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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 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
--- ---
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, DECEMBER 31,
2002 2001
(UNAUDITED)
-------------- --------------
ASSETS
Investments $ 33,245,858 $ 26,155,682
Receivable from investments 198,200 220,310
------------- --------------
TOTAL $ 33,444,058 $ 26,375,992
============= ==============
LIABILITY AND PARTNERS' CAPITAL
Redemptions payable $ 198,200 $ 220,310
------------- --------------
Total liabilities 198,200 220,310
------------- --------------
PARTNERS' CAPITAL:
General Partner:
(284 and 284 Series A Units) 107,352 76,061
(613 and 613 Series B Units) 188,275 133,398
(450 and 450 Series C Units) 107,699 76,317
Limited Partners:
(22,666 and 25,601 Series A Units) 8,567,796 6,856,493
(50,219 and 55,127 Series B Units) 15,424,129 11,996,457
(36,980 and 41,374 Series C Units) 8,850,607 7,016,956
------------- --------------
Total partners' capital 33,245,858 26,155,682
------------- --------------
TOTAL $ 33,444,058 $ 26,375,992
============= ==============
NET ASSET VALUE PER UNIT
Series A (Based on 22,950 and 25,885 Units outstanding) $ 378.00 $ 267.82
============= ==============
Series B (Based on 50,832 and 55,740 Units outstanding) $ 307.14 $ 217.61
============= ==============
Series C (Based on 37,430 and 41,824 Units outstanding) $ 239.33 $ 169.60
============= ==============
See notes to financial statements.
2
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF OPERATIONS
(unaudited)
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2002 2001 2002 2001
--------------- -------------- -------------- --------------
REVENUES:
Income from investments $ 5,421,404 $ 1,836,810 $ 10,040,634 $ 2,799,007
------------- -------------- ------------- --------------
NET INCOME $ 5,421,404 $ 1,836,810 $ 10,040,634 $ 2,799,007
============= ============== ============= ==============
NET INCOME PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 113,982 129,751 118,286 135,114
============= ============== ============= ==============
Net income per weighted average
General Partner and Limited Partner Unit $ 47.56 $ 14.16 $ 84.88 $ 20.72
============= ============== ============= ==============
See notes to financial statements.
3
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002 AND 2001
(unaudited)
UNITS GENERAL PARTNER
------ -----------------
SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C
--------- ----------- --------- --------- ---------- ----------
PARTNERS' CAPITAL,
December 31, 2000 29,064 67,053 48,130 $ 84,379 $ 152,621 $ 86,921
Net income -- -- -- 8,384 15,164 8,636
Redemptions (2,000) (8,624) (5,230) -- -- --
--------- ----------- ---------- --------- ---------- ----------
PARTNERS' CAPITAL,
September 30, 2001 27,064 58,429 42,900 $ 92,763 $ 167,785 $ 95,557
========= =========== ========== ========= ========== ==========
PARTNERS' CAPITAL,
December 31, 2001 25,885 55,740 41,824 $ 76,061 $ 133,398 $ 76,317
Net income -- -- -- 31,291 54,877 31,382
Redemptions (2,935) (4,908) (4,394) -- -- --
--------- ----------- ---------- --------- ---------- ----------
PARTNERS' CAPITAL,
September 30, 2002 22,950 50,832 37,430 $ 107,352 $ 188,275 $ 107,699
========= =========== ========== ========= ========== ==========
Limited Partners
-------------------
Series A Series B Series C Total
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2000 $ 7,415,475 $ 13,906,094 $ 7,777,655 29,423,145
Net income 704,997 1,309,830 751,996 2,799,007
Redemptions (535,682) (1,917,415) (919,547) (3,372,644)
------------- ------------- ------------- -------------
PARTNERS' CAPITAL,
September 30, 2001 $ 7,584,790 $ 13,298,509 $ 7,610,104 28,849,508
============= ============= ============= =============
PARTNERS' CAPITAL,
December 31, 2001 $ 6,856,493 $ 11,996,457 $ 7,016,956 $ 26,155,682
Net income 2,594,567 4,643,337 2,685,180 10,040,634
Redemptions (883,264) (1,215,665) (851,529) (2,950,458)
------------- ------------- ------------- -------------
PARTNERS' CAPITAL,
September 30, 2002 $ 8,567,796 $ 15,424,129 $ 8,850,607 $ 33,245,858
============= ============= ============= =============
See notes to financial statements.
4
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion of
management, the financial statements contain all adjustments (consisting of only
normal recurring adjustments) necessary to present fairly the financial position
of John W. Henry & Co./Millburn L.P. (the "Partnership") as of September 30,
2002, and the results of its operations for the three and nine month periods
ended September 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 September 30, 2002, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC")
("Trading LLC", collectively) of $16,622,929 and $16,622,929, 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 investments are set
forth as follows:
FOR THE THREE MONTHS CHANGE IN INTEREST BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ENDED SEPTEMBER 30, 2002 REALIZED UNREALIZED INCOME COMMISSIONS FEES SHARES INVESTMENTS
----------- ----------- ----------- ----------- --------------- ----------- -----------
SERIES A UNITS
JWH LLC (unaudited) $ 1,422,155 $ (283,049) $ 18,636 $ 96,179 $ 2,830 $ 162,990 $ 895,743
Millburn LLC (unaudited) 991,856 (261,222) 16,830 89,255 2,625 135,626 519,958
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 2,414,011 $ (544,271) $ 35,466 $ 185,434 $ 5,455 $ 298,616 $ 1,415,701
=========== ============ =========== =========== ============ =========== ===========
SERIES B UNITS
JWH LLC (unaudited) $ 2,580,600 $ (529,832) $ 33,593 $ 173,510 $ 5,102 $ 301,902 $ 1,603,847
Millburn LLC (unaudited) 1,805,132 (487,604) 30,348 160,884 4,732 244,579 937,681
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 4,385,732 $(1,017,436) $ 63,941 $ 334,394 $ 9,834 $ 546,481 $ 2,541,528
=========== ============ =========== =========== ============ =========== ===========
SERIES C UNITS
JWH LLC (unaudited) $ 1,470,578 $ (288,748) $ 19,316 $ 99,763 $ 2,934 $ 173,799 $ 924,650
Millburn LLC (unaudited) 1,032,304 (274,269) 17,448 92,513 2,721 140,724 539,525
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 2,502,882 $ (563,017) $ 36,764 $ 192,276 $ 5,655 $ 314,523 $ 1,464,175
=========== ============ =========== =========== ============ =========== ===========
TOTAL ALL UNITS
JWH LLC (unaudited) $ 5,473,333 $(1,101,629) $ 71,545 $ 369,452 $ 10,866 $ 638,691 $ 3,424,240
Millburn LLC (unaudited) 3,829,292 (1,023,095) 64,626 342,652 10,078 520,929 1,997,164
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 9,302,625 $(2,124,724) $ 136,171 $ 712,104 $ 20,944 $ 1,159,620 $ 5,421,404
=========== ============ =========== =========== ============ =========== ===========
5
FOR THE THREE MONTHS CHANGE IN INTEREST BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ENDED SEPTEMBER 30, 2001 REALIZED UNREALIZED INCOME COMMISSIONS FEES SHARES INVESTMENTS
----------- ----------- ----------- ----------- --------------- ----------- -----------
SERIES A UNITS
JWH LLC (unaudited) $ 253,595 $ 96,613 $ 32,748 $ 83,102 $ 2,444 $ -- $ 297,410
Millburn LLC (unaudited) 207,935 30,760 30,260 74,583 2,194 -- 192,178
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 461,530 $ 127,373 $ 63,008 $ 157,685 $ 4,638 $ -- $ 489,588
=========== =========== =========== =========== ============ =========== ===========
SERIES B UNITS
JWH LLC (unaudited) $ 436,416 $ 174,162 $ 57,701 $ 146,332 $ 4,304 $ -- $ 517,643
Millburn LLC (unaudited) 363,313 57,305 53,763 132,431 3,895 -- 338,055
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 799,729 $ 231,467 $ 111,464 $ 278,763 $ 8,199 $ -- $ 855,698
=========== =========== =========== =========== ============ =========== ===========
SERIES C UNITS
JWH LLC (unaudited) $ 252,169 $ 98,028 $ 32,736 $ 83,060 $ 2,443 $ -- $ 297,430
Millburn LLC (unaudited) 208,925 32,042 30,499 75,162 2,210 -- 194,094
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 461,094 $ 130,070 $ 63,235 $ 158,222 $ 4,653 $ -- $ 491,524
=========== =========== =========== =========== ============ =========== ===========
TOTAL ALL UNITS
JWH LLC (unaudited) $ 942,180 $ 368,803 $ 123,185 $ 312,494 $ 9,191 $ -- $ 1,112,483
Millburn LLC (unaudited) 780,173 120,107 114,522 282,176 8,299 -- 724,327
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 1,722,353 $ 488,910 $ 237,707 $ 594,670 $ 17,490 $ -- $ 1,836,810
=========== =========== =========== =========== ============ =========== ===========
FOR THE NINE MONTHS CHANGE IN INTEREST BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ENDED SEPTEMBER 30, 2002 REALIZED UNREALIZED INCOME COMMISSIONS FEES SHARES INVESTMENTS
----------- ----------- ----------- ----------- --------------- ----------- -----------
SERIES A UNITS
JWH LLC (unaudited) $ 1,779,049 $ 235,485 $ 44,998 $ 237,610 $ 6,992 $ 162,990 $ 1,651,940
Millburn LLC (unaudited) 1,189,391 146,913 44,276 230,095 6,766 169,804 973,915
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 2,968,440 $ 382,398 $ 89,274 $ 467,705 $ 13,758 $ 332,794 $ 2,625,855
=========== =========== =========== =========== ============ =========== ===========
SERIES B UNITS
JWH LLC (unaudited) $ 3,215,915 $ 394,046 $ 80,163 $ 423,446 $ 12,452 $ 301,902 $ 2,952,324
Millburn LLC (unaudited) 2,153,279 240,709 78,843 409,699 12,051 305,188 1,745,893
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 5,369,194 $ 634,755 $ 159,006 $ 833,145 $ 24,503 $ 607,090 $ 4,698,217
=========== =========== =========== =========== ============ =========== ===========
SERIES C UNITS
JWH LLC (unaudited) $ 1,837,075 $ 252,637 $ 46,710 $ 246,708 $ 7,256 $ 173,799 $ 1,708,659
Millburn LLC (unaudited) 1,236,952 146,670 45,985 238,831 7,024 175,849 1,007,903
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 3,074,027 $ 399,307 $ 92,695 $ 485,539 $ 14,280 $ 349,648 $ 2,716,562
=========== =========== =========== =========== ============ =========== ===========
TOTAL ALL UNITS
JWH LLC (unaudited) $ 6,832,039 $ 882,168 $ 171,871 $ 907,764 $ 26,700 $ 638,691 $ 6,312,923
Millburn LLC (unaudited) 4,579,622 534,292 169,104 878,625 25,841 650,841 3,727,711
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $11,411,661 $ 1,416,460 $ 340,975 $ 1,786,389 $ 52,541 $ 1,289,532 $10,040,634
=========== =========== =========== =========== ============ =========== ===========
6
FOR THE NINE MONTHS CHANGE IN INTEREST BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ENDED SEPTEMBER 30, 2001 REALIZED UNREALIZED INCOME COMMISSIONS FEES SHARES INVESTMENTS
----------- ----------- ----------- ----------- --------------- ----------- -----------
SERIES A UNITS
JWH LLC (unaudited) $ 1,183,688 $ (580,077) $ 118,727 $ 255,988 $ 7,529 $ -- $ 458,821
Millburn LLC (unaudited) 933,548 (546,707) 102,957 228,517 6,721 -- 254,560
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 2,117,236 $(1,126,784) $ 221,684 $ 484,505 $ 14,250 $ -- $ 713,381
=========== ============ =========== =========== ============ =========== ===========
SERIES B UNITS
JWH LLC (unaudited) $ 2,197,941 $(1,084,505) $ 217,892 $ 467,979 $ 13,764 $ -- $ 849,585
Millburn LLC (unaudited) 1,721,578 (1,003,032) 190,352 421,104 12,385 -- 475,409
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 3,919,519 $(2,087,537) $ 408,244 $ 889,083 $ 26,149 $ -- $ 1,324,994
=========== ============ =========== =========== ============ =========== ===========
SERIES C UNITS
JWH LLC (unaudited) $ 1,246,423 $ (610,188) $ 122,562 $ 263,432 $ 7,748 $ -- $ 487,617
Millburn LLC (unaudited) 972,412 (562,484) 107,092 237,033 6,972 -- 273,015
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 2,218,835 $(1,172,672) $ 229,654 $ 500,465 $ 14,720 $ -- $ 760,632
=========== ============ =========== =========== ============ =========== ===========
TOTAL ALL UNITS
JWH LLC (unaudited) $ 4,628,052 $(2,274,770) $ 459,181 $ 987,399 $ 29,041 $ -- $ 1,796,023
Millburn LLC (unaudited) 3,627,538 (2,112,223) 400,401 886,654 26,078 -- 1,002,984
----------- ------------ ----------- ----------- ------------ ----------- -----------
Total $ 8,255,590 $(4,386,993) $ 859,582 $ 1,874,053 $ 55,119 $ -- $ 2,799,007
=========== ============ =========== =========== ============ =========== ===========
Condensed statements of financial condition and statements of operations
for JWH LLC and Millburn LLC are set forth as follows:
SEPTEMBER 30, 2002
(UNAUDITED) DECEMBER 31, 2001
---------------------------------------- ----------------------------------------------
JWH Millburn JWH Millburn
LLC LLC LLC LLC
-------------------- ---------------- --------------------- ---------------------
Assets $ 18,327,982 $ 16,656,650 $ 13,692,020 $ 13,171,887
==================== ================ ===================== =====================
Liabilities $ 1,705,053 $ 33,721 $ 614,179 $ 94,046
Members' Capital 16,622,929 16,622,929 13,077,841 13,077,841
-------------------- ---------------- --------------------- ---------------------
Total $ 18,327,982 $ 16,656,650 $ 13,692,020 $ 13,171,887
==================== ================ ===================== =====================
JWH LLC
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, 2002 SEPTEMBER 30, 2001 SEPTEMBER 30, 2002 SEPTEMBER 30, 2001
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------------- ----------------- --------------------- ---------------------
Revenues $ 4,443,251 $ 1,434,168 $ 7,886,080 $ 2,812,463
Expenses 1,019,010 321,685 1,573,156 1,016,440
-------------------- ---------------- --------------------- ---------------------
Net Income $ 3,424,241 $ 1,112,483 $ 6,312,924 $ 1,796,023
==================== ================ ===================== =====================
MILLBURN LLC
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, 2002 SEPTEMBER 30, 2001 SEPTEMBER 30, 2002 SEPTEMBER 30, 2001
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------------- ------------------- --------------------- ---------------------
Revenues $ 2,870,821 $ 1,014,802 $ 5,283,016 $ 1,915,716
Expenses 873,658 290,475 1,555,306 912,732
-------------------- ---------------- --------------------- ---------------------
Net Income $ 1,997,163 $ 724,327 $ 3,727,710 $ 1,002,984
==================== ================ ===================== =====================
7
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 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 of the Trading LLC's under Equity in commodity
futures trading accounts.
8
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 JUL. AUG. SEP.
- ---------------------------------------------------------------------------------------
2001 $264.13 $265.03 $297.36 $274.43 $279.83 $265.64 $253.76 $273.60 $283.68
- ---------------------------------------------------------------------------------------
2002 $269.22 $255.81 $242.23 $237.12 $258.85 $317.98 $345.63 $355.58 $378.00
- ---------------------------------------------------------------------------------------
MONTH-END NET ASSET VALUE PER SERIES B UNIT
- ----------------------------------------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
- ----------------------------------------------------------------------------------------
2001 $214.61 $215.32 $241.58 $222.96 $227.36 $215.83 $206.18 $222.29 $230.47
- ----------------------------------------------------------------------------------------
2002 $218.75 $207.86 $196.82 $192.67 $210.33 $258.37 $280.70 $288.92 $307.14
- ----------------------------------------------------------------------------------------
MONTH-END NET ASSET VALUE PER SERIES C UNIT
- ---------------------------------------------------------------------------------------
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
- ---------------------------------------------------------------------------------------
2001 $167.25 $167.81 $188.27 $173.76 $177.19 $168.20 $160.69 $173.24 $179.62
- ---------------------------------------------------------------------------------------
2002 $170.48 $161.99 $153.39 $150.15 $163.92 $201.36 $218.76 $225.14 $239.33
- ---------------------------------------------------------------------------------------
Performance Summary
All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits as an investor in the Trading LLCs . The following
commentary describes the trading results of the Trading LLCs.
JANUARY 1, 2002 TO SEPTEMBER 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
9
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.
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.
July 1, 2002 to September 30, 2002
Results from the interest rate sector provided solid positive performance for
the Partnership. The yield curve on major debt instruments declined throughout
the quarter. This market environment was supported by the increased risk
aversion, the continued U.S. stock market decline and the conflicting reports
regarding the pace of the U.S. economic recovery. The economic news from Europe
also pointed to a weak recovery overseas.
Stock index futures also brought strong positive returns for the quarter. The
downward trending market created a good environment for the trend following
traders. Investors in the equity markets are still liquidating equity exposure.
Metals produced only slight losses this quarter citing declines in precious and
base metals throughout the quarter due to liquidation pressures in the market.
Gold, however, had a weak rally during the second half of the quarter.
Currency trading was the sad story this quarter being the sector with overall
losses. The sector was choppy throughout the quarter making it difficult for any
of the trend following traders to lock onto a market trend.
The Partnership, as a member of a class of plaintiffs, received a settlement
payment in August relating to certain copper trades made by a number of
investors, including the Partnership, during a period in the mid-1990s. Members
of the class were those who purchased or sold Comex copper futures or options
contracts between June 24, 1993 and June 15, 1996. The amount of the settlement
for the Partnership was $100,571, which is included in the realized profit of
JWH LLC and Millburn LLC for $52,219 and $48,352, respectively. The effect of
the settlement payment was included in the Partnership's performance in August.
10
JANUARY 1, 2001 TO SEPTEMBER 30, 2001
- -------------------------------------
January 1, 2001 to March 31, 2001
Trading in the interest rate markets was profitable during the quarter.
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. ten-year notes had
significant losses.
July 1 2001 to September 30, 2001
Stock index trading was profitable as various short positions fueled gains for
the quarter. Short positions in the Japanese Nikkei and German DAX were
profitable as indexes fell on poor corporate earnings and investor's anxiety
that the terrorist attacks would cause the global economic slump to worsen.
Trading in the interest rate sector was profitable. Eurodollar trading offset
losses on Euro-Bund futures. Late gains from Japanese ten-year bonds negated
earlier losses.
Trading in the metals markets was successful. Positions in aluminum and copper
posted gains in July as prices fell due to an apparent weakening in the retail
sector, which had been the strongest in the economy. Long gold positions were
profitable in September as investors flocked to gold in the aftermath
11
of the terrorist attacks. Investors feared the potential for enduring
instability in currency and equity investments and their expected reduced
returns.
Currency trading was the only unprofitable strategy during the quarter. Losses
were sustained in Swiss franc and Euro positions in July as the Euro appreciated
relative to the U.S. dollar due to growing concerns over the lackluster U.S.
economy. Short Japanese yen positions were also unprofitable.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not applicable
Item 4. Controls and Procedures
MLIM Alternative Strategies 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.
12
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending legal proceedings to which the Partnership or
MLIM AS LLC is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other information
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 nine
months of fiscal 2002.
13
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: MLIM ALTERNATIVE STRATEGIES LLC
(General Partner)
Date: November 14, 2002 By /S/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer
and Manager
(Principal Executive Officer)
Date: November 14, 2002 By /S/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial
Officer and Treasurer
(Principal Financial and
Accounting Officer)
14
EXHIBIT 99
FORM OF CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63
OF TITLE 180 OF THE UNITED STATES CODE
I, Fabio P. Savoldelli, 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 we have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, 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
board of directors (or persons performing the equivalent function):
a) all significant deficiencies, if any, 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; and
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether or not 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: November 14, 2002
- -----------------------
By /S/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
15
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 we have:
a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, 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
board of directors (or persons performing the equivalent function):
a) all significant deficiencies, if any, 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; and
6. The registrant's other certifying officers and I have indicated in this
quarterly report whether or not 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: November 14, 2002
- -----------------------
By /S/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
16