<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, 2002
                               -------------

                                     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
                           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,        December 31,
                                                                          2002              2001
                                                                       (unaudited)
                                                                     --------------    --------------
<S>                                                                  <C>               <C>
ASSETS
------

Investments                                                          $   29,266,559    $   26,155,682
Receivable from investments                                                 357,662           220,310
                                                                     --------------    --------------

                TOTAL                                                $   29,624,221    $   26,375,992
                                                                     ==============    ==============

LIABILITY AND PARTNERS' CAPITAL
-------------------------------

    Redemptions payable                                              $      357,662    $      220,310
                                                                     --------------    --------------

            Total liabilities                                               357,662           220,310
                                                                     --------------    --------------

PARTNERS' CAPITAL:
    General Partner:
        (284 and 284 Series A Units)                                         90,305            76,061
        (613 and 613 Series B Units)                                        158,378           133,398
        (450 and 450 Series C Units)                                         90,613            76,317
    Limited Partners:
        (23,866 and 25,601 Series A Units)                                7,588,800         6,856,493
        (52,137 and 55,127 Series B Units)                               13,470,420        11,996,457
        (39,074 and 41,374 Series C Units)                                7,868,043         7,016,956
                                                                     --------------    --------------

            Total partners' capital                                      29,266,559        26,155,682
                                                                     --------------    --------------

                TOTAL                                                $   29,624,221    $   26,375,992
                                                                     ==============    ==============

NET ASSET VALUE PER UNIT
  Series A (based on 24,150 and 25,885 Units outstanding)            $       317.98    $       267.82
                                                                     ==============    ==============
  Series B (based on 52,750 and 55,740 Units outstanding)            $       258.37    $       217.61
                                                                     ==============    ==============
  Series C (based on 39,524 and 41,824 Units outstanding)            $       201.36    $       169.60
                                                                     ==============    ==============
</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, 2002    June 30, 2001     June 30, 2002    June 30, 2001
                                                      -------------    -------------     -------------    -------------
<S>                                                   <C>              <C>               <C>              <C>
REVENUES:
    Income (loss) from investments                    $   7,070,175    $  (3,381,495)    $   4,619,230    $     962,197
                                                      -------------    -------------     -------------    -------------


NET INCOME (LOSS)                                     $   7,070,175    $  (3,381,495)    $   4,619,230    $     962,197
                                                      =============    =============     =============    =============

NET INCOME (LOSS) PER UNIT:
    Weighted average number of General Partner
     and Limited Partner Units outstanding                  118,855          134,221           120,439          137,794
                                                      =============    =============     =============    =============

    Net income (loss) per weighted average
        General Partner and Limited Partner Unit      $       59.49    $      (25.19)    $       38.35    $        6.98
                                                      =============    =============     =============    =============
</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 six months ended June 30, 2002 and 2001
                 -----------------------------------------------
                                   (unaudited)

<Table>
<Caption>

                                           Units                                   General Partner
                                           -----                                   ---------------
                         Series A        Series B        Series C        Series A      Series B       Series C
                      ------------    ------------    ------------    ------------   ------------   ------------
<S>                   <C>             <C>             <C>             <C>            <C>            <C>
PARTNERS' CAPITAL,
  December 31, 2000         29,064          67,053          48,130    $     84,379   $    152,621   $     86,921

Net income                       -               -               -           2,486          4,501          2,563

Redemptions                 (1,730)         (7,004)         (4,802)              -              -              -
                      ------------    ------------    ------------    ------------   ------------   ------------

PARTNERS' CAPITAL,
  June 30, 2001             27,334          60,049          43,328    $     86,865   $    157,122   $     89,484
                      ============    ============    ============    ============   ============   ============

PARTNERS' CAPITAL,
  December 31, 2001         25,885          55,740          41,824    $     76,061   $    133,398   $     76,317

Net income                       -               -               -          14,244         24,980         14,296

Redemptions                 (1,735)         (2,990)         (2,300)              -              -              -
                      ------------    ------------    ------------    ------------   ------------   ------------

PARTNERS' CAPITAL,
  June 30, 2002             24,150          52,750          39,524    $     90,305   $    158,378   $     90,613
                      ============    ============    ============    ============   ============   ============

<Caption>

                                   Limited Partners
                                   ----------------
                        Series A       Series B         Series C         Total
                      ------------    ------------    ------------    ------------
<S>                   <C>             <C>             <C>             <C>
PARTNERS' CAPITAL,
  December 31, 2000   $  7,415,475    $ 13,906,094    $  7,777,655    $ 29,423,145

Net income                 221,308         464,795         266,544         962,197

Redemptions               (462,585)     (1,567,838)       (845,709)     (2,876,132)
                      ------------    ------------    ------------    ------------

PARTNERS' CAPITAL,
  June 30, 2001       $  7,174,198    $ 12,803,051    $  7,198,490    $ 27,509,210
                      ============    ============    ============    ============

PARTNERS' CAPITAL,
  December 31, 2001   $  6,856,493    $ 11,996,457    $  7,016,956    $ 26,155,682

Net income               1,195,912       2,131,707       1,238,091       4,619,230

Redemptions               (463,605)       (657,744)       (387,004)     (1,508,353)
                      ------------    ------------    ------------    ------------

PARTNERS' CAPITAL,
  June 30, 2002       $  7,588,800    $ 13,470,420    $  7,868,043    $ 29,266,559
                      ============    ============    ============    ============
</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, 2002, and the results of its operations for
     the three and six month periods ended June 30, 2002 and 2001. 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, 2001.

2.   INVESTMENTS

     As of June 30, 2002, the Partnership had investments in ML JWH
     Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC
     ("Millburn LLC") of $14,633,279 and $14,633,279, respectively. For the year
     ending December 31, 2001, the Partnership had investments in JWH LLC and
     Millburn LLC of $13,077,841 and $13,077,841, respectively.

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

<Table>
<Caption>
                                                  Change in                             Brokerage       Administrative
 For the three months          Realized          unrealized      Interest income       Commissions          Fees
ended June 30, 2002        ----------------   ----------------   ----------------   ----------------   ----------------
<S>                        <C>                <C>                <C>                <C>                <C>
SERIES A UNITS

JWH LLC (unaudited)        $        560,671   $        684,624   $         12,773   $         73,679   $          2,167
Millburn LLC (unaudited)             84,907            679,673             13,762             69,154              2,033
                           ----------------   ----------------   ----------------   ----------------   ----------------

Total                      $        645,578   $      1,364,297   $         26,535   $        142,833   $          4,200
                           ================   ================   ================   ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $        994,054   $      1,216,252   $         22,701   $        130,922   $          3,850
Millburn LLC (unaudited)            150,329          1,206,534             24,458            122,888              3,615
                           ----------------   ----------------   ----------------   ----------------   ----------------

Total                      $      1,144,383   $      2,422,786   $         47,159   $        253,810   $          7,465
                           ================   ================   ================   ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $        576,327   $        715,016   $         13,357   $         76,977   $          2,264
Millburn LLC (unaudited)             86,432            705,776             14,397             72,282              2,125
                           ----------------   ----------------   ----------------   ----------------   ----------------

Total                      $        662,759   $      1,420,792   $         27,754   $        149,259   $          4,389
                           ================   ================   ================   ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $      2,131,052   $      2,615,892   $         48,831   $        281,578   $          8,281
Millburn LLC (unaudited)            321,668          2,591,983             52,617            264,324              7,773
                           ----------------   ----------------   ----------------   ----------------   ----------------

Total                      $      2,452,720   $      5,207,875   $        101,448   $        545,902   $         16,054
                           ================   ================   ================   ================   ================

<Caption>


                                Profit          Income from
 For the three months           Shares          Investments
ended June 30, 2002        ----------------   ----------------
<S>                        <C>                <C>
SERIES A UNITS

JWH LLC (unaudited)        $              -   $      1,182,222
Millburn LLC (unaudited)             34,178            672,977
                           ----------------   ----------------

Total                      $         34,178   $      1,855,199
                           ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $              -   $      2,098,235
Millburn LLC (unaudited)             60,609          1,194,209
                           ----------------   ----------------

Total                      $         60,609   $      3,292,444
                           ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $              -   $      1,225,459
Millburn LLC (unaudited)             35,125            697,073
                           ----------------   ----------------

Total                      $         35,125   $      1,922,532
                           ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $              -   $      4,505,916
Millburn LLC (unaudited)            129,912          2,564,259
                           ----------------   ----------------

Total                      $        129,912   $      7,070,175
                           ================   ================

</Table>

                                       5
<Page>

<Table>
<Caption>
                                                  Change in                              Brokerage       Administrative
 For the three months          Realized          unrealized        Interest income       Commissions          Fees
ended June 30, 2001        ----------------    ----------------    ----------------   ----------------   ----------------
<S>                        <C>                 <C>                 <C>                <C>                <C>
SERIES A UNITS

JWH LLC (unaudited)        $       (204,806)   $       (280,090)   $         37,577   $         84,713   $          2,492
Millburn LLC (unaudited)            228,655            (519,445)             31,527             76,076              2,237
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $         23,849    $       (799,535)   $         69,104   $        160,789   $          4,729
                           ================    ================    ================   ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $       (382,960)   $       (510,598)   $         68,805   $        155,011   $          4,559
Millburn LLC (unaudited)            412,936            (950,733)             58,206            140,337              4,128
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $         29,976    $     (1,461,331)   $        127,011   $        295,348   $          8,687
                           ================    ================    ================   ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $       (213,270)   $       (286,790)   $         38,496   $         86,742   $          2,551
Millburn LLC (unaudited)            232,447            (534,332)             32,569             78,533              2,310
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $         19,177    $       (821,122)   $         71,065   $        165,275   $          4,861
                           ================    ================    ================   ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $       (801,036)   $     (1,077,478)   $        144,878   $        326,466   $          9,602
Millburn LLC (unaudited)            874,038          (2,004,510)            122,302            294,946              8,675
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $         73,002    $     (3,081,988)   $        267,180   $        621,412   $         18,277
                           ================    ================    ================   ================   ================

<Caption>

                               Profit             Loss from
 For the three months          Shares            Investments
ended June 30, 2001        ----------------   ----------------
<S>                        <C>                <C>
SERIES A UNITS

JWH LLC (unaudited)        $              -   $       (534,524)
Millburn LLC (unaudited)                  -           (337,576)
                           ----------------   ----------------

Total                      $              -   $       (872,100)
                           ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $              -   $       (984,323)
Millburn LLC (unaudited)                  -           (624,056)
                           ----------------   ----------------

Total                      $              -   $     (1,608,379)
                           ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $              -   $       (550,857)
Millburn LLC (unaudited)                  -           (350,159)
                           ----------------   ----------------

Total                      $              -   $       (901,016)
                           ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $              -   $     (2,069,704)
Millburn LLC (unaudited)                  -         (1,311,791)
                           ----------------   ----------------

Total                      $              -   $     (3,381,495)
                           ================   ================
<Caption>

                                                  Change in                             Brokerage       Administrative
 For the six months            Realized          unrealized      Interest income       Commissions          Fees
ended June 30, 2002        ----------------   ----------------   ----------------   ----------------   ----------------
<S>                        <C>                <C>                <C>                <C>                <C>

SERIES A UNITS

JWH LLC (unaudited)        $        356,894    $        518,534    $         26,362   $        141,431   $          4,162
Millburn LLC (unaudited)            197,535             408,135              27,446            140,840              4,141
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $        554,429    $        926,669    $         53,808   $        282,271   $          8,303
                           ================    ================    ================   ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $        635,315    $        923,878    $         46,570   $        249,936   $          7,350
Millburn LLC (unaudited)            348,147             728,313              48,495            248,815              7,319
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $        983,462    $      1,652,191    $         95,065   $        498,751   $         14,669
                           ================    ================    ================   ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $        366,497    $        541,385    $         27,394   $        146,945   $          4,322
Millburn LLC (unaudited)            204,648             420,939              28,537            146,318              4,303
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $        571,145    $        962,324    $         55,931   $        293,263   $          8,625
                           ================    ================    ================   ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $      1,358,706    $      1,983,797    $        100,326   $        538,312   $         15,834
Millburn LLC (unaudited)            750,330           1,557,387             104,478            535,973             15,763
                           ----------------    ----------------    ----------------   ----------------   ----------------

Total                      $      2,109,036    $      3,541,184    $        204,804   $      1,074,285   $         31,597
                           ================    ================    ================   ================   ================
<Caption>

                              Profit            Income from
 For the six months           Shares            Investments
ended June 30, 2002        ----------------   ----------------
<S>                        <C>                <C>

SERIES A UNITS

JWH LLC (unaudited)        $              -   $        756,197
Millburn LLC (unaudited)             34,178            453,957
                           ----------------   ----------------

Total                      $         34,178   $      1,210,154
                           ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $              -   $      1,348,477
Millburn LLC (unaudited)             60,609            808,212
                           ----------------   ----------------

Total                      $         60,609   $      2,156,689
                           ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $              -   $        784,009
Millburn LLC (unaudited)             35,125            468,378
                           ----------------   ----------------

Total                      $         35,125   $      1,252,387
                           ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $              -   $      2,888,683
Millburn LLC (unaudited)            129,912          1,730,547
                           ----------------   ----------------

Total                      $        129,912   $      4,619,230
                           ================   ================
</Table>

                                       6
<Page>

<Table>
<Caption>

                                                  Change in                             Brokerage       Administrative
 For the six months            Realized          unrealized       Interest income       Commissions          Fees
ended June 30, 2001        ----------------   ----------------    ----------------   ----------------   ----------------
<S>                        <C>                <C>                 <C>                <C>                <C>

SERIES A UNITS

JWH LLC (unaudited)        $        930,093   $       (676,690)   $         85,979   $        172,886   $          5,085
Millburn LLC (unaudited)            725,613           (577,467)             72,697            153,934              4,527
                           ----------------   ----------------    ----------------   ----------------   ----------------

Total                      $      1,655,706   $     (1,254,157)   $        158,676   $        326,820   $          9,612
                           ================   ================    ================   ================   ================

SERIES B UNITS

JWH LLC (unaudited)        $      1,761,525   $     (1,258,667)   $        160,191   $        321,647   $          9,460
Millburn LLC (unaudited)          1,358,265         (1,060,337)            136,589            288,673              8,490
                           ----------------   ----------------    ----------------   ----------------   ----------------

Total                      $      3,119,790   $     (2,319,004)   $        296,780   $        610,320   $         17,950
                           ================   ================    ================   ================   ================

SERIES C UNITS

JWH LLC (unaudited)        $        994,254   $       (708,216)   $         89,826   $        180,372   $          5,305
Millburn LLC (unaudited)            763,487           (594,526)             76,593            161,871              4,762
                           ----------------   ----------------    ----------------   ----------------   ----------------

Total                      $      1,757,741   $     (1,302,742)   $        166,419   $        342,243   $         10,067
                           ================   ================    ================   ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)        $      3,685,872   $     (2,643,573)   $        335,996   $        674,905   $         19,850
Millburn LLC (unaudited)          2,847,365         (2,232,330)            285,879            604,478             17,779
                           ----------------   ----------------    ----------------   ----------------   ----------------

Total                      $      6,533,237   $     (4,875,903)   $        621,875   $      1,279,383   $         37,629
                           ================   ================    ================   ================   ================

<Caption>

                                Profit           Income from
 For the six months             Shares           Investments
ended June 30, 2001         ----------------   ----------------
<S>                         <C>                <C>

SERIES A UNITS

JWH LLC (unaudited)         $              -   $        161,411
Millburn LLC (unaudited)                   -             62,382
                            ----------------   ----------------

Total                       $              -   $        223,793
                            ================   ================

SERIES B UNITS

JWH LLC (unaudited)         $              -   $        331,942
Millburn LLC (unaudited)                   -            137,354
                            ----------------   ----------------

Total                       $              -   $        469,296
                            ================   ================

SERIES C UNITS

JWH LLC (unaudited)         $              -   $        190,187
Millburn LLC (unaudited)                   -             78,921
                            ----------------   ----------------

Total                       $              -   $        269,108
                            ================   ================

TOTAL ALL UNITS
---------------

JWH LLC (unaudited)         $              -   $        683,540
Millburn LLC (unaudited)                   -            278,657
                            ----------------   ----------------

Total                       $              -   $        962,197
                            ================   ================
</Table>

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

<Table>
<Caption>

                                June 30, 2002
                                 (unaudited)                         December 31, 2001
                       -----------------------------------    -----------------------------------
                              JWH              Millburn              JWH             Millburn
                              LLC                LLC                 LLC                LLC
                       ----------------   ----------------    ----------------   ----------------
<S>                    <C>                <C>                 <C>                <C>
Assets                 $     15,916,232   $     14,865,833    $     13,692,020   $     13,171,887
                       ================   ================    ================   ================

Liabilities            $      1,282,953   $        232,554    $        614,179   $         94,046
Members' Capital             14,633,279         14,633,279          13,077,841         13,077,841
                       ----------------   ----------------    ----------------   ----------------

Total                  $     15,916,232   $     14,865,833    $     13,692,020   $     13,171,887
                       ================   ================    ================   ================
</Table>

                                       7

<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, 2002      June 30, 2001      June 30, 2002      June 30, 2001
                         (unaudited)         (unaudited)        (unaudited)        (unaudited)
                       ----------------   ----------------    ----------------   ----------------
<S>                    <C>                <C>                 <C>                <C>
Revenues               $      4,795,775   $     (1,733,636)   $      3,442,829   $      1,378,295

Expenses                        289,859            336,068             554,146            694,755
                       ----------------   ----------------    ----------------   ----------------

Net Income (Loss)      $      4,505,916   $     (2,069,704)   $      2,888,683   $        683,540
                       ================   ================    ================   ================

<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, 2002      June 30, 2001      June 30, 2002      June 30, 2001
                         (unaudited)         (unaudited)        (unaudited)        (unaudited)
                       ----------------   ----------------    ----------------   ----------------
<S>                    <C>                <C>                 <C>                <C>
Revenues               $      2,966,268   $     (1,008,170)   $      2,412,195   $        900,914

Expenses                        402,009            303,621             681,648            622,257
                       ----------------   ----------------    ----------------   ----------------

Net Income  (Loss)     $      2,564,259   $     (1,311,791)   $      1,730,547   $        278,657
                       ================   ================    ================   ================
</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.

     MLIM Alternative Strategies LLC ("MLIM AS 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 MLIM AS

                                       8
<Page>

     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, 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


          -----------------------------------------------------------
                    Jan.     Feb.    Mar.     Apr.     May      Jun.
          -----------------------------------------------------------
          2001    $264.13  $265.03 $297.36  $274.43  $279.83  $265.64
          -----------------------------------------------------------
          2002    $269.22  $255.81 $242.23  $237.12  $258.85  $317.98
          -----------------------------------------------------------


                   MONTH-END NET ASSET VALUE PER SERIES B UNIT

          -----------------------------------------------------------
                    Jan.     Feb.     Mar.     Apr.     May     Jun.
          -----------------------------------------------------------
          2001    $214.61  $215.32  $241.58  $222.96  $227.36 $215.83
          -----------------------------------------------------------
          2002    $218.75  $207.86  $196.82  $192.67  $210.33 $258.37
          -----------------------------------------------------------


                   MONTH-END NET ASSET VALUE PER SERIES C UNIT

          -----------------------------------------------------------
                    Jan.     Feb.    Mar.     Apr.     May      Jun.
          -----------------------------------------------------------
          2001    $167.25  $167.81 $188.27  $173.76  $177.19  $168.20
          -----------------------------------------------------------
          2002    $170.48  $161.99 $153.39  $150.15  $163.92  $201.36
          -----------------------------------------------------------

                                       9
<Page>

     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, 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 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.

                                       10
<Page>


     JANUARY 1, 2001 to JUNE 30, 2001
     --------------------------------

     January 1, 2001 to March 31, 2001

     Trading in the interest rate markets was profitable during the quarter.
     Eurodollar trading was successful in January as the weakening U.S. economy
     and the Federal Reserve's move to cut interest rates caused Eurodollar
     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 and FTSE Financial Times Stock Index outweighed losses from
     Nikkei 225, German DAX 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.

     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-Bond futures, U.S. Treasury bonds and U.S.
     10-year notes had significant losses.



     Item 3.   Quantitative and Qualitative Disclosures About Market Risk

             Not applicable

                                       11
<Page>

                           PART II - OTHER INFORMATION


Item 1.    Legal Proceedings

           There are no pending 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

           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 2002.


                                       12
<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
                                        (General Partner)






Date: August 15, 2002         By /s/ FABIO P. SAVOLDELLI
                                 -----------------------
                                 Fabio P. Savoldelli
                                 Chairman, Chief Executive Officer and Manager
                                 (Principal Executive Officer)





Date:  August 15, 2002        By /s/ MICHAEL L. PUNGELLO
                                 -----------------------
                                 Michael L. Pungello
                                 Vice President, Chief Financial Officer
                                 and Treasurer
                                 (Principal Financial and Accounting Officer)


                                       13
<Page>

                                   EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
                      of Title 18 of the United States Code

We, Fabio P. Savoldelli and Michael L. Pungello, the chief executive officer and
chief financial officer, respectively, of MLIM Alternative Strategies LLC, the
general partner of John W. Henry & Co./Millburn L.P., certify that (i) the
quarterly report Form 10-Q fully complies with the requirements of Section 13(a)
or 15(d) of the Securities and Exchange Act of 1934 and (ii) the information
contained in the Form 10-Q fairly presents, in all material respects, the
financial condition and results of operations of John W. Henry & Co./Millburn
L.P.

Date: August 15, 2002           By /s/ FABIO P. SAVOLDELLI
                                   -----------------------
                                   Fabio P. Savoldelli
                                   Chairman, Chief Executive Officer and Manager
                                   (Principal Executive Officer)





Date:  August 15, 2002          By /s/ MICHAEL L. PUNGELLO
                                   -----------------------
                                   Michael L. Pungello
                                   Vice President, Chief Financial Officer
                                   and Treasurer
                                   (Principal Financial and Accounting Officer)


                                      14