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 September 30, 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 NINE MONTHS ENDED SEPTEMBER 30, 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 necessary to present fairly the financial position of ML JWH
Strategic Allocation Fund L.P. (the "Partnership") as of September 30, 2004,
and the results of its operations for the three and nine months ended
September 30, 2004 and 2003. However, the operating results for the interim
periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with accounting principles
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 consolidated 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 (loss) 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"), 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
("JWH(R)"), 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 does not itself intervene in the markets to
hedge or diversify the Partnership's market exposure, MLAI may urge JWH(R) to
reallocate positions in an attempt to avoid over-concentrations. However,
such interventions are unusual and unless it appears that JWH(R) has begun to
deviate from past practice or trading policies or to be trading erratically,
MLAI'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.

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

5

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 Net Unrealized profit on open contracts on the Consolidated Statements of
Financial Condition.

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 SEPTEMBER 30, 2004

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
accommodating 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 release of
weekly inventory numbers provided by the U.S. 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

6

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
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

7

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.

April 1, 2004 to June 30, 2004

The Partnership experienced gains in the energy sector and losses in all other
sectors. Overall, for the quarter, the Partnership experienced a loss.

The energy sector was the only profitable sector for the Partnership. Crude and
related products were positive with crude oil turning in the best performance in
the sector for April and May. Concerns about the continued violence in the
Middle East and increased global consumer demand helped to maintain prices at
their lofty levels. Additionally, tensions in the Middle East raise concerns
about possible supply disruptions as inventories of crude oil in the U.S. are
below multi-year averages. However, the wide price ranges made trend following
difficult, as a result the sector was at a negative for June. Crude oil prices
and related products remain robust as a result of the strong growth in the U.S.
and China, and continued geopolitical tensions in the Middle East.

Agricultural commodities experienced losses despite gains early in the quarter.
In April, the grain markets traded in a volatile fashion, reacting to favorable
weather conditions and continued strong demand. However in certain instances,
some grain markets were negatively affected by possible reduced demand by China
as well as by the recent strength in the U.S. dollar, which makes it more
expensive for foreigners to purchase U.S. grain. The sector in April showed the
best performance in cotton and London sugar, while wheat had the largest loss.
In June, the grain markets faced a downward price pressure for most of the month
as a result of China's decreased demand. The price of cotton continued to move
lower, partially due to the World Trade Organization's ruling in June that U.S.
subsides of U.S. farmers are illegal, paving the way for increased cotton
plantings in other countries. The best return in the sector came from cotton and
the largest loss was in New York coffee.

Stock indices posted losses for all three months of the quarter. The major
global equity markets continue to struggle. Concerns over rising interest rates
and high energy prices have reduced enthusiasm for stocks. Despite the best
economy Japan has had in twenty years and the improvement in the U.S. and
European economies, the volatility of these markets has made trend following
very difficult. In general, major stock markets continued to climb higher after
reversing their slide in mid-May. The high cost of energy on corporate
profitability and the anticipation of rising interest rates have also dampened
enthusiasm. The German DAX was the largest loss for the sector in April, the
Japanese Nikkei was the poor performer for May and June.

The metals sector experienced losses for the quarter. The sector was
unprofitable for both April and May. Precious metal prices fell hard as
investors liquidated long positions which had been a hedge against the current
negative real rate of return environment in the U.S. Gold and silver had the
largest losses for the month of April. In May, the sector failed to register any
components in positive territory with the largest loss coming from aluminum. The
U.S. dollar strengthened mid-June amid the possibility that an aggressive policy
by the U.S. Federal Reserve of raising interest rates would curtail the effects
of the negative real rate environment. Ultimately, gold buoyed by the weakening
U.S. dollar towards the end of June. Low levels of global inventories of base
metals propelled prices higher by the end of the month. The best performer was
silver, while the largest loss occurred in aluminum.

The interest sector suffered negative performance in April mainly due to the
pickup in the economy, but also statements made by the U.S. Federal Reserve
causing speculation that it may raise interest rates sooner than anticipated.
The largest loss for April occurred in the Euro Bund. Though the sector showed
improvement in May, the best results in the sector were achieved in the Euro
Bund and the short Sterling. U.S. interest rates were heavily influenced the
month of June by varying expectations as to whether it would raise the Federal
Funds rate

8

would be raised by 25 or 50 basis points. In Europe, German interest rates fell
as bond prices rose after a report showed that German business confidence
unexpectedly dropped to a nine-month low in June as consumers curtailed their
spending activity. Interest rates in Japan rose during the month driving yields
to their highest levels in almost four years on expectations that the Japanese
economy will extend its longest expansion since 1997. The largest losses
occurred in the Japanese Government Bond and the Euro Bund.

The currency sector was the most unprofitable sector for the Partnership. The
sector posted considerable losses for the quarter. The foreign exchange markets
were most heavily influenced by the improving U.S. economy. In the beginning of
April, the U.S. dollar strengthened against most major currencies in response to
better-than-expected advances in U.S. job creation. Conversely, the best results
in the sector were achieved in the Swiss franc and the Euro for April. The U.S.
dollar was heavily influenced in the beginning of May by improving economic
numbers and revised expectations for continued growth in the U.S. However, by
the end of the month, the U.S. dollar relinquished most of its gains because of
actual economic data, while showing an improving economy didn't live up to
heightened expectations. The U.S. dollar ended the month little changed from
where it started at the beginning of the June. Market participants were less
inclined to act on price expectations ahead of the probable rate increase. The
largest gain was in the South African rand. The largest loss was in the Japanese
yen.

July 1, 2004 to September 30, 2004

The Partnership posted a gain for the quarter with gains in the largest gain in
the energy sector. Gains were also realized in the interest rate and agriculture
sectors. Losses were posted in the metals, stock indices and currency sectors.

The energy sector was the best performing sector for the quarter. The price of
crude oil continued to trade higher, supported by continuing concerns regarding
supply and consumption. Additionally, there were external considerations that
were influencing the market, such as the continuing threat of acts of terrorism
to oil facilities in the Middle East and the uncertainty of the ongoing tax
probe and potential bankruptcy of Russia's second largest oil company, OAO Yukos
Oil Co. Despite the early month run-up in crude prices, profit taking and a
peace agreement in Najaf, Iraq in the latter part of the month saw crude erase
all of its prior gains in August. Rising demand out of Asia, supply disruptions
in Iraq, and fears of terrorism kept prices high. Two other factors also
contributed to higher prices in September, an active hurricane season in the
U.S., and unrest in Nigeria. Hurricane Ivan, which made landfall on the Alabama
coast on September 16th had significant impact on U.S. Gulf of Mexico supplies.
Meanwhile, in Nigeria there were fears that rebel forces would be successful in
attacking the country's oil production facilities.

Trading in interest rates was also profitable for the quarter despite losses
posted in July. Expectations were in play as the Federal Open Market Committee
("FOMC") matched market forecasts with their last rate hike of 25 basis points.
Despite the rate hike by the FOMC in late June, the U.S. economic data, starting
with the employment data released on July 1, painted a somewhat confusing
picture. This had the markets back tracking from earlier trends. While very
slight gains were made in Japanese and U.S. fixed-income markets, they were
exceeded by losses in the European and Australian markets. In August, the
fixed-income sector provided significant gains as prices rallied in Australian,
European and U.S. fixed-income markets. In the U.S., fixed income markets
rallied sharply early in the month as U.S. employment data was much weaker than
most analysts had anticipated. After the surprising unemployment data,
fixed-income markets continued to rally as other global economic releases showed
additional weakness in the global economy. Lower personal spending and weaker
than expected retail sales figures in the U.S. provided additional support to
fixed-income prices. In addition to the U.S. data, British fixed-income markets
rallied as reports indicated a slowdown in the British housing market and a
tempering of inflation fears. Again in September, the fixed income sector was
profitable. The Federal Reserve board raised the Federal Funds rate for the
second consecutive month and the third increase this year. More significantly,
the release of the August FOMC minutes revealed the committee's belief that
significant cumulative tightening may be necessary to remove monetary policy
accommodation. The hawkish stance of the Federal Reserve combined with the
expected effect of higher energy prices helped to push long-term interest rates
lower and to flatten the yield curve. Positions in

9

longer term bond contracts in the U.S., Japan and Europe were profitable with
the largest gain made in the Japanese Government Bond, while positions in
short-term interest rate contracts, including Eurodollar figures, were slightly
unprofitable.

The agriculture sector posted gains for the quarter even though there were
significant losses in August. In July, the prospect of an overabundance in
several markets continued to put pressure on all of the sector's products.
Favorable weather reports indicated strong prospects for a very good growing
season in the U.S. Continued good weather gave rise to estimates that soybean
production could reach record levels. The same weather forecasts boosted yield
forecasts in corn and pushed corn prices lower. Sugar prices rallied when the
Brazilian sugar stocks were reportedly lower than expected. The best performance
in this sector came from corn and cotton. The August reports on soybean crop
conditions did not meet expectations, and long-term weather forecasts suggesting
the possibility of an early frost prompted profit taking in the grain complex.
Cotton rallied and closed limit up on little fundamental news. A further
increase in cotton prices came late in the month on fears that Hurricane Frances
may disrupt cotton supplies. This rally contradicted the previous downward trend
in cotton prices. The sector was positive for September with gains from the corn
and soybean markets offsetting losses in other markets. In a year when headline
commodity indices are making strong gains, the grain markets continue to move
lower. Ample supply and benign weather conditions have been factors suppressing
grain prices.

Trading in the metals sector posted net losses for the quarter although there
were gains posted in August. In July, price action in gold was negatively
correlated with movements in the U.S. dollar. The lack of conviction is evident
in the foreign exchange market and mixed signals on the U.S. economy may explain
the recent trendless pattern in metals prices. Gains in copper positions were
not enough to offset losses in other markets. The largest loss occurred in gold.
In August, the metals sector was positive with a gold rally providing almost all
of the returns for the month. There were losses in nickel. The sector was
negative for September. Most metals prices moved up in the second part of the
month, largely based on technical factors. Positions in copper and gold were
profitable, but not enough to offset losses in the other metals markets.

Trading in stock indices posted a loss for the quarter. Contradictory economic
figures along with weaker than expected earnings numbers continued to dampen any
rally in the equities market. In Japan, the Nikkei traded down on reduced
optimism about an economic recovery. Signs of slower economic growth in certain
European countries pressured the Eurostoxx lower. The sector failed to register
any components in positive territory with the largest loss coming from the Osaka
Nikkei. Despite good profit reports for many companies in August, the threat of
future declines did not allow the U.S., European and Japanese markets to gain
any traction. Volatility is still extremely low in these markets but the absence
of long-term trends has limited the Partnership's potential for profit. The
largest gain was in the NASDAQ E-mini, while the largest loss was in the Nikkei.
Opportunities in equity markets were limited throughout the quarter as
volatility in many of the world's stock markets have registered multi-year lows.

The largest losses were posted in the currency sector. Trendless trading
conditions in the foreign exchange markets persisted in July resulting in loses
for the Partnership. The U.S. dollar began the month depreciating against the
world's major currencies only to reverse course and rally midway through the
month. A cautious Federal Reserve and mixed economic data provided little
incentive for position taking. Lower liquidity conditions, which are normal in
the summer time, may have played a role in the erratic price action. The best
results from this sector were achieved in the Euro/British pound cross and the
Brazilian real. The largest detractors from performance were the Euro and the
Swiss franc. European currencies continued to experience volatile swings on an
intra-month basis, after poor U.S. employment data, they gave back most of the
gains they had made against the U.S. dollar. Due in part to weaker than expected
British housing data, the British pound gave back all of its early gains against
the U.S. dollar and other European currencies. The Japanese yen strengthened
against the U.S. dollar. This was primarily attributed to the bounce in Japanese
equities and the belief that high oil prices would not hurt the Japanese economy
as much as initially feared. The largest gains came from the Brazilian real and
the New Zealand dollar, while the largest losses were in the Japanese yen and
the Euro. Trading in the foreign exchange market continues to be difficult this
year as many of the world's major currencies remain stuck in broad

10

ranges. The Japanese yen declined versus a broad set of currencies due to the
perception that the Japanese economy is more likely to be harmed by rising crude
oil prices than other economies. The largest gains came from the Euro/British
pound cross and the Brazilian real. The largest losses were in British pound and
the Swiss franc.

JANUARY 1, 2003 TO JUNE 30, 2003

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.

April 1, 2003 to June 30, 2003

The Partnership experienced gains in the stock index, interest rate, and
currency sectors and losses in the agricultural commodity, energy and metal
sectors. Overall, for the quarter, the Partnership experienced losses.

11

Trading in the stock index sector was profitable for the Partnership. After a
volatile April and May, a rally in the Nikkei started in June after the Bank of
Japan was proactive in helping the distressed Japanese banking group, Resona
Holdings Inc. This helped to inject confidence in the Japanese financial system
which contributed to gains in this sector for June.

Interest rate futures were a strong performer for the quarter. The majority of
the profits from this sector came from the Japanese ten-year Government Bonds,
which continues to be a very vibrant market for trading, as the Japanese economy
falls further into the economic abyss. A turn in the market and increasing
yields hurt performance in June, particularly in the longer end of the yield
curve.

Stock indices trading posted gains for the quarter. The bulk of the profits in
April and May were attributed to a weakening U.S. dollar although some profits
were given back in June as the trend reversed. The past few months have
witnessed investors seeking higher yields than readily available in U.S. dollar
denominated assets. This has led to the sale of U.S. dollars against major
currencies.

Agricultural commodities trading was not profitable for the Partnership this
quarter. Trading was volatile during the quarter with the largest contributors
being coffee, cotton and cocoa.

The energy sector posted losses this quarter. 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. Recent cooler weather in the northern states and the
largest storage injection on record in the U.S. released on June 20th reversed
the market, pushing it to the lows of the month. Crude oil was also down for the
month in volatile trading.

The metals sector was the worst performer for the quarter. After rallying for
most of April and May, gold fell by over 5% in June. The other components were
also down due to the inability of other metals to trend in this environment.

July 1, 2003 to September 30, 2003

The Partnership was profitable in the stock index and metals sectors and
unprofitable in the interest rate, currency, agricultural commodities and energy
sectors. Overall, the Partnership incurred losses for the quarter.

Trading in stock indices provided the Partnership with profits for the quarter.
Most major stock indices were higher in July and August; however, it appeared
that they did so in an almost reluctant fashion. This could be the effect of
some of the lingering problems that still existed in the U.S., such as the large
current account deficit, low savings rate, and excess corporate and personal
debt. Better than expected earnings in the U.S. and increased foreign investment
in Japan bolstered both the U.S. Nasdaq market and Japan's Osaka Nikkei market.
The reluctant rise in global equities for the past few months reversed in
September under the weight of the renewed skepticism of a global economic
recovery causing the Partnership to return some profits.

The metals sector was also profitable for the quarter. Gold positions performed
negatively in July since they have been trading in lock step with the Euro for
the past few months. The strength in the U.S. dollar and weakness in the Euro
has translated into lower gold prices. 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. The base metal complex
had mixed results for the quarter due to volatile conditions which made trading
difficult.

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Interest rate futures trading incurred losses for the Partnership. The upward
trend in bond prices that began in April of this year has ended. Economic
releases, particularly in the U.S., have been positive. The Institute for Supply
Management Index registered over 50 in July (51.8) for the first time since
February. The Federal Reserve's Beige Book released at the end of the July
showed improvement in U.S. manufacturing activity and new orders in June and
July. Unfortunately, not all of the good economic news was to the Partnership's
benefit. The optimism in Japan sent the price of the ten-year government bond
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 great losses for the Partnership. Losses for the quarter were
also generated from the U.S. ten-year and 30-year bonds and the European funds.

Trading in the currency sector was unprofitable. Large losses were posted for
July due to positive economic news in the U.S., which helped to strengthen the
U.S. dollar. The currency sector rebounded in August and September. The U.S.
dollar strengthened against most major currencies, with the exception of the
Japanese yen. The U.S. dollar lost strength against the Japanese yen because the
Bank of Japan did not intervene in the market, as it has done for most of the
year, supporting a weak Japanese yen policy, and inflows for Japanese securities
were up dramatically during August. During September, the Group of Seven stated
that exchange rates should reflect economic fundamentals and that there should
be greater flexibility in exchange rates, particularly in Asian currencies. The
immediate reaction was a weakening of the U.S. dollar against most major
currencies changing the market direction again, creating a difficult trading
environment.

Trading in agricultural commodities incurred losses for the Partnership for the
quarter. 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. Live cattle
continued an upward trend and produced positive results for this quarter.
Soybeans, bean oil and soy meal continue to trend higher due to lower U.S.
production and increased global demand.

The energy sector was the most unprofitable sector for the quarter. Gains in
July and August were reversed sharply in September. On September 24th, 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. However, this announcement had no effect on natural gas, which
continues to trend lower due to increasing inventories and favorable climate
conditions. 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.

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

13

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.

14

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership or MLAI
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 September 30, 2004, the Partnership has sold
7,680,362 units of limited partnership interest, with an
aggregate price of $1,392,332,304.

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

Effective May 21, 2004, the Partnership registered additional
4,460,000 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.

(b) Reports on Form 8-K.

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

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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: MERRILL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)

Date: November 15, 2004 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

Date: November 15, 2004 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

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