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

                    OR

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

For the transition period from                  to
                               ----------------    ----------------

Commission File Number 0-18215

                        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 MLIM Alternative Strategies LLC
                 (formerly, 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,
                                                                 2001             2000
                                                             (UNAUDITED)
                                                            --------------   --------------
<S>                                                         <C>              <C>
ASSETS
Investments                                                 $   27,509,210   $   29,423,145
Receivable from investments                                        371,616          414,650
                                                            --------------   --------------

                TOTAL                                       $   27,880,826   $   29,837,795
                                                            ==============   ==============

LIABILITY AND PARTNERS' CAPITAL

    Redemptions payable                                     $      371,616   $      414,650
                                                            --------------   --------------

            Total liabilities                                      371,616          414,650
                                                            --------------   --------------

PARTNERS' CAPITAL:
    General Partner:
        (327 and 327 Series A Units)                                86,865           84,379
        (728 and 728 Series B Units)                               157,122          152,621
        (532 and 532 Series C Units)                                89,484           86,921
    Limited Partners:
        (27,007 and 28,737 Series A Units)                       7,174,198        7,415,475
        (59,321 and 66,325 Series B Units)                      12,803,051       13,906,094
        (42,796 and 47,598 Series C Units)                       7,198,490        7,777,655
                                                            --------------   --------------

            Total partners' capital                             27,509,210       29,423,145
                                                            --------------   --------------

                TOTAL                                       $   27,880,826   $   29,837,795
                                                            ==============   ==============

NET ASSET VALUE PER UNIT
  Series A (based on 27,334 and 29,064 Units outstanding)   $       265.64   $       258.05
                                                            ==============   ==============
  Series B (based on 60,049 and 67,053 Units outstanding)   $       215.83   $       209.67
                                                            ==============   ==============
  Series C (based on 43,328 and 48,130 Units outstanding)   $       168.20   $       163.40
                                                            ==============   ==============
</Table>

See notes to financial statements.


                                       2
<Page>

                         JOHN W. HENRY & CO./MILLBURN LP
                        (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,
                                                         2001              2000             2001              2000
                                                     (unaudited)       (unaudited)        (unaudited)      (unaudited)
                                                   ---------------   ---------------   ---------------  ---------------
<S>                                                <C>               <C>               <C>              <C>
REVENUES:
    Income (loss) from investments                 $   (3,381,495)   $   (4,121,469)   $      962,197   $   (8,895,947)
                                                   ---------------   ---------------   ---------------  ---------------


NET INCOME (LOSS)                                  $   (3,381,495)   $   (4,121,469)   $      962,197   $   (8,895,947)
                                                   ===============   ===============   ===============  ===============

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
     and Limited Partner Units outstanding                134,221           183,583           137,794          193,505
                                                   ===============   ===============   ===============  ===============

    Net income (loss) per weighted average
        General Partner and Limited Partner Unit   $       (25.19)   $       (22.45)   $         6.98   $       (45.97)
                                                   ===============   ===============   ===============  ===============
</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, 2001 AND 2000
                                   (unaudited)

<Table>
<Caption>
                                       UNITS                               GENERAL PARTNER
                          SERIES A    SERIES B    SERIES C     SERIES A        SERIES B        SERIES C       SERIES A
                         ----------  ----------  ----------  ------------  ---------------  -------------  --------------
<S>                      <C>         <C>         <C>         <C>           <C>              <C>            <C>
PARTNERS' CAPITAL,
  December 31, 1999         39,839     101,789      66,670    $  131,110    $     282,923    $   152,600    $ 10,232,683

Net loss                        --          --          --       (26,969)         (56,297)       (29,734)     (2,155,386)

Redemptions                 (4,925)    (16,878)    (11,429)      (16,686)         (48,448)       (30,206)     (1,129,185)
                         ----------  ----------  ----------  ------------  ---------------  -------------  --------------

PARTNERS' CAPITAL,
  June 30, 2000             34,914      84,911      55,241    $   87,455    $     178,178    $    92,660    $  6,948,112
                         ==========  ==========  ==========  ============  ===============  =============  ==============

PARTNERS' CAPITAL,
  December 31, 2000         29,064      67,053      48,130    $   84,379    $     152,621    $    86,921    $  7,415,475

Net income                      --          --          --         2,486            4,501          2,563         221,308

Redemptions                 (1,730)     (7,004)     (4,802)           --               --             --        (462,585)
                         ----------  ----------  ----------  ------------  ---------------  -------------  --------------

PARTNERS' CAPITAL,
  June 30, 2001             27,334      60,049      43,328        86,865          157,122         89,484       7,174,198
                         ==========  ==========  ==========  ============  ===============  =============  ==============

<Caption>

                           LIMITED PARTNERS
                               SERIES B         SERIES C           TOTAL
                           ----------------  -------------    --------------
<S>                        <C>               <C>              <C>
PARTNERS' CAPITAL,
  December 31, 1999         $   21,241,923    $10,834,933      $ 42,876,172

Net loss                        (4,390,200)    (2,237,361)       (8,895,947)

Redemptions                     (3,123,230)    (1,639,245)       (5,987,000)
                           ----------------  -------------    --------------

PARTNERS' CAPITAL,
  June 30, 2000             $   13,728,493    $ 6,958,327      $ 27,993,225
                           ================  =============    ==============

PARTNERS' CAPITAL,
  December 31, 2000         $   13,906,094    $ 7,777,655      $ 29,423,145

Net income                         464,795        266,544           962,197

Redemptions                     (1,567,838)      (845,709)       (2,876,132)
                           ----------------  -------------    --------------

PARTNERS' CAPITAL,
  June 30, 2001             $   12,803,051    $ 7,198,490      $ 27,509,210
                           ================  =============    ==============
</Table>

See notes to financial statements.

                                       4
<Page>

                         John W. Henry & Co./Millburn LP
                        --------------------------------
                        (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, 2001, and the results of its operations for the three and
     six month periods ended June 30, 2001 and 2000. However, the operating
     results for the interim periods may not be indicative of the results
     expected for the full year.

     Certain information and footnote disclosures normally included in annual
     financial statements prepared in conformity with accounting principles
     general accepted in the United States of America have been omitted. It is
     suggested that these financial statements be read in conjunction with the
     financial statements and notes thereto included in the Partnership's Annual
     Report on Form 10-K filed with the Securities and Exchange Commission for
     the year ended December 31, 2000 (the "Annual Report").

2.   INVESTMENTS

     As of June 30, 2001, the Partnership had an investment in ML JWH Financials
     and Metals Portfolio L.L.C. ("JWH LLC") and Millburn Global L.L.C.
     ("Millburn LLC") of $14,448,747 and $13,060,463 respectively. For the year
     ending December 31, 2000, the Partnership had an investment in JWH LLC and
     Millburn LLC of $15,281,744 and $14,141,401, respectively.

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


                                       5
<Page>

<Table>
<Caption>
For the three months           TOTAL             BROKERAGE        ADMINISTRATIVE         LOSS FROM
ended June 30, 2001           REVENUE           COMMISSIONS            FEES             INVESTMENTS
                         -----------------   -----------------  -----------------    -----------------
<S>                      <C>                 <C>                <C>                  <C>
SERIES A UNITS
JWH LLC (unaudited)       $      (447,319)    $        84,713    $         2,492      $      (534,524)
Millburn LLC (unaudited)         (259,263)             76,076              2,237             (337,576)
                         -----------------   -----------------  -----------------    -----------------
Total                     $      (706,582)    $       160,789    $         4,729      $      (872,100)
                         =================   =================  =================    =================
SERIES B UNITS
JWH LLC (unaudited)       $      (824,753)    $       155,011    $         4,559      $      (984,323)
Millburn LLC (unaudited)         (479,591)            140,337              4,128             (624,056)
                         -----------------   -----------------  -----------------    -----------------
Total                     $    (1,304,344)    $       295,348    $         8,687      $    (1,608,379)
                         =================   =================  =================    =================
SERIES C UNITS
JWH LLC (unaudited)       $      (461,564)    $        86,742    $         2,551      $      (550,857)
Millburn LLC (unaudited)         (269,316)             78,533              2,310             (350,159)
                         -----------------   -----------------  -----------------    -----------------
Total                     $      (730,880)    $       165,275    $         4,861      $      (901,016)
                         =================   =================  =================    =================
TOTAL ALL UNITS
JWH LLC (unaudited)       $    (1,733,636)    $       326,466    $         9,602      $    (2,069,704)
Millburn LLC (unaudited)       (1,008,170)            294,946              8,675           (1,311,791)
                         -----------------   -----------------  -----------------    -----------------
Total                     $    (2,741,806)    $       621,412    $        18,277      $    (3,381,495)
                         =================   =================  =================    =================
</Table>

<Table>
<Caption>
For the three months
ended June 30, 2000            TOTAL             BROKERAGE       ADMINISTRATIVE          LOSS FROM
                              REVENUE           COMMISSIONS           FEES              INVESTMENTS
                         -----------------   -----------------  -----------------    -----------------
<S>                      <C>                 <C>                <C>                  <C>
SERIES A UNITS
JWH LLC (unaudited)       $      (225,656)    $        89,588    $         2,358      $      (317,602)
Millburn LLC (unaudited)         (600,858)             96,491              2,539             (699,888)
                         ----------------    ----------------   ----------------     -----------------
Total                     $      (826,514)    $       186,079    $         4,897      $    (1,017,490)
                         =================   =================  =================    =================
SERIES B UNITS
JWH LLC (unaudited)       $      (448,256)    $       182,504    $         4,804      $      (635,564)
Millburn LLC (unaudited)       (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 (unaudited)       $      (222,427)    $        92,282    $         2,427      $      (317,136)
Millburn LLC (unaudited)         (617,744)            100,239              2,638             (720,621)
                         ----------------    ----------------   ----------------     -----------------
Total                     $      (840,171)    $       192,521    $         5,065      $    (1,037,757)
                         =================   =================  =================    =================
TOTAL ALL UNITS
JWH LLC (unaudited)       $      (896,339)    $       364,374    $         9,589      $    (1,270,302)
Millburn LLC (unaudited)       (2,445,834)            394,940             10,393           (2,851,167)
                         ----------------    ----------------   ----------------     -----------------
Total                     $    (3,342,173)    $       759,314    $        19,982      $    (4,121,469)
                         =================   =================  =================    =================
</Table>


                                       6
<Page>

<Table>
<Caption>
For the six months
ended June 30, 2001            TOTAL              BROKERAGE       ADMINISTRATIVE        INCOME FROM
                              REVENUE            COMMISSIONS          FEES              INVESTMENTS
                         -----------------   -----------------  -----------------    -----------------
<S>                      <C>                 <C>                <C>                  <C>
SERIES A UNITS
JWH LLC (unaudited)       $       339,382     $       172,886    $         5,085      $       161,411
Millburn LLC (unaudited)          220,843             153,934              4,527               62,382
                         -----------------   -----------------  -----------------    -----------------
Total                     $       560,225     $       326,820    $         9,612      $       223,793
                         =================   =================  =================    =================
SERIES B UNITS
JWH LLC (unaudited)       $       663,049     $       321,647    $         9,460      $       331,942
Millburn LLC (unaudited)          434,517             288,673              8,490              137,354
                         -----------------   -----------------  -----------------    -----------------
Total                     $     1,097,566     $       610,320    $        17,950      $       469,296
                         =================   =================  =================    =================
SERIES C UNITS
JWH LLC (unaudited)       $       375,864     $       180,372    $         5,305      $       190,187
Millburn LLC (unaudited)          245,554             161,871              4,762               78,921
                         -----------------   -----------------  -----------------    -----------------
Total                     $       621,418     $       342,243    $        10,067      $       269,108
                         =================   =================  =================    =================
TOTAL ALL UNITS
JWH LLC (unaudited)       $     1,378,295     $       674,905    $        19,850      $       683,540
Millburn LLC (unaudited)          900,914             604,478             17,779              278,657
                         -----------------   -----------------  -----------------    -----------------
Total                     $     2,279,209     $     1,279,383    $        37,629      $       962,197
                         =================   =================  =================    =================
</Table>
<Table>
<Caption>
For the six months
ended June 30, 2000            TOTAL              BROKERAGE      ADMINISTRATIVE          LOSS FROM
                              REVENUE            COMMISSIONS          FEES              INVESTMENTS
                         -----------------   -----------------  -----------------    -----------------
<S>                      <C>                 <C>                <C>                  <C>
SERIES A UNITS
JWH LLC (unaudited)       $      (673,976)    $       193,456    $         5,092      $      (872,524)
Millburn LLC (unaudited)       (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 (unaudited)       $    (1,362,598)    $       394,931    $        10,394      $    (1,767,923)
Millburn LLC (unaudited)       (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 (unaudited)       $      (694,217)    $       201,462    $         5,301      $      (900,980)
Millburn LLC (unaudited)       (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 (unaudited)       $    (2,730,791)    $       789,849    $        20,787      $    (3,541,427)
Millburn LLC (unaudited)       (4,429,517)            901,285             23,718           (5,354,520)
                         -----------------   -----------------  -----------------    -----------------
Total                     $    (7,160,308)    $     1,691,134    $        44,505      $    (8,895,947)
                         =================   =================  =================    =================
</Table>


                                       7
<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, 2001
                                     (unaudited)                   DECEMBER 31, 2000
                          --------------------------------  --------------------------------
                                JWH            MILLBURN           JWH            MILLBURN
                                LLC              LLC              LLC              LLC
                          ---------------  ---------------  ---------------  ---------------
<S>                       <C>              <C>              <C>              <C>
Assets                     $  14,771,385    $  13,336,834    $  15,631,088    $  14,448,475
                          ===============  ===============  ===============  ===============
Liabilities                $     322,638    $     276,371    $     349,344    $     307,074
Members' Capital
                              14,448,747       13,060,463       15,281,744       14,141,401
                          ---------------  ---------------  ---------------  ---------------
Total                      $  14,771,385    $  13,336,834    $  15,631,088    $  14,448,475
                          ===============  ===============  ===============  ===============
</Table>
<Table>
<Caption>
                                                        JWH LLC
                           FOR THE THREE    FOR THE THREE     FOR THE SIX     FOR THE SIX
                               MONTHS           MONTHS           MONTHS          MONTHS
                           ENDED JUNE 30,   ENDED JUNE 30,   ENDED JUNE 30,   ENDED JUNE 30,
                                2001            2000              2001            2000
                            (unaudited)      (unaudited)      (unaudited)      (unaudited)
                          ---------------  ---------------  ---------------  ---------------
<S>                       <C>              <C>              <C>              <C>
Revenues                   $  (1,733,636)   $    (896,339)   $   1,378,295    $  (2,730,791)
Expenses                         336,068          373,963          694,755          810,636
                          ---------------  ---------------  ---------------  ---------------
Net Income (Loss)          $  (2,069,704)   $  (1,270,302)   $     683,540    $  (3,541,427)
                          ===============  ===============  ===============  ===============
</Table>

<Table>
<Caption>
                                                     MILLBURN LLC
                           FOR THE THREE    FOR THE THREE     FOR THE SIX      FOR THE SIX
                               MONTHS          MONTHS            MONTHS           MONTHS
                           ENDED JUNE 30,  ENDED JUNE 30,    ENDED JUNE 30,   ENDED JUNE 30,
                                2001             2000             2001            2000
                            (unaudited)      (unaudited)      (unaudited)      (unaudited)
                          ---------------  ---------------  ---------------  ---------------
<S>                       <C>              <C>              <C>              <C>
Revenues                   $  (1,008,170)   $  (2,445,834)   $     900,914    $  (4,429,517)
Expenses
                                 303,621          405,333          622,257          925,003
                          ---------------  ---------------  ---------------  ---------------
Net Income  (Loss)         $  (1,311,791)   $  (2,851,167)   $     278,657    $  (5,354,520)
                          ===============  ===============  ===============  ===============
</Table>
3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The Partnership invests all of its assets in Trading LLCs. Accordingly, the
     Partnership is invested indirectly in derivative instruments, but does not
     itself hold any derivative instrument positions. The application of the
     provisions of Statement of Financial Accounting Standards ("SFAS") No. 133,
     as amended by SFAS No. 137 and SFAS No. 138, did not have 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 Trading LLC's net unrealized profit
     (loss) on such derivative instruments as reflected in the Statements of

                                       8
<Page>

     Financial Condition of the Trading LLCs. 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 LLCs, as well as the volatility and liquidity of
     such markets in which such derivative instruments are traded.

     The General Partner, MLIM Alternative Strategies LLC, ("MLIM AS LLC")
     (formerly, Merrill Lynch Investment Partners, Inc.) 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 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 MLIM
     AS LLC does not itself intervene in the markets to hedge or diversify the
     Partnership's market exposure, MLIM AS LLC 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, MLIM AS LLC'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, through the Trading LLCs, has credit risk in respect of
     its counterparties and brokers, but attempts to mitigate this risk by
     dealing almost exclusively with Merrill Lynch entities as clearing brokers.

     The Partnership, through the Trading LLCs, in its normal course of
     business, enters into various contracts, with Merrill Lynch Futures ("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 of the Trading LLCs under
     Equity in commodity futures trading accounts.


                                       9
<Page>

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

                   MONTH-END NET ASSET VALUE PER SERIES A UNIT

<Table>
<Caption>
        JAN.     FEB.    MAR.     APR.     MAY      JUN.
<S>     <C>      <C>     <C>      <C>      <C>      <C>
2000    $255.72  $238.38 $230.44  $230.52  $221.13  $201.51
2001    $264.13  $265.03 $297.36  $274.43  $279.83  $265.64
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
        JAN.     FEB.     MAR.     APR.     MAY      JUN.
<S>     <C>      <C>      <C>      <C>      <C>      <C>
2000    $207.89  $193.79  $187.32  $187.37  $179.72  $163.78
2001    $214.61  $215.32  $241.58  $222.96  $227.36  $215.83
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
        JAN.     FEB.     MAR.     APR.     MAY      JUN.
<S>     <C>      <C>      <C>      <C>      <C>      <C>
2000    $162.02  $151.03  $145.99  $146.03  $140.07  $127.64
2001    $167.25  $167.81  $188.27  $173.76  $177.19  $168.20
</Table>

     Performance Summary

     All of the Partnership's assets are invested in Trading LLCs. The
     Partnership receives trading profits as an investor in Trading LLCs . The
     following commentary describes the trading results of Trading LLCs.

     JANUARY 1, 2001 to JUNE 30, 2001
     --------------------------------
     January 1, 2001 to March 31, 2001

     Trading in the interest rate markets was profitable during the quarter.
     Euro dollar trading was successful in January as the weakening U.S. economy
     and the Federal Reserve's move to cut interest rates caused Euro dollar
     futures contracts to rise dramatically from December 2000 lows. Japanese
     ten-year bonds and Euro-bund cross futures trading was profitable in
     February and March.

     Despite its volatility, trading in the currency markets resulted in gains.
     Losses from the British pound and the Euro offset early gains from Japanese
     yen positions. By February, the Euro fell from a near high 96 cents back to
     the 90-cent level, causing losses in long Euro positions. Profits from
     Japanese yen and Swiss franc positions realized in March erased losses
     sustained earlier in the quarter.

     Stock index trading was moderately successful for the Partnership. Profits
     from Hang Seng and FTSE Financial Times Stock Index outweighed losses from
     Nikkei 225, DAX German Stock Index and Topix positions. Global equity
     markets remain caught between negative news about earnings and the
     potential positive effects of further monetary easings.

     Metals trading was moderately unprofitable for the Partnership. Gold,
     copper and aluminum trading alternated between profitability and
     unprofitability throughout the quarter.

     April 1, 2001 to June 30, 2001

     Trading in the metals sector incurred slight losses.  Weakness in the
     Euro, a decline in the Australian dollar to all time lows and producer and
     central bank selling sent gold prices lower.  Copper trading was
     unprofitable despite a number of bullish developments due to existing
     demand constraints.

     Stock index trading sustained losses throughout the quarter on FTSE
     Financial Times Stock Index, Nikkei 225 and NASDAQ 100 positions.

     Trading in the currency markets was not profitable.  Losses occurred from
     Japanese yen positions.  The further weakening of the yen displayed how the
     global economy is not immune to the economic slowdown of the U.S. currency
     markets remained concerned with a hard landing for the Japanese economy.
     The Euro continued its downward trend versus the U.S. dollar.

     Trading in the interest rate sector was highly unprofitable for the
     Partnership.  Positions in Euro-Bund futures, U.S. Treasury bonds and U.S.
     10-year notes had significant losses.


                                       10
<Page>

     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. At 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 for the
     Partnership. 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.


                                       11
<Page>

     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.







                                       12
<Page>

                           PART II - OTHER INFORMATION





Item 1.  Legal Proceedings

There are no pending legal proceedings to which the Partnership or MLIM AS LLC
is a party.

Item 2.  Changes in Securities and Use of Proceeds

None.
None.
None.
None.

Item 3.  Defaults Upon Senior Securities

None.

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

None.

Item 5.  Other information

          Effective May 31, 2001, Merrill Lynch Investment Partners, Inc.
          ("MLIP"), a Delaware corporation and General Partner of the
          Partnership, converted to a Delaware limited liability company. In
          connection with the conversion, MLIP's name was changed to MLIM
          Alternative Strategies LLC ("MLIM AS LLC"). This step was taken in
          connection with the ongoing reorganization of the various
          alternative investment groups under the Merrill Lynch Investment
          Managers umbrella. The change will have no impact on the
          Partnership's investors.

          All of the officers of MLIP continue in their former roles with
          MLIM AS LLC, except that also effective May 31, 2001, Ronald S.
          Rosenberg, formerly Chief Executive Officer of MLIP, became
          President of MLIM AS LLC and Fabio P. Savoldelli, formerly
          President of MLIP, became Chairman and Chief Executive Officer of
          MLIM AS LLC. In addition, each of the four directors of MLIP now
          serve on the board of managers of MLIM AS LLC.


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 2001.



                                       13
<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:  MLIM ALTERNATIVE STRATEGIES LLC
                             (formerly Merrill Lynch Investment Partners, Inc.)
                                               (General Partner)



Date:  August 13, 2001           By /s/ FABIO SAVOLDELLI
                                    --------------------
                                    Fabio Savoldelli
                                        Chairman,
                             Chief Executive Officer and Manager





Date:  August 13, 2001           By /s/ MICHAEL L. PUNGELLO
                                    -----------------------
                                    Michael L. Pungello
                                    Vice President, Chief Financial Officer
                                    and Treasurer


                                       14