<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, 2005
                               -------------

                                     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 Alternative Investments LLC
                           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,
                                                                    2005         DECEMBER 31,
                                                                (UNAUDITED)          2004
                                                               --------------   --------------
<S>                                                            <C>              <C>
ASSETS
Investments in Trading LLCs                                    $   24,541,795   $   27,635,033
Receivable from Trading LLCs                                          723,795          601,536
                                                               --------------   --------------
         TOTAL ASSETS                                          $   25,265,590   $   28,236,569
                                                               ==============   ==============
LIABILITY AND PARTNERS' CAPITAL

Administrative fees and other payables                         $       12,250   $       50,000
Redemptions payable                                                   711,545          551,536
                                                               --------------   --------------
       Total liabilities                                              723,795          601,536
                                                               --------------   --------------

PARTNERS' CAPITAL:
  General Partner:
    (189 and 209 Series A Units)                                       68,609           80,720
    (425 and 478 Series B Units)                                      125,206          149,823
    (296 and 339 Series C Units)                                       67,970           82,822
  Limited Partners:
    (17,100 and 18,554 Series A Units)                              6,207,544        7,165,985
    (39,793 and 41,696 Series B Units)                             11,723,092       13,069,071
    (27,650 and 29,006 Series C Units)                              6,349,374        7,086,612
                                                               --------------   --------------
       Total partners' capital                                     24,541,795       27,635,033
                                                               --------------   --------------
         TOTAL LIABILITIES AND PARTNERS' CAPITAL               $   25,265,590   $   28,236,569
                                                               ==============   ==============

NET ASSET VALUE PER UNIT

  Series A (based on 17,289 and 18,763 Units outstanding)      $       363.01   $       386.22
                                                               ==============   ==============
  Series B (based on 40,218 and 42,174 Units outstanding)      $       294.60   $       313.44
                                                               ==============   ==============
  Series C (based on 27,946 and 29,345 Units outstanding)      $       229.63   $       244.32
                                                               ==============   ==============
</Table>

See notes to financial statements.

                                        2
<Page>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (A DELAWARE LIMITED PARTNERSHIP)
                            STATEMENTS OF OPERATIONS
                                   (unaudited)

<Table>
<Caption>
                                                     FOR THE THREE     FOR THE THREE      FOR THE SIX       FOR THE SIX
                                                      MONTHS ENDED      MONTHS ENDED      MONTHS ENDED      MONTHS ENDED
                                                        JUNE 30,          JUNE 30,          JUNE 30,          JUNE 30,
                                                          2005              2004              2005              2004
                                                     --------------    --------------    --------------    --------------
<S>                                                  <C>               <C>               <C>               <C>
TRADING PROFITS (LOSSES):

    Realized                                         $      115,735    $   (4,697,484)   $   (1,287,643)   $   (1,679,828)
    Change in unrealized                                  2,455,768          (614,690)          391,817        (2,425,072)
                                                     --------------    --------------    --------------    --------------
      Total trading profits (losses)                      2,571,503        (5,312,174)         (895,826)       (4,104,900)
                                                     --------------    --------------    --------------    --------------

INVESTMENT INCOME:

  Interest income                                           169,143            79,586           328,949           154,160
                                                     --------------    --------------    --------------    --------------
EXPENSES:

  Brokerage commissions                                     509,394           559,096         1,036,555         1,254,112
  Profit Shares                                                   -           (79,276)                -            33,869
  Administrative fees                                        51,732           166,444           103,987           206,143
                                                     --------------    --------------    --------------    --------------
      Total expenses                                        561,126           646,264         1,140,542         1,494,124
                                                     --------------    --------------    --------------    --------------
NET INVESTMENT LOSS                                        (391,983)         (566,678)         (811,593)       (1,339,964)
                                                     --------------    --------------    --------------    --------------
NET INCOME (LOSS)                                    $    2,179,520    $   (5,878,852)   $   (1,707,419)   $   (5,444,864)
                                                     ==============    ==============    ==============    ==============
NET INCOME (LOSS) PER UNIT:
  Weighted average number of General Partner
    and Limited Partner Units outstanding                    87,967            95,784            88,847            97,510
                                                     ==============    ==============    ==============    ==============
Net income (loss) per weighted average
General Partner and Limited Partner Unit             $        24.78    $       (61.38)   $       (19.22)   $       (55.84)
                                                     ==============    ==============    ==============    ==============

Net income (loss) per weighted average General
Partner and Limited Partner Unit by series
  Series A                                           $        31.24    $       (77.27)   $       (23.92)   $       (71.11)
                                                     ==============    ==============    ==============    ==============
  Series B                                           $        25.37    $       (63.26)   $       (19.37)   $       (56.77)
                                                     ==============    ==============    ==============    ==============
  Series C                                           $        19.66    $       (49.26)   $       (15.95)   $       (45.39)
                                                     ==============    ==============    ==============    ==============
</Table>

The majority of income and expenses are derived from investments in Trading LLCs
(Note 2).

See notes to financial statements.

                                        3
<Page>

<Table>
<Caption>

                                                JOHN W. HENRY & CO./MILLBURN L.P.
                                                (A DELAWARE LIMITED PARTNERSHIP)
                                            STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                                          FOR THE SIX MONTHS ENDED JUNE 30, 2005 AND 2004
                                                           (unaudited)


                                            UNITS                                         GENERAL PARTNER
                       -----------------------------------------------    -----------------------------------------------
                         SERIES A         SERIES B         SERIES C         SERIES A         SERIES B         SERIES C
                       -------------    -------------    -------------    -------------    -------------    -------------
<S>                           <C>              <C>              <C>       <C>              <C>              <C>
PARTNERS' CAPITAL,
 December 31, 2003            20,448           47,044           33,466    $      83,679    $     155,512    $      85,946

Net loss                           -                -                -          (15,091)         (28,231)         (15,574)

Redemptions                   (1,160)          (3,920)          (1,490)               -                -                -
                       -------------    -------------    -------------    -------------    -------------    -------------

PARTNERS' CAPITAL,
  June 30, 2004               19,288           43,124           31,976    $      68,588    $     127,281    $      70,372
                       =============    =============    =============    =============    =============    =============

PARTNERS' CAPITAL,
  December 31, 2004           18,763           42,174           29,345    $      80,720    $     149,823    $      82,822

Net loss                           -                -                -           (5,149)          (9,645)          (5,383)

Redemptions                   (1,474)          (1,956)          (1,399)          (6,962)         (14,972)          (9,469)
                       -------------    -------------    -------------    -------------    -------------    -------------

PARTNERS' CAPITAL,
  June 30, 2005               17,289           40,218           27,946    $      68,609    $     125,206    $      67,970
                       =============    =============    =============    =============    =============    =============

<Caption>
                                        LIMITED PARTNERS
                       -----------------------------------------------
                         SERIES A         SERIES B         SERIES C           TOTAL
                       -------------    -------------    -------------    -------------
<S>                    <C>              <C>              <C>              <C>
PARTNERS' CAPITAL,
 December 31, 2003     $   8,103,322    $  15,149,651    $   8,398,728    $  31,976,838

Net loss                  (1,381,852)      (2,532,207)      (1,471,909)      (5,444,864)

Redemptions                 (460,185)      (1,261,833)        (359,288)      (2,081,306)
                       -------------    -------------    -------------    -------------

PARTNERS' CAPITAL,
  June 30, 2004        $   6,261,285    $  11,355,611    $   6,567,531    $  24,450,668
                       =============    =============    =============    =============

PARTNERS' CAPITAL,
  December 31, 2004    $   7,165,985    $  13,069,071    $   7,086,612    $  27,635,033

Net loss                    (438,538)        (797,645)        (451,059)      (1,707,419)

Redemptions                 (519,903)        (548,334)        (286,179)      (1,385,819)
                       -------------    -------------    -------------    -------------

PARTNERS' CAPITAL,
  June 30, 2005        $   6,207,544    $  11,723,092    $   6,349,374    $  24,541,795
                       =============    =============    =============    =============
</Table>

See notes to financial statements.

                                       4
<Page>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (A DELAWARE LIMITED PARTNERSHIP)

                          NOTES TO FINANCIAL STATEMENTS
                                   (unaudited)

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     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, 2005, and the results of its operations
     for the three and six month periods ended June 30, 2005 and 2004. However,
     the operating results for the interim periods may not be indicative of the
     results for the full year.

     Certain information and footnote disclosures normally included in annual
     financial statements prepared in conformity with accounting principles
     generally 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, 2004.

2.   INVESTMENTS

     As of June 30, 2005, the Partnership had investments in ML JWH Financials
     and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
     LLC") ("Trading LLCs", collectively) of $12,270,898 and $12,270,897,
     respectively. For the year ending December 31, 2004, the Partnership had
     investments in JWH LLC and Millburn LLC of $13,817,517 and $13,817,516,
     respectively. The majority of revenue and expenses of the Partnership have
     been derived from its investments in the Trading LLCs.

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

<Table>
<Caption>
                                 JUNE 30, 2005
                                 (UNAUDITED)                     DECEMBER 31, 2004
                       -------------------------------   -------------------------------
                             JWH           MILLBURN           JWH             MILLBURN
                             LLC             LLC              LLC               LLC
                       --------------   --------------   --------------   --------------
<S>                    <C>              <C>              <C>              <C>
Assets                 $   13,413,079   $   12,369,167   $   15,414,858   $   13,923,728
                       ==============   ==============   ==============   ==============

Liabilities            $    1,142,181   $       98,270   $    1,597,341   $      106,212
Members' Capital           12,270,898       12,270,897       13,817,517       13,817,516
                       --------------   --------------   --------------   --------------

Total                  $   13,413,079   $   12,369,167   $   15,414,858   $   13,923,728
                       ==============   ==============   ==============   ==============
</Table>

                                        5
<Page>

<Table>
<Caption>
                                                   JWH LLC
                       FOR THE THREE    FOR THE THREE      FOR THE SIX       FOR THE SIX
                        MONTHS ENDED     MONTHS ENDED      MONTHS ENDED      MONTHS ENDED
                       JUNE 30, 2005    JUNE 30, 2004     JUNE 30, 2005     JUNE 30, 2004
                        (UNAUDITED)      (UNAUDITED)       (UNAUDITED)       (UNAUDITED)
                       --------------   --------------    --------------    --------------
<S>                    <C>              <C>               <C>               <C>
Trading Profits
(Losses) and
Interest Income        $    2,054,595   $   (2,936,519)   $     (540,940)   $   (2,317,299)
Expenses                      271,224          282,458           527,012           671,798
                       --------------   --------------    --------------    --------------

Net Income (Loss)      $    1,783,371   $   (3,218,977)   $   (1,067,952)   $   (2,989,097)
                       ==============   ==============    ==============    ==============

<Caption>
                                                  MILLBURN LLC
                       FOR THE THREE    FOR THE THREE      FOR THE SIX       FOR THE SIX
                        MONTHS ENDED     MONTHS ENDED      MONTHS ENDED      MONTHS ENDED
                       JUNE 30, 2005    JUNE 30, 2004     JUNE 30, 2005     JUNE 30, 2004
                        (UNAUDITED)      (UNAUDITED)       (UNAUDITED)       (UNAUDITED)
                       --------------   --------------    --------------    --------------
<S>                    <C>              <C>               <C>               <C>
Trading Profits
(Losses)and
Interest Income        $      686,051   $   (2,296,068)   $      (25,937)   $   (1,633,441)
Expenses                      253,152          213,807           540,030           653,069
                       --------------   --------------    --------------    --------------

Net Income (Loss)      $      432,899   $   (2,509,875)   $     (565,967)   $   (2,286,510)
                       ==============   ==============    ==============    ==============
</Table>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The Partnership invests indirectly in derivative instruments by investing
     in the Trading LLCs but does not itself hold any derivative instrument
     positions. The nature of this Partnership has certain risks, which can not
     be presented on the financial statements. The following summarizes some of
     those risks.

     MARKET RISK

     Derivative 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 financial instruments
     or commodities underlying such derivative instruments frequently results in
     changes in the net unrealized profit (loss) as reflected in the respective
     Statements of 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.

     Merrill Lynch Alternative Investments LLC ("MLAI"), the General Partner,
     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 MLAI does not itself intervene in the markets to
     hedge or diversify the Partnership's market

                                        6
<Page>

     exposure, MLAI 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, MLAI'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, Pierce, Fenner
     & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the
     brokerage agreement with MLPF&S (which includes a netting arrangement), to
     the extent that such trading results in receivables from and payables to
     MLPF&S, these receivables and payables are offset and reported as a net
     receivable or payable and included in the Statements of Financial Condition
     under Equity in commodity futures trading accounts.

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>
                            2004   $   405.87   $   422.69   $   405.35   $   363.10   $   342.77   $   328.18

                            2005   $   358.46   $   348.10   $   331.64   $   320.87   $   337.99   $   363.01
</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>
                            2004   $   329.80   $   343.47   $   329.38   $   294.84   $   278.12   $   266.28

                            2005   $   290.90   $   282.50   $   269.14   $   260.40   $   274.30   $   294.60
</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>
                            2004   $   257.00   $   267.65   $   256.68   $   229.80   $   216.82   $   207.59

                            2005   $   226.75   $   220.20   $   209.79   $   202.98   $   213.81   $   229.63
</Table>

                                        7
<Page>

Performance Summary

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

JANUARY 1, 2005 TO JUNE 30, 2005

January 1, 2005 to March 31, 2005

The Partnership was unprofitable for the first quarter of 2005. In the beginning
of the quarter, many trend-following programs experienced difficulty, as larger
trends which started in the fourth quarter reversed during the quarter. Global
equity markets sold-off after rallying in December. The U.S. dollar began
strengthening and metal markets also sold-off. Throughout the remainder of the
quarter, many longer-term trend-following programs experienced difficulty, as
markets remained quite range bound and choppy.

The currency sector began the first quarter with a loss, as the U.S. dollar
strengthened against various other currencies. Gains achieved in exposure to the
Japanese yen were outweighed by losses in the Euro, Canadian dollar and
Australian dollar. At mid-quarter, gains generated in exposure to the Australian
dollar and Polish zloty were outweighed by losses in the Euro, Japanese yen and
Swiss franc. At the end of the quarter, gains generated in exposure to the
Japanese yen and Swiss franc were outweighed by losses in the Polish zloty,
Brazilian real, and Australian dollar.

The metals sector also posted losses, as markets sold off on slower growth
estimates in 2005. Both exposure to industrial and precious metals detracted
from performance. The sector gained during the quarter as markets rallied in
both the precious and industrial sub-sectors, particularly gold, copper and
aluminum. However, the sector ended the quarter with a loss as gains in
non-precious metals such as aluminum and copper were offset by losses in silver
and gold contracts.

A loss was posted for the stock indices sector, as markets reversed and sold
off. Major losses were from exposure to the United States and Asia. During the
quarter, a gain was posted, as exposure to Asian equities and selected U.S.
equities posted gains. A loss was realized at the end of the quarter as exposure
to U.S. equities and Asian equities contributed to the bulk of losses.

The interest rate sector was the poorest performing sector for the first
quarter. The beginning of the quarter had gains generated in exposure to
Japanese, U.S. and European fixed income. Toward the end of the quarter, gains
were generated at the front end of the U.S. curve, while losses were experienced
in exposure to European and Japanese fixed income. Losses were mainly from
exposure to German and Japanese fixed income instruments. Profits were made from
short exposure to Eurodollar and U.S. Treasury note contracts.

April 1, 2005 to June 30, 2005

Gains were posted in the interest rate and currency sectors, while losses were
incurred trading in stock indices and the metals sector. There were net trading
profits overall.

Trading in interest rates provided the greatest amount of gains for the
Partnership, posting gains throughout the quarter. A sell off of stocks and an
increase in bond investments during the quarter sparked a rally in interest
rates. Long exposure to European bonds and a rally in the bond market attributed
to profits.

                                        8
<Page>

The currency sector posted a gain for the quarter, despite losses incurred early
in the quarter. Losses early in the quarter were posted as currency trading
continued to be challenging and the U.S. dollar remained in a tight range. The
U.S. dollar strengthened based on the widening interest rate differential versus
many developed countries. Exposure to the Euro, Japanese yen and Swiss franc
were the main drivers of performance.

Trading in stock indices was unprofitable for the Partnership, despite profits
posted the latter half of the quarter. Weak U.S. economic data and disappointing
earnings reports sent global equities lower early in the quarter. Long exposure
to European and Asian stock indices generated gains which outweighed losses from
exposure to the U.S. markets.

The metals sector posted the largest losses for the Partnership during the
quarter. Base metals took a step back causing losses in aluminum and copper.
Gold and silver prices showed volatile price behavior which also generated
losses. Slight gains were posted mid-quarter due to exposure to precious
metals, but weren't enough to outweigh the losses for the quarter. The metals
sector continued its decline as gold sold off due to a strengthening U.S.
dollar.

JANUARY 1, 2004 TO JUNE 30, 2004

January 1, 2004 to March 31, 2004

Gains were experienced in the interest rate, metals and stock indices and losses
in the currency sector. Overall, the Partnership experienced a positive rate of
return for the quarter.

The interest rate sector posted the largest gains. In January, the fixed income
market slowly drifted higher, but exhibited reversals, mainly due to foreign
exchange moves. Profits were generated from various positions at the short end
of the yield curve in the U.S. and Europe, while losses were posted at longer
points in the yield curve in both the U.S. and Europe. In February, fixed income
markets resumed their slow upward trend. The overall sector exposure had been
limited compared to historical exposures but profits were generated from both
U.S. and German yield curves. Gains were also posted in March. Long exposure to
most of the major global yield curves generated positive results. German Bunds
and the longer end of the U.S. yield curve posted gains, while Japanese exposure
detracted from performance.

The metals sector posted gains for the quarter. In January, long positions in
both precious and industrial metals generated positive returns. Copper continued
to move higher and rose to its highest price in more than six years due to
supply disruptions and heavy demand from new home construction. Gold also
reached highs not seen since 1988. In February, industrial metals generated
positive returns from the long side, while precious metals detracted from
performance. Base metals continued their upward move as the sector experienced
strong demand, shrinking supply and U.S. dollar weakness, helping to drive
prices higher. Strong industrial demand for copper and continued speculative
interest pushed the market to a seven year high. In March, industrial metals and
precious metals, especially gold, contributed to profits.

Stock indices also posted gains for the quarter. Stock indices posted a profit
for January as long exposure to global equities from momentum based and
fundamental models performed well. The main drivers to performance in this
sector were the DAX and the NASDAQ Indices. In February, exposure to global
equities produced negative performance. Asian equities produced positive
performance while other markets, specifically the U.S., outweighed those gains.
Stock indices posted a small gain for March. Asian equity exposure outperformed
U.S. exposure during the month.

The currency sector experienced losses despite gains early in the quarter. In
January, the currency sector continued its long trend of a weakening U.S.
dollar. Currency trading was very choppy, but gains were generated in the
earlier part of the month. The currency sector posted losses for the month of
February

                                        9
<Page>

under highly volatile market conditions. The main event in the currency markets
was the meeting of the G-7 Finance Ministers, hoping that some indication would
be given as to the future directions of the U.S. dollar. The U.S. dollar
continued to be range bound after the meeting. Gains in the British pound were
not able to offset losses in other major or minor currency markets. Losses were
also posted in March under difficult trading conditions. All of the political
events during the month and rumors of the Bank of Japan's intervention policies
caused for significant uncertainty in the markets. Early U.S. dollar strength
turned around towards the end of the month and a large drop right at the month's
close saw the U.S. dollar fall to four year lows against the Japanese yen.

April 1, 2004 to June 30, 2004

Losses were experienced in all four sectors. Overall, the Partnership
experienced a negative rate of return for the quarter.

The metals sector posted a loss for the quarter. In April, the combination of
the U.S. dollar strengthening and the fear of higher interest rates, which would
curb growth, caused base and precious metals to sell-off. Most markets during
May were range-bound and the U.S. dollar did not provide any momentum to these
markets. Exposure to aluminum was the main cause for losses as the market sold
off during the month of May. In June, industrial metals detracted from
performance as well as precious metals. Both industrial and precious metals
generated losses throughout the quarter.

Stock indices posted a net loss for the quarter. Equities rallied in the early
part of April, but fear of rate increases based on positive economic news sent
equities falling with a steep sell-off towards month's end. During May, equities
worldwide were weak on continued concerns of the imminent rate increases in U.S.
interest rates. The Japanese Nikkei index experienced a sudden deterioration in
sentiment, which sent the market plunging approximately 5% in one day. Exposure
to this region and other equity indices generated losses, which were not
overcome in the latter part of the month. Volatility was very low throughout
June and there has not been a clear direction in the markets. Losses were
incurred in both the U.S. and global equity positioning.

The currency sector also posted losses for each month of the quarter. The U.S.
dollar strengthened considerably during the month, with the Euro falling below
120 and the British pound falling to 1.77 in April. Gains in the Euro and the
Swiss franc were outweighed by losses in the Japanese yen and British pound
positioning. In May the U.S. dollar weakened against major currencies except for
the Australian dollar after strengthening considerably during the prior month.
Significant reversals occurred early in the month and led to range-bound market,
which creates a difficult environment for this trading style. In June, many
currency markets continued to be range bound waiting for the Federal Reserve's
decision on short term interest rates. Losses were incurred from positions in
the Euro, Swiss franc, British pound and other major markets.

The interest rate sector posted a loss for the quarter. The fixed income markets
experienced heightened volatility and fell sharply on April 2nd, followed by a
short bounce and then trended down for the rest of the month. Eurodollars and
short Sterling exposure proved profitable during the month of May, though the
sector posted a small loss for the month. Bond markets were fairly range bound
during the month, although yields on the ten-year note in the U.S. reached their
highest levels since July 2002. Bonds continued to be fairly range bound pending
the release of economic data and action by the U.S. Federal Reserve during the
month of June. Eurodollars fell early in the month and finally gained 28 basis
points from their lows. Gains in trading Japanese Government Bonds were
outweighed by losses in trading both U.S. fixed income and the European yield
curve.

Item 3.   Quantitative and Qualitative Disclosures About Market Risk

Not applicable

                                       10
<Page>

Item 4. Controls and Procedures

Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry
& Co./Millburn L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership as of the end of the period of this
quarterly report, and, based on this evaluation, has concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of this
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                       11
<Page>

                           PART II - OTHER INFORMATION

Item 1.    Legal Proceedings

           There are no pending proceedings to which the Partnership, Trading
           LLCs or MLAI is a party.

Item 2.    Changes in Securities and Use of Proceeds

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

Item 3.    Defaults Upon Senior Securities

           None.

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

           None.

Item 5.    Other Information

           None.

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

           (a)  EXHIBITS

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

           (b)  REPORTS ON FORM 8-K

           There were no reports on Form 8-K filed during the first six months
           of fiscal 2005.

                                       12
<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 ALTERNATIVE
                                    INVESTMENTS  LLC
                                     General Partner



Date:  August 12, 2005         By  /s/ ROBERT M. ALDERMAN
                                   ----------------------
                                  Robert M. Alderman
                                  Chief Executive Officer, President and Manager
                                  (Principal Executive Officer)



Date:  August 12, 2005         By /s/ MICHAEL L. PUNGELLO
                                  -----------------------
                                  Michael L. Pungello
                                  Vice President, Chief Financial Officer
                                  and Treasurer
                                  (Principal Financial and Accounting Officer)

                                       13