<PAGE>
ML JWH Strategic Allocation Fund L.P
Dear Limited Partner,
The Net Asset Value ("NAV") per Unit of ML JWH Strategic Allocation Fund L.P.
(the "Fund") increased 10.20% in October, closing the month with a NAV per Unit
of $114.96 on October 31, 1996, as compared to the September 30, 1996 NAV per
Unit of $104.32.
As of November 1, 1996, the Fund's trading was allocated among seven
John W. Henry & Company, Inc. investment programs approximately as follows:
<TABLE>
<CAPTION>
Trading Program % Trading Allocation
- --------------- ---------------------
<C> <S>
Original Investment Program 25%
Financial and Metals Portfolio 20%
Global Financial Portfolio 20%
G-7 Currency Portfolio 15%
Global Diversified Portfolio 10%
Dollar Program 5%
Worldwide Bond Program 5%
----
100%
</TABLE>
Cash allocations among the Programs differ immaterially from the trading
allocations due to performance differences since inception without a change in
trading allocations.
Set forth below is a report from John W. Henry & Company, Inc. addressing
performance for last month. This report is included for the convenience of the
Fund's investors and may not reflect the opinions or recommendations of the
General Partner.
Sincerely,
John R. Frawley, Jr.
President and Chief Executive Officer
Merrill Lynch Investment Partners Inc.
(General Partner)
---------------------------------------
Report as of the Trading Advisor
John W. Henry & Company, Inc.
We are pleased to report that the Fund recorded a strong performance in October.
In a month when national elections were the focus of two key countries and
economic fundamentals were an integral part of the political debate, investors
crossed national boundaries to cast their own economic votes in global currency
and interest rate markets. For investors in the Fund, gains were considerable.
Markets worldwide were swept up in current of equity optimism which saw many
global bourses, including the
<PAGE>
Dow, break new records during the month. While not immune to these pressures,
bond market participants continued to pay close attention to economic reports,
particularly in the U.S., for any hints of inflation. Signs of a slowing U.S.
economy drove the Treasury 30-year bond price to its highest level in 6 1/2
months, pushing the yield (which moves in the opposite direction) to its lowest
level in as many months. Still high relative to rates in other countries --
particularly Japan -- the U.S. bond market continued to attract foreign
investors in search of higher yields.
Sound economic fundamentals kept the U.S. dollar strong against most major
currencies and the British pound stronger still against the U.S. dollar. With
the United Kingdom standing firmly to the side on the European Monetary Union
(EMU) issue, the pound assumed a safe-haven status. Fresh doubts about the EMU
were formed in October following the release of private-sector reports critical
of Germany's ability to meet membership criteria in terms of its deficit.
Japanese investors continued their flight to quality, selling yen and buying
stronger currencies.
Sector Allocations
as of November 1, 1996
[GRAPHIC]
Stock Indices 3.00%
Foreign Exchange 19.10%
Global Interest Rates 43.50%
Agriculture 6.70%
Metals 11.50%
Energy 15.20%
INDIVIDUAL INVESTMENT PROGRAMS
Original Investment Program
Gains in interest rates and currencies contributed to the program's strong
performance. U.S. bond markets continued to benefit from foreign demand, as
overseas
<PAGE>
investors sought higher yields. The Japanese Government bond also soared to new
highs following elections which kept the fiscally conservative Liberal
Democratic Party (LDP) in power. In foreign exchange, the strength of the U.S.
dollar was exceeded only by that of the British pound. Positions in the pound,
Japanese yen and Swiss franc were profitable. Strong profits in corn, and
smaller profits in sugar, bean oil and LDN cocoa, offset losses in cotton and
coffee. Trading in crude oil was unprofitable. Small gains in silver were offset
by losses in other metals. Losses in the Nikkei offset gains in Australia All
Ordinaries.
Financial and Metals Portfolio
Performance improved significantly over the previous month, reflecting sharp
gains in interest rates and currencies. Trading in the long- and short-term bond
market was profitable, with the largest gains in the Japanese Government bond,
French bond and Australian 10-year bond. Japanese bond prices reached new highs
even in the face of news which might have been viewed as negative for the
market, such as higher-than-expected housing starts and construction spending.
In currencies, strong gains were posted in the British pound and Japanese yen,
and smaller gains in Swiss franc and Australian dollar. Moderating inflation in
the U.S. continued its downward pressure on gold and silver prices; positions in
both resulted in gains. Trading in the Nikkei was unprofitable.
Global Financial Portfolio
Performance remained strong with positions in currencies and interest rates
accounting for most of the gains. The British pound strengthened considerably,
while the Japanese yen continued to weaken against most major currencies. Gains
in the pound, yen and Swiss franc offset losses in the German mark. Trading in
bonds was profitable, with strong gains in Japanese Government bonds. Positions
in the Australian All Ordinaries resulted in gains. Positions in crude oil were
unprofitable as price pressures reversed their upward bias, reflecting reduced
tension in the Middle East and an improving inventory picture, at least for the
short term.
G-7 Currency Portfolio
With leaders of the G-7 industrialized nations focusing on economic fundamentals
which, for some, included
<PAGE>
meeting the criteria for EMU membership, currency markers tracked the outlook
for interest rates in each nation. The U.S. dollar remained strong against most
currencies except the British pound. Britain's relative immunity to any EMU
controversies and The Bank of England's surprise decision to hike a key rate
also added to the pound's surprising buoyancy in world markets. Gains were
posted from long German mark and British pound cross rates vs. the Japanese
yen. The pound/yen cross increased by as much as 6.4%. Gains were also recorded
in long pounds against the mark (up 3.5%) and long Canadian dollars against the
French franc.
GLOBAL DIVERSIFIED PORTFOLIO
The program benefited from profitable positions throughout the interest rate
sector, with the largest gains in the Japanese Government bond, French bond and
Australian 10-year bond. Solid gains were also recorded in currencies. The hunt
for high yields by foreign investors boosted the U.S. dollar, which continued to
strengthen against most major currencies. Defying the trend was the British
pound, which reached a 19-month high against the dollar and a 45-month high
against the Japanese yen. Positions in the pound, yen, Swiss franc and
Australian dollar were profitable. In agriculture, gains in sugar, corn, bean
oil and LDN cocoa offset losses in cotton. Positions in crude oil were
unprofitable as were positions in stock indices. Gains in silver and gold were
offset by losses in LME aluminium.
DOLLAR PROGRAM
Performance improved significantly over the previous month as the U.S. dollar
continued to strengthen against most major currencies, defied only by the
British pound. The Japanese yen weakened to historic levels against the dollar
as investors fled the low yields of Japanese bond markets. Dollar trading
against the German mark became unstable as private-sector studies called into
question the ability of the German government to meet the deficit criteria of
the Maastricht Treaty for EMU membership. The Swiss franc tumbled as officials
continued to fret about an overvalued currency with its negative impact on
Swiss exports. Gains in pound, yen and franc positions offset losses in the
German mark.
WORLDWIDE BOND PROGRAM
Positions in the Japanese Government bond were the largest contributor to gains.
Participants in Japanese
<PAGE>
bond markets reacted enthusiastically to election results in Japan, and European
bonds continued to benefit from renewed confidence in EMU's formation. Strong
foreign demand for U.S. bonds reflected investors' search for high yields in a
low interest-rate environment. Strong economic fundamentals also boosted demand
for both U.S. and U.K. bonds.
FOR THE EXCLUSIVE USE OF INVESTORS IN ML JWH STRATEGIC ALLOCATION FUND L.P. THIS
MONTHLY REPORT IS NOT AN OFFER TO SELL NOR A SOLICITATION OF AN OFFER TO BUY
ANY SECURITIES. AN OFFER CAN ONLY BE MADE BY THE CURRENT PROSPECTUS, TOGETHER
WITH THE PROSPECTUS SUPPLEMENT AND RECENT MONTHLY REPORT FOR THE FUND. THESE
DOCUMENTS CONTAIN IMPORTANT INFORMATION CONCERNING RISK FACTORS, PERFORMANCE
AND OTHER MATERIAL ASPECTS OF THE FUND. THE CURRENT PROSPECTUS MUST BE READ
CAREFULLY BEFORE ANY DECISION WHETHER TO INVEST IS MADE. THIS MONTHLY REPORT
MUST NOT BE REPRODUCED OR DISTRIBUTED IN ANY MANNER. FUTURES TRADING IS
SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK. PAST PERFORMANCE IS NOT
NECESSARILY INDICATIVE OF FUTURE RESULTS. THE FUND'S SINGLE-ADVISOR MULTI-
STRATEGY APPROACH IS NOT ANTICIPATED TO PROVIDE THE SAME LEVEL OF RISK CONTROL
AS IS COMMONLY EXPECTED IN A MULTI-ADVISOR PORTFOLIO.
<PAGE>
ML JWH Strategic Allocation Fund L.P.
October 31, 1996
Statement of Changes
in Net Asset Value
Net Asset Value (1,132,045 Units) at
September 30, 1996 $ 118,091,569
Net Income/(Loss) for October 1996 12,050,609
Less Redemptions of 1,025 Units (117,834)
Plus Additions of 163,764 Units 18,828,309
-------------
Net Asset Value (1,294,782 Units)
at October 31, 1996 $ 148,850,653
=============
Net Asset Value par Unit at
October 31, 1996 $ 114.96
=============
-------------------------------------------------
Statement of Income/(Loss)
October Year-To-Date
--------- ---------------
Revenues:
Realized Profit/
(Loss) $ (1,313,573) $ (6,609,568)
Change in Unrealized
Profit/(Loss) 15,816,983 27,509,599
------------ --------------
Total Trading Results 14,503,410 20,900,031
Interest Income 538,944 1,708,504
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Total Revenues 15,042,354 22,608,535
Expenses:
Brokerage Commissions 860,494 2,655,138
Administrative Fees 27,758 85,650
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Total Expenses 888,252 2,740,755
------------ --------------
Net Income/(Loss)
Before Minority Interest 14,154,102 19,867,749
------------ --------------
Minority Interest (2,061,826) (2,841,399)
Net Income/(Loss)
from Joint Venture 12,092,276 17,026,360
Organization Expenses 41,667 149,622
------------ --------------
Net Income(Loss) $ 12,050,609 $ 16,876,728
============ ==============
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To the best of the knowledge and belief of the undersigned the
information contained in this report is accurate and complete.
/s/James M. Bernard
Chief Financial Officer
Merrill Lynch Investment Partners Inc.
Please notify the following of any address changes:
MERRILL LYNCH INVESTMENT PARTNERS INC.
Merrill Lynch World Headquarters
South Tower
World Financial Center
New York, New York 10080-6106
