<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, 2002
                               --------------

                                       OR

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

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

Commission File Number 0-18215

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        ---------------------------------
                          (Exact Name of Registrant as
                            specified in its charter)

            Delaware                                     06-1287586
-----------------------------------        ------------------------------------
(State or other jurisdiction of             (IRS Employer Identification No.)
incorporation or organization)

                       c/o MLIM Alternative Strategies LLC
                           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,       DECEMBER 31,
                                                   2002             2001
                                               (unaudited)
                                              --------------    --------------
<S>                                           <C>               <C>
ASSETS

Investments                                   $   22,881,456    $   26,155,682
Receivable from investments                          200,535           220,310
                                              --------------    --------------

                TOTAL                         $   23,081,991    $   26,375,992
                                              ==============    ==============

LIABILITY AND PARTNERS' CAPITAL

    Redemptions payable                       $      200,535    $      220,310
                                              --------------    --------------

            Total liabilities                        200,535           220,310
                                              --------------    --------------

PARTNERS' CAPITAL:
    General Partner:
        (284 and 284 Series A Units)                  68,794            76,061
        (613 and 613 Series B Units)                 120,652           133,398
        (450 and 450 Series C Units)                  69,026            76,317
    Limited Partners:
        (24,326 and 25,601 Series A Units)         5,892,513         6,856,493
        (53,317 and 55,127 Series B Units)        10,493,960        11,996,457
        (40,657 and 41,374 Series C Units)         6,236,511         7,016,956
                                              --------------    --------------

            Total partners' capital               22,881,456        26,155,682
                                              --------------    --------------

                TOTAL                         $   23,081,991    $   26,375,992
                                              ==============    ==============

NET ASSET VALUE PER UNIT:
 Series A (Based on 24,610 and                $       242.23    $       267.82
  25,885 Units Outstanding)                   ==============    ==============
 Series B (Based on 53,930 and                $       196.82    $       217.61
  55,740 Units Outstanding)                   ==============    ==============
 Series C (Based on 41,107 and                $       153.39    $       169.60
  41,824 Units Outstanding)                   ==============    ==============
</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, 2002     MARCH 31, 2001
                                                  --------------     --------------
<S>                                               <C>                <C>
REVENUES:
    Income (loss) from investments                $   (2,450,945)    $    4,343,692
                                                  --------------     --------------

NET INCOME (LOSS)                                 $   (2,450,945)    $    4,343,692
                                                  ==============     ==============

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
    and Limited Partner Units outstanding                122,020            141,368
                                                  ==============     ==============

    Weighted average net income (loss)
    per General Partner and
    Limited Partner Unit                          $       (20.09)    $        30.73
                                                  ==============     ==============
</Table>

See notes to financial statements.

                                       3
<Page>

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

                 STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
             FOR THE THREE MONTHS ENDED MARCH 31, 2002 AND 2001
                                 (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, 2000       29,064        67,053        48,130   $    84,379   $   152,621   $    86,921

Net income                    --            --            --        12,857        23,249        13,240

Redemptions               (1,560)       (3,787)       (2,832)           --            --            --
                     -----------   -----------   -----------   -----------   -----------   -----------

PARTNERS' CAPITAL,
  March 31, 2001          27,504        63,266        45,298   $    97,236   $   175,870   $   100,161
                     ===========   ===========   ===========   ===========   ===========   ===========

PARTNERS' CAPITAL,
  December 31, 2001       25,885        55,740        41,824   $    76,061   $   133,398   $    76,317

Net loss                      --            --            --        (7,267)      (12,746)       (7,291)

Redemptions               (1,275)       (1,810)         (717)           --            --            --
                     -----------   -----------   -----------   -----------   -----------   -----------

PARTNERS' CAPITAL,
  March 31, 2002          24,610        53,930        41,107   $    68,794   $   120,652   $    69,026
                     ===========   ===========   ===========   ===========   ===========   ===========

<Caption>
                                LIMITED PARTNERS
                                ----------------
                      SERIES A      SERIES B       SERIES C       TOTAL
                     -----------   -----------   -----------   -----------
<S>                  <C>           <C>           <C>           <C>
PARTNERS' CAPITAL,
  December 31, 2000  $ 7,415,475   $13,906,094   $ 7,777,655   $29,423,145

Net income             1,083,035     2,054,426     1,156,885     4,343,692

Redemptions            (417,162)      (852,696)     (506,268)   (1,776,126)
                     -----------   -----------   -----------   -----------

PARTNERS' CAPITAL,
  March 31, 2001     $ 8,081,348   $15,107,824   $ 8,428,272   $31,990,711
                     ===========   ===========   ===========   ===========

PARTNERS' CAPITAL,
  December 31, 2001  $ 6,856,493   $11,996,457   $ 7,016,956   $26,155,682

Net loss                (637,777)   (1,123,010)     (662,854)   (2,450,945)

Redemptions            (326,203)      (379,487)     (117,591)     (823,281)
                     -----------   -----------   -----------   -----------

PARTNERS' CAPITAL,
  March 31, 2002     $ 5,892,513   $10,493,960   $ 6,236,511   $22,881,456
                     ===========   ===========   ===========   ===========
</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

     These financial statements have been prepared without audit. In the opinion
     of management, the financial statements contain all adjustments (consisting
     of only normal recurring adjustments) necessary to present fairly the
     financial position of John W. Henry & Co./Millburn L.P. (the "Partnership")
     as of March 31, 2002, and the results of its operations for the three
     months ended March 31, 2002 and 2001. 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 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, 2001 (the "Annual
     Report").

2.   INVESTMENTS

     As of March 31, 2002, the Partnership had investments in ML JWH
     Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC
     ("Millburn LLC") of $11,440,728 and $11,440,728 respectively. At December
     31, 2001, the Partnership had investments in JWH LLC and Millburn LLC of
     $13,077,841 and $13,077,841, respectively.

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

<Table>
<Caption>
FOR THE THREE
MONTHS
ENDED MARCH 31,                     CHANGE IN         INTEREST       BROKERAGE     ADMINISTRATIVE    LOSS FROM
2002                REALIZED        UNREALIZED         INCOME       COMMISSIONS         FEES        INVESTMENTS
(unaudited)      --------------   --------------   --------------  --------------  --------------  --------------
<S>              <C>              <C>              <C>             <C>             <C>             <C>
SERIES A UNITS
JWH LLC          $     (203,777)  $     (166,090)  $       13,589  $       67,752  $        1,995  $     (426,025)
Millburn LLC            112,628         (271,538)          13,684          71,686           2,108        (219,020)
                 --------------   --------------   --------------  --------------  --------------  --------------
Total            $      (91,149)  $     (437,628)  $       27,273  $      139,438  $        4,103  $     (645,045)
                 ==============   ==============   ==============  ==============  ==============  ==============

SERIES B UNITS
JWH LLC          $     (358,739)  $     (292,374)  $       23,869  $      119,014  $        3,500  $     (749,758)
Millburn LLC            197,818         (478,221)          24,037         125,927           3,704        (385,997)
                 --------------   --------------   --------------  --------------  --------------  --------------
Total            $     (160,921)  $     (770,595)  $       47,906  $      244,941  $        7,204  $   (1,135,755)
                 ==============   ==============   ==============  ==============  ==============  ==============

SERIES C UNITS
JWH LLC          $     (209,830)  $     (173,631)  $       14,037  $       69,968  $        2,058  $     (441,450)
Millburn LLC            118,216         (284,837)          14,140          74,036           2,178        (228,695)
                 --------------   --------------   --------------  --------------  --------------  --------------
Total            $      (91,614)  $     (458,468)  $       28,177  $      144,004  $        4,236  $     (670,145)
                 ==============   ==============   ==============  ==============  ==============  ==============

TOTAL ALL UNITS
JWH LLC          $     (772,346)  $     (632,095)  $       51,495  $      256,734  $        7,553  $   (1,617,233)
Millburn LLC            428,662       (1,034,596)          51,861         271,649           7,990        (833,712)
                 --------------   --------------   --------------  --------------  --------------  --------------
Total            $     (343,684)  $   (1,666,691)  $      103,356  $      528,383  $       15,543  $   (2,450,945)
                 ==============   ==============   ==============  ==============  ==============  ==============
</Table>


                                       5
<Page>
<Table>
<Caption>
FOR THE THREE MONTHS
ENDED MARCH 31,                            CHANGE IN           INTEREST          BROKERAGE      ADMINISTRATIVE      INCOME FROM
2001                       REALIZED        UNREALIZED           INCOME          COMMISSIONS          FEES           INVESTMENTS
(unaudited)            ---------------   ---------------    ---------------   ---------------   ---------------   ---------------
<S>                    <C>               <C>                <C>               <C>               <C>               <C>
SERIES A UNITS
JWH LLC                $     1,134,899   $      (396,600)   $        48,402   $        88,174   $         2,593   $       695,934
Millburn LLC                   496,958           (58,022)            41,170            77,858             2,290           399,958
                       ---------------   ---------------    ---------------   ---------------   ---------------   ---------------
Total                  $     1,631,857   $      (454,622)   $        89,572   $       166,032   $         4,883   $     1,095,892
                       ===============   ===============    ===============   ===============   ===============   ===============

SERIES B UNITS
JWH LLC                $     2,144,485   $      (748,069)   $        91,386   $       166,636   $         4,901   $     1,316,265
Millburn LLC                   945,329          (109,604)            78,383           148,336             4,362           761,410
                       ---------------   ---------------    ---------------   ---------------   ---------------   ---------------
Total                  $     3,089,814   $      (857,673)   $       169,769   $       314,972   $         9,263   $     2,077,675
                       ===============   ===============    ===============   ===============   ===============   ===============

SERIES C UNITS
JWH LLC                $     1,207,524   $      (421,426)   $        51,330   $        93,629   $         2,754   $       741,045
Millburn LLC                   531,040           (60,194)            44,024            83,338             2,452           429,080
                       ---------------   ---------------    ---------------   ---------------   ---------------   ---------------
Total                  $     1,738,564   $      (481,620)   $        95,354   $       176,967   $         5,206   $     1,170,125
                       ===============   ===============    ===============   ===============   ===============   ===============

TOTAL ALL UNITS
JWH LLC                $     4,486,908   $    (1,566,095)   $       191,118   $       348,439   $        10,248   $     2,753,244
Millburn LLC                 1,973,327          (227,820)           163,577           309,532             9,104         1,590,448
                       ---------------   ---------------    ---------------   ---------------   ---------------   ---------------
Total                  $     6,460,235   $    (1,793,915)   $       354,695   $       657,971   $        19,352   $     4,343,692
                       ===============   ===============    ===============   ===============   ===============   ===============
</Table>

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

<Table>
<Caption>
                            MARCH 31, 2002                     DECEMBER 31, 2001
                              (unaudited)                         (unaudited)
                   ---------------------------------   ---------------------------------
                         JWH            MILLBURN            JWH              MILLBURN
                         LLC              LLC               LLC                LLC
                   ---------------   ---------------   ---------------   ---------------
<S>                <C>               <C>               <C>               <C>
Assets             $    11,522,681   $    12,014,853   $    13,692,020   $    13,171,887
                   ===============   ===============   ===============   ===============
Liabilities        $        81,953   $       574,125   $       614,179   $        94,046
Members' Capital        11,440,728        11,440,728        13,077,841        13,077,841
                   ---------------   ---------------   ---------------   ---------------
Total              $    11,522,681   $    12,014,853   $    13,692,020   $    13,171,887
                   ===============   ===============   ===============   ===============
</Table>
<Table>
<Caption>
                     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,
                          2002               2002               2001              2001
                      (unaudited)        (unaudited)        (unaudited)       (unaudited)
                    ---------------    ---------------    ---------------   ---------------
<S>                 <C>                <C>                <C>               <C>
Revenues            $    (1,352,944)   $      (554,075)   $     3,111,932   $     1,909,084
Expenses                    264,289            279,637            358,687           318,637
                    ---------------    ---------------    ---------------   ---------------
Net Income (loss)   $    (1,617,233)   $      (833,712)   $     2,753,245   $     1,590,447
                    ===============    ===============    ===============   ===============
</Table>


                                        6
<Page>

4.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     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 resulted
     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.

     MLIM Alternative Strategies LLC ("MLIM AS LLC") has procedures in place
     intended to control market risk exposure, although there can be no
     assurance that they will, in fact, succeed in doing so. These procedures
     focus primarily on monitoring the trading of the Advisors selected from
     time to time for the Partnership, calculating the Net Asset Value of the
     Advisors' respective Trading LLC accounts as of the close of business on
     each day and reviewing outstanding positions for over-concentrations
     both on an Advisor-by-Advisor and on an overall Partnership basis. While
     MLIM AS LLC does not itself intervene in the markets to hedge or
     diversify the Partnership's market exposure, MLIM AS LLC may urge
     Advisors to reallocate positions or itself reallocate Partnership assets
     among Advisors (although typically only as of the end of a month) in an
     attempt to avoid over-concentration. However, such interventions are
     unusual. Except in cases in which it appears that an Advisor has begun
     to deviate from past practice and trading policies or to be trading
     erratically, MLIM AS LLC's basic risk control procedures consist simply
     of the ongoing process of advisor monitoring and selection, with the
     market risk controls being applied by the Advisors themselves.

     CREDIT RISK

     The risks associated with exchange-traded contracts are typically perceived
     to be less than those associated with over-the-counter
     (non-exchange-traded) transactions, because exchanges typically (but not
     universally) provide clearinghouse arrangements in which the collective
     credit (in some cases limited in amount, in some cases not) of the members
     of the exchange is pledged to support the financial integrity of the
     exchange. In over-the-counter transactions, on the other hand, traders must
     rely solely on the credit of their respective individual counterparties.
     Margins, which may be subject to loss in the event of a default, are
     generally required in exchange trading, and counterparties may also require
     margin in the over-the-counter markets.

     The Partnership, through the Trading LLCs, has credit risk in respect of
     its counterparties and brokers, but attempts to mitigate this risk by
     dealing almost exclusively with Merrill Lynch entities as clearing
     brokers.The Partnership, through the Trading LLCs, in its normal course of
     business, enters into various contracts, with Merrill Lynch 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.

                                       7
<Page>

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

                   MONTH-END NET ASSET VALUE PER SERIES A UNIT

<Table>
<Caption>
                       ----------------------------------
                               JAN.     FEB.    MAR.
                       ----------------------------------
<S>                            <C>      <C>     <C>
                       2001    $264.13  $265.03 $297.36
                       ----------------------------------
                       2002    $269.22  $255.81 $242.23
                       ----------------------------------
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
                       -----------------------------------
                               JAN.     FEB.     MAR.
                       -----------------------------------
<S>                            <C>      <C>      <C>
                       2001    $214.61  $215.32  $241.58
                       ----------------------------------
                       2002    $218.75  $207.86  $196.82
                       ----------------------------------
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
                       ----------------------------------
                               JAN.     FEB.    MAR.
                       ----------------------------------
<S>                            <C>      <C>     <C>
                       2001    $167.25  $167.81 $188.27
                       ----------------------------------
                       2002    $170.48  $161.99 $153.39
                       ----------------------------------
</Table>

Performance Summary

January 1, 2002 to March 31, 2002

Trading in the metals sector was unprofitable for the quarter. Long positions in
gold suffered losses. The gold market slumped, reversing January gains. Base
metal positioning posted losses as prices soared on the hope that an economic
recovery in the United States would boost demand.

Trading in the interest rate markets produced losses on conflicting economic
reports. U.S. short rate profits offset losses incurred further out on the U.S.
curve under very choppy market conditions. European and Japanese fixed income
exposures posted losses under particularly direction-less markets. Global bond
prices declined on growing optimism for a stronger economic outlook for the
remainder of 2002, benefiting short positioning.

Stock indices trading incurred losses for the quarter. Long equity exposures
were flipped to short exposures during the quarter, added to losses in volatile
market conditions as profit forecasts fell short and concern over the Enron
accounting situation deepened. Global equity markets appreciated in March,
notably in Japan, Germany and France, which generated losses on short
positioning.

Currency trading was the most unprofitable strategy for the quarter. Early in
the quarter, strong gains were generated from short Japanese yen positions as
the Japanese yen continued to depreciate against the U.S. dollar. In February,
all of the futures traded currencies appreciated against the U.S. dollar, with
the exception of the Canadian dollar. March was a relatively volatile month for
G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the
first week, and then almost completely reversed that move by month end,
generating substantial losses.

January 1, 2001 to March 31, 2001

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

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

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

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


                                       8
<Page>

                           PART II - OTHER INFORMATION


Item 1.  Legal Proceedings

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

Item 2.  Changes in Securities and Use of Proceeds

         None.
         None.
         None.
         None.

Item 3.  Defaults Upon Senior Securities

         None.

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

         None.

Item 5.  Other information

         Effective March 1, 2002, Mr. Robert M. Alderman was elected a manager
         of MLIM AS LLC, the Partnership's General Partner. Mr. Alderman is a
         Managing Director of MLIM and global head of Retail Sales and Business
         Management for Alternative Investments. In this capacity, he is
         responsible for coordinating a global sales effort and managing the
         retail product line, which includes hedge funds, private equity
         opportunities, managed futures funds and exchange funds.

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 2002.


                                       9
<Page>

                                    SIGNATURE

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




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






                           By: MLIM ALTERNATIVE STRATEGIES LLC
                                  (General Partner)






Date:  May 15, 2002        By /s/ FABIO P. SAVOLDELLI
                              -----------------------
                              Fabio P. Savoldelli
                              Chairman, Chief Executive Officer
                              and Manager
                              (Principal Executive Officer)






Date:  May 15, 2002        By /s/ MICHAEL L. PUNGELLO
                              -----------------------
                              Michael L. Pungello
                              Vice President, Chief Financial Officer
                              and Treasurer
                              (Principal Financial and Accounting Officer)


                                       10