<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 June 30, 2000
                               -------------

                             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 0-18215

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        ---------------------------------
                          (Exact Name of Registrant as
                            specified in its charter)

            Delaware                        06-1287586
-------------------------------   -------------------------------
(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

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware limited partnership)
                         ------------------------------
                        STATEMENTS OF FINANCIAL CONDITION
                        ---------------------------------

<TABLE>
<CAPTION>
                                                                                June 30,           December 31,
                                                                                  2000                 1999
                                                                              (unaudited)
                                                                         ---------------------  -----------------
<S>                                                                      <C>                    <C>
ASSETS
------
Investments                                                                    $   27,993,225       $ 42,876,172
Receivable from investments                                                           457,897          1,007,250
                                                                         ---------------------  -----------------

                TOTAL                                                          $   28,451,122       $ 43,883,422
                                                                         =====================  =================

LIABILITY AND PARTNERS' CAPITAL
-------------------------------
    Liability - Redemptions payable                                            $      457,897       $  1,007,250


PARTNERS' CAPITAL:
    General Partner:
        (434 and 504 Series A Units)                                                   87,455            131,110
        (1,088 and 1,338 Series B Units)                                              178,178            282,923
        (726 and 926 Series C Units)                                                   92,660            152,600
    Limited Partners:
        (34,480 and 39,335 Series A Units)                                          6,948,112         10,232,683
        (83,823 and 100,451 Series B Units)                                        13,728,493         21,241,923
        (54,515 and 65,744 Series C Units)                                          6,958,327         10,834,933
                                                                         ---------------------  -----------------

            Total partners' capital                                                27,993,225         42,876,172
                                                                         ---------------------  -----------------

                TOTAL                                                          $   28,451,122       $ 43,883,422
                                                                         =====================  =================

NET ASSET VALUE PER UNIT
 Series A (34,914 and 39,839 Units outstanding)                                $       201.51       $     260.14
                                                                         =====================  =================
 Series B (84,911 and 101,789 Units outstanding)                               $       163.78       $     211.47
                                                                         =====================  =================
 Series C (55,241 and 66,670 Units outstanding)                                $       127.64       $     164.80
                                                                         =====================  =================
</TABLE>

See notes to financial statements.


                                       2
<PAGE>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        ---------------------------------
                        (a Delaware limited partnership)
                         ------------------------------

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

<TABLE>
<CAPTION>
                                                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,
                                                     2000                  1999                 2000                 1999
                                               -----------------   ---------------------  -----------------   --------------------
<S>                                            <C>                 <C>                    <C>                 <C>
REVENUES:
    Income (Loss) from investments              $    (4,121,469)       $      5,647,083     $   (8,895,947)       $     4,139,449
                                               -----------------   ---------------------  -----------------   --------------------


NET INCOME (LOSS)                               $    (4,121,469)       $      5,647,083     $   (8,895,947)       $     4,139,449
                                               =================   =====================  =================   ====================

NET INCOME (LOSS) PER UNIT:
    Weighted average number of
     units  outstanding                                 183,583                 229,463            193,505                233,331
                                               =================   =====================  =================   ====================

    Weighted average net income (loss)
         per General Partner
        and Limited Partner Unit                $        (22.45)       $          24.61     $       (45.97)       $         17.74
                                               =================   =====================  =================   ====================
</TABLE>

See notes to financial statements.


                                       3
<PAGE>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware limited partnership)
                         ------------------------------

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                   ------------------------------------------
            For the six months ended June 30, 2000 and June 30, 1999
            --------------------------------------------------------
                                   (unaudited)

<TABLE>
<CAPTION>
                                         Units                             General Partner
                                         -----                             ---------------
                          Series A     Series B     Series C     Series A     Series B      Series C
                         ------------ ------------ ------------ ------------ ------------ -------------
<S>                      <C>          <C>          <C>          <C>          <C>          <C>
PARTNERS' CAPITAL,
  December 31, 1998           45,182      116,759       78,337     $149,246     $321,921      $173,635

Redemptions                   (1,997)      (8,841)      (3,889)           -            -             -

Net income                         -            -            -       11,738       25,342        13,668
                         ------------ ------------ ------------ ------------ ------------ -------------

PARTNERS' CAPITAL,
  June 30, 1999               43,185      107,918       74,448     $160,984     $347,263      $187,303
                         ============ ============ ============ ============ ============ =============

PARTNERS' CAPITAL,
  December 31, 1999           39,839      101,789       66,670     $131,110     $282,923      $152,600

Redemptions                   (4,925)     (16,878)     (11,429)     (16,686)     (48,448)      (30,206)

Net loss                           -            -            -      (26,969)     (56,297)      (29,734)
                         ------------ ------------ ------------ ------------ ------------ -------------

PARTNERS' CAPITAL,
  June 30, 2000               34,914       84,911       55,241     $ 87,455     $178,178      $ 92,660
                         ============ ============ ============ ============ ============ =============

<CAPTION>
                                       Limited Partners
                                       ----------------
                          Series A       Series B       Series C          Total
                        -------------- -------------- --------------  --------------
<S>                     <C>            <C>            <C>             <C>
PARTNERS' CAPITAL,
  December 31, 1998      $ 13,230,285   $ 27,771,959   $ 14,516,267    $ 56,163,313

Redemptions                  (594,092)    (2,110,389)      (734,028)   $ (3,438,509)

Net income                    996,793      2,001,838      1,090,070     $ 4,139,449
                        -------------- -------------- --------------  --------------

PARTNERS' CAPITAL,
  June 30, 1999          $ 13,632,986   $ 27,663,408   $ 14,872,309    $ 56,864,253
                        ============== ============== ==============  ==============

PARTNERS' CAPITAL,
  December 31, 1999      $ 10,232,683   $ 21,241,923   $ 10,834,933    $ 42,876,172

Redemptions                (1,129,185)    (3,123,230)    (1,639,245)   $ (5,987,000)

Net loss                   (2,155,386)    (4,390,200)    (2,237,361)   $ (8,895,947)
                        -------------- -------------- --------------  --------------

PARTNERS' CAPITAL,
  June 30, 2000           $ 6,948,112   $ 13,728,493    $ 6,958,327    $ 27,993,225
                        ============== ============== ==============  ==============
</TABLE>


See notes to financial statements.


                                       4
<PAGE>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (A Delaware Limited Partnership)
                         ------------------------------
                          NOTES TO FINANCIAL STATEMENTS
                                  (unaudited)

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

   These financial statements have been prepared without audit. In the opinion
   of management, the financial statements contain all adjustments (consisting
   of only normal recurring adjustments) necessary to present fairly the
   financial position of John W. Henry & Co./Millburn L.P. (the "Partnership")
   as of June 30, 2000, and the results of its operations for the six month
   period ended June 30, 2000 and June 30, 1999. 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
   financial statements prepared in accordance with general accepted accounting
   principles have been omitted. It is suggested that these financial statements
   be read in conjunction with the financial statements and notes thereto
   included in the Partnership's Annual Report on Form 10-K filed with the
   Securities and Exchange Commission for the year ended December 31, 1999 (the
   "Annual Report").

2.   INVESTMENTS

   As of June 30, 2000, the Partnership had an investment in ML JWH Financials
   and Metals Portfolio LLC ("JWH LLC") and ML Millburn Global LLC ("Millburn
   LLC") of $13,509,749 and $14,483,476 respectively. For the period ending
   December 31, 1999, the Partnership had an investment in JWH LLC and Millburn
   LLC of $19,843,543 and $23,032,629, respectively.

   Total revenues and fees with respect to the Fund's investment are set forth
   as follows:


                                       5
<PAGE>

<TABLE>
<CAPTION>
For the three months           Total              Brokerage         Administrative        Profit              Loss from
ended June 30, 2000           Revenue            Commissions            Fees              Shares              Investments
                         ------------------   ------------------  -----------------   -----------------  --------------------
<S>                      <C>                  <C>                 <C>                 <C>                <C>
SERIES A UNITS

JWH LLC                  $        (225,656)   $          89,588   $          2,358    $              -   $          (317,602)
Millburn LLC                      (600,858)              96,491              2,539                   -              (699,888)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $        (826,514)   $         186,079   $          4,897    $              -   $        (1,017,490)
                         ==================   ==================  =================   =================  ====================

SERIES B UNITS

JWH LLC                  $        (448,256)   $         182,504   $          4,804    $              -   $          (635,564)
Millburn LLC                    (1,227,232)             198,210              5,216                   -            (1,430,658)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (1,675,488)   $         380,714   $         10,020    $              -   $        (2,066,222)
                         ==================   ==================  =================   =================  ====================

SERIES C UNITS

JWH LLC                  $        (222,427)   $          92,282   $          2,427    $              -   $          (317,136)
Millburn LLC                      (617,744)             100,239              2,638                   -              (720,621)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $        (840,171)   $         192,521   $          5,065    $              -   $        (1,037,757)
                         ==================   ==================  =================   =================  ====================

TOTAL ALL UNITS

JWH LLC                  $        (896,339)   $         364,374   $          9,589    $              -   $        (1,270,302)
Millburn LLC                    (2,445,834)             394,940             10,393                   -            (2,851,167)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (3,342,173)   $         759,314   $         19,982    $              -   $        (4,121,469)
                         ==================   ==================  =================   =================  ====================

<CAPTION>
For the three months           Total              Brokerage         Administrative        Profit              Gain from
ended June 30, 1999           Revenue            Commissions            Fees              Shares              Investments
                         ------------------   ------------------  -----------------   -----------------  --------------------
<S>                      <C>                  <C>                 <C>                 <C>                <C>
SERIES A UNITS

JWH LLC                  $       1,011,896    $         161,295   $          4,244    $              -   $           846,357
Millburn LLC                       823,753              163,495              4,303             132,399               523,556
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       1,835,649    $         324,790   $          8,547    $        132,399   $         1,369,913
                         ==================   ==================  =================   =================  ====================

SERIES B UNITS

JWH LLC                  $       2,044,696    $         326,120   $          8,584    $              -   $         1,709,992
Millburn LLC                     1,682,105              333,312              8,771             270,468             1,069,554
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       3,726,801    $         659,432   $         17,355    $        270,468   $         2,779,546
                         ==================   ==================  =================   =================  ====================

SERIES C UNITS

JWH LLC                  $       1,101,309    $         175,701   $          4,623    $              -   $           920,985
Millburn LLC                       906,766              179,580              4,726             145,821               576,639
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       2,008,075    $         355,281   $          9,349    $        145,821   $         1,497,624
                         ==================   ==================  =================   =================  ====================

TOTAL ALL UNITS

JWH LLC                  $       4,157,901    $         663,116   $         17,451    $              -   $         3,477,334
Millburn LLC                     3,412,624              676,387             17,800             548,688             2,169,749
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       7,570,525    $       1,339,503   $         35,251    $        548,688   $         5,647,083
                         ==================   ==================  =================   =================  ====================


<PAGE>

<CAPTION>
For the six months             Total              Brokerage         Administrative        Profit              Loss from
ended June 30, 2000           Revenue            Commissions            Fees              Shares              Investments
                         ------------------   ------------------  -----------------   -----------------  --------------------
<S>                      <C>                  <C>                 <C>                 <C>                <C>
SERIES A UNITS

JWH LLC                  $        (673,976)   $         193,456   $          5,092    $              -   $          (872,524)
Millburn LLC                    (1,084,727)             219,332              5,772                   -            (1,309,831)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (1,758,703)   $         412,788   $         10,864    $              -   $        (2,182,355)
                         ==================   ==================  =================   =================  ====================

SERIES B UNITS

JWH LLC                  $      (1,362,598)   $         394,931   $         10,394    $              -   $        (1,767,923)
Millburn LLC                    (2,215,171)             451,521             11,882                   -            (2,678,574)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (3,577,769)   $         846,452   $         22,276    $              -   $        (4,446,497)
                         ==================   ==================  =================   =================  ====================

SERIES C UNITS

JWH LLC                  $        (694,217)   $         201,462   $          5,301    $              -   $          (900,980)
Millburn LLC                    (1,129,619)             230,432              6,064                                (1,366,115)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (1,823,836)   $         431,894   $         11,365    $              -   $        (2,267,095)
                         ==================   ==================  =================   =================  ====================

TOTAL ALL UNITS

JWH LLC                  $      (2,730,791)   $         789,849   $         20,787    $              -   $        (3,541,427)
Millburn LLC                    (4,429,517)             901,285             23,718                   -            (5,354,520)
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $      (7,160,308)   $       1,691,134   $         44,505    $              -   $        (8,895,947)
                         ==================   ==================  =================   =================  ====================

<CAPTION>
For the six months             Total              Brokerage         Administrative        Profit              Gain from
ended June 30, 1999           Revenue            Commissions            Fees              Shares              Investments
                         ------------------   ------------------  -----------------   -----------------  --------------------
<S>                      <C>                  <C>                 <C>                 <C>                <C>
SERIES A UNITS

JWH LLC                  $         731,487    $         317,743   $          8,361    $              -   $           405,383
Millburn LLC                     1,083,825              318,765              8,389             153,523               603,148
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       1,815,312    $         636,508   $         16,750    $        153,523   $         1,008,531
                         ==================   ==================  =================   =================  ====================

SERIES B UNITS

JWH LLC                  $       1,461,478    $         647,492   $         17,042    $              -   $           796,944
Millburn LLC                     2,216,144              654,819             17,232             313,857             1,230,236
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       3,677,622    $       1,302,311   $         34,274    $        313,857   $         2,027,180
                         ==================   ==================  =================   =================  ====================

SERIES C UNITS

JWH LLC                  $         795,118    $         346,758   $          9,124    $              -   $           439,236
Millburn LLC                     1,193,590              350,743              9,230             169,115               664,502
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       1,988,708    $         697,501   $         18,354    $        169,115   $         1,103,738
                         ==================   ==================  =================   =================  ====================

TOTAL ALL UNITS

JWH LLC                  $       2,988,083    $       1,311,993   $         34,527    $              -   $         1,641,563
Millburn LLC                     4,493,559            1,324,327             34,851             636,495             2,497,886
                         ------------------   ------------------  -----------------   -----------------  --------------------

Total                    $       7,481,642    $       2,636,320   $         69,378    $        636,495   $         4,139,449
                         ==================   ==================  =================   =================  ====================
</TABLE>


<PAGE>

Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:

<TABLE>
<CAPTION>
                                                  June 30, 2000                                     December 31, 1999
                                    -------------------------------------------        ------------------------------------------
                                           JWH                    Millburn                   JWH                    Millburn
                                           LLC                      LLC                      LLC                       LLC
                                    -----------------         -----------------        -----------------        -----------------
<S>                                 <C>                       <C>                      <C>                      <C>
Assets                              $      13,863,027         $      14,843,757        $      20,495,709        $      23,769,789
                                    =================         =================        =================        =================

Liabilities                         $         353,278         $         360,281        $         652,166        $         737,160
Members' Capital                           13,509,749                14,483,476               19,843,543               23,032,629
                                    -----------------         -----------------        -----------------        -----------------
Total                               $      13,863,027         $      14,843,757        $      20,495,709        $      23,769,789
                                    =================         =================        =================        =================
</TABLE>

                                                                         JWH LLC

<TABLE>
<CAPTION>
                                     For the three             For the three             For the six              For the six
                                      months ended             months ended              months ended             months ended
                                     June 30, 2000             June 30, 1999             June 30, 2000           June 30, 1999
                                    -----------------         -----------------        -----------------        -----------------
<S>                                 <C>                       <C>                      <C>                      <C>
Revenues                            $        (896,339)        $       4,157,901        $      (2,730,791)       $       2,988,083

Expenses                                      373,963                   680,567                  810,636                1,346,520
                                    -----------------         -----------------        -----------------        -----------------

Net Income (Loss)                   $      (1,270,302)        $       3,477,334        $      (3,541,427)       $       1,641,563
                                    =================         =================        =================        =================
</TABLE>

                                                                    Millburn LLC

<TABLE>
<CAPTION>
                                     For the three             For the three             For the six              For the six
                                      months ended             months ended              months ended             months ended
                                     June 30, 2000             June 30, 1999             June 30, 2000           June 30, 1999
                                    -----------------         -----------------        -----------------        -----------------
<S>                                 <C>                       <C>                      <C>                      <C>
Revenues                            $      (2,445,834)        $       3,412,624        $      (4,429,517)       $       4,493,559

Expenses                                      405,333                 1,242,875                  925,003                1,995,673
                                    -----------------         -----------------        -----------------        -----------------
Net Income  (Loss)                  $      (2,851,167)        $       2,169,749        $      (5,354,520)       $       2,497,886
                                    =================         =================        =================        =================
</TABLE>


                                       8
<PAGE>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

   For the period ended June 30, 2000 and the year ended December 31,1999, the
   Partnership invested all of its assets in Trading LLC's. Accordingly, the
   Partnership is invested indirectly in derivative instruments, but does not
   itself hold any derivative instrument positions. As such, MLIP does not
   believe that the adoption of the provisions of Statement of Financial
   Accounting Standards No. 133 had a significant effect on the financial
   statements of the Partnership.

   MARKET RISK

   Derivative financial instruments involve varying degrees of off-balance sheet
   market risk. Changes in the level or volatility of interest rates, foreign
   currency exchange rates or the market values of the underlying financial
   instruments or commodities underlying such derivative instruments frequently
   resulted in changes in the Partnership's net unrealized profit on such
   derivative instruments as reflected in the Statements of Financial Condition
   or, with respect to Partnership assets invested in Trading LLC's, the net
   unrealized profit as reflected in the respective Statements of Financial
   Condition of the Trading LLC's. 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, through the Trading LLC's, as
   well as the volatility and liquidity of such markets in which such derivative
   instruments are traded.

   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. These procedures focus primarily on monitoring the trading of the
   Advisors selected from time to time for the Partnership, calculating the Net
   Asset Value of the Advisors' respective Partnership accounts and Trading LLC
   accounts, as of the close of business on each day and reviewing outstanding
   positions for over-concentrations both on an Advisor-by-Advisor and on an
   overall Partnership basis. While MLIP does not itself intervene in the
   markets to hedge or diversify the Partnership's market exposure MLIP may urge
   Advisors to reallocate positions, or itself reallocate Partnership assets
   among Advisors (although typically only as of the end of a month) in an
   attempt to avoid over-concentration. However, such interventions are unusual.
   Except in cases in which it appears that an Advisor has begun to deviate from
   past practice and trading policies or to be trading erratically, MLIP's basic
   risk control procedures consist simply of the ongoing process of advisor
   monitoring and selection, with the market risk controls being applied by the
   Advisors themselves.

   CREDIT RISK

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

   The Partnership has credit risk in respect of its counterparties and brokers,
   but attempts to control this risk by dealing almost exclusively with Merrill
   Lynch entities as counterparties and clearing brokers.

   The Partnership, through the Trading LLC's, in its normal course of business,
   enters into various contracts, with MLF acting as its commodity broker.
   Pursuant to the brokerage agreement 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 included in the Statements of Financial
   Condition under Equity in commodity futures accounts.


                                       9
<PAGE>

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

<TABLE>
<CAPTION>
           MONTH-END NET ASSET VALUE PER SERIES A UNIT
-------------------------------------------------------------
        Jan.     Feb.    Mar.     Apr.     May      Jun.
-------------------------------------------------------------
<S>     <C>      <C>     <C>      <C>      <C>      <C>
1999    $287.86  $291.22 $288.12  $297.02  $303.11  $319.42
-------------------------------------------------------------
2000    $255.72  $238.38 $230.44  $230.52  $221.13  $201.51
-------------------------------------------------------------

<CAPTION>

          MONTH-END NET ASSET VALUE PER SERIES B UNIT

-------------------------------------------------------------
        Jan.     Feb.    Mar.     Apr.     May      Jun.
-------------------------------------------------------------
1999    $233.92  $236.65 $234.15  $241.40  $246.31  $259.56
-------------------------------------------------------------
2000    $207.89  $193.79 $187.32  $187.37  $179.72  $163.78
-------------------------------------------------------------

<CAPTION>

          MONTH-END NET ASSET VALUE PER SERIES C UNIT

-------------------------------------------------------------
        Jan.     Feb.    Mar.     Apr.     May      Jun.
-------------------------------------------------------------
1999    $182.30  $184.43 $182.48  $188.13  $191.96  $202.28
-------------------------------------------------------------
2000    $162.02  $151.03 $145.99  $146.03  $140.07  $127.64
-------------------------------------------------------------
</TABLE>

Performance Summary

January 1, 1999 to June 30, 1999
--------------------------------

January 1, 1999 to March 31, 1999

The Partnership produced gains in currency trading during the quarter. On a
trade-weighted basis, the Swiss franc ended the quarter at close to a
seven-month low, mostly as a result of the stronger U.S. dollar. In January,
the yen had advanced by nearly 35% against the dollar since early in August,
and the Bank of Japan lowered rates to keep the economy sufficiently liquid
so as to allow fiscal spending to restore some growth to the economy and to
drive down the surging yen.

Stock index trading was also profitable. Also of note, the Dow Jones Industrial
Average closed above the 10,000 mark for the first time ever at the end of
March, setting a record for the index.

Interest rate trading proved unprofitable for the Partnership. Early in
January, the yield on the Japanese government 10-year bond increased to 1.8%,
sharply above the record low of 0.695% it reached on October 7, 1998. This
was triggered by the Japanese Trust Fund Bureau's decision to absorb a
smaller share of future issues, leaving the burden of financing future budget
deficits to the private sector.

In January, burdensome warehouse stocks and questionable demand prospects
weighed on base metals as aluminum fell to a 5-year low and copper fell to
nearly an 11-year low. Major surpluses in both metals were expected, keeping
prices down, and there was no supply side response to weak demand and lower
prices. However, the end of March showed copper and aluminum leading a surge in
base metals as prices recovered from multi-year lows. In precious metals, gold
failed to sustain a rally, and gold's role as a flight to safety vehicle has
clearly been greatly diminished as has its role as a monetary asset.

April 1, 1999 to June 30, 1999

During the second quarter of 1999, the Partnership's NAV increased as the
Partnership profited from trading in the interest rate, metals, stock indices
and currencies markets. Interest rate trading was profitable as the flight to
quality in the bond market reversed during the first half of 1999 and
concerns about higher interest rates in the U.S. continued to rattle the
financial markets.

In the metals sector there were also gains. Throughout the first half of
1999, gold prices were in a state of gradual erosion and in early June,
prices hit their lowest levels in over 20 years. Gold continued to show a
lack of response to political and military events such as Kosovo and also
lost much of its role as a monetary asset and flight to safety vehicle. The
economic scenario for Asia, Brazil, emerging market nations and Europe helped
keep copper and other base metals on the defensive as demand receded with
virtually no supply side response.


                                       10
<PAGE>

Stock Index trading also resulted in gains overall for the quarter, as equity
markets rallied worldwide in April and June.

Currency trading also resulted in gains for the Partnership. After suffering
under the weight of lower commodity prices and the Asian recession, the
Canadian dollar underwent a significant rally in the first half of 1999,
moving up about 3 cents from the end of 1998. It has been in a corrective
mode since early May, but unlike past years has retained much of its gain.

January 1, 2000 to June 30, 2000
---------------------------------
January 1, 2000 to March 31, 2000

Currency trading alternated through out the month as gains in Swiss franc
positions were outweighed by losses in British pound trading in the beginning of
the quarter. Despite evidence of expansion in Europe, the Swiss franc slipped to
a 10-year low against the dollar. This move mimicked the decline in the Euro
which came after officials from the Group of Seven met and failed to express
concern about the low levels of the European currency. Trading during the middle
of the quarter was profitable through gains in Euro futures and Japanese yen
trading. The Euro's continued weakness can be attributed to a number of factors,
including the slow pace of microeconomic reform in Europe, plans for a European
withholding tax and the scale of direct investment flows outside of Europe. In
the end of the quarter losses were sustained in Japanese yen and British pound
positions. The yen has been strong in spite of Japan's slide back into recession
during the second half of 1999.

Trading in Nikkei 225 Stock Index positions resulted in losses. The losses
suffered early in the quarter rebounded to close at its highest level since
1997 and carried on throughout mid-quarter. Positions in the Nikkei 225 and
FTSE Financial Times Stock Index resulted in profits for the Partnership. The
economy in the United Kingdom has been growing at a robust pace and is
accompanied by low inflation.

Metals trading was unprofitable for the quarter. Concerns about higher U.S.
interest rates and the sharp declines in global stock prices during January
created a somewhat nervous and defensive tone in base metals trading. Trading
was unprofitable in February due to losses in gold and aluminum. Mid-month
reports showed aluminum inventories monitored by the London Metal Exchange at
their highest level in almost three years, resulting in a decrease in prices.

Short Eurodollar trading was profitable as the currency continued to decline in
January. The European Union ministers blamed the currency's slide in January on
rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest
rates. These profits were far outweighed by losses in the Japanese 10-year bond,
U.S. 10-year Treasury note positions and long U.S. Treasury positions as the
yield curve fluctuated widely during the quarter.

April 1, 2000 to June 30, 2000

Metals trading was unprofitable for the quarter. During the middle of the
quarter, copper trading resulted in losses for the sector. A Freeport, Indonesia
mine announced output cuts would not be as large as the Indonesian government
had forecast, resulting in losses for the Partnership's long positions. Losses
continued through the quarter as trading in both base and precious metals was
unprofitable as losses were sustained in gold and aluminum positions. As has
been the ongoing pattern, gold showed virtually no response to activities in the
financial and equity markets, including the surge in energy prices.

Currency trading proved unprofitable for the Partnership. Early in the quarter,
gains from long Swiss franc positions could not outweighed losses sustained in
other currencies. Despite the dramatic interest rate hikes by the Swiss National
Bank ("SNB"), the SNB said it will not keep the Swiss franc from rising.
Currency trading resulted in losses for the sector during May despite gains in
short positions in the British pound, as losses were sustained in Euro futures
trading. The Euro rallied to U.S. $0.97 early in June, but faced profit-taking
after news of some capital outflow from Euroland.

Stock index trading was unprofitable as losses were sustained in Nikkei 225 and
S&P 500 positions in the quarter. Signs of rising inflation fueled fears that
the Federal Reserve will continue to raise interest rates aggressively to slow
the robust economy.

Interest rate trading results were unprofitable for the quarter. Losses from
U.S. Treasury note trading exceeded gains from Japanese 10-year bond positions.
U.S. yields fell during the month as investors shifted to Treasuries due to
increased volatility in the NASDAQ and other equity markets. Losses were
incurred in Euro dollar and Euro-Bund positions. Short positions resulted in
losses as the Euro dollar improved after the European Central Bank's 50 basis
point repo rate hike.


                                       11
<PAGE>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending legal proceedings to which the Partnership or the
          General Partner is a party.

Item 2.   Changes in Securities and Use of Proceeds

          (a) None.
          (b) None.
          (c) None.
          (d) None.

Item 3.   Defaults Upon Senior Securities

          None.

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

          None.

Item 5.   Other information

          None.

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

          (a)  EXHIBITS

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

          (b)  REPORTS ON FORM 8-K

          There were no reports on Form 8-K filed during the first six months
          of fiscal 2000.


                                       12
<PAGE>

                                    SIGNATURE


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.


                                    JOHN W. HENRY & CO./MILLBURN L.P.






                                    By:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                            (General Partner)





Date:  August 15, 2000              By /s/ JOHN R. FRAWLEY J.R.
                                       ------------------------
                                       John R. Frawley, Jr.
                                       Chairman, Chief Executive Officer,
                                       President and Director





Date: August 15, 2000               By /s/ MICHAEL L. PUNGELLO
                                       -----------------------
                                       Michael L. Pungello
                                       Vice President, Chief Financial Officer
                                       and Treasurer


                                       13