<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, 2001
                                        ---------

             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 MLIM Alternative Strategies LLC
               (formerly 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>
                                                            September 30,    December 31,
                                                                2001             2000
                                                            (unaudited)
                                                           --------------   --------------
<S>                                                        <C>              <C>
ASSETS
Investments                                                $   28,849,508   $   29,423,145
Receivable from investments                                        77,593          414,650
                                                           --------------   --------------

                TOTAL                                      $   28,927,101   $   29,837,795
                                                           ==============   ==============

LIABILITY AND PARTNERS' CAPITAL

    Redemptions payable                                    $       77,593   $      414,650
                                                           --------------   --------------

            Total liabilities                                      77,593          414,650
                                                           --------------   --------------

PARTNERS' CAPITAL:
    General Partner:
        (327 and 327 Series A Units)                               92,763           84,379
        (728 and 728 Series B Units)                              167,785          152,621
        (532 and 532 Series C Units)                               95,557           86,921
    Limited Partners:
        (26,737 and 28,737 Series A Units)                      7,584,790        7,415,475
        (57,701 and 66,325 Series B Units)                     13,298,509       13,906,094
        (42,368 and 47,598 Series C Units)                      7,610,104        7,777,655
                                                           --------------   --------------

            Total partners' capital                            28,849,508       29,423,145
                                                           --------------   --------------

                TOTAL                                      $   28,927,101   $   29,837,795
                                                           ==============   ==============

NET ASSET VALUE PER UNIT
 Series A (Based on 27,064 and 29,064 Units outstanding)   $       283.68   $       258.05
                                                           ==============   ==============
 Series B (Based on 58,429 and 67,053 Units outstanding)   $       230.47   $       209.67
                                                           ==============   ==============
 Series C (Based on 42,900 and 48,130 Units outstanding)   $       179.62   $       163.40
                                                           ==============   ==============
</Table>

 See notes to financial statements.

                                       2
<Page>
                         JOHN W. HENRY & CO./MILLBURN L.P.
                         (A DELAWARE LIMITED PARTNERSHIP)
                            STATEMENTS OF OPERATIONS
                                   (unaudited)

<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,
                                                      2001              2000               2001              2000
                                                 ---------------   ---------------    ---------------   ---------------
<S>                                              <C>               <C>                <C>               <C>
REVENUES:
    Income (loss) from investments               $     1,836,810   $    (1,573,481)   $     2,799,007   $   (10,469,428)
                                                 ---------------   ---------------    ---------------   ---------------
NET INCOME (LOSS)                                $     1,836,810   $    (1,573,481)   $     2,799,007   $   (10,469,428)
                                                 ===============   ===============    ===============   ===============
NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
   and Limited Partner Units outstanding                 129,751           171,211            135,114           186,073
                                                 ===============   ===============    ===============   ===============
    Net income (loss) per weighted average
      General Partner and Limited Partner Unit   $         14.16   $         (9.19)   $         20.72   $        (56.27)
                                                 ===============   ===============    ===============   ===============
</Table>

See notes to financial statements.



                                       3
<Page>

                         JOHN W. HENRY & CO./MILLBURN L.P.
                         (A DELAWARE LIMITED PARTNERSHIP)
                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
              FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001 AND 2000
                                   (unaudited)

<Table>
<Caption>
                                                    UNITS
                                                    -----
                                SERIES A           SERIES B          SERIES C
                              --------------    --------------    --------------
<S>                           <C>               <C>               <C>
PARTNERS' CAPITAL,
  December 31, 1999                   39,839           101,789            66,670
Additions                                200                --                --
Net loss                                  --                --                --
Redemptions                           (7,828)          (31,451)          (14,624)
                              --------------    --------------    --------------
PARTNERS' CAPITAL,
  September 30, 2000                  32,211            70,338            52,046
                              ==============    ==============    ==============
PARTNERS' CAPITAL,
  December 31, 2000                   29,064            67,053            48,130
Net income                                --                --                --
Redemptions                           (2,000)           (8,624)           (5,230)
                              --------------    --------------    --------------
PARTNERS' CAPITAL,
  September 30, 2001                  27,064            58,429            42,900
                              ==============    ==============    ==============

<Caption>

                                              GENERAL PARTNER
                                              ---------------
                                 SERIES A          SERIES B          SERIES C
                              --------------    --------------    --------------
<S>                           <C>               <C>               <C>
PARTNERS' CAPITAL,
  December 31, 1999           $      131,110    $      282,923    $      152,600
Additions                             39,434                --                --
Net loss                             (33,528)          (66,920)          (35,110)
Redemptions                          (16,686)          (43,534)          (30,206)
                              --------------    --------------    --------------
PARTNERS' CAPITAL,
  September 30, 2000          $      120,330    $      172,469    $       87,284
                              ==============    ==============    ==============
PARTNERS' CAPITAL,
  December 31, 2000           $       84,379    $      152,621    $       86,921
Net income                             8,384            15,164             8,636
Redemptions                               --                --                --
                              --------------    --------------    --------------
PARTNERS' CAPITAL,
  September 30, 2001          $       92,763    $      167,785    $       95,557
                              ==============    ==============    ==============
</Table>

                                       4

<Page>

<Table>
<Caption>

                                            LIMITIED PARTNERS
                                            -----------------
                                 SERIES A        SERIES B        SERIES C         TOTAL
                              --------------  --------------  --------------  --------------
<S>                           <C>             <C>             <C>             <C>
PARTNERS' CAPITAL,
  December 31, 1999           $   10,232,683  $   21,241,923  $   10,834,933  $   42,876,172
Additions                                 --              --              --          39,434
Net loss                          (2,545,552)     (5,155,963)     (2,632,355)    (10,469,428)
Redemptions                       (1,693,973)     (5,406,903)     (2,032,106)     (9,223,408)
                              --------------  --------------  --------------  --------------
PARTNERS' CAPITAL,
  September 30, 2000          $    5,993,158  $   10,679,057  $    6,170,472  $   23,222,770
                              ==============  ==============  ==============  ==============
PARTNERS' CAPITAL,
  December 31, 2000           $    7,415,475  $   13,906,094  $    7,777,655  $   29,423,145
Net income                           704,997       1,309,830         751,996       2,799,007
Redemptions                         (535,682)     (1,917,415)       (919,547)     (3,372,644)
                              --------------  --------------  --------------  --------------
PARTNERS' CAPITAL,
  September 30, 2001          $    7,584,790  $   13,298,509  $    7,610,104  $   28,849,508
                              ==============  ==============  ==============  ==============
</Table>

See notes to financial statements.


                                       5
<Page>

                         JOHN W. HENRY & CO./MILLBURN L.P.
                         (A DELAWARE LIMITED PARTNERSHIP)
                          NOTES TO FINANCIAL STATEMENTS
                                   (unaudited)

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") as of
  September 30, 2001, and the results of its operations for the three and nine
  month periods ended September 30, 2001 and 2000. 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 conformity with accounting principles general
  accepted in the United States of America have been omitted. It is suggested
  that these financial statements be read in conjunction with the financial
  statements and notes thereto included in the Partnership's Annual Report on
  Form 10-K filed with the Securities and Exchange Commission for the year ended
  December 31, 2000 (the "Annual Report").

2.  INVESTMENTS

  As of September 30, 2001, the Partnership had an investments in ML JWH
  Financials and Metals Portfolio L.L.C. ("JWH LLC") and Millburn Global L.L.C.
  ("Millburn LLC") of $15,301,126 and $13,548,382 respectively. For the year
  ending December 31, 2000, the Partnership had an investment in JWH LLC and
  Millburn LLC of $15,281,744 and $14,141,401, respectively.

  Total revenues and fees with respect to the Partnership's investments are set
  forth as follows:


                                       6
<Page>

<Table>
<Caption>
For the three months             TOTAL            BROKERAGE         ADMINISTRATIVE        INCOME FROM
ended September 30, 2001        REVENUE          COMMISSIONS             FEES             INVESTMENTS
                           -----------------   -----------------   -----------------   -----------------
<S>                        <C>                 <C>                 <C>                 <C>
SERIES A UNITS
JWH LLC (unaudited)        $         382,956   $          83,102   $           2,444   $         297,410
Millburn LLC (unaudited)             268,955              74,583               2,194             192,178
                           -----------------   -----------------   -----------------   -----------------
Total                      $         651,911   $         157,685   $           4,638   $         489,588
                           =================   =================   =================   =================

SERIES B UNITS
JWH LLC (unaudited)        $         668,279   $         146,332   $           4,304   $         517,643
Millburn LLC (unaudited)             474,381             132,431               3,895             338,055
                           -----------------   -----------------   -----------------   -----------------
Total                      $       1,142,660   $         278,763   $           8,199   $         855,698
                           =================   =================   =================   =================

SERIES C UNITS
JWH LLC (unaudited)        $         382,933   $          83,060   $           2,443   $         297,430
Millburn LLC (unaudited)             271,466              75,162               2,210             194,094
                           -----------------   -----------------   -----------------   -----------------
Total                      $         654,399   $         158,222   $           4,653   $         491,524
                           =================   =================   =================   =================

TOTAL ALL UNITS
---------------
JWH LLC (unaudited)        $       1,434,168   $         312,494   $           9,191   $       1,112,483
Millburn LLC (unaudited)           1,014,802             282,176               8,299             724,327
                           -----------------   -----------------   -----------------   -----------------
Total                      $       2,448,970   $         594,670   $          17,490   $       1,836,810
                           =================   =================   =================   =================
</Table>

<Table>
<Caption>
For the three months              TOTAL             BROKERAGE        ADMINISTRATIVE         LOSS FROM
ended September 30, 2000         REVENUE           COMMISSIONS            FEES             INVESTMENTS
                           -----------------    -----------------   -----------------   -----------------
<S>                        <C>                  <C>                 <C>                 <C>
SERIES A UNITS
JWH LLC (unaudited)        $        (215,884)   $          76,512   $           2,014   $        (294,410)
Millburn LLC (unaudited)             (16,334)              83,779               2,202            (102,315)
                           -----------------    -----------------   -----------------   -----------------
Total                      $        (232,218)   $         160,291   $           4,216   $        (396,725)
                           =================    =================   =================   =================

SERIES B UNITS
JWH LLC (unaudited)        $        (422,243)   $         149,391   $           3,930   $        (575,564)
Millburn LLC (unaudited)             (31,545)             164,936               4,341            (200,822)
                           -----------------    -----------------   -----------------   -----------------
Total                      $        (453,788)   $         314,327   $           8,271   $        (776,386)
                           =================    =================   =================   =================

SERIES C UNITS
JWH LLC (unaudited)        $        (218,557)   $          76,584   $           2,015   $        (297,156)
Millburn LLC (unaudited)             (16,419)              84,569               2,226            (103,214)
                           -----------------    -----------------   -----------------   -----------------
Total                      $        (234,976)   $         161,153   $           4,241   $        (400,370)
                           =================    =================   =================   =================

TOTAL ALL UNITS
---------------
JWH LLC (unaudited)        $        (856,684)   $         302,487   $           7,959   $      (1,167,130)
Millburn LLC (unaudited)             (64,298)             333,284               8,769            (406,351)
                           -----------------    -----------------   -----------------   -----------------
Total                      $        (920,982)   $         635,771   $          16,728   $      (1,573,481)
                           =================    =================   =================   =================
</Table>


                                       7
<Page>

<Table>
<Caption>
For the nine months              TOTAL             BROKERAGE        ADMINISTRATIVE        INCOME FROM
ended September 30, 2001        REVENUE           COMMISSIONS            FEES             INVESTMENTS
                           -----------------   -----------------   -----------------   -----------------
<S>                        <C>                 <C>                 <C>                 <C>
SERIES A UNITS
JWH LLC (unaudited)        $         722,338   $         255,988   $           7,529   $         458,821
Millburn LLC (unaudited)             489,798             228,517               6,721             254,560
                           -----------------   -----------------   -----------------   -----------------
Total                      $       1,212,136   $         484,505   $          14,250   $         713,381
                           =================   =================   =================   =================

SERIES B UNITS
JWH LLC (unaudited)        $       1,331,328   $         467,979   $          13,764   $         849,585
Millburn LLC (unaudited)             908,898             421,104              12,385             475,409
                           -----------------   -----------------   -----------------   -----------------
Total                      $       2,240,226   $         889,083   $          26,149   $       1,324,994
                           =================   =================   =================   =================

SERIES C UNITS
JWH LLC (unaudited)        $         758,797   $         263,432   $           7,748   $         487,617
Millburn LLC (unaudited)             517,020             237,033               6,972             273,015
                           -----------------   -----------------   -----------------   -----------------
Total                      $       1,275,817   $         500,465   $          14,720   $         760,632
                           =================   =================   =================   =================

TOTAL ALL UNITS
---------------
JWH LLC (unaudited)        $       2,812,463   $         987,399   $          29,041   $       1,796,023
Millburn LLC (unaudited)           1,915,716             886,654              26,078           1,002,984
                           -----------------   -----------------   -----------------   -----------------
Total                      $       4,728,179   $       1,874,053   $          55,119   $       2,799,007
                           =================   =================   =================   =================
</Table>

<Table>
<Caption>
For the nine months              TOTAL              BROKERAGE        ADMINISTRATIVE         LOSS FROM
ended September 30, 2000        REVENUE            COMMISSIONS            FEES             INVESTMENTS
                           -----------------    -----------------   -----------------   -----------------
<S>                        <C>                  <C>                 <C>                 <C>
SERIES A UNITS
JWH LLC (unaudited)        $        (889,860)   $         269,968   $           7,106   $      (1,166,934)
Millburn LLC (unaudited)          (1,101,061)             303,111               7,974          (1,412,146)
                           -----------------    -----------------   -----------------   -----------------
Total                      $      (1,990,921)   $         573,079   $          15,080   $      (2,579,080)
                           =================    =================   =================   =================

SERIES B UNITS
JWH LLC (unaudited)        $      (1,784,841)   $         544,322   $          14,324   $      (2,343,487)
Millburn LLC (unaudited)          (2,246,716)             616,457              16,223          (2,879,396)
                           -----------------    -----------------   -----------------   -----------------
Total                      $      (4,031,557)   $       1,160,779   $          30,547   $      (5,222,883)
                           =================    =================   =================   =================

SERIES C UNITS
JWH LLC (unaudited)        $        (912,774)   $         278,046   $           7,316   $      (1,198,136)
Millburn LLC (unaudited)          (1,146,038)             315,001               8,290          (1,469,329)
                           -----------------    -----------------   -----------------   -----------------
Total                      $      (2,058,812)   $         593,047   $          15,606   $      (2,667,465)
                           =================    =================   =================   =================

TOTAL ALL UNITS
---------------
JWH LLC (unaudited)        $      (3,587,475)   $       1,092,336   $          28,746   $      (4,708,557)
Millburn LLC (unaudited)          (4,493,815)           1,234,569              32,487          (5,760,871)
                           -----------------    -----------------   -----------------   -----------------
Total                      $      (8,081,290)   $       2,326,905   $          61,233   $     (10,469,428)
                           =================    =================   =================   =================
</Table>


                                       8
<Page>

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

<Table>
<Caption>
                        SEPTEMBER 30, 2001
                           (UNAUDITED)              DECEMBER 31, 2000
                   ---------------------------   ---------------------------
                        JWH         MILLBURN         JWH          MILLBURN
                        LLC            LLC           LLC            LLC
                   ------------   ------------   ------------   ------------
<S>                <C>            <C>            <C>            <C>
Assets             $ 15,475,015   $ 13,687,165   $ 15,631,088   $ 14,448,475
                   ============   ============   ============   ============

Liabilities        $    173,889   $    138,783   $    349,344   $    307,074

Members' Capital     15,301,126     13,548,382     15,281,744     14,141,401
                   ------------   ------------   ------------   ------------

Total              $ 15,475,015   $ 13,687,165   $ 15,631,088   $ 14,448,475
                   ============   ============   ============   ============
</Table>

<Table>
<Caption>
                                                                       JWH LLC


                      FOR THE THREE MONTHS        FOR THE THREE MONTHS          FOR THE NINE MONTHS          FOR THE NINE MONTHS
                    ENDED SEPTEMBER 30, 2001    ENDED SEPTEMBER 30, 2000     ENDED SEPTEMBER 30, 2001     ENDED SEPTEMBER 30, 2000
                           (UNAUDITED)                 (UNAUDITED)                   (UNAUDITED)                (UNAUDITED)
                    -------------------------   -------------------------    -------------------------   -------------------------
<S>                 <C>                         <C>                          <C>                         <C>
Revenues            $               1,434,168   $                (856,684)   $               2,812,463   $              (3,587,475)
Expenses                              321,685                     310,446                    1,016,440                   1,121,082
                    -------------------------   -------------------------    -------------------------   -------------------------
Net Income (Loss)   $               1,112,483   $              (1,167,130)   $               1,796,023   $              (4,708,557)
                    =========================   =========================    =========================   =========================
</Table>

<Table>
<Caption>
                                                                     MILLBURN LLC

                       FOR THE THREE MONTHS        FOR THE THREE MONTHS         FOR THE NINE MONTHS          FOR THE NINE MONTHS
                     ENDED SEPTEMBER 30, 2001    ENDED SEPTEMBER 30, 2000     ENDED SEPTEMBER 30, 2001    ENDED SEPTEMBER 30, 2000
                            (UNAUDITED)                 (UNAUDITED)                 (UNAUDITED)                  (UNAUDITED)
                     -------------------------   -------------------------    -------------------------   -------------------------
<S>                  <C>                         <C>                          <C>                         <C>
Revenues             $               1,014,802   $                 (64,298)   $               1,915,716   $              (4,493,815)
Expenses                               290,475                     342,053                      912,732                   1,267,056
                     -------------------------   -------------------------    -------------------------   -------------------------
Net Income  (Loss)   $                 724,327   $                (406,351)   $               1,002,984   $              (5,760,871)
                     =========================   =========================    =========================   =========================
</Table>

3.  FAIR VALUE AND OFF-BALANCE SHEET RISK

    The Partnership invests all of its assets in Trading LLCs. Accordingly, the
    Partnership is invested indirectly in derivative instruments, but does not
    itself hold any derivative instrument positions. The application of the
    provisions of Statement of Financial Accounting Standards ("SFAS") No. 133,
    as amended by SFAS No. 137 and SFAS No. 138, did not have a significant
    effect on the financial statements of the Partnership.

    MARKET RISK

    Derivative financial instruments involve varying degrees of off-balance
    sheet market risk. Changes in the level or volatility of interest rates,
    foreign currency exchange rates or the market values of the underlying
    financial instruments or commodities underlying such derivative instruments
    frequently


                                       9
<Page>

    resulted in changes in the Trading LLC's net unrealized profit (loss) on
    such derivative instruments as reflected in the Statements of Financial
    Condition of the Trading LLCs. The Partnership's exposure to market risk is
    influenced by a number of factors, including the relationships among the
    derivative instruments held by the Partnership, through the Trading LLCs, as
    well as the volatility and liquidity of such markets in which such
    derivative instruments are traded.

    The General Partner, MLIM Alternative Strategies LLC, ("MLIM AS LLC")
    (formerly Merrill Lynch Investment Partners, Inc.) has procedures in place
    intended to control market risk exposure, although there can be no assurance
    that they will, in fact, succeed in doing so. These procedures focus
    primarily on monitoring the trading of the Advisors selected from time to
    time for the Partnership, calculating the Net Asset Value of the Advisors'
    respective Trading LLC accounts as of the close of business on each day and
    reviewing outstanding positions for over-concentrations both on an
    Advisor-by-Advisor and on an overall Partnership basis. While MLIM AS LLC
    does not itself intervene in the markets to hedge or diversify the
    Partnership's market exposure, MLIM AS LLC may urge Advisors to reallocate
    positions, or itself reallocate Partnership assets among Advisors (although
    typically only as of the end of a month) in an attempt to avoid
    over-concentration. However, such interventions are unusual. Except in cases
    in which it appears that an Advisor has begun to deviate from past practice
    and trading policies or to be trading erratically, MLIM AS LLC's basic risk
    control procedures consist simply of the ongoing process of advisor
    monitoring and selection, with the market risk controls being applied by the
    Advisors themselves.

    CREDIT RISK

    The risks associated with exchange-traded contracts are typically perceived
    to be less than those associated with over-the-counter (non-exchange-traded)
    transactions, because exchanges typically (but not universally) provide
    clearinghouse arrangements in which the collective credit (in some cases
    limited in amount, in some cases not) of the members of the exchange is
    pledged to support the financial integrity of the exchange. In
    over-the-counter transactions, on the other hand, traders must rely solely
    on the credit of their respective individual counterparties. Margins, which
    may be subject to loss in the event of a default, are generally required in
    exchange trading and counterparties may also require margin in the
    over-the-counter markets.

    The Partnership, through the Trading LLCs, has credit risk in respect of its
    counterparties and brokers, but attempts to mitigate this risk by dealing
    almost exclusively with Merrill Lynch entities as clearing brokers.

    The Partnership, through the Trading LLCs, in its normal course of business,
    enters into various contracts, with Merrill Lynch Futures ("MLF") acting as
    its commodity broker. Pursuant to the brokerage agreement with MLF (which
    includes a netting arrangement), to the extent that such trading results in
    receivables from and payables to MLF, these receivables and payables are
    offset and reported as a net receivable or payable and included in the
    Statements of Financial Condition of the Trading LLCs under Equity in
    commodity futures trading accounts.


                                       10
<Page>

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

MONTH-END NET ASSET VALUE PER SERIES A UNIT

<Table>
<Caption>
        JAN.     FEB.    MAR.     APR.     MAY      JUN      JUL.    AUG.     SEP.
<S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C>
2000    $255.72  $238.38 $230.44  $230.52  $221.13  $201.51  $199.30 $197.17  $189.80
2001    $264.13  $265.03 $297.36  $274.43  $279.83  $265.64  $253.76 $273.60  $283.68
</Table>

MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
        JAN.     FEB.     MAR.     APR.     MAY     JUN.     JUL.     AUG.     SEP.
<S>     <C>      <C>      <C>      <C>      <C>     <C>      <C>      <C>      <C>
2000    $207.89  $193.79  $187.32  $187.37  $179.72 $163.78  $161.98  $160.25  $154.28
2001    $214.61  $215.32  $241.58  $222.96  $227.36 $215.83  $206.18  $222.29  $230.47
</Table>

MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
        JAN.     FEB.    MAR.     APR.     MAY      JUN.     JUL.    AUG.     SEP.
<S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C>
2000    $162.02  $151.03 $145.99  $146.03  $140.07  $127.64  $126.24 $124.89  $120.24
2001    $167.25  $167.81 $188.27  $173.76  $177.19  $168.20  $160.69 $173.24  $179.62
</Table>

Performance Summary

All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits as an investor in Trading LLCs . The following
commentary describes the trading results of Trading LLCs.

January 1, 2001 to September 30, 2001
-------------------------------------

January 1, 2001 to March 31, 2001

Trading in the interest rate markets was profitable during the quarter. Euro
dollar trading was successful in January as the weakening U.S. economy and the
Federal Reserve's move to cut interest rates caused Euro dollar futures
contracts to rise dramatically from December 2000 lows. Japanese ten-year bonds
and Euro-bund cross futures trading was profitable in February and March.

Despite its volatility, trading in the currency markets resulted in gains.
Losses from the British pound and the Euro offset early gains from Japanese yen
positions. By February, the Euro fell from a near high 96 cents back to the
90-cent level, causing losses in long Euro positions. Profits from Japanese yen
and Swiss franc positions realized in March erased losses sustained earlier in
the quarter.

Stock index trading was moderately successful for the Partnership. Profits from
Hang Seng Index and FTSE Financial Times Stock Index outweighed losses from
Nikkei 225, DAX German Stock Index and Topix positions. Global equity markets
remain caught between negative news about earnings and the potential positive
effects of further monetary easings.

Metals trading was moderately unprofitable for the Partnership. Gold, copper and
aluminum trading alternated between profitability and unprofitability throughout
the quarter.

April 1, 2001 to June 30, 2001

Trading in the metals sector incurred slight losses. Weakness in the Euro, a
decline in the Australian dollar to all time lows and producer and central bank
selling sent gold prices lower. Copper trading was unprofitable despite a number
of bullish developments due to existing demand constraints.

Stock index trading sustained losses throughout the quarter on FTSE Financial
Times Stock Index, Nikkei 225 and NASDAQ 100 positions.

                                       11
<Page>

Trading in the currency markets was not profitable. Losses occurred from
Japanese yen positions. The further weakening of the Japanese yen displayed
how the global economy is not immune to the economic slowdown of the U.S.
Currency markets remained concerned with a hard landing for the Japanese
economy. The Euro continued its downward trend versus the U.S. dollar.

Trading in the interest rate sector was highly unprofitable for the Partnership.
Positions in Euro-Bund futures, U.S. Treasury bonds and U.S. 10-year notes had
significant losses.

July 1 2001 to September 30, 2001

Stock index trading was profitable as various short positions fueled gains
for the quarter. Short positions in the Japanese Nikkei and German DAX were
profitable as indexes fell on poor corporate earnings and investor's anxiety
that the terrorist attacks would cause the global economic slump to worsen.

Trading in the interest rate sector was profitable. Eurodollar trading offset
losses on Euro-Bund futures. Late gains from Japanese 10-year bonds negated
earlier losses.

Trading in the metals markets was successful. Positions in aluminum and
copper posted gains in July as prices fell due to an apparent weakening in
the retail sector, which had been the strongest in the economy. Long gold
positions were profitable in September as investors flocked to gold in the
aftermath of the terrorist attacks. Investors feared the potential for
enduring instability in currency and equity investments and their expected
reduced returns.

Currency trading was the only unprofitable strategy during the quarter.
Losses were sustained in Swiss franc and Euro positions in July as the Euro
appreciated relative to the U.S. dollar due to growing concerns over the
lackluster U.S. economy. Short Japanese yen positions were also unprofitable.


January 1, 2000 to September 30, 2000
-------------------------------------

January 1, 2000 to March 31, 2000

Currency trading alternated throughout the month as gains in Swiss franc
positions were outweighed by losses in British pound trading in the beginning of
the quarter. Despite evidence of expansion in Europe, the Swiss franc slipped to
a 10-year low against the U.S. dollar. This move mimicked the decline in the
Euro, which came after officials from the Group of Seven met and failed to
express concern about the low levels of the European currency. Trading during
the middle of the quarter was profitable through gains in Euro futures and
Japanese yen trading. The Euro's continued weakness can be attributed to a
number of factors, including the slow pace of microeconomic reform in Europe,
plans for a European withholding tax and the scale of direct investment flows
outside of Europe. At the end of the quarter, losses were sustained in
Japanese yen and British pound positions. The Japanese yen has been strong in
spite of Japan's slide back into recession during the second half of 1999.

Trading in Nikkei 225 Stock Index positions resulted in losses for the
Partnership. The losses suffered early in the quarter rebounded to close at its
highest level since 1997 and carried on throughout mid-quarter. Positions in the
Nikkei 225 and FTSE Financial Times Stock Index resulted in profits for the
Partnership. The economy in the United Kingdom has been growing at a robust pace
and is accompanied by low inflation.

Metals trading was unprofitable for the quarter. Concerns about higher U.S.
interest rates and the sharp declines in global stock prices during January
created a somewhat nervous and defensive tone in base metals trading. Trading
was unprofitable in February due to losses in gold and aluminum. Mid-month
reports showed aluminum inventories monitored by the London Metal Exchange at
their highest level in almost three years, resulting in a decrease in prices.

Short Eurodollar trading was profitable as the currency continued to decline in
January. The European Union ministers blamed the currency's slide in January on
rapid U.S. growth and fears that the Federal Reserve will increase U.S. interest
rates. These profits were far outweighed by losses in the Japanese 10-year bond,
U.S. 10-year Treasury note positions and long U.S. Treasury positions as the
yield curve fluctuated widely during the quarter.

April 1, 2000 to June 30, 2000

Metals trading was unprofitable for the quarter. During the middle of the
quarter, copper trading resulted in losses for the sector. A Freeport, Indonesia
mine announced output cuts would not be as large as the Indonesian government
had forecast, resulting in losses for the Partnership's long positions. Losses
continued through the quarter as trading in both base and precious metals was
unprofitable as losses were sustained in gold and aluminum positions. As has
been the ongoing pattern, gold showed virtually no response to activities in the
financial and equity markets, including the surge in energy prices.

Currency trading proved unprofitable for the Partnership. Early in the quarter,
gains from long Swiss franc positions could not outweigh losses sustained in
other currencies. Despite the dramatic interest rate hikes by the Swiss National
Bank ("SNB"), the SNB said it will not keep the Swiss franc from rising.
Currency trading resulted in losses for the sector during May despite gains in
short positions in the British pound, as losses were sustained in Euro futures
trading. The Euro rallied to U.S. $0.97 early in June, but faced profit-taking
after news of some capital outflow from Euroland.

                                     12

<Page>

Stock index trading was unprofitable as losses were sustained in Nikkei 225 and
S&P 500 positions in the quarter. Signs of rising inflation fueled fears that
the Federal Reserve will continue to raise interest rates aggressively to slow
the robust economy.

Interest rate trading results were unprofitable for the quarter. Losses from
U.S. Treasury note trading exceeded gains from Japanese 10-year bond positions.
U.S. yields fell during the month as investors shifted to Treasuries due to
increased volatility in the NASDAQ and other equity markets. Losses were
incurred in Euro dollar and Euro-Bund positions. Short positions resulted in
losses as the Euro dollar improved after the European Central Bank's 50 basis
point repo rate hike.

July 1, 2000 to September 30, 2000

During the third quarter of 2000, the Partnership's NAV decreased as trading in
currencies, interest rate, stock index and metals markets were unprofitable.

Losses in Japanese yen and Euros eroded gains from British pound, Australian
dollar and Thailand baht trading. The Japanese yen finished weaker against
the U.S. dollar in anticipation that the U.S. Federal Reserve would continue to
increase interest rates. The Euro faced a difficult year of trading as the
depressed currency had a late-September bounce in the wake of the European
Central Bank's intervention, expressing plans to sell some of its foreign
exchange reserves.

Stock index trading was unprofitable for the quarter. Slight gains in Topix
positions were offset with losses in DAX German Stock Index, Nikkei 225 and FTSE
Financial Times Stock Index trading.

Losses sustained from gold and aluminum positions outweighed gains from copper
trading. Gold prices declined in July as a result of the Bank of England's
bullion auction. Despite gains from gold trading in August, the metals sector
was unprofitable as a result of zinc and nickel trading. Nickel prices declined
as demand slowed for stainless steel in Europe and Asia. By quarter end, copper
trading was profitable as demand from Asia, particularly China, pushed prices
higher.

Despite gains from Japanese government bond positions in the beginning of the
quarter, interest rate trading was unprofitable as the Partnership had losses in
U.S. Treasury bond, Japanese 10-year bond and Australian 10-year bond trading.


                                       13
<Page>

                           PART II - OTHER INFORMATION

Item 1. Legal Proceedings

        There are no pending legal proceedings to which the Partnership or MLIM
        AS LLC is a party.

Item 2. Changes in Securities and Use of Proceeds

        (a) None.
        (b) None.
        (c) None.
        (d) None.

Item 3. Defaults Upon Senior Securities

        None.

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

        None.

Item 5. Other information

        Effective May 31, 2001, Merrill Lynch Investment Partners Inc. ("MLIP"),
        a Delaware corporation and General Partner of the Partnership, converted
        to a Delaware limited liability company. In connection with the
        conversion, MLIP's name was changed to MLIM Alternative Strategies LLC
        ("MLIM AS LLC"). This step was taken in connection with the ongoing
        reorganization of the various alternative investment groups under the
        Merrill Lynch Investment Managers umbrella. Effective August 14, 2001,
        Merrill Lynch Group, Inc. contributed all of the issued and outstanding
        shares of MLIM AS LLC to its affiliate Merrill Lynch Investment
        Managers in a tax free reorganization. The changes will have no
        impact on the Partnership's investors.

        All of the officers of MLIP continue in their former roles with MLIM
        AS LLC, except that also effective May 31, 2001, Ronald S. Rosenberg,
        formerly Chief Executive Officer of MLIP, became President of MLIM AS
        LLC and Fabio P. Savoldelli, formerly President of MLIP, became
        Chairman and Chief Executive Officer of MLIM AS LLC. In addition,
        each of the four directors of MLIP now serve on the board of managers
        of MLIM AS LLC.

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 nine months of
        fiscal 2001.

                                       14
<Page>

                                    SIGNATURE

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



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






                                       By: MLIM ALTERNATIVE STRATEGIES LLC
                                          (formerly Merrill Lynch Investment
                                          Partners, Inc.)
                                             (General Partner)






Date:  November 15, 2001               By /s/ FABIO P. SAVOLDELLI
                                          -----------------------
                                          Fabio P. Savoldelli
                                          Chairman, Chief Executive Officer and
                                          Manager




Date:  November 15, 2001               By /s/ MICHAEL L. PUNGELLO
                                          -----------------------
                                          Michael L. Pungello
                                          Vice President, Chief Financial
                                          Officer and Treasurer



                                       15