against the Euro since November 2004. This was due to themarket’s anticipation of the Federal Reserve’s removal of “measured pace” fromits statement after its meeting on January 31st. The Euro also benefited as themarket waited for the European Central Bank’s meeting on February 2, 2006 to raiseborrowing costs as Europe’s economy strengthened. The U.S. dollar also sufferedlosses against the Swiss franc, Japanese yen and the Euro. Investors no longerexpect interest rate differentials to benefit the U.S. dollar as the spreadnarrowed between the U.S. and both European and Japanese interest rates. TheU.S. dollar rose against the Euro in the middle of the quarter as new FederalReserve Chairman, Ben S. Bernanke, stated that inflation may quicken. Hiscomments suggest further tightening by the Federal Reserve. The quarter endedas range-bound trading continued to negatively affect the Partnership’s longterm trend following approach. Although some currencies had directional movesduring the month, they were accompanied by strong reversals.

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April 1, 2006 to June 30, 2006

ThePartnership posted an overall loss for the second quarter with metals, interestrates, and energy posting gains while stock indices, agriculture and currenciesposted losses.

Themetals sector posted gains for the Partnership. The quarter began with goldsurging to a 25 year high and silver climbing 51% percent this year. Thisoccurred due to the escalating dispute with Iran combined with a falling U.S.dollar which helped to push the precious metal higher as investors look for asafe-haven given the global geopolitical uncertainty. Silver rallied onspeculation that investor demand will grow as Barclays Bank PLC began offeringan exchange traded fund backed by the metal. Both base and precious metals began to retreat from highs set in themiddle of the quarter. Gold fell to a three month low after reaching a 26-yearhigh in May. The dramatic sell-off was caused by the combination of a strongerdollar, as investors bought dollars as an alternative to gold, and increasedspeculation that the U.S. Federal Reserve could hike interest rates as much as50 basis points. However, during the last two days of the quarter, gold surged,after the U.S. Federal Reserve suggested it may take a break from raisingrates, eroding the value of the U.S. dollar.

Theinterest rate sector also posted a gain for the Partnership.  European, Japanese and U.S. fixed incomemarkets were sold off the beginning of the quarter which significantly added tothe Partnership’s performance. The largest gain in the sector was in the Germanbenchmark 10-year bund whose yield rose 22 basis points. This rise was due tospeculation the European Central Bank will raise its key interest rate threemore times this year. The Japanese 10 year bond (JGB’s) also added to the sector’sperformance as it fell for a fifth month, the longest since 1990, on concernsthat the Bank of Japan will raise interest rates this year. Yields on U.S.10-year Treasuries rose for a fifth straight month mid-quarter, the longeststretch since 1999. Interest rate speculation occurred at the end of thequarter in U.S. Treasuries with the U.S. Treasury bonds slightly rebounding dueto U.S. Federal Reserve hinting a pause in increasing rates in the future.

Theenergy sector posted profits for the Partnership primarily due to theincreasing price of crude oil. Concerns that the U.N. Security Council willimpose sanctions that could lead Iran, the fourth-largest oil producer, to cutshipments drove crude oil for June delivery to a new high of $75.35 a barrel.Increased geopolitical uncertainty drove all petroleum based products higher asBrent crude oil for June settlement also reached a new high of $74.79 a barrelon April 21st.While the sector benefited from increased instability in the world, mild weatherin the U.S. hindered performance as natural gas fell 20 percent and approacheda nine month low as demand slowed. Brent crude oil for July settlement toucheda record high of $74.97 a barrel the middle of the quarter, the highest sincethe contract began trading in 1988, as attacks in Nigeria and doubts that Iranwill embrace a new U.S. backed effort to rein in the country’s nuclear programkept crude related products from suffering the severe intra month reversalsthat plagued the majority of the other sectors. Weakness in the markets causedby fears of a slowing world economy was replaced by strength at the end of thequarter due to renewed tensions in the Middle East and speculation thatgasoline consumption would jump during the 4th ofJuly holiday weekend. Crude oil futures for August delivery touched $74.10 onthe NYMEX, after falling to a low of $68.75 during the month. Natural gasposted gains as prices fell in New York as hot weather eased in the northernU.S. trimming demand for the fuel from power plants, which is used to meet aircooling needs.

Thestock indices attributed to the loss posted for the Partnership. ThePartnership’s performance was hindered by increased geopolitical instability inthe global stock markets, as well as a volatile interest rate environment.Asian stocks dropped from a 16-year high at the beginning of the quarter afterChina unexpectedly raised its key lending rate. The rate rise, along with Chinaasking the nation’s banks to restrict lending to prevent the economy fromoverheating, sent shares of mining companies and commodity producers lower onspeculation that increased borrowing costs could curb demand for raw materialsin the world’s fastest growing major economy. Global equity markets began tofall mid-quarter after the U.S. Federal Reserve met and it became apparent anadditional rate hike was still a possibility in June. The losses continuedthrough the end of the quarter due to mounting speculation that actions of theU.S. Federal Reserve would hurt economic growth and 16 central banks raisedinterest rates to contain inflation. However, as it became evident that theU.S. Federal Reserve was actually closer to ending its rate hiking cycle, worldequity markets rallied. Despite the quarter end rally, the NASDAQ compositeslid 7.2 percent, its biggest drop since the first quarter of 2005.

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The currenciessector was not profitable for the Partnership. In the beginning of the quarter,the currency sector started strong with the largest gain in the British poundwhich posted its first back-to-back monthly gain mid-quarter against the U.S.dollar since the end of 2004.  Animproving economic outlook increased speculation that the Bank of England maylift borrowing costs this year. However, losses were incurred at the end of thequarter by a strengthening of the U.S. dollar relative to most major currencieswhich adversely affected the Partnership. Stronger than expected June coreConsumer Price (CPI) coupled with statements from U.S. Federal Reserve ChairmanBernanke calling recent increases in inflation measures an “unwelcomedevelopment”, led investors to speculate that the U.S. Federal Reserve mightraise rates 50 basis points rather than the previously expected 25. Theincreased rate speculation helped the dollar reach an eight-week high of 1.2479against the Euro. On June 29th, the U.S. Federal Reserve raised rates 25 basis pointsand suggested it may be nearing the end of its two-year cycle of rate increasesas the statement announcing their decision indicated that slowing economicgrowth “should help to limit inflation pressures”. As a result, the U.S. dollarreversed once again and weakened during the last two days of the month. TheU.S. dollar ended the quarter 5.3 percent lower against the Euro and 2.8percent versus the Japanese yen, which was the greatest percentage decreasesince the last quarter of 2004.

The agricultural sector was the least profitable forthe Partnership. At the beginning of the quarter cotton fell to its lowestclose since December 2, 2005. Prices were down 3.7 percent from a year agoafter farmers harvested a record 23.72 million bales last year, up 2 percentfrom 2004. The gains were not enough however to offset the losses in the restof the sector as choppy price action dominated the sector’s performance. Thelargest loss occurred in N.Y. coffee as growers in Latin America and Africatook advantage of a recent rally to sell beans. Sugar, whose demand hasincreased on its ability to be made into ethanol, fell as energy prices droppedmid-quarter. Sugar prices fell to nearly a three month low in London onspeculation that the European Union will increase exports before the worldtrade organization reforms take effect in July. Weather conditions had severeaffects on various crops in the U.S. and around the world at the end of thequarter. CBOT (Chicago Board of Trade) wheat fell to a five-week low in themiddle of June, after warm dry weather in the central U.S. helped farmers speedup the harvest. About 21 percent of the winter wheat crop had been collected asof June 11th, almost double the five-year average of11 percent. Corn and soybeans also hindered performance as prices in Chicagofell as Midwest rains helped revive crops after six weeks of hot, dry weather.

January 1, 2005 to June 30, 2005

January 1, 2005 to March 31, 2005

Theenergy sector was the best performing sector for the Partnership.  The quarter began with a loss due to higherenergy prices.  Events in the Middle Eastand bad weather dominated the sector’s price action.  Mid-quarter, energies rallied as commodityprices surged to a 24-year high due to signs of growing global demand foreverything energy-related.  London gasoil and crude oil led performance after the U.S. government reported anunexpected decline in U.S. oil stockpiles. This raised concerns that refineries would have insufficient suppliesfor making gasoline during peak summer demand. A Goldman Sachs prediction that crude oil prices could spike up to ashigh as $105 perbarrel also bolstered the rise in oil prices. In addition, the International Energy Agency raised its prediction forglobal consumption for a third consecutive month, and forecasts of coldertemperatures across Europe and the U.S. also helped to drive energy prices evenhigher.

Theagricultural commodities sector was profitable for the Partnership for thequarter.  Wheat helped returns as pricesfell, 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 thegrain for the first time since June 2003. Corn slightly boosted returns as prices fell to the lowest level sinceJune 2001 on slumping demand for record supplies in the U.S., which is theworld’s largest producer and exporter of the grain.  The forecasted dry season in Brazil was thedriving factor behind the majority of the agricultural price movementsmid-quarter.  The Partnership was able tobenefit from rising New York (“NY”) coffee prices as production declined andstocks held by roasters and producers fell to their lowest level in 15years.  Profits from the rally in NYcoffee caused by this forecast were enough to offset the combined losses invarious other agricultural markets including corn, wheat and soybeans.  Soybean prices rose in Chicago amidspeculation that the four-week drought in Brazil will reduce the harvest of the

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world’ssecond biggest crop.  Wheat prices rose,later in the quarter, on speculation that importers will increase purchases ofU.S. supplies.

Thestock indices sector was profitable for the quarter.  Losses occurred in the beginning of thequarter resulting from a sell off in world equity markets, as stocks weakenedbecause energy prices rose during January. Stock indices posted a gain mid-quarter as the Nikkei rallied on hopesthat quicker U.S. growth would help Japan start an export-led economicrecovery.  However, at the end of thequarter, higher bond yields and oil prices made equities less attractive toinvestors as inflationary pressures started to weigh on the globaleconomy.  In addition, stocks dropped asAmerican International Group Inc., the world’s largest insurer, lost its topcredit rating.  In addition, GeneralMotors, the world’s third largest borrower, announced that it was forecastingits biggest quarterly loss since 1992. The largest gain was achieved in the Nasdaq e-mini, while the largestloss occurred in the Nikkei.

Themetals sector was unprofitable for the quarter. The loss in metals was due to the weakness in both gold andaluminum.  Gold, which recently has had astrong inverse relationship with the U.S. dollar, came under pressure as theU.S. dollar strengthened throughout the beginning of the quarter.  Aluminum sustained losses as supply increasesin Shanghai put pressure on the market. The metals sector posted negative returns, as inflation fears in theU.S. pushed gold prices higher.  Risingenergy prices also bolstered the appeal of the precious metals as a hedgeagainst inflation.  London copper pricesrose after government reports showed Japan’s industrial production gained inJanuary.  The largest gain in this sectorwas achieved in copper, while the largest loss occurred in gold.

Theinterest rate sector was unprofitable for the quarter.  A significant portion of the losses weredirectly related to the fixed income sector as the European, Japanese and U.S.bond markets sold off.  The catalyst forthe dramatic move higher in world interest rates was the cumulative effect ofincreases in both energy prices and inflation expectations.  On February 10th, the benchmark U.S. ten-year Treasurynote fell from recent highs after jobless claims unexpectedly declined, exportsrose, and the U.S. government sold $14 billion ten-year notes at ahigher-than-expected yield, a sign of weak demand.  Federal Reserve Chairman Alan Greenspan’stestimony, prepared for the Senate Banking Committee, further added pressure tothe sector as he stated that the decline in long-term interest rates during thepast year “remains a conundrum”. The release of a higher-than-expected ProducerPrice Index (+0.8 vs. +0.2) in the U.S. helped to spark inflation fearsworldwide and added further to the fixed-income markets’ decline.  The largest loss occurred in the Japanesegovernment bond.

Thecurrency sector was the most unprofitable sector in the quarter.  The single most influential factor drivingperformance in this sector was the U.S. dollar. A significant portion of the loss in the beginning of the quarter wasdirectly related to the strength of the U.S. dollar against most majorcurrencies.  The weak U.S. dollar trend,which had dominated the markets during the second half of last year, began toreverse itself as market expectations of a Yuan revaluation by the Chinesecentral bank began to diminish.  Theweakness of the Japanese yen against the U.S. dollar mid-quarter also hurtperformance.  On February 10th, the U.S. dollar rose to athree-month high against the Japanese yen after a Commerce Department reportshowed the U.S. trade deficit narrowed in January from a previous recordhigh.  The recent U.S. dollar strengthbegan when Federal Reserve Chairman Alan Greenspan predicted that the deficitin the U.S. current account, the broadest measure of trade, may shrink.  Further adding to the Japanese yen’s weaknesswere reports that showed Japanese household spending and industrial output haddropped in December 2004, and that Japan had officially fallen into a recessionfor the fourth time since 1991. Additional losses in this sector occurred as the Swiss franc roseagainst the U.S. dollar on speculation that the Swiss National Bank would raiseits target interest rate.  The largestgain in this sector was achieved in the Japanese yen, while the largest lossoccurred in the Swiss franc.

April 1, 2005 to June 30, 2005

ThePartnership posted trading profits for the quarter, with the currency and fixedincome sectors reporting profits and the remaining sectors posting losses.

Thecurrency sector posted substantial profit for the quarter despite losses earlyin the quarter due primarily to the strengthening of the Japanese yen. Soonafterward, France’s rejection of the European Union constitution dampenedexpectations for economic growth in the region, resulting in the Euro’s fall toa seven-month low against

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the USdollar. The Euro also weakened against most other major currencies. The declinein the Euro was compounded by a report pronouncing a drop in European businessconfidence, and the weakening of the Swiss franc against the U.S. dollar. Thequarter came to a positive close with the U.S. dollar posting its largestquarterly gain against the Euro since 2001. The widening spread between thetwo-year U.S. Treasury note and the German schatz, along with the rally of theU.S. dollar against the Japanese yen also contributed to positive returns.

Theinterest rate sector posted gains consistently throughout the quarter. Much ofthe positive return was attributed to the strength in both Germany’s and Japan’sfixed income markets. The benchmark German ten-year bund reached record highs withthe slowing of the European economy and resultant expectations of an interestrate reduction. Japan’s government bond yields experienced record lows becauseof anticipated economic slowdowns for two main reasons; the projection that thedemand for regional goods would wane because of a slowing U.S. economy, andrecord high oil prices were expected to take a serious toll on the nation.

Agriculturalcommodities experienced losses all throughout the quarter. There was nodiscernable trend through the quarter, as most markets were marked byvolatility. Cotton experienced gains in April before posting significant lossesbecause of a swelling surplus. Further compounding losses was the poorperformance of corn, the largest U.S. crop, as unseasonably cool and dryweather threatened the harvest. Coffee prices took a dive after the marketoverreacted to news of the first rainfall of the year in Vietnam. After itbecame apparent that the country’s largest growing province continued to battlea drought, New York coffee emerged as the strongest performer for the remainderof the quarter. Soybeans also posted positive gains. However, the two positivecontributors could not compensate for the losses incurred throughout thesector.

Themetals sector was quite volatile during the quarter, ultimately posting a netloss. A decrease in the Institute for Supply Management Non-ManufacturingBusiness Activity Index in April initially caused base metal prices to fall,while precious metals continued to appreciate. Later, the Partnership was ableto benefit from the decline in gold prices and simultaneous strengthening ofthe U.S. dollar. However, gold went on to experience significant volatility.Gold prices rose as crude oil surged, then dipped with the strengthening of theU.S. economy. Higher interest rates generally made investors more hesitant tohold gold and silver, which do not offer fixed returns. The quarter ended witha relatively strong performance from LME zinc.

Stockindices posted slight losses for all three months of the quarter. The sector’slackluster performance is primarily a result of the overall volatility ofequity markets around the world. The quarter is more specifically defined byIBM’s and 3M’s underperformance, the downgrade in Ford’s and GM’s credit ratings,and the Federal Reserve’s ninth consecutive hike in its benchmark interestrate. The fund achieved noteworthy gains in the Eurostoxx 50, while thegreatest losses occurred in the Nasdaq e-mini.

Theenergy sector was the most unprofitable sector of the quarter. Although energyhas trended upward in the recent past, a leap in U.S. supplies and OPEC outputcaused crude oil prices to take a 15% plunge in April. Additional speculationover the slowing of major economies, such as the U.S., Europe, and Japan, hasalso burdened sector performance. Crude oil temporarily rebounded when U.S.crude oil stockpiles fell and the Royal Dutch/Shell group announced the closingof two refinery units. However, just as it appeared that global demand for oilwould peak to a record 86.4 million barrels a day in the 4th quarter, an Energy Department report informedinvestors of an unexpected surge in supplies because of increased productivityin refineries. Overall, all energy sector components were negative for themajority of the quarter.

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Item 3.  Quantitative and Qualitative DisclosuresAbout Market Risk

Notapplicable

Item 4. Controls and Procedures

MLAI, 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 as of the end of the period of this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no 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.

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PART II - OTHERINFORMATION

Item 1.         LegalProceedings

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

Item 2.         Changesin Securities and Use of Proceeds

(a) None.

(b) None.

(c) None.

(d) The Partnershiporiginally registered 2,000,000 units of limited partnership interest.  The Partnership subsequently registered anadditional 10,508,667 units of limited partnership interest.

As of June 30, 2006, thePartnership has sold 10,242,507 units of limited partnership interest, with anaggregate price of $1,947,886,805.

Item 3.         DefaultsUpon Senior Securities

None.

Item 4.         Submissionof Matters to a Vote of Security Holders

None.

Item 5          Other Information

None

Item 5 (a)    Recent Sale of UnregisteredSecurities; Uses ofProceeds From Registered Securities:

Notapplicable

Item 6.         Exhibits

The following exhibits are incorporated by referenceor are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and

31.02                       Rule 13a-14(a)/15d-14(a)Certifications

Exhibit 31.01

and 31.02:               Arefiled herewith.

32.01 and

32.02                       Section 1350Certifications

Exhibit 32.01

and 32.02                Arefiled herewith.

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**SIGNATURES**

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.
|                       | ML JWH STRATEGIC  ALLOCATION FUND L.P. |
|-----------------------|----------------------------------------|
|                  |                                   |   |
|                  |                                   |   |
|                  | By:                                    | MERRILL LYNCH ALTERNATIVE |   |
|                  |                                   | INVESTMENTS LLC |   |
|                  |                                   | (General  Partner) |   |
|                  |                                   |   |
|                  |                                   |   |
| Date: August 14, 2006 | By                                     | /s/ BENJAMIN WESTON |   |
|                  |                                   | Benjamin Weston |
|                  |                                   | Chief Executive Officer and President  (Principal Executive Officer) |
|                  |                                   |   |
|                  |                                   |   |
|                  |                                   |   |
| Date: August 14, 2006 | By                                     | /s/ MICHAEL L. PUNGELLO |   |
|                  |                                   | Michael L. Pungello |
|                  |                                   | Vice President and Chief Financial Officer |
|                  |                                   | (Principal Financial and Accounting Officer) |
|                       |                                        |  |  |  |  |  |  |

 

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