ML JWH STRATEGIC ALLOCATION FUND LP - 10-Q Quarterly Report

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934

For the quarterly period ended March 31, 2004

OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

For the transition period from ____________to___________

Commission File Number 0-28928

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

Delaware 13-3887922
- ---------------------------- ------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)

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)
(Zip Code)

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

Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes /X/ No / /

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML JWH STRATEGIC ALLOCATION FUND L.P.
(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

See notes to consolidated financial statements.

2

ML JWH STRATEGIC ALLOCATION FUND L.P.
(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)

See notes to consolidated financial statements.

3

ML JWH STRATEGIC ALLOCATION FUND L.P.
(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2004 AND 2003
(unaudited)

See notes to consolidated financial statements.

4

ML JWH STRATEGIC ALLOCATION FUND L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the consolidated financial statements contain
all adjustments (consisting of only recurring adjustments) necessary to
present fairly the financial position of ML JWH Strategic Allocation
Fund L.P. (the "Partnership") as of March 31, 2004, and the results of its
operations for the three months ended March 31, 2004 and 2003. The
operating results for the interim periods may not be indicative of the
results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles
generally accepted in the United States of America have been omitted. It is
suggested that these financial statements be read in conjunction with the
financial statements and notes thereto included in the Partnership's Annual
Report on form 10-K filed with the Securities and Exchange Commission for
the year ended December 31, 2003.

2. FAIR VALUE AND OFF-BALANCE SHEET RISK

The nature of this Partnership has certain risks, which cannot be
presented on the financial statements. The following summarizes some of
those risks.

MARKET RISK

Derivative instruments involve varying degrees of off-balance sheet market
risk. Changes in the level or volatility of interest rates, foreign
currency exchange rates or the market values of the financial instruments
or commodities underlying such derivative instruments frequently result in
changes in the Partnership's net unrealized profit on such derivative
instruments as reflected in the Consolidated Statements of Financial
Condition. The Partnership's exposure to market risk is influenced by a
number of factors, including the relationships among the derivative
instruments held by the Partnership as well as the volatility and liquidity
of the markets in which the derivative instruments are traded.

The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI
LLC"), has procedures in place intended to control market risk exposure,
although there can be no assurance that they will, in fact, succeed in
doing so. These procedures focus primarily on monitoring the trading of
John W. Henry & Co., Inc., ("JWH(R)"), the trading advisor, calculating the
Net Asset Value of the Partnership as of the close of business on each day
and reviewing outstanding positions for over-concentrations. While MLAI LLC
does not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, MLAI LLC may urge JWH(R) to reallocate
positions in an attempt to avoid over-concentration. 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 advisor monitoring, with the market risk
controls being applied by JWH(R) itself.

5

CREDIT RISK

The risks associated with exchange-traded contracts are typically perceived
to be less than those associated with over-the-counter
(non-exchange-traded) transactions, because exchanges typically (but not
universally) provide clearinghouse arrangements in which the collective
credit (in some cases limited in amount, in some cases not) of the members
of the exchange is pledged to support the financial integrity of the
exchange. In over-the-counter transactions, on the other hand, traders must
rely solely on the credit of their respective individual counterparties.
Margins, which may be subject to loss in the event of a default, are
generally required in exchange trading, and counterparties may also require
margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty
nonperformance is the net unrealized profit on open contracts, if any,
included in the Consolidated Statements of Financial Condition. The
Partnership attempts to mitigate this risk by dealing exclusively with
Merrill Lynch entities as clearing brokers.

The Partnership, in its normal course of business, enters into various
contracts, with Merrill Lynch Pierce Fenner & Smith Inc. ("MLPF&S") acting
as its commodity broker. Pursuant to the brokerage agreement with MLPF&S
(which includes a netting arrangement), to the extent that such trading
results in receivables from and payables to MLPF&S, these receivables and
payables are offset and reported as a net receivable or payable and
included in the Consolidated Statements of Financial Condition under Equity
in commodity futures trading accounts.

Item 2: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS

MONTH-END NET ASSET VALUE PER UNIT

PERFORMANCE SUMMARY

January 1, 2004 to March 31, 2004

The Partnership was profitable overall, with gains in all sectors except
the currency sector.

The interest sector was the most profitable sector for the Partnership. The
world trend of interest rates moving lower continued in January. This was a
result of the Federal Open Market Committee's December meeting statement
that interest rates were likely to remain low for a considerable time,
which influenced investors to further accept the current low yield
environment. In February, interest rates continued to move lower in the
U.S., Europe and Asia. U.S. Federal Reserve Bank Chairman Alan Greenspan
commented in his semi-annual testimony to the U.S. Congress that inflation
in the U.S. continues to be of little concern, and that the U.S. central
bank could be patient in removing the current accommodative monetary policy
keeping interest rates low. Additionally, employment in the U.S. continued
to gradually show signs of improvement, further pushing interest rates low.
Market expectations that the Federal Reserve's accomodating interest rate
policy would remain in place, keeping rates low. Interest rates in the
European Central Bank community also felt the downward pressure as the
terrorist attack in Spain dampened confidence in local economies. The
biggest change in interest rates occurred in Japan, where rates actually
increased for the month.

The energy sector experienced gains despite losses early in the quarter.
The upward trend in crude prices and related products continued in a
volatile fashion during January. Energy prices became highly sensitive to
the

6

release of weekly inventory numbers provided by the Department of Energy
and the American Petroleum Institute. The colder than expected winter
weather, coupled with numerous storms, also helped create large trading
ranges on fears that inventories would receive increased pressure. In
February, daily volatility in the crude oil markets remained at extremely
high levels. Energy markets, with the exception of natural gas, continued
to move higher in reaction to low inventory concerns. Additionally, prices
were further buoyed by members of OPEC who agreed to cut production
approximately 10% by April 1st in order to support higher prices during the
upcoming seasonal slowdown. Conversely, natural gas reacted to the
anticipated warmer weather and reduced demand by sending prices lower in a
more orderly fashion than the crude markets. Buildups in U.S. inventory
levels at the end of the quarter, especially the magnitude of the
increases, surprised most energy analysts and sent crude prices lower.

Agricultural commodities posted gains during all three months of the
quarter. In January, corn had a significant run higher when the carry-over
stocks were reported lower than expected, and amid fears that China would
soon become a larger importer of U.S. corn production. New York coffee also
benefited from a run up in prices due to Brazilian farmers cutting down
coffee plants in favor of planting soybeans, which can yield two crops a
year at its current high price. Cotton had the largest loss when the price
fell sharply late in the month on fears that China would curb further
buying, which in turn prompted speculative long liquidation. In February,
corn, soybeans, and soybean oil were the best performing components of the
sector. On the other hand, cotton and New York coffee were the largest
detractors in this group. In March, the best performance in the sector came
from cotton, which fell on reports by the U.S. Agricultural Department that
sales are slowing. Grains performed well due to rising prices from surging
exports. New York sugar sustained the largest loss for the sector when
prices dropped due to technical selling.

The metals sector also posted modest returns for all three months of the
quarter. Base metals performed well in January as prices continue to climb
due to strong demand from China, which is building its infrastructure.
Nickel was the exception, showing a considerable price correction this
month from the nearly 100% price increase over the past six months. Copper,
aluminum and silver had the best performance, while gold was the biggest
detractor from profits. Gold has become highly correlated to the Euro and
rallied in the beginning of February, only to fall back at the end of the
month when the Euro fell. The price of silver fared better as it was able
to maintain its higher level by taking more of a cue from base metals. Base
metals maintained lofty levels due to low inventory levels and increased
global demand, particularly from China. The best performance for this
sector came from copper, silver and aluminum. Gold and nickel posted the
largest losses for this sector. In March, precious metals moved higher
despite the strengthening of the U.S. dollar. The driving force has been
the negative real interest rate (Fed Funds rate minus Consumer Price Index)
environment currently in the U.S. Silver had the best performance for the
sector while gold and nickel had the lowest returns.

Stock indices also experienced gains for the quarter. Despite increased
volatility, the sector was profitable in January. In February, most stock
indices appeared to be consolidating in recent ranges, as the financial
markets remained more attuned to the fixed-income and foreign exchange
markets. The only positive performance in this sector came from the
Eurostoxx, while the other components failed to register profits in
February. During the first half of March, increased concern over terrorist
activity weighed heavily on share prices pushing markets down. However,
indices recovered in the latter half of the month in reaction to favorable
economic data. In the U.S., durable goods orders were up, inflation
remained benign and consumer confidence rose.

The currency sector posted considerable losses despite profits early in the
quarter. Following comments from then European Central Bank ("ECB")
President Jean-Claude Trichet about "excessive" currency volatility, the
U.S. dollar reacted swiftly by strengthening against most currencies in a
significant manner. Most currencies traded in volatile fashion for the
remainder of the month, thereby curtailing previous profits. The Japanese
yen and the British pound made the greatest contributions to profits, while
the Swiss franc and South African rand had the largest losses. In February,
the U.S. dollar returned to its weakening trend until mid-month, when
officials in Europe began publicly voicing concern over the level of the
U.S. dollar and possible action that could be taken in order to stem the
slide. That was enough to reverse the trend and

7

strengthen the U.S. dollar, forcing the liquidation of large short
positions. The best performance for this sector came from the British pound
and the Euro/British pound cross. The Japanese yen and the Swiss franc
recorded the largest losses for the sector. In March, large losses were
posted. The sector was dominated by Japanese yen selling and U.S dollar
purchasing, orchestrated by the Bank of Japan to allow Japanese exporters
to hedge their U.S. dollar profits at favorable rates for the Japanese
fiscal year end, March 31. Most other currencies traded in a sideways
fashion in varying degrees of volatility. The Euro came under pressure on
expectations of ECB rate cuts. The British pound was range bound due to
fears that its recent rise would diminish export activity. The South
African rand posted the largest gains for the sector while the largest
losses came in the Japanese yen, British pound and the Euro.

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the interest rate, energy, stock index
and currency sectors and losses in the metals and agricultural commodity
sectors. Overall, for the quarter, the Partnership experienced a positive
rate of return of almost 15%.

Interest rate futures were the best performers for the quarter. Interest
rates continued to push lower as economic data for the fourth quarter
announced an annual growth rate for the economy of about 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 triggered the
liquidation of many fixed income investments hurting long exposures.

Energy was also a strong performer for the quarter. 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 citing 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.

Trading in stock indices posted gains for each of the months in the
quarter. European stock markets attempted to start the year with some
optimism only to succumb to eroding prices throughout the quarter. Global
economies suffered throughout the quarter, however in mid-March the
equities market did react with the currency and fixed income markets.
Equities appeared to be more in tune to the overall market fundamental and
were quick to resume their downward trend.

The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing 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. In March, on hopes that the war with
Iraq would be short, the U.S. dollar strengthened and returned some of the
profits earned early in the year.

The metals sector had slight losses for the quarter. Gold drove profits in
January as it continued its run up. The general perception of risks in the
financial markets and the geopolitical situation unfolding was the main
driver for the gold market in January. The Partnership sustained losses in
February as the long bias in precious metals hurt the portfolio when gold
reversed its rising trend in February with the announcement that the German
Bundesbank had sold a portion of its gold reserves. Industrial metals
markets were choppy throughout the quarter.

Trading in agricultural commodities posted losses for the quarter. The
Partnership held positions in sugar, corn, wheat, cocoa, coffee and the
soybean complex. Agricultural trading represents about 5% of the
Partnership's trading.

8

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. 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 quarterly report, and, based on this evaluation,
has 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 this evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

9

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership or MLAI LLC
is a party.

Item 2. Changes in Securities and Use of Proceeds

(a) None.
(b) None.
(c) None.
(d) The Partnership originally registered 2,000,000 units of limited
partnership interest. The Partnership subsequently registered an
additional 3,310,000 units of limited partnership interest. As of
March 31, 2004, the Partnership has sold 6,160,567 units of limited
partnership interest, with an aggregate price of $1,071,861,333.

Effective October 14, 2003, the Partnership registered additional
2,738,667 units of limited partnership interest.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Submission of Matters to a Vote of Security Holders

None.

Item 5. Other Information

None.

Item 6. Exhibits and Reports on Form 8-K.

(a) Exhibits

There are no exhibits required to be filed as part of this report.

Reports on Form 8-K.

There were no reports on Form 8-K filed during the first three months
of fiscal 2004.

10

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.

ML JWH STRATEGIC ALLOCATION FUND L.P.

By: MERRIL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)

Date: May 14, 2004 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Date: May 14, 2004 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

11

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-Q 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 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: May 14, 2004
-----------------

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

12

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-Q 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 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: May 14, 2004
------------------

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

13

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

In connection with this quarterly report of ML JWH Strategic Allocation Fund
L.P. on Form 10-Q for the period ended March 31, 2004 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 quarterly 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML JWH
Strategic Allocation Fund L.P.

Date: May 14, 2004
----------------

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

14

EXHIBIT 32.02

SECTION 1350 CERTIFICATION

In connection with this quarterly report of ML JWH Strategic Allocation Fund
L.P. on Form 10-Q for the period ended March 31, 2004 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 quarterly 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML JWH
Strategic Allocation Fund L.P.

Date: May 14, 2004
------------------

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

15