<PAGE>
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 September 30, 1997
--------------------
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 Investment Partners Inc.
Merrill Lynch World Headquarters - South Tower, 6th Fl.
World Financial Center New York, New York 10080-6106
----------------------------------------------------
(Address of principal executive offices)
(Zip Code)
212-236-5662
----------------------------------------------------
(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
This document contains 10 pages.
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(a Delaware limited partnership)
--------------------------------
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
September 30, December 31,
1997 1996
---------------- ----------------
<S> <C> <C>
ASSETS
- ------
Cash on Deposit at Broker $650 $726
Accrued interest 2,262,433 184,577
U.S. Government obligations 167,831,665 121,535,012
Equity in commodity futures trading accounts:
Cash and options premium 45,055,691 54,132,103
Net unrealized profit on open contracts 9,036,983 4,696,372
---------------- ----------------
TOTAL 224,187,422 180,548,790
================ ================
LIABILITIES AND PARTNERS' CAPITAL
- ---------------------------------
LIABILITIES:
Redemptions payable $3,847,752 $1,661,675
Special profit share allocation payable 1,006,037 4,683,010
Brokerage commissions payable 1,441,379 1,160,945
Organization & initial offering costs payable 164,215 808,712
Administrative fees payable 46,496 37,450
---------------- ----------------
Total liabilities 6,505,879 8,351,792
---------------- ----------------
Minority Interest 126,652 123,383
PARTNERS' CAPITAL:
General Partners (18177 and 16643 Units) 2,289,893 2,038,044
Limited Partners (1705834 and 1534953 Units) 215,264,998 188,284,065
Subscriptions receivable (0 and 148169 Units) - (18,248,494)
---------------- ----------------
Total partners' capital 217,554,891 172,073,615
---------------- ----------------
TOTAL $224,187,422 $180,548,790
================ ================
NET ASSET VALUE PER UNIT (NOTE 2)
</TABLE>
See notes to consolidated financial statements.
2
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(a Delaware limited partnership)
--------------------------------
CONSOLIDATED STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
For the period For the period
from July 15, from July 15,
1996 1996
For the three (Commencement For the nine (Commencement
months ended of operations) to months ended of operations) to
September 30, September 30, September 30, September 30,
1997 1996 1997 1996
---------------- ------------------- ----------------- --------------------
<S> <C> <C> <C> <C>
REVENUES:
Trading (loss) profit:
Realized $6,904,041 $(5,295,995) $6,058,874 $(5,295,995)
Unrealized 971,971 11,692,616 4,340,611 11,692,616
---------------- ------------------- ----------------- --------------------
Total trading
results 7,876,012 6,396,621 10,399,485 6,396,621
---------------- ------------------- ----------------- --------------------
Interest income 3,119,729 1,169,560 9,025,062 1,169,560
---------------- ------------------- ----------------- --------------------
Total revenues 10,995,741 7,566,181 19,424,547 7,566,181
---------------- ------------------- ----------------- --------------------
EXPENSES:
Administrative fees 142,684 57,892 419,333 57,892
Brokerage commissions 4,423,211 1,794,642 12,999,316 1,794,642
---------------- ------------------- ----------------- --------------------
Total expenses 4,565,895 1,852,534 13,418,649 1,852,534
---------------- ------------------- ----------------- --------------------
NET INCOME BEFORE
MINORITY INTEREST 6,429,846 5,713,647 6,005,898 5,713,647
Secial Profit Share
Allocation (20,691) - (1,006,037) -
Minority Interest (2,967) (779,573) (3,269) (779,573)
---------------- ------------------- ----------------- --------------------
NET INCOME $6,406,188 $4,934,074 $4,996,592 $4,934,074
================ =================== ================= ====================
NET INCOME PER UNIT:
Weighted average
number of units
outstanding 1,764,077 1,045,887 2,930,179 1,045,887
================ =================== ================= ====================
Weighted average net
income (loss)
per Limited Partner
and General Partner
Unit $3.63 $4.72 $1.71 $4.72
================ =================== ================= ====================
</TABLE>
See notes to consolidated financial statements.
3
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(a Delaware limited partnership)
--------------------------------
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
-------------------------------------------------------
For the nine months ended September 30, 1997 and 1996
-----------------------------------------------------
<TABLE>
<CAPTION>
Units Limited General Subscriptions Total
Partners Partner Receivable
--------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Initial offering 14,832 $100,516,800 $1,483,200 $ - $102,000,000
Organization and
initial offering costs - (985,459) (14,541) - (1,000,000)
Subscriptions 1,129,527 12,466,681 24,723 - 12,491,404
Net income - 4,865,307 68,767 - 4,934,074
Redemptions (12,316) (1,259,773) 33,820 - (1,225,953)
Subscriptions receivable - - - (3,718,278) (3,718,278)
--------------- ---------------- ---------------- ---------------- ----------------
PARTNERS' CAPITAL,
September 30, 1996 1,132,043 $115,603,556 $1,595,969 $(3,718,278) $113,481,247
=============== ================ ================ ================ ================
PARTNERS' CAPITAL,
December 31, 1996 1,403,427 $188,284,065 $2,038,044 $(18,248,494) $172,073,615
Additions 409,237 32,927,079 194,570 18,248,494 51,370,143
Net income - 4,943,078 53,514 - 4,996,592
Organization and initial - 366,712 3,765 - 370,477
offering costs recovery
Redemptions (88,653) (11,255,936) - - (11,255,936)
--------------- ---------------- ---------------- ---------------- ----------------
PARTNERS' CAPITAL,
September 30, 1997 1,724,011 $215,264,998 $2,289,893 $ - $217,554,891
=============== ================ ================ ================ ================
</TABLE>
See notes to consolidated financial statements.
4
<PAGE>
ML JWH STRATEGIC ALLOCATION FUND L.P.
-------------------------------------
(a Delaware limited partnership)
--------------------------------
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
------------------------------------------
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These consolidated financial statements have been prepared without audit. In the
opinion of management, the consolidated financial statements contain all
adjustments (consisting of only normal recurring adjustments) necessary to
present fairly the financial position of Partnership as of September 30, 1997
and the results of its operations for the nine months ended September 30, 1997
and 1996. However, the operating results for the interim periods may not be
indicative of the results expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles 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, 1996 (the "Annual Report").
Certain amounts in the prior period have been reclassified to conform to the
current period presentation.
2. NET ASSET VALUE PER UNIT
For financial reporting purposes with respect to the Units, the Partnership
deducts organizational and offering costs that are payable to the General
Partner in determining the net asset value per unit. For all other purposes
(including computing net asset value for redemptions) the Partnership deducts
only the organizational and offering reimbursement actually paid. The net asset
value per unit was $126.19 and $122.61 for financial reporting purposes and
$126.28 and $123.16 for all other purposes at September 30, 1997 and December
31, 1996, respectively.
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership's revenues by reporting category for the respective periods were
as follows:
<TABLE>
<CAPTION>
For the period For the period
from July 15, 1996 from July 15, 1996
For the three (Commencement For the nine (Commencement
months ended of operations) to months ended of operations) to
September 30, September 30, September 30, September 30,
1997 1996 1997 1996
----------------- ---------------- ---------------- ------------------
<S> <C> <C> <C> <C>
Interest rates & Stock indices $17,654,767 $6,872,080 $16,730,861 $6,872,080
Commodities (5,089,416) (2,249,095) (1,265,873) (2,249,095)
Currencies (1,079,442) (2,369,923) 4,140,905 (2,369,923)
Energy (4,462,165) 4,177,670 (12,297,240) 4,177,670
Metals 852,268 (34,111) 3,090,832 (34,111)
----------------- ---------------- ---------------- ------------------
$7,876,012 $6,396,621 $10,399,485 $6,396,621
================= ================ ================ ==================
</TABLE>
5
<PAGE>
The contract/notional values of the Partnership's open derivative instrument
positions as of September 30, 1997 and December 31, 1996 were as follows:
<TABLE>
<CAPTION>
1997 1996
----------------------------------------- -------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
------------------- ------------------- ------------------- --------------------
<S> <C> <C> <C> <C>
Interest rate $1,456,438,100 $19,145,868 $144,969,514 $ -
Stock Indices 15,613,640 28,723,050 - -
Commodities 28,706,596 17,533,280 6,083,206 17,321,100
Currencies 230,028,057 342,911,831 229,540,645 289,870,043
Energy 19,707,130 26,689,910 18,094,440 -
Metals 16,957,644 12,439,254 2,693,494 30,540,601
------------------ ----------------- ----------------- -----------------
$1,767,451,167 $447,443,193 $401,381,299 $337,731,744
================== ================= ================= =================
</TABLE>
The contract/notional value of exchange traded open contracts as of September
30, 1997 and December 31, 1996 were as follows (the Partnership does not trade
non-exchange-traded derivative instruments):
<TABLE>
<CAPTION>
1997 1996
----------------------------------------- ---------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
-------------------- ------------------- ----------------------- -------------------
<S> <C> <C> <C> <C>
Exchange
traded $1,368,068,201 $118,929,417 $170,575,723 $46,596,770
Non-Exchange
traded 399,382,966 328,513,776 230,805,576 291,134,974
------------------ ----------------- ----------------- -----------------
$1,767,451,167 $447,443,193 $401,381,299 $337,731,744
================== ================= ================= =================
</TABLE>
The average fair value of the derivative instruments held or issued as of the
end of each calendar month during the nine months ended September 30, 1997 and
the year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
1997 1996
------------------------------------------- ------------------------------------------------
Commitment to Commitment to Commitment to Commitment to
Purchase (Futures, Sell (Futures, Purchase (Futures, Sell (Futures,
Options & Forwards) Options & Forwards) Options & Forwards) Options & Forwards)
--------------------- ------------------- ------------------------ ---------------------
<S> <C> <C> <C> <C>
Interest rate $942,267,387 $259,469,304 $719,308,090 $83,716,105
Stock Indices 22,260,131 17,025,298 13,413,720 13,483,911
Commodities 25,821,243 18,968,500 8,192,113 24,113,672
Currencies 382,102,595 498,703,460 300,537,708 312,830,219
Energy 19,872,454 19,496,255 22,546,285 --
Metals 7,990,382 33,598,913 3,818,246 39,804,586
------------------ ----------------- ----------------- -----------------
$1,400,314,192 $847,261,730 $1,067,816,162 $473,948,493
================== ================= ================= =================
</TABLE>
At September 30, 1997 and December 31, 1996, $35,388,352 and $26,689,459 of the
Partnership's assets were held in segregated accounts at MLF in accordance with
Commodity Futures Trading Commission regulations.
6
<PAGE>
The gross unrealized gain and the net unrealized gain (loss) on open contracts
as of September 30, 1997 and December 31, 1996 were as follows:
<TABLE>
<CAPTION>
1997 1996
------------------------------------- -------------------------------------
Gross Net Gross Net
Unrealized Unrealized Unrealized Unrealized
Profit Profit (Loss) Profit Profit (Loss)
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Exchange
traded $13,091,231 $9,297,814 $3,013,592 $1,424,907
Non-Exchange
traded 1,052,577 (260,831) 6,937,127 3,271,465
------------------ ------------------ ------------------ --------------
$14,143,808 $9,036,983 $9,950,719 $4,696,372
================== ================== ================== ==============
</TABLE>
4. RELATED PARTY TRANSACTIONS
MLIP is currently reviewing certain aspects of the interest arrangements
between the Partnership and certain affiliates of MLIP. The purpose of the
review is to confirm that the Partnership received interest credits as described
in its Prospectus. The results of this review have not been determined.
Item 2: Management's Discussion and Analysis of Financial
-------------------------------------------------
Condition and Results of Operations
-----------------------------------
Operational Overview: Advisor Selections
- ----------------------------------------
Due to the nature of the Fund's business, its results of operations depend on
the Trading Manager's ability to recognize and capitalize on trends and other
profit opportunities in different sectors of the world commodity markets. The
Trading Manager's trading methods are confidential, so that substantially the
only information that can be furnished regarding the Fund's results of
operations is contained in the performance record of its trading. Unlike
operating businesses, general economic or seasonal conditions do not directly
affect the profit potential of the Fund, and its past performance is not
necessarily indicative of future results. Because of the speculative nature of
its trading, operational or economic trends have little relevance to the Fund's
results. MLIP believes, however, that there are certain market conditions, for
example, markets with strong price trends, in which the Fund has a better
likelihood of being profitable than in others.
Results of Operations - General:
- --------------------------------
The Fund is dependent on the ability of John. W. Henry & Company, Inc. (JWH) to
generate profits, through speculative futures trading, sufficient to produce
substantial capital appreciation after payment of all fees and expenses. Such
success is dependent on (i) JWH's selection of and ongoing allocation and
reallocation of Fund assets (and trading level) among the Programs and (ii) the
results achieved by such Programs.
Markets in which sustained price trends occur with some frequency tend to be
more favorable to managed futures investments than "whipsaw," "choppy" markets,
but (i) this is not always the case, (ii) it is impossible to predict when
trending markets will occur and (iii) different Programs are affected
differently by trends in general as well as by particular types of trends.
The Fund controls credit risk in its trading in the derivatives markets by
trading only through Merrill Lynch entities which MLIP believes to be
creditworthy. The Fund attempts to control the market risk inherent in its
derivatives trading by utilizing a multi-program structure. This structure
purposefully attempts to diversify the Fund's Programs among different strategy
types and market sectors in an effort to reduce risk (although the Fund's
portfolio currently consists technical and trend-following approaches).
Performance Summary
- -------------------
During July 1996 through September 1996, the Fund's average month-end Net Assets
equaled $106,517,960 and the Fund recognized gross trading gains of $6,396,621
or 6.01% of such average month-end Net Assets. Brokerage commissions of
$1,794,642 or 1.68% and Administrative expenses of $57,892 or .05% of average
month-end Net Assets were paid. Interest income of $1,169,560 or 1.10% of
average month-end Net Assets resulted in net income of $4,826,120 (after
deduction of MLIP's "Minority Interest" in the Trading Partnership) or 4.53% of
average month-end Net Assets.
During the first nine months of 1997, the Fund's average month-end Net Assets
equaled $222,531,581 and the Fund recognized gross trading gains of $10,399,485
or 4.67% of such average month-end Net Assets. Brokerage commissions of
$12,999,316 or 5.84% and Administrative expenses of $419,333 or 0.19% of average
month-end Net Assets were paid. Interest income of $9,025,062 or 4.06% of
average month-end Net Assets resulted in net income of $4,996,592 (after
deduction of MLIP's "Minority Interest" and the Special profit share allocation
of $1,009,306 in the Trading Partnership) or 2.25% of average month-end Net
Assets which resulted in a 2.53% increase in the Net Asset Value since December
31, 1996.
7
<PAGE>
During the nine months ended September 30, 1997, the Fund experienced 5
profitable month and 7 unprofitable months.
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER UNIT
- -------------------------------------------------------------------------------------------
Jan Feb Mar Apr. May Jun. Jul. Aug. Sep.
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1996 N/A N/A N/A N/A N/A N/A $98.98 $98.89 $104.32
- -------------------------------------------------------------------------------------------
1997 $126.87 $126.83 $126.92 $126.34 $122.41 $122.74 $131.47 $127.12 $126.28
- -------------------------------------------------------------------------------------------
</TABLE>
Importance of Market Factors
- ----------------------------
In general, MLIP expects that the Fund is most likely to trade successfully in
markets which exhibit strong and sustained price trends. The current Programs
are exclusively technical and trend-following methods. Consequently, one would
expect that in trendless, "choppy" markets the Fund would likely be
unprofitable, while in markets in which major price movements occur, the Fund
would have its best profit potential (although there could be no assurance that
the Fund would, in fact, trade profitably). However, trend-followers not
infrequently will miss major price movements, and market corrections can result
in rapid and material losses (sometimes as much as 5% in a single day). Although
MLIP monitors market conditions and Trading Manager performance on an ongoing
basis in overseeing the Fund's trading, MLIP does not attempt to "market
forecast" or to "match" trading styles with predicted market conditions.
Because the Trading Manager's strategies are proprietary and confidential and
market movements unpredictable, selecting Programs to implement speculative
trading strategies involves considerable uncertainty. Furthermore, the
concentration of the Trading Manager's current portfolio, in terms of the common
emphasis of their strategies on technical and trend-following methods, increases
the risk that unexpectedly bad performance, turbulent market conditions or a
combination of the two will result in significant losses.
JWH anticipates that, over time, a number of changes will be made to both the
selections of and allocations among the Programs used for the Fund. However, as
the Fund is the first account managed using the JWH Strategic Allocation
Program, JWH cannot predict how frequently the Program combinations or
allocations used for the Fund may be adjusted, and, in any case, the frequency
of such adjustments in any given period may differ significantly from that
during other periods.
Interest Income
- ---------------
The Fund's interest income varies from month to month due to a portion of such
income representing the yield enhancement return achieved by Merrill Lynch Asset
Management Inc. (MLAM) rather than periodic interest accruals. Although there
can be no assurance that the Fund will not incur losses in its yield enhancement
activities in the future, to date MLAM has achieved a yield for the Fund (on the
approximately 80% to 90% of the Fund's assets managed by MLAM) of approximately
1.09% (annualized) over the prevailing 91-day Treasury bill rate.
Liquidity
- ---------
The Fund's assets, including the assets managed by MLAM, are available to margin
the Fund's futures positions and earn interest income and to be withdrawn, as
necessary, to pay redemptions and expenses. Other than potential limitations on
liquidity, due, for example, to daily price fluctuation limits, which are
inherent in the Fund's futures and forward trading, the Fund's assets are highly
liquid and are expected to remain so. To date, the Fund has experienced no
meaningful periods of illiquidity in any of the numerous markets traded by the
Advisors.
Although Units may be redeemed at any month-end, no one who cannot afford to
commit funds to a comparatively illiquid investment should subscribe to the Fund
(redemption penalties apply through the end of the first twelve months after the
beginning of the calendar quarter as of which a Unit is issued). MLIP believes
that investors who are not prepared to regard the Fund essentially as a medium-
to long-term investment should not purchase Units.
Capital Resources
- -----------------
The Fund raises capital only through the sale of Units. The net proceeds of the
ongoing offering of the Units, plus the related general partnership
contributions by MLIP, are placed under the management of JWH.
The Fund raises additional capital only through the sale of Units. The Fund is
prohibited from borrowing under the terms of the Limited Partnership Agreement.
Due to the nature of the Fund's business, substantially all of its assets are
and will be represented by cash, Government Securities and short-term foreign
sovereign debt obligations, while it maintains its primary market exposure
through futures and forward contract positions.
Inflation is not a significant factor in the Fund's profitability, although
inflationary cycles can give rise to the type of major price movements which can
have a materially favorable or adverse impact on the Fund's performance.
8
<PAGE>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership or the
General Partner is a party.
In September 1996, JWH was named as a co-defendant in a class action
lawsuit brought in the California Superior Court, Los Angeles County and in the
New York Supreme Court, New York County. In November 1996, JWH was named as a
co-defendant 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. The actions, which seek unspecified damages,
purport to be brought on behalf of investors in certain Dean Witter, Discover &
Co. ("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.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) The Fund registered $200,000,000 of limited
partnership interest . The Fund has sold
1,705,834 Units of limited partnership
interest, with an aggregate price of
$215,264,998. During the quarter ended
September 30, 1997, no units of limited
partnership interest have been sold.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
Ms. Eilene Nicoll is the vice president of trading administration and a
member of the Investment Policy Committee of John W. Henry & Company, Inc.
("JWH"). Prior to joining JWH in July 1997, Ms. Nicoll was a vice president
beginning in January 1997 at Commercial Materials, L.L.C., a newly organized
corporation which has not yet begun operations. She was a vice president and
director at West Course Capital, Inc., a CTA, from January 1994 until it
dissolved in December 1996. At West Course Capital, Inc., Ms. Nicoll was
responsible for operations and administration. Prior to joining West Course
Capital, Inc., she was a vice president at REFCO, Inc. from May 1991 to December
1993. While at REFCO, Inc., she was also a principal of Nikkhah & Nicoll Asset
Management, Inc., a CPO. Ms. Nicoll was at Shearson Lehman Brothers from January
1987 to December 1990 as vice president-futures, and subsequently, from January
1991 to May 1991, at Moore Capital Management, Inc. where she was involved in
all aspects of the commodity trading advisor business, including administration,
marketing, and allocation of proprietary capital. From 1984 through 1986, she
was an independent discretionary trader. Ms. Nicoll was employed at Commodities
Corporation (USA) N.V. from 1978 to 1984 where she was an assistant vice
president. Ms. Nicoll received her B.A. in psychology from Brooklyn College.
Ms. Glenda G. Twist and Mr. John A. Ford are no longer principals of JWH
effective August 1, 1997 and August 31, 1997, respectively.
Item 6. Exhibits and Reports on Form 8-K.
(a) Exhibits
There are no exhibits required to be filed as part of this
document.
(b) Reports on Form 8-K
There were no reports on Form 8-K filed during the first nine months of
fiscal 1997.
9
<PAGE>
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: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: Novemver 14, 1997 By /s/JOHN R. FRAWLEY, JR.
John R. Frawley, Jr.
President, Chief Executive Officer
and Director
Date: November 14, 1997 By /s/MICHAEL A. KARMELIN
Michael A. Karmelin
Chief Financial Officer, Vice President
and Treasurer
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<S> <C> <C>
<PERIOD-TYPE> 9-MOS OTHER
<FISCAL-YEAR-END> DEC-31-1996 DEC-31-1995
<PERIOD-START> JAN-01-1997 JUL-15-1996
<PERIOD-END> SEP-30-1997 SEP-30-1996
<CASH> 650 0
<RECEIVABLES> 56355107 27199222
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 167831665 89045084
<PP&E> 0 0
<TOTAL-ASSETS> 224187422 116244306
<SHORT-TERM> 0 0
<PAYABLES> 6632531 2763059
<REPOS-SOLD> 0 0
<SECURITIES-LOANED> 0 0
<INSTRUMENTS-SOLD> 0 0
<LONG-TERM> 0 0
0 0
0 0
<COMMON> 0 0
<OTHER-SE> 217554891 113481247
<TOTAL-LIABILITY-AND-EQUITY> 224187422 116244306
<TRADING-REVENUE> 10399485 6396621
<INTEREST-DIVIDENDS> 9025062 1169560
<COMMISSIONS> 14427955 2632107
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> 4996592 4934074
<INCOME-PRE-EXTRAORDINARY> 4996592 4934074
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> 4996592 4934074
<EPS-PRIMARY> 1.71 4.72
<EPS-DILUTED> 1.71 4.72
</TABLE>
