<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, 1997
                               --------------------

                    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 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_____
                                              -----         

                       This document contains 15 pages.
<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,
                                                                           1997                 1996
                                                                           ----                 ----      
ASSETS
------
<S>                                                                  <C>                  <C>
Investments                                                               $61,895,775          $60,834,087
Receivable from investments                                                   668,261              779,075
                                                                   ------------------   ------------------
 
                TOTAL                                                     $62,564,036          $61,613,162
                                                                   ==================   ==================
 
LIABILITIES AND PARTNERS' CAPITAL
---------------------------------
LIABILITIES:
    Redemptions payable                                                   $   668,261          $   778,385
    Profit shares payable                                                     -                        689
                                                                   ------------------   ------------------
 
            Total liabilities                                                 668,261              779,074
                                                                   ------------------   ------------------
 
PARTNERS' CAPITAL:
    General Partner:
        (780 and 780 Series A Units)                                          214,127              196,983
        (1976 and 1976 Series B Units)                                        440,840              405,594
        (1439 and 1439 Series C Units)                                        250,197              230,192
    Limited Partners:
        (51572 and 55596 Series A Units)                                   14,157,788           14,040,479
        (137722 and 146552 Series B Units)                                 30,726,644           30,082,484
        (92630 and 99256 Series C Units)                                   16,106,179           15,878,356
                                                                   ------------------   ------------------
 
            Total partners' capital                                        61,895,775           60,834,088
                                                                   ------------------   ------------------
 
                TOTAL                                                     $62,564,036          $61,613,162
                                                                   ==================   ==================
 
NET ASSET VALUE PER UNIT
Series A (Based on 52352 and 56376 Units outstanding)                     $    274.52          $    252.54
                                                                   ==================   ==================
Series B (Based on 139698 and 148528 Units outstanding)                   $    223.11          $    205.27
                                                                   ==================   ==================
Series C (Based on 94069 and 100695 Units outstanding)                    $    173.88          $    159.97
                                                                   ==================   ==================
 
See notes to financial statements.
</TABLE>

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

                           STATEMENTS OF OPERATIONS
                           ------------------------


<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,
                                                1997                  1996                   1997                  1996
                                        ------------------    ------------------     ------------------    ------------------
<S>                                       <C>                   <C>                    <C>                   <C>
REVENUES:
    Trading profits (loss):
        Realized                                $  -                  $ (393,434)            $  -                  $  986,680
        Change in unrealized                       -                   1,668,447                -                   1,860,042
                                        ------------------    ------------------     ------------------    ------------------
 
            Total trading results                  -                   1,275,013                -                   2,846,722
                                        ------------------    ------------------     ------------------    ------------------
 
    Interest income                                -                     536,654                -                   1,703,650
    Income from investments                      4,026,458                 -                  5,219,594                -
                                        ------------------    ------------------     ------------------    ------------------
 
            Total revenues                       4,026,458             1,811,667              5,219,594             4,550,372
                                        ------------------    ------------------     ------------------    ------------------
 
EXPENSES:
    Profit shares                                 -                      -                     -                       9,078
    Brokerage commissions                         -                    1,544,898               -                   4,917,818
    Administrative fees                           -                       32,872               -                     104,635
                                        ------------------    ------------------     ------------------    ------------------
 
            Total expenses                        -                    1,577,770               -                   5,031,531
                                        ------------------    ------------------     ------------------    ------------------
 
NET INCOME (LOSS)                               $4,026,458            $  233,897             $5,219,594            $ (481,159)
                                        ==================    ==================     ==================    ==================
 
NET INCOME (LOSS) PER UNIT:
    Weighted average number of units
        outstanding                                292,180               321,184                297,946               333,307
                                        ==================    ==================     ==================    ==================
 
    Weighted average net income (loss)
       per Limited Partner
      and General Partner Unit                  $    13.78                 $0.73             $    17.52                $(1.44)
                                        ==================    ==================     ==================    ==================
 
 
See notes to financial statements.
</TABLE>

                                       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, 1997 and 1996
             -----------------------------------------------------

                                        
<TABLE>
<CAPTION>
                                              Units                                     Limited Partners 
                                            ----------                                  -----------------
                                Series A     Series B     Series C         Series A           Series B   
                           --------------- ------------ ------------- ----------------- -----------------
<S>                            <C>           <C>          <C>          <C>                  <C>          
PARTNERS' CAPITAL,                                                                                       
  December 31, 1995               63,573      168,337      117,797          $13,205,024     $28,450,897  
                                                                                                         
Redemptions                       (5,073)     (17,130)     (13,699)          (1,113,315)     (2,915,985) 
                                                                                                         
Net loss                               -            -            -              (63,443)       (241,076) 
                           --------------- ------------ ------------- ----------------- -----------------
                                                                                                         
PARTNERS' CAPITAL,                                                                                       
  September 30, 1996              58,500      151,207      104,098          $12,028,266     $25,293,836  
                           =============== ============ ============= ================= =================
                                                                                                         
PARTNERS' CAPITAL,                                                                                       
  December 31, 1996               56,376      148,528      100,695          $14,040,479     $30,082,484  
                                                                                                         
Redemptions                       (4,024)      (8,830)      (6,626)          (1,091,900)     (1,936,437) 
                                                                                                         
Net income                             -            -            -            1,209,209       2,580,597  
                           --------------- ------------ ------------- ----------------- -----------------
                                                                                                         
PARTNERS' CAPITAL,                                                                                       
  September 30, 1997              52,352      139,698       94,069          $14,157,788     $30,726,644  
                           =============== ============ ============= ================= =================
 
                                                            General Partner
                                                            ----------------
                             Series C          Series A        Series B     Series C        Total
                          --------------- ------------ ------------- ----------------- -----------------
PARTNERS' CAPITAL,        
  December 31, 1995        $15,571,401            $164,028     $337,920     $192,564     $57,921,834
                          
Redemptions                 (1,827,493)                  -            -            -     $(5,856,793)
                          
Net loss                      (169,841)             (1,485)      (3,013)      (2,301)    $  (481,159)
                          --------------- ------------ ------------- ----------------- -----------------
                          
PARTNERS' CAPITAL,        
  September 30, 1996       $13,574,067            $162,543     $334,907     $190,263     $51,583,882
                          =============== ============ ============= ================= =================
                          
PARTNERS' CAPITAL,        
  December 31, 1996        $15,878,356            $196,983     $405,594     $230,192     $60,834,088
                          
Redemptions                 (1,129,570)                  -            -            -     $(4,157,907)
                          
Net income                   1,357,393              17,144       35,246       20,005     $ 5,219,594
                          --------------- ------------ ------------- ----------------- -----------------
                          
PARTNERS' CAPITAL,        
  September 30, 1997       $16,106,179            $214,127     $440,840     $250,197     $61,895,775
                          =============== ============ ============= ================= =================

See notes to financial statements.
</TABLE>

                                       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, 1997 and the results of its operations for
   the nine months ended September 30, 1997 and 1996.  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, 1996
   (the "Annual Report").

2. INVESTMENTS

   At September 30, 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").

  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
ended September 30,           Revenue             Commissions              Fees                 Shares               Investments
 1997
                       -------------------    -----------------    ------------------    -------------------    -------------------
 
SERIES A UNITS
 
<S>                      <C>                    <C>                  <C>                   <C>                    <C>
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> 


                                       5
<PAGE>
 
<TABLE>
<CAPTION> 
For the nine months            Total               Brokerage          Administrative            Profit               Income from
ended September 30,           Revenue             Commissions              Fees                 Shares               Investments
 1997
                       -------------------    -----------------    ------------------    -------------------    -------------------
<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>

                                       6
<PAGE>
 
    As significant investees, income statement information for JWH LLC and
  Millburn LLC is set forth as follows:



ML JWH FINANCIAL AND METALS PORTFOLIO LLC
-----------------------------------------
    (a Delaware limited partnership)
    --------------------------------
 
          STATEMENTS OF INCOME
          --------------------
<TABLE>
<CAPTION> 
                                         For the three          For the nine
                                         months ended           months ended
                                         September 30,          September 30,
                                             1997                   1997
                                    ---------------------    -----------------
<S>                                   <C>                      <C>
REVENUES:
    Trading profits (loss):
        Realized                               $6,666,871           $3,199,095
        Change in unrealized                    1,824,620            3,394,200
                                    ---------------------    -----------------
 
            Total trading results               8,491,491            6,593,295
                                    ---------------------    -----------------
 
    Interest income                               788,805            2,312,273
                                    ---------------------    -----------------
 
            Total revenues                      9,280,296            8,905,568
                                    ---------------------    -----------------
 
EXPENSES:
    Profit shares                                 389,699              406,321
    Brokerage commissions                       1,446,028            4,088,876
    Administrative fees                            39,632              110,113
                                    ---------------------    -----------------
 
            Total expenses                      1,875,359            4,605,310
                                    ---------------------    -----------------
 
NET INCOME                                     $7,404,937           $4,300,258
                                    =====================    =================
</TABLE>

                                       7
<PAGE>
 
      ML MILLBURN GLOBAL L.L.C.
      -------------------------
  (a Delaware limited partnership)
  --------------------------------
 
        STATEMENTS OF INCOME
        --------------------
<TABLE>
<CAPTION> 
                                         For the three            For the nine
                                          months ended            months ended
                                         September 30,           September 30,
                                              1997                    1997
                                    ---------------------     -----------------
<S>                                   <C>                       <C>
REVENUES:
    Trading profits (loss):
        Realized                               $1,198,944           $ 7,430,295
        Change in unrealized                     (215,294)           (1,158,707)
                                    ---------------------     -----------------
 
            Total trading results                 983,650             6,271,588
                                    ---------------------     -----------------
 
    Interest income                               400,945             1,151,318
                                    ---------------------     -----------------
 
            Total revenues                      1,384,595             7,422,906
                                    ---------------------     -----------------
 
EXPENSES:
    Profit shares                                 103,793               973,415
    Brokerage commissions                         876,568             2,702,727
    Administrative fees                            23,235                69,944
                                    ---------------------     -----------------
 
            Total expenses                      1,003,596             3,746,086
                                    ---------------------     -----------------
 
NET INCOME                                     $  380,999           $ 3,676,820
                                    =====================     =================
</TABLE>

                                       8
<PAGE>
 
3. INCOME (LOSS) PER UNIT

  The profit and loss of the Series A, Series B and Series C Units for the three
  months ended September 30, 1997 and 1996 is as follows:


<TABLE>
<CAPTION>
                                                1997                                           1996
                          ------------------------------------------------ --------------------------------------------
                               Series A       Series B        Series C       Series A        Series B        Series C
                          ---------------- --------------- --------------- -------------- --------------- -------------
<S>                       <C>             <C>             <C>             <C>               <C>               <C> 
REVENUES:
Trading profits (loss):
   Realized                      $      -           $  -            $  -      $(70,691)      $(192,476)       $(130,267)
   Change in unrealized                 -              -               -       380,443         834,090          453,914
                          ---------------- --------------- --------------- -------------- --------------- -------------
 
    Total trading results               -              -               -       309,752         641,614          323,647
                         ---------------- --------------- --------------- -------------- --------------- -------------
 
Interest income                         -              -               -       124,044         267,807          144,803
 Income from investments          940,383      2,015,866       1,070,209             -               -                -
                          ---------------- --------------- --------------- -------------- --------------- -------------
 
Total revenues                    940,383      2,015,866       1,070,209       433,796         909,421          468,450
                          ---------------- --------------- --------------- -------------- --------------- -------------
 
EXPENSES:
   Profit shares                        -              -               -             -               -                -
   Brokerage commissions                -              -               -       359,655         767,928          417,315
   Administrative fees                  -              -               -         7,653          16,339            8,880
                          ---------------- --------------- --------------- -------------- --------------- -------------
 
Total expenses                          -              -               -       367,308         784,267          426,195
                          ---------------- --------------- --------------- -------------- --------------- -------------
 
NET INCOME                       $940,383     $2,015,866      $1,070,209      $ 66,488       $ 125,154        $  42,255
                          ================ =============== =============== ============== =============== =============
 
NET INCOME
PER UNIT:
Weighted average number
    of units outstanding           53,601        142,368          96,211        58,918         154,634          107,632
                          ================ =============== =============== ============== =============== =============
 
Weighted average net
    income per Limited
    Partner and General
    Partner Unit                 $  17.54     $    14.16      $    11.12         $1.13           $0.81            $0.39
                          ================ =============== =============== ============== =============== =============
</TABLE>

                                       9
<PAGE>
 
  The profit and loss of the Series A, Series B and Series C Units for the nine
  months ended September 30, 1997 and 1996 is as follows:


<TABLE>
<CAPTION>
                                                     1997                                               1996
                                ---------------------------------------------   --------------------------------------------------
                                   Series A        Series B        Series C         Series A          Series B          Series C
                                -------------   -------------   -------------   --------------    --------------    --------------
<S>                               <C>             <C>             <C>             <C>               <C>               <C> 
REVENUES:
Trading profits :

   Realized                              $  -            $  -            $  -       $  274,534        $  480,980        $  231,166
   Change in unrealized                     -               -               -          431,039           929,339           499,664
                                -------------   -------------   -------------   --------------    --------------    --------------
 
    Total trading results                   -               -               -          705,573         1,410,319           730,830
 
Interest income                             -               -               -          386,645           850,816           466,189
Income from investments             1,226,353       2,615,843       1,377,398                -                 -                 -
                                -------------   -------------   -------------   --------------    --------------    --------------
 
Total revenues                      1,226,353       2,615,843       1,377,398        1,092,218         2,261,135         1,197,019
                                -------------   -------------   -------------   --------------    --------------    --------------
 
EXPENSES:
   Profit shares                            -               -               -            5,557             1,065             2,456
   Brokerage commissions                    -               -               -        1,127,598         2,451,989         1,338,231
   Administrative fees                      -               -               -           23,992            52,170            28,473
                                ---------------------------------------------   --------------    --------------    --------------
 
Total expenses                              -               -               -        1,157,147         2,505,224         1,369,160
                                -------------   -------------   -------------   --------------    --------------    --------------
 
NET INCOME (LOSS)                  $1,226,353      $2,615,843      $1,377,398       $  (64,929)       $ (244,089)       $ (172,141)
                                =============   =============   =============   ==============    ==============    ==============
 
NET INCOME (LOSS)
PER UNIT:
 
Weighted average number
    of units outstanding               54,618         144,913          98,415           60,240           160,784           112,283
                                =============   =============   =============   ==============    ==============    ==============
 
Weighted average net
    income (loss) per Limited
    Partner and General
    Partner Unit                   $    22.45      $    18.05      $    14.00           $(1.08)           $(1.52)           $(1.53)
                                =============   =============   =============   ==============    ==============    ==============
</TABLE>

                                      10
<PAGE>
 
4. FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnership's revenues by reporting category for the respective periods were
as follows

<TABLE>
<CAPTION>
                            For the three             For the nine
                             months ended             months ended
                            September 30,             September 30,
                                 1996                     1996
                        -------------------       -------------------
<S>                        <C>                       <C>
Interest rate &
Stock indices                   $ 3,641,871                $1,190,889
Currencies                       (2,708,181)                1,521,270
Metals                              341,323                   134,563
                        -------------------       -------------------
                                $ 1,275,013                $2,846,722
                        ===================       ===================
</TABLE>

  The average fair value of the Partnership's derivative instrument positions
  which were open as of the end of each calendar month during the year ended
  December 31, 1996 were as follows  (there were no open contracts for each of
  the nine months ended September 30, 1997):


<TABLE>
<CAPTION>
                                    1996
                 -------------------------------------------
                      Commitment to          Commitment to
                  Purchase (Futures,       Sell (Futures,
                  Options & Forwards)    Options & Forwards)
                 ---------------------  ---------------------
<S>               <C>                    <C>
Interest rate
& Stock indices             $250,831,694          $190,374,835
Currencies                   296,018,497           334,030,991
Metals                        18,491,709            29,682,273
                        ----------------    ------------------
 
                            $565,341,900          $554,088,099
                        ================    ==================
</TABLE>

5.  RELATED PARTY TRANSACTIONS

        MLIP is currently reviewing certain aspects of the interest arrangements
between the Partnership and certain affiliates of MLIP.  The purpose of the 
review is to confirm that the Partnership received interest credits as described
in its Prospectus.  The results of this review have not been determined.

Item 2: Management's Discussion and Analysis of Financial Condition and Results
 of Operations
 
Operational Overview: Advisor Selections
------------------------------------------
         Due to the nature of the Fund's business, its results of operations
depend on Merrill Lynch Investment Partners Inc.'s, ("MLIP") ability to select
Advisors and determine the appropriate percentage of assets to allocate to them
for trading, as well as the Advisors' ability to recognize and capitalize on
trends and other profit opportunities in different sectors of the world
commodity markets.  MLIP's leveraging analysis, as well as the Advisors' trading
methods, are confidential, so that substantially the only information that can
be furnished regarding the Fund's results of operations is contained in the
performance record of its trading.  Unlike operating businesses, general
economic or seasonal conditions do not directly affect the profit potential of
the Fund, and its past performance is not necessarily indicative of future
results.  Because of the speculative nature of its trading, operational or
economic trends have little relevance to the Fund's results.  MLIP believes,
however, that there are certain market conditions, for example, markets with
strong price trends, in which the Fund has a better likelihood of being
profitable than in others.

Results of Operations - General
-------------------------------

         MLIP believes that multi-Advisor futures funds should be regarded as
medium- to long-term investments but, unlike an operating business, it is
difficult to identify "trends" in the Fund's operations and virtually impossible
to make any predictions regarding future results based on results to date.

         Markets in which sustained price trends occur with some frequency tend
to be more favorable to managed futures investments than "whipsaw," "choppy"
markets, but (i) this is not always the case, (ii) it is impossible to predict
when trending markets will occur and (iii) different Advisors are affected
differently by trends in general as well as by particular types of trends.

                                      11
<PAGE>
 
         The Fund controls credit risk in its trading in the derivatives markets
by trading only through Merrill Lynch entities which MLIP believes to be
creditworthy.  The Fund attempts to control the market risk inherent in its
derivatives trading by utilizing a multi-advisor, multi-strategy structure.
This structure purposefully attempts to diversify the Fund's Advisor group among
different strategy types and market sectors in an effort to reduce risk
(although the Fund's portfolio currently emphasizes technical and trend-
following approaches).

Performance Summary
-------------------

                                SERIES A UNITS:

         During the first nine months of 1996, the Series' average month-end Net
Assets equaled $12,592,749,  and the Series recognized gross trading profit of
$705,573 or 5.60% of such average month-end Net Assets.  Brokerage commissions
of $1,127,598 or 8.95%, Administrative fees of $23,992 or .19% and Profit shares
of $5,557 or .04% of average month-end Net Assets were paid.  Interest income of
$386,645 or 3.07% of average month-end Net Assets resulted in a net loss of
$64,929 or .52% of average month-end Assets which resulted in a .90% decrease in
the Net Asset Value per Unit since December 31, 1995.

         During the first nine months of 1997, the Series' average month-end Net
Assets equaled $14,495,434. Income from investments resulted in a net gain of
$1,226,353 or 8.46 % of average month-end Net Assets which resulted in a 8.70 %
increase in the Net Asset Value per Unit since December 31, 1996.

         During the first nine months of 1997 and 1996, the Series experienced 8
profitable months and 10 unprofitable months.

<TABLE>
<CAPTION>
                  MONTH-END NET ASSET VALUE PER SERIES A UNIT
 
           Jan.       Feb.       Mar.        Apr        May        Jun        Jul        Aug        Sep
 --------------------------------------------------------------------------------------------------------
<S>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
 
1996       $231.67    $209.48    $205.35    $213.42    $204.22    $207.21    $206.87    $201.95    $208.39
----------------------------------------------------------------------------------------------------------
1997       $273.52    $270.58    $267.94    $261.04    $251.03    $257.22    $283.93    $270.03    $274.52
----------------------------------------------------------------------------------------------------------
</TABLE>

                                SERIES B UNITS:

         During the first nine months of 1996, the Series' average month-end Net
Assets equaled $27,373,367, and the Series recognized gross trading profit of
$1,410,319 or 5.15% of such average month-end Net Assets.  Brokerage commissions
of $2,451,989 or 8.96%, Administrative fees of $52,170 or .19% and Profit shares
of $1,065 or .004% of average month-end Net Assets were paid. Interest income of
$850,816 or 3.11% of average month-end Net Assets resulted in net loss of
$244,089 or .89% of average month-end Net Assets which resulted in a .89%
decrease in the Net Asset Value per Unit since December 31, 1995.

         During the first nine months of 1997, the Series' average month-end Net
Assets equaled $31,283,609.  Income from investments resulted in net gain of
$2,615,843 or 8.36 % of average month-end Net Assets which resulted in a 8.69 %
increase in the Net Asset Value per Unit since December 31, 1996.

         During the first nine months of 1997 and 1996, the Series experienced 8
profitable months and 10 unprofitable months.

<TABLE>
<CAPTION>
                               MONTH-END NET ASSET VALUE PER SERIES B UNIT
 
          Jan.       Feb.       Mar.        Apr        May        Jun        Jul        Aug        Sep
---------------------------------------------------------------------------------------------------------
<S>       <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
 
1996      $188.93    $171.14    $167.47    $173.94    $166.31    $168.64    $168.41    $164.21    $169.49
---------------------------------------------------------------------------------------------------------
1997      $222.32    $219.93    $217.78    $212.17    $204.08    $209.10    $230.77    $219.46    $223.11
---------------------------------------------------------------------------------------------------------
</TABLE>

                                SERIES C UNITS:

         During the nine months of 1996, the Series' average month-end Net
Assets equaled $15,398,289, and the Series realized gross trading profit of
$730,830 or 4.75% of such average month-end Net Assets.  Brokerage commissions
of $1,338,231 or 8.69%, Administrative fees of $28,473 or .19% and Profit shares
of $2,456 or .02% of average month-end Net Assets were paid.  Interest income of
$466,189 or 3.03% of average month-end Net Assets resulted in net loss of
$172,141 or 1.12% of average month-end Net Assets which resulted in a 1.20%
decrease in the Net Asset Value since December 31, 1995.

         During the first nine months of 1997, the Series' average month-end Net
Assets equaled  $16,550,212.  Income from Investments resulted in net gain of $
1,377,398  or 8.32 % of average month-end Net Assets which resulted in a 8.70 %
increase in the Net Asset Value since December 31, 1996.

         During the first nine months of 1997 and 1996, the Series experienced 8
profitable months and 10 unprofitable months.

                                      12
<PAGE>
 
<TABLE>
<CAPTION>
                               MONTH-END NET ASSET VALUE PER SERIES C UNIT
 
           Jan.       Feb.       Mar.        Apr        May        Jun        Jul        Aug        Sep
----------------------------------------------------------------------------------------------------------
<S>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
 
1996       $147.90    $133.80    $130.88    $135.93    $129.91    $131.79    $131.69    $128.12    $132.22
----------------------------------------------------------------------------------------------------------
1997       $173.26    $171.40    $169.73    $165.35    $159.04    $162.96    $179.85    $171.03    $173.88
----------------------------------------------------------------------------------------------------------
</TABLE>

Importance of Market Factors
----------------------------

         Comparisons between the Fund's performance in a given period in one
fiscal year to the same period in a prior year are unlikely to be meaningful,
given the uncertainty of price movements in the markets traded by the Fund.  In
general, MLIP expects that the Fund is most likely to trade successfully in
markets which exhibit strong and sustained price trends.  The  Advisors'
emphasizes technical and trend-following methods.  Consequently, one would
expect that in trendless, "choppy" markets the Fund would likely be
unprofitable, while in markets in which major price movements occur, the Fund
would have its best profit potential (although there could be no assurance that
the Fund would, in fact, trade profitably).  However, trend-followers not
infrequently will miss major price movements, and market corrections can result
in rapid and material losses (sometimes as much as 5% in a single day).
Although MLIP monitors market conditions and Advisor performance on an ongoing
basis in overseeing the Fund's trading, MLIP does not attempt to "market
forecast" or to "match" trading styles with predicted market conditions.

         Because managed futures advisors' strategies are proprietary and
confidential and market movements unpredictable, selecting advisors to implement
speculative trading strategies involves considerable uncertainty.  Furthermore,
the concentration of the Fund's current Advisor portfolio, both in terms of the
number of managers retained and the common emphasis of their strategies on
technical and trend-following methods, increases the risk that unexpectedly bad
performance, turbulent market conditions or a combination of the two will result
in significant losses.

Liquidity
---------

         Most of the Partnership's assets are held as cash which, in turn, is
used to margin its futures positions and earn interest income and is withdrawn,
as necessary, to pay redemptions and fees.

     The futures contracts in which the Partnership trades may become illiquid
under certain market conditions.  Commodity exchanges limit fluctuations in
futures prices during a single day by regulations referred to as "daily limits."
During a single day no trades may be executed at prices beyond the daily limit.
Once the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
generally neither be taken nor liquidated unless traders are willing to effect
trades at or within the limit.  Futures contracts have occasionally moved to the
daily limit for several consecutive days with little or no trading.  Such market
conditions could prevent the Partnership from promptly liquidating its futures
(including its options) positions.  There are no limitations on the daily price
moves in trading foreign currency forward contracts through banks, although
illiquidity may develop in the forward markets due to large spreads between
"bid" and "ask" prices quoted.  (Forward contracts are the bank version of
currency futures contracts and are not traded on exchanges.)

Capital Resources
-----------------

         The Partnership does not have, nor does it expect to have, any capital
assets and has no material commitments for capital expenditures.  The
Partnership uses its assets to supply the necessary margin or premiums for, and
to pay any losses incurred in connection with, its trading activity and to pay
redemptions and fees.

         Inflation is not a significant factor in the Fund's profitability,
although inflationary cycles can give rise to the type of major price movements
which can have a materially favorable or adverse impact on the Fund's
performance.

                                      13
<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.

     John W. Henry & Company, Inc., ("JWH") is one of the Advisors retained by
the Fund, managing approximately 49% of the fund's assets committed to trading
as of October 1, 1997.  In September 1996, JWH was named as a co-defendant in a
class action lawsuits brought in the California Superior Court, Los Angeles
County and in the New York Supreme Court, New York County.  In November 1996,
JWH was named as a co-defendant in a class action complaint filed in Superior
Court of the State of Delaware for Newcastle County that contained the same
allegations as the New York and California complaints.  The actions, which seek
unspecified damages, purport to be brought on behalf of investors in certain
Dean Witter, Discover & Co. ("Dean Witter") commodity pools, some of which are
advised by JWH, and are primarily directed at Dean Witter's alleged fraudulent
selling practices in connection with the marketing of those pools.  JWH is
essentially alleged to have aided and abetted or directly participated with Dean
Witter in those practices.  JWH believes the allegations against it are without
merit; it intends to contest these allegations vigorously, and is convinced that
it will be shown to have acted properly and in the best interest of the
investors.

 

Item 2.  Changes in Securities

     None.

Item 3.  Defaults Upon Senior Securities

     None.

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

     None.

Item 5.  Other information

  Ms. Eilene Nicoll is the vice president of trading administration and a member
of the Investment Policy Committee of John W. Henry & Company, Inc.  ("JWH").
Prior to joining JWH in July 1997, Ms. Nicoll was a vice president beginning in
January 1997 at Commercial Materials, L.L.C., a newly organized corporation
which has not yet begun operations.  She was a vice president and director at
West Course Capital, Inc., a CTA, from January 1994 until it dissolved in
December 1996.  At West Course Capital, Inc., Ms. Nicoll was responsible for
operations and administration.  Prior to joining West Course Capital, Inc., she
was a vice president at REFCO, Inc. from May 1991 to December 1993.  While at
REFCO, Inc., she was also a principal of Nikkhah & Nicoll Asset Management,
Inc., a CPO.  Ms. Nicoll was at Shearson Lehman Brothers from January 1987 to
December 1990 as vice president-futures, and subsequently, from January 1991 to
May 1991, at Moore Capital Management, Inc.  where she was involved in all
aspects of the commodity trading advisor business, including administration,
marketing, and allocation of proprietary capital.  From 1984 through 1986, she
was an  independent discretionary trader.  Ms. Nicoll was employed at
Commodities Corporation (USA) N.V. from 1978 to 1984 where she was an assistant
vice president.  Ms. Nicoll received  her B.A. in psychology from Brooklyn
College.

  Ms. Glenda G. Twist and Mr. John A. Ford are no longer principals of JWH
effective August 1, 1997 and August 31, 1997, respectively.
 
Item 6.  Exhibits and Reports on Form 8-K.

     (a)  Exhibits
          --------

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

     (b)  Reports on Form 8-K
          -------------------

     There were no reports on Form 8-K filed during the first nine months of
     fiscal 1997.

                                      14
<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 14, 1997    By /s/JOHN R. FRAWLEY, JR.
                               -----------------------
                              John R. Frawley, Jr.
                              President, Chief Executive Officer
                              and Director



Date:  November 14, 1997    By /s/MICHAEL A. KARMELIN
                               ----------------------
                              Michael A. Karmelin
                              Chief Financial Officer, Vice President
                              and Treasurer