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, 2003
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/

Indicate by check mark whether registrant is an accelerated filer (as defined
by Rule 12b-2 of the Act)
Yes / / No /X/

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: as of February 1, 2004, limited partnership
units with an aggregate net asset value of $752,720,511 were held by
non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2003 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2003,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith. The annual reports are available free of charge by
contacting Alternative Investments Client Services at 1-800-765-0995.

ML JWH STRATEGIC ALLOCATION FUND L.P.

ANNUAL REPORT FOR 2003 ON FORM 10-K

TABLE OF CONTENTS

TABLE OF CONTENTS

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"), formerly MLIM
Alternative Strategies LLC ("MLIM AS LLC") is 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. 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 $2.081 billion in client
capital as of December 31, 2003.

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, 2003, the aggregate Net Asset Value of the
Partnership was $695,477,407, and the Net Asset Value per Unit, originally $100
as of July 15, 1996, had risen to $235.60.

Through December 31, 2003, the highest month-end Net Asset Value per
Unit was $272.23 (May 31, 2003) 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
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.

1

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 principal 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 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

2

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 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.

3

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, 2004 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. As of
December 31, 2003. JWH(R)'s investment was valued at $237,332.

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

4

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 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.

5

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.

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.

6

CHARGES

The following table summarizes the charges incurred by the Fund during
2003, 2002 and 2001.

The Partnership's average month-end Net Assets during 2003, 2002 and
2001 equaled $504,717,470, $280,746,315, and $257,523,703, respectively.

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, 2003, 2002 and 2001, JWH(R) received a profit share
allocation of $5,790,782, $20,054,827, and $5,861,385 and earned interest of
$49,985, $98,031, and $124,838 on such amounts, respectively.

DESCRIPTION OF CURRENT CHARGES

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

7

JWH(R) Profit Share 20% of any New Trading Profits (as the Partnership owns
substantially all of the Joint Venture, such special
allocation effectively is made out of Trading Profits
which the Partnership would otherwise have received).

As Profit Shares are calculated on the basis of
quarter-end highs in cumulative Trading Profit,
substantial Profit Shares may (irrespective of the fact
that Units are purchased at different times and prices,
and may have materially different investment experiences
during a year) be accrued during a calendar year even
though the joint venture has an overall loss for such
year.

JWH(R) Consulting Fees MLPF&S pays JWH(R) annual Consulting Fees of 2% of the
Partnership's average month-end assets, after reduction
for a portion of the Brokerage Commissions.

MLPF&S; Other Extraordinary expenses Actual payments to third parties; none paid to third
Third Parties parties to date.

MLAI LLC Ongoing offering costs Actual costs incurred subject to limitation.
reimbursed

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 office is the office 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.

8

ITEM 3: LEGAL PROCEEDINGS

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.

Neither MLAI LLC, nor the Partnership itself, has ever been the
subject of any material litigation.

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

None

PART II

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

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, 2003, there were 19,016 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.

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:

10

ML JWH STRATEGIC ALLOCATION PARTNERSHIP L.P.
DECEMBER 31, 2003

TYPE OF POOL: Single-Advisor/Publicly-Offered/Not "Principal Protected"(1)
INCEPTION OF TRADING: July 15, 1996
AGGREGATE SUBSCRIPTIONS: $908,632,968
CURRENT CAPITALIZATION: $695,477,407
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, 1999; 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, 1999. 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 may offer the best profit potential for the Partnership.

PERFORMANCE SUMMARY

2003

Interest Rates and Stock Indices $ (6,638,594)
Agricultural Commodities (28,857,431)
Currencies 110,263,071
Energy (45,479,292)
Metals 15,978,958
--------------
$ 45,266,712
==============

The Partnership's overall trading was profitable for the year,
resulting in an over 7.33% compounded annual rate of return for 2003, net of all
fees and expenses. The major contributor was the currency sector with the metals
sector also realizing a profit. The remaining sectors had net losses for the
year.

The currency sector had the greatest gains for the year. The weakening
U.S. dollar continued to decline as it has for over a year and the Partnership
was well positioned to capitalize on its U.S. dollar positions against other
currencies. The strengthening in the U.S. dollar in the second quarter
attributed to losses in June and July. The U.S. dollar weakened again in
September amid opinions that exchange rates, particularly in Asian currencies,
should have greater flexibility and large profits were posted in the fourth
quarter. December gains made up the majority of the profits for the year,
primarily due to four major foreign currencies, the Euro, Japanese yen, British
pound, and the Swiss franc.

The metals sector proved profitable for the year as well. Gold drove
profits in January, only to fall back in February and March when the German
Bundesbank announced it had sold a portion of its gold reserves. The downward
trend continued in gold during the second quarter alongside other metals. Gold's
performance turned around in August and September on renewed buying interest
from the speculative community and because of anticipated higher inflation as a
result of the Federal Reserve's monetary policy and the U.S.'s increased budget
deficits. Copper drove most of the profits in October and gold proved to be the
driver of the profits in the latter half of the fourth quarter. This was
primarily due to the weakening U.S. dollar, making precious metals more
affordable in foreign currencies. Gold also does well historically in a negative
real rate environment.

Stock indices and interest rate futures posted losses for the year,
despite large gains in the first three quarters for interest rates and an
overall profitable year for the stock indices. The majority of the gains for
stock indices were received in June attributable to a weakening U.S. dollar.
Investors sought higher yields than readily available in U.S. dollar denominated
assets, this lead to the sale of U.S. dollars against major currencies. The
latter half of the year posted gains initially primarily due to the Osaka Nikkei
and the Nasdaq-E-Mini. The Osaka Nikkei then dropped amid heavy selling of
Japanese bank stocks. The Osaka Nikkei continued its decline to end the fourth
quarter and the profits in the Eurostoxx50, German Dax, and the Nasdaq-E-Mini
were not enough to compensate for the loss. Interest rates continued to push
lower during the first quarter as economic data for the fourth quarter 2002
announced an annual growth rate for the economy of only 1% for 2002. Consumer
spending and confidence remained low and even the housing market stumbled in
March. The global fixed income markets continued their upward climb until
mid-March when expectations of a short conflict in Iraq triggered the
liquidation of many fixed income investments hurting long exposures. The
majority of the profits in the second quarter came from the Japanese ten-year
government bonds, which continued to be a very vibrant market for trading.. The
optimism in Japan sent the price of the Japanese ten-year government bond

12

spiraling down from massive liquidation as the ten-year interest rate tripled.
This created the large losses in July, however the Partnership capitalized on
the plummeting prices of Japanese ten-year government bonds in August.
Unfortunately, the recovery of the Japanese ten-year government bonds in
September caused significant losses for the Partnership. The rising interest
rates that began mid-year only to reverse in September reversed again in October
as interest rates started climbing once more. Terrorist activity in Saudi Arabia
and Turkey cast a pall on the global economic recovery in November.
Additionally, talk of tariffs from the United States provided more incentive for
reducing short positions.

Trading in agricultural commodities posted losses for the year.
Trading was volatile during the second quarter with the largest positions held
were coffee, cotton and cocoa. The downward trend in grains that started in June
reversed in the beginning of August due to harsh weather conditions. This
diminished prospects for a large harvest season, forcing the speculators to
cover short positions. Corn and cotton suffered the largest losses. New York
sugar also incurred a loss due to heavy Brazilian producer selling, forcing the
market down. Soybeans, bean oil and soy meal continued to trend higher due to
lower U.S. production and increased global demand. Live cattle continued an
upward trend and produced positive results for the third quarter, but when news
broke of mad cow disease the market reversed. Cotton and wheat were also down in
the fourth quarter.

Energy was the most unprofitable sector for the year. With the
continuation of the strike in Venezuela, the tensions with Iraq and the cold
winter, long positions in oil and natural gas were profitable in the beginning
of the year. In February, the best performing month, natural gas prices rose
nearly 40% in a single day in connection with expected severely cold weather and
supply shortages. Prices plummeted within a week of the start of the war with
Iraq, causing the loss of almost half of the profits earned in January and
February. The sector had a positive return in April which was reversed and
overshadowed by negative results for May and June. The vast majority of the
losses occurred in natural gas, which was very volatile during June. Cooler
weather in the northern states in the latter part of the second quarter and the
largest storage injection on record in the U.S. released in June reversed the
market, pushing it to the lows of the second quarter. In September, OPEC agreed
to cut quotas by 900,000 barrels a day in order to stabilize the price of oil.
This surprise announcement quickly reversed the previous downtrend, sending
prices higher. Unfortunately, the profits in natural gas were not enough to
compensate for the losses in crude oil, heating oil, London gas oil and unleaded
gas. In October, the worst performing month, when crude oil and related prices
fell in connection with news of higher than expected increases in U.S.
inventories and anticipated moderate temperatures in the Midwest and Northeast.
In November all components were up with the exception of heating oil. The
largest gains came from crude oil and natural gas. In December, crude oil,
heating oil, London gas oil and unleaded gas all contributed positively for the
month but were not enough to overcome the loss in natural gas.

2002

Interest Rates and Stock Indices $ 57,270,172
Agricultural Commodities (82,961)
Currencies 51,189,381
Energy 818,755
Metals (1,832,049)
--------------
$ 107,363,298
==============

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

13

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 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.

2001

Interest Rates and Stock Indices $ 19,655,619
Agricultural Commodities (285,766)
Currencies 10,770,691
Energy (18,991,683)
Metals (3,029,229)
-------------
$ 8,119,632
=============

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

14

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.

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.

VARIABLES AFFECTING PERFORMANCE

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

During all periods set forth above "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 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 the
Advisor based on the new Trading Profits generated by the partnership excluding
interest and after reduction for a portion of the Brokerage Commissions.

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

15

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.

(The Partnership has no off-balance sheet arrangements or contractual
obligations of the type described in Items 303(a)(4) and 303(a)(5) of
Regulation S-K.)

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.

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

16

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 2003. During the fiscal year 2003, the
Partnership's average capitalization was approximately $504,717,470. During the
fiscal year 2002, the Partnership's average capitalization was approximately
$280,746,315.

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 has non-trading market risk on its foreign cash
balances not needed for margin. These balances (as well as the market risk they
represent) are generally 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 generally 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 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

18

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.

The following were the primary trading risk exposures of the
Partnership as of December 31, 2003, 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, 2003, 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, 2003. 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, 2003.

19

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

U.S. DOLLAR CASH BALANCE
The Partnership hold U.S. dollars only in cash at MLPF&S. The
Partnership has immaterial 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.

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.

20

NON-TRADING RISK

The Partnership controls the non-trading exchange rate risk by
regularly converting foreign currency balances back into U.S. dollars at least
once per week 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 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, 2003

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.

ITEM 9A: 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.

21

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 on
behalf of the Partnership.

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

ROBERT M. ALDERMAN Chief Executive Officer, President and Manager

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

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

JEFFREY F. CHANDOR Manager

Mr. Alderman was born in 1960. Mr. Robert M. Alderman is Chief Executive
Officer, President and Manager of MLAI LLC. Mr. Alderman is a Managing Director
of Merrill Lynch Global Private Client 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, 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
Operating 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.

Jeffrey F. Chandor was born in 1942. Mr. Chandor is the Global Sales
Director of the General Partner. Mr. Chandor became a Manager of the General
Partner on April 1, 2003. He was a Senior Vice President, Director of Sales,
Marketing and Research and a Director of Merrill Lynch Investment Partners,
Inc., a predecessor to the General Partner. He joined Merrill Lynch, Pierce,
Fenner & Smith Incorporated in 1971 and has served as the Product Manager of
International Institutional Equities, Equity Derivatives and Mortgage-Backed
Securities as well as Managing Director of International Sales in the United
States, and Managing Director of Sales in Europe. Mr. Chandor holds a Bachelor
of Arts degree from Trinity College, Hartford, Connecticut.

22

As of December 31, 2003, the principals of MLAI LLC had no investment in
the Partnership, and MLAI LLC's general partner interest in the Partnership was
valued at $8,182,951.

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: John W. Henry & Co./Millburn L.P., ML Select Futures I 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 Alternative Strategies 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.

CODE OF ETHICS

The Partnership has adopted a code of ethics, as of the end of the
period covered by this report, that applies to the Partnership's (MLAI LLC's)
principal executive officer and principal financial officer or persons
performing similar functions on behalf of the Partnership. A copy of the code of
ethics is available to any person, without charge, upon request by calling
1-800-637-3863.

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 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:

23

As of December 31, 2003, no person or "group" is known to be
or have been the beneficial owner of more than 5% of the Units.

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2003, MLAI LLC owned 34,659 unit-equivalent general
partnership interests, which was 1.17% 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
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:

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

In 2003, the Partnership expensed: (i) Brokerage Commissions of
$30,474,397 to the MLPF&S, which included $10,568,435 in Management
Fees paid by the MLPF&S to JWH(R); and (ii) Administrative Fees of $1,699,677
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.

24

(d) TRANSACTIONS WITH PROMOTERS:

Not applicable.

ITEM 14: PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a) AUDIT FEES

Aggregate fees billed for professional services rendered by Deloitte &
Touche LLP in connection with the audit of the Partnership's consolidated
financial statements as of and for the year ended December 31, 2003 were $44,250

Aggregate fees billed for these services for the year ended December
31, 2002 were $42,886.

(b) AUDIT-RELATED FEES

There were no other audit-related fees billed for the years ended
December 31, 2003 or 2002 related to the Partnership.

(c) TAX FEES

Aggregate fees billed for professional services rendered by Deloitte &
Touche LLP in connection with the tax compliance, advice and preparation of the
Partnerships tax returns for the year ended December 31, 2003 were $47,500.

Aggregate fees billed for these services for the year ended December
31, 2002 were $40,875.

(d) ALL OTHER FEES

No fees were billed by Deloitte & Touche LLP during the years ended
December 31, 2003 or 2002 for any other professional services in relation to the
Partnership.

Neither the Partnership nor MLAI LLC has an audit committee to
pre-approve principal accountant fees and services. In lieu of an audit
committee, the managers and the principal financial officer pre-approve all
billings prior to the commencement of the performance of such services.

PART IV

25

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:

26

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), MLAI 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 2003 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.

31.01 and 31.02 Rule 13a-14(a)/15d-14(a) Certifications.

EXHIBITS 31.01
AND 31.02 Are filed herewith.

32.01 and 32.02 Section 1350 Certifications.

EXHIBITS 32.01
AND 32.02 Are filed herewith.

(b) REPORT ON FORM 8-K:

No reports on Form 8-K were filed during the fourth quarter of 2003.

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.

ML JWH STRATEGIC ALLOCATION FUND L.P.

By: MERRILL LYNCH ALTERNATIVE INVESTMENTS
LLC
General Partner

By: /s/Robert M. Alderman
---------------------
Robert M. Alderman
Chief Executive Officer, President 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 30, 2004 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 INVESTMENTS LLC General Partner of Registrant

By: /s/Robert M. Alderman March 30, 2004
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

28

EXHIBIT 31.01

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Robert M. Alderman, certify that:

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

2. Based on my knowledge, this 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 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 report;

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter (the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, 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 and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004

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

29

EXHIBIT 31.02

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Michael L. Pungello, certify that:

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

2. Based on my knowledge, this 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 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 report;

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation;

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter (the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, 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 and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004

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

30

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

In connection with this annual report of ML JWH Strategic Allocation Fund L.P.
on Form 10-K for the period ended December 31, 2003 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 containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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 30, 2004

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

31

EXHIBIT 32.02

SECTION 1350 CERTIFICATION

In connection with this annual report of ML JWH Strategic Allocation Fund L.P.
on Form 10-K for the period ended December 31, 2003 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 containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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 30, 2004

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

32

ML JWH STRATEGIC ALLOCATION FUND L.P.

2003 FORM 10-K

INDEX TO EXHIBITS