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

                    OR

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

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

Commission File Number 0-18215

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

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

                   c/o Merrill Lynch Investment Partners Inc.
            Merrill Lynch World Headquarters - South Tower, 6th Fl.
             World Financial Center New York, New York  10080-6106
             -----------------------------------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                  212-236-4161
               -------------------------------------------------
              (Registrants telephone number, including area code)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.  Yes  X    No
                                              -----     -----

                        This document contains 11 pages.
      There are no exhibits and no exhibit index filed with this document.
<PAGE>
 
                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

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

                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------
 
                                           March 31,    December 31,
                                              1997          1996
                                          ------------  ------------
ASSETS
------
Investments                               $ 63,659,714  $ 60,834,087
Receivable from investments                       -          779,075
                                          ------------  ------------
 
                TOTAL                     $ 63,659,714  $ 61,613,162
                                          ============  ============
 
LIABILITIES AND PARTNERS CAPITAL
--------------------------------
 
LIABILITIES:
    Redemptions payable                   $    460,935  $    778,385
    Profit shares payable                            -           689
                                          ------------  ------------
 
            Total liabilities                  460,935       779,074
                                          ------------  ------------
 
PARTNERS CAPITAL:
    General Partner:
      (  780 and    780 Series A units)        208,993       196,983
      (1,976 and 1,976 Series B units)         430,324       405,594
      (1,439 and 1,439 Series C units)         244,227       230,192
    Limited Partners:
      (  53,931 and  55,596 Series A 
         units)                             14,450,427    14,040,479
      (143,419 and 146,552 Series B 
         units)                             31,234,360    30,082,484
      (  97,983 and  99,256 Series C 
         units)                             16,630,448    15,878,356
                                          ------------  ------------ 
 
            Total partners capital          63,198,779    60,834,088
                                          ------------  ------------ 
 
                TOTAL                     $ 63,659,714  $ 61,613,162
                                          ============  ============
 
NET ASSET VALUE PER UNIT:
        Series A (Based on  54,711 and         $267.94       $252.54
         56,376 units outstanding)             =======       =======
        Series B (Based on 145,395 and         $217.78       $205.27
         148,528 units outstanding)            =======       =======
        Series C (Based on   99,422 and        $169.73       $159.97
         100,695 units outstanding)            =======       =======
 
See notes to financial statements.

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

                            STATEMENTS OF OPERATIONS
                            ------------------------
 
                                        For the three   For the three
                                        months ended    months ended
                                        March 31, 1997  March 31, 1996
                                        --------------  -------------- 
 
REVENUES:
    Trading profits:
        Realized                        $        -      $     764,441
        Change in                                -           (713,027)
         unrealized                                    
                                        --------------  --------------  
                                                       
            Total trading                        -             51,414
             results                                   
                                        --------------  --------------   
                                                       
    Interest income                              -            601,115
    Income form investments                 3,723,108            -
                                        --------------  --------------    
                                                       
            Total revenues                  3,723,108         652,529
                                        --------------  --------------     
                                                       
EXPENSES:                                              
    Profit shares                                -              9,079
    Brokerage commissions                        -          1,750,687
    Administrative fees                          -             37,249
                                        --------------  --------------     
                                                       
            Total expenses                       -          1,797,015
                                        --------------  --------------     
                                                       
                                                       
NET INCOME (LOSS)                           3,723,108    $ (1,144,486)
                                        ==============  ==============      
 
NET INCOME (LOSS) PER UNIT:
    Weighted average number of units
        outstanding                           303,531         345,500
                                        ==============  ==============        
    Weighted average net income
        (loss) per General Partner             
         and Limited Partner Unit        $      12.27    $      (3.31) 
                                        ==============  ==============        
 
 
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, 1997 and 1996
               --------------------------------------------------

<TABLE>
<CAPTION>
                           Series          Series          Series                     Limited Partners                   
                                                                         --------------------------------------------    
                              A               B               C            Series           Series           Series      
                            Units           Units           Units             A                B                C        
                            -----           -----           -----             -                -                -         
<S>                      <C>              <C>              <C>          <C>              <C>              <C>   
PARTNERS CAPITAL,                                                                                                        
  DECEMBER 31, 1995        63,573          168,337          117,797     $ 13,205,024     $ 28,450,897     $ 15,571,401   
                                                                                                                       
Redemptions                (2,797)          (4,387)          (2,914)        (637,613)        (756,610)        (409,191)
                                                                                                                          
Net loss                     -                -                -            (247,166)        (567,858)        (314,370)   
                         ---------        ---------        ---------    -------------    -------------    -------------   
                                                                                                                          
PARTNERS CAPITAL,                                                                                                         
  MARCH 31, 1996           60,776          163,950          114,883     $ 12,320,245     $ 27,126,429     $ 14,847,840    
                         =========        =========        =========    =============    =============    =============   
                                                                                                                          
                                                                                                                          
PARTNERS CAPITAL,                                                                                                         
  DECEMBER 31, 1996        56,376          148,528          100,695      $ 14,040,479    $ 30,082,484     $ 15,878,356    
                                                                                                                          
Redemptions                (1,665)          (3,133)          (1,273)         (451,037)       (688,349)        (219,031)   
                                                                                                                          
Net income                      -                -                -           860,985       1,840,225          971,123    
                         ---------        ---------        ---------    -------------    -------------    -------------   
                                                                                                                          
PARTNERS CAPITAL,                                                                                                         
  MARCH 31, 1997           54,711          145,395           99,422      $ 14,450,427    $ 31,234,360     $ 16,630,448    
                         =========        =========        =========    =============    =============    =============   
<CAPTION>  

                                      General Partner                 
                         --------------------------------------------         
                           Series           Series           Series           
                              A                B                C             Total 
                              -                -                -             -----
<S>                      <C>              <C>              <C>            <C>                                 
PARTNERS CAPITAL, 

  DECEMBER 31, 1995      $  164,028       $  337,920       $  192,564     $ 57,921,834

Redemptions                   -                -                -           (1,803,414)

Net loss                     (3,856)          (7,005)          (4,231)      (1,144,486)
                         -----------      -----------      -----------    -------------  

PARTNERS CAPITAL,
  MARCH 31, 1996         $  160,172       $  330,915       $  188,333     $ 54,973,934
                         ===========      ===========      ===========    ============= 

                                   
PARTNERS CAPITAL,                                                                     
  DECEMBER 31, 1996      $  196,983       $  405,594       $  230,192     $ 60,834,088
                                                                                      
Redemptions                   -                -                -           (1,358,417)                       

Net income                   12,010           24,730           14,035        3,723,108
                         -----------      -----------      -----------    -------------  

PARTNERS CAPITAL,
  MARCH 31, 1997         $  208,993       $  430,324       $  244,227     $63,198,779
                         ===========      ==========       ==========     =========== 
</TABLE> 

See notes to financial statements. 

                                       4
<PAGE>
 
                      JOHN W. HENRY & CO./MILLBURN L.P. 
                       (A Delaware Limited Partnership) 

                        NOTES TO FINANCIAL STATEMENTS 

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

   These financial statements have been prepared without audit.  In the opinion
   of management, the financial statements contain all adjustments (consisting
   of only normal recurring adjustments) necessary to present fairly the
   financial position of  John W. Henry & Co./Millburn L.P. (the Partnership or
   the Fund) as of March 31, 1997 and the results of its operations for the
   three months ended March 31, 1997 and 1996.  However, the operating results
   for the interim periods may not be indicative of the results expected for the
   full year.

   Certain information and footnote disclosures normally included in annual
   financial statements prepared in accordance with general accepted accounting
   principles have been omitted.  It is suggested that these financial
   statements be read in conjunction with the financial statements and notes
   thereto  included in the Partnerships Annual Report on Form 10-K filed with
   the Securities and Exchange Commission for the year ended December 31, 1996
   (the Annual Report).


2. INVESTMENT

   At March 31, 1997, the Partnership had investments in the ML JWH Financial
   and Metals Portfolio L.L.C. (JWH LLC) and ML Millburn Global L.L.C. (Millburn
   LLC) .

  Total revenues and fees with respect to such investments are set forth as
     follows:

<TABLE>
<CAPTION>
                       Total           Brokerage      Administrative        Profit          Income from
                      Revenue         Commissions          Fees             Shares          Investments
                 ----------------  ----------------  ----------------  ----------------  -----------------    
<S>              <C>               <C>               <C>               <C>               <C> 
 
   Series A Units
   --------------   
                       
JWH LLC           $       263,141   $       182,952   $         4,464   $           564   $         75,161
Millburn LLC            1,218,823           206,509             5,040           209,441            797,833
                 ----------------  ----------------  ----------------  ----------------  -----------------     
                                                                                                          
Total             $     1,481,964   $       389,461   $         9,504   $       210,005   $        872,994
                 ================  ================  ================  ================  ================= 
                                                                                                          
Series B Units                                                                                            
------------------                                                                                        
                                                                                                          
JWH LLC           $       562,829   $       393,474   $         9,604   $           795   $        158,956
Millburn LLC            2,609,249           444,407            10,849           447,995          1,705,998
                 ----------------  ----------------  ----------------  ----------------  -----------------     
                                                                                                          
Total             $     3,172,078   $       837,881   $        20,453   $       448,790   $      1,864,954
                 ================  ================  ================  ================  ================= 
                                                                                                          
Series C Units                                                                                            
------------------                                                                                        
                                                                                                          
JWH LLC           $       297,018   $       207,966   $         5,076   $           345   $         83,631
Millburn LLC            1,379,039           235,001             5,737           236,772            901,529
                 ----------------  ----------------  ----------------  ----------------  -----------------     
                                                                                                          
Total             $     1,676,057   $       442,967   $        10,813   $       237,117   $        985,160
                 ================  ================  ================  ================  ================= 
                                                                                                          
Total - All Series                                                                                        
------------------                                                                                        
                                                                                                          
JWH LLC           $     1,122,988   $       784,392   $        19,144   $         1,704   $        317,748
Millburn LLC            5,207,111           885,917            21,626           894,208          3,405,360
                 ----------------  ----------------  ----------------  ----------------  -----------------     
                                                                                                          
Total             $     6,330,099   $     1,670,309   $        40,770   $       895,912   $      3,723,108
                 ================  ================  ================  ================  ================= 
</TABLE>                                  

                                       5
<PAGE>
 
3. INCOME/(LOSS) PER SERIES

  The profit and loss of the Series A, Series B and Series C Units for the three
  months ended March 31, 1997 and March 31, 1996 is as follows:

<TABLE>
<CAPTION>
                                               1997                                 1996
                                 ---------------------------------  -------------------------------------
                                 Series A    Series B    Series C    Series A     Series B     Series C
                                 ---------  -----------  ---------  -----------  -----------  -----------
<S>                              <C>        <C>          <C>        <C>          <C>          <C>
 
REVENUES:
  Trading profit:
    Realized                     $   -      $     -      $   -       $ 187,904    $ 374,498    $ 202,039
    Change in unrealized             -            -          -        (162,297)    (354,813)    (195,917)
                                 ---------  -----------  ---------  -----------  -----------  -----------
 
      Total trading results          -            -          -          25,607       19,685        6,122
 
Interest income                                                        135,303      300,294      165,518
Income From investments            872,994    1,864,954    985,160       -            -            -
                                 ---------  -----------  ---------  -----------  -----------  -----------
 
      Total revenues               872,994    1,864,954    985,160     160,910      319,979      171,640
                                 ---------  -----------  ---------  -----------  -----------  -----------
 
 
EXPENSES:
  Profit shares                      -            -          -           5,558        1,066        2,455
  Brokerage commissions              -            -          -         397,907      875,156      477,624
  Administrative fees                -            -          -           8,467       18,620       10,162
                                 ---------  -----------  ---------  -----------  -----------  -----------
 
      Total expenses                 -            -          -         411,932      894,842      490,241
                                 ---------  -----------  ---------  -----------  -----------  -----------
 
NET INCOME (LOSS)                 $872,994   $1,864,954   $985,160   $(251,022)   $(574,863)   $(318,601)
                                 =========  ===========  =========  ===========  ===========  ===========
 
NET INCOME (LOSS)
PER UNIT OF
PARTNERSHIP INTEREST:
 
  Weighted average number
  of units outstanding              55,776      147,631    100,124      61,938      167,038      116,524
                                    ======      =======    =======      ======      =======      =======
 
  Weighted average net
  income (loss) per General
  Partner and Limited Partner
  Unit                             $ 15.65      $ 12.63     $ 9.84     $ (4.05)     $ (3.44)     $ (2.73)
                                   =======      =======     ======     =======      =======      =======
</TABLE>

4. FAIR VALUE AND OFF-BALANCE SHEET RISK

  The Partnerships revenues by reporting category for the quarter ended March
  31, 1996 were as follows (there were no trading revenues for the first quarter
  1997):
 
                                         1996
                                     ------------
 
  Interest rate and Stock indices    $  (144,977)
  Currencies                           1,257,371
  Metals                              (1,060,980)
                                     -------------
 
                                     $    51,414
                                     =============

                                       6
<PAGE>
 
  The average fair value of the Partnership's derivative instrument positions
  which were open as of the end of each calendar year ended December 31, 1996
  was as follows ( there were no open contract for the first quarter 1997):
 
                                     1996
                  -----------------------------------------
 
                      Commitment to       Commitment to
                   Purchase (Futures,     Sell (Futures,
                  Options & Forwards)   Options & Forwards)
                  -------------------   -------------------  
 
Interest rate
  and Stock        $   237,102,957      $  183,615,337
  Indices               13,728,737           6,759,498
Currencies             296,018,497         334,030,991
Metals                  18,491,709          29,682,273
                  -------------------   -------------------
 
                   $   565,341,900      $  554,088,099
                  ===================   ===================
 

As of March 31, 1997 and December 31, 1996, $0 and $24,377,776 of the
Partnership's assets, respectively, were held in segregated accounts at MLF in
accordance with commodity Futures Trading Commission regulations.

Item 2:  Managements Discussion and Analysis of Financial Condition and Results
of Operations

Operational Overview: Advisor Selections

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

         MLIP has no timetable or schedule for making Advisor changes or
reallocations, and generally intends to make a medium- to long-term commitment
to all Advisors selected.  However, there can be no assurance as to the
frequency or number of the Advisor changes which may take place in the future,
or as to how long any of the current Advisors will continue to manage assets for
the Fund.

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

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

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

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


Performance Summary
-------------------
                                SERIES A UNITS:

         During the first quarter of 1996, the Funds average month-end Net
Assets equalled $13,296,436, and the Fund recognized gross trading profit of
$25,607 or 1.19% of such average month-end Net Assets.  Brokerage commissions of
$397,907 or 2.99%, Administrative fees of $8,467 or .06% and Profit Shares of
$5,558 or .04% of average month-end Net Assets were paid.  Interest income of
$135,303 or 1.02% of average month-end Net Assets resulted in a net loss of
$251,022 or 

                                       7
<PAGE>
 
(1.89%) of average month-end Assets which resulted in a 2.35% decrease in the
Net Asset Value per Unit since December 31, 1995.

         During the first three months of 1997, the Funds average month-end Net
Assets equaled $14,878,138. Income from Investment resulted in a net gain of
$872,994 or 5.87% of average month-end Net Assets which resulted in a 6.10%
increase in the Net Asset Value per Unit since December 31, 1996.

         During the first three months of 1997 and 1996, the Fund experienced 2
profitable months and 4 unprofitable months.

                  MONTH-END NET ASSET VALUE PER SERIES A UNIT
 
                          Jan.        Feb.       Mar.
                          -------     -------   -------
                  1996    $231.67     $209.48   $205.35
                  1997    $273.52     $270.58   $267.94


                                SERIES B UNITS:

         During the first quarter of 1996, the Funds average month-end Net
Assets equalled $29,353,567, and the Fund recognized gross trading profit of
$19,685 or .07% of such average month-end Net Assets.  Brokerage commissions of
$875,156 or 2.98%, Administrative fees of $18,620 or .06% and Profit Shares of
$1,066 or .00% of average month-end Net Assets were paid.  Interest income of
$300,294 or 1.02% of average month-end Net Assets resulted in net loss of
$574,863 or (1.96%) of average month-end Net Assets which resulted in a 2.08%
decrease in the Net Asset Value per Unit since December 31, 1995.

         During the first three months of 1997, the Funds average month-end Net
Assets equaled $32,056,272.  Income from Investment resulted in net gain of
$1,864,954 or 5.82% of average month-end Net Assets which resulted in a 6.09%
increase in the Net Asset Value per Unit since December 1996.

         During the first three months of 1997 and 1996, the Fund experienced 2
profitable months and 4 unprofitable months.
 
                  MONTH-END NET ASSET VALUE PER SERIES B UNIT
 
                       Jan.          Feb.          Mar.
                       -------       -------       -------
         1996          $188.93       $171.14       $167.47
         1997          $222.32       $219.93       $217.78

                                SERIES C UNITS:

         During the first quarter of 1996, the Funds average month-end Net
Assets equalled $18,026,635, and the Fund recognized gross trading profit of
$6,122 or .03% of such average month-end Net Assets.  Brokerage commissions of
$477,624 or 2.65%, Administrative fees of $10,162 or .06% and Profit Shares of
$2,455 or .01% of average month-end Net Assets were paid.  Interest income of
$165,518 or .92% of average month-end Net Assets resulted in net loss of
$318,601 or (2.47%) of average month-end Net Assets which resulted in a 2.20%
decrease in the Net Asset Value since December 31, 1995.

         During the first three months of 1997, the Funds average month-end Net
Assets equaled $16,967,588.  Income from Investment resulted in net gain of
$985,160 or 5.81% of average month-end Net Assets which resulted in a 6.10%
increase in the Net Asset Value since December 31, 1996.

         During the first three months of 1997 and 1996, the Fund experienced 2
profitable months and 4 unprofitable months.
 
                  MONTH-END NET ASSET VALUE PER SERIES C UNIT
 
                       Jan.          Feb.          Mar.
                       -------       -------       -------
         1996          $147.90       $133.80       $130.88
         1997          $173.26       $171.40       $169.73

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

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

                                       8
<PAGE>
 
on an ongoing basis in overseeing the Fund's trading, MLIP does not attempt to
"market forecast" or to "match" trading styles with predicted market conditions.
Rather, MLIP concentrates on quantitative and qualitative analysis of
prospective Advisors, as well as on statistical studies of the historical
performance parameters of different Advisor combinations in selecting Advisors
and allocating and reallocating Fund assets among them.

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

Liquidity
---------

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

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

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

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

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

                                 PART II - OTHER INFORMATION

Item 1.  Legal Proceedings

     There are no pending legal proceedings to which the Partnership or the
     General Partner is a party.

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

Item 2.  Changes in Securities

         None.

Item 3.  Defaults Upon Senior Securities

         None.

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

                                       9
<PAGE>
 
         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 document.

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

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

                                       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:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                    (General Partner)



Date:  May 13, 1997         By /s/JOHN R. FRAWLEY, JR.
                               -----------------------
                              John R. Frawley, Jr.
                              President, Chief Executive Officer
                              and Director



Date:  May 13, 1997         By /s/MICHAEL A. KARMELIN
                               ----------------------
                              Michael A. Karmelin
                              Chief Financial Officer,
                              and Director