HENRY JOHN W & CO/MILLBURN L P - 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: 0-18215

JOHN W. HENRY & CO./MILLBURN L.P.
------------------------------------------------------
(Exact name of registrant as specified in its charter)

DELAWARE 06-1287586
------------------------------- -------------------
(State or other jurisdiction of (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: the registrant is a limited partnership; as of
February 1, 2003, limited partnership units with an aggregate value of
$33,076,338 were outstanding and 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.

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

ANNUAL REPORT FOR 2002 ON FORM 10-K

TABLE OF CONTENTS

PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

John W. Henry & Co./Millburn L.P. (the "Partnership") was
organized under the Delaware Revised Uniform Limited Partnership Act on August
29, 1989. The original public offering of the Partnership's units of limited
partnership interest (the "Series A Units") commenced on September 29, 1989, and
the Partnership commenced trading with respect to the Series A Units on January
5, 1990. A second public offering of Series B Units of limited partnership (the
"Series B Units") commenced on December 14, 1990. The Partnership began trading
with respect to the Series B Units on January 28, 1991. A third public offering
of Series C Units of limited partnership (the "Series C Units") commenced on
September 13, 1991. The Partnership began trading with respect to the Series C
Units on January 2, 1992. The Partnership's objective is achieving, through
speculative trading, substantial capital appreciation over time.

The proceeds of each of the three series of Units were each
initially allocated equally between the Partnership's two trading advisors --
John W. Henry & Company, Inc. ("JWH") and Millburn Ridgefield Corporation
("Millburn") (collectively, the "Advisors").

Merrill Lynch Alternative Investments LLC ("MLAI LLC"), a
wholly-owned subsidiary of Merrill Lynch Investment Managers, LP ("MLIM"),
which, in turn, is an indirect 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 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.

The Advisors have been the Partnership's only trading advisors
since inception. Each Advisor was allocated 50% of the total assets of each
Series as of the date such Series began trading. Subsequently, these allocations
have varied over time, but have been periodically rebalanced to 50%/50%. All
series have the same percentage allocation of assets between the Advisors. As of
December 31, 2002, 50% of the capital of each series of units was allocated to
JWH and 50% was allocated to Millburn. As of December 1, 1996, the Partnership
placed all of its assets under the management of the Advisors through investing
in two private limited liability companies ("Trading LLCs") sponsored by MLAI
LLC, each one of which was traded by one of the Advisors. Investing assets in
the Trading LLCs rather than trading directly did not change the operation or
fee structure of the Partnership. The administrative authority over the
Partnership remains with MLAI LLC. Throughout this document, references to the
Partnership refer to the Partnership's investment in the Trading LLC's.

As of December 31, 2002, the aggregate capitalization of the
Partnership was $30,928,775, the total capitalization of the Series A, Series B
and Series C Units was $8,105,834, $14,478,511 and $8,344,430, respectively, and
the Net Asset Value per Series A, Series B and Series C Units, originally $100
as of January 5, 1990, January 28, 1991 and January 2, 1992, respectively, had
risen to $358.55 (excluding a $20 per Series A Unit distribution paid as of
November 30, 1990), $291.34 and $227.02, respectively.

The highest month-end Net Asset Value per Series A Unit through
December 31, 2002 was $378.00 (excluding the distributions paid in 1990)
(September 30, 2002) and the lowest $100.31 (May 31, 1990); the highest
month-end Net Asset Value per Series B Unit through December 31, 2002 was
$307.14 (September 30, 2002) and the

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lowest $91.20 (May 31, 1992); the highest month-end Net Asset
Value per Series C Unit through December 31, 2002 was $239.33 (September 30,
2002) and the lowest $75.87 (May 31, 1992).

(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 (currently through its investment in the
Trading LLCs) in the international futures, options on futures and forward
markets with the objective of achieving substantial capital appreciation.

The Partnership has entered into advisory agreements with each
Advisor (the "Advisory Agreement"). JWH trades the Partnership's assets
allocated to it in four market sectors -- interest rates, stock indices,
currencies and metals -- pursuant to its Financial and Metals Program. Millburn
trades the Partnership's assets allocated to it pursuant to its currency
program, which concentrates exclusively on currency trading, primarily in the
interbank market.

One of the objectives of the Partnership is to provide
diversification to a limited portion of the risk segment of the Limited
Partners' portfolios. Commodity pool performance 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 with the United States stock and
bond markets.

The Partnership accesses the Advisors not by opening individual
managed accounts with them, but rather through investing in private funds
sponsored by MLAI LLC through which the trading accounts of different MLAI
LLC-sponsored funds managed by the same Advisor and pursuant to the same
strategy are consolidated.

USE OF PROCEEDS AND INTEREST INCOME

MARKET SECTORS.

Under the direction of the two Advisors, the Partnership trades
a portfolio which is concentrated in the financial, currency and metals markets.
The limited focus of the Partnership's trading increases volatility and market
risk.

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. 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 non regulated -- differ substantially from time to time, as well
as over time. The Partnership has no policy restricting its relative commitment
to any of these different types of markets.

CUSTODY OF ASSETS.

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All of the Partnership's assets are currently held in customer
accounts at Merrill Lynch.

INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S U.S. DOLLAR
AND NON U.S. DOLLAR ASSETS.

The Partnership's U.S. dollar assets are maintained at MLPF&S.
On assets held in U.S. dollars, Merrill Lynch credits the Partnership with
interest at the prevailing 91-day U.S. Treasury bill rate. The Partnership is
credited with interest on any of its net gains actually held by Merrill Lynch in
non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch.
Merrill Lynch may derive certain economic benefit, in excess of the interest
which Merrill Lynch pays to the Partnership, from possession of such assets.

Merrill Lynch charges the Partnership Merrill Lynch's cost of
financing realized and unrealized losses on the Partnership's non-U.S.
dollar-denominated positions.

CHARGES

Each of the series of Units is subject to the same charges.
However, these charges are calculated separately with respect to each Series,
each of which maintains its own Net Asset Value.

During 2002 and 2001, all of the Partnership's assets were
invested in the two Trading LLCs mentioned above. Therefore, no direct charges
were incurred by the Partnership during these two years.

The Partnership's average month-end Net Assets during 2002, 2001
and 2000 equaled $27,713,533, $28,586,131, and $30,694,862, respectively.

The Partnership pays brokerage commissions to MLPF&S at a flat
monthly rate of 0.708 of 1% (a 8.50% annual rate) of the Partnership's month-end
assets. The Partnership pays MLAI LLC a monthly administrative fee of 0.021 of
1% (a 0.25% annual rate) of the Partnership's month-end assets.

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DESCRIPTION OF CURRENT CHARGES

RECIPIENT NATURE OF PAYMENT AMOUNT OF PAYMENT
MLPF&S Brokerage Commissions A flat-rate monthly commission
of 0.708 of 1% of the
Partnership's month-end assets
(an 8.50% annual rate).

MLAI LLC estimates that the
round-turn equivalent rates
charged to ML Millburn Global
L.L.C. ("Millburn") during
the years ended 2002, 2001 and
2000 were approximately $309,
$242, and $324, respectively.
MLAI LLC estimates that the
round-turn equivalent rates
charged to ML JWH Financial
and Metals Portfolio L.L.C.
("JWH") during the years
ended 2002, 2001 and 2000 were
approximately $236, $155, and
$146, respectively.

MLPF&S Use of Partnership assets Merrill Lynch may derive an
economic benefit from the
deposit of certain of the
Partnership's U.S. dollar
assets.

MLAI LLC Administrative Fees The Partnership pays MLAI LLC
a monthly Administrative Fee
equal to 0.021 of 1% (0.25%
annually) of the Partnership's
month-end assets. MLAI LLC
pays all of the Partnership's
routine administrative costs.

Other Bid-ask spreads Bid-ask spreads on forward and
Counterparties related trades.

Advisors Profit Shares Profit shares of 20% of any
New Trading Profit, either as
of the end of each calendar
quarter or year, achieved by
each Advisor's trading
account, individually, were
paid to JWH and Millburn,
respectively. Profit Shares
are also paid upon redemption
of Units. New Trading Profit
is calculated separately in
respect of each Advisor,
irrespective of the overall
performance of the
Partnership.

Advisors Consulting Fees MLPF&S pays the Advisors
annual consulting fees of 2%
of the average month-end
assets allocated to them for
management.

MLPF&S; Extraordinary expenses Actual costs incurred; none
Others paid to date.

REGULATION

MLAI LLC, the Advisors and MLPF&S are each subject to regulation
by the Commodity Futures Trading Commission (the "CFTC") and the National
Futures Association ("NFA"). Other than in respect of its periodic reporting
requirements under the Securities Exchange Act of 1934, the Partnership itself
is generally not subject to regulation by the Securities and Exchange
Commission. However, MLAI LLC itself is registered as an "investment adviser"
under the Investment Advisers Act of 1940.

(i) through (xii) -- not applicable.
(xiii) The Partnership has no employees.

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(d) FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

The Partnership trades 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 offices are the administrative
offices of 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

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 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

Item 5(a)

(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.

(b) HOLDERS:

As of December 31, 2002, there were 212, 606 and 308 holders of
the Series A, B and C Units, respectively, including MLAI LLC.

(c) DIVIDENDS:

The Partnership has made only one distribution ($20 per Series A
Unit payable as of November 30, 1990) since trading commenced. MLAI LLC does not
presently intend to make any further distributions.

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

-5-

Not applicable.

Item 5(b)

Not applicable.

ITEM 6: SELECTED FINANCIAL DATA

The following selected financial data has been derived from the audited
financial statements of the Partnership.[OBJECT OMITTED]

FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
INCOME STATEMENT DATA 2002 2001 2000 1999 1998
- ------------------------------------------------------------------------------------------------------------------------

Revenues:

Income (Loss) from Investments $ 8,302,393 $ 1,265,275 $ (2,426,515) $ (6,145,111) $ 1,867,451
----------------------------------------------------------------------------------
Net Income (Loss) $ 8,302,393 $ 1,265,275 $ (2,426,515) $ (6,145,111) $ 1,867,451
==================================================================================

All income is from investing in the Trading LLC's.

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Pursuant to CFTC policy, monthly performance is presented from January 1, 1998
even though all Series were outstanding prior to such date.

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JOHN W. HENRY & CO./MILLBURN L.P.
(SERIES A UNITS)
DECEMBER 31, 2002

TYPE OF POOL: Selected-Advisor/Publicly-Offered/Non-"Principal Protected"(1)
INCEPTION OF TRADING: January 5, 1990
AGGREGATE SUBSCRIPTIONS: $18,182,000
CURRENT CAPITALIZATION: $8,105,834
WORST MONTHLY DRAWDOWN(2):(14.20)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN(3):(40.59)% (7/99-9/00)

NET ASSET VALUE PER SERIES A UNIT, DECEMBER 31, 2002: $358.55

(1) Pursuant to applicable CFTC regulations, a "Multi-Advisor"
fund is defined as one that allocates no more than 25% of its trading assets to
any single manager. As the Partnership allocates approximately 50% of its assets
to each of JWH and Millburn, it is referred to as a "Selected-Advisor" fund.
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 initial purchase price) 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 since January 1, 1998 by the Series; 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 since January 1, 1998 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. 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 Series
during the month of determination (including interest income and after all
expenses have been accrued or paid) divided by the total equity of the Series as
of the beginning of such month.

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

RESULTS OF OPERATIONS

GENERAL

JWH and Millburn have been the Partnership's two Advisors since
inception. Although from time to time one of the Advisors is allocated a greater
percentage of the Partnership's assets than the other as a result of
differential performance, MLAI LLC periodically rebalances the Partnership's
asset allocation to approximately 50%/50%.

The Advisors are both trend-following traders, whose programs do
not attempt to predict price movements. No fundamental economic supply or demand
analyses are used by either JWH or Millburn, and no macroeconomic assessments of
the relative strengths of different national economies or economic sectors.
Instead, their programs apply proprietary computer models to analyzing past
market data, and from this data alone attempt to determine whether market prices
are trending. As technical traders, JWH and Millburn base their strategies on
the theory that market prices reflect the collective judgment of numerous market
participants and are, accordingly, the best and most efficient indication of
market movements. However, there are frequent periods during which fundamental
factors external to the market dominate prices.

If an Advisor's models identify a trend, they signal positions
which follow it. When these models identify the trend as having ended or
reversed, these positions are either closed out or reversed. Due to their
trend-following character, the Advisors' programs do not predict either the
commencement or the end of a price movement. Rather, their objective is to
identify a trend early enough to profit from it and detect its end or reversal
in time to close out the Partnership's positions while retaining most of the
profits made from following the trend.

In analyzing the performance of trend-following programs such as
those implemented by JWH and Millburn, economic conditions, political events,
weather factors, etc., are not directly relevant because only market data has
any input into trading results. Furthermore, there is no direct connection
between particular market conditions and price trends. There are so many
influences on the markets that the same general type of economic event may lead
to a price trend in some cases but not in others. The analysis is further
complicated by the fact that the programs are designed to recognize only certain
types of trends and to apply only certain criteria of when a trend has begun.
Consequently, even though significant price trends may occur, if these trends
are not comprised of the type of intra-period price movements which their
programs are designed to identify, either or both Advisors may miss the trend
altogether.

Performance Summary

This performance summary is an outline description of how the
Partnership performed in the past, not necessarily any indication of how it will
perform in the future. In addition, the general causes to which certain price
movements are attributed may or may not in fact have caused such movements, but
simply occurred at or about the same time.

Both Advisors 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 either Advisor will be
profitable, under any given market condition, markets in which substantial and
sustained price movements occur typically offer the best profit potential for
the Partnership.

-11-

2002

The Partnership's overall trading was very profitable for the
year, bringing in an over 33% compounded annual rate of return for 2002. The
major contributors were the financial futures and forward sectors. The metals
sector produced moderate losses for the year.

The interest rate sector was profitable for the Partnership
despite its slow start. 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 under 4%.

The currency sector also brought in significant profits for the
year. Strong trends developed from a weakening U.S. dollar during the second
quarter, where most of the profits were incurred. 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, citing currencies being repatriated to
their home country and high global cash balances creating a difficult market for
the Partnership in major currencies. In December, the U.S. dollar's weakness
globally due to the threat of a possible war with Iraqi and tensions with North
Korea created a trend that the Partnership was able to use profitably.

The stock index sector produced profits for the year as 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

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

Specific trading results are not included for 2002 because the
Partnership traded exclusively through investing in Trading LLC's.

2001

The Partnership's overall trading strategy was profitable for
2001. Trading in the interest rate and stock index sectors accounted for most of
the gains.

Trading in the interest rate markets was the most successful
strategy. Eurodollar trading was profitable 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. The global fixed
income markets rallied strongly after the September 11 events but the rally
subsided by year-end as stronger than expected retail sales figures in the U.S.
prompted a sharp decline in global bond prices.

Despite volatile conditions, stock index trading was successful.
Global equity markets remained caught between negative news about earnings and
the potential positive effects of monetary easings. Short positions fueled the
sector as indices fell on poor corporate earnings and investors anxiety that the
terrorist attacks would cause the global economic slump to worsen. Positive
reports on the U.S. economy and growing optimism for a brighter 2002 caused
stock markets to rally at year-end.

Currency trading was also profitable. The Euro fell from a near
high 96 cents back to the 90 cent level, resulting in losses in long Euro
positions. Losses were sustained in Japanese yen positions as the further
weakening of the Japanese yen displayed how the global economy is not immune to
the slowdown of the U.S. economy.

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By year end, the U.S. dollar continued to appreciate versus the Euro and the
Japanese yen as the European Central Bank maintained its cautious monetary
easing stance and the Japanese economy deteriorated.

Trading in the metals sector was the only unprofitable strategy.
Weakness in the Euro, a decline in the Australian dollar to all time lows and
producer and European Central Bank selling sent gold prices lower. Copper
trading sustained losses despite a number of bullish developments to existing
demand constraints. Long gold positions were profitable in September as
investors flocked to gold as a safe haven in the aftermath of the attacks.

Specific trading results are not included for 2001 because the
Partnership traded exclusively through investing in Trading LLC's.

2000

Trading in the currency and interest rate sectors was profitable
for the Partnership in 2000. However, losses sustained in stock market index and
metals sectors more than offset those gains as the Partnership's overall trading
strategy was unprofitable.

Currency trading alternated throughout the year until December,
when most of the gains were realized. The year began with the decline in the
Euro as officials from the Group of Seven met and failed to express concern
about the low levels of the European currency. The Euro's weakness can be
attributed to a number of factors, including the slow pace of microeconomic
reform in Europe, plans for a European withholding tax and the scale of direct
investments outside of Europe. In April, long Swiss franc positions proved
profitable despite interest rate hikes by the Swiss National Bank. Losses in
Japanese yen occurred as the Japanese yen finished weaker against the U.S.
dollar in anticipation that the U.S. Federal Reserve would continue to increase
interest rates. The Euro hit all time lows against the U.S. dollar and the
Japanese yen in early September despite European Central bank intervention,
benefiting the Partnership's short Euro positions. December was quite profitable
on the resurgence of the Euro versus both the U.S. dollar and Japanese yen and
the weakness of the Japanese yen versus the U.S. dollar.

Although profitable at year end, trading in the interest rate
markets was volatile. Losses were realized in the Japanese ten-year bond,
ten-year U.S. Treasury note positions and long U.S. Treasury positions as the
yield curve fluctuated widely during the first quarter. U.S. yields continued to
fall mid year as investors shifted to U.S. Treasuries due to increased
volatility in the NASDAQ and other equity markets. Short Euro positions resulted
in losses as the Euro improved after the European Central Bank's 50 basis point
repo rate hike. Japanese government bonds were slightly profitable in the third
quarter. In November and December, gains were realized from Japanese ten-year
bond and U.S. ten-year note trading as uncertainty surrounding the U.S.
Presidential election resulted in investors favoring bond markets over equities.

Stock Index markets trading was unprofitable. Early on,
positions in the FTSE Financial Times Stock Index resulted in profits as the
United Kingdom economy grew at a robust rate and was accompanied by low
inflation. Losses were sustained in Nikkei 225 and S&P 500 positions in the
second quarter as signs of rising inflation fueled fears that the U.S. Federal
Reserve would continue to raise interest rates to slow the robust economy. As
the Federal Reserve raised rates throughout the year, investors shifted to the
safehaven of U.S. Treasuries, away from an increasingly volatile NASDAQ.

Trading in the metals markets was also unprofitable. Concerns
about higher U.S. interest rates and sharp declines in global equity prices
during January created a somewhat nervous and defensive tone in base metals
trading. Trading in long Copper positions resulted in losses as a Freeport,
Indonesia mine announced output cuts would not be as large as the Indonesian
government forecast. Gold prices dropped in July as a result of the Bank of
England's bullion auction. Nickel prices declined as demand slowed for stainless
steel in Europe and Asia. Gold prices were impacted during December by adverse
currency movements.

Specific trading results are not included for 2000 because the
Partnership traded exclusively through investing in Trading LLC's.

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VARIABLES AFFECTING PERFORMANCE

The principal variables which determine the net performance of
the Partnership are gross profitability and interest income.

During all periods set forth under "Selected Financial Data,"
the interest rates in many countries were at unusually low levels. The low
interest rates in the United States (although higher than in many other
countries) negatively impacted revenues because interest income is typically a
major component of the Partnership's profitability. In addition, low interest
rates are frequently associated with reduced fixed income market volatility, and
in static markets the Partnership's profit potential generally tends to be
diminished. On the other hand, during periods of higher interest rates, the
relative attractiveness of a high risk investment such as the Partnership may be
reduced as compared to high yielding and much lower risk fixed-income
investments.

The Partnership's Brokerage Commissions and Administrative
Fees are a constant percentage of the Partnership's assets allocated to
trading. The only Partnership costs (other than the insignificant currency
trading costs) which are not based on a percentage of the Partnership's
assets (allocated to trading or total) are the Profit Shares payable to JWH
and Millburn separately on their individual performance, irrespective of the
overall performance of the Partnership. During periods when Profit Shares are
a high percentage of net trading gains, it is likely that there has been
substantial performance non-correlation between JWH and Millburn (so that the
total Profit Shares paid to the Advisor which has traded profitably are a
high percentage, or perhaps even in excess, of the total profits recognized,
as the other Advisor incurred offsetting losses, reducing overall trading
gains but not the Profit Shares paid to the successful Advisor) -- suggesting
the likelihood of generally trendless, non-consensus markets.

Unlike many investment fields, there is no meaningful
distinction in the operation of the Partnership between realized and unrealized
profits. Most of the contracts traded by the Partnership are highly liquid and
can be closed out at any time.

Except in unusual circumstances, factors -- regulatory
approvals, cost of goods sold, employee relations and the like -- which often
materially affect an operating business, have virtually no impact on the
Partnership.

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.

Substantially all of the Partnership's assets at the Trading
LLC's are held in cash. The Net Asset Value of the Partnership's cash is not
affected by inflation. However, changes in interest rates could cause periods of
strong up or down price trends, during which the Partnership's profit potential
generally increases. Inflation in commodity prices could also generate price
movements which the strategies might successfully follow.

Except in very unusual circumstances, the Trading LLC's should
be able to close out any or all of its open trading positions and liquidate any
or all of its securities holdings quickly and at market prices. This permits an
Advisor to limit losses as well as reduce market exposure on short notice should
its strategies indicate doing so. In addition, because there is a readily
available market value for the Partnership's positions and assets, the
Partnership's monthly Net Asset Value calculations are precise, and investors
need only wait ten business days to receive the full redemption proceeds of
their Units.

-14-

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISKS.

INTRODUCTION

PAST RESULTS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE

The Partnership is a speculative commodity pool. 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 Trading LLC'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 the two Advisors which
it has retained since inception, 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 particular 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 quantifications included
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.

The Partnership's risk exposure in the various market sectors
traded by the Advisors 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%-99% of the one-day time periods included in
the historical sample (generally approximately one year) 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.

-15-

The fair value of the Partnership's futures and forward
positions does not have any optionality component. However, both JWH and
Millburn trade options on futures to a limited extent. The Value at Risk
associated with options is reflected in the following table as the margin
requirement attributable to the instrument underlying each option.

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
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 $27,713,533. As of
December 31, 2001, the average capitalization was approximately $28,586,131.

The Partnership does not trade commodities or energy futures.

Fiscal Year 2002

Average, highest and lowest value at Risk amounts relate to
quarter-end amounts for each calendar quarter-end during the fiscal year.
Average Capitalization is the average or the Partnership's capitalization at the
end of each quarter of fiscal year 2002.

-16-

Fiscal Year 2001

Average, highest and lowest Value at Risk amounts relate to
quarter-end amounts for each calendar quarter-end during the fiscal year.
Average Capitalization is the average or the Partnership's capitalization at
the end of each quarter of fiscal year 2001.

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. The foregoing
Value at Risk table -- as well as the past performance of the Partnership --
give no indication of this "risk of ruin."

NON-TRADING RISK

FOREIGN CURRENCY BALANCES; CASH ON DEPOSIT WITH MLPF&S

The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, these balances (as well as the market
risk they represent) are immaterial.

The Partnership also has non-trading market risk on the
approximately 90%-95% 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. This
cash flow risk is immaterial.

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 the
Partnership's two Advisors 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

-17-

be prepared to lose all or substantially all of the time value of their
investment in the Partnership.

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,
including cross-rates-- i.e., positions between two currencies other than the
U.S. dollar. However, the Partnership's major exposures have typically been in
the U.S. dollar/Japanese yen and U.S. dollar /Euro 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 inherent to the U.S. dollar-based
Partnership in expressing Value at Risk in a functional currency other than U.S.
dollars.

STOCK INDICES.

The Partnership's primary equity exposure is to equity index
price movements. The stock index futures traded by the Partnership are by law
limited to futures on broadly based indices. As of December 31, 2002, the
Partnership's primary exposures were in the S&P 500, Financial Times (England),
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 Japanese indices.

METALS.

The Partnership's primary metals market exposure is to
fluctuations in the price of gold and silver. Although certain of the Advisors
will from time to time trade 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 (and, to a much lesser extent, platinum).
However, gold prices have remained volatile over this period, and the Advisors
have from time to time taken substantial positions as they have perceived market
opportunities to develop. MLAI LLC anticipates that gold and silver will remain
the primary metals market exposure for the Partnership.

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, British pounds and Euros. The Partnership has de minimis exchange
rate exposure on these balances.

U.S. DOLLAR CASH BALANCE.

The Partnership holds U.S. dollars only in cash at MLPF&S. The
Partnership has immaterial cash

-18-

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.

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. These procedures focus primarily on monitoring the trading of JWH and
Millburn, calculating the Net Asset Value of the Partnership accounts managed by
the two Advisors as of the close of business on each day and reviewing
outstanding positions for over-concentrations. While MLAI LLC does not itself
intervene in the markets to hedge or diversify the Partnership's market
exposure, MLAI LLC may urge either or both of JWH and Millburn to reallocate
positions managed by the two Advisors, in an attempt to avoid
over-concentrations. However, such interventions are unusual.

Each of JWH and Millburn applies its own risk management
policies to its trading.

JWH RISK MANAGEMENT

JWH 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 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 seeks to control overall risk as well as the risk
of any one position, and JWH 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 factors the point of exit
into the decision to enter (stop loss). The size of JWH'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 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 from 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 may vary the
weighting at its discretion as market conditions, liquidity, position limit
considerations and other factors warrant.

JWH may determine that risks arise when markets are illiquid or
erratic, such as may occur cyclically during holiday seasons, or on the basis of
irregularly occurring market events. In such cases, JWH 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's investment strategy. At its
discretion, JWH 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.

-19-

MILLBURN RISK MANAGEMENT

Millburn attempts to control risk through the systematic
application of its trading method, which includes a multi-system approach to
price trend recognition, an analysis of market volatility, the application of
certain money management principles, which may be revised from time to time, and
adjusting leverage or portfolio size. In addition, Millburn limits its trading
to markets which it believes are sufficiently liquid in respect of the amount of
trading it contemplates conducting.

Millburn develops trading systems using various classes of
quantitative models and data such as price, volume and interest rates, and tests
those systems in numerous markets against historical data to simulate trading
results. Millburn then analyzes the profitability of the systems looking at such
features as the percentage of profitable trades, the worst losses experienced,
the average giveback of maximum profits on profitable trades and risk adjusted
returns. The performance of all systems in the market are then ranked, and three
or four systems are selected which make decisions in different ways at different
times. This multi-system approach ensures that the total risk intended to be
taken in a market is spread over several different strategies.

Millburn also attempts to assess market volatility as a means of
monitoring and evaluating risk. In doing so, Millburn uses a volatility overlay
system which measures the risk in a portfolio's position in a market and signals
a decrease in position size when risk increases and an increase in position size
when risk decreases. Millburn's volatility overlay maintains overall portfolio
risk and distribution of risk across markets within designated ranges.

Millburn's risk management also focuses on money management
principles applicable to a portfolio as a whole rather than to individual
markets. The first principle is reducing overall portfolio volatility through
diversification among markets. Millburn seeks a portfolio in which returns from
trading in different markets are not highly correlated, that is, in which
returns are not all positive or negative at the same time. Additional money
management principles include limiting the assets committed as margin or
collateral, generally within a range of 15% to 30% of an account's net assets;
avoiding the use of unrealized profits in a particular market as margin for
additional positions in the same market; and changing the equity used for
trading an account solely on a controlled periodic basis, not automatically due
to an increase in equity from trading profits.

Another important risk management function is the careful
control of leverage or portfolio size. Leverage levels are determined by
simulating the entire portfolio over the past five or ten years to determine the
worst case experienced by the portfolio in the simulation period. The worst case
or peak-to-trough drawdown, is measured from a daily high in portfolio assets to
the subsequent daily low whether that occurs days, weeks or months after the
daily high. If Millburn considers the drawdown too severe, it reduces the
leverage or portfolio size.

Millburn determines asset allocation among markets and position
size on the basis of the money management principles and trading data research
discussed above and the market experience of Millburn's principles. From time to
time Millburn may adjust the size of a position, long or short, in any given
market. Decisions to make such adjustments require the exercise of judgment and
may include consideration of the volatility of the particular market; the
pattern of price movements, both inter-day and intra-day; open interest; volume
of trading; changes in spread relationships between various forward contracts;
and overall portfolio balance and risk exposure.

NON-TRADING RISK

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

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 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 its cash held on deposit at MLPF&S.

-20-

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
JOHN W. HENRY & CO. / MILLBURN 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 or financial disclosure.

PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

10(a) & 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 the
Advisors on behalf of the Partnership.

The managers and executive officers of MLAI LLC and their
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 a 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 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,

-21-

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 a Vice President, Chief
Adminstrative Officer and a 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 a 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's of Business Administration in Finance from New York University in
1987.

As of December 31, 2002, the principals of MLAI LLC had no
investment in the Partnership, and MLAI LLC's general partnership interest was
valued at $317,512.

As of February 28, 2003, 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, and ML JWH Strategic Allocation Fund 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 futures funds
whose units of limited partnership interest are registered under the Securities
Exchange Act of 1934.

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

None.

(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 by MLAI LLC in their
respective positions. The Partnership does not itself have any officers,
directors or employees. The Partnership pays Brokerage Commissions to

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an affiliate of MLAI LLC and Administrative Fees to MLAI LLC. MLAI LLC or its
affiliates also may receive certain economic benefits from holding the
Partnership's dollar 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 directors 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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

As of December 31, 2002, no person or "group" is known to be or
have been the beneficial owner of more than 5% of the Units. All of the
Partnership's units of general partnership interest are owned by MLAI LLC.

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2002, the Advisors owned 515 Series A Units,
500 Series B Units and 1,000 Series C Units and MLAI LLC owned 231 Series A
Units, 511 Series B Units and 378 Series C Units (unit-equivalent general
partnership interests) which was, in each case, less than 3% of each series of
the total Units outstanding, respectively.

(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 the
Advisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with the
Advisors over the level of their advisory fees and Profit Shares. 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 indirectly pays Merrill Lynch through MLPF&S
and MLAI LLC 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:

-23-

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

In 2002, the Partnership expensed through its investment in the
Trading LLCs: (i) Brokerage Commissions of $2,442,927 to MLPF&S, which included
$578,381 in consulting fees earned by the Advisors; and (ii) Administrative Fees
of $71,850 to MLAI LLC. In addition, MLAI LLC and its affiliates may have
derived certain economic benefits from possession of the Partnership's assets,
as well as from foreign exchange and EFP trading.

(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 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 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.

-24-

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:

-25-

EXHIBIT 10.02(a): Is incorporated herein by reference from Exhibit 10.02(a) contained in Amendment No. 1
to the Registration Statement (File No. 33-30096) dated as of September 21, 1989, on
Form S-1 under the Securities Act of 1933.

10.03 Form of Customer Agreement between the Partnership and MLPF&S.

EXHIBIT 10.03: Is incorporated herein by reference from Exhibit 10.03 contained in the Registrant's
Registration Statement.

10.06 Foreign Exchange Desk Service Agreement, dated July 1, 1993 among Merrill Lynch
International Bank, MLIM AS LLC, MLPF&S and the Partnership.

EXHIBIT 10.06: Is incorporated herein by reference from Exhibit 10.06 contained in the Registrant's
report on Form 10-K for the year ended December 31, 1996.

10.07(a) Form of Advisory and Consulting Agreement Amendment among MLIM AS LLC, each Advisor,
the Partnership and MLPF&S.

EXHIBIT 10.07(a): Is incorporated herein by reference from Exhibit 10.07(a) contained in the Registrant's
report on Form 10-K for the year ended December 31, 1996.

10.07(b) Form of Amendment to the Customer Agreement among the Partnership and MLPF&S.

EXHIBIT 10.07(b) Is incorporated herein by reference from Exhibit 10.07(b) contained in the
Registrant's report on Form 10-K for the year ended December 31, 1996.

13.01 2002 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01: Is filed herewith.

13.01(a) 2002 Annual Report and Independent Auditors' Report for the following Trading Limited
Liability Companies sponsored by MLIM AS LLC:
ML Millburn Global L.L.C.
ML JWH Financial and Metals Portfolio L.L.C.

EXHIBIT 13.01(a): Is filed herewith.

28.01 Prospectus of the Partnership dated September 29, 1989.

EXHIBIT 28.01: Is incorporated by reference as filed with the Securities and Exchange Commission
pursuant to Rule 424 under the Securities Act of 1933, as amended, on October 10,
1989.

28.02 Prospectus of the Partnership dated December 14, 1990.

EXHIBIT 28.02: Is incorporated by reference as filed with the Securities and Exchange Commission
pursuant to Rule 424 under the Securities Act of 1933, as amended, on December 20,
1990.

28.03 Prospectus of the Partnership dated September 13, 1991.

EXHIBIT 28.03: Is incorporated by reference as filed with the Securities and Exchange Commission
pursuant to Rule 424 under the Securities Act of 1933, Registration Statement on
September 23, 1991.

-26-

(b) Report on Form 8-K:

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

-27-

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.

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

By: MERRIL 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 managers of Merrill Lynch Alternative Investments
LLC)

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

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

-28-

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 John W. Henry &
Co./Millburn 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 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)

-29-

EXHIBIT 99 (a)

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

In connection with this annual report of John W. Henry & Co./Millburn 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,
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 John W.
Henry & Co./Millburn L.P.

Date: March 31, 2003

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

-30-

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 John W. Henry &
Co./Millburn 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 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)

-31-

EXHIBIT 99 (a)

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

In connection with this annual report of John W. Henry & Co./Millburn 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, 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 John W.
Henry & Co./Millburn 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)

-32-

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

2002 FORM 10-K

INDEX TO EXHIBITS

EXHIBIT
-------

Exhibit 13.01 2002 Annual Report and Independent Auditors' Report

Exhibit 13.01(a) 2002 Annual Report and Independent Auditors' Report
ML Millburn Global, LLC
ML JWH Financials & Metals Portfolio, LLC

-33-