<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P.
SUPPLEMENT DATED OCTOBER 28, 1996 TO
PROSPECTUS DATED APRIL 25, 1996
This Supplement sets forth certain additional information relating to the
Fund and its trading advisor, John W. Henry & Company, Inc. The information
set forth in the Prospectus and the Fund's Supplement dated July 26, 1996 is
supplemented and/or amended to the extent described below.
I. John W. Henry & Company, Inc. Supplemental Information
The section of the Prospectus entitled "John W. Henry Co., Inc.--Background
and Principals" commencing on page 31 of the Prospectus is supplemented by
adding the following paragraphs:
CERTAIN LITIGATION
JWH has informed the Fund that in September 1996, JWH was named as a co-
defendant in class action lawsuits brought in the California Superior Court, Los
Angeles County and in the State Supreme Court, New York County. The actions,
which seek unspecified damages, purport to be brought on behalf of investors in
certain Dean Witter commodity pools, some of which are advised by JWH, and are
primarily directed at Dean Witter's alleged fraudulent selling practices in
connection with the marketing of those pools. JWH is essentially alleged to have
aided and abetted or directly participated with Dean Witter in those practices.
JWH believes the allegations against it are without merit; it intends to contest
these allegations vigorously and is convinced that it will be shown to have
acted properly and in the best interest of the investors.
A DISCIPLINED INVESTMENT PHILOSOPHY
JWH's history of success is based on the following guiding principles:
LONG-TERM PERSPECTIVE. JWH's investment strategies rest on a long-term
perspective on the world's financial and commodities markets. Historical
performance demonstrates that, because trends often last longer than most market
participants expect, strong returns can be generated from positions held over
the long term.
DISCIPLINED INVESTMENT PROCESS. The disciplined investment process
utilized by JWH is designed to generate superior, risk-adjusted rates of return
throughout a market cycle. By consistently applying investment techniques in
financial and commodities markets worldwide, JWH is able to participate in
rising and falling markets without bias.
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THE FUND'S PROSPECTUS DATED APRIL 25, 1996 ACCOMPANIES THIS SUPPLEMENT.
THE FUND'S PROSPECTUS AND THIS SUPPLEMENT MUST BE CONSIDERED BY PROSPECTIVE
INVESTORS IN DETERMINING WHETHER TO PURCHASE THE FUND'S UNITS. CAPITALIZED
TERMS USED BUT NOT DEFINED IN THIS SUPPLEMENT HAVE THE MEANINGS SET FORTH IN THE
PROSPECTUS.
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MERRILL, LYNCH, PIERCE, FENNER MERRILL LYNCH INVESTMENT
& SMITH INCORPORATED PARTNERS INC.
Selling Agent General Partner
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JWH SUPPLEMENTAL INFORMATION (Cont.)
JWH's ongoing research has led to the development of analytical models
which suggest the appropriate content, weighting, exits and entries for each
investment position. Once established, these positions are monitored around the
clock. While many of these positions are closed out within a few days or weeks
at a profit or loss, others are retained where JWH's investment guidelines
indicate potential opportunity for exceptional returns.
TREND IDENTIFICATION. JWH's strategies are nonpredictive. Instead,
based on comprehensive research on historic pricing data, JWH seeks to recognize
the movements of capital from one market to another after trends have begun.
GLOBAL DIVERSIFICATION. For more than a decade, JWH has recognized
the importance of global trading. Financial markets around the world are
increasingly interrelated, with actions in one country's markets often
influencing markets in other parts of the world. JWH investments are positioned
to provide access to performance potential offered by the global marketplace.
COMPREHENSIVE RISK MANAGEMENT. JWH's risk management strategies are
designed to decrease volatility and improve the risk/reward characteristics of
investments in futures and forwards by relying upon carefully formulated risk
management algorithms that define controlled loss parameters prior to execution.
THE INVESTMENT POLICY COMMITTEE
The Investment Policy Committee is one vehicle for decision-making at
JWH about the content and application of JWH trading programs. Composition of
the Investment Policy Committee, and participation in its discussions and
decisions by non-members, may vary over time.
JWH has also added the following principals:
Mr. John A. F. Ford is the director of marketing at JWH and is
responsible for the development and implementation of strategic marketing and
communications programs. He joined JWH in May 1996 from J.P. Morgan where he
had been vice president and head of corporate communications for the firm's
European operations from February 1994 to October 1995. He was previously in a
similar position with J.P. Morgan at the Euroclear Operations Centre in Brussels
from January 1992 to February 1994. From October 1995 to May 1996 he undertook
a number of consultancy projects while relocating to the United States. Prior
to joining J.P. Morgan, Mr. Ford was managing director of the European
headquarters of Gavin Anderson & Co. (UK), an international corporate and
investor relations consultancy, from February 1987 to December 1991. Mr. Ford
has also been involved in advising the Chicago Mercantile Exchange on marketing
its services to European institutions and advising the International Petroleum
Exchange in London on similar issues. He also helped market Mercury Asset
Management to major institutions and pension funds.
Ms. Wendy B. Goodyear is director of the office of the chairman. She
is responsible for managing and coordinating projects involving Mr. Henry. Ms.
Goodyear joined JWH in October 1995 as director of marketing. Prior to her
employment at JWH, Ms. Goodyear was a vice president at Citibank where she held
several positions, including product development manager for the depository
receipt business and marketing manager for the pension business. Prior to
joining Citibank in May 1993, Ms. Goodyear was employed at Bankers Trust Company
from 1985 where she held positions of increasing responsibility in both
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<PAGE>
JWH SUPPLEMENTAL INFORMATION (Cont.)
the private bank and pension businesses. Ms. Goodyear received a B.A. in History
from the University of Virginia and an M.B.A. from the Stern School of Business
at New York University.
Mr. Julius A. Staniewicz is the senior strategist in JWH's Product
Development Department. He will also be President of JWH Asset Management, Inc.
upon NFA registration. Prior to joining JWH in March of 1992, Mr. Staniewicz
was employed with Shearson Lehman Brothers as a financial consultant starting in
April 1991. Prior to that, beginning in 1990, Mr. Staniewiez was a vice
president of Phoenix Asset Management, a commodity pool operator and introducing
broker. From 1986 to 1989, Mr. Staniewicz worked in the managed futures
department at Prudential-Bache Securities, Inc., lastly as an assistant vice
president and co-director of managed futures. Mr. Staniewicz received a B.A. in
Economics from Cornell University.
Mr. Chris J. Lautenslager is a vice president of JWH. He is
responsible for general business development and investor services support.
Prior to joining JWH in April 1996, he was the vice president of institutional
sales for I/B/E/S International, Inc., a distributor of corporate earnings
estimate information. Prior to his employment with I/B/E/S, Mr. Lautenslager
devoted time to personal activities from April 1994 to March 1995, following the
closing of the Stamford, Connecticut office of Gruntal & Co., where he had
worked as a proprietary equity trader since November 1993. Before that, he held
the same position at S.A.C. Capital Management starting in February 1993. From
October 1987 to December 1992, Mr. Lautenslager was a partner and managing
director of Limitless Option Partners, a registered Chicago Mercantile Exchange
trading and brokerage organization. He received a B.S. in Accounting from the
University of Colorado and a Masters in Management from Northwestern University.
The Performance Summary for each JWH Trading Program has been
supplemented to include the largest monthly performance drawdown within the past
five years of an individual account within the program indicated. Therefore,
the section entitled "JWH Trading Programs: Performance Summaries and Monthly
Rates of Return" commencing on page 40 of the Prospectus is supplemented by
adding the following:
<TABLE>
<CAPTION>
LARGEST
MONTHLY
DRAWDOWN MONTHLY/YEAR
JWH INVESTMENT PROGRAM --------- --------------
- ----------------------
<S> <C> <C>
Original Investment Program -18.1% February 1992
Global Diversified Portfolio -20.3% July 1991
Financial and Metals Portfolio -27.7% January 1992
Delevered Yen Denominated Financial and Metals Portfolio -3.2% February 1996
The World Financial Portfolio -25.5% January 1992
Global Financial Portfolio -19.5% November 1994
International Currency and Bond Portfolio -7.8% July 1994
International Foreign Exchange Program -13.6% January 1992
G-7 Currency Portfolio -12.3% January 1992
InterRate(TM) -10.2% September 1992
KT Diversified Program -28.6% January 1992
JWH Investments, Inc. Financial & Metals Portfolio -16.6% January 1992
JWH Investments, Inc. InterRate(TM) -9.3% September 1992
- -------------------------------------------------------------------------------------
</TABLE>
The section entitled "Notes to JWH Trading Programs Performance
Summaries" commencing on page 53 of the Prospectus is supplemented by adding the
following:
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JWH SUPPLEMENTAL INFORMATION (Cont.)
The largest monthly drawdown for an individual account within a
program was determined after identification of the three largest monthly
drawdowns on a composite basis for each investment program. Within the three
months in which the largest composite monthly drawdowns occurred, individual
accounts were reviewed for each program. The individual account which
experienced the largest loss in those months is the account shown above as
having the largest individual monthly drawdown for the investment program. Some
individual accounts were excluded from review if they were being phased in or
out, opened or closed during the month or if material mid-month additions or
redemptions were made.
Differences between the largest monthly drawdown for an individual
account and the largest monthly drawdown on a composite basis for a program are
due to, among other factors, the reasons noted on pages 40 through 43 of the
Prospectus, variations in fill prices and the timing of additions and
withdrawals.
II. MLIP Supplemental Information
The section entitled "Certain Litigation" commencing on page 76 of the
Prospectus is supplemented by adding the following:
On October 17, 1996, the United States District Court for the Central
District of California withdrew the reference to the Bankruptcy Court of the
Orange County Action. The case is now pending in the District Court.
On May 10, 1996, pursuant to agreement of the parties, the court in
the De Lean Action entered an order staying it pending final resolution of the
Orange County Action.
On April 10, 1996, a first amended complaint in the Atascadero State
Court Action was filed which added allegations that the defendants committed
conversion and violated Sections 25400, 25401, 25500 and 25501 of the California
Code and the Racketeering Influenced and Corrupt Organizations Act in connection
with ML&Co.'s business activities with the Orange County Treasurer-Tax
Collector.
The court in the Wilson Actions dismissed the consolidated amended
action on August 7, 1996. A notice of appeal was filed on September 11, 1996.
The court dismissed the Kemper Action without prejudice on September
4, 1996 pursuant to agreement of the parties.
On July 17, 1996 the Antitrust Division of the United States
Department of Justice filed a civil antitrust complaint against firms that make
markets in NASDAQ securities, including MLPF&S. The complaint alleged that the
firms violated Section 1 of the Sherman Act through a "common understanding" to
follow a "quoting convention" that the complaint asserts had inflated the
"inside spread" (the difference between the best quoted buying price and the
best quoted selling price on NASDAQ) in certain NASDAQ stocks. This allegedly
resulted in investors having to pay higher transaction costs for buying and
selling stocks that they would have paid otherwise. At the same time the
complaint was filed, a proposed settlement of the action was announced, pursuant
to which the market maker defendants in the action have agreed not to engage in
certain conduct. The proposed settlement, which is subject to court approval,
provides, among other things, for the monitoring and tape recording by each of
the market maker defendants of not less than 3.5 percent, or a maximum of 70
hours per week, of telephone conversations by its over-the-counter desk traders;
the provision to the Department of Justice of any taped conversation that may
violate the terms of the settlement; and for Department of Justice
representatives to appear unannounced, during regular business hours, for the
purpose of monitoring trader conversations as the conversations occur.
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<PAGE>
MLIP SUPPLEMENTAL INFORMATION (Cont.)
The last full paragraph on page 78 of the Prospectus is amended and
restated in its entirety to read as follows:
In each of the legal proceedings described below except for the
stockholder derivative actions, the claims against the Merrill Lynch defendants
(as defined below) have now either been dismissed pursuant to settlements or
under the terms of a settlement for which court approval is being sought will be
dismissed.
On July 12, 1996, the plaintiffs in the Receiver Action entered a
stipulation of discontinuance with prejudice with respect to all claims asserted
against all defendants, including the Merrill Lynch defendants.
The last full paragraph on page 79 of the Prospectus is amended and
restated in its entirety to read as follows:
In October 1991, two derivative actions purportedly brought on behalf
of ML&Co. were filed in the Supreme Court of the State of New York, New York
County, naming as defendants directors of ML&Co. who were directors at the time
of the year-end securities transactions in question, among others. These cases,
now consolidated, assert claims of breach of fiduciary duties in connection with
the year-end securities transactions with GSLIC and other claims against
Transmark and one of Transmark's principals. The damages sought in this action
are unspecified. The court has stayed the action for all purposes pending a
resolution of the above-mentioned related litigation in Florida.
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