<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 March 31, 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>
                                                            MARCH 31,
                                                              2005          DECEMBER 31,
                                                           (UNAUDITED)         2004
                                                          -------------    -------------
<S>                                                       <C>              <C>
ASSETS

Investments in Trading LLCs                               $  23,271,791    $  27,635,033
Receivable from Trading LLCs                                    201,960          601,536
                                                          -------------    -------------

           TOTAL                                          $  23,473,751    $  28,236,569
                                                          =============    =============

LIABILITIES AND PARTNERS' CAPITAL

   Administrative fees payable                            $      12,250    $      50,000
   Redemptions payable                                          189,710          551,536
                                                          -------------    -------------

        Total liabilities                                       201,960          601,536
                                                          -------------    -------------

PARTNERS' CAPITAL:
   General Partner:
     (189 and 209 Series A Units)                                62,680           80,720
     (425 and 478 Series B Units)                               114,385          149,823
     (296 and 339 Series C Units)                                62,097           82,822
   Limited Partners:
     (18,323 and 18,554 Series A Units)                       6,076,673        7,165,985
     (41,139 and 41,696 Series B Units)                      11,072,227       13,069,071
     (28,046 and 29,006 Series C Units)                       5,883,729        7,086,612
                                                          -------------    -------------

        Total partners' capital                              23,271,791       27,635,033
                                                          -------------    -------------

           TOTAL                                          $  23,473,751    $  28,236,569
                                                          =============    =============

NET ASSET VALUE PER UNIT:
 Series A (Based on 18,512 and 18,763 Units outstanding)  $      331.64    $      386.22
                                                          =============    =============
 Series B (Based on 41,564 and 42,174 Units outstanding)  $      269.14    $      313.44
                                                          =============    =============
 Series C (Based on 28,342 and 29,345 Units outstanding)  $      209.79    $      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
                                                           MONTHS ENDED     MONTHS ENDED
                                                          MARCH 31, 2005   MARCH 31, 2004
                                                          --------------   ---------------
<S>                                                       <C>              <C>
TRADING REVENUES (LOSS):

   Trading profit (loss):
     Realized                                             $   (1,403,378)  $     3,017,656
     Change in unrealized                                     (2,063,951)       (1,810,382)
                                                          --------------   ---------------

        Total trading revenues (loss)                         (3,467,329)        1,207,274
                                                          --------------   ---------------

INVESTMENT INCOME:
   Interest                                                      159,806            74,574
                                                          --------------   ---------------

EXPENSES:

   Brokerage commissions                                         527,161           695,016
   Profit Shares                                                       -           113,145
   Administrative fees                                            52,255            39,699
                                                          --------------   ---------------

        Total expenses                                           579,416           847,860
                                                          --------------   ---------------

NET INVESTMENT LOSS                                             (419,610)         (773,286)
                                                          --------------   ---------------

NET INCOME (LOSS)                                         $   (3,886,939)  $       433,988
                                                          ==============   ===============

NET INCOME (LOSS) PER UNIT:

Weighted average number of General Partner and
  Limited Partner Units outstanding                               89,729            99,235
                                                          ==============   ===============

Net income (loss) per weighted average
  General Partner and Limited Partner Unit                $       (43.32)  $          4.37
                                                          ==============   ===============

Net income (loss) per weighted average General Partner
  and Limited Partner Unit by series
   Series A                                               $       (54.65)  $          5.22
                                                          ==============   ===============
   Series B                                               $       (44.36)  $          4.87
                                                          ==============   ===============
   Series C                                               $       (34.58)  $          3.17
                                                          ==============   ===============
</Table>

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

See notes to financial statements.

                                        3

<Page>

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

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
               FOR THE THREE MONTHS ENDED MARCH 31, 2005 AND 2004
                                   (unaudited)

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

Net income                  -         -         -       1,038       1,933       1,066

Redemptions              (970)   (2,760)     (793)          -           -           -
                     --------  --------  --------  ----------  ----------  ----------

PARTNERS' CAPITAL,
  March 31, 2004       19,478    44,284    32,673  $   84,717  $  157,445  $   87,012
                     ========  ========  ========  ==========  ==========  ==========

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

Net loss                    -         -         -     (11,078)    (20,465)    (11,257)

Redemptions              (251)     (610)   (1,003)     (6,962)    (14,973)     (9,468)
                     --------  --------  --------  ----------  ----------  ----------

PARTNERS' CAPITAL,
  March 31, 2005       18,512    41,564    28,342  $   62,680  $  114,385  $   62,097
                     ========  ========  ========  ==========  ==========  ==========

<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 income               102,731       222,916      104,304       433,988

Redemptions             (395,350)     (943,648)    (203,675)   (1,542,673)
                     -----------  ------------  -----------  ------------

PARTNERS' CAPITAL,
  March 31, 2004     $ 7,810,703  $ 14,428,919  $ 8,299,357  $ 30,868,153
                     ===========  ============  ===========  ============

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

Net loss              (1,008,662)   (1,838,393)    (997,084)   (3,886,939)

Redemptions              (80,650)     (158,451)    (205,799)     (476,303)
                     -----------  ------------  -----------  ------------

PARTNERS' CAPITAL,
  March 31, 2005     $ 6,076,673  $ 11,072,227  $ 5,883,729  $ 23,271,791
                     ===========  ============  ===========  ============
</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 necessary to present fairly the financial position of John W.
     Henry & Co./Millburn L.P. (the "Partnership") as of March 31, 2005, and the
     results of its operations for the three months ended March 31, 2005 and
     2004. 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 accordance 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 March 31, 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 $11,635,896 and $11,635,896,
     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>
                                    MARCH 31, 2005
                                     (UNAUDITED)                    DECEMBER 31, 2004
                             ------------------------------   ------------------------------
                                  JWH           MILLBURN           JWH           MILLBURN
                                  LLC             LLC              LLC             LLC
                             --------------   -------------   -------------   --------------
<S>                          <C>              <C>             <C>             <C>
Assets                       $   11,704,926   $  12,762,933   $  15,414,858   $   13,923,728
                             ==============   ==============  =============   ==============

Liabilities                  $       69,030   $   1,127,037   $   1,597,341   $      106,212
Members' Capital                 11,635,896      11,635,896      13,817,517       13,817,516
                             --------------   --------------  -------------   --------------

Total                        $   11,704,926   $  12,762,933   $  15,414,858   $   13,923,728
                             ==============   ==============  =============   ==============
</Table>

                                        5
<Page>

<Table>
<Caption>
                             JWH              MILLBURN               JWH              MILLBURN
                             LLC                LLC                  LLC                LLC
                      -----------------   ----------------    -----------------   ----------------
                        FOR THE THREE      FOR THE THREE        FOR THE THREE      FOR THE THREE
                           MONTHS             MONTHS               MONTHS             MONTHS
                       ENDED MARCH 31,     ENDED MARCH 31,     ENDED MARCH 31,    ENDED MARCH 31,
                            2005               2005                 2004               2004
                        (UNAUDITED)         (UNAUDITED)          (UNAUDITED)        (UNAUDITED)
                      -----------------   ----------------    -----------------   ----------------
<S>                   <C>                 <C>                 <C>                 <C>
Revenue (Loss)        $      (2,595,535)  $       (711,988)   $         619,220   $        662,627

Expenses                       (255,788)          (286,878)            (389,340)          (439,262)
                      -----------------  -----------------    -----------------   ----------------

Net income (loss)     $      (2,851,323)  $       (998,866)   $         229,880   $        223,365
                      =================   ================    =================   ================
</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 cannot
     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 result 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 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.

                                        6
<Page>

     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 with respect to
     non-performance 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 Trading LLC's 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.
                              ----------------------------
                        <S>   <C>       <C>       <C>
                        2004  $ 405.87  $ 422.69  $ 405.35
                        2005  $ 358.46  $ 348.10  $ 331.64
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
                                JAN.      FEB.      MAR.
                              ----------------------------
                        <S>   <C>       <C>       <C>
                        2004  $ 329.80  $ 343.47  $ 329.38
                        2005  $ 290.90  $ 282.50  $ 269.14
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
                                JAN.      FEB.      MAR.
                              ----------------------------
                        <S>   <C>       <C>       <C>
                        2004  $ 257.00  $ 267.65  $ 256.68
                        2005  $ 226.75  $ 220.20  $ 209.79
</Table>

                                        7
<Page>

Performance Summary

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

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.

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.

                                        8
<Page>

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 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

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 and Trading LLCs within 90 days of
the filing date 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 or Trading
LLCs 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.

                                       9
<Page>

                           PART II - OTHER INFORMATION

Item 1.  Legal Proceedings

         There are no pending legal 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 three months
         of fiscal 2005.

                                       10
<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:  MERRIL LYNCH ALTERNATIVE INVESTMENTS LLC
                                          General Partner


Date: May 16, 2005             By /s/ ROBERT M. ALDERMAN
                                  ----------------------
                                  Robert M. Alderman
                                  Chief Executive Officer, President and Manager
                                  (Principal Executive Officer)


Date: May 16, 2005             By /s/ MICHAEL L. PUNGELLO
                                  -----------------------
                                  Michael L. Pungello
                                  Vice President, Chief Financial Officer
                                  and Treasurer
                                  (Principal Financial and Accounting Officer)

                                       11