<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, 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./MILLBURN L.P.
                       (a Delaware limited partnership)
                        ------------------------------ 
                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------

<TABLE> 
<CAPTION> 
                                                                  March 31,         December 31,
                                                                   1999                 1998
                                                         ---------------------  ------------------
                                                         
ASSETS                                                   
------
<S>                                                       <C>                    <C> 
Investments                                                      $ 52,834,230        $ 56,163,313
Receivable from investments                                           527,014             259,704
                                                         ---------------------  ------------------
                                                         
                TOTAL                                            $ 53,361,244        $ 56,423,017
                                                         =====================  ==================
                                                         
LIABILITY AND PARTNERS' CAPITAL                          
-------------------------------

    Liability - Redemptions payable                              $    527,014        $    259,704
                                                         
                                                         
PARTNERS' CAPITAL:                                       
    General Partner:                                     
        (504 and 504 Series A Units)                                  145,212             149,246
        (1,338 and 1,338 Series B Units)                              313,270             321,921
        (926 and 926 Series C Units)                                  168,968             173,635
    Limited Partners:                                    
        (43,872 and 44,678 Series A Units)                         12,640,414          13,230,285
        (109,778 and 115,421 Series B Units)                       25,704,275          27,771,959
        (75,964 and 77,411 Series C Units)                         13,862,091          14,516,267
                                                         ---------------------  ------------------
                                                         
            Total partners' capital                                52,834,230          56,163,313
                                                         ---------------------  ------------------
                                                         
                TOTAL                                            $ 53,361,244        $ 56,423,017
                                                         =====================  ==================
                                                         
NET ASSET VALUE PER UNIT                                 
Series A (Based on 44,376 and 45,182 Units outstanding)          $     288.12        $     296.13
                                                         =====================  ==================
Series B (Based on 111,116 and 116,759 Units outstanding)        $     234.15        $     240.61
                                                         =====================  ==================
Series C (Based on 76,890 and 78,337 Units outstanding)          $     182.48        $     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
                                                     months ended            months ended
                                                      March 31,               March 31,
                                                         1999                    1998
                                                   -----------------      -----------------
REVENUES:                                                                 
<S>                                                 <C>                   <C> 
    Loss from investments                              $ (1,507,632)          $ (3,078,837)
                                                   -----------------      -----------------
                                                                          
                                                                          
NET LOSS                                               $ (1,507,632)          $ (3,078,837)
                                                   =================      =================
                                                                          
NET LOSS PER UNIT:                                                        
    Weighted average number of units                                      
        outstanding                                         237,198                279,873
                                                   =================      =================
                                                                          
    Weighted average net loss                                             
         per Limited Partner                                              
      and General Partner Unit                         $      (6.36)          $     (11.00)
                                                   =================      =================
</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, 1999 and 1998
               --------------------------------------------------

<TABLE> 
<CAPTION> 
                                                             Units                                                   
                                                             -----
                                    Series A               Series B               Series C           
                                   ------------        -----------------     -------------------     
PARTNERS' CAPITAL,                                                                                   
<S>                                  <C>                      <C>                     <C> 
  December 31, 1997                     51,772                  137,220                  92,459      
                                                                                                     
Redemptions                             (1,142)                  (2,315)                 (2,584)     
                                                                                                     
Net loss                                     -                        -                       -      
                                   ------------        -----------------     -------------------     
                                                                                                     
PARTNERS' CAPITAL,                                                                                   
  March 31, 1998                        50,630                  134,905                  89,875      
                                   ============        =================     ===================     
                                                                                                     
PARTNERS' CAPITAL,                                                                                   
  December 31, 1998                     45,182                  116,759                  78,337      
                                                                                                     
Redemptions                               (806)                  (5,643)                 (1,447)     
                                                                                                     
Net loss                                     -                        -                       -      
                                   ------------        -----------------     -------------------     
                                                                                                     
PARTNERS' CAPITAL,                                                                                   
  March 31, 1999                        44,376                  111,116                  76,890      
                                   ============        =================     ===================     

<CAPTION> 
                                                       Limited Partners                        
                                                       ----------------
                                     Series A             Series B            Series C         
                                  ----------------     ----------------    ---------------     
PARTNERS' CAPITAL,                                                                             
<S>                               <C>                   <C>                <C> 
  December 31, 1997                  $ 14,487,473         $ 31,223,304       $ 16,376,709      
                                                                                               
Redemptions                              (311,649)            (511,234)          (448,277)     
                                                                                               
Net loss                                 (709,263)          (1,527,191)          (796,442)     
                                  ----------------     ----------------    ---------------     
                                                                                               
PARTNERS' CAPITAL,                                                                             
  March 31, 1998                     $ 13,466,561         $ 29,184,879       $ 15,131,990      
                                  ================     ================    ===============     
                                                                                               
PARTNERS' CAPITAL,                                                                             
  December 31, 1998                  $ 13,230,285         $ 27,771,959       $ 14,516,267      
                                                                                               
Redemptions                              (232,524)          (1,323,970)          (264,957)     
                                                                                               
Net loss                                 (357,347)            (743,714)          (389,219)     
                                  ----------------     ----------------    ---------------     
                                                                                               
PARTNERS' CAPITAL,                                                                             
  March 31, 1999                     $ 12,640,414         $ 25,704,275       $ 13,862,091      
                                  ================     ================    ===============     

<CAPTION> 

                                                   General Partner
                                                   ---------------
                                  Series A            Series B           Series C            Total
                                 ------------       -------------       -----------      --------------
PARTNERS' CAPITAL,              
<S>                             <C>                   <C>              <C>              <C> 
  December 31, 1997                $ 221,605           $ 456,174         $ 258,899        $ 63,024,164
                                
Redemptions                                -                   -                 -        $ (1,271,160)
                                
Net loss                             (10,897)            (22,356)          (12,688)       $ (3,078,837)
                                 ------------       -------------       -----------      --------------
                                
PARTNERS' CAPITAL,              
  March 31, 1998                   $ 210,708           $ 433,818         $ 246,211        $ 58,674,167
                                 ============       =============       ===========      ==============
                                
PARTNERS' CAPITAL,              
  December 31, 1998                $ 149,246           $ 321,921         $ 173,635        $ 56,163,313
                                
Redemptions                                -                   -                 -        $ (1,821,451)
                                
Net loss                              (4,034)             (8,651)           (4,667)       $ (1,507,632)
                                 ------------       -------------       -----------      --------------
                                
PARTNERS' CAPITAL,              
  March 31, 1999                   $ 145,212           $ 313,270         $ 168,968        $ 52,834,230
                                 ============       =============       ===========      ==============
</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, 1999 and December 31, 1998, and the results of its operations for the
three months ended March 31, 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 March 31, 1999, the Partnership had an investment in JWH LLC and Millburn
LLC of $26,137,545 and $26,696,685, 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>
 
Total revenues and fees with respect to the Fund's investments are set forth as
follows:

<TABLE> 
<CAPTION> 

 For the three months                     Total                Brokerage            Administrative       
ended March 31, 1999                    Revenue               Commissions                Fees            
                                   -------------------     ------------------      -----------------     
                                                                                                         
 Series A Units                                                                                          
<S>                               <C>                       <C>                    <C> 
 JWH LLC                                  $  (280,408)           $   156,448               $  4,117      
 Millburn LLC                                 260,072                155,270                  4,086      
                                   -------------------     ------------------      -----------------     
                                                                                                         
 Total                                    $   (20,336)           $   311,718               $  8,203      
                                   ===================     ==================      =================     
                                                                                                         
 Series B Units                                                                                          
                                                                                                         
 JWH LLC                                  $  (583,218)           $   321,372               $  8,457      
 Millburn LLC                                 534,039                321,507                  8,461      
                                   -------------------     ------------------      -----------------     
                                                                                                         
 Total                                    $   (49,179)           $   642,879               $ 16,918      
                                   ===================     ==================      =================     
                                                                                                         
 Series C Units                                                                                          
                                                                                                         
 JWH LLC                                  $  (306,191)           $   171,057               $  4,501      
 Millburn LLC                                 286,824                171,163                  4,504      
                                   -------------------     ------------------      -----------------     
                                                                                                         
 Total                                    $   (19,367)           $   342,220               $  9,006      
                                   ===================     ==================      =================     
                                                                                                         
 Total All Units                                                                                         
                                                                                                         
 JWH LLC                                  $(1,169,817)           $   648,877               $ 17,075      
 Millburn LLC                               1,080,935                647,940                 17,052      
                                   -------------------     ------------------      -----------------     
                                                                                                         
 Total                                    $   (88,882)           $ 1,296,817               $ 34,127      
                                   ===================     ==================      =================     

<CAPTION> 

 For the three months                    Profit            (Loss) Income from 
ended March 31, 1999                    Shares                Investments
                                   ------------------    ----------------------
                                   
 Series A Units                    
<S>                                     <C>                   <C> 
 JWH LLC                                    $      -           $   (440,973)
 Millburn LLC                                 21,124                 79,592
                                   ------------------    -------------------
                                   
 Total                                      $ 21,124           $   (361,381)
                                   ==================    ===================
                                   
 Series B Units                    
                                   
 JWH LLC                                    $      -           $   (913,047)
 Millburn LLC                                 43,389                160,682
                                   ------------------    -------------------
                                   
 Total                                      $ 43,389           $   (752,365)
                                   ==================    ===================
                                   
 Series C Units                    
                                   
 JWH LLC                                    $      -           $   (481,749)
 Millburn LLC                                 23,294                 87,863
                                   ------------------    -------------------
                                   
 Total                                      $ 23,294           $   (393,886)
                                   ==================    ===================
                                   
 Total All Units                   
                                   
 JWH LLC                                    $      -           $ (1,835,769)
 Millburn LLC                                 87,806                328,137
                                   ------------------    -------------------
                                   
 Total                                      $ 87,806           $ (1,507,632)
                                   ==================    ===================
</TABLE> 

                                       6
<PAGE>
 

<TABLE> 
<CAPTION> 

 For the three months                     Total                Brokerage            Administrative      
ended March 31, 1998                    Revenue               Commissions                Fees           
                                   -------------------     ------------------      -----------------    
                                                                                                        
 Series A Units                                                                                         
<S>                                 <C>                    <C>                    <C> 
 JWH LLC                                 $   (493,612)           $   166,854               $  4,392     
 Millburn LLC                                 118,327                169,055                  4,449     
                                   -------------------     ------------------      -----------------    
                                                                                                        
 Total                                   $   (375,285)           $   335,909               $  8,841     
                                   ===================     ==================      =================    
                                                                                                        
 Series B Units                                                                                         
                                                                                                        
 JWH LLC                                 $ (1,059,688)           $   357,802               $  9,416     
 Millburn LLC                                 252,625                365,495                  9,618     
                                   -------------------     ------------------      -----------------    
                                                                                                        
 Total                                   $   (807,063)           $   723,297               $ 19,034     
                                   ===================     ==================      =================    
                                                                                                        
 Series C Units                                                                                         
                                                                                                        
 JWH LLC                                 $   (554,018)           $   186,982               $  4,921     
 Millburn LLC                                 133,068                190,987                  5,026     
                                   -------------------     ------------------      -----------------    
                                                                                                        
 Total                                   $   (420,950)           $   377,969               $  9,947     
                                   ===================     ==================      =================    
                                                                                                        
 Total All Units                                                                                        
 ---------------                                                                                                       
 JWH LLC                                 $ (2,107,318)           $   711,638               $ 18,729     
 Millburn LLC                                 504,020                725,537                 19,093     
                                   -------------------     ------------------      -----------------    
                                                                                                        
 Total                                   $ (1,603,298)           $ 1,437,175               $ 37,822     
                                   ===================     ==================      =================    
<CAPTION> 

 For the three months                    Profit           (Loss) Income from 
ended March 31, 1998                    Shares                Investments
                                   ------------------    ----------------------
                                   
 Series A Units                    
<S>                                <C>                  <C> 
 JWH LLC                                    $      -           $   (664,858)
 Millburn LLC                                    125                (55,302)
                                   ------------------    -------------------
                                   
 Total                                      $    125           $   (720,160)
                                   ==================    ===================
                                   
 Series B Units                    
                                   
 JWH LLC                                    $      -           $ (1,426,906)
 Millburn LLC                                    153               (122,641)
                                   ------------------    -------------------
                                   
 Total                                      $    153           $ (1,549,547)
                                   ==================    ===================
                                   
 Series C Units                    
                                   
 JWH LLC                                    $      -           $   (745,921)
 Millburn LLC                                    264                (63,209)
                                   ------------------    -------------------
                                   
 Total                                      $    264           $   (809,130)
                                   ==================    ===================
                                   
 Total All Units                   
 ---------------                                  
 JWH LLC                                    $      -           $ (2,837,685)
 Millburn LLC                                    542               (241,152)
                                   ------------------    -------------------
                                   
 Total                                      $    542           $ (3,078,837)
                                   ==================    ===================
</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> 

                                                       March 31, 1999                                  December 31, 1998
                                 ----------------------------------------------  -----------------------------------------------
                                          JWH                  Millburn                   JWH                   Millburn
                                          LLC                    LLC                      LLC                      LLC
                                 ---------------------- -----------------------  ----------------------   ----------------------

<S>                              <C>                      <C>                     <C>                      <C> 
     Assets                               $ 26,398,280         $    26,962,964         $    29,277,397             $ 27,815,000
                                 ====================== =======================  ======================   ======================

     Liabilities                          $    260,735         $       266,279         $       391,198        $         537,886
     Members' Capital                       26,137,545              26,696,685              28,886,199               27,277,114
                                 ---------------------- -----------------------  ----------------------   ----------------------

     Total                                $ 26,398,280         $    26,962,964         $    29,277,397        $      27,815,000
                                 ====================== =======================  ======================   ======================


                                    For the three months     For the three months   For the three months    For the three months 
                                    ended March 31, 1999     ended March 31, 1999   ended March 31, 1998    ended March 31, 1998
                                 -----------------------------------------------------------------------------------------------
     Revenues                             $ (1,169,816)        $     1,080,934         $    (4,026,600)       $         553,011

     Expenses                                  665,953                 752,797               1,342,197                  813,068
                                 ---------------------- -----------------------  ----------------------   ----------------------

     Net (Loss) Income                    $ (1,835,769)        $       328,137         $   (5,368,797)        $       (260,057)
                                 ====================== =======================  ======================   ======================
</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, 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.

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 

                                       8
<PAGE>
 
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.
                      ------------------------------------
                       1998    $281.00  $268.85  $270.14
                      ------------------------------------
                       1999    $287.86  $291.22  $288.12
                      ------------------------------------


                  MONTH-END NET ASSET VALUE PER SERIES B UNIT

                      ------------------------------------
                                Jan.     Feb.     Mar.
                      ------------------------------------
                       1998    $228.36  $218.48  $219.55
                      ------------------------------------
                       1999    $233.92  $236.65  $234.15
                      ------------------------------------


                  MONTH-END NET ASSET VALUE PER SERIES C UNIT


                      ------------------------------------
                                Jan.     Feb.     Mar.
                      ------------------------------------
                       1998    $177.97  $170.27  $171.11
                      ------------------------------------
                       1999    $182.30  $184.43  $182.48
                      ------------------------------------



Performance Summary

January 1, 1998 to March 31, 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 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 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.

                                       10
<PAGE>
 
THE YEAR 2000 COMPUTER ISSUE

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 efforts, as described in the
Partnership's 1998 Form 10-K, was approximately 99.7% completed as of April 16,
1999, and production testing was approximately 99.1% completed as of that date.
In March and April 1999, Merrill Lynch continued its participation 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.

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.
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. 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 March 26, 1999, the total estimated expenditures 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 $157 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.

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 March 31, 1999 and December 31,
1998, and the average of the three months for January 1999 through March 1999.
As of March 31, 1999 and December 31, 1998, the Fund's total capitalization was
approximately $52 million and $56 million, all of which was allocated to
trading.

                                       11
<PAGE>
 
<TABLE> 
<CAPTION> 
                                          March 31, 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              $  1,754,333              3.32%                 $ 3,110,066             5.54%
Currencies                     2,212,340              4.19                    1,822,438             3.25
Stock Indices                  1,443,880              2.73                      558,504             0.99
Metals                           660,400              1.25                      459,900             0.82

                           ------------------    ---------------------     ------------------    ----------------------
                            $  6,070,953             11.49%                 $ 5,950,908            10.60%
                           ==================    =====================     ==================    ======================
</TABLE> 

<TABLE> 
<CAPTION> 

                                                         Average Month-end
                                                          for the period
                                                    January 1999 to March 1999
                                                    --------------------------

                                                                                                  % OF TOTAL
MARKET SECTOR                                           VALUE AT RISK                           CAPITILIZATION
-------------                                           -------------                           --------------
<S>                                                   <C>                                     <C> 
Interest Rates                                         $   2,322,457                                   4.34%
Currencies                                                 2,253,593                                   4.21
Stock Indices                                                753,455                                   1.41
Metals                                                       814,917                                   1.52
                                                        -------------                           --------------
                                                       $   6,144,422                                  11.48%
                                                        =============                           ==============
</TABLE> 


                                      12
<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 three months
         of fiscal 1999.

                                       13
<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: May 11, 1999                   By /s/ JOHN R. FRAWLEY J.R.
                                        ------------------------
                                        John R. Frawley, Jr.
                                        Chairman, Chief Executive Officer,
                                        President and Director



Date: May 11, 1999                   By /s/ MICHAEL L. PUNGELLO
                                        -----------------------
                                        Michael L. Pungello
                                        Vice President, Chief Financial Officer
                                        and Treasurer

                                       14