<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 September 30, 1996
                               ------------------

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

                                 212-236-4161
              --------------------------------------------------
             (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
                                                                   -----   -----

                       This document contains 13 pages.
     There are no exhibits and no exhibit index filed with this document.
<PAGE>
 
                        PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

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

                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------

<TABLE> 
<CAPTION> 
                                                                       September 30,          December 31,
                                                                           1996                   1995
                                                                           ----                   ----
<S>                                                                    <C>                    <C> 
ASSETS
------
Accrued interest                                                           $   169,496            $   236,588
Equity in commodity futures trading accounts:
    Cash and option premiums                                                49,062,964             57,465,987
    Net unrealized gain on open contracts                                    3,620,260              1,760,218
                                                                         ----------------     ----------------

                TOTAL                                                      $52,852,720            $59,462,793
                                                                         ================     ================

LIABILITIES AND PARTNERS' CAPITAL
---------------------------------

LIABILITIES:
    Redemptions payable                                                    $   740,311            $   946,331
    Brokerage commissions payable (Note 2)                                     517,516                594,628
    Profit shares payable                                                       -                     -
    Administrative expense payable (Note 2)                                     11,011                -
                                                                         ----------------     ----------------

            Total liabilities                                                1,268,838              1,540,959
                                                                         ----------------     ----------------

PARTNERS' CAPITAL:
    General Partner:
     780 and 780 Series A units outstanding                              $     162,543               $164,028
   1,976 and 1,976 Series B units outstanding                                  334,907                337,920
   1,439 and 1,439 Series C units outstanding                                  190,263                192,564
    Limited Partners:
  57,720 and 62,793 Series A units outstanding                              12,028,266             13,205,024
 149,231 and 166,361 Series B units outstanding                             25,293,836             28,450,897
 102,659 and 116,358 Series C units outstanding                             13,574,067             15,571,401
                                                                         ----------------     ----------------

            Total partners' capital                                         51,583,882             57,921,834
                                                                         ----------------     ----------------

                TOTAL                                                      $52,852,720            $59,462,793
                                                                         ================     ================

NET ASSET VALUE PER UNIT:
        Series A (Based on 58,500 and  63,573 units outstanding)               $208.39                $210.29
                                                                               =======                =======
        Series B (Based on 151,207 and 168,337 units outstanding)              $169.49                $171.02
                                                                               =======                =======
        Series C (Based on 104,098 and 117,797 units outstanding)              $132.22                $133.82
                                                                               =======                =======
</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 nine         For the nine
                                             months ended        months ended        months ended         months ended
                                             September 30,       September 30,       September 30,        September 30,
                                                 1996                1995                1996                 1995
                                            --------------      --------------       -------------        -------------
<S>                                        <C>                 <C>                  <C>                 <C> 
REVENUES:
    Trading (loss) profits:
        Realized                                 $(393,434)         $1,469,120         $   986,680          $25,311,425
        Change in unrealized                     1,668,447          (1,697,994)          1,860,042           (3,882,903)
                                           -----------------   -----------------    ----------------    -----------------

            Total trading results                1,275,013            (228,874)          2,846,722           21,428,522
                                           -----------------   -----------------    ----------------    -----------------

    Interest income                                536,654             775,303           1,703,650            2,192,119
                                           -----------------   -----------------    ----------------    -----------------

            Total revenues                       1,811,667             546,429           4,550,372           23,620,641
                                           -----------------   -----------------    ----------------    -----------------

EXPENSES:
    Profit shares                                   -                      312               9,078              729,139
    Brokerage commissions (Note 2)               1,544,898           1,846,477           4,917,818            5,619,789
    Administrative expense (Note 2)                 32,872              -                  104,635               -
                                           -----------------   -----------------    ----------------    -----------------


            Total expenses                       1,577,770           1,846,789           5,031,531            6,348,928
                                           -----------------   -----------------    ----------------    -----------------

NET INCOME (LOSS)                               $  233,897         $(1,300,360)        $  (481,159)         $17,271,713
                                           =================   =================    ================    =================

NET INCOME (LOSS) PER UNIT:
    Weighted average number of units
        outstanding                                321,184             370,903             333,307              397,623
                                                   ========            ========            ========             =======
    Weighted average net income
        (loss) per Limited Partner
         unit and General Partner
         unit                                        $0.73              $(3.51)             $(1.44)              $43.44
                                                     ======             =======             =======              ======
</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 nine months ended September 30, 1996 and 1995
             -----------------------------------------------------

<TABLE> 
<CAPTION> 
                                                                                      Limited Partners 
                                  Series       Series      Series    ------------------------------------------------ 
                                     A            B           C           Series           Series           Series      
                                   Units        Units       Units            A                B                C        
                                   -----        -----       -----            -                -                -        
<S>                            <C>         <C>          <C>          <C>              <C>              <C> 
PARTNERS' CAPITAL,                                                                                                      
  DECEMBER 31, 1994              74,610       213,110      153,995     $11,495,848      $26,740,233      $15,045,473    

Redemptions                     (10,012)      (39,230)     (30,417)     (1,951,460)      (6,276,410)      (3,828,082)   

Net income                         -            -            -           3,702,632        8,473,031        4,861,192    
                               ---------   -----------  -----------  --------------   --------------   --------------   

PARTNERS' CAPITAL,                                                                                                      
  SEPTEMBER 30, 1995             64,598       173,880      123,578     $13,247,020      $28,936,854      $16,078,583    
                               =========   ===========  ===========  ==============   ==============   ==============  
                                                                                                                        
PARTNERS' CAPITAL,                                                                                                      
  DECEMBER 31, 1995              63,573       168,337      117,797     $13,205,024      $28,450,897      $15,571,401    

Redemptions                      (5,073)      (17,130)     (13,699)     (1,113,315)      (2,915,985)      (1,827,493)   

Net loss                           -            -            -             (63,443)        (241,076)        (169,841)   
                               ---------   -----------  -----------  --------------   --------------   --------------  

PARTNERS' CAPITAL,                                                                                                      
  SEPTEMBER 30, 1996             58,500       151,207      104,098    $ 12,028,266     $ 25,293,836     $ 13,574,067    
                               =========   ===========  ===========  ==============   ==============   ==============  

<CAPTION> 
                                        General Partner                            
                            ---------------------------------------   
                                Series       Series       Series                     
                                   A            B            C           Total       
                                   -            -            -           -----       
<S>                         <C>           <C>          <C>          <C> 
PARTNERS' CAPITAL,                                                                   
  DECEMBER 31, 1994           $135,628     $359,351     $210,911      $53,987,444    

Redemptions                      -            -            -          (12,055,952)   

Net income                      45,215      118,707       70,936       17,271,713    
                            -----------   ----------   ----------   --------------  

PARTNERS' CAPITAL,                                                                   
  SEPTEMBER 30, 1995          $180,843     $478,058     $281,847      $59,203,205    
                            ===========   ==========   ==========   ==============  
                                                                                          
PARTNERS' CAPITAL,                                                                        
  DECEMBER 31, 1995           $164,028     $337,920     $192,564      $57,921,834    

Redemptions                      -            -            -           (5,856,793)   

Net loss                        (1,485)      (3,013)      (2,301)        (481,159)   
                            -----------   ----------   ----------   --------------  

PARTNERS' CAPITAL,                                                                    
  SEPTEMBER 30, 1996          $162,543     $334,907     $190,263      $51,583,882    
                            ===========   ==========   ==========   ==============  
</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 September 30, 1996 and the results of its operations
     for the nine months ended September 30, 1996 and 1995. 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, 1995 (the "Annual Report").

2.   RELATED PARTY TRANSACTIONS

     The Partnership pays brokerage commissions to MLF at a flat monthly rate of
     1% (a 12% annual rate) of the Partnership's month-end assets. Effective
     January 1, 1996, the brokerage commission the Partnership pays to the
     Commodity Broker was reduced to .9792% (a 11.75% annual rate), and the
     Partnership began to pay an administrative fee to the General Partner of
     .020833% (a .25% annual rate). Month-end assets are not reduced for
     purposes of calculating brokerage commissions by any accrued but unpaid
     brokerage commissions, profit shares or other fees or charges. MLIP
     estimates that the round-turn equivalent commission rate charged to the
     Partnership during the nine months ended September 30, 1996 and 1995, was
     approximately $165 and $56, respectively (not including, in calculating
     round-turn equivalents, forward contracts on a futures-equivalent basis).

     MLF pays the Advisors annual Consulting Fees equal to 4% of the average
     month-end net assets managed by each of them.

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

     The profit and loss of the Series A, Series B and Series C Units for the
     three months ended September 30, 1996 and 1995 is as follows:

<TABLE> 
<CAPTION> 
                                                       1996                                           1995
                                     ----------------------------------------       ----------------------------------------
                                     Series A        Series B        Series C       Series A        Series B        Series C
                                     --------        --------        --------       --------        --------        --------

<S>                             <C>             <C>              <C>            <C>             <C>             <C> 
REVENUES:
  Trading (loss) profit:
    Realized                        $(70,691)       $(192,476)       $(130,267)      $311,943        $699,762        $457,415
    Change in unrealized             380,443          834,090          453,914       (387,771)       (835,670)       (474,553)
                                -------------   --------------   -------------- --------------  --------------  --------------

      Total trading results          309,752          641,614          323,647        (75,828)       (135,908)        (17,138)

Interest income                      124,044          267,807          144,803        173,279         388,357         213,667
                                -------------   --------------   -------------- --------------  --------------  --------------

      Total revenues                 433,796          909,421          468,450         97,451         252,449         196,529
                                -------------   --------------   -------------- --------------  --------------  --------------

EXPENSES:
  Profit shares                       -                -                -                  25             160             127
  Brokerage commissions              359,655          767,928          417,315        416,385         921,722         508,370
  Administrative expense               7,653           16,339            8,880         -               -               -
                                -------------   --------------   -------------- --------------  --------------  --------------

      Total expenses                 367,308          784,267          426,195        416,410         921,882         508,497
                                -------------   --------------   -------------- --------------  --------------  --------------

NET INCOME (LOSS)                   $ 66,488        $ 125,154        $  42,255      $(318,959)      $(669,433)      $(311,968)
                                =============   ==============   ============== ==============  ==============  ==============

NET INCOME (LOSS)
PER UNIT OF
PARTNERSHIP INTEREST:

  Weighted average number
  of units outstanding                58,918          154,634          107,632         65,738         178,899         126,266
                                      =======         ========         ========        =======        ========        =======

  Weighted average net
  income (loss) per Limited
  Partner unit and General             
  Partner unit                         $1.13             $.81             $.39         $(4.85)         $(3.74)         $(2.47) 
                                       ======            =====            =====        =======         =======         =======  

     The profit and loss of the Series A, Series B and Series C Units for the
nine months ended September 30, 1996 and 1995 is as follows:

<CAPTION> 
                                                       1996                                           1995
                                     ----------------------------------------       ----------------------------------------
                                     Series A        Series B        Series C       Series A        Series B        Series C
                                     --------        --------        --------       --------        --------        --------

<S>                             <C>             <C>              <C>              <C>            <C>            <C> 
REVENUES:
  Trading profit (loss):
    Realized                        $274,534       $ 480,980          $231,166      $5,561,210     $12,599,880     $7,150,335
    Change in unrealized             431,039         929,339           499,664        (882,967)     (1,934,372)    (1,065,564)
                                -------------   -------------    --------------   -------------  -------------- --------------

      Total trading results          705,573       1,410,319           730,830       4,678,243      10,665,508      6,084,771
                                -------------   -------------    --------------   -------------  -------------- --------------

Interest income                      386,645         850,816           466,189         485,255       1,097,445        609,419
                                -------------   -------------    --------------   -------------  -------------- --------------

      Total revenues               1,092,218       2,261,135         1,197,019       5,163,498      11,762,953      6,694,190
                                -------------   -------------    --------------   -------------  -------------- --------------
</TABLE> 

                                       6
<PAGE>
 
<TABLE> 
<S>                             <C>             <C>              <C>              <C>            <C>            <C> 
EXPENSES:
  Profit shares                        5,557           1,065             2,456         168,968         362,058        198,113
  Brokerage commissions            1,127,598       2,451,989         1,338,231       1,246,683       2,809,157      1,563,949
  Administrative expense              23,992          52,170            28,473          -               -              -
                                -------------   -------------    --------------   -------------  -------------- --------------

      Total expenses               1,157,147       2,505,224         1,369,160       1,415,651       3,171,215      1,762,062
                                -------------   -------------    --------------   -------------  -------------- --------------

NET (LOSS) INCOME                $   (64,929)    $   (244,089)    $   (172,141)     $3,747,847      $8,591,738     $4,932,128
                                =============   =============    ==============   =============  ============== ==============

NET (LOSS) INCOME
PER UNIT OF
PARTNERSHIP INTEREST:
  Weighted average number
  of units outstanding                60,240         160,784           112,283          69,056         191,655        136,912
                                      =======        ========          ========         =======        ========       ========

  Weighted average net
  (loss) income per Limited
  Partner unit and General
  Partner unit                        $(1.08)         $(1.52)           $(1.53)         $54.27          $44.83         $36.02
                                      =======         =======           =======         =======         =======        =======
</TABLE> 



4.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The Partnership trades futures, options and forward contracts in interest
     rates, stock indices, commodities, currencies, metals and energy. The
     Partnership's revenues by reporting category for the quarter ended
     September 30, 1996 were as follows:

                                                   1996
                                                   ----
      
      Interest rate and Stock indices              $1,190,889
      Currencies                                    1,521,270
      Metals                                          134,563
                                            ------------------
                                      
                                                   $2,846,722
                                            ==================

     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 gain or loss on such derivative
     instruments as reflected in the Statements of Financial Condition. 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
     the derivative instruments are traded.

     The General Partner has procedures in place intended to control market
     risk, 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 of the Partnership, 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-concentration. While
     the General Partner will not itself intervene in the markets to hedge or
     diversify the Partnership's market exposure, the General Partner may urge
     the Advisors to reallocate positions, or itself reallocate Partnership
     assets among Advisors (although only as of the end of a month) in an
     attempt to avoid over-concentrations. 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, 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.

                                       7
<PAGE>
 
Fair Value
----------

The derivative instruments used in the Partnership's trading activities are
marked to market daily with the resulting unrealized gains or losses recorded in
the Statements of Financial Condition and the related profit or loss reflected
in trading revenues in the Statements of Operations. The contract/notional
values of the Partnership's open derivative instrument positions as of September
30, 1996 and December 31, 1995 were as follows:

<TABLE> 
<CAPTION> 
                                    1996                                               1995
              ---------------------------------------------------   ------------------------------------------

                   Commitment to              Commitment to           Commitment to           Commitment to
                 Purchase (Futures,           Sell (Futures,        Purchase (Futures,        Sell (Futures,
                 Options & Forwards)        Options & Forwards)     Options & Forwards)     Options & Forwards)
                 -------------------        -------------------     -------------------     -------------------

<S>              <C>                        <C>                     <C>                     <C> 
Interest rate
  and Stock
  indices               $283,234,975             $15,807,463               $316,321,139          $ 81,485,562
Currencies               124,758,279             171,013,274                115,918,767           196,448,531
Metals                     6,690,003              54,211,942                  4,396,075            19,975,248
                    -----------------       -----------------         ------------------     -----------------

                        $414,683,257            $241,032,679               $436,635,981          $297,909,341
                    =================       =================         ==================     =================
</TABLE> 

Substantially all of the Partnership's derivative instruments outstanding as of
September 30, 1996 expire within one year.

The contract/notional value of the Trading Partnership's exchange-traded and 
non-exchange-traded derivative instrument positions as of September 30, 1996 and
December 31, 1995 was as follows:

<TABLE> 
<CAPTION> 
                                   1996                                                   1995
             ---------------------------------------------------    ----------------------------------------------

                         Commitment to        Commitment to           Commitment to           Commitment to
                      Purchase (Futures,      Sell (Futures,        Purchase (Futures,        Sell (Futures,
                      Options & Forwards)   Options & Forwards)     Options & Forwards)     Options & Forwards)
                      -------------------   -------------------     -------------------     -------------------

<S>                   <C>                   <C>                     <C>                     <C>  
Exchange
  traded                    $289,251,875             $60,553,913            $317,647,209            $94,328,735
Non-Exchange
  traded                     125,431,382             180,478,766             118,988,772            203,580,606
                     --------------------    --------------------   ---------------------   --------------------
                            $414,683,257            $241,032,679            $436,635,981           $297,909,341
                     ====================    ====================   =====================   ====================
</TABLE> 

The average fair value of the Partnership's derivative instrument positions
which were open as of the end of each calendar month during the nine months
ended September 30, 1996 and the year ended December 31, 1995 was as follows:

<TABLE> 
<CAPTION> 
                                   1996                                            1995
                ------------------------------------------     --------------------------------------------
                   Commitment to          Commitment to           Commitment to          Commitment to
                Purchase (Futures,       Sell (Futures,        Purchase (Futures,       Sell (Futures,
                Options & Forwards)    Options & Forwards)     Options & Forwards)    Options & Forwards)
                -------------------    -------------------     -------------------    -------------------

<S>             <C>                    <C>                     <C>                    <C> 
Interest rate                                                                         
  and Stock                                                                           
  indices             $262,718,459         $190,736,113              $295,297,616             $44,755,764
Currencies             303,052,896          343,377,281               252,057,126             240,468,554
Metals                  18,608,872           32,082,586                10,695,784              24,230,482
                 ------------------    -----------------      --------------------     -------------------
                                                                                      
                      $584,380,227         $566,195,980              $558,050,526            $309,454,800
                 ==================    =================      ====================     ===================
</TABLE> 

A portion of the amounts indicated as off-balance sheet risk reflects offsetting
commitments to purchase and to sell the same derivative instrument on the same
date in the future. These commitments are economically offsetting but are not,
as a technical matter, offset in the forward market until the settlement date.

Credit Risk
-----------

                                       8
<PAGE>
 
     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 fair value amounts in the above tables represent the extent of the
     Partnership's market exposure in the particular class of derivative
     instrument listed, but not the credit risk associated with counterparty
     nonperformance. The credit risk associated with these instruments from
     counterparty nonperformance is the net unrealized gain, if any, included in
     the Statements of Financial Condition. The Partnership also has credit risk
     because the sole counterparty or broker with respect to most of the
     Partnership's assets is MLF.

     As of September 30,1996 and December 31, 1995, $16,910,709 and $19,033,635
     of the Partnership's assets, respectively, were held in segregated accounts
     at MLF in accordance with Commodity Futures Trading Commission regulations.

     The gross unrealized gain and the net unrealized gain on the Partnership's
     open derivative instrument positions as of September 30, 1996 and December
     31, 1995 were as follows:

<TABLE> 
<CAPTION> 
                                            1996                                           1995
                                            ----                                           ----
                                  Gross                  Net                    Gross                    Net
                               Unrealized            Unrealized              Unrealized              Unrealized
                                  Gain               Gain (Loss)                Gain                 Gain (Loss)
                               -------               -----------             -------                 -----------
     
<S>                      <C>                     <C>                    <C>                     <C> 
     Exchange
       traded                     $3,312,101              $2,750,309              $3,112,617             $2,803,973
     Non-Exchange
       traded                      2,900,503                 869,951               1,175,189             (1,043,755)
                         --------------------    --------------------   ---------------------   --------------------

                                  $6,212,604              $3,620,260              $4,287,806             $1,760,218
                         ====================    ====================   =====================   ====================
</TABLE> 

The Partnership controls credit risk by dealing almost exclusively with Merrill
Lynch entities as brokers and counterparties.

The Partnership through its normal course of business enters into various
contracts with MLF acting as its commodity broker. Pursuant to the brokerage
arrangement with MLF, such trading which results in receivables from and
payables to MLF will be offset and reported as a net receivable or payable.

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

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

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

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

                                       9
<PAGE>
 
            The Fund controls credit risk in its trading in the derivatives
markets by trading only through Merrill Lynch entities which MLIP believes to be
creditworthy. The Fund attempts to control the market risk inherent in its
derivatives trading by utilizing a multi-advisor, multi-strategy structure. This
structure purposefully attempts to diversify the Fund's Advisor group among
different strategy types and market sectors in an effort to reduce risk
(although the Fund's portfolio currently emphasizes technical and
trend-following approaches).

Performance Summary
-------------------
                                SERIES A Units:
            During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $13,352,757, and the Fund recognized gross trading gains of
$4,678,243 or 35.04% of such average month-end Net Assets. Brokerage commissions
of $1,246,683 or 9.34% and Profit Shares of $168,968 or 1.27% of average month-
end Net Assets were paid. Interest income of $485,255 or 3.63% of average month-
end Net Assets resulted in a net gain of $3,747,847 or 28.07% of average month-
end Net Assets, which resulted in a 33.3% increase in the Net Asset Value per
Unit since December 31, 1994.

            During the first nine months of 1996, the Fund's average month-end
Net Assets equalled $12,592,749, and the Fund recognized gross trading gains of
$705,573 or 5.60% of such average month-end Net Assets. Brokerage commissions of
$1,127,598 or 8.95%, Administrative expense of $23,992 or 0.19% and Profit
Shares of $5,557 or .04% of average month-end Net Assets were paid. Interest
income of $386,645 or 3.07% of average month-end Net Assets resulted in a net
loss of $64,929 or .52% of average month-end Net Assets which resulted in a .90%
decrease in the Net Asset Value per Unit since December 31, 1995.

            During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.

<TABLE> 
<CAPTION> 
                                  MONTH-END NET ASSET VALUE PER SERIES A UNIT
            ---------------------------------------------------------------------------------------
                    Jan.     Feb.    Mar.     April    May      June     July    Aug.     Sept.
            ---------------------------------------------------------------------------------------
            <S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C> 
            1995    $146.85  $167.54 $204.80  $214.46  $216.21  $212.68  $207.03 $212.10  $207.87
            ---------------------------------------------------------------------------------------
            1996    $231.67  $209.48 $205.35  $213.42  $204.22  $207.21  $206.87 $201.95  $208.39
            ---------------------------------------------------------------------------------------
</TABLE> 

                                SERIES B Units:
            During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $29,980,684, and the Fund recognized gross trading gains of
$10,665,508 or 35.57% of such average month-end Net Assets. Brokerage
commissions of $2,809,157 or 9.37% and Profit Shares of $362,058 or 1.21% of
average month-end Net Assets were paid. Interest income of $1,097,445 or 3.66%
of average month-end Net Assets resulted in a net gain of $8,591,738 or 28.66%
of average month-end Net Assets, which resulted in a 33.0% increase in the Net
Asset Value per Unit since December 31, 1994.

            During the first nine months of 1996, the Fund's average month-end
Net Assets equalled $27,373,367, and the Fund recognized gross trading gains of
$1,410,319 or 5.15% of such average month-end Net Assets. Brokerage commissions
of $2,451,989 or 8.96%, Administrative expense of $52,170 or .19% and Profit
Shares of $1,065 or 0% of average month-end Net Assets were paid. Interest
income of $850,816 or 3.11% of average month-end Net Assets resulted in net loss
of $244,089 or .89% of average month-end Net Assets which resulted in a .89%
decrease in the Net Asset Value per Unit since December 31, 1995.

            During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.

<TABLE> 
<CAPTION> 
                                  MONTH-END NET ASSET VALUE PER SERIES B UNIT
            ---------------------------------------------------------------------------------------
                    Jan.     Feb.    Mar.     April    May      June     July    Aug.     Sept.
            ---------------------------------------------------------------------------------------
            <S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C> 
            1995    $119.62  $136.63 $166.77  $174.39  $175.54  $172.89  $168.13 $172.70  $169.17
            ---------------------------------------------------------------------------------------
            1996    $188.93  $171.14 $167.47  $173.94  $166.31  $168.64  $168.41 $164.21  $169.49
            ---------------------------------------------------------------------------------------
</TABLE> 

                                SERIES C Units:
            During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $16,629,985, and the Fund recognized gross trading gains of
$6,084,771 or 36.59% of such average month-end Net Assets. Brokerage commissions
of $1,563,949 or 9.40% and Profit Shares of $198,113 or 1.19% of average month-
end Net Assets were paid. Interest income of $609,419 or 3.66% of average month-
end Net Assets resulted in a net gain of $4,932,128 or 29.66% of average month-
end Net Assets, which resulted in a 33.6% increase in the Net Asset Value per
Unit since December 31, 1994.

            During the first nine months of 1996, the Fund's average month-end
Net Assets equalled

                                       10
<PAGE>
 
$15,398,289, and the Fund recognized gross trading gains of $730,830 or 4.75% of
such average month-end Net Assets. Brokerage commissions of $1,338,231 or 8.69%,
Administrative expense of $28,473 or .19% and Profit Shares of $2,456 or .02% of
average month-end Net Assets were paid. Interest income of $466,189 or 3.03% of
average month-end Net Assets resulted in net loss of $172,141 or 1.12% of
average month-end Net Assets which resulted in a 1.20% decrease in the Net Asset
Value since December 31, 1995.

            During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.

                  MONTH-END NET ASSET VALUE PER SERIES C UNIT
<TABLE> 
<CAPTION> 
            ---------------------------------------------------------------------------------------
                    Jan.     Feb.    Mar.     April    May      June     July    Aug.     Sept.
            ---------------------------------------------------------------------------------------
            <S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C> 
            1995    $93.13   $106.27 $129.98  $135.87  $136.83  $134.85  $131.16 $134.97  $132.39
            ---------------------------------------------------------------------------------------
            1996    $147.90  $133.80 $130.88  $135.93  $129.91  $131.79  $131.69 $128.12  $132.22
            ---------------------------------------------------------------------------------------
</TABLE> 

Importance of Market Factors
----------------------------
            Comparisons between the Fund's performance in a given period in one
fiscal year to the same period in a prior year are unlikely to be meaningful,
given the uncertainty of price movements in the markets traded by the Fund. In
general, MLIP expects that the Fund is most likely to trade successfully in
markets which exhibit strong and sustained price trends. The current Advisor
group emphasizes technical and trend-following methods. Consequently, one would
expect that in trendless, "choppy" markets the Fund would likely be
unprofitable, while in markets in which major price movements occur, the Fund
would have its best profit potential (although there could be no assurance that
the Fund would, in fact, trade profitably). However, trend-followers not
infrequently will miss major price movements, and market corrections can result
in rapid and material losses (sometimes as much as 5% in a single day). Although
MLIP monitors market conditions and Advisor performance on an ongoing basis in
overseeing the Fund's trading, MLIP does not attempt to "market forecast" or to
"match" trading styles with predicted market conditions. Rather, MLIP
concentrates on quantitative and qualitative analysis of prospective Advisors,
as well as on statistical studies of the historical performance parameters of
different Advisor combinations in selecting Advisors and allocating and
reallocating Fund assets among them.

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

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

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

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

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

                                       11
<PAGE>
 
            Inflation is not a significant factor in the Fund's profitability,
although inflationary cycles can give rise to the type of major price movements
which can have a materially favorable or adverse impact on the Fund's
performance.

                          PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          None.

Item 2.   Changes in Securities

          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 document.

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

          There were no reports on Form 8-K filed during the first nine months
          of fiscal 1996.

                                       12
<PAGE>
 
                                  SIGNATURES

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


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



                                   By:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                            (General Partner)




Date:  November 11, 1996           By /s/ JOHN R. FRAWLEY, JR.
                                      ------------------------
                                      John R. Frawley, Jr.
                                      President, Chief Executive Officer
                                      and Director




Date:  November 11, 1996           By /s/ JAMES M. BERNARD
                                      --------------------
                                      James M. Bernard
                                      Chief Financial Officer,
                                      Treasurer and Senior Vice President