<Page>

                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2003

                    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 Alternative Investments LLC
                           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>
                                                               JUNE 30,
                                                                 2003          DECEMBER 31,
                                                              (UNAUDITED)          2002
                                                            --------------   --------------
<S>                                                          <C>              <C>
ASSETS
Investments                                                  $  33,153,046    $  30,928,776
Receivable from investments                                         97,755           45,048
                                                            --------------   --------------

          TOTAL                                              $  33,250,801    $  30,973,824
                                                            ==============   ==============

LIABILITY AND PARTNERS' CAPITAL

  Redemptions payable                                        $      97,756    $      45,049
                                                            --------------   --------------

        Total liabilities                                           97,756           45,049
                                                            --------------   --------------

PARTNERS' CAPITAL:
  General Partner:
    (231 and 231 Series A Units)                                    92,934           82,826
    (571 and 511 Series B Units)                                   186,664          148,873
    (378 and 378 Series C Units)                                    96,296           85,813
  Limited Partners:
    (21,253 and 22,376 Series A Units)                           8,550,345        8,023,008
    (47,715 and 49,186 Series B Units)                          15,598,332       14,329,638
    (33,870 and 36,378 Series C Units)                           8,628,474        8,258,617
                                                            --------------   --------------

        Total partners' capital                                 33,153,045       30,928,775
                                                            --------------   --------------

          TOTAL                                              $  33,250,801    $  30,973,824
                                                            ==============   ==============

NET ASSET VALUE PER UNIT
  Series A (based on 21,484 and 22,607 Units outstanding)    $      402.31    $      358.55
                                                            ==============   ==============
  Series B (based on 48,286 and 49,697 Units outstanding)    $      326.91    $      291.34
                                                            ==============   ==============
  Series C (based on 34,248 and 36,756 Units outstanding)    $      254.75    $      227.02
                                                            ==============   ==============
</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 SIX        FOR THE SIX
                                                             MONTHS ENDED     MONTHS ENDED    MONTHS ENDED       MONTHS ENDED
                                                              JUNE 30,           JUNE 30,        JUNE 30,          JUNE 30,
                                                                2003               2002           2003               2002
                                                            --------------   --------------   --------------    --------------
<S>                                                          <C>              <C>              <C>               <C>
REVENUES:
  Trading profits (loss):
    Realized                                                 $   2,812,793    $   2,452,720    $   8,923,058     $   2,109,036
    Change in unrealized                                           946,303        5,207,875       (3,213,695)        3,541,184
                                                            --------------   --------------   --------------    --------------

      Total trading results                                      3,759,096        7,660,595        5,709,363         5,650,220
                                                            --------------   --------------   --------------    --------------

  Interest income                                                   93,208          101,448          188,366           204,804
                                                            --------------   --------------   --------------    --------------

      Total revenues                                             3,852,304        7,762,043        5,897,729         5,855,024
                                                            --------------   --------------   --------------    --------------

EXPENSES:
  Brokerage commissions                                            723,739          545,902        1,436,254         1,074,285
  Profit Shares                                                    499,549          129,912          683,593           129,912
  Administrative fees                                               21,286           16,054           42,243            31,597
                                                            --------------   --------------   --------------    --------------

      Total expenses                                             1,244,574          691,868        2,162,090         1,235,794
                                                            --------------   --------------   --------------    --------------

NET INCOME                                                   $   2,607,730    $   7,070,175    $   3,735,639     $   4,619,230
                                                            ==============   ==============   ==============    ==============

NET INCOME PER UNIT:
  Weighted average number of General Partner
    and Limited Partner units outstanding                          105,868          118,855          107,373           120,439
                                                            ==============   ==============   ==============    ==============

Net income per weighted average
General Partner and Limited Partner Unit                     $       24.63    $       59.49    $       34.79     $       38.35
                                                            ==============   ==============   ==============    ==============

Net income per weighted average General Partner
  and Limited Partner Unit by series
  Series A                                                   $       31.09    $       75.54    $       43.99     $       48.39
                                                            ==============   ==============   ==============    ==============
  Series B                                                   $       25.09    $       61.29    $       35.61     $       39.66
                                                            ==============   ==============   ==============    ==============
  Series C                                                   $       19.97    $       47.38    $       27.98     $       30.51
                                                            ==============   ==============   ==============    ==============
</Table>

All items of income and expense are allocated from investments in Trading LLC's
Certain 2002 information has been reclassified to conform to 2003 presentation.
See notes to financial statements.

                                        3
<Page>

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware Limited Partnership)
                        --------------------------------

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                   ------------------------------------------
                 For the six months ended June 30, 2003 and 2002
                 -----------------------------------------------
                                   (unaudited)

<Table>
<Caption>
                                      UNITS                             GENERAL PARTNER                          LIMITED PARTNERS
                                      -----                             ---------------                          ----------------
                         SERIES A    SERIES B    SERIES C    SERIES A      SERIES B       SERIES C     SERIES A      SERIES B
                        ----------  ----------  ----------  ----------    ----------     ----------  ------------  ------------
<S>                         <C>         <C>         <C>      <C>           <C>            <C>         <C>           <C>
PARTNERS' CAPITAL,
  December 31, 2001         25,885      55,740      41,824   $  76,061     $ 133,398      $  76,317   $ 6,856,493   $ 11,996,457

Additions                        -           -           -           -             -              -             -              -

Net income                       -           -           -      14,244        24,980         14,296     1,195,912      2,131,707

Redemptions                 (1,735)     (2,990)     (2,300)          -             -              -      (463,605)      (657,744)
                        ----------  ----------  ----------  ----------    ----------     ----------  ------------  -------------

PARTNERS' CAPITAL,
  June 30, 2002             24,150      52,750      39,524   $  90,305     $ 158,378      $  90,613   $ 7,588,800   $ 13,470,420
                        ==========  ==========  ==========  ==========    ==========     ==========  ============  =============

PARTNERS' CAPITAL,
  December 31, 2002         22,607      49,697      36,756   $  82,826     $ 148,873      $  85,813   $ 8,023,008   $ 14,329,638

Additions                        -          60           -           -        20,255              -             -              -

Net income                       -           -           -      10,108        17,536         10,483       966,429      1,736,579

Redemptions                 (1,123)     (1,471)     (2,508)          -             -              -      (439,092)      (467,885)
                        ----------  ----------  ----------  ----------    ----------     ----------  ------------  -------------

PARTNERS' CAPITAL,
  June 30, 2003             21,484      48,286      34,248   $  92,934     $ 186,664      $  96,296   $ 8,550,345   $ 15,598,332
                        ==========  ==========  ==========  ==========    ==========     ==========  ============  =============

<Caption>
                           SERIES C         TOTAL
                        -------------   -------------
<S>                      <C>             <C>
PARTNERS' CAPITAL,
  December 31, 2001      $  7,016,956    $  26,155,682

Additions                           -                -

Net income                  1,238,091        4,619,230

Redemptions                  (387,004)      (1,508,353)
                        -------------   --------------

PARTNERS' CAPITAL,
  June 30, 2002          $  7,868,043    $  29,266,559
                        =============   ==============

PARTNERS' CAPITAL,
  December 31, 2002      $  8,258,617    $  30,928,775

Additions                           -           20,255

Net income                    994,504        3,735,639

Redemptions                  (624,647)      (1,531,624)
                        -------------   --------------

PARTNERS' CAPITAL,
  June 30, 2003          $  8,628,474    $  33,153,045
                        =============   ==============

</Table>

See notes to financial statements.

                                        4
<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 June 30, 2003, and the results of its operations for the three and
     six month periods ended June 30, 2003 and 2002. However, the operating
     results for the interim periods may not be indicative of the results 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, 2002.

2.   INVESTMENTS

     As of June 30, 2003, the Partnership had investments in ML JWH Financials
     and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn
     LLC") of $16,576,523 and $16,576,523, respectively. For the year ending
     December 31, 2002, the Partnership had investments in JWH LLC and Millburn
     LLC of $15,464,388 and $15,464,388, respectively.

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

<Table>
<Caption>
                                 JUNE 30, 2003
                                  (UNAUDITED)                   DECEMBER 31, 2002
                       -------------------------------   -------------------------------
                             JWH           MILLBURN           JWH            MILLBURN
                             LLC             LLC              LLC               LLC
                       --------------   --------------   --------------   --------------
<S>                     <C>              <C>              <C>              <C>
Assets                  $  16,908,019    $  17,416,429    $  15,577,828    $  16,300,716
                       ==============   ==============   ==============   ==============

Liabilities             $     331,496    $     839,906    $     113,440    $     836,328
Members' Capital           16,576,523       16,576,523       15,464,388       15,464,388
                       --------------   --------------   --------------   --------------

Total                   $  16,908,019    $  17,416,429    $  15,577,828    $  16,300,716
                       ==============   ==============   ==============   ==============
</Table>

                                        5
<Page>

<Table>
<Caption>
                                                    JWH LLC
                        FOR THE THREE    FOR THE THREE     FOR THE SIX      FOR THE SIX
                        MONTHS ENDED     MONTHS ENDED     MONTHS ENDED     MONTHS ENDED
                        JUNE 30, 2003    JUNE 30, 2002    JUNE 30, 2003    JUNE 30, 2002
                         (UNAUDITED)      (UNAUDITED)      (UNAUDITED)      (UNAUDITED)
                       --------------   --------------   --------------   --------------
<S>                     <C>              <C>              <C>              <C>
Revenues                $   1,500,475    $   4,795,775    $   3,981,895    $   3,442,829

Expenses                      585,470          289,859        1,158,613          554,146
                       --------------   --------------   --------------   --------------

Net Income              $     915,005    $   4,505,916    $   2,823,282    $   2,888,683
                       ==============   ==============   ==============   ==============
</Table>

<Table>
<Caption>
                                                  MILLBURN LLC
                        FOR THE THREE    FOR THE THREE     FOR THE SIX      FOR THE SIX
                        MONTHS ENDED     MONTHS ENDED     MONTHS ENDED     MONTHS ENDED
                        JUNE 30, 2003    JUNE 30, 2002    JUNE 30, 2003    JUNE 30, 2002
                         (UNAUDITED)      (UNAUDITED)      (UNAUDITED)      (UNAUDITED)
                       --------------   --------------   --------------   --------------
<S>                     <C>              <C>              <C>              <C>
Revenues                $   2,351,829    $   2,966,268    $   1,915,834    $   2,412,195

Expenses                      659,104          402,009        1,003,477          681,648
                       --------------   --------------   --------------   --------------

Net Income              $   1,692,725    $   2,564,259    $     912,357    $   1,730,547
                       ==============   ==============   ==============   ==============
</Table>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The nature of this Partnership has certain risks, which can not be
     presented on the financial statements. The following summarizes some of
     those risks.

     MARKET RISK

     Derivative 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 financial instruments
     or commodities underlying such derivative instruments frequently resulted
     in changes in the net unrealized profit (loss) as reflected in the
     respective 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, Merrill Lynch Alternative Investments LLC ("MLAI LLC")
     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 MLAI LLC does not itself intervene in the markets
     to hedge or diversify the Partnership's market exposure, MLAI 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

                                        6
<Page>

     trading erratically, MLAI 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, Pierce, Fenner
     & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the
     brokerage agreement with MLPF&S (which includes a netting arrangement), to
     the extent that such trading results in receivables from and payables to
     MLPF&S, these receivables and payables are offset and reported as a net
     receivable or payable and included in the Statements of Financial Condition
     under Equity in commodity futures trading accounts.

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.
                -----------------------------------------------------------
                <S>     <C>      <C>     <C>      <C>      <C>      <C>
                2002    $269.22  $255.81 $242.23  $237.12  $258.85  $317.98
                -----------------------------------------------------------
                2003    $383.74  $393.54 $371.52  $376.91  $415.46  $402.31
                -----------------------------------------------------------
</Table>

                         MONTH-END NET ASSET VALUE PER SERIES B UNIT

<Table>
<Caption>
                -----------------------------------------------------------
                        JAN.     FEB.     MAR.     APR.     MAY     JUN.
                -----------------------------------------------------------
                <S>     <C>      <C>      <C>      <C>      <C>     <C>
                2002    $218.75  $207.86  $196.82  $192.67  $210.33 $258.37
                -----------------------------------------------------------
                2003    $311.82  $319.78  $301.90  $306.27  $337.59 $326.91
                -----------------------------------------------------------
</Table>

                         MONTH-END NET ASSET VALUE PER SERIES C UNIT

<Table>
<Caption>
                -----------------------------------------------------------
                        JAN.     FEB.    MAR.     APR.     MAY      JUN.
                -----------------------------------------------------------
                <S>     <C>      <C>     <C>      <C>      <C>      <C>
                2002    $170.48  $161.99 $153.39  $150.15  $163.92  $201.36
                -----------------------------------------------------------
                2003    $242.97  $249.18 $235.24  $238.65  $263.07  $254.75
                -----------------------------------------------------------
</Table>

Performance Summary

                                        7
<Page>

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, 2003 TO JUNE 30, 2003

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the interest rate, stock index and
currency sectors and losses in the metals sector. Overall, the Partnership
experienced a positive rate of return for the quarter.

Interest rate futures were the best performers for the quarter. Interest rates
continued to push lower as economic data for the fourth quarter announced an
annual growth rate for the economy of about 1% for 2002. Consumer spending and
confidence remained low and even the housing market stumbled in March. The
global fixed income markets continued their upward climb until mid-March when
expectations of a short conflict triggered the liquidation of many fixed income
investments hurting long exposure.

Trading in stock indices posted gains for each of the months in the quarter.
European stock markets attempted to start the year with some optimism only to
succumb to eroding prices throughout the quarter. Global economies suffered
throughout the quarter; however, in mid-March the equities market did react with
the currency and fixed income markets. Equities appeared to be more in tune to
the overall market fundamental and were quick to resume their downward trend.

The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing to decline as it has for over a year and
the Partnership was well positioned to capitalize on its U.S. dollar positions
against other currencies. In March, on hopes that the war with Iraq would be
short, the U.S. dollar strengthened and returned some of the profits earned
early in the year.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Partnership sustained losses in February as the long
bias in precious metals hurt the portfolio when gold reversed its rising trend
in February with the announcement that the German Bundesbank had sold a portion
of its gold reserves. Industrial metals markets were choppy throughout the
quarter.

April 1, 2003 to June 30, 2003

The Partnership realized gains in the currency, interest rate and stock index
sectors. Losses were realized in the metals sector. Overall, the Partnership
recognized gains for the quarter.

The currency sector drove the returns of the Partnership for the quarter. The
currency markets judged the developments in the Middle East as negative for the
U.S. economy and trade, and the U.S. dollar sold off against most major
currencies in April and May. U.S. Treasury Secretary John Snow indicated he was
comfortable with current decline in the U.S. dollar and that a cheaper U.S.
dollar would increase exports. The U.S. dollar reversed its weakening trend in
June which caused offset some of the previous gains.

The interest rate sector provided the Partnership with profits for the second
quarter. May gains outpaced losses from June. The decline in interest rates
resulted in profits in many of the Partnership's long positions. Some factors
that kept the interest rates falling were rumors of deflation, hedging by long
term lenders against the falling interest rates, and foreign banks buying U.S.
Treasuries as part of their monetary policy to control the value of their
currency. The market reversed in June due to disappointing news about a smaller
rate cut by the Federal Reserve then expected.

                                        8
<Page>

The stock index futures produced small gains for the quarter capitalizing on the
global upswing in stock prices in June. Investors reacted to the hope that
deflation and economic contraction were coming to an end in Japan. Reports
indicate that the rally in Japanese stocks has been fueled by foreign mutual
funds, hedge funds and other non-Japanese institutional investors who invested
more than ten times as much as local investors in June.

The metals sector posted a small loss for the second quarter. Positions in gold
shifted from profitable to not throughout the quarter. Copper and other base
metals were unprofitable.

JANUARY 1, 2002 TO JUNE 30, 2002

January 1, 2002 to March 31, 2002

Trading in the metals sector was unprofitable for the quarter. Long positions in
gold suffered losses. The gold market slumped, reversing January gains. Base
metal positioning posted losses as prices soared on the hope that an economic
recovery in the United States would boost demand.

Trading in the interest rate markets produced losses on conflicting economic
reports. U.S. short rate profits offset losses incurred further out on the U.S.
curve under very choppy market conditions. European and Japanese fixed income
exposures posted losses under particularly direction-less markets. Global bond
prices declined on growing optimism for a stronger economic outlook for the
remainder of 2002, benefiting short positioning.

Stock indices trading incurred losses for the quarter. Long equity exposures
were flipped to short exposures during the quarter, added to losses in volatile
market conditions as profit forecasts fell short and concern over the Enron
accounting situation deepened. Global equity markets appreciated in March,
notably in Japan, Germany and France, which generated losses on short
positioning.

Currency trading was the most unprofitable strategy for the quarter. Early in
the quarter, strong gains were generated from short Japanese yen positions as
the Japanese yen continued to depreciate against the U.S. dollar. In February,
all of the futures traded currencies appreciated against the U.S. dollar, with
the exception of the Canadian dollar. March was a relatively volatile month for
G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the
first week, and then almost completely reversed that move by month end,
generating substantial losses.

April 1, 2002 to June 30, 2002

Large profits were the result of trading in the currency sector. Strong trends
developed from a weakening U.S. dollar and continued through June. Most of the
majors currencies made new highs versus the U.S. dollar in June.

The interest rate sector was profitable for the Partnership despite its slow
start. The quarter began with a loss as interest rates were particularly
sensitive to economic data that was released, and more so to its varied
interpretations. By quarter end, the Partnership profited from a strong bond
market, which benefited from the weakness in the stock market and unchanged
interest rates.

The trading in stock indices found profits from its short positions. Worldwide
equity market attempted to move higher, but failed and resumed their longer-term
downtrend. The metals sector sustained slight

                                        9
<Page>

losses for the quarter. In June, the uptrend in gold reversed and losses were
sustained on a long position eliminating slight profits earned earlier in the
quarter.

The metals sector sustained slight losses for the quarter. In June, the uptrend
in gold reversed and losses were sustained on a long position eliminating slight
profits earned earlier in the quarter.

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry
& Co./Millburn L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                       10
<Page>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending proceedings to which the Partnership or MLAI 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

          None.

Item 6.   Exhibits and Reports on Form 8-K.

          (a) EXHIBITS

          There are no exhibits required to be filed as part of this report.

          (b) REPORTS ON FORM 8-K

          There were no reports on Form 8-K filed during the first six months of
          fiscal 2003.

                                       11
<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: MERRIL LYNCH ALTERNATIVE
                                             INVESTMENTS  LLC
                                               General Partner



Date:  August 14, 2003               By /s/ ROBERT M. ALDERMAN
                                        ----------------------
                                        Robert M. Alderman
                                        Chairman, Chief Executive Officer and
                                        Manager
                                        (Principal Executive Officer)


Date:  August 14, 2003               By /s/ MICHAEL L. PUNGELLO
                                        -----------------------
                                        Michael L. Pungello
                                        Vice President, Chief Financial Officer
                                        and Treasurer
                                        (Principal Financial and Accounting
                                        Officer)

                                       12
<Page>

                                                                      EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Robert M. Alderman, certify that:

1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this quarterly report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     quarterly report (the "Evaluation Date"); and

     c) presented in this quarterly report our conclusions about the
     effectiveness of the disclosure controls and procedures based on our
     evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: August 14, 2003

-----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       13
<Page>

                                                                  EXHIBIT 99 (a)

                                  AS ADOPTED TO
                                  -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Robert M. Alderman, certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.

Date: August 14, 2003

-----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       14
<Page>

                                                                      EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Michael L. Pungello, certify that:

1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this quarterly report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     quarterly report (the "Evaluation Date"); and

     c) presented in this quarterly report our conclusions about the
     effectiveness of the disclosure controls and procedures based on our
     evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: August 14, 2003

-----------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       15
<Page>

                                                                  EXHIBIT 99 (a)

                                 AS ADOPTED TO
                                 -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Michael L. Pungello, certify,
pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley
Act of 2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of
John W. Henry & Co./Millburn L.P.

Date: August 14, 2003

-----------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       16