HENRY JOHN W & CO/MILLBURN L P - 10-K Annual Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended: December 31, 2004
or
/ / Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-18215

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

DELAWARE 06-1287586
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)

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

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

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

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

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.

Yes /X/ No / /

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

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: the registrant is a limited partnership; as of
February 1, 2005, limited partnership units with an aggregate value of
$25,649,604 were outstanding and held by non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2004 Annual Report and Report of Independent Registered Public
Accounting Firm," the annual report to security holders for the fiscal year
ended December 31, 2004, 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 1-877-465-8435.

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

ANNUAL REPORT FOR 2004 ON FORM 10-K

TABLE OF CONTENTS

PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

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

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

Merrill Lynch Alternative Investments LLC ("MLAI"), 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"), a wholly-owned subsidiary of Merrill Lynch, is the
Partnership's commodity broker. As used herein, the capitalized term "MLAI" also
refers to the general partner at times when its name was MLIM Alternative
Strategies LLC, as applicable.

The Advisors have been the Partnership's only trading advisors
since inception. Each Advisor was allocated 50% of the total assets of each
Series as of the date such Series began trading. Subsequently, these allocations
have varied over time, but have been periodically rebalanced to 50%/50%. All
series have the same percentage allocation of assets between the Advisors. As of
December 31, 2004, 50% of the capital of each series of units was allocated to
JWH and 50% was allocated to Millburn. As of December 1, 1996, the Partnership
placed all of its assets under the management of the Advisors through investing
in two private limited liability companies ("Trading LLCs") sponsored by MLAI,
each one of which was traded by one of the Advisors. Investing assets in the
Trading LLCs rather than trading directly did not change the operation or fee
structure of the Partnership. The administrative authority over the Partnership
remains with MLAI. Throughout this document, references to the Partnership refer
to the Partnership's investment in the Trading LLC's.

As of December 31, 2004, the aggregate capitalization of the
Partnership was $27,635,033, the total capitalization of the Series A, Series B
and Series C Units was $7,246,705, $13,218,894 and $7,169,434, respectively, and
the Net Asset Value per Series A, Series B and Series C Units, originally $100
as of January 5, 1990, January 28, 1991 and January 2, 1992, respectively, had
risen to $386.22 (excluding a $20 per Series A Unit distribution paid as of
November 30, 1990), $313.44 and $244.32, respectively.

1

The highest month-end Net Asset Value per Series A Unit
through December 31, 2004 was $422.69 (excluding the distributions paid in 1990)
(February 29, 2004) and the lowest $100.31 (May 31, 1990); the highest month-end
Net Asset Value per Series B Unit through December 31, 2004 was $343.47
(February 29, 2004) and the lowest $91.20 (May 31, 1992); the highest month-end
Net Asset Value per Series C Unit through December 31, 2004 was $267.65
(February 29, 2004) and the lowest $75.87 (May 31, 1992).

(b) FINANCIAL INFORMATION ABOUT SEGMENTS:

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

(c) NARRATIVE DESCRIPTION OF BUSINESS:

GENERAL

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

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

One of the objectives of the Partnership is to provide
diversification to a limited portion of the risk segment of the Limited
Partners' portfolios. Commodity pool performance has historically often
demonstrated a low degree of performance correlation with traditional stock and
bond holdings. Since it began trading, the Partnership's returns have, in fact,
frequently been significantly non-correlated with the United States stock and
bond markets.

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

USE OF PROCEEDS AND INTEREST INCOME

MARKET SECTORS.

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

MARKET TYPES.

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

Many of the Partnership's currency trades are executed in the
spot and forward foreign exchange markets (the "FX Markets") where there are no
direct execution costs. Instead, the participants, banks and dealers, in the FX
Markets take a "spread" between the prices at which they are prepared to buy and
sell a particular currency and such spreads are built into the pricing of the
spot or forward contracts with the Partnership. In its exchange of futures for
physical ("EFP") trading, the Partnership acquires cash currency positions
through banks and dealers. The Partnership pays a spread when it exchanges these
positions for futures. This spread reflects, in part, the different settlement
dates of the cash and the futures contracts, as well as prevailing interest
rates, but also includes a pricing spread in favor of the banks and dealers,
which may include a Merrill Lynch entity.

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

2

CUSTODY OF ASSETS.

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

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

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

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

CHARGES

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

During 2004 and 2003, all of the Partnership's assets were
invested in the two Trading LLCs mentioned above. Therefore, no direct charges
were incurred by the Partnership during these two years.

The Partnership's average month-end Net Assets during 2004,
2003 and 2002 equaled $27,020,334, $32,317,001, and $27,713,533 respectively.

3

DESCRIPTION OF CURRENT CHARGES

4

REGULATION

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

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

(d) FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

The Partnership trades on a number of foreign commodity
exchanges. The Partnership does not engage in the sales of goods or services.

ITEM 2: PROPERTIES

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

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

ITEM 3: LEGAL PROCEEDINGS

Neither the Partnership nor MLAI has ever been the subject of
any material litigation. Merrill Lynch is the 100% indirect owner of MLAI, MLIM,
MLPF&S and all other Merrill Lynch entities involved in the operation of the
Partnership, Merrill Lynch 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 or the
Partnership.

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

None.

5

PART II

ITEM 5: MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND
ISSUER PURCHASES OF EQUITY SECURITIES

Item 5(a)

(a) MARKET INFORMATION:

There is no established public trading market for the Units,
nor is it anticipated that one will develop. Limited Partners may redeem Units
as of the end of each month at Net Asset Value.

(b) HOLDERS:

As of December 31, 2004, there were 184, 529 and 2,639 holders
of the Series A, B and C Units, respectively, including MLAI.

(c) DIVIDENDS:

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

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

Not applicable.
Item 5(b)
Not applicable.

Item 5(c)
Not applicable

ITEM 6: SELECTED FINANCIAL DATA

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

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

6

MONTH-END NET ASSET VALUE PER SERIES A UNIT

MONTH-END NET ASSET VALUE PER SERIES B UNIT

MONTH-END NET ASSET VALUE PER SERIES C UNIT

Pursuant to CFTC policy, monthly performance is presented from January 1, 2000
even though all Series were outstanding prior to such date.

7

JOHN W. HENRY & CO./MILLBURN L.P.
(SERIES A UNITS)
DECEMBER 31, 2004

TYPE OF POOL: Selected-Advisor/Publicly-Offered/Non-"Principal Protected"(1)
INCEPTION OF TRADING: January 5, 1990
AGGREGATE SUBSCRIPTIONS: $18,182,000
CURRENT CAPITALIZATION: $7,246,705
WORST MONTHLY DRAWDOWN(2):(14.20)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN(3):(29.29)% (3/04-7/04)

NET ASSET VALUE PER SERIES A UNIT, DECEMBER 31, 2004: $386.22

(1) Pursuant to applicable CFTC regulations, a "Multi-Advisor"
fund is defined as one that allocates no more than 25% of its trading assets to
any single manager. As the Partnership allocates approximately 50% of its assets
to each of JWH and Millburn, it is referred to as a "Selected-Advisor" fund.
Certain funds, including funds sponsored by MLAI, are structured so as to
guarantee to investors that their investment will be worth no less than a
specified amount (typically, the initial purchase price) as of a date certain
after the date of investment. The CFTC refers to such funds as "principal
protected." The Partnership has no such feature.

(2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 2000 by the Series; a
drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 2000 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

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

10

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

RESULTS OF OPERATIONS

GENERAL

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

The Advisors are both trend-following traders, whose programs
do not attempt to predict price movements. Neither JWH nor Millburn has
generally relied on using fundamental economic supply or demand analyses
macroeconomic assessments of the relative strengths of different national
economies or economic sectors. Instead, their programs apply proprietary
computer models to analyzing past market data, and from this data attempt to
determine whether market prices are trending. As technical traders, JWH and
Millburn base their strategies on the theory that market prices reflect the
collective judgment of numerous market participants and are, accordingly, an
efficient indication of market movements. However, there are frequent periods
during which fundamental factors external to the market dominate prices.

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

There are many influences on the markets that the same general
type of economic event may lead to a price trend in some cases but not in
others. The analysis is further complicated by the fact that the programs are
designed to recognize only certain types of trends and to apply only certain
criteria of when a trend has begun. Consequently, even though significant price
trends may occur, if these trends are not comprised of the type of intra-period
price movements, which their programs are, designed to identify, either or both
Advisors may miss the trend altogether.

Performance Summary

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

Both Advisors are unlikely to be profitable in markets in
which such trends do not occur. Static or erratic prices are likely to result in
losses. Similarly, unexpected events (for example, a political upheaval, natural
disaster or governmental intervention) can lead to major short-term losses, as
well as gains.

While there can be no assurance that either Advisor will be
profitable, under any given market condition, markets in which substantial and
sustained price movements occur typically offer the best profit potential for
the Partnership.

2004

The Partnership's overall trading was unprofitable for the year. The
Partnership experienced gains in two of the four sectors, with the largest gain
in the interest rate sector.

11

The interest rate sector was the most profitable for the Partnership,
despite choppy trading conditions early in the year. Long exposure early in the
year to most of the major global yield curves proved to generate positive
results though overall exposure was light compared to historical exposure. Bond
markets were fairly range bound during the second quarter however, yields on the
U.S. ten-year note reached their highest levels since July 2002. U.S. Treasury
markets reacted to the employment data during the third quarter with a strong
sell-off, which caused the sector to reduce the long exposure to change to a net
short bias. The Federal Reserve raised key interest rates by 25 basis points on
September 21st and softer economic data eventually pushed longer-term maturities
higher by the end of the quarter. The U.S. fixed income markets, particularly
the front end, reversed their sell-off, which started in November, but rallied
during the first week of December, only to reverse that trend during the last
two weeks of the year.

The metals sector had the second highest gains for the Partnership.
Base metals continued their upward move early in the year as the sector
experienced strong demand, shrinking supply and the U.S. dollar weakening helped
to drive prices higher. Strong industrial demand for copper and continued
speculative interest pushed the market to a seven year high. Both industrial and
precious metals generated slight losses in the second quarter due to the fact
most markets were range-bound and the U.S. dollar did not provide any momentum
to these markets. Industrial metals, particularly copper added to performance in
the third quarter. Copper rallied based on increasing demand from China and
tight supply conditions. The year ended with the sector posting a small loss as
gains in industrials were outweighed by losses in long precious metals exposure.

The currency sector posted a loss for the Partnership. The currency
markets continued its long trend of a weakening U.S. dollar. However, trading
was very choppy and gains generated in the beginning of the first quarter were
lost. Early U.S. dollar strength turned around towards the end of the first
quarter and a large drop at the close of the first quarter resulted in the U.S.
dollar falling to a four year low against the Japanese yen. The U.S. dollar
rebounded at the beginning of the second quarter only to be range bound
throughout the quarter pending the Federal Reserve's decision on short term
interest rates. The currency markets remained range bound versus the U.S. dollar
throughout the third quarter. The year ended with a bearish U.S. dollar trend on
the speculation that U.S. officials favor a weaker currency to shrink the record
current account deficit. The U.S. dollar declined to a record low versus the
Euro and fell to its lowest level versus the Japanese yen since 2000.

Stock indices were the least profitable for the Partnership. The
Partnership was able to realize some gains in the beginning of the year. The
main drivers to performance in this sector were the DAX and the NASDAQ indices.
The markets were very choppy and exposures changed continuously. Losses were
incurred during the second quarter in both the U.S. and global equity
positioning due to the concerns of the imminent rate increases in U.S. interest
rates. Losses in the U.S. outweighed moderate gains in some of the international
markets late in the third quarter. However, stock indices posted stronger gains
towards the end of the year, as markets continued an upward trend on positive
economic data, a decline in energy prices and increased overall confidence.
Gains were made across the U.S., Asia and Europe.

Specific trading results are not included for 2003 because the
Partnership traded exclusively through investing in Trading LLC's.

2003

The Partnership's overall trading was profitable for the year,
bringing in approximately 11.67% compounded annual rate of return for 2003. The
Partnership experienced gains in all the sectors, with the largest gain in the
currency sector.

Gains in the currency sector early in the year were due to the
weakening U.S. dollar, 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 currency markets judged the
developments in the Middle East as negative for the U.S. economy and trade, and
the U.S. dollar sold off against most major currencies in April and May. U.S.
Treasury Secretary John Snow

12

indicated he was comfortable with current decline in the U.S. dollar and that a
cheaper U.S. dollar would increase exports. The U.S. dollar reversed its
weakening trend in June which offset some of the previous gains. In the
beginning of the third quarter, the U.S. dollar appreciated relative to other
currencies with losses being experienced in most positions specifically, the
Australian dollar, the Canadian dollar and the British pound. During the middle
of the third quarter, the U.S. dollar appreciated relative to the European
currencies. The third quarter ended with foreign currencies against the U.S.
dollar appreciating. The year ended with the U.S. dollar falling under pressure
on concerns that a strengthening U.S. economy may expand the trade deficit.

Trading in stock indices posted gains for the year as well.
European stock markets started the year on an upward trend, which reversed as
prices eroded throughout the first quarter. Global economies suffered throughout
the quarter; however, in mid-March the equities market rebounded. Stock index
futures capitalized on the global upswing in stock prices in June. During the
first part of the third quarter, U.S. equities were fairly quiet while strong
gains were generated in trading global stock indices. The Japanese Nikkei was a
solid performer during the third quarter as it gained over 8% on strong economic
numbers. Investors reacted to the hope that deflation and economic contractions
were coming to an end in Japan. Gains in the Nikkei and the U.S. outweighed
small losses in other markets. The fourth quarter posted gains overall with the
main driver of performance being the DAX index.

The interest rate sector managed to post a gain despite
continuous losses, during the last half of the year. Interest rates continued to
push lower in the beginning of the year as economic data for the fourth quarter
of 2002 announced an annual growth rate for the economy of approximately 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 exposure. May gains
outpaced losses from June. Some factors that kept the interest rates falling
were rumors of deflation, hedging by long term lenders against the falling
interest rates, and foreign banks buying U.S. Treasuries as part of their
monetary policy to control the value of their currency. The market reversed in
June due to disappointing news about a smaller rate cut by the Federal Reserve
then expected. In the beginning of the third quarter, the U.S. bond market
suffered heavy losses after the U.S government announced its intentions to
borrow a record amount to finance the huge deficit. There were massive sell-offs
in bonds during July, which seemed to have found a base during the month of
August. With interest rates on hold at the short end of the curve in the U.S.,
trading was characterized by small ranges, which generated minor losses. Trading
conditions in this sector remain choppy and overall exposure continues to remain
low, since no clear trends have emerged.

The metals sector had gains for the year as well despite
losses in the first half of the year. 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 a main driver for the gold market
in January. Gold reversed its rising trend in February with the announcement
that the German Bundesbank had sold a portion of its gold reserves. Positions in
gold shifted from profitable to unprofitable throughout the second quarter. In
the beginning of the third quarter profits in the industrial complex were
outweighed by losses in the precious metal sector. Copper and other industrial
metals rallied on technical buying and stronger demand as economies showed
stronger growth prospects. During the mid part of the third quarter, the metals
sector posted a gain while profits in precious metals outweighed losses in the
industrial complex. At the end of the third quarter, the metals sector posted a
profit with long positions in the metals particularly gold and nickel, making
significant price movements to the upside. The fourth quarter posted gains
partially due to weaker U.S. dollar allowing base metals to advance sharply, as
well as a strong demand from Asia. Gold prices reached a six-year high and were
one of the main drivers of performance.

Specific trading results are not included for 2003 because the
Partnership traded exclusively through investing in Trading LLC's.

2002

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

13

The interest rate sector was profitable for the Partnership
despite its slow start. The year began with a loss as interest rates were
particularly sensitive to economic data that was released, and more so to its
varied interpretations. By June, the Partnership profited from a strong bond
market, which benefited from the weakness in the stock market and unchanged
interest rates. Economic numbers in the United States suggested that the economy
was stabilizing, however, consumer confidence continued to deteriorate fueling
the bond rallies in the third quarter. Economists continued to revise their
world growth estimates for 2003 downward under 4%.

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

The stock index sector produced profits for the year as equity
markets were under heavy pressure from poor corporate earnings, accounting
irregularities and a general global economic slowdown. Volatility in the equity
markets was at a high level, keeping bargain hunters from re-entering the
markets, keeping up a trend the Partnership was able to capitalize on through
the third quarter. The sector returned some of its profits in the fourth quarter
as frequent worldwide economic news releases alternated from positive to
negative.

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

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

VARIABLES AFFECTING PERFORMANCE

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

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

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

Unlike many investment fields, there is no meaningful
distinction in the operation of the Partnership

14

between realized and unrealized profits. Most of the contracts traded by the
Partnership are highly liquid and can be closed out at any time.

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

LIQUIDITY; CAPITAL RESOURCES

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

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

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

(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 RISKS.

INTRODUCTION

PAST RESULTS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE

The Partnership is a speculative commodity pool. Unlike an
operating company, the risk of market sensitive instruments is integral, not
incidental, to the Partnership's main line of business.

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

The Partnership, under the direction of the two Advisors,
which it has retained since inception, rapidly acquires and liquidates both long
and short positions in a wide range of different markets. Consequently, it is
not possible to predict how a particular future market scenario will affect
performance, and the Partnership's past performance is not necessarily
indicative of its future results.

15

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

QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK

QUANTITATIVE FORWARD-LOOKING STATEMENTS

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

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

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

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

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

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

16

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 2004. During the fiscal year 2004, the
Partnership's average capitalization was approximately $ 27,020,334. As of
December 31, 2003, the average capitalization was approximately $32,317,001.

The Partnership does not trade commodities or energy futures.

FISCAL YEAR 2004

FISCAL YEAR 2003

Average, highest and lowest value at Risk amounts relate to
month end amounts for each month during the year. Average Capitalization is the
average or the Partnership's capitalization at the end of each month of 2004 and
2003.

MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

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

17

NON-TRADING RISK

FOREIGN CURRENCY BALANCES; CASH ON DEPOSIT WITH MLPF&S

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

The Partnership also has non-trading market risk on the
approximately 90%-95% of its assets which are held in cash at MLPF&S. The value
of this cash is not interest rate sensitive, but there is cash flow risk in that
if interest rates decline so will the cash flow generated on these monies. This
cash flow risk is immaterial.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

The following qualitative disclosures regarding the
Partnership's market risk exposures -- except for (i) those disclosures that are
statements of historical fact and (ii) the descriptions of how the Partnership
manages its primary market risk exposures -- constitute forward-looking
statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Partnership's primary market risk
exposures as well as the strategies used and to be used by MLAI and the
Partnership's two Advisors for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of the Partnership's risk controls to differ materially from the
objectives of such strategies. Government interventions, defaults and
expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new
market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the
risk management strategies of the Partnership. There can be no assurance that
the Partnership's current market exposure and/or risk management strategies will
not change materially or that any such strategies will be effective in either
the short- or long-term. Investors must 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, 2004, 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 anticipates that G-7 interest
rates will remain the primary market exposure of the Partnership for the
foreseeable future.

CURRENCIES.

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

18

STOCK INDICES.

The Partnership's primary equity exposure is to equity index
price movements. The stock index futures traded by the Partnership are by law
limited to futures on broadly based indices. As of December 31, 2004, the
Partnership's primary exposures were in the S&P 500, Financial Times (England),
Nikkei (Japan) and DAX (Germany) stock indices. MLAI anticipates little, if any,
trading in non-G-7 stock indices. The Partnership is primarily exposed to the
risk of adverse price trends or static markets in the major U.S., European and
Japanese indices.

METALS.

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

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

The following were the only non-trading risk exposures of the
Partnership as of December 31, 2004.

FOREIGN CURRENCY BALANCES.

The Partnership's primary foreign currency balances are in
Japanese yen, British pounds and Euros.

U.S. DOLLAR CASH BALANCE.

The Partnership holds 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 has procedures in place intended to control market risk,
although there can be no assurance that they will, in fact, succeed in doing so.
These procedures focus primarily on monitoring the trading of JWH and Millburn,
calculating the Net Asset Value of the Partnership accounts managed by the two
Advisors as of the close of business on each day and reviewing outstanding
positions for over-concentrations. While MLAI does not itself intervene in the
markets to hedge or diversify the Partnership's market exposure, MLAI may urge
either or both of JWH and Millburn to reallocate positions managed by the two
Advisors, in an attempt to avoid over-concentrations. However, such
interventions are unusual. Each of JWH and Millburn applies its own risk
management policies to its trading.

JWH RISK MANAGEMENT

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

19

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

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

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

MILLBURN RISK MANAGEMENT

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

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

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

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

Another important risk management function is the careful
control of leverage or portfolio size.

20

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

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

NON-TRADING RISK

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

The Partnership has cash flow interest rate risk on its cash
on deposit with MLPF&S in that declining interest rates would cause the income
from such cash to decline. However, a certain amount of cash or cash equivalents
must be held by the Partnership in order to facilitate margin payments and pay
expenses and redemptions. MLAI does not take any steps to limit the cash flow
risk on its cash held on deposit at MLPF&S.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
JOHN W. HENRY & CO. / MILLBURN L.P.

Net Income by Quarter
Eight Quarters through December 31, 2004

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 promoted the Partnership and is its controlling person.

21

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

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

ITEM 9A: CONTROLS AND PROCEDURES

Merrill Lynch Alternative Investments LLC, the General Partner
of John W. Henry & Co./Millburn L.P., with the participation of the General
Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated
the effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this annual report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

ITEM 9B: OTHER INFORMATION

Not applicable.

22

PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

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

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

The managers and executive officers of MLAI and their
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. 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 a Vice President, Chief
Operating Officer and a Manager of MLAI. He joined MLAI 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. 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.

As of December 31, 2004, the principals of MLAI had no
investment in the Partnership, and MLAI's general partnership interest was
valued at $313,365.

23

As of February 29, 2004, MLAI acts as general partner to three
public futures funds whose units of limited partnership interest are registered
under the Securities Exchange Act of 1934: ML Select Futures LP, and ML JWH
Strategic Allocation Fund L.P. and the Partnership. Because MLAI serves as the
sole general partner of each of these funds, the officers and managers of MLAI
effectively manage them as officers and directors of such funds. Prior to
February 28, 2003, MLAI (while still known as MLIM AS LLC) acted as general
partner of six futures funds whose units of limited partnership interest are
registered under the Securities Exchange Act of 1934.

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

None.

(d) FAMILY RELATIONSHIPS:

None.

(e) BUSINESS EXPERIENCE:

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

(f) INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

None.

(g) PROMOTERS AND CONTROL PERSONS:

Not applicable.

(h) AUDIT COMMITTEE FINANCIAL EXPERT:

Not applicable. (Neither the Partnership nor MLAI has an audit
committee.)

CODE OF ETHICS:

The Partnership has adopted a code of ethics, as of the end of
the period covered by this report, which applies to the Partnership's (MLAI'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.

24

ITEM 11: EXECUTIVE COMPENSATION

The officers of MLAI are remunerated by MLAI 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 and Administrative Fees to MLAI. MLAI or its affiliates also
may receive certain economic benefits from holding the Partnership's U.S. dollar
assets in offset accounts, as described in Item 1(c) above. The managers and
officers receive no "other compensation" from the Partnership, and the managers
receive no compensation for serving as directors of MLAI. There are no
compensation plans or arrangements relating to a change in control of either the
Partnership or MLAI.

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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

As of December 31, 2004, no person or "group" is known to be
or have been the beneficial owner of more than 5% of the Units. All of the
Partnership's units of general partnership interest are owned by MLAI.

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2004, the Advisors owned 515 Series A
Units, 500 Series B Units and 1000 Series C Units and MLAI owned 209 Series A
Units, 478 Series B Units and 339 Series C Units (unit-equivalent general
partnership interests) which was, in each case, less than 3.50% of each series
of the total Units outstanding, respectively.

(c) CHANGES IN CONTROL:

None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

(a) TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

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

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

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

25

MLAI pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLAI 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, acts as the principal
commodity broker for the Partnership.

In 2004, the Partnership expensed through its investment in
the Trading LLCs: (i) Brokerage Commissions of $ 2,309,432 to MLPF&S, which
included $540,339 in consulting fees earned by the Advisors; and (ii)
Administrative Fees of $537,182 to MLAI. In addition, MLAI and its affiliates
may have derived certain economic benefits from possession of the Partnership's
assets, as well as from foreign exchange and EFP trading.

(c) INDEBTEDNESS OF MANAGEMENT:

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

(d) TRANSACTIONS WITH PROMOTERS:

Not applicable.

ITEM 14: PRINCIPAL ACCOUNTANT FEE 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
financial statements as of and for the year ended December 31, 2004 were
$52,350.

Aggregate fees billed for these services for the year ended
December 31, 2003 were $35,000.

(b) AUDIT-RELATED FEES

There were no other audit-related fees billed for the years
ended December 31, 2004 or 2003 related to the Partnership.

(c) TAX FEES

Aggregate fees billed for professional services rendered by
Deloitte Tax LLP in connection with the tax compliance, advice and preparation
of the Partnerships tax returns for the year ended December 31, 2004 were
$80,000.

Aggregate fees billed for these services for the year ended
December 31, 2003 were $82,500.

(d) ALL OTHER FEES

No fees were billed to Deloitte & Touche LLP nor Deloitte Tax
LLP during the years ended December 31, 2004 or 2003 for any other professional
services in relation to the Partnership.

Neither the Partnership nor MLAI 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.

26

PART IV

ITEM 15: EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

2. 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.

3. EXHIBITS:

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

27

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

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

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

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

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

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

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

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

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

13.01 2004 Annual Report and Report of Independent Registered
Public Accounting Firm.

EXHIBIT 13.01: Is filed herewith.

13.01(a) 2004 Annual Report and Independent Auditors' Report for the
following Trading Limited Liability Companies sponsored by
MLAI:
ML Millburn Global L.L.C.
ML JWH Financial and Metals Portfolio L.L.C.

EXHIBIT 13.01(a): Is filed herewith.

28.01 Prospectus of the Partnership dated September 29, 1989.

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

28.02 Prospectus of the Partnership dated December 14, 1990.

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

28.03 Prospectus of the Partnership dated September 13, 1991.

28

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

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

EXHIBIT 31.01
AND 31.02: Are filed herewith.

32.01 and 32.02 Section 1350 Certifications

EXHIBIT 32.01
AND 32.02: Are filed herewith.

29

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.

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

By: MERRIL LYNCH ALTERNATIVE INVESTMENTS LLC
General Partner

By: /s/Robert M. Alderman
---------------------
Robert M. Alderman
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 31, 2005 by the
following persons on behalf of the Registrant and in the capacities indicated.

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

MERRILL LYNCH ALTERNATIVE General Partner of Registrant March 31, 2005
INVESTMENTS LLC

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

30

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 John W. Henry & Co./Millburn
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; and

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 31, 2005
- --------------------

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

31

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 John W. Henry & Co./Millburn
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; and

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 31, 2005
- --------------------

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

32

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

In connection with this annual report of John W. Henry & Co./Millburn L.P.(the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Robert M. Alderman, Chief Executive Officer, President and Manager of the
Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the
Sarbanes-Oxley Act of 2002, that:

1. This Report 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 Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.

Date: March 31, 2005
- --------------------

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

33

EXHIBIT 32.02

SECTION 1350 CERTIFICATION

In connection with this annual report of John W. Henry & Co./Millburn L.P.(the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Michael L. Pungello, Vice President, Chief Financial Officer and Treasurer of
the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of
the Sarbanes-Oxley Act of 2002, that:

1. This Report 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 Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.

Date: March 31, 2005
- --------------------

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

34

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

2004 FORM 10-K

INDEX TO EXHIBITS