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RULE NO. 424(b)(3)
REGISTRATION NO. 33-80509
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 0.47% in December, closing the month with a NAV per Unit
of $123.16 on December 31, 1996, as compared to the November 30, 1996 NAV per
Unit of $122.58.
As of January 1, 1997, the Fund's trading was allocated among seven John W.
Henry & Company, Inc. ("JWH") investment programs approximately as follows:
Investment Program % Trading Allocation
- ------------------ --------------------
Original Investment Program 26.0%
Global Financial Portfolio 21.0%
Financial and Metals Portfolio 15.5%
G-7 Currency Portfolio 15.5%
Global Diversified Portfolio 10.0%
Dollar Program 7.0%
Worldwide Bond Program 5.0%
---------
100.0%
Cash allocations among the Programs differ immaterially from the trading
allocations due to performance differences since the most recent trading
re-allocation on December 2, 1996. The allocation of assets among the programs,
as well as selection of the programs to be used, are dynamic features of the
Fund and will change, from time to time, as JWH deems advisable.
Merrill Lynch Investment Partners Inc. has received the following information
from JWH, which was previously disclosed in the September monthly statement: In
September 1996, JWH was named as a codefendant in the 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.
Since that time JWH has provided the following update to the previous
disclosure: In November 1996, JWH was named in a class action complaint filed in
Superior Court of the State of Delaware for Newcastle County that contained the
same allegations as the New York and California complaints.
We would like to take this opportunity to again remind U.S. taxpayers that we
expect to send 1996 K-1 information in mid-February. Our customer service
representatives are available to assist you with questions you may have, and may
be reached at our toll-free number in the U.S.: 1-800-765-0995.
Set forth below is a report from JWH 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)
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Report of the Trading Advisor
John W. Henry & Company, Inc.
Performance in the Fund improved slightly as volatility returned to key markets,
reducing opportunities for profit in the individual programs. As reported to you
last month, early in December we completed a significant reduction in leverage
in a number of investment programs traded in the Fund to reduce Limited
Partners' exposure to increasing levels of volatility. That decision was well
rewarded as we saw significant reversals in key sectors during the closing weeks
of 1996.
Volatility returned to interest rate markets in the final month of the year,
buffeted by newly released U.S. economic data, jittery stock markets, and a news
report questioning the continuing support of U.S. Treasuries by foreign central
banks and other overseas investors. Buying of U.S. government securities by
foreign governments reached as much as 90% of total purchases in the third
quarter of 1996, driven by record low interest rates in Japan and a low-rate
environment in Europe. The failure of the Federal Reserve Board to make an
expected seasonal purchase of U.S. Treasuries in the open market -- which would
have added reserves to the banking system -- did little to support U.S. bond
prices. In Europe, Italian government bonds strengthened as prospects improved
for that nation's entry into the European Monetary Union.
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Participants in world currency markets focused on the negotiations over Europe's
stability pact for membership in the European Monetary Union (EMU). The German
mark was particularly vulnerable to any hints of concessions made by Germany in
the pact's formation. While the British pound and the U.S. dollar continued to
benefit from their status as safe havens against EMU uncertainty, both were
subject to intermittent dips during the month as concern began to emerge about
the impact on exports in both countries. Occasional jawboning by Japanese
officials contributed to volatility in the dollar/yen relationship; on balance,
however, the yen found little support in world markets as investors seemed to
grow more pessimistic over the state of the Japanese economy.
In the commodity markets, gold continued its relentless decline from year-high
levels set in February. Energy prices were supported by colder-than-normal
temperatures in Europe, which offset warmer weather patterns and somewhat
reduced demand in parts of the United States.
SECTOR ALLOCATIONS
as of January 1, 1997
[PIE CHART APPEARS HERE]
Metals 10.55%
Energy 15.08%
Stock Indices 5.56%
Foreign Exchange 29.22%
Global Interest Rates 31.46%
Agriculture 8.13%
INDIVIDUAL INVESTMENT PROGRAMS
Original Investment Program
Performance in the program improved slightly. The U.S. dollar continued to soar
against most major currencies. Positions in all currency markets traded resulted
in gains. Interest rate markets were volatile, buffeted by conflicting data on
the U.S. economy and news reports that overseas investors may be pulling back on
purchases of U.S. Treasuries, depriving the market of what has been a strong
source of support in 1996. Small gains in Australian 3-year bonds, failed to
offset losses in other bond markets traded. Except for small profits in gold,
positions in metals traded resulted in losses. Trading in crude oil produced
gains. In agricultural markets, small gains were recorded in corn positions,
offsetting losses in cotton, coffee and sugar. Gains in the Nikkei failed to
offset losses in Australian All Ordinaries.
Global Financial Portfolio
Performance improved slightly as the program benefited from positions in crude
oil and currencies. Energy market participants shrugged off news of Iraq's long-
awaited return to the business of exporting crude oil, focusing instead on
immediate factors affecting winter demand. In the currency markets, both the
Japanese yen and Swiss franc continued to decline against the U.S. dollar and
other major currencies. Yen-selling for German mark also strengthened the mark.
Positions in yen, mark and franc were profitable. Except for small gains in
French bond and Australian 3-year bond, positions in bond markets traded were
unprofitable. Positions in stock indices resulted in losses.
Financial and Metals Portfolio
Performance declined, as small gains in metals and stock indices failed to
offset losses in global interest rate and currency positions. Prices in the bond
markets were jarred by volatile stock markets worldwide. Conflicting reports on
the U.S. economy also added to the month's volatility. Except for small gains in
Italian bond, all other interest rate positions were unprofitable. Volatility in
world stock, and bond markets affected currencies as well, with the U.S. dollar
and the British pound experiencing some dips in otherwise upward trends. The
Australian dollar plunged after that nation's central bank cut a key interest
rate. Gains in Japanese yen and Swiss franc poisitions were offset by losses in
the pound and Australian dollar.
G-7 Currency Portfolio
Participants in the G-7 currency markets kept a watchful
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eye on negotiations for Europe's single-currency stability pact amid concerns
that any concessions made by Germany would weaken that nation's currency.
Currencies were also impacted by volatility in global stock markets and
continued concerns over the strength of the Japanese economic recovery. As
Japanese investors searched the globe for higher yields, the U.S. dollar reached
a 45-month high against the Japanese yen. In general, the major trends of the
year continued with a weakening yen, strengthening dollar, faltering Swiss franc
and soaring British pound. Modest gains were derived from positions in pound,
yen and Swiss franc, offsetting losses in Canadian dollar, French franc and
German mark.
Global Diversified Portfolio
Performance declined slightly reflecting volatile trading conditions in world
financial markets. Except for small gains in Italian bond and Austrailian bank
bills, positions in all other bond markets traded were unprofitable. In the
currency markets, gains in Japanese yen and Swiss franc positions failed to
offset losses in British pound and Australian dollar. Small gains were realized
in metals and stock indices. In the commodity markets, crude oil prices were
closely tied to weather reports, inventory reports and news of Iraq's return to
the business of exporting crude. Positions in crude oil were profitable. In
agricultural markets, small gains in corn, bean oil and bean meal positions
offset losses in sugar.
Dollar Program
Performance Improved as the U.S. dollar stayed its upward course against most
major currencies, overcoming occasional setbacks triggered by volatile stocks
and bond markets at home. The British pound faltered early in the month as
investors worried about the economic impact of that currency's rally, but
returned to its upward course soon thereafter. No break was experienced in the
trends demonstrated by Japanese yen and Swiss franc, which have been declining
against major currencies for much of 1996. Developments surrounding the
formation of the European Union stability pact contributed to the volatility of
the German mark. Positions in yen and franc were profitable, offsetting losses
in pound and mark.
Worldwide Bond Program
Performance declined moderately as world bond markets became more volatile,
reducing opportunities for profit. Bond markets in the U.S. were particularly
uneasy as prices were buffeted by a series of economic reports conveying
conflicting messages on the state of the economy and news accounts suggesting a
reduction in purchases of U.S. Treasuries by foreign investors. The Italian
bond benefited somewhat from Italy's improved status relative to membership in
the European Monetary Union. Gains in French nd Italian bond positions were
offset by losses in all other bond markets traded.
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 A 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.
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ML/JWH Strategic Allocation Fund L.P.
December 31, 1996
Statement of Changes
in Net Asset Value
Net Asset Value (1,416,919 Units) at
November 30, 1996 $173,680,488
Net Income/(Loss) for December 1996 821,845
Less Redemptions of 13,492 Units (1,661,675)
Plus Additions of 148,159 Units 18,248,494
------------
Net Asset Value (1,551,595 Units)at
December 31, 1996 $191,089,152
============
Net Asset Value per Unit at
December 31, 1996 $ 123.16
============
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Statement of Income/(Loss)
December Year-To-Date
-------- ------------
Revenues:
Realized Profit/(Loss) $ 25,859,691 $ 29,800,074
Change in Unrealized Profit/(Loss) (24,388,462) 4,696,372
------------ ------------
Total Trading Results 1,471,229 34,496,446
Interest Income 749,698 3,030,330
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Total Revenues 2,220,927 37,526,776
Expenses:
Brokerage Commissions 1,160,945 4,873,367
Administrative Fees 37,450 157,206
------------ ------------
Total Expenses 1,198,395 5,030,573
------------ ------------
Net Income/(Loss) Before
Minority Interest 1,022,532 32,496,203
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Minority Interest (169,020) (4,707,392)
------------ ------------
Net Income/(Loss) from
Joint Venture 863,512 27,789,811
Organization Expense 41,667 232,956
------------ ------------
Net Income/(Loss) $ 821,845 $ 27,556,855
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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
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
