<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   September 30, 1998
                               --------------------

                    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.
            Merrill Lynch World Headquarters - South Tower, 6th Fl.
             World Financial Center New York, New York  10080-6106
             -----------------------------------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                 212-236-5662
                 --------------------------------------------
              (Registrant's telephone number, including area ode)

     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> 
                                                                          September 30,        December 31,
                                                                              1998                 1997                             
                                                                       -----------------    -----------------                       
<S>                                                                    <C>                  <C>                                     
ASSETS                                                                                                                              
------                                                                                                                              
Investments                                                              $    60,686,438     $     63,024,164                       
Receivable from investments                                                    1,208,193              514,158                       
                                                                       -----------------    -----------------                       

         TOTAL                                                           $    61,894,631     $     63,538,322                       
                                                                       =================    =================                       

LIABILITIES AND PARTNERS' CAPITAL                                                                                                   
---------------------------------                                                                                                   
LIABILITIES:                                                                                                                        
   Redemptions payable                                                   $     1,208,193     $        514,158                       
                                                                       -----------------    -----------------                       

       Total liabilities                                                       1,208,193              514,158                       
                                                                       -----------------    -----------------                       

PARTNERS' CAPITAL:                                                                                                                  
   General Partner:                                                                                                                 
    (504 and 780 Series A Units)                                                 154,184              221,605                       
    (1338 and 1976 Series B Units)                                               332,561              456,174                       
    (896 and 1439 Series C Units)                                                173,562              258,899                       
Limited Partners:                                                                                                                   
    (45485 and 50992 Series A Units)                                          13,914,921           14,487,473                       
    (120794 and 135244 Series B Units)                                        30,025,451           31,223,304                       
    (83036 and 91020 Series C Units)                                          16,085,759           16,376,709                       
                                                                       -----------------    -----------------                       

       Total partners' capital                                                60,686,438           63,024,164                       
                                                                       -----------------    -----------------                       

          TOTAL                                                          $    61,894,631     $     63,538,322                       
                                                                       =================    =================                       

NET ASSET VALUE PER UNIT                                                                                                            
Series A (Based on 45989 and 51772 Units outstanding)                    $        305.92     $         284.11                       
                                                                       =================    =================                       
Series B (Based on 122132 and 137220 Units outstanding)                  $        248.57     $         230.87                       
                                                                       =================    =================                       
Series C (Based on 83932 and 92459 Units outstanding)                    $        193.72     $         179.92                       
                                                                       =================    =================                       
</TABLE> 
See notes to financial statements.

                                       2
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                       ---------------------------------
                       (a Delaware limited partnership)
                       --------------------------------
 
                             STATEMENTS OF INCOME
                             --------------------

<TABLE>
<CAPTION> 
                                            For the three          For the three           For the nine            For the nine
                                             months ended           months ended           months ended            months ended
                                            September 30,          September 30,          September 30,           September 30,
                                                 1998                   1997                   1998                    1997
                                         -------------------    -------------------    -------------------     -------------------
<S>                                      <C>                    <C>                    <C>                     <C>
REVENUES:
    Income from investments                      $11,356,796            $4,026,458              $3,872,096             $5,219,594
                                        --------------------    ------------------    --------------------     ------------------
 
 
NET INCOME                                       $11,356,796            $4,026,458              $3,872,096             $5,219,594
                                        ====================    ==================    ====================     ==================
 
NET INCOME PER UNIT:
    Weighted average number of units
        outstanding                                  260,011               292,180                 270,675                297,946
                                        ====================    ==================    ====================     ==================
 
    Weighted average net income
       per Limited Partner
      and General Partner Unit                   $     43.68            $    13.78              $    14.31             $    17.52
                                        ====================    ==================    ====================     ==================
</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 nine months ended September 30, 1998 and 1997
             -----------------------------------------------------

<TABLE>
<CAPTION>
                                               Units                                     Limited Partners                       
                                               -----                                     ----------------                       
                             Series A         Series B       Series C       Series A         Series B           Series C        
                          --------------    ------------  --------------  -------------  ----------------  -----------------    
<S>                       <C>               <C>           <C>             <C>            <C>               <C>                  
PARTNERS' CAPITAL,                                                                                                              
                                                                                                                                
  December 31, 1996               56,376         148,528         100,695    $14,040,479       $30,082,484        $15,878,356    
                                                                                                                                
Redemptions                       (4,024)         (8,830)         (6,626)    (1,091,900)       (1,936,437)        (1,129,570)   
                                                                                                                                
Net Income                           --              --              --       1,209,209         2,580,597          1,357,393    
                          --------------    ------------  --------------  -------------  ----------------  -----------------    
                                                                                                                                
PARTNERS' CAPITAL,                                                                                                              
  September 30, 1997              52,352         139,698          94,069    $14,157,788       $30,726,644        $16,106,179    
                          ==============    ============  ==============  =============  ================  =================    
                                                                                                                                
PARTNERS' CAPITAL,                                                                                                              
  December 31, 1997               51,772         137,220          92,459    $14,487,473       $31,223,304        $16,376,709    
                                                                                                                                
Redemptions                       (5,783)        (15,088)         (8,527)    (1,430,084)       (3,152,220)        (1,334,901)   
                                                                                                                                
Net Income                           --              --              --         857,532         1,954,367          1,043,951    
                          --------------    ------------  --------------  -------------  ----------------  -----------------    
                                                                                                                                
PARTNERS' CAPITAL,                                                                                                              
  September 30, 1998              45,989         122,132          83,932    $13,914,921       $30,025,451        $16,085,759    
                          ==============    ============  ==============  =============  ================  =================    
                                                                                                                                  
<CAPTION>                                                                                                                         
                                         General Partner                                                                            
                                         ---------------
                            Series A        Series B        Series C           Total
                         -------------    ------------    ------------      ------------ 
<S>                      <C>             <C>             <C>               <C> 
PARTNERS' CAPITAL,            
  December 31, 1996           $196,983       $ 405,594        $230,192       $60,834,088
                            
Redemptions                         --              --              --       $(4,157,907)
                              
Net Income                      17,144          35,246          20,005       $ 5,219,594
                         -------------    ------------    ------------      ------------   

PARTNERS' CAPITAL,            
  September 30, 1997          $214,127       $ 440,840        $250,197       $61,895,775
                         =============    ============    ============      ============     

PARTNERS' CAPITAL,            
  December 31, 1997           $221,605       $ 456,174        $258,899       $63,024,164

Redemptions                    (70,937)       (133,279)        (88,401)      $(6,209,822)

Net Income                       3,516           9,666           3,064       $ 3,872,096
                         -------------    ------------    ------------      ------------    

PARTNERS' CAPITAL,        
  September 30, 1998          $154,184       $ 332,561        $173,562       $60,686,438
                         =============    ============    ============      ============      
</TABLE> 

See notes to financial statements.

                                       4
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                       (A Delaware Limited Partnership)
                        ------------------------------ 

                         NOTES TO FINANCIAL STATEMENTS


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"
   or the "Fund") as of September 30, 1998 and the results of its operations for
   the nine months ended September 30, 1998 and 1997.  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, 1997
   (the "Annual Report").

   As of December 1, 1996, the Partnership invested all of its assets in Trading
   LLCs.  The Partnership was, thus, invested indirectly in the trading of
   derivative instruments, but did not itself hold any derivative positions.
   Consequently, no such positions subsequent to November 30, 1996 are reflected
   in these financial statements.

2. INVESTMENTS

   As of September 30, 1998 and December 31, 1997, the Partnership had
   investments in the ML JWH Financial and Metals Portfolio L.L.C. ("JWH LLC")
   and ML Millburn Global L.L.C. ("Millburn LLC") as follows:

<TABLE> 
<CAPTION> 
                            1998                1997
                            ----                ----  
   <S>                 <C>                 <C> 
   JWH LLC             $ 31,442,622        $ 31,979,914
   Millburn LLC          29,243,816          31,044,250
                       ------------        ------------
   Total               $ 60,686,438        $ 63,024,164
                       ============        ============
</TABLE> 

                                       5
<PAGE>

 
Total revenues and fees with respect to such investments is set forth as 
follows:

<TABLE>
<CAPTION>
For the three months              Total         Brokerage     Administrative     Profit      Income from Investments
ended September 30, 1998         Revenue       Commissions         Fees          Shares
                           -----------------------------------------------------------------------------------------
<S>                            <C>             <C>            <C>                <C>         <C>
SERIES A UNITS
 
 JWH LLC                        $ 2,126,981     $  156,335           $ 4,113     $ 76,656                $ 1,889,877
 Millburn LLC                       955,648        150,918             3,972       83,363                    717,395
                           -----------------------------------------------------------------------------------------
 
 Total                          $ 3,082,629     $  307,253           $ 8,085     $160,019                $ 2,607,272
                           =========================================================================================
 
 SERIES B UNITS
 
 JWH LLC                        $ 4,661,405     $  341,683           $ 8,994     $167,835                $ 4,142,893
 Millburn LLC                     2,120,792        332,509             8,750      184,031                  1,595,502
                           -----------------------------------------------------------------------------------------
 
 Total                          $ 6,782,197     $  674,192           $17,744     $351,866                $ 5,738,395
                           =========================================================================================
 
 SERIES C UNITS
 
 JWH LLC                        $ 2,444,577     $  179,048           $ 4,711     $ 88,069                $ 2,172,749
 Millburn LLC                     1,113,759        174,230             4,585       96,564                    838,380
                           -----------------------------------------------------------------------------------------
 
 Total                          $ 3,558,336     $  353,278           $ 9,296     $184,633                $ 3,011,129
                           =========================================================================================
 
 TOTAL ALL UNITS
 ---------------
 
 JWH LLC                        $ 9,232,963     $  677,066           $17,818     $332,560                $ 8,205,519
 Millburn LLC                     4,190,199        657,657            17,307      363,958                  3,151,277
                           -----------------------------------------------------------------------------------------
 
 Total                          $13,423,162     $1,334,723           $35,125     $696,518                $11,356,796
                           =========================================================================================
 </TABLE> 

                                       6
<PAGE>
 
<TABLE> 
<CAPTION>  
 For the three months             Total         Brokerage     Administrative     Profit       Income from 
 ended September 30, 1997        Revenue       Commissions         Fees          Shares       Investments
                           --------------------------------------------------------------------------------
 <S>                            <C>             <C>           <C>                <C>          <C>                     
 SERIES A UNITS
 
 JWH LLC                        $ 1,071,218     $  174,245           $ 4,586     $ 31,350     $     861,037         
 Millburn LLC                       292,516        186,294             4,902       21,974            79,346
                           --------------------------------------------------------------------------------  
 
 Total                          $ 1,363,734     $  360,539           $ 9,488     $ 53,324     $     940,383
                           ================================================================================ 
 
 SERIES B UNITS
 
 JWH LLC                        $ 2,298,494     $  374,547           $ 9,857     $ 66,946     $   1,847,144
 Millburn LLC                       629,907        403,749            10,626       46,810           168,722
                           -------------------------------------------------------------------------------- 
 
 Total                          $ 2,928,401     $  778,296           $20,483     $113,756     $   2,015,866
                           ================================================================================ 

 SERIES C UNITS
 
 JWH LLC                        $1,216,513     $  197,276          $  5,192     $ 35,664      $     978,381
 Millburn LLC                      335,489        212,667             5,596       25,398             91,828
                           -------------------------------------------------------------------------------- 
 
 Total                          $1,552,002     $  409,943          $ 10,788     $ 61,062      $   1,070,209
                           ================================================================================ 
 
 TOTAL ALL UNITS
 ---------------
 
 JWH LLC                        $4,586,225     $  746,068          $ 19,635     $133,960      $   3,686,562
 Millburn LLC                    1,257,912        802,710            21,124       94,182            339,896
                           -------------------------------------------------------------------------------- 
 
 Total                          $5,844,137     $1,548,778          $ 40,759     $228,142      $   4,026,458
                           ================================================================================ 
</TABLE> 
 

                                       7
<PAGE>
 
<TABLE> 
<CAPTION>  

 For the nine months              Total        Brokerage     Administrative     Profit      Income from 
 ended September 30, 1998        Revenue      Commissions         Fees          Shares      Investments
                           ------------------------------------------------------------------------------ 
<S>                            <C>            <C>            <C>                <C>         <C>      
 SERIES A UNITS

 JWH LLC                        $1,119,717     $  468,459          $ 12,329     $ 76,656       $  562,273
 Millburn LLC                      871,014        476,219            12,532       83,488          298,775
                           ------------------------------------------------------------------------------ 
 
 Total                          $1,990,731     $  944,678          $ 24,861     $160,144       $  861,048
                           ============================================================================== 
 
 SERIES B UNITS
 
 JWH LLC                        $2,490,689     $1,012,466          $ 26,644     $167,835       $1,283,744
 Millburn LLC                    1,929,195      1,037,422            27,300      184,184          680,289
                           ------------------------------------------------------------------------------ 
 
 Total                          $4,419,884     $2,049,888          $ 53,944     $352,019       $1,964,033
                           ============================================================================== 
 
 SERIES C UNITS
 
 JWH LLC                        $1,313,497     $  529,060          $ 13,923     $ 88,069       $  682,445
 Millburn LLC                    1,017,684        542,023            14,263       96,828          364,570
                           ------------------------------------------------------------------------------ 
 
 Total                          $2,331,181     $1,071,083          $ 28,186     $184,897       $1,047,015
                           ============================================================================== 
 
 TOTAL ALL UNITS
 ---------------
 
 JWH LLC                        $4,923,903     $2,009,985          $ 52,896     $332,560       $2,528,462
 Millburn LLC                    3,817,893      2,055,664            54,095      364,500        1,343,634
                           ------------------------------------------------------------------------------ 
 
 Total                          $8,741,796     $4,065,649          $106,991     $697,060       $3,872,096
                           ============================================================================== 
</TABLE> 
 

                                       8
<PAGE>
 
<TABLE> 
<CAPTION>  

 For the nine months               Total        Brokerage     Administrative     Profit      Income from 
 ended September 30, 1997         Revenue      Commissions         Fees          Shares      Investments
                           ------------------------------------------------------------------------------ 
 <S>                            <C>            <C>            <C>           <C>            <C>
 SERIES A UNITS

 JWH LLC                        $ 1,009,462     $  512,799     $ 13,144     $   31,914     $  451,605
 Millburn LLC                     1,571,585        575,589       14,752        206,496        774,748
                           ------------------------------------------------------------------------------
 
 Total                          $ 2,581,047     $1,088,388     $ 27,896     $  238,410     $1,226,353
                           ==============================================================================
 
 SERIES B UNITS
 
 JWH LLC                        $ 2,160,892     $1,103,112     $ 28,279     $   67,741     $  961,760
 Millburn LLC                     3,371,038      1,243,925       31,890        441,140      1,654,083
                           ------------------------------------------------------------------------------
                                                                                                          
 Total                          $ 5,531,930     $2,347,037     $ 60,169     $  508,881     $2,615,843
                           ==============================================================================
 
 SERIES C UNITS
 
 JWH LLC                        $ 1,136,736     $  583,702     $ 14,964     $   36,009     $  502,061
 Millburn LLC                     1,784,120        658,445       16,880        233,458        875,337
                           ------------------------------------------------------------------------------
 
 Total                          $ 2,920,856     $1,242,147     $ 31,844     $  269,467     $1,377,398
                           ==============================================================================
 
 TOTAL ALL UNITS
 ---------------
 
 JWH LLC                        $ 4,307,090     $2,199,613     $ 56,387     $  135,664     $1,915,426
 Millburn LLC                     6,726,743      2,477,959       63,522        881,094      3,304,168
                           ------------------------------------------------------------------------------
 
 Total                          $11,033,833     $4,677,572     $119,909     $1,016,758     $5,219,594
                           ==============================================================================
</TABLE>

                                       9
<PAGE>
 
Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:

<TABLE>
<CAPTION>
                                                  1998                                                   1997
                         ----------------------------------------------------    ---------------------------------------------------
                                     JWH                      Millburn                      JWH                      Millburn
                                     LLC                         LLC                        LLC                         LLC
                         --------------------------  -------------------------   -------------------------   -----------------------
<S>                      <C>                          <C>                        <C>                         <C>
Assets                                  $35,686,338               $30,440,134                $62,481,438                 $35,584,936
                         ==========================  =========================   =========================   =======================
 
Liabilities                             $ 1,243,716               $ 1,196,318                $ 1,122,533                 $ 1,454,659
Members' Capital                         31,442,622                29,243,816                 61,358,905                  34,130,277
                         --------------------------  ------------------------    -------------------------   -----------------------
Total                                   $32,686,338               $30,440,134                $62,481,438                 $35,584,936
                         ==========================  ========================    =========================   =======================

 
                                                                            JWH LLC
                                                                            -------
 
                            For the three  months       For the three months        For the nine  months      For the nine months
                             ended September 30,         ended September 30,         ended September 30,       ended September 30,
                                    1998                     1997                         1998                        1997
                         --------------------------  ------------------------    -------------------------   -----------------------
 
Revenues                                $ 9,232,962               $ 9,280,296                $ 1,970,640                 $ 8,905,568
 
Expenses                                  1,027,442                 1,875,359                  3,361,340                   4,605,310
                         --------------------------  ------------------------    -------------------------   -----------------------
Net Income (Loss)                       $ 8,205,520               $ 7,404,937                $(1,390,700)                $ 4,300,258
                         ==========================  ========================    =========================   =======================


                                                                         Millburn LLC
                                                                         ------------
 
                             For the three  months      For the three months       For the nine  months        For the nine months
                              ended September 30,        ended September 30,        ended September 30,        ended September 30, 
                                   1998                       1997                       1998                       1997
                         --------------------------  ------------------------    -------------------------   -----------------------
 
Revenues                                $ 4,190,198               $ 1,384,595                $ 3,786,031                 $ 7,422,906
 
Expenses                                  1,038,922                 1,003,596                  2,583,807                   3,746,086
                         --------------------------  ------------------------    -------------------------   -----------------------
Net Income                              $ 3,151,276               $   380,999                $ 1,202,224                 $ 3,676,820
                         ==========================  ========================    =========================   =======================

</TABLE>

                                      10
<PAGE>
 
3.   INCOME PER SERIES 

The profit of the Series A, Series B and Series C Units for the three and nine 
months ended September 30, 1998 and 1997 is as follows:

<TABLE> 
<CAPTION> 
For the three months
ended September 30, 1998
                                               1998                                          1997               
                              -------------------------------------------       ---------------------------------------- 
                                Series A         Series B       Series C        Series A       Series B       Series C   
                              ------------     -----------     ----------       ---------    -----------    ------------   
<S>                           <C>              <C>             <C>              <C>          <C>            <C>    
REVENUES:
Income from investments       $  2,607,272     $ 5,738,395     $ 3,011,129        940,383      2,015,866      1,070,209  
                              ------------     -----------     -----------      ---------    -----------    -----------

NET INCOME                    $  2,607,272     $ 5,738,395     $ 3,011,129      $ 940,383    $ 2,015,866    $ 1,070,209
                              ============     ===========     ===========      =========    ===========    ===========    

NET INCOME                                                                                                                 
PER UNIT:
Weighted average number 
of units outstanding                47.154         127,286          85,571         53,601        142,368         96,211     
                              ============     ===========     ===========      =========    ===========    ===========     

Weighted average net
  income per Limited
  Partner and General
  Partner Unit                $      55.29     $     45.08     $     35.19      $   17.54    $     14.16    $     11.12 
                              ============     ===========     ===========      =========    ===========    ===========      

<CAPTION> 
For the nine months
ended September 30, 1998
                                               1998                                          1997                          
                              -------------------------------------------       ----------------------------------------   
                                Series A         Series B       Series C        Series A       Series B       Series C     
                              ------------     -----------     ----------       ----------   -----------    ------------    
<S>                           <C>              <C>             <C>              <C>          <C>            <C>     
REVENUES:                      
Income from investments       $    861,048     $ 1,964,033     $ 1,047,015      $1,226,353   $ 2,615,843    $ 1,377,398    
                              ------------     -----------     -----------      ----------   -----------    -----------

NET INCOME                    $    861,048     $ 1,964,033     $ 1,047,015       1,226,353     2,615,843      1,377,398   
                              ============     ===========     ===========      ==========   ===========    ===========       

NET INCOME
PER UNIT:                     
Weighted average number                                                                                                       
 of units outstanding               49,580         132,363          85,571          54,618       144,913         98,415        
                              ============     ===========     ===========      ==========   ===========    ===========        
Weighted average net                                                                                                           
  income per Limited                                                                                                          
  Partner and General         
  Partner Unit                $     17.37      $    14.84      $    12.24       $   22.45    $     18.05    $     14.00   
                              ============     ===========     ===========      ==========   ===========    ===========   
</TABLE> 
                              
                                      11
<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.        Jul        Aug        Sep
     ----------------------------------------------------------------------------------------------------------
     <S>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
     1997       $273.52    $270.58    $267.94    $261.04    $251.03    $257.22    $283.93    $270.03    $274.52
     ----------------------------------------------------------------------------------------------------------
     1998       $281.00    $268.85    $270.14    $248.62    $257.02    $249.67    $238.22    $270.01    $305.92
     ----------------------------------------------------------------------------------------------------------
</TABLE>


                  MONTH-END NET ASSET VALUE PER SERIES B UNIT
                                        
<TABLE>
<CAPTION>
     ---------------------------------------------------------------------------------------------------------
               Jan.      Feb.       Mar.       Apr.        May       Jun.        Jul        Aug        Sep
     ---------------------------------------------------------------------------------------------------------
     <S>       <C>      <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
     1997      $222.32    $219.93    $217.78    $212.17    $214.08    $209.10    $230.77    $219.46    $223.11
     ---------------------------------------------------------------------------------------------------------
     1998      $228.36    $218.48    $219.55    $202.07    $208.90    $202.93    $193.60    $219.40    $248.57
     ---------------------------------------------------------------------------------------------------------
</TABLE>


                  MONTH-END NET ASSET VALUE PER SERIES C UNIT
                                        
<TABLE>
<CAPTION>
     ----------------------------------------------------------------------------------------------------------
               Jan.       Feb.       Mar.       Apr.        May       Jun.        Jul        Aug        Sep
     ----------------------------------------------------------------------------------------------------------
     <S>       <C>       <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
     1997       $173.26    $171.40    $169.73    $165.35    $159.04    $162.96    $179.85    $171.03    $173.88
     ----------------------------------------------------------------------------------------------------------
     1998       $177.97    $170.27    $171.11    $157.48    $162.80    $158.15    $150.88    $170.99    $193.72
     ----------------------------------------------------------------------------------------------------------
</TABLE>


Performance Summary

JANUARY 1, 1997 TO SEPTEMBER 30, 1997 BY QUARTER

January 1, 1997 to March 31 1997

    In currency markets, the U.S. dollar rallied and started 1997 on a strong
note, rising to a four-year high versus the Japanese yen and two-and-a-half year
highs versus the Deutsche mark and the Swiss franc. The dollar, however,
underwent a significant correction in the Spring against the Japanese yen, due
to the G7 finance ministers' determination that a further dollar advance would
be counter-productive to their current goals.
 
    Global interest rate markets began the year on a volatile note, as investors
evaluated economic data for signs of inflation.

April 1, 1997 to June 30, 1997

     In the currency markets, the dollar underwent a significant correction in
the Spring against the Japanese yen due to the G7 finance ministers'
determination that a further dollar advance would be counter-productive to their
current goals.  Currency trading was unprofitable for the quarter.

     Global interest rate trading proved unprofitable for the quarter.  Losses
incurred in April were due to U.S. bond prices having moved in a directionless
pattern, as investors remained concerned over inflation and its impact on
further increases in interest rates by the U.S. Federal Reserve.

July 1,1997 to September 30, 1997

     In the currency markets, the U.S. dollar rose dramatically in July,
reflecting the dollar's role as a haven for currency traders skeptical over the
"Euro", the new single European currency that is supposed to start replacing
several European national denominations 1n 1999.  Beginning in August, the
dollar corrected against the Eurocurrencies in advance of well-advertised
tightening by the Bundesbank.  Currency trading was unprofitable in August and
September.

     Global interest rate trading was profitable in July and September.  During
the third quarter, economic data in key countries was positive indicating lower
inflation and igniting a worldwide rally in the bond markets.  Specifically,
investor sentiment was particularly strong in the U.S., where prices on the 30-
year Treasury bond and 10-year Treasury note rose to their highest levels in
over two years.  This followed a largely positive economic report delivered by
Federal Reserve Chairman Greenspan in testimony before Congress.

                                      12
<PAGE>
 
JANUARY 1, 1998 TO SEPTEMBER 30, 1998 BY QUARTER

January 1, 1998, to March 31, 1998

     The Fund's most profitable positions during the quarter were in the global
interest rate markets. In Europe, an extended bond market rally continued
despite an environment of robust growth in the United States, Canada and the
United Kingdom, as well as a strong pick-up in growth in continental Europe.

     Gold prices drifted sideways and lower as Asian demand continued to slow
and demand in the Middle East was affected by low oil prices. Trading results in
stock index markets were mixed, but unprofitable, despite a strong first-quarter
performance by the U.S. equity market as several consecutive weekly gains were
recorded with most market averages setting new highs. Results in currency
trading were also mixed, but unprofitable. In particular, the Swiss franc
weakened versus the U.S. dollar.

April 1, 1998 to June 30, 1998

     As swings in the U.S. dollar and developments in Japan affected bond
markets, the Fund's interest rate trading during the quarter resulted in losses,
particularly in Eurodollar deposits and U.S. Treasury bonds. Early in the second
quarter, Treasury trading was range-bound, as concern that the economy might be
overheating was balanced by the potential impact of the Asian recession.
Additionally, Australian bonds and bills saw a dramatic drop in prices in early
June, as dollar-bloc currencies remained under pressure versus the U.S. dollar
due to the Japanese/Asian crisis.

     Metals and currency trading also resulted in losses.  The depressed gold
market weakened further following news of a European Central Bank consensus that
ten to fifteen percent of reserves should be made up of gold bullion which was
at the low end of expectations.  The Japanese yen weakened during June to an
eight-year low versus the U.S. dollar.

     Trading results in stock index markets were profitable, as the Asia-Pacific
region's equity markets weakened across the board.  In particular, Hong Kong's
Hang Seng index trended downward during most of the quarter and traded at a
three-year low.

July 1, 1998 to September 30, 1998

     Fund performance in July was essentially flat. In August and continuing
into September, financial markets in general were characterized by a flight to
quality that resulted from uncertainty over Russia's solvency, continued
weakness in Asia, and concerns that recessionary conditions would spread to the
United States and Europe. These factors, combined with generally less liquid
market conditions, led to a marked widening in bond credit spreads and a broad
sell-off in world-wide equity markets. Managed futures funds exhibited strong
non-correlation to world markets in August and again in September, generating
significant profits on the long side of interest rates and the short side of the
commodity markets.

     Interest rate trading was particularly profitable during the quarter.  The
growth rate of the world bond market declined to its lowest level since 1987 at
7.7%, down 4.0% from the last peak in 1993.  Global investors poured funds into
such instruments as U.S. Treasury issues and German Bunds, staging a major
flight to quality.  As a result, there was a significant widening of credit
spreads on a global basis.  Global fund managers also increased their already-
overweight exposure to U.S. Treasuries to a record high.  The impact of these
events was that in September, the yield on the Japanese 5-year bond fell to
 .67%, an all-time low, German 10-year Bunds fell to 3.89%, representing almost a
100-year low, and the 30-year bond in the U.S. dropped to its lowest level on
record.

     As U.S. equity markets declined in July and August, the Fund profited from
its short positions in the stock index market, most notably during August, when
the S&P 500(R) dropped 14.5%. Volatility in September made for a difficult
trading environment, and the Fund incurred modest losses in the stock index
sector during September, but remained profitable for the quarter overall in
these markets.

     In the metals markets, gold prices attempted to move higher against a
backdrop of volatility in major equity markets, increasing concerns about
emerging markets, economic chaos in Russia, weakness in the U.S. dollar, and
increasing worries about global economic conditions. However, gold was unable to
extend rallies and build any significant upside momentum resulting in a
trendless environment.

     The Fund incurred losses from its currency trading during the quarter. In
the currency markets, Japan's problems spread to other sectors of the global
economy, causing commodities prices to decline as demand from the Asian
economies weakened, in turn putting pressure on Canada's commodity-sensitive
currency. In Germany, the federal election resulted in a shift to the left, as
Chancellor Helmut Kohl, after sixteen years in office, lost to Gerhard Schroder.
Surprisingly, this promoted a continued strengthening of the Deutsche mark
versus the U.S. dollar.

                                      13

<PAGE>
 
Year 2000 Compliance
--------------------

  As the millennium approaches, Merrill Lynch has undertaken initiatives to
address the Year 2000 problem (the "Y2K problem").  The Y2K problem is the
result of a widespread programming technique that causes computer systems to
identify a date based on the last two numbers of a year, with the assumption
that the first two numbers of the year are "19."  As a result, the year 2000
would be stored as "00," causing computers to incorrectly interpret the year as
1900.  Left uncorrected, the Y2K problem may cause information technology
systems (e.g., computer databases) and non-information technology systems (e.g.,
elevators) to produce incorrect data or cease operating completely.

  Merrill Lynch believes that it has identified and evaluated its internal Y2K
problem and that the company is devoting sufficient resources to renovating
technology systems that are not already Year 2000 compliant.  Merrill Lynch
expects the renovation phase (as discussed below) of its Year 2000 efforts to be
substantially completed by December 31, 1998, thereby allowing the company to
focus on additional testing efforts and integration of the Year 2000 programs of
recent acquisitions during 1999.  In order to focus attention on the Y2K
problem, management has deferred certain other technology projects; however this
deferral is not expected to have a material adverse effect on the company's
business, results of operations, or financial condition.

  The failure of Merrill Lynch's technology systems relating to a Y2K problem
would likely have a material adverse effect on the company's business, results
of operations, or financial condition.   This effect could include disruption of
normal business transactions, such as the settlement, execution, processing, and
recording of trades in securities, commodities, currencies, and other assets.
The Y2K problem could also increase Merrill Lynch's exposure to risk and its
need for liquidity.
 
  In 1995, Merrill Lynch established the Year 2000 Compliance Initiative, which
is an enterprisewide effort to address the risks associated with the Y2K
problem, both internal and external.  The Year 2000 Compliance Initiative's
efforts to address the risks associated with the Y2K problem have been organized
into six segments or phases: planning, pre-renovation, renovation, production
testing, certification, and integration testing.

  The planning phase involved defining the scope of the Year 2000 Compliance
Initiative, including its annual budget and strategy, and determining the level
of expert knowledge available within Merrill Lynch regarding particular systems
or applications.  The pre-renovation phase involved developing a detailed
enterprisewide inventory of applications and systems, identifying the scope of
necessary renovations to each application or system, and establishing a
conversion schedule.  During the renovation phase, source codes are actually
converted, date fields are expanded or windowed (windowing is used on an
exception basis only), test data is prepared, and each system or application is
tested using a variety of Year 2000 scenarios.  The production testing phase
validates that a renovated system is functionally the same as the existing
production version, that renovation has not introduced defects, and that
expanded or windowed date fields continue to handle current dates properly.  The
certification phase validates that a system can run successfully in a Year 2000
environment.  Finally, the integration testing phase, which will occur
throughout 1999, validates that a system can successfully interface with both
internal and external systems.

  In 1996 and 1997, as part of the planning and pre-renovation phases, both
plans and funding of plans for inventory, preparation, renovation, and testing
of computer systems for the Y2K problem were approved.  All plans for both
mission-critical and non-mission-critical systems are tracked and monitored.
The work associated with the Year 2000 Compliance Initiative has been
accomplished by Merrill Lynch employees, with the assistance of consultants
where necessary.

  As part of the production testing and certification phases, Merrill Lynch has
performed, and will continue to perform, both internal and external Year 2000
testing intended to address the risks from the Y2K problem.  In July 1998,
Merrill Lynch participated in an industrywide Year 2000 systems test sponsored
by the Securities Industry Association ("SIA"), in which selected firms tested
their computer systems in mock stock trades that simulated dates in December
1999 and January 2000.  Merrill Lynch will participate in further industrywide
testing sponsored by the SIA, currently scheduled for March and April 1999,
which will involve an expanded number of firms, transactions, and conditions.
Merrill Lynch also participated in a test sponsored by the Bank of England's
Central Gilts Office.

  Each business area within Merrill Lynch also continues to develop specific
contingency plans, with the particular choice of contingency action dependent on
the severity of the problem being addressed, the availability of alternative
products, and the level of importance of the business activity supported by the
problematic system. As part of the Year 2000 Compliance Initiative, Merrill
Lynch has undertaken a business readiness/risk management effort in which each
line of business will identify scenarios in order to develop plans to reduce
risks associated with a Y2K problem.

  Merrill Lynch continues to survey and communicate with parties with whom it
has important relationships that may be associated with information technology
Y2K problems, as well as parties that may be associated with non-information
technology Y2K problems, such as landlords.  Management is unable, at this
point, to ascertain whether all such third parties will successfully address the
Y2K problem, particularly parties outside the U.S., where it is believed that
remediation efforts relating to the Y2K problem may be less advanced than in the
U.S.  Merrill Lynch will continue to monitor third parties' Year 2000 readiness
to determine whether additional or alternative measures are necessary.  Such

                                      14
<PAGE>
 
measures may include the selection of alternate third parties or other efforts
designed to mitigate some of the effects of a third party's noncompliance.  In
light of the interdependency of the parties in or serving the financial markets,
however, there can be no assurance that all Y2K problems will be identified and
remediated on a timely basis or that all remediation efforts will be successful.
The failure of securities exchanges, clearing organizations, vendors, clients,
or regulators to resolve their own processing issues in a timely manner could
have a material adverse effect on Merrill Lynch's business, results of
operations, or financial condition.

  Nearly 10% of the current year's technology budget has been allocated to the
Year 2000 Compliance Initiative.  As of the end of the 1998 third quarter, the
total estimated expenditures associated with the entire Year 2000 Compliance
Initiative were expected to be approximately $400 million, of which $160 million
is remaining.  The majority of these remaining expenditures are expected to
cover software remediation, testing, and contingency planning.  There can be no
assurance that the costs associated with such remediation efforts will not
exceed those currently anticipated by Merrill Lynch, or that the costs
associated with the remediation efforts or the possible failure of such
remediation efforts would not have a material adverse effect on Merrill Lynch's
business, results of operations, or financial condition.

European Economic and Monetary Union ("EMU")
--------------------------------------------

  As of January 1, 1999, the "euro" will be adopted as the common legal currency
of participating member states of the EMU.  The euro and participating member
currencies will co-exist through July 1, 2002, with the euro gradually replacing
member national currencies.  The introduction of and conversion to the euro is
expected to have significant implications for the business, as well as the
computer systems and operational processes, of Merrill Lynch.
 
  The introduction of the euro will bring about fundamental changes in the
structure and nature of the European financial markets, including the creation
of a unified, more liquid capital market in Europe.  As financial markets in EMU
member states converge and local barriers are removed, competition is expected
to increase.  Merrill Lynch does not expect the introduction of the euro to have
a negative effect on its business, currency risk, or competitive positioning in
the European markets.  The International Swaps and Derivatives Association, Inc.
has established an EMU protocol agreement that parties to derivatives contracts
may use to amend their agreements to ensure continuity of contract during the
conversion period.  Merrill Lynch is a party to this protocol agreement.

  Merrill Lynch's program to address the introduction of and conversion to the
euro and the associated systems and operational implications and challenges has
been divided into three phases: analysis, mobilization, and implementation.  The
analysis phase began in the third quarter of 1997 and focused upon analyzing the
likely implications of the EMU and assessing the operational and systems impact
on Merrill Lynch.  During this phase, a database containing the primary
compliance challenges of the EMU was developed, and working groups were
established to drive the EMU preparation effort within the different product
lines and principal operating locations.  The mobilization phase began in the
fourth quarter of 1997 and focused upon developing project plans and
establishing an organizational and project structure to address various business
requirements. The implementation phase, which began in December 1997, is
concerned with implementing the operational and systems changes identified as
necessary to ensure Merrill Lynch's compliance with EMU.  The implementation
phase is expected to continue into the first quarter of 1999 to resolve any
post-conversion issues.

  With respect to operational and systems matters, the introduction of the euro
will affect all Merrill Lynch facilities that transact, distribute, or provide
custody or recordkeeping for securities or cash denominated in the currency of a
participating member state.  Merrill Lynch systems or procedures that handle
such securities or cash may require modification.  The procedural and systems
modifications that Merrill Lynch has identified as necessary for conversion to
the euro include, but are not limited to, such activities as:

 .  modification of application systems to enable the systems to recognize and
   process the euro on an ongoing basis;

 .  conversion of data, which will require updates to master files to reflect
   redenomination;

 .  alteration of transaction data that includes converting trading and cash
   positions from member currency to the euro;

 .  procedural modifications to reflect the replacement of member currency bank
   accounts and settlement instructions with euro equivalents; and

 .  development of the capability for certain business functions to translate
   member currencies into euro at a fixed exchange rate until July 2002.

  The introduction of the euro exposes Merrill Lynch to operational and systems
risks in that the necessary systems modifications will affect clearance,
settlement, and financial reporting of transactions.  If not handled correctly,
these modifications could result in failed trades and other improper accounting
for transactions.

  The success of Merrill Lynch's euro conversion efforts also is dependent on
the euro-compliance of third parties, such as trading counterparties, financial
intermediaries (for example, securities and commodities exchanges, depositories,
clearing organizations, and commercial banks), and vendors.  Merrill Lynch will
monitor risks associated with third parties on a regular basis, including, for
example, performing assessments of counterparties' readiness.

  In anticipation of the introduction of the euro, the financial authorities and

                                      15
<PAGE>
 
securities exchanges of certain of the EMU member states are conducting market
tests to assess euro-conversion readiness.  Merrill Lynch is participating in
such testing procedures as required, and to date the outcome of each of those
tests has been satisfactory.  In addition to participating in the testing
procedures of the EMU member states' financial authorities and securities
exchanges, Merrill Lynch also is implementing its own internal testing
procedures, including four systemwide practice sessions, to prepare for the
conversion.  The purpose of these practice sessions is to better ensure that the
conversion plans are comprehensive and that the schedule is acceptable.  The
results of such practice sessions will be evaluated and used to identify those
areas in which further modification or remediation is necessary.  While Merrill
Lynch will engage in these testing procedures, certain elements of the
conversion process can only be undertaken for the first time during the
conversion.  Accordingly, there can be no assurances that the tests will
identify all system deficiencies and necessary modifications prior to the
conversion.

  Due to the unprecedented scale of change, including the volume and magnitude
of transactions affected and the number of third parties involved, market
participants are anticipating a period of some disruption immediately following
the conversion.  Merrill Lynch has developed, and is continuing to develop,
contingency plans in an effort to reduce the impact of such disruptions on its
business.

  As of the end of the 1998 third quarter, the total estimated expenditures
associated with the introduction of and conversion to the euro are expected to
be approximately $79 million, of which approximately $20 million is remaining
(of these amounts, $71 million and $19 million, respectively, pertain to 1998).
These remaining expenditures are expected to be spent on EMU compliance efforts
and project administration.  Merrill Lynch expects to become fully EMU-compliant
during the 1998 fourth quarter.

  Merrill Lynch believes that it has identified and evaluated those systems and
operational modifications necessary for the conversion to the euro and is in the
process of implementing the identified modifications.  In light of the
interdependency of the parties in or serving the financial markets, however,
there can be no assurance that all necessary modifications will be identified
and renovated on a timely basis, that all modification efforts will be
successful, or that all third parties with whom Merrill Lynch's operations
interface will be EMU-ready.  In addition, there can be no assurance that the
remaining euro conversion expenditures will not exceed those anticipated by
Merrill Lynch at this time or that the expenditures associated with the
conversion efforts and the possible failure of such conversion efforts will not
have a material adverse effect on Merrill Lynch's business, results of
operations, or financial condition.

Item 3.    Quantitative and Qualitative Disclosures About Market Risk

           Not Applicable


                                      16
<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 nine months
          of fiscal 1998.

                                      17

<PAGE>
 
                                 SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.



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



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



Date:  November 11, 1998    By /s/ JOHN R. FRAWLEY J.R.
                               ------------------------
                               John R. Frawley, Jr.
                               Chairman, Chief Executive Officer,
                               President and Director



Date:  November 11, 1998    By /s/ JO ANN DI DARIO
                               -------------------
                               Jo Ann Di Dario
                               Vice President, Chief Financial Officer
                               and Treasurer