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

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

FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2005

OR

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

For the transition period from ________________ to ________________

Commission File Number 0-28928

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

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

c/o Merrill Lynch Alternative Investments LLC
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(Address of principal executive offices)
(Zip Code)

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

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

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

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

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

See notes to consolidated financial statements.

2

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

CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)

See notes to consolidated financial statements.

3

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

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE THREE MONTHS ENDED MARCH 31, 2005 AND 2004
(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 March 31, 2005, and the results of its operations for the three months
ended March 31, 2005 and 2004. The operating results for the interim
periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles
generally accepted in the United States of America have been omitted. It
is suggested that these financial statements be read in conjunction with
the financial statements and notes thereto included in the Partnership's
Annual Report on form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 2004.

2. FAIR VALUE AND OFF-BALANCE SHEET RISK

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

MARKET RISK

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

Merrill Lynch Alternative Investments LLC ("MLAI"), the General Partner,
has procedures in place intended to control market risk exposure, although
there can be no assurance that they will, in fact, succeed in doing so.
These procedures focus primarily on monitoring the trading of John W.
Henry & Co., Inc., ("JWH(R)"), the trading advisor, calculating the Net
Asset Value of the Partnership as of the close of business on each day and
reviewing outstanding positions for over-concentrations. While MLAI 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-concentration. However, such
interventions are unusual. Except in cases in which it appears that JWH(R)
has begun to deviate from past practice and trading policies or to be
trading erratically, MLAI's basic risk control procedures consist simply
of the ongoing process of advisor monitoring, with the market risk
controls being applied by JWH(R) itself.

5

CREDIT RISK

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

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

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

Item 2: Management's Discussion and Analysis of Financial Condition
and Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

PERFORMANCE SUMMARY

January 1, 2005 to March 31, 2005

The energy sector was the best performing sector for the Partnership. The
quarter began with a loss due to higher energy prices. Events in the
Middle East and bad weather dominated the sector's price action.
Mid-quarter, energies rallied as commodity prices surged to a 24-year high
due to signs of growing global demand for everything energy-related.
London gas oil and crude oil led performance after the U.S. government
reported an unexpected decline in U.S. oil stockpiles. This raised
concerns that refineries would have insufficient supplies for making
gasoline during peak summer demand. A Goldman Sachs prediction that crude
oil prices could spike up to as high as $105 per barrel also bolstered the
rise in oil prices. In addition, the International Energy Agency raised
its prediction for global consumption for a third consecutive month, and
forecasts of colder temperatures across Europe and the U.S. also helped to
drive energy prices even higher.

The agricultural commodities sector was profitable for the Partnership for
the quarter. Wheat helped returns as prices fell, early in the quarter, to
a 20-month low after a report showed that U.S. exports slowed when the
European Union indicated it would subsidize exports of the grain for the
first time since June 2003. Corn slightly boosted returns as prices fell
to the lowest level since June 2001 on slumping demand for record supplies
in the U.S., which is the world's largest producer and exporter of the
grain. The forecasted dry season in Brazil was the driving factor behind
the majority of the agricultural price movements mid-quarter.

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The Partnership was able to benefit from rising New York ("NY") coffee
prices as production declined and stocks held by roasters and producers
fell to their lowest level in 15 years. Profits from the rally in NY
coffee caused by this forecast were enough to offset the combined losses
in various other agricultural markets including corn, wheat and soybeans.
Soybean prices rose in Chicago amid speculation that the four-week drought
in Brazil will reduce the harvest of the world's second biggest crop.
Wheat prices rose, later in the quarter, on speculation that importers
will increase purchases of U.S. supplies.

The stock indices sector was profitable for the quarter. Losses occurred
in the beginning of the quarter resulting from a sell off in world equity
markets, as stocks weakened because energy prices rose during January.
Stock indices posted a gain mid-quarter as the Nikkei rallied on hopes
that quicker U.S. growth would help Japan start an export-led economic
recovery. However, at the end of the quarter, higher bond yields and oil
prices made equities less attractive to investors as inflationary
pressures started to weigh on the global economy. In addition, stocks
dropped as American International Group Inc., the world's largest insurer,
lost its top credit rating. In addition, General Motors, the world's third
largest borrower, announced that it was forecasting its biggest quarterly
loss since 1992. The largest gain was achieved in the Nasdaq e-mini, while
the largest loss occurred in the Nikkei.

The metals sector was unprofitable for the quarter. The loss in metals was
due to the weakness in both gold and aluminum. Gold, which recently has
had a strong inverse relationship with the U.S. dollar, came under
pressure as the U.S. dollar strengthened throughout the beginning of the
quarter. Aluminum sustained losses as supply increases in Shanghai put
pressure on the market. The metals sector posted negative returns, as
inflation fears in the U.S. pushed gold prices higher. Rising energy
prices also bolstered the appeal of the precious metals as a hedge against
inflation. London copper prices rose after government reports showed
Japan's industrial production gained in January. The largest gain in this
sector was achieved in copper, while the largest loss occurred in gold.

The interest rate sector was unprofitable for the quarter. A significant
portion of the losses were directly related to the fixed income sector as
the European, Japanese and U.S. bond markets sold off. The catalyst for
the dramatic move higher in world interest rates was the cumulative effect
of increases in both energy prices and inflation expectations. On February
10th, the benchmark U.S. ten-year Treasury note fell from recent highs
after jobless claims unexpectedly declined, exports rose, and the U.S.
government sold $14 billion ten-year notes at a higher-than-expected
yield, a sign of weak demand. Federal Reserve Chairman Alan Greenspan's
testimony, prepared for the Senate Banking Committee, further added
pressure to the sector as he stated that the decline in long-term interest
rates during the past year "remains a conundrum". The release of a
higher-than-expected Producer Price Index (+0.8 vs. +0.2) in the U.S.
helped to spark inflation fears worldwide and added further to the
fixed-income markets' decline. The largest loss occurred in the Japanese
government bond.

The currency sector was the most unprofitable sector in the quarter. The
single most influential factor driving performance in this sector was the
U.S. dollar. A significant portion of the loss in the beginning of the
quarter was directly related to the strength of the U.S. dollar against
most major currencies. The weak U.S. dollar trend, which had dominated the
markets during the second half of last year, began to reverse itself as
market expectations of a Yuan revaluation by the Chinese central bank
began to diminish. The weakness of the Japanese yen against the U.S.
dollar mid-quarter also hurt performance. On February 10th, the U.S.
dollar rose to a three-month high against the Japanese yen after a
Commerce Department report showed the U.S. trade deficit narrowed in
January from a previous record high. The recent dollar strength began when
Federal Reserve Chairman Alan Greenspan predicted that the deficit in the
U.S. current account, the broadest measure of trade, may shrink. Further
adding to the Japanese yen's weakness were reports that showed Japanese
household spending and industrial output had dropped in December 2004, and
that Japan had officially fallen into a recession for the fourth time
since 1991. Additional losses in this sector occurred as the Swiss franc
rose against the U.S. dollar on speculation that the Swiss National Bank
would raise its target interest rate. The largest gain in this sector was
achieved in the Japanese yen, while the largest loss occurred in the Swiss
franc.

7

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 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

8

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 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

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

9

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership or
MLAI 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 6,048,667 units of limited partnership
interest. As of March 31, 2005, the Partnership has sold
8,744,575 units of limited partnership interest, with an
aggregate price of $1,638,880,160.

Effective May 21, 2004, the Partnership registered an additional
4,460,000 units of limited partnership interest.

Effective March 31, 2005, the Partnership registered an
additional 3,428,904 units of limited partnership interest.

Item 3. Defaults Upon Senior Securities

None.

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

None.

Item 5. Other Information

None.

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

(a) Exhibits

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

Reports on Form 8-K.

There were no reports on Form 8-K filed during the first three
months of fiscal 2005.

10

SIGNATURES

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

ML JWH STRATEGIC ALLOCATION FUND L.P.

By: MERRIL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)

Date: May 16, 2005 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Date: May 16, 2005 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

11