ML JWH STRATEGIC ALLOCATION FUND LP - 10-K Annual Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

/X/ Annual Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, 2002

or

/ / Transition Report Pursuant to Section 13 or
15(d) of the Securities Exchange Act of 1934

Commission file number: 0-28928

ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(Exact name of registrant as specified in its charter)

DELAWARE 13-3887922
---------------------------- -------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)

C/O MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
PRINCETON CORPORATE CAMPUS
800 SCUDDERS MILL ROAD - SECTION 2G
PLAINSBORO, NEW JERSEY 08536
----------------------------
(Address of principal executive offices)

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

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT: None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT: Limited Partnership
Units

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

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. /X/

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: as of February 1, 2003, limited partnership
units with an aggregate net asset value of $373,186,993 were held by
non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2002 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2002,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith.

ML JWH STRATEGIC ALLOCATION FUND L.P.

ANNUAL REPORT FOR 2002 ON FORM 10-K

TABLE OF CONTENTS

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PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

ML JWH Strategic Allocation Fund L.P. (the "Partnership") was
organized under the Delaware Revised Uniform Limited Partnership Act on December
11, 1995 and began trading operations on July 15, 1996. The Partnership trades
in the international futures and forward markets applying multiple proprietary
trading strategies under the direction of John W. Henry & Company, Inc.
("JWH (R)").

Merrill Lynch Alternative Investments LLC ("MLAI LLC"), a
wholly-owned subsidiary of Merrill Lynch Investment Managers, LP ("MLIM"),
which, in turn, is a wholly-owned subsidiary of Merrill Lynch & Co., Inc.
("Merrill Lynch"), is the general partner of the Partnership. Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S") is the Partnership's commodity
broker.

Merrill Lynch Alternative Investments LLC was formerly known as
MLIM Alternative Strategies LLC ("MLIM AS LLC"). As of February 28, 2003, MLIM
Alternative Strategies LLC changed its name to Merrill Lynch Alternative
Investments LLC, as part of an internal Merrill Lynch reorganization. This
change did not affect the personnel involved in the management of the
Partnership. As used herein, the capitalized term "MLAI LLC" also refers to the
general partner at times when its name was MLIM Alternative Strategies LLC, as
applicable.

JWH(R) has been the sole trading advisor for the Partnership
since inception. JWH(R) manages capital in commodities, interest rate and
foreign exchange markets for international banks, brokerage firms, pension
funds, institutions and high net worth individuals. JWH(R) trades a wide range
of futures and forward contracts on a 24-hour basis in the United States, Europe
and Asia, and is one of the largest advisors in the managed futures industry in
terms of assets under management, trading approximately $1.267 billion in client
capital as of December 31, 2002.

The Partnership may offer its units of limited partnership
interest ("Units"), when available for sale, as of the beginning of each month.
Investors whose subscriptions are accepted during a month are admitted to the
Partnership as Limited Partners as of the beginning of the following month,
acquiring Units at the Net Asset Value per Unit as of the date of admission.
Investors' customer securities accounts are debited in the amount of their
subscriptions on a single monthly settlement date within approximately five
business days of the issuance of their Units.

As of December 31, 2002, the aggregate Net Asset Value of the
Partnership was $318,297,668, and the Net Asset Value per Unit, originally $100
as of July 15, 1996, had risen to $219.52.

Through December 31, 2002, the highest month-end Net Asset Value
per Unit was $240.00 (September 30, 2002) and the lowest $98.89 (August 31,
1996).

(b) FINANCIAL INFORMATION ABOUT SEGMENTS:

The Partnership's business constitutes only one segment for
financial reporting purposes, i.e., a speculative "commodity pool." The
Partnership does not engage in sales of goods or services.

(c) NARRATIVE DESCRIPTION OF BUSINESS:

GENERAL

The Partnership trades in the international futures, options on
futures and forward markets applying the multiple proprietary trading strategies
("Programs") of JWH(R). In managing the Partnership's trading, JWH(R) uses its
"JWH(R) Strategic Allocation Program" in which JWH(R) selects, allocates and
reallocates Partnership assets in any different combinations of, its JWH(R)
Programs. The Partnership's primary objective is achieving, through speculative

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trading, substantial long-term capital appreciation. At the same time, the use
of multiple JWH(R) Programs has the potential to reduce the expected volatility
and risk of loss which would typically be associated with the use of any single
Program.

The Partnership applies a multi-strategy approach. MLAI LLC has
delegated to JWH(R) full discretionary authority over the selection of which
JWH(R) Trading Programs to use for the Partnership and the leverage to be
applied.

One of the objectives of the Partnership is to provide
diversification to a limited portion of the risk segment of the Limited
Partners' portfolios into an investment field that has historically often
demonstrated a low degree of performance correlation with traditional stock and
bond holdings. Since it began trading, the Partnership's returns have, in fact,
frequently been significantly non-correlated (not, however, negatively
correlated) with the United States stock and bond markets.

LEVERAGE CONSIDERATIONS

The larger the Partnership's market commitment (generally
equivalent to the face amount of the positions held) in relation to its assets,
the higher the position size in relation to account equity at which the
Partnership is said to be trading. In general, the larger the Partnership's
market commitment, the profit potential increases, as well as risk of loss.
JWH(R) adjusts the Partnership's market commitment to levels which JWH(R)
believes are consistent with the Partnership's desired internal risk/reward
profile. For example, in volatile markets, JWH(R) might decide -- in order to
reduce market exposure and, accordingly, the risk of loss, but with a
corresponding decrease in profit potential -- that the positions ordinarily
appropriate for a $50 million allocation are all a $75 million allocation should
acquire. On the other hand, market factors might cause JWH(R) to decide -- in
order to increase market exposure and, accordingly, profit potential as well as
risk of loss -- that the positions ordinarily indicated for a $100 million
allocation are appropriate for an allocation of only $50 million.

At certain times -- often after substantial gains in several of
the Programs -- JWH(R) may conclude that the Partnership's portfolio offers more
risk than reward. If so, JWH(R) may reduce the Partnership's market commitment,
both taking profits and controlling risk. Conversely, JWH(R) may commit more
than the total assets of the Partnership to the markets if the profit potential
seems to justify the added risk.

JOHN W. HENRY & COMPANY, INC.

BACKGROUND

John W. Henry & Company began managing assets in 1981 as a sole
proprietorship and was later incorporated in the State of California as John W.
Henry & Co., Inc. to conduct business as a commodity trading advisor.
JWH(R)reincorporated in Florida in 1997. JWH(R)'s offices are at 301 Yamato
Road, Suite 2200, Boca Raton, Florida, 33431-4931. JWH(R)'s registration as a
commodity trading advisor became effective in November 1980. JWH(R)is a member
of the National Futures Association ("NFA") in this capacity.

TRADING STRATEGY

THE FOLLOWING DESCRIPTION OF JWH(R)S TRADING STRATEGY RELATES TO
JWH(R) GENERALLY AND NOT TO THE PARTNERSHIP ITSELF.

GENERAL

JWH(R) specializes in managing institutional and individual
capital in the global futures, interest rate and foreign exchange markets. Since
1981, JWH(R) has developed and implemented proprietary trend-following trading
techniques that focus on long-term rather than short-term, day-to-day trends.
JWH(R) currently operates eleven trading programs.

IMPLEMENTING THE PROGRAM

The first step in the JWH(R) investment process is the
identification of sustained price movements -- or trends -- in a given market.
While there are many ways to identify trends, JWH(R) uses mathematical models
that attempt

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to distinguish real trends from interim volatility. It also presumes that trends
often exceed in duration the expectation of the general marketplace.

JWH(R)'s historical performance demonstrates that, because trends
often last longer than most market participants expect, significant returns can
be generated from positions held over a long period of time. The first step in
the JWH(R) investment process is the identification of a price trend. JWH(R)
focuses on attempting to implement a trading methodology which identifies a
majority of the significant, as opposed to the more numerous small, price trends
in a given market.

JWH(R) attempts to pare losing positions relatively quickly while
allowing profitable positions to mature. Most losing positions are closed within
a few days or weeks, while others -- those where a profitable trend continues
- --are retained. Positions held for two to four months are not unusual, and
positions have been held for more than one year. Historically, only 30% to 40%
of all trades made pursuant to the investment methods have been profitable.
Large profits on a few trades in positions that typically exist for several
months have produced favorable results overall.

The greatest cumulative percentage decline in daily net asset
value which JWH(R) has experienced in any single program was nearly sixty
percent on a composite basis since its inception. Investors in the Partnership
should understand that similar or greater drawdowns are possible in the future.

To reduce exposure to volatility in any particular market, most
JWH(R) programs participate in several markets at one time. In total, JWH(R)
participates in up to 60 markets, encompassing interest rates, foreign exchange,
and commodities such as agricultural products, energy and precious metals. Most
investment programs maintain a consistent portfolio composition to allow
opportunities in as many major market trends as possible.

Throughout the investment process, risk controls designed to
reduce the possibility of an extraordinary loss in any one market are
maintained. Proprietary research is conducted on an ongoing basis to refine the
JWH(R) investment strategies and attempt to reduce volatility while maintaining
the potential for excellent performance.

JWH(R) at its sole discretion may override computer-generated
signals, and may at times use discretion in the application of its quantitative
models which may affect performance positively or negatively. This could occur,
for example, when JWH(R) determines that markets are illiquid or erratic, which
may occur cyclically during holiday seasons or on the basis of
irregularly-occurring market events. Subjective aspects of JWH(R)'s quantitative
models also include the determination of the size of the position in relation to
account equity, when an account should commence trading, markets traded,
contracts and contract month selection, and effective trade execution.

PROGRAM MODIFICATIONS

Proprietary research is conducted on an ongoing basis to refine
the JWH(R) investment strategies and attempt to reduce volatility. While the
basic philosophy underlying the firm's investment methodology has remained
intact throughout its history, the potential benefits of employing more than one
investment methodology, or in varying combinations, is a subject of continual
testing, review and evaluation. Extensive research may suggest substitution of
alternative investment methodologies with respect to particular contracts in
light of relative differences in historical performance achieved through testing
different methodologies. In addition, risk management research and analysis may
suggest modifications regarding the relative weighting among various contracts,
the addition or deletion of particular contracts for a program or a change in
the degree of leverage employed. However, most investment programs maintain a
consistent portfolio composition to allow opportunities in as many major market
trends as possible.

All cash in a JWH(R) investment program is available to be used
to trade in a JWH(R) program. The amounts committed to margin will vary from
time to time. As capital in each JWH(R) trading program increases, additional
emphasis and weighting may be placed on certain markets which have historically
demonstrated the greatest liquidity and profitability. Furthermore, the
weighting of capital committed to various markets in the trading programs is
dynamic, and JWH(R) may vary the weighting at its discretion as market
conditions, liquidity, position limit considerations and other factors warrant.
MLAI LLC will generally not be informed of any such changes.

Adjustments to the size of trading positions taken in relation to
account equity have been and continue to be an integral part of JWH(R)'s
investment strategy. At its discretion, JWH(R) may adjust position size in
relation to account equity in certain markets or entire programs. Position size
in relation to account equity adjustments may be made at certain times for some
accounts but not for others. Factors which may affect the decision to adjust
position size in relation to account equity include: ongoing research; program
volatility; current market volatility; risk exposure; and subjective judgment
and evaluation of these and other general market conditions. Such decisions to
change position size

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in relation to account equity may positively or negatively affect performance,
and will alter risk exposure for an account. Position size in relation to
account equity adjustments may lead to greater profits or losses, more frequent
and larger margin calls and greater brokerage expense. No assurance is given
that such position size in relation to account equity adjustments will be to the
financial advantage of investors in the Partnership. JWH(R) reserves the right,
at its sole discretion, to adjust its position size in relation to account
equity policy without notification to MLAI LLC.

ADDITION, REDEMPTION AND REALLOCATION OF CAPITAL FOR COMMODITY
POOL OR PARTNERSHIP ACCOUNTS

Investors purchase or redeem Units at Net Asset Value ("NAV") on
the close of business on the last business day of the month. In order to provide
market exposure commensurate with the Partnership's equity on the date of these
transactions, JWH(R)'s general practice is to adjust positions as near as
possible to the close of business on the last trading date of the month. The
intention is to provide for additions and redemptions at a NAV that will be the
same for each of these transactions, and to eliminate possible variations in
NAVs that could occur as a result of inter-day price changes if, for example,
additions were calculated on the first day of the subsequent month. Therefore,
JWH(R) may, at its sole discretion, adjust its investment of the assets
associated with the addition or redemption as near as possible to the close of
business on the last business day of the month to reflect the amount then
available for trading. Based on JWH(R)'s determination of liquidity or other
market conditions, JWH(R) may decide to commence trading earlier in the day on,
or before, the last business day of the month, or at its sole discretion, delay
adjustments to trading for an account to a date or time after the close of
business on the last day of the month. No assurance is given that JWH(R) will be
able to achieve the objectives described above in connection with Partnership
equity level changes. The use of discretion by JWH(R) in the application of this
procedure may affect performance positively or negatively.

PHYSICAL AND CASH COMMODITIES

JWH(R) may from time to time trade in physical or cash
commodities for immediate or deferred delivery, including specifically gold
bullion, as well as futures and forward contracts when JWH(R) believes that cash
markets offer comparable or superior market liquidity or the ability to execute
transactions at a single price. The Commodity Futures Trading Commission
("CFTC") does not regulate cash transactions, which are subject to the risk of
these entities' failure, inability or refusal to perform with respect to such
contracts.

THE JOINT VENTURE AGREEMENT

The advisory arrangement between the Partnership and JWH(R) is a
joint venture ("Joint Venture"), a general partnership structure. The Joint
Venture Agreement terminates December 31, 2003 subject to automatic one-year
renewals, unless either the Partnership or JWH(R) elects not to renew.

The Partnership has agreed to indemnify JWH(R) and related
persons for any claims or proceedings involving the business or activities of
the Partnership, provided that the conduct of such persons does not constitute
negligence, misconduct or breach of the Joint Venture Agreement or of any
fiduciary obligation to the Partnership and was done in good faith and in a
manner reasonably believed to be in, or not opposed to, the best interests of
the Partnership.

JWH(R) and related persons will not be liable to the Joint
Venture, the Partnership or any of the Partners in connection with JWH(R)'s
management of the Partnership's assets except (i) by reason of acts or omissions
in breach of the Joint Venture Agreement, (ii) due to their misconduct or
negligence, or (iii) by reason of not having acted in good faith and in the
reasonable belief that such actions or omissions were in, or not opposed to, the
best interests of the Partnership. Mr. John W. Henry will not be liable except
for his fraud or willful misconduct.

JWH(R) originally invested $100,000 in the Joint Venture.

The Partnership and the Joint Venture are herein collectively
referred to as the "Partnership" unless the context otherwise requires.

USE OF PROCEEDS AND CASH MANAGEMENT INCOME

SUBSCRIPTION PROCEEDS.
The Partnership's cash is used as security for and to pay the
Partnership's trading losses as well as its expenses and redemptions. The
primary use of the proceeds of the sale of the Units is to permit JWH(R) to
trade on a speculative basis in a wide range of different futures, forwards and
options on futures markets on behalf of the

4

Partnership. While being used for this purpose, the Partnership's assets are
also generally available for cash management, as more fully described below
under "Available Assets."

MARKET SECTORS.
The Partnership trades in a diversified group of markets under
the direction of JWH(R). JWH(R) can, and does, from time to time, materially
alter the allocation of its overall trading commitments among different market
sectors. Except in the case of certain trading programs which are purposefully
limited in the markets which they trade, there is essentially no restriction on
the commodity interests which may be traded by JWH(R) or the rapidity with which
JWH(R) may alter its market sector allocations.

MARKET TYPES.
The Partnership trades on a variety of United States and foreign
futures exchanges. Substantially all of the Partnership's off-exchange trading
takes place in the highly liquid, institutionally-based currency forward
markets.

Many of the Partnership's currency trades are executed in the
spot and forward foreign exchange markets (the "FX Markets") where there are no
direct execution costs. Instead, the participants, banks and dealers in the FX
Markets take a "spread" between the prices at which they are prepared to buy and
sell a particular currency and such spreads are built into the pricing of the
spot or forward contracts with the Partnership.

In its exchange of futures for physical ("EFP") trading, the
Partnership acquires cash currency positions through banks and dealers,
including Merrill Lynch. The Partnership pays a spread when it exchanges these
positions for futures. This spread reflects, in part, the different settlement
dates of the cash and the futures contracts, as well as prevailing interest
rates, but also includes a pricing spread in favor of the banks and dealers,
which may include a Merrill Lynch entity.

As in the case of its market sector allocations, the
Partnership's commitments to different types of markets -- U.S. and non-U.S.,
regulated and unregulated -- differ substantially from time to time as well as
over time. The Partnership has no policy restricting its relative commitments to
any of these different types of markets, although generally the bulk of the
Partnership's trading takes place on regulated exchanges.

CUSTODY OF ASSETS.
All of the Partnership's assets are currently held in customer
accounts at MLPF&S.

AVAILABLE ASSETS.
The Partnership earns income, as described below, on its
"Available Assets," which can be generally described as the cash actually held
by the Partnership. Available Assets are held primarily in U.S. dollars and are
comprised of the Partnership's cash balances held in the offset accounts (as
described below), which include "open trade equity" (unrealized gain and loss on
open positions) on United States futures contracts, which is paid into or out of
the Partnership's account on a daily basis and the Partnership's cash balance in
foreign currencies derived from its trading in non-U.S. dollar denominated
futures and options contracts, which includes open equity trade on those
exchanges which settle gains and losses on open positions in such contracts
prior to closing out such positions. Available Assets do not include, and the
Partnership does not earn interest on, the Partnership's gains or losses on its
open forward, commodity option and certain foreign futures positions since such
gains and losses are not collected or paid until such positions are closed out.

The Partnership's Available Assets may be greater than, less than
or equal to the Partnership's Net Asset Value (on which the redemption value of
the Units is based) primarily because Net Asset Value reflects all gains and
losses on open positions as well as accrued but unpaid expenses.

INTEREST EARNED ON THE PARTNERSHIP'S U.S. DOLLAR AVAILABLE
ASSETS.
The following description relates to the Partnership's U.S.
dollar Available Assets.

The Partnership's U.S. dollar Available Assets are held in cash
in offset accounts or may be invested in short-term U.S. Treasury bills
purchased from dealers unaffiliated with Merrill Lynch. Offset accounts are
non-interest bearing demand deposit accounts maintained with banks unaffiliated
with Merrill Lynch. An integral feature of the offset arrangements is that the
participating banks specifically acknowledge that the offset accounts are MLPF&S
customer accounts, not subject to any Merrill Lynch liability.

5

MLPF&S credits the Partnership, as of the end of each month, with
interest at the effective prevailing 91-day Treasury bill rate on the average
daily U.S. dollar Available Assets held in the offset accounts during such
month. The Partnership receives all interest paid on the short-term Treasury
bills in which it invests.

The use of the offset account arrangements for the Partnership's
U.S. dollar Available Assets may be discontinued by Merrill Lynch whether or not
Merrill Lynch otherwise continues to maintain its offset arrangements. The
offset arrangements are dependent on the banks' continued willingness to make
overnight credits available to Merrill Lynch, which, in turn, is dependent on
the credit standing of Merrill Lynch. If Merrill Lynch were to determine that
the offset arrangements had ceased to be practicable (either because Merrill
Lynch credit lines at participating banks were exhausted or for any other
reason), Merrill Lynch would thereafter attempt to invest all of the
Partnership's U.S. dollar Available Assets to the maximum practicable extent in
short-term U.S. Treasury bills. All interest earned on the U.S. dollar Available
Assets so invested would be paid to the Partnership, but MLAI LLC would expect
the amount of such interest to be less than that available to the Partnership
under the offset account arrangements. The remaining U.S. dollar Available
Assets of the Partnership would be kept in cash to meet variation margin
payments and pay expenses, but would not earn interest for the Partnership.

The banks at which the offset accounts are maintained make
available to Merrill Lynch interest-free overnight credits, loans or overdrafts
in the amount of the Partnership's U.S. dollar Available Assets held in the
offset accounts, charging Merrill Lynch a small fee for this service. The
economic benefits derived by Merrill Lynch -- net of the interest credits paid
to the Partnership and the fee paid to the offset banks -- from the offset
accounts have not exceeded 0.75% per annum of the Partnership's average daily
U.S. dollar Available Assets held in the offset accounts. These revenues to
Merrill Lynch are in addition to the Brokerage Commissions and Administrative
Fees paid by the Partnership to MLPF&S and MLAI LLC, respectively.

INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S NON-U.S.
DOLLAR AVAILABLE ASSETS.
Under the single currency margining system implemented for the
Partnership, the Partnership itself does not deposit foreign currencies to
margin trading in non-U.S. dollar denominated futures contracts and options, if
any. MLPF&S provides the necessary margin, permitting the Partnership to retain
the monies which would otherwise be required for such margin as part of the
Partnership's U.S. dollar Available Assets. The Partnership does not earn
interest on foreign margin deposits provided by MLPF&S. The Partnership does,
however, earn interest on its non-U.S. dollar Available Assets. Specifically,
the Partnership is credited by Merrill Lynch with interest at prevailing
short-term local rates on assets and net gains on non-U.S. dollar denominated
positions for such gains actually held in cash by the Partnership. Merrill Lynch
charges the Partnership Merrill Lynch's cost of financing realized and
unrealized losses on such positions.

The Partnership holds foreign currency gains and finances foreign
currency losses on an interim basis until converted into U.S. dollars and either
paid into or out of the Partnership's U.S. dollar Available Assets. Foreign
currency gains or losses on open positions are not converted into U.S. dollars
until the positions are closed. Assets of the Partnership while held in foreign
currencies are subject to exchange rate risk.

CHARGES

The following table summarizes the charges incurred by the Fund during
2002, 2001 and 2000.

The Partnership's average month-end Net Assets during 2002, 2001
and 2000 equaled $280,746,315, $257,523,703 and $290,101,378, respectively.

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In addition to the above charges, the Partnership and JWH(R)
share in the profits of the Joint Venture based on equity provided that, 20% of
the Joint Venture's quarterly New Trading Profits are allocated to JWH(R). For
the years ended December 31, 2002, 2001 and 2000, JWH(R) received a profit share
allocation of $20,054,827, $5,861,385 and $2,586,818 and earned interest of
$98,031, $124,838 and $7,986 on such amounts, respectively.

DESCRIPTION OF CURRENT CHARGES

The Partnership is subject to the following charges and priority
profit allocation ("Profit Share"):

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REGULATION

MLAI LLC, JWH(R) and MLPF&S are each subject to regulation by the
CFTC and the NFA. Other than in respect of its periodic reporting requirements
under the Securities Exchange Act of 1934, and the registration of the Units for
continuous public distribution under the Securities Act of 1933, the Partnership
itself is generally not subject to regulation by the Securities and Exchange
Commission ("SEC"). However, MLAI LLC itself is registered as an "investment
adviser" under the Investment Advisers Act of 1940. MLPF&S is also regulated by
the SEC and the National Association of Securities Dealers.

(i) through (xii) -- not applicable.

(xiii) The Partnership has no employees.

(d) FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS:

The Partnership and the Joint Venture do not engage in material
operations in foreign countries, nor is a material portion of the Partnership's
revenues derived from customers in foreign countries. The Partnership does,
however, trade from the United States on a number of foreign commodity
exchanges. The Partnership does not engage in the sales of goods or services.

ITEM 2: PROPERTIES

The Partnership does not use any physical properties in the
conduct of its business.

The Partnership's administrative office is the administrative
offices MLAI LLC (Merrill Lynch Alternative Investments LLC, Princeton Corporate
Campus, 800 Scudders Mill Road - Section 2G, Plainsboro, New Jersey 08536). MLAI
LLC performs all administrative services for the Partnership from MLAI LLC's
offices.

ITEM 3: LEGAL PROCEEDINGS

JWH(R)

There neither now exists nor has there previously ever been any
material administrative, civil or criminal action against JWH(R) or its
principals.

MERRILL LYNCH

Merrill Lynch -- a partner of MLIM (which is the sole member of
MLAI LLC, and MLPF&S and the 100% indirect owner of all Merrill Lynch entities
involved in the operation of the Partnership) - as well as certain of its
subsidiaries and affiliates have been named as defendants in civil actions,
arbitration proceedings and claims arising out of their respective business
activities. Although the ultimate outcome of these actions cannot be predicted
at this time and the results of legal proceedings cannot be predicted with
certainty, it is the opinion of management that the result of these matters will
not be materially adverse to the business operations or financial condition of
MLAI LLC or the Partnership.

MLAI LLC, nor the Partnership itself has never been the subject
of any material litigation.

ITEM 4: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

The Partnership has never submitted any matter to a vote of its
Limited Partners.

PART II

ITEM 5: MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

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Item 5

(a) MARKET INFORMATION:

There is no established public trading market for the Units, nor
will one develop. Limited Partners may redeem Units as of the end of each month
at Net Asset Value, subject to certain early redemption charges.

(b) HOLDERS:

As of December 31, 2002, there were 6,450 holders of Units,
including MLAI LLC.

(c) DIVIDENDS:

MLAI LLC has not made, and does not contemplate making, any
distributions on the Units.

(d) SECURITIES AUTHORIZED FOR ISSUANCE UNDER EQUITY COMPENSATION
PLANS:

Not applicable.

(e) RECENT SALES OF UNREGISTERED SECURITIES; USE OF PROCEEDS FROM
REGISTERED SECURITIES:

The Partnership originally registered 2,000,000 units of limited
partnership interest. The Partnership subsequently registered an additional
3,310,000 units of limited partnership interest. As of December 31, 2002, the
Partnership has sold 3,843,657 units of limited partnership interest, with an
aggregate price of $501,842,000.

Item 5(b)

Not applicable.

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ITEM 6: SELECTED FINANCIAL DATA

The following selected financial data has been derived from the audited
consolidated financial statements of the Partnership:

Prior to June 30, 1998, the Net Asset Value per Unit varies from
how it would be calculated for purposes of GAAP due to the amortization of
organizational and initial offering costs.

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ML JWH STRATEGIC ALLOCATION PARTNERSHIP L.P.
DECEMBER 31, 2002

TYPE OF POOL: Single-Advisor/Publicly-Offered/Not "Principal Protected"(1)
INCEPTION OF TRADING: July 15, 1996
AGGREGATE SUBSCRIPTIONS: $501,842,000
CURRENT CAPITALIZATION: $318,297,668
WORST MONTHLY DRAWDOWN:(2) (14.60)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN:(3) (24.34)% (7/99 - 9/00)

(1) Certain funds, including funds sponsored by MLAI LLC, are
structured so as to guarantee to investors that their investment will be worth
no less than a specified amount (typically, the amount initially invested) as of
a date certain after the date of investment. The CFTC refers to such funds as
"Principal Protected." The Partnership has no such feature.

(2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced by the Partnership since January 1, 1998; a
Drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline from a month-end cumulative Monthly Rate of Return without
such cumulative Monthly Rate of Return being equaled or exceeded as of a
subsequent month-end experienced by the Partnership since January 1, 1998. For
example, if the Monthly Rate of Return was (1)% in each of January and February,
1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be
continuing at the end of April in the amount of approximately (3)%, whereas if
the Monthly Rate of Return had been approximately 3% in March, the
Peak-to-Valley Drawdown would have ended as of the end of February at
approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the
Partnership during the month of determination (including interest income and
after all expenses accrued or paid) divided by the total equity of the
Partnership as of the beginning of such month, inclusive of subscription
activity.

11

ITEM 7: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

RESULTS OF OPERATIONS

GENERAL

Because JWH(R)'s systems are designed with the objective of
identifying and profiting from long-term price trends, they are unlikely to be
profitable in markets in which such trends do not occur. Static or erratic
prices are likely to result in losses. Similarly, unexpected events (for
example, a political upheaval, natural disaster or governmental intervention)
can lead to major short-term losses as well as gains.

While there can be no assurance that the JWH(R) Programs will be
profitable even in trending markets, markets in which substantial and sustained
price movements occur offer the best profit potential for the Partnership.

PERFORMANCE SUMMARY

The Partnership's overall trading was very profitable for the
year, resulting in an over 29% compounded annual rate of return for 2002, net of
all fees and expenses. The major contributors were the financial futures and
forward sectors. The traditional commodity sectors in the produced moderate
losses for the year.

The interest rate sector was profitable for the Partnership
despite its slow start. Interest rates and stock index futures produced the most
significant gains from June through September. The year began with a loss as
interest rates were particularly sensitive to economic data that was released,
and more so to its varied interpretations. By June, the Partnership profited
from a strong bond market, which benefited from the weakness in the stock market
and unchanged interest rates. Economic numbers in the United States suggested
that the economy was stabilizing, however, consumer confidence continued to
deteriorate fueling the bond rallies in the third quarter. Economists continued
to revise their world growth estimates for 2003 downward to under 4%. Equity
markets were under heavy pressure from poor corporate earnings, accounting
irregularities and a general global economic slowdown. Volatility in the equity
markets was at a high level, keeping bargain hunters from re-entering the
markets, keeping up a trend the Partnership was able to capitalize on through
the third quarter. The sector returned some of its profits in the fourth quarter
as frequent worldwide economic news releases alternated from positive to
negative.

The currency sector also brought in significant profits for the
year. Strong trends developed from a weakening U.S. dollar during the second
quarter, generating most of the currency-related profits. Most of the major
currencies made new highs versus the U.S. dollar in June. Currencies produced
losses for the remainder of the year until December, as currencies being
repatriated to their home country and high global cash balances created a
difficult market for the Partnership. In December, the U.S. dollar's weakness
globally due to the threat of a possible war with Iraq and tensions with North
Korea created a trend that the Partnership was able to use profitably.

Energy trading produced moderate profits for the year. The first
quarter was very profitable although

12

the profits eroded throughout the year and were nearly outweighed by losses in
the fourth quarter. Volatile energy markets kept profits low in this sector.
Crude oil continued to climb as a possible military conflict in Iraq loomed.
Inventories were showing a decline in storage facilities. The level at the end
of September was the lowest since such data started to be collected in 1984. The
inventory tightness could be explained by the recent government stockpiling by
the U.S., Japan, China and Europe, counteracting any production disruption
attempt by Iraq. The war premium was diminished by October and markets indicted
that the U.S. strategic reserves were full. The exaggerated levels of volatility
due the tensions between the U.S. and Iraq as well as anticipation of UN
resolutions made for a difficult energy trading environment at the end of the
year.

The agricultural commodities markets were essentially flat for
the year. Coffee, corn, soybean and sugar produced losses during the first half
of the year. The sector turned profitable during the second half of the year as
hot, dry weather conditions in the U.S., China and South America kept various
grains prices up. Adverse weather conditions created a profitable month for
coffee positions in October. Most profits in the sector were returned in
December as losses were incurred across the board.

Metals trading brought in losses for the year. A choppy market
for industrial metals prevented profits. Precious metals experienced similar
choppy conditions. Gold appeared to be the most popular investment metal, but
producers were hesitant to hedge at current levels and limit their upside
potential. Gold ended the year on the upside due to the uncertain global
economic climate.

The Partnership's overall trading strategy was profitable. Gains
were realized in the interest rate, stock index and currency sectors while
significant losses were realized in the energy sector.

Interest rate trading was the biggest contributor to the
Partnership's overall profitability. Bonds generally benefited from the weakness
in the equity markets. Gains were realized early on in short-term interest rates
on European Central Bank easing and a massive rally in Japanese government bonds
as the Japanese economy showed signs of sputtering. Substantial losses occurred
in mid-year as the Eurobund market and the U.S. interest rate complex proved
difficult to trade. Gains were realized post September 11, particularly in the
European and U.S. sub-sectors.

Currency trading was also successful. Losses were sustained early
on, as the Euro tumbled to two-month lows against the U.S. dollar in the wake of
Turkey's lira currency float. By March, strength in the U.S. dollar led to
strong profits in Japanese yen, Euro, Swiss franc and British pound. At
year-end, substantial gains were posted with the Japanese yen as the driving
factor.

Trading in stock indices was profitable. Short positions were
profitable as the NASDAQ reached a one-year low in February and the Nikkei 225
reached a 15-year low also in February. Even as across the board volatility and
a decline in global equity markets continued through the year, the Partnership's
short positions in most markets were profitable.

Agricultural commodities trading was unprofitable for the
Partnership. Losses were incurred particularly in corn and sugar contracts early
in the year. Sugar positions rebounded from earlier losses to post gains by
June. Trading in general fluctuated for the remainder of the year, leading to
overall losses.

13

Metals trading was not successful despite early gains realized
from gold positions amid the Bank of England sale. Losses from gold positions
continued until September 11, but rebounded strongly as investors flocked to it
as a safe haven. Silver and aluminum positions contributed to the strategy's
overall losses at year-end.

Trading in the energy markets resulted in significant losses for
the Partnership. Losses on short positions occurred when U.S. oil price gained
more than $2 a barrel on OPEC's announcement that it would cut production by 1.5
million barrels a day and a follow-up announcement that it may need to cut
production again on concern that a cooling economy may reduce demand for oil
products. Contracts in crude oil and heating oil were unprofitable in April and
June. Natural gas positions were unprofitable in October.

The Partnership's trading strategy was strong in November and
December leaving the Partnership profitable for the year ended December 31, 2000
as gains were realized in energies, currencies, interest rates and stock
indices, while losses were incurred in metals and agricultural commodities.
Energy prices soared higher on supply restrictions by OPEC. Positions in
currencies were profitable as the Euro and Japanese yen slumped in the fourth
quarter to the advantage of longer-term trend followers. Interest rates and
stock indices markets were slightly profitable despite erratic and volatile
conditions. The metals markets were unprofitable as gold prices continued to
slide from February highs. Burdensome world sugar supplies led to losses in
the commodities markets.

Energy trading produced the largest gains for 2000. Crude and
heating oil prices surged early in the year as heating demand rose due to
inclement weather. Continued supply restrictions by OPEC raised the price of oil
to new highs, surpassing $30 per barrel for the first time since the Gulf War.
Prices continued to surge in the second quarter on worries of new standards for
reformulated gasoline. Energy costs remained high and were subject to increased
volatility in the third quarter on low U.S. oil reserves. By year end, the
imbalance between low supply and high demand for crude oil and natural gas
compounded by harsh winter weather supported high price trends.

Currency trading posted strong gains late in the year. Currency
trading provided modest gains early in the year as the U.S. dollar rose against
the British pound and the Japanese yen. The Japanese yen continued its
depreciation despite the Bank of Japan's efforts to support it. Euro positions
continued to struggle despite improving European economic data while the
resilient U.S. economy attracted foreign capital. By year end, the U.S. dollar
continued its rally versus the Euro and the Japanese yen slumped to a 16 month
low against the U.S. dollar on growing pessimism about Japan's economic outlook.

Interest rates and stock indices markets posted modest gains for
the year. Gains were realized on short positions in the Nikkei 225 index as the
index reached its two year low. Losses were incurred as investors sold high
technology issues, leading to losses in the NASDAQ Stock index. Interest rate
trading was profitable as the Partnership capitalized on the beginnings of
strong trend in interest rates. By year end, both the short and long end of the
U.S. yield curve were profitable, providing a strong finish for the sector.

Agricultural commodities posted modest losses for the year.
Coffee prices were lower early on due to an oversupplied market. Brazil issued a
report which indicated 2000/01 sugar production would have a significant drop
due to the prior year's inclement weather. Sugar prices rose amid smaller than
expected world harvests and greater demand in Asia.

14

Metals trading was unprofitable. After reaching a February high,
gold prices fell nearly 10% as the Bank of France indicated that it might sell
gold reserves. Gold prices rebounded slightly in the third quarter. Losses were
also incurred in the aluminum, copper and nickel sectors. Copper prices suffered
from weaker than usual sale at year end.

LIQUIDITY; CAPITAL RESOURCES

The Partnership borrows only to a limited extent and only on a
strictly short-term basis in order to finance losses on non-U.S. dollar
denominated trading positions pending the conversion of the Partnership's U.S.
dollar deposits. These borrowings are at a prevailing short-term rate in the
relevant currency.

Inflation by itself does not affect profitability, but it can
cause price movements that do so.

The Partnership's assets and open positions are generally highly
liquid.

----------

The Partnership changes its positions and market focus
frequently. Consequently, the fact that the Partnership realized gains or
incurred losses in certain markets (gold, stock indices, currencies, etc.) in
the past is not necessarily indicative of whether the Partnership will do so in
the future.

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

The Partnership is a speculative commodity pool. The market
sensitive instruments held by it are acquired for speculative trading purposes,
and all or substantially all of the Partnership's assets are subject to the risk
of trading loss. Unlike an operating company, the risk of market sensitive
instruments is integral, not incidental, to the Partnership's main line of
business.

Market movements result in frequent changes in the fair market
value of the Partnership's open positions and, consequently, in its earnings and
cash flow. The Partnership's market risk is influenced by a wide variety of
factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts,
the diversification effects among the Partnership's open positions and the
liquidity of the markets in which it trades.

The Partnership, under the direction of JWH(R), rapidly acquires
and liquidates both long and short positions in a wide range of different
markets. Consequently, it is not possible to predict how a possible future
market scenario will affect performance, and the Partnership's past performance
is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the
Partnership could reasonably be expected to lose in a given market sector.
However, the inherent uncertainty of the Partnership's speculative trading and
the recurrence in the markets traded by the Partnership of market movements far
exceeding expectations could result in actual trading or non-trading losses far
beyond the indicated Value at Risk or the Partnership's experience to date
(i.e., "risk of ruin"). In light of the foregoing as well as the risks and
uncertainties intrinsic to all future projections, the inclusion of the
quantification in this section should not be considered to constitute any
assurance or representation that the Partnership's losses in any market sector
will be limited to Value at Risk or by the Partnership's attempts to manage its
market risk.

QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK

QUANTITATIVE FORWARD-LOOKING STATEMENTS

The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for
statements of historical fact.

15

The Partnership's risk exposure in the various market sectors
traded by JWH(R) is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized) and cash flow (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).

Exchange maintenance margin requirements have been used by the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum loss in the fair value of
any given contract incurred in 95% to 99% of the one-day time periods included
in the historical sample (approximately one year, generally) researched for
purposes of establishing margin levels. The maintenance margin levels are
established by dealers and exchanges using historical price studies as well as
an assessment of current market volatility (including the implied volatility of
the options on a given futures contract) and economic fundamentals to provide a
probabilistic estimate of the maximum expected near-term one-day price
fluctuation.

In the case of market sensitive instruments which are not
exchange-traded (almost exclusively currencies in the case of the Partnership),
the margin requirements for the equivalent futures positions have been used as
Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers' margins have been used.

100% positive correlation in the different positions held in each
market risk category has been assumed. Consequently, the margin requirements
applicable to the open contracts have been aggregated to determine each trading
category's aggregate Value at Risk. The diversification effects (which would
reduce the Value at Risk estimates) resulting from the fact that the
Partnership's positions are rarely, if ever, 100% positively correlated have not
been reflected.

THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

The following table indicates the average, highest, and lowest
trading Value at Risk associated with the Partnership's open positions by market
category for the fiscal year 2002. During the fiscal year 2002, the
Partnership's average capitalization was approximately $280,746,315. During the
fiscal year 2001, the Partnership's average capitalization was approximately
$257,523,703.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the
Partnership is typically many times the applicable maintenance margin
requirement (maintenance margin requirements generally ranging between
approximately 1% and 10% of contract face value) as well as many times the
capitalization of the Partnership. The magnitude of the Partnership's open
positions creates a "risk of ruin" not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions --
unusual, but historically recurring from time to time -- could cause the
Partnership to incur severe losses over a short period of time. Even
comparatively minor losses could cause MLAI LLC to further deleverage or
terminate the Partnership's trading. The foregoing Value at Risk table -- as
well as the past performance of the Partnership -- gives no indication of this
"risk of ruin."

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

The Partnership controls the non-trading exchange rate risk of
its foreign currency balances by regularly converting its foreign currency
balances back into U.S. dollars on a weekly basis.

The Partnership also has non-trading market risk on the
approximately 20% of its assets which are held in cash at MLPF&S. The value of
this cash is not interest rate sensitive, but there is cash flow risk in that if
interest rates decline so will the cash flow generated on these monies.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

The following qualitative disclosures regarding the Partnership's
market risk exposures -- except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership manages its
primary market risk exposures -- constitute forward-looking statements within
the meaning of Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. The Partnership's primary market risk exposures as well
as the strategies used and to be used by MLAI LLC and JWH(R) for managing such
exposures are subject to numerous uncertainties, contingencies and risks, any
one of which could cause the actual results of the Partnership's risk controls
to differ materially from the objectives of such strategies. Government
interventions, defaults and expropriations, illiquid markets, the emergence of
dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the
Partnership. There can be no assurance that the Partnership's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of the time value of
their investment in the Partnership.

17

The following were the primary trading risk exposures of the
Partnership as of December 31, 2002, by market sector.

INTEREST RATES.
Interest rate risk is the principal market exposure of the
Partnership. Interest rate movements directly affect the price of derivative
sovereign bond positions held by the Partnership and indirectly the value of its
stock index and currency positions. Interest rate movements in one country, as
well as relative interest rate movements between countries, materially impact
the Partnership's profitability. The Partnership's primary interest rate
exposure is to interest rate fluctuations in the United States and the other G-7
countries. However, the Partnership also takes positions in the government debt
of smaller nations -- e.g., New Zealand and Australia. MLAI LLC anticipates that
G-7 interest rates will remain the primary market exposure of the Partnership
for the foreseeable future.

CURRENCIES.
The Partnership trades in a large number of currencies. However,
the Partnership's major exposures have typically been in the U.S. dollar/
Japanese yen, U.S. dollar/Euro and U.S. dollar/ British pound positions. MLAI
LLC does not anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency trading Value at
Risk figure includes foreign margin amounts converted into U.S. dollars with an
incremental adjustment to reflect the exchange rate risk of maintaining Value at
Risk in a functional currency other than U.S. dollars.

STOCK INDICES.
The Partnership's primary equity exposure is to G-7 equity index
price movements. As of December 31, 2002, the Partnership's primary exposures
were in the S&P 200, Nikkei (Japan) and DAX (Germany) stock indices. MLAI LLC
anticipates little, if any, trading in non-G-7 stock indices. The Partnership is
primarily exposed to the risk of adverse price trends or static markets in the
major U.S., European and Asian indices.

METALS.
The Partnership's primary metals market exposure is to
fluctuations in the price of gold and silver. Although JWH(R) trades base metals
such as aluminum, copper and tin, the principal market exposures of the
Partnership have consistently been in the precious metals, gold and silver.
However, gold prices can be volatile over this period, and JWH(R) has from time
to time taken substantial positions as it has perceived market opportunities to
develop. MLAI LLC anticipates that gold and silver will remain the primary
metals market exposure for the Partnership.

AGRICULTURAL COMMODITIES.
The Partnership's primary agricultural commodities exposure is to
agricultural price movements, which are often directly affected by severe or
unexpected weather conditions. Sugar accounted for the substantial bulk of the
Partnership's commodities exposure as of December 31, 2002. In the past, the
Partnership has had material market exposure to grains and live cattle and may
do so again in the future. However, MLAI LLC anticipates that JWH(R) will
maintain an emphasis on soybeans, grains, coffee and sugar, in which the
Partnership has historically taken its largest positions.

ENERGY.
The Partnership's primary energy market exposure is to natural
gas and oil price movements, often resulting from political developments in the
Middle East. Oil prices can be volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

The following were the only non-trading risk exposures of the
Partnership as of December 31, 2002.

FOREIGN CURRENCY BALANCES.
The Partnership's primary foreign currency balances are in
Japanese yen, Euro and British pounds.

18

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

TRADING RISK

MLAI LLC has procedures in place intended to control market risk,
although there can be no assurance that they will, in fact, succeed in doing so.
While MLAI LLC does not itself intervene in the markets to hedge or diversify
the Partnership's market exposure, MLAI LLC may urge JWH(R) to reallocate
positions in an attempt to avoid over-concentrations. However, such
interventions are unusual. Except in cases in which it appears that JWH(R) has
begun to deviate from past practice and trading policies or to be trading
erratically, MLAI LLC's basic risk control procedures consist simply of the
ongoing process of monitoring JWH(R) with the market risk controls being applied
by JWH(R) itself.

RISK MANAGEMENT

JWH(R) attempts to control risk in all aspects of the investment
process -- from confirmation of a trend to determining the optimal exposure in a
given market, and to money management issues such as the startup or upgrade of
investor accounts. JWH(R) double checks the accuracy of market data, and will
not trade a market without multiple price sources for analytical input. In
constructing a portfolio, JWH(R) seeks to control overall risk as well as the
risk of any one position, and JWH(R) trades only markets that have been
identified as having positive performance characteristics. Trading discipline
requires plans for the exit of a market as well as for entry. JWH(R) factors the
point of exit into the decision to enter (stop loss). The size of JWH(R)'s
positions in a particular market is not a matter of how large a return can be
generated but of how much risk it is willing to take relative to that expected
return.

To attempt to reduce the risk of volatility while maintaining the
potential for excellent performance, proprietary research is conducted on an
ongoing basis to refine the JWH(R) investment strategies. Research may suggest
substitution of alternative investment methodologies with respect to particular
contracts; this may occur, for example, when the testing of a new methodology
has indicated that its use might have resulted in different historical
performance. In addition, risk management research and analysis may suggest
modifications regarding the relative weighting among various contracts, the
addition or deletion of particular contracts for a program, or a change in
position size in relation to account equity. The weighting of capital committed
to various markets in the investment programs is dynamic, and JWH(R) may vary
the weighting at its discretion as market conditions, liquidity, position limit
considerations and other factors warrant.

JWH(R) may determine that risks arise when markets are illiquid
or erratic, which may occur cyclically during holiday seasons, or on the basis
of irregularly occurring market events. In such cases, JWH(R) at its sole
discretion may override computer-generated signals and may at times use
discretion in the application of its quantitative models, which may affect
performance positively or negatively.

Adjustments in position size in relation to account equity have
been and continue to be an integral part of JWH(R)'s investment strategy. At its
discretion, JWH(R) may adjust the size of a position in relation to equity in
certain markets or entire programs. Such adjustments may be made at certain
times for some programs but not for others. Factors which may affect the
decision to adjust the size of a position in relation to account equity include
ongoing research, program volatility, assessments of current market volatility
and risk exposure, subjective judgment, and evaluation of these and other
general market conditions.

NON-TRADING RISK

The Partnership controls the non-trading exchange rate risk by
regularly converting foreign currency balances back into U.S. dollars (no less
frequently than weekly, and more frequently if a particular foreign currency
balance becomes unusually high).

The Partnership has cash flow interest rate risk on its cash on
deposit with MLPF&S in that declining interest rates would cause the income from
such cash to decline. However, a certain amount of cash or cash equivalents

19

must be held by the Partnership in order to facilitate margin payments and pay
expenses and redemptions. MLAI LLC does not take any steps to limit the cash
flow risk on the cash held on deposit at MLPF&S.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
ML JWH STRATEGIC ALLOCATION FUND L.P.

Net Income by Quarter
Eight Quarters through December 31, 2002

The financial statements required by this Item are included in
Exhibit 13.01.

The supplementary financial information ("information about oil
and gas producing activities") specified by Item 302 of Regulation S-K is not
applicable. MLAI LLC promoted the Partnership and is its controlling person.

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE

There were no changes in or disagreements with independent
auditors on accounting and financial disclosure.

PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

10(a) and 10(b) IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

As a limited partnership, the Partnership itself has no officers
or directors and is managed by MLAI LLC. Trading decisions are made by JWH(R) on
behalf of the Partnership.

The principal officers and the managers of MLAI LLC and their
respective business backgrounds are as follows:

ROBERT M. ALDERMAN Chairman, Chief Executive Officer and Manager

STEVEN B. OLGIN Vice President, Chief Administrative Officer and Manager

MICHAEL L. PUNGELLO Vice President, Chief Financial Officer and Treasurer

Mr. Alderman was born in 1960. Mr. Robert M. Alderman is
Chairman, Chief Executive Officer and Manager of MLAI LLC. Mr. Alderman is a
Managing Director of MLIM and global head of Retail Sales and Business
Management for Alternative Investments. Prior to re-joining Merrill Lynch and
the International Private Client Group in 1999, he was a partner in the
Nashville, Tennessee based firm of J.C. Bradford & Co. where he was the
Director of

20

Marketing, and a National Sales Manager for Prudential Investments. Mr. Alderman
first joined Merrill Lynch in 1987 where he worked until 1997. During his tenure
at Merrill Lynch, Mr. Alderman has held positions in Financial Planning, Asset
Management and High Net Worth Services. He received his Master's of Business
Administration from the Carroll School of Management Boston College and a
Bachelor of Arts from Clark University.

Steven B. Olgin was born in 1960. Mr. Olgin is Vice President,
Chief Adminstrative Officer and Manager of MLAI LLC. He joined MLAI LLC in July
1994 and became a Vice President in July 1995. From 1986 until July 1994, Mr.
Olgin was an associate of the law firm of Sidley & Austin. In 1982, Mr. Olgin
graduated from The American University with a Bachelor of Science in Business
Administration and a Bachelor of Arts in Economics. In 1986, he received his
Juris Doctor from The John Marshall Law School. Mr. Olgin is a member of the
Managed Funds Association's Government Relations Committee and has served as an
arbitrator for the National Futures Association. Mr. Olgin is a member of the
Illinois Bar.

Michael L. Pungello was born in 1957. Mr. Pungello is Vice
President, Chief Financial Officer and Treasurer of MLAI LLC. He was First Vice
President and Senior Director of Finance for Merrill Lynch's Operations,
Services and Technology Group from January 1998 to March 1999. Prior to that,
Mr. Pungello spent over 18 years with Deloitte & Touche LLP, and was a partner
in their financial services practice from June 1990 to December 1997. He
graduated from Fordham University in 1979 with a Bachelor of Science in
Accounting and received his Master of Business Administration in Finance from
New York University in 1987.

As of December 31, 2002, the principals of MLAI LLC had no
investments in the Partnership and MLAI LLC's general partner interest in the
Partnership was valued at approximately $3,438,707.

MLAI LLC acts as general partner to three public futures funds
whose units of limited partnership interest are registered under the
Securities Exchange Act of 1934: The Futures Expansion Fund Limited
Partnership, John W. Henry & Co./Millburn L.P., and the Partnership. Because
MLAI LLC serves as the sole general partner of each of these funds, the
officers and managers of MLAI LLC effectively manage them as officers and
directors of such funds. Prior to February 28, 2003, MLAI LLC (while still
known as MLIM AS LLC) acted as general partner of six public futures funds
whose units of limited partnership interest are registered under the
Securities Exchange Act of 1934.

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

John W. Henry & Company, Inc. is the trading advisor of the
Partnership. Were JWH(R)'s services no longer to be available to the
Partnership, the Partnership would, in all likelihood, dissolve.

(d) FAMILY RELATIONSHIPS:

None.

(e) BUSINESS EXPERIENCE:

See Item 10(a) and (b) above.

(f) INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

None.

(g) PROMOTERS AND CONTROL PERSONS:

Not applicable.

ITEM 11: EXECUTIVE COMPENSATION

The officers of MLAI LLC are remunerated in their respective
positions. The Partnership does not itself have any officers, directors or
employees. The Partnership pays Brokerage Commissions to an affiliate of MLAI
LLC and Administrative Fees to MLAI LLC. MLAI LLC or its affiliates may also
receive certain economic benefits

21

from holding certain of the Partnership's U.S. dollar Available Assets in offset
accounts, as described in Item 1(c) above. The managers and officers receive no
"other compensation" from the Partnership, and the managers receive no
compensation for serving as managers of MLAI LLC. There are no compensation
plans or arrangements relating to a change in control of either the Partnership
or MLAI LLC.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND
RELATED STOCKHOLDER MATTERS

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2002, MLAI LLC owned 15,665 unit-equivalent
general partnership interests, which was 1.08% of the total Units outstanding.

(c) CHANGES IN CONTROL:

None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

(a) TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

All of the service providers to the Partnership, other than
JWH(R), are affiliates of Merrill Lynch. Merrill Lynch negotiated with JWH(R)
over the level of its advisory fees and Profit Share. However, none of the fees
paid by the Partnership to any Merrill Lynch party were negotiated, and they are
higher than would have been obtained in arm's-length bargaining.

The Partnership pays indirectly Merrill Lynch through MLPF&S and
MLAI substantial Brokerage Commissions and Administrative Fees, respectively, as
well as bid-ask spreads on forward currency trades. The Partnership also pays
MLPF&S interest on short-term loans extended by MLPF&S to cover losses on
foreign currency positions.

Within the Merrill Lynch organization, MLAI LLC is the direct
beneficiary of the revenues received by different Merrill Lynch entities from
the Partnership. MLAI LLC controls the management of the Partnership and serves
as its promoter. Although MLAI LLC has not sold any assets, directly or
indirectly, to the Partnership, MLAI LLC makes substantial profits from the
Partnership due to the foregoing revenues.

No loans have been, are or will be outstanding between MLAI LLC
or any of its principals and the Partnership.

MLAI LLC pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLAI LLC is ultimately paid
back for these expenditures from the revenues it receives from the Partnership.

(b) CERTAIN BUSINESS RELATIONSHIPS:

MLPF&S, an affiliate of MLAI LLC, acts as the principal commodity
broker for the Partnership.

In 2002, the Partnership expensed: (i) Brokerage Commissions of
$16,830,711 to the Commodity Broker, which included $5,835,866 in Management
Fees paid by the Commodity Broker to JWH(R); and (ii)

22

Administrative Fees of $731,770 to MLAI LLC. In addition, MLAI LLC and its
affiliates derived certain economic benefit from possession of the Partnership's
assets, as well as from foreign exchange and EFP trading.

See Item 1(c), "Narrative Description of Business -- Charges" and
"-- Description of Current Charges" for a discussion of other business dealings
between MLAI LLC affiliates and the Partnership.

(c) INDEBTEDNESS OF MANAGEMENT:

The Partnership is prohibited from making any loans, to
management or otherwise.

(d) TRANSACTIONS WITH PROMOTERS:

Not applicable.

ITEM 14: CONTROLS AND PROCEDURES

Merrill Lynch Alternative Investments LLC, the General Partner of
ML JWH Strategic Allocation Fund 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 annual 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.

23

PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

(a)2.8(d) FINANCIAL STATEMENT SCHEDULES:

Financial statement schedules not included in this Form 10-K
have been omitted for the reason that they are not required or are not
applicable or that equivalent information has been included in the financial
statements or notes thereto.

(a)3. EXHIBITS:

The following exhibits are incorporated by reference or are
filed herewith to this Annual Report on Form 10-K:

24

10.04 Joint Venture Agreement Amendment among JWH(R)and the
Partnership.

EXHIBIT 10.04: Is incorporated herein by reference from Exhibit 10.04
contained in the Registrant's Form 10-K for the fiscal year
ended December 31, 2001, filed on March 30, 2002.

10.05 Form of Subscription Agreement and Power of Attorney (included
as Exhibit C to the Prospectus).

EXHIBIT 10.05: Is incorporated herein by reference from Exhibit 10.05
contained in the Registrant's Registration Statement.

10.06 Form of Investment Advisory Contract among the Registrant's
joint venture with JWH(R), MLIM AS LLC, and MLPF&S.

EXHIBIT 10.06: Is incorporated herein by reference from Exhibit 10.06
contained in the Registrant's Registration Statement.

10.07 Form of Custody Agreement among the Registrant's joint venture
with JWH(R)and MLPF&S

EXHIBIT 10.07: Is incorporated herein by reference from Exhibit 10.07
contained in the Registrant's Registration Statement.

10.08 Form of Limited Liability Company Operating Agreement.

EXHIBIT 10.08: Is incorporated herein by reference from Exhibit 10.08
contained in the Registrant's Form 10-K, for the fiscal year
ended December 31, 1997, filed March 30, 1998.

10.09 Form of Amendatory Agreement.

EXHIBIT 10.09: Is incorporated herein by reference from Exhibit 10.09
contained in the Registrant's Registration Statement.

13.01 2002 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01: Is filed herewith.

28.01 Prospectus of the Partnership dated March 31, 2003.

EXHIBIT 28.01: Is incorporated herein by reference as filed with the
Securities and Exchange Commission pursuant to Rule 424 under
the Securities Act of 1933, Registration Statement (File No.
333-80509) on Form S-1, effective March 31, 2003.

(b) REPORT ON FORM 8-K:

No reports on Form 8-K were filed during the fourth quarter of
2002.

25

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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.

ML JWH STRATEGIC ALLOCATION FUND L.P.

By: MERRILL LYNCH ALTERNATIVE INVESTMENTS
LLC
General Partner

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

Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 31, 2003 by the
following persons on behalf of the Registrant and in the capacities indicated.

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of Merrill Lynch Alternative Investments
LLC)

MERRILL LYNCH ALTERNATIVE INVESTMENTS General Partner of Registrant March 31, 2003
LLC

By: /s/ Robert M. Alderman
-----------------------
Robert M. Alderman

26

EXHIBIT 99

FORM OF CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63
OF TITLE 180 OF THE UNITED STATES CODE

I, Robert M. Alderman, certify that:

1. I have reviewed this annual report on Form 10-K of ML JWH Strategic
Allocation Fund L.P.;

2. Based on my knowledge, this annual 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 annual
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this annual 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 annual report;

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

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

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

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

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

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

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

Date: March 31, 2003

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

27

EXHIBIT 99 (a)

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

In connection with this annual report of ML JWH Strategic Allocation Fund L.P.
on Form 10-K for the period ended December 31, 2002 as filed with the Securities
and Exchange Commission on the date hereof, I, Robert M. Alderman, general
partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350, as
adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

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

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of
ML JWH Strategic Allocation Fund L.P.

Date: March 31, 2003

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

28

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 annual report on Form 10-K of ML JWH Strategic
Allocation Fund L.P.;

2. Based on my knowledge, this annual 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 annual
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this annual 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 annual report;

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

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

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

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

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

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

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

Date: March 31, 2003

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

29

EXHIBIT 99 (a)

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

In connection with this annual report of ML JWH Strategic Allocation Fund L.P.
on Form 10-K for the period ended December 31, 2002 as filed with the Securities
and Exchange Commission on the date hereof, I, Michael L. Pungello, general
partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350, as
adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

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

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of
ML JWH Strategic Allocation Fund L.P.

Date: March 31, 2003

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

30

ML JWH STRATEGIC ALLOCATION FUND L.P.

2002 FORM 10-K

INDEX TO EXHIBITS