<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   June 30, 1999
                                 -------------

                    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.
                           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./MILBURN L.P.
                       (a Delaware limited partnership)
                       --------------------------------
                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------

<TABLE>
<CAPTION>
                                                                     June 30,      December 31,
                                                                       1999           1998
                                                                   -------------  -------------
<S>                                                                <C>            <C>

ASSETS
------
Investments                                                        $ 56,864,254   $ 56,163,313
Receivable from investments                                             265,749        259,704
                                                                   -------------  -------------

                TOTAL                                              $ 57,130,003   $ 56,423,017
                                                                   =============  =============

LIABILITY AND PARTNERS' CAPITAL
-------------------------------
Liability-Redemptions payable                                      $    265,750   $    259,704

PARTNERS' CAPITAL:
    General Partner:
        (504 and 504 Series A Units)                                    160,984        149,246
        (1,338 and 1,338 Series B Units)                                347,263        321,921
        (926 and 926 Series C Units)                                    187,303        173,635
    Limited Partners:
        (42,681 and 44,678 Series A Units)                           13,632,986     13,230,285
        (106,580 and 115,421 Series B Units)                         27,663,408     27,771,959
        (73,522 and 77,411 Series C Units)                           14,872,309     14,516,267
                                                                   -------------  -------------

            Total partners' capital                                  56,864,253     56,163,313
                                                                   -------------  -------------

                TOTAL                                              $ 57,130,003   $ 56,423,017
                                                                   =============  =============

NET ASSET VALUE PER UNIT
Series A (Based on 43,185 and 45,182 Units outstanding)            $     319.42   $     296.13
                                                                   =============  =============
Series B (Based on 107,918 and 116,759 Units outstanding)          $     259.56   $     240.61
                                                                   =============  =============
Series C (Based on 74,448 and 78,337 Units outstanding)            $     202.28   $     187.52
                                                                   =============  =============
</TABLE>

See notes to financial statements.

                                       2

<PAGE>

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

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

<TABLE>
<CAPTION>
                                            For the three       For the three      For the six        For the six
                                             months ended        months ended      months ended       months ended
                                               June 30,            June 30,          June 30,            June 30,
                                                 1999                1998              1999                1998
                                            ---------------    ---------------     --------------    ---------------
<S>                                         <C>                <C>                 <C>               <C>
REVENUES:
 Income (loss)
from Investments                            $     5,647,083    $    (4,405,863)    $    4,139,449    $    (7,484,700)
                                            ---------------    ---------------     --------------    ---------------

NET INCOME (LOSS)                           $     5,647,083    $    (4,405,863)    $    4,139,449    $    (7,484,700)
                                            ===============    ===============     ==============    ===============

NET INCOME (LOSS) PER UNIT:
    Weighted average number of units
        outstanding                                229,463             272,144            233,331            276,010
                                            ===============    ===============     ==============    ===============

    Weighted average net income (loss)
       per Limited Partner
       and General Partner Unit             $         24.61    $        (16.19)    $        17.74    $        (27.12)
                                            ===============    ===============     ==============    ===============
</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 six months ended June 30, 1999 and 1998
                -----------------------------------------------

<TABLE>
<CAPTION>
                                       Units                            Limited Partners                         General Partner
                                       -----                            ----------------                         ---------------
                          Series A    Series B   Series C    Series A       Series B      Series C     Series A      Series B
                          ---------  ---------  ---------  ------------   ------------  ------------  ---------     ---------
<S>                       <C>        <C>        <C>       <C>             <C>           <C>           <C>           <C>
PARTNERS' CAPITAL,
  December 31, 1997          51,772    137,220   92,459    $ 14,487,473   $ 31,223,304  $ 16,376,709  $ 221,605     $ 456,174

Redemptions                  (3,628 )   (8,075)  (5,795)       (872,040)    (1,564,157)     (876,807)   (70,937)     (133,278)

Net loss                       -             -        -      (1,721,386)    (3,722,972)   (1,935,313)   (24,838)      (51,390)
                          ---------  ---------  ---------  ------------   ------------  ------------  ---------     ---------

PARTNERS' CAPITAL,
  June 30, 1998              48,144    129,145   86,664    $ 11,894,047   $ 25,936,175  $ 13,564,589  $ 125,830     $ 271,506
                          =========  =========  =========  ============   ============  ============  =========     =========

PARTNERS' CAPITAL,
  December 31, 1998          45,182    116,759   78,337    $ 13,230,285   $ 27,771,959  $ 14,516,267  $ 149,246     $ 321,921

Redemptions                  (1,997 )   (8,841 ) (3,889)       (594,092)    (2,110,389)     (734,028)         -             -

Net income                     -            -        -          996,793      2,001,838     1,090,070     11,738        25,342
                          ---------  ---------  ---------  ------------   ------------  ------------  ---------     ---------

PARTNERS' CAPITAL,
  June 30, 1999              43,185    107,918   74,448    $ 13,632,986   $ 27,663,408  $ 14,872,309  $ 160,984     $ 347,263
                          =========  =========  =========  ============   ============  ============  =========     =========


<CAPTION>
                           Series C      Total
                          ---------  -------------
<S>                       <C>        <C>
PARTNERS' CAPITAL,
  December 31, 1997       $ 258,899  $  63,024,164

Redemptions                 (88,401)    (3,605,620)

Net loss                    (28,801)    (7,484,700)
                          ---------  -------------

PARTNERS' CAPITAL,
  June 30, 1998           $ 141,697  $  51,933,844
                          =========  =============

PARTNERS' CAPITAL,
  December 31, 1998       $ 173,635  $  56,163,313

Redemptions                       -     (3,438,509)

Net income                   13,668      4,139,449
                          ---------  -------------

PARTNERS' CAPITAL,
  June 30, 1999           $ 187,303  $  56,864,253
                          =========  =============

</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 June 30, 1999, and the results of its operations for the
   three and six month periods ended June 30, 1999 and 1998.  However, the
   operating results for the interim periods may not be indicative of the
   results expected for the full year.

   Certain information and footnote disclosures normally included in annual
   financial statements prepared in accordance with general accepted accounting
   principles have been omitted.  It is suggested that these financial
   statements be read in conjunction with the financial statements and notes
   thereto  included in the Partnership's Annual Report on Form 10-K filed with
   the Securities and Exchange Commission for the year ended December 31, 1998
   (the "Annual Report").

   As of December 1, 1996, the Partnership invested all of its assets in Trading
   LLCs.  The Partnership was, thus, invested indirectly in the trading of
   derivative instruments, but did not itself hold any derivative positions.
   Consequently, no such positions subsequent to November 30, 1996 are reflected
   in these financial statements.

2. INVESTMENTS

   As of June 30, 1999, the Partnership had an investment in JWH LLC and
   Millburn LLC of $28,811,531 and $28,052,723, respectively. For the period
   ending December 31, 1998, the Partnership had an investment in JWH LLC and
   Millburn LLC of $28,886,199 and $27,277,114, respectively.

                                       5
<PAGE>

<TABLE>
<CAPTION>

For the three months            Total             Brokerage         Administrative          Profit         Income (loss) from
ended June 30, 1999            Revenue            Commissions             Fees              Shares             Investment
                         -------------------  ------------------   -----------------  ------------------  -------------------
<S>                      <C>                  <C>                  <C>                <C>                 <C>
 Series A Units

 JWH LLC                 $        1,011,896   $         161,295    $          4,244   $               -   $          846,357
 Millburn LLC                       823,753             163,495               4,303             132,399              523,556
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        1,835,649   $         324,790    $          8,547   $         132,399   $        1,369,913
                         ===================  ==================   =================  ==================  ===================

 Series B Units

 JWH LLC                 $        2,044,696   $         326,120    $          8,584   $               -   $        1,709,992
 Millburn LLC                     1,682,105             333,312               8,771             270,468            1,069,554
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        3,726,801   $         659,432    $         17,355   $         270,468   $        2,779,546
                         ===================  ==================   =================  ==================  ===================

 Series C Units

 JWH LLC                 $        1,101,309   $         175,701    $          4,623   $               -   $          920,985
 Millburn LLC                       906,766             179,580               4,726             145,821              576,639
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        2,008,075   $         355,281    $          9,349   $         145,821   $        1,497,624
                         ===================  ==================   =================  ==================  ===================

 Total All Units
 ---------------

 JWH LLC                 $        4,157,901   $         663,116    $         17,451   $               -   $        3,477,334
 Millburn LLC                     3,412,624             676,387              17,800             548,688            2,169,749
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        7,570,525   $       1,339,503    $         35,251   $         548,688   $        5,647,083
                         ===================  ==================   =================  ==================  ===================


For the three months           Total             Brokerage          Administrative         Profit         Income (loss) from
ended June 30, 1998           Revenue            Commissions             Fees              Shares              Investment
                         -------------------  ------------------   -----------------  ------------------  -------------------
 Series A Units

 JWH LLC                 $         (513,652)  $         145,270    $          3,823   $               -   $         (662,745)
 Millburn LLC                      (202,961)            156,246               4,111                   -             (363,318)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $         (716,613)  $         301,516    $          7,934   $               -   $       (1,026,063)
                         ===================  ==================   =================  ==================  ===================

 Series B Units

 JWH LLC                 $       (1,111,028)  $         312,981    $          8,235   $               -   $       (1,432,244)
 Millburn LLC                      (444,222)            339,418               8,932                   -             (792,572)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (1,555,250)  $         652,399    $         17,167   $               -   $       (2,224,816)
                         ===================  ==================   =================  ==================  ===================

 Series C Units

 JWH LLC                 $         (577,062)  $         163,031    $          4,290   $               -   $         (744,383)
 Millburn LLC                      (229,143)            176,806               4,652                   -             (410,601)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $         (806,205)  $         339,837    $          8,942   $               -   $       (1,154,984)
                         ===================  ==================   =================  ==================  ===================

 Total All Units
 ---------------

 JWH LLC                 $       (2,201,742)  $         621,282    $         16,348   $               -   $       (2,839,372)
 Millburn LLC                      (876,326)            672,470              17,695                   -           (1,566,491)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (3,078,068)  $       1,293,752    $         34,043   $               -   $       (4,405,863)
                         ===================  ==================   =================  ==================  ===================
</TABLE>

                                       6
<PAGE>

<TABLE>
<CAPTION>

For the six months             Total             Brokerage          Administrative          Profit         Income (loss) from
ended June 30, 1999           Revenue            Commissions             Fees              Shares             Investment
                         -------------------  ------------------   -----------------  ------------------  -------------------
<S>                      <C>                  <C>                  <C>                <C>                 <C>
 Series A Units

 JWH LLC                 $          731,487   $         317,743    $          8,361   $               -   $          405,383
 Millburn LLC                     1,083,825             318,765               8,389             153,523              603,148
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        1,815,312   $         636,508    $         16,750   $         153,523   $        1,008,531
                         ===================  ==================   =================  ==================  ===================

 Series B Units

 JWH LLC                 $        1,461,478   $         647,492    $         17,041   $               -   $          796,945
 Millburn LLC                     2,216,144             654,819              17,232             313,857            1,230,236
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        3,677,622   $       1,302,311    $         34,273   $         313,857   $        2,027,181
                         ===================  ==================   =================  ==================  ===================

 Series C Units

 JWH LLC                 $          795,118   $         346,758    $          9,124   $               -   $          439,236
 Millburn LLC                     1,193,590             350,743               9,230             169,115              664,502
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        1,988,708   $         697,501    $         18,354   $         169,115   $        1,103,738
                         ===================  ==================   =================  ==================  ===================

 Total All Units
 ---------------

 JWH LLC                 $        2,988,083   $       1,311,993    $         34,526   $               -   $        1,641,564
 Millburn LLC                     4,493,559           1,324,327              34,851             636,495            2,497,886
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $        7,481,642   $       2,636,320    $         69,377   $         636,495   $        4,139,450
                         ===================  ==================   =================  ==================  ===================

For the six months             Total             Brokerage          Administrative          Profit         Income (Loss) from
ended June 30, 1998           Revenue            Commissions             Fees              Shares             Investments
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Series A Units

 JWH LLC                 $       (1,007,264)  $         312,124    $          8,216   $               -   $       (1,327,604)
 Millburn LLC                       (84,634)            325,301               8,560                 125             (418,620)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (1,091,898)  $         637,425    $         16,776   $             125   $       (1,746,224)
                         ===================  ==================   =================  ==================  ===================

 Series B Units

 JWH LLC                 $       (2,170,716)  $         670,783    $         17,650   $               -   $       (2,859,149)
 Millburn LLC                      (191,597)            704,913              18,550                 153             (915,213)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (2,362,313)  $       1,375,696    $         36,200   $             153   $       (3,774,362)
                         ===================  ==================   =================  ==================  ===================

 Series C Units

 JWH LLC                 $       (1,131,080)  $         350,012    $          9,212   $               -   $       (1,490,304)
 Millburn LLC                       (96,075)            367,793               9,678                 264             (473,810)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (1,227,155)  $         717,805    $         18,890   $             264   $       (1,964,114)
                         ===================  ==================   =================  ==================  ===================

 Total All Units
 ---------------

 JWH LLC                 $       (4,309,060)  $       1,332,919    $         35,078   $               -   $       (5,677,057)
 Millburn LLC                      (372,306)          1,398,007              36,788                 542           (1,807,643)
                         -------------------  ------------------   -----------------  ------------------  -------------------

 Total                   $       (4,681,366)  $       2,730,926    $         71,866   $             542   $       (7,484,700)
                         ===================  ==================   =================  ==================  ===================
</TABLE>

                                       7
<PAGE>

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

<TABLE>
<CAPTION>
                                    June 30, 1999                        December 31, 1998
                        -------------------------------------  --------------------------------------
                               JWH             Millburn               JWH              Millburn
                               LLC                LLC                 LLC                 LLC
                        ------------------ ------------------  ------------------  ------------------
<S>                      <C>                <C>                 <C>                 <C>

Assets                       $ 29,203,291       $ 29,048,696        $ 29,277,397        $ 27,815,000
                        ================== ==================  ==================  ==================

Liabilities                     $ 391,760          $ 995,973           $ 391,198           $ 537,886
Members' Capital               28,811,531         28,052,723          28,886,199          27,277,114
                        ------------------ ------------------  ------------------  ------------------

Total                        $ 29,203,291       $ 29,048,696        $ 29,277,397        $ 27,815,000
                        ================== ==================  ==================  ==================

                                                          JWH LLC
                          For the three      For the three       For the six          For the six
                              months             months             months               months
                          ended June 30,     ended June 30,      ended June 30,       ended June 30
                               1999              1998                1999                 1998
                        ------------------ ------------------  ------------------  ------------------

Revenues                      $ 1,818,266       $ (3,235,723)        $ 2,988,082        $ (7,262,323)

Expenses                          680,566            991,700           1,346,519           2,333,897
                        ------------------ ------------------  ------------------  ------------------

Net Income (Loss)             $ 1,137,700       $ (4,227,423)        $ 1,641,563        $ (9,596,220)
                        ================== ==================  ==================  ==================

                                                         Millburn LLC
                          For the three        For the three       For the six        For the six
                              months               months            months              months
                          ended June 30,       ended June 30,      ended June 30,     ended June 30
                               1999                1998                1999               1998
                        ------------------ ------------------  ------------------  ------------------

Revenues                      $ 3,412,625         $ (957,177)        $ 4,493,559          $ (404,166)

Expenses                        1,242,876            731,818           1,995,673           1,544,886
                        ------------------ ------------------  ------------------  ------------------

Net Income (Loss)             $ 2,169,749       $ (1,688,995)        $ 2,497,886        $ (1,949,052)
                        ================== ==================  ==================  ==================

</TABLE>



3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

  In June 1998, the Financial Accounting Standards Board issued Statement of
  Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative
  Instruments and Hedging Activities" (the "Statement"), effective for fiscal
  years beginning after June 15, 2000, however, the Fund has adopted the
  Statement effective January 1, 1999.  This Statement supercedes SFAS No. 119
  ("Disclosure about Derivative Financial Instruments and Fair Value of
  Financial Instruments") and SFAS No. 105 ("Disclosure of information about
  Financial Instruments with Off-Balance Sheet Risk and Financial Instruments
  with Concentrations of Credit Risk") whereby disclosure of average aggregate
  fair values and contract/notional values, respectively, of derivative
  financial instruments is no longer required for an entity such as the
  Partnership which carries its assets at fair value.  Such Statement sets forth
  a much broader definition of a derivative instrument.  The General Partner
  does not believe that the application of the provisions of such statement has
  a significant effect on the financial statements.

  SFAS No. 133 defines a derivative as a financial instrument or other contract
  that has all three of the following characteristics (1) one or more
  underlyings, notional amounts or payment provisions (2) requires no initial
  net investment or a smaller initial net investment than would be required
  relative to changes in market factors (3) terms require or permit net
  settlement.  Generally, derivatives include a future, forward, swap or option
  contract, or other financial instrument with similar characteristics such as
  caps, floors and collars.

                                       8
<PAGE>

  Market Risk
  -----------

  Derivative instruments involve varying degrees of off-balance sheet market
  risk, and changes in the level or volatility of interest rates, foreign
  currency exchange rates or the market values of the financial instruments or
  commodities underlying such derivative instruments frequently result in
  changes in the Partnership's unrealized profit (loss) on such derivative
  instruments as would have been reflected in the Statements of Financial
  Condition had the Partnership not invested all of its assets in 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 as well as the volatility and liquidity of the markets in
  which such derivative instruments are traded.

  The General Partner has procedures in place intended to control market risk
  exposure, although there can be no assurance that they will, in fact, succeed
  in doing so.  These procedures focus primarily on monitoring the trading of
  the two Advisors, calculating the Net Asset Value of the Advisors' respective
  Partnership accounts as of the close of business on each day and reviewing
  outstanding positions for over-concentrations.  While the General Partner does
  not itself intervene in the markets to hedge or diversify the Partnership's
  market exposure, the General Partner may urge either or both of the Advisors
  to reallocate positions.  However, such interventions are unusual.  Except in
  cases in which it appears that an Advisor has begun to deviate from past
  practice or trading policies or to be trading erratically (which has not
  occurred to date), the General Partner's basic risk control procedures consist
  simply of the ongoing process of Advisor monitoring, 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 has credit risk in respect of its counterparties and brokers,
  but attempts to control this risk by dealing almost exclusively with Merrill
  Lynch entities as counterparties and brokers.

                                       9
<PAGE>

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

                 MONTH-END NET ASSET VALUE PER SERIES A UNIT

           Jan.       Feb.       Mar.       Apr.        May        Jun
   ----------------------------------------------------------------------
   1998    $281.00    $268.85    $270.14    $248.62    $257.02    $249.67
   ----------------------------------------------------------------------
   1999    $287.86    $291.22    $288.12    $297.02    $303.11    $319.42
   ----------------------------------------------------------------------

                 MONTH-END NET ASSET VALUE PER SERIES B UNIT

           Jan.       Feb.       Mar.       Apr.        May       Jun.
   ----------------------------------------------------------------------
   1998    $228.36    $218.48    $219.55    $202.07    $208.90    $202.93
   ----------------------------------------------------------------------
   1999    $233.92    $236.65    $234.15    $241.40    $246.31    $259.56
   ----------------------------------------------------------------------

                 MONTH-END NET ASSET VALUE PER SERIES C UNIT

           Jan.       Feb.       Mar.       Apr.        May       Jun.
   ----------------------------------------------------------------------
   1998    $177.97    $170.27    $171.11    $157.48    $162.80    $158.15
   ----------------------------------------------------------------------
   1999    $182.30    $184.43    $182.48    $188.13    $191.96    $202.28
   ----------------------------------------------------------------------

Performance Summary

January 1, 1998 to June 30, 1998
--------------------------------

January 1, 1998 to March 31, 1998

The Fund's positions in the global interest rate markets were profitable during
the quarter.  In Europe, an extended bond market rally continued despite an
environment of robust growth in the United States, Canada and the United
Kingdom, as well as a strong pick-up in growth in continental Europe.

Gold prices drifted sideways and lower as Asian demand continued to slow and
demand in the Middle East was affected by low oil prices.  Initially buoyed on
concerns about a U.S.-led military strike against Iraq, crude oil fell to a nine
year low, as the globally warm winter, the return of Iraq as a producer and the
Asian economic crisis added to OPEC's supply glut problems.

Trading results in stock index markets were mixed, but profitable, despite a
strong first-quarter performance by the U.S. equity market as several
consecutive weekly gains were recorded with most market averages setting new
highs.  Results in currency trading were also mixed, but profitable.  In
particular, the Swiss franc weakened versus the U.S. dollar.

Agricultural commodity markets provided profitable trading results overall.
Live cattle and hog prices trended downward throughout the quarter.  Cotton
prices moved mostly upward during the quarter, but prices dropped off sharply at
the end of March.

April 1, 1998 to June 30, 1998

The Fund's most profitable positions during the quarter were in the global
interest rate markets. In Europe, an extended bond market rally continued
despite an environment of robust growth in the United States, Canada and the
United Kingdom, as well as a strong pick-up in growth in continental Europe.

Gold prices drifted sideways and lower as Asian demand continued to slow and
demand in the Middle East was affected by low oil prices.  Trading results in
stock index markets were mixed, but unprofitable, despite a strong first-quarter
performance by the U.S. equity market as several consecutive weekly gains were
recorded with most market averages setting new highs.  Results in currency
trading were also mixed, but unprofitable.  In particular, the Swiss franc
weakened versus the U.S. dollar.

January 1, 1999 to June 30, 1999
--------------------------------

January 1, 1999 to March 31, 1999

The Fund produced gains in currency trading during the quarter. On a trade-
weighted basis, the Swiss franc ended the quarter at close to a seven-month low,
mostly as a result of the stronger U.S. dollar. In January, the yen had advanced
by nearly 35% against the dollar since early in August, and the Bank of

                                       10
<PAGE>

Japan lowered rates to keep the economy sufficiently liquid so as to allow
fiscal spending to restore some growth to the economy and to drive down the
surging yen.

Stock index trading was also profitable.  Also of note, the Dow Jones Industrial
Average closed above the 10,000 mark for the first time ever at the end of
March, setting a record for the index.

Interest rate trading proved unprofitable for the Fund.  Early in January, the
yield on the Japanese government 10-year bond increased to 1.8%, sharply above
the record low of 0.695% it reached on October 7, 1998.  This was triggered by
the Japanese Trust Fund Bureau's decision to absorb a smaller share of future
issues, leaving the burden of financing future budget deficits to the private
sector.

In January, burdensome warehouse stocks and questionable demand prospects
weighed on base metals as aluminum fell to a 5-year low and copper fell to
nearly an 11-year low.  Major surpluses in both metals were expected, keeping
prices down, and there was no supply side response to weak demand and lower
prices.  However, the end of March showed copper and aluminum leading a surge in
base metals as prices recovered from multi-year lows.  In precious metals, gold
failed to sustain a rally, and gold's role as a flight to safety vehicle has
clearly been greatly diminished as has its role as a monetary asset.

April 1, 1999 to June 30, 1999

During the second quarter of 1999, the Fund's NAV increased as the Fund profited
from trading in the interest rate, metals, stock indices and currencies markets.
Interest rate trading was profitable as the flight to quality in the bond market
reversed during the first half of 1999 and concerns about higher interest rates
in the U.S. continued to rattle the financial markets.

In the metals sector  there were also gains. Throughout the first half of 1999,
gold prices were in a state of gradual erosion and in early June, prices hit
their lowest levels in over 20 years. Gold continued to show a lack of response
to political and military events such as Kosovo and also lost much of its role
as a monetary asset and flight to safety vehicle. The economic scenario for
Asia, Brazil, emerging market nations and Europe helped keep copper and other
base metals on the defensive as demand receded with virtually no supply side
response.

Stock Index trading also resulted in gains overall for the quarter, as equity
markets rallied worldwide in April and June.

Currency trading also resulted in gains for the Fund.  After suffering under the
weight of lower commodity prices and the Asian recession, the Canadian dollar
underwent a significant rally in the first half of 1999, moving up about 3 cents
from the end of 1998.  It has been in a corrective mode since early May, but
unlike past years has retained much of its gain.

                                      11
<PAGE>

YEAR 2000 COMPLIANCE

As the Year 2000 approaches, Merrill Lynch has undertaken initiatives to address
the Year 2000 problem (the "Y2K problem"), as more fully described in the
Partnership's 1998 Form 10-K.  The failure of Merrill Lynch's technology systems
relating to a Y2K problem would likely have a material adverse effect on the
company's business, results of operations, and financial condition.  This effect
could include disruption of normal business transactions, such as the
settlement, execution, processing, and recording of trades in securities,
commodities, currencies, and other assets.  The Y2K problem could also increase
Merrill Lynch's exposure to risk and legal liability and its need for liquidity.

The renovation phase of Merrill Lynch's Year 2000 system efforts, as described
in the Partnership's 1998 Form 10-K, was 100% completed as of June 30, 1999, and
production testing was 100% completed as of that date. In March and April 1999,
Merrill Lynch successfully participated in U.S. industrywide testing sponsored
by the Securities Industry Association. These tests involved an expanded number
of firms, transactions, and conditions compared with those previously conducted.
Merrill Lynch has participated in and continues to participate in numerous
industry tests throughout the world.

In light of the interdependency of the parties in or serving the financial
markets, there can be no assurance that all Y2K problems will be identified and
remedied on a timely basis or that all remediation will be successful. Public
uncertainty regarding successful remediation of the Y2K problem may cause a
reduction in activity in the financial markets. Disruption or suspension of
activity in the world's financial markets is also possible. In some non-U.S.
markets in which Merrill Lynch does business, the level of awareness and
remediation efforts relating to the Y2K problem are thought to be less advanced
than in the U.S. Management is unable at this point to ascertain whether all
significant third parties will successfully address the Y2K problem. Merrill
Lynch will continue to monitor third parties' Year 2000 readiness to determine
if additional or alternative measures are necessary. Contingency plans have been
established for all business units. However, the failure of exchanges, clearing
organizations, vendors, service providers, clients and counterparties,
regulators, or others to resolve their own processing issues in a timely manner
could have a material adverse effect on Merrill Lynch's business, results of
operations, and financial condition.

As of June 25, 1999, the total estimated expenditures of existing and
incremental resources for the Year 2000 compliance initiative are approximately
$520 million. This estimate includes $104 million of occupancy, communications,
and other related overhead expenditures as Merrill Lynch is applying a fully
costed pricing methodology for this project. Of the total estimated
expenditures, approximately $80 million remains to be spent, primarily on
continued testing, contingency planning, and risk management. There can be no
assurance that the costs associated with remediation efforts will not exceed
those currently anticipated by Merrill Lynch, or that the possible failure of
such remediation efforts will not have a material adverse effect on Merrill
Lynch's business, results of operations, or financial condition.

                                       12
<PAGE>

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

The following table indicates the trading Value at Risk associated with the
Fund's open positions by market category as of June 30, 1999 and December 31,
1998, and the average of the three and six month periods ending June 30, 1999.
As of June 30, 1999 and December 31, 1998, the Fund's total capitalization was
approximately $57 million and $56 million, all of which was allocated to
trading.

<TABLE>
<CAPTION>
                                          June 30, 1999                                     December 31, 1998

                           ----------------------------------------------      ----------------------------------------------
                                                          % OF TOTAL                                           % OF TOTAL
MARKET SECTOR              VALUE AT RISK                  CAPITALIZATION       VALUE AT RISK                   CAPITALIZATION
----------------           -------------                  --------------       -------------                   --------------
<S>                        <C>                           <C>                  <C>                             <C>

Interest Rates               $ 3,515,796                           6.18%         $ 3,110,066                            5.54%
Currencies                     2,213,543                           3.89            1,822,438                            3.25
Stock Indices                  1,018,359                           1.79              558,504                            0.99
Metals                           621,400                           1.09              459,900                            0.82
                           --------------                 --------------       --------------                  -------------
                             $ 7,369,098                          12.95%         $ 5,950,908                          10.60%
                           ==============                 ==============       ==============                  =============

<CAPTION>
                                        Average month-end                                    Average month-end
                                         For the Period                                       For the Period
                                   April 1999 through June 1999                        January 1999 through June 1999

                           ----------------------------------------------      ----------------------------------------------
                                                          % OF TOTAL                                           % OF TOTAL
MARKET SECTOR              VALUE AT RISK                  CAPITALIZATION       VALUE AT RISK                   CAPITALIZATION
----------------           -------------                  --------------       -------------                   --------------
<S>                        <C>                           <C>                  <C>                             <C>

Interest Rates               $ 2,971,683                           5.41%        $  2,647,069                            4.88%
Currencies                     2,302,879                           4.19            2,278,236                            4.20
Stock Indices                    861,782                           1.57              807,618                            1.49
Metals                           609,100                           1.11              712,008                            1.31
                           --------------                 --------------       --------------                  -------------
                             $ 6,745,444                          12.28%        $  6,444,931                           11.88%
                           ==============                 ==============       =============                   ==============
</TABLE>

                                       13
<PAGE>

                          PART II - OTHER INFORMATION



Item 1.  Legal Proceedings

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

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 six months
         of fiscal 1999.

                                       14
<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:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                    (General Partner)



Date:  August 10, 1999      By /s/ JOHN R. FRAWLEY J.R.
                               ------------------------
                               John R. Frawley, Jr.
                               Chairman, Chief Executive Officer,
                               President and Director



Date:  August 10, 1999      By /s/ MICHAEL L. PUNGELLO
                               -----------------------
                               Michael L. Pungello
                               Vice President, Chief Financial Officer
                               and Treasurer



                                       15