<PAGE>

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

                                    FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 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 Merrill Lynch Investment Partners Inc.
                           Princeton Corporate Campus
                       800 Scudders Mill Road - Section 2G
                          Plainsboro, New Jersey 08536
                          ----------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                  609-282-6996
              (Registrant's telephone number, including area code)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X  No
                                             ---   ---
<PAGE>

                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

                        JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware limited partnership)
                         ------------------------------
                        STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
                                                               March 31,      December 31,
                                                                  2001           2000
                                                              (unaudited)
                                                          -----------------  -------------
<S>                                                       <C>                <C>
ASSETS
Investments                                                   $ 31,990,711   $ 29,423,145
Receivable from investments                                        687,246        414,650
                                                          -----------------  -------------
                TOTAL                                         $ 32,677,957   $ 29,837,795
                                                          =================  =============

LIABILITY AND PARTNERS' CAPITAL
    Redemptions payable                                       $    687,246   $    414,650
                                                          -----------------  -------------
            Total liabilities                                      687,246        414,650
                                                          -----------------  -------------

PARTNERS' CAPITAL:
    General Partner:
        (327 and 327 Series A Units)                                97,236         84,379
        (728 and 728 Series B Units)                               175,870        152,621
        (532 and 532 Series C Units)                               100,161         86,921
    Limited Partners:
        (27,177 and 28,737 Series A Units)                       8,081,348      7,415,475
        (62,538 and 66,325 Series B Units)                      15,107,824     13,906,094
        (44,766 and 47,598 Series C Units)                       8,428,272      7,777,655
                                                          -----------------  -------------
            Total partners' capital                             31,990,711     29,423,145
                                                          -----------------  -------------
                TOTAL                                         $ 32,677,957   $ 29,837,795
                                                          =================  =============

NET ASSET VALUE PER UNIT
 Series A (based on 27,504 and 29,064 Units
   outstanding)                                               $     297.36   $     258.05
                                                          =================  =============
 Series B (based on 63,266 and 67,053 Units
   outstanding)                                               $     241.58   $     209.67
                                                          =================  =============
 Series C (based on 45,298 and 48,130 Units
   outstanding)                                               $     188.27   $     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
                                                            months ended         months ended
                                                             March 31,            March 31,
                                                               2001                  2000
                                                        ------------------  ---------------------
<S>                                                     <C>                 <C>
REVENUES:
    Income (loss) from investments                            $ 4,343,692           $ (4,774,478)
                                                        ------------------  ---------------------

NET INCOME (LOSS)                                             $ 4,343,692           $ (4,774,478)
                                                        ==================  =====================

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
         and Limited Partner Units outstanding                    141,368                203,426
                                                        ==================  =====================
    Net income (loss) per weighted average
         General Partner and
         Limited Partner Unit                                 $     30.73           $     (23.47)
                                                        ==================  =====================
</TABLE>
See notes to financial statements.


                                       3
<PAGE>

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

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
               FOR THE THREE MONTHS ENDED MARCH 31, 2001 AND 2000
                                   (unaudited)
<TABLE>
<CAPTION>
                               UNITS                      GENERAL PARTNER                   LIMITED PARTNERS
                     Series A  Series B  Series C  Series A  Series B   Series C   Series A     Series B     Series C       Total
                    --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------
<S>                 <C>       <C>       <C>       <C>       <C>        <C>       <C>          <C>          <C>          <C>
PARTNERS' CAPITAL,
  December 31, 1999   39,839   101,789    66,670  $131,110  $ 282,923  $152,600  $10,232,683  $21,241,923  $10,834,933  $42,876,172

Net loss                          -         -      (14,413)   (30,682)  (16,413)  (1,150,452)  (2,349,593)  (1,212,925)  (4,774,478)

Redemptions           (3,376)   (9,015)   (5,760)  (16,686)   (48,448)  (30,206)    (779,617)  (1,717,248)    (835,689)  (3,427,894)
                    --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
  March 31, 2000      36,463    92,774    60,910  $100,011  $ 203,793  $105,981  $ 8,302,614  $17,175,082  $ 8,786,319  $34,673,800
                    ========= ========= ========= ========= ========== ========= ============ ============ ============ ============
PARTNERS' CAPITAL,
  December 31, 2000   29,064    67,053    48,130  $ 84,379  $ 152,621  $ 86,921  $ 7,415,475  $13,906,094  $ 7,777,655  $29,423,145

Net income                        -         -       12,857     23,249   13,240     1,083,035    2,054,426    1,156,885    4,343,692

Redemptions           (1,560)   (3,787)   (2,832)        -          -         -     (417,162)    (852,696)    (506,268)  (1,776,126)
                    --------- --------- --------- --------- ---------- --------- ------------ ------------ ------------ ------------

PARTNERS' CAPITAL,
  March 31, 2001      27,504    63,266    45,298  $ 97,236  $ 175,870  $100,161  $ 8,081,348  $15,107,824  $ 8,428,272  $ 31,990,711
                    ========= ========= ========= ========= ========== ========= ============ ============ ============ ============
</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 March 31, 2001, and the results of its operations for the three month
     period ended March 31, 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 accordance with accounting principles
     generally 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 March 31, 2001, the Partnership had an investment in ML JWH
     Financials and Metals Portfolio L.L.C. ("JWH LLC") and Millburn Global
     L.L.C. ("Millburn LLC") of $17,096,257 and $14,894,454 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 investment are
     set forth as follows:


                                       5
<PAGE>

<TABLE>
<CAPTION>
For the three months          Total             Brokerage       Administrative        Income from
ended March 31, 2001         Revenue           Commissions           Fees             Investments
                        ------------------  -----------------  -----------------  ------------------
<S>                     <C>                 <C>                <C>                <C>
 SERIES A UNITS

 JWH LLC                   $      786,701      $      88,174      $       2,593      $      695,934
 Millburn LLC                     480,106             77,858              2,290             399,958
                        ------------------  -----------------  -----------------  ------------------
 Total                     $    1,266,807      $     166,032      $       4,883      $    1,095,892
                        ==================  =================  =================  ==================
 SERIES B UNITS

 JWH LLC                   $    1,487,802      $     166,636      $       4,901      $    1,316,265
 Millburn LLC                     914,108            148,336              4,362             761,410
                        ------------------  -----------------  -----------------  ------------------
 Total                     $    2,401,910      $     314,972      $       9,263      $    2,077,675
                        ==================  =================  =================  ==================
 SERIES C UNITS

 JWH LLC                   $      837,428      $      93,629      $       2,754      $      741,045
 Millburn LLC                     514,870             83,338              2,452             429,080
                        ------------------  -----------------  -----------------  ------------------
 Total                     $    1,352,298      $     176,967      $       5,206      $    1,170,125
                        ==================  =================  =================  ==================
 TOTAL ALL UNITS

 JWH LLC                   $    3,111,931      $     348,439      $      10,248      $    2,753,244
 Millburn LLC                   1,909,084            309,532              9,104           1,590,448
                        ------------------  -----------------  -----------------  ------------------
 Total                     $    5,021,015      $     657,971      $      19,352      $    4,343,692
                        ==================  =================  =================  ==================

<CAPTION>
For the three months          Total             Brokerage       Administrative        Loss from
ended March 31, 2000         Revenue           Commissions           Fees            Investments
                        ------------------  -----------------  -----------------  ------------------
<S>                     <C>                 <C>                <C>                <C>
 SERIES A UNITS

 JWH LLC                   $     (448,320)     $     103,868      $       2,734      $     (554,922)
 Millburn LLC                    (483,869)           122,841              3,233            (609,943)
                        ------------------  -----------------  -----------------  ------------------
 Total                     $     (932,189)     $     226,709      $       5,967      $   (1,164,865)
                        ==================  =================  =================  ==================
 SERIES B UNITS

 JWH LLC                   $     (914,342)     $     212,427      $       5,590      $   (1,132,359)
 Millburn LLC                    (987,939)           253,311              6,666          (1,247,916)
                        ------------------  -----------------  -----------------  ------------------
 Total                     $   (1,902,281)     $     465,738      $      12,256      $   (2,380,275)
                        ==================  =================  =================  ==================
 SERIES C UNITS

 JWH LLC                   $     (471,790)     $     109,180      $       2,874      $     (583,844)
 Millburn LLC                    (511,875)           130,193              3,426            (645,494)
                        ------------------  -----------------  -----------------  ------------------
 Total                     $     (983,665)     $     239,373      $       6,300      $   (1,229,338)
                        ==================  =================  =================  ==================
 TOTAL ALL UNITS

 JWH LLC                   $   (1,834,452)     $     425,475      $      11,198      $   (2,271,125)
 Millburn LLC                  (1,983,683)           506,345             13,325          (2,503,353)
                        ------------------  -----------------  -----------------  ------------------
 Total                     $   (3,818,135)     $     931,820      $      24,523      $   (4,774,478)
                        ==================  =================  =================  ==================
</TABLE>


                                       6
<PAGE>

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


<TABLE>
<CAPTION>
                                     March 31, 2001                          December 31, 2000
                        ----------------------------------------  ----------------------------------------
                                 JWH              Millburn               JWH                Millburn
                                 LLC                 LLC                 LLC                   LLC
                        ------------------- --------------------  -------------------  -------------------
<S>                     <C>                 <C>                   <C>                  <C>
Assets                     $    17,611,550      $    15,329,037         $ 15,631,088         $ 14,448,475
                        =================== ====================  ===================  ===================

Liabilities                $       515,293      $       434,583         $    349,344         $    307,074
Members' Capital                17,096,257           14,894,454           15,281,744           14,141,401
                        ------------------- --------------------  -------------------  -------------------
Total                      $    17,611,550      $    15,329,037         $ 15,631,088         $ 14,448,475
                        =================== ====================  ===================  ===================

<CAPTION>
                           For the three        For the three        For the three        For the three
                               months              months                months               months
                          ended March 31,      ended March 31,      ended March 31,      ended March 31,
                                2001                2001                  2000                 2000
                        ------------------- --------------------  -------------------  -------------------
<S>                     <C>                 <C>                   <C>                  <C>
Revenues                   $     3,111,932      $     1,909,084         $ (1,834,452)        $ (1,983,683)

Expenses                           358,687              318,637              436,673              519,670
                        ------------------- --------------------  -------------------  -------------------
Net Income (Loss)          $     2,753,245      $     1,590,447         $ (2,271,125)        $ (2,503,353)
                        =================== ====================  ===================  ===================
</TABLE>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The Partnership invests all of its assets in Trading LLC's. 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 resulted in changes in the Trading LLC's net unrealized profit
     (loss) on such derivative instruments 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 LLC's, as well as the volatility and liquidity of such
     markets in which such derivative instruments are traded.

     The General Partner, Merrill Lynch Investment Partners Inc., ("MLIP") 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


                                       7
<PAGE>

     and reviewing outstanding positions for over-concentrations both on an
     Advisor-by-Advisor and on an overall Partnership basis. While MLIP does not
     itself intervene in the markets to hedge or diversify the Partnership's
     market exposure MLIP 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, MLIP'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 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.
                       ----------------------------------
                       <S>     <C>      <C>     <C>
                       2000    $255.72  $238.38 $230.44
                       ----------------------------------
                       2001    $264.13  $265.03 $297.36
                       ----------------------------------

                   MONTH-END NET ASSET VALUE PER SERIES B UNIT
<CAPTION>
                       -----------------------------------
                               Jan.     Feb.     Mar.
                       -----------------------------------
                       <S>     <C>      <C>     <C>
                       2000    $207.89  $193.79  $187.32
                       -----------------------------------
                       2001    $214.61  $215.32  $241.58
                       -----------------------------------
</TABLE>

                                       8
<PAGE>


                   MONTH-END NET ASSET VALUE PER SERIES C UNIT
<TABLE>
<CAPTION>
                       ----------------------------------
                               Jan.     Feb.    Mar.
                       ----------------------------------
                       <S>     <C>      <C>     <C>
                       2000    $162.02  $151.03 $145.99
                       ----------------------------------
                       2001    $167.25  $167.81 $188.27
                       ----------------------------------
</TABLE>

Performance Summary

All of the Partnership's assets were invested in Trading LLC's. The
Partnership received trading profits as an investor in Trading LLC's. The
following commentary describes the trading results of Trading LLC's.

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 rate caused Euro dollar futures
contracts to rise dramatically from December 2000 lows.  Japanese ten-year
bond 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 British pound and the Euro offset early gains from Japanese
yen positions.  By February, the Euro corrected from a near high 96 cents
back to the 90-cent level, causing losses.  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 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, almost flat, for the Partnership.
Gold, copper and aluminum trading alternated between profitability and
unprofitability throughout the quarter.

January 1, 2000 to March 31, 2000

Currency trading alternated through out 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 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. In
the end of the quarter losses were sustained in Japanese yen and British pound
positions. The 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.


                                       9
<PAGE>

                          PART II - OTHER INFORMATION


Item 1.  Legal Proceedings

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

Item 2.  Changes in Securities and Use of Proceeds

None.
None.
None.
None.

Item 3.  Defaults Upon Senior Securities

None.

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

None.

Item 5.  Other information

None.

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

(a) EXHIBITS

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

(b) REPORTS ON FORM 8-K

     There were no reports on Form 8-K filed during the first three months of
fiscal 2001.


                                       10
<PAGE>

                                    SIGNATURE

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


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



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



Date:  May 15, 2001                   By /s/ RONALD S. ROSENBERG
                                         -----------------------
                                         Ronald S. Rosenberg
                                         Chairman and Director




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


                                       11