<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, 2004
                               --------------
                   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,     DECEMBER 31,
                                                               2004            2003
                                                            (UNAUDITED)
                                                           -------------   -------------
<S>                                                        <C>             <C>
ASSETS

Investments in Trading LLCs                                $  30,868,153   $  31,976,838
Receivable from Trading LLCs                                     199,755         226,885
                                                           -------------   -------------

              TOTAL                                        $  31,067,908   $  32,203,723
                                                           =============   =============

LIABILITY AND PARTNERS' CAPITAL

    Administrative fees payable                            $       6,478   $       6,098
    Redemptions payable                                          193,277         220,787
                                                           -------------   -------------

            Total liabilities                                    199,755         226,885
                                                           -------------   -------------

PARTNERS' CAPITAL:
    General Partner:
        (209 and 209 Series A Units)                              84,717          83,679
        (478 and 478 Series B Units)                             157,445         155,512
        (339 and 339 Series C Units)                              87,012          85,946
    Limited Partners:
        (19,269 and 20,239 Series A Units)                     7,810,703       8,103,322
        (43,806 and 46,566 Series B Units)                    14,428,919      15,149,651
        (32,334 and 33,127 Series C Units)                     8,299,357       8,398,728
                                                           -------------   -------------

            Total partners' capital                           30,868,153      31,976,838
                                                           -------------   -------------

                TOTAL                                      $  31,067,908   $  32,203,723
                                                           =============   =============

NET ASSET VALUE PER UNIT:
 Series A (Based on 19,478 and 20,448 Units outstanding)   $      405.35   $      400.38
                                                           =============   =============
 Series B (Based on 44,284 and 47,044 Units outstanding)   $      329.38   $      325.34
                                                           =============   =============
 Series C (Based on 32,673 and 33,466 Units outstanding)   $      256.68   $      253.53
                                                           =============   =============
</Table>

See notes to financial statements.

                                        2
<Page>

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

                              STATEMENTS OF INCOME
                                   (unaudited)

<Table>
<Caption>
                                                           FOR THE THREE   FOR THE THREE
                                                            MONTHS ENDED    MONTHS ENDED
                                                           MARCH 31, 2004  MARCH 31, 2003
                                                           --------------  --------------
<S>                                                        <C>             <C>
REVENUES:
    Trading profit (loss):
      Realized                                             $   3,017,656   $   6,110,265
      Change in unrealized                                    (1,810,382)     (4,159,998)
                                                           -------------   -------------

         Total trading results                                 1,207,274       1,950,267

    Interest income                                               74,574          95,158
                                                           -------------   -------------

         Total revenues                                        1,281,848       2,045,425
                                                           -------------   -------------

EXPENSES:
    Brokerage commissions                                        695,016         712,515
    Profit Shares                                                113,145         184,044
    Administrative fees                                           39,699          20,957
                                                           -------------   -------------

         Total expenses                                          847,860         917,516
                                                           -------------   -------------

NET INCOME                                                 $     433,988   $   1,127,909
                                                           =============   =============

NET INCOME PER UNIT:

Weighted average number of General Partner
and Limited Partner Units outstanding                             99,235         108,876
                                                           =============   =============

Net income per weighted average
General Partner and Limited Partner Unit                   $        4.37   $       10.36
                                                           =============   =============

Net income per weighted average General Partner
and Limited Partner Unit by series
     Series A                                              $        5.22   $       13.18
                                                           =============   =============
     Series B                                              $        4.87   $       10.62
                                                           =============   =============
     Series C                                              $        3.17   $        8.27
                                                           =============   =============
</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, 2004 AND 2003
                                   (unaudited)

<Table>
<Caption>
                                                    UNITS
                                 --------------------------------------------
                                   SERIES A        SERIES B        SERIES C
                                 ------------    ------------    ------------
<S>                                    <C>             <C>             <C>
PARTNERS' CAPITAL,
  December 31, 2002                    22,607          49,697          36,756

Net income                                  -               -               -

Redemptions                              (378)           (330)         (1,203)
                                 ------------    ------------    ------------

PARTNERS' CAPITAL,
  March 31, 2003                       22,229          49,367          35,553
                                 ============    ============    ============

PARTNERS' CAPITAL,
  December 31, 2003                    20,448          47,044          33,466

Net income                                                  -               -

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

PARTNERS' CAPITAL,
  March 31, 2004                       19,478          44,284          32,673
                                 ============    ============    ============

<Caption>
                                               GENERAL PARTNER
                                 --------------------------------------------
                                   SERIES A        SERIES B        SERIES C
                                 ------------    ------------    ------------
<S>                              <C>            <C>            <C>
PARTNERS' CAPITAL,
  December 31, 2002              $     82,826   $    148,873   $     85,813

Net income                              2,996          5,396          3,106

Redemptions                                 -              -              -
                                 ------------   ------------   ------------

PARTNERS' CAPITAL,
  March 31, 2003                 $     85,822   $    154,269   $     88,919
                                 ============   ============   ============

PARTNERS' CAPITAL,
  December 31, 2003              $     83,679   $    155,512   $     85,946

Net income                              1,038          1,933          1,066

Redemptions                                 -              -              -
                                 ------------   ------------   ------------

PARTNERS' CAPITAL,
  March 31, 2004                 $     84,717   $    157,445   $     87,012
                                 ============   ============   ============

<Caption>
                                               LIMITED PARTNERS
                                 --------------------------------------------
                                   SERIES A        SERIES B        SERIES C         TOTAL
                                 ------------    ------------    ------------    ------------
<S>                              <C>             <C>             <C>             <C>
PARTNERS' CAPITAL,
  December 31, 2002              $  8,023,008    $ 14,329,638    $  8,258,617    $ 30,928,775

Net income                            294,005         521,755         300,651       1,127,909

Redemptions                          (144,224)       (102,010)       (284,806)       (531,040)
                                 ------------    ------------    ------------    ------------

PARTNERS' CAPITAL,
  March 31, 2003                 $  8,172,789    $ 14,749,383    $  8,274,462    $ 31,525,644
                                 ============    ============    ============    ============

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
                                 ============    ============    ============    ============
</Table>

See notes to financial statements.

                                        4
<Page>

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

                          NOTES TO FINANCIAL STATEMENTS
                                   (unaudited)

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

     In the opinion of management, the financial statements contain all
     adjustments (consisting of only recurring adjustments) necessary to
     present fairly the financial position of John W. Henry & Co./Millburn
     L.P. (the "Partnership") as of March 31, 2004, and the results of its
     operations for the three months ended March 31, 2004 and 2003. 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
     general 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, 2003.

2.   INVESTMENTS

     As of March 31, 2004, the Partnership had investments in ML JWH Financials
     and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
     LLC") ("Trading LLCs", collectively) of $15,434,076 and $15,434,077,
     respectively. For the year ending December 31, 2003, the Partnership had
     investments in JWH LLC and Millburn LLC of $15,988,419 and $15,988,419,
     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, 2004              DECEMBER 31, 2003
                                        (UNAUDITED)
                                 --------------------------   ---------------------------
                                      JWH        MILLBURN         JWH          MILLBURN
                                      LLC          LLC            LLC            LLC
                                 ------------  ------------   ------------   ------------
<S>                              <C>           <C>            <C>            <C>
Assets                           $ 15,671,149  $ 15,748,341   $ 16,966,913   $ 16,374,341
                                 ============  ============   ============   ============

Liabilities                      $    237,073  $    314,264   $    978,494   $    385,922
Members' Capital                   15,434,076    15,434,077     15,988,419     15,988,419
                                 ------------  ------------   ------------   ------------

Total                            $ 15,671,149  $ 15,748,341   $ 16,966,913   $ 16,374,341
                                 ============  ============   ============   ============
</Table>

                                        5
<Page>

<Table>
<Caption>
                                   JWH                   MILLBURN                  JWH                  MILLBURN
                                   LLC                     LLC                     LLC                    LLC
                           --------------------    --------------------   --------------------   --------------------
                           FOR THE THREE MONTHS    FOR THE THREE MONTHS   FOR THE THREE MONTHS   FOR THE THREE MONTHS
                              ENDED MARCH 31,         ENDED MARCH 31,        ENDED MARCH 31,        ENDED MARCH 31,
                                   2004                    2004                   2003                   2003
                               (UNAUDITED)             (UNAUDITED)             (UNAUDITED)            (UNAUDITED)
                           --------------------    --------------------   --------------------   --------------------
<S>                             <C>                     <C>                    <C>                     <C>
Revenues                        $  619,220              $  662,627             $ 2,481,420             $ (435,995)

Expenses                           389,340                 439,262                 573,142                344,373
                                ----------              ----------             -----------             ----------

Net Income (Loss)               $  229,880              $  223,365             $ 1,908,278             $ (780,368)
                                ==========              ==========             ===========             ==========
</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 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.

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

                                        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 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>
                     2003    $ 383.74   $ 393.54  $ 371.52
                     2004    $ 405.87   $ 422.69  $ 405.35
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
                             JAN.       FEB.      MAR.
                             --------   --------  --------
                     <S>     <C>        <C>       <C>
                     2003    $ 311.82   $ 319.78  $ 301.90
                     2004    $ 329.80   $ 343.47  $ 329.38
</Table>

                   MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
                             JAN.       FEB.      MAR.
                             --------   --------  --------
                     <S>     <C>        <C>       <C>
                     2003    $ 242.97   $ 249.18  $ 235.24
                     2004    $ 257.00   $ 267.65  $ 256.68
</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, 2004 to March 31, 2004

The Trading LLCs experienced gains 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 for the Trading LLCs. 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
the Trading LLCs were able to generate profits from both U.S. and German yield
curves. Gains were also posted in March. Long exposure to most of the major
global yield curves generated positive results. German Bunds and the longer end
of the U.S. yield curve posted gains, while Japanese exposure detracted from
performance.

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

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

The currency sector experienced losses despite gains early in the quarter. In
January, the currency sector continued its long trend of a weakening U.S.
dollar. Currency trading was very choppy, but the Trading LLCs were able to hold
on to gains 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.

                                        8
<Page>

January 1, 2003 to March 31, 2003

The Trading LLCs experienced gains in the interest rate, stock index and
currency sectors and losses in the metals sector. Overall, the Partnership
experienced a positive rate of return for the quarter.

Interest rate futures were the best performers for the quarter. Interest rates
continued to push lower as economic data for the fourth quarter announced an
annual growth rate for the economy of about 1% for 2002. Consumer spending and
confidence remained low and even the housing market stumbled in March. The
global fixed income markets continued their upward climb until mid-March when
expectations of a short conflict triggered the liquidation of many fixed income
investments hurting long exposure.

Trading in stock indices posted gains for each of the months in the quarter.
European stock markets attempted to start the year with some optimism only to
succumb to eroding prices throughout the quarter. Global economies suffered
throughout the quarter; however, in mid-March the equities market did react with
the currency and fixed income markets. Equities appeared to be more in tune to
the overall market fundamental and were quick to resume their downward trend.

The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing to decline as it has for over a year and
the Trading LLCs were well positioned to capitalize on its U.S. dollar positions
against other currencies. In March, on hopes that the war with Iraq would be
short, the U.S. dollar strengthened and returned some of the profits earned
early in the year.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Trading LLCs sustained losses in February as the
long bias in precious metals hurt the portfolio when gold reversed its rising
trend in February with the announcement that the German Bundesbank had sold a
portion of its gold reserves. Industrial metals markets were choppy throughout
the quarter.

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 LLC 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 2004.

                                       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 14, 2004            By  /s/ ROBERT M. ALDERMAN
                                  ----------------------
                                  Robert M. Alderman
                                  Chief Executive Officer, President and Manager
                                  (Principal Executive Officer)


Date: May 14, 2004            By /s/ MICHAEL L. PUNGELLO
                                 -----------------------
                                 Michael L. Pungello
                                 Vice President, Chief Financial Officer
                                 and Treasurer
                                 (Principal Financial and Accounting Officer)

                                       11
<Page>

                                                                   EXHIBIT 31.01

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Robert M. Alderman, certify that:

1.  I have reviewed this report on Form 10-Q of John W. Henry & Co./Millburn
L.P.;

2.  Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report;

3.  Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;

4.  The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

    a) Designed such disclosure controls and procedures, or caused such
    disclosure controls and procedures to be designed under our supervision, to
    ensure that material information relating to the registrant, including its
    consolidated subsidiaries, is made known to us by others within those
    entities, particularly during the period in which this report is being
    prepared;

    b) Evaluated the effectiveness of the registrant's disclosure controls and
    procedures and presented in this report our conclusions about the
    effectiveness of the disclosure controls and procedures, as of the end of
    the period covered by this report based on such evaluation;

    c) Disclosed in this report any change in the registrant's internal control
    over financial reporting that occurred during the registrant's most recent
    fiscal quarter that has materially affected, or is reasonably likely to
    materially affect, the registrant's internal control over financial
    reporting; and

5.  The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

    a) All significant deficiencies and material weaknesses in the design or
    operation of internal control over financial reporting which are reasonably
    likely to adversely affect the registrant's ability to record, process,
    summarize and report financial information; and

    b) Any fraud, whether or not material, that involves management or other
    employees who have a significant role in the registrant's internal control
    over financial reporting.


Date: May 14, 2004
-----------------------

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

                                       12
<Page>

                                                                   EXHIBIT 31.02

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Michael L. Pungello, certify that:

1.  I have reviewed this report on Form 10-Q of John W. Henry & Co./Millburn
L.P.;

2.  Based on my knowledge, this report does not contain any untrue statement of
a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements were
made, not misleading with respect to the period covered by this report;

3.  Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;

4.  The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

    a) Designed such disclosure controls and procedures, or caused such
    disclosure controls and procedures to be designed under our supervision, to
    ensure that material information relating to the registrant, including its
    consolidated subsidiaries, is made known to us by others within those
    entities, particularly during the period in which this report is being
    prepared;

    b) Evaluated the effectiveness of the registrant's disclosure controls and
    procedures and presented in this report our conclusions about the
    effectiveness of the disclosure controls and procedures, as of the end of
    the period covered by this report based on such evaluation;

    c) Disclosed in this report any change in the registrant's internal control
    over financial reporting that occurred during the registrant's most recent
    fiscal quarter that has materially affected, or is reasonably likely to
    materially affect, the registrant's internal control over financial
    reporting; and

5.  The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

    a) All significant deficiencies and material weaknesses in the design or
    operation of internal control over financial reporting which are reasonably
    likely to adversely affect the registrant's ability to record, process,
    summarize and report financial information; and

    b) Any fraud, whether or not material, that involves management or other
    employees who have a significant role in the registrant's internal control
    over financial reporting.


Date: May 14, 2004
-----------------------

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

                                       13
<Page>

                                                                   EXHIBIT 32.01

                           SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended March 31, 2004 as filed with the Securities and
Exchange Commission on the date hereof, I, Robert M. Alderman, certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

1. This quarterly report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.


Date: May 14, 2004
-----------------------

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

                                       14
<Page>

                                                                   EXHIBIT 32.02

                           SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended March 31, 2004 as filed with the Securities
and Exchange Commission on the date hereof, I, Michael L. Pungello, certify,
pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley
Act of 2002, that:

1. This quarterly report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.


Date: May 14, 2004
-----------------------

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

                                       15