<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, 1996
------------------
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 0-18215
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 06-1287586
- ------------------------------- ---------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o Merrill Lynch Investment Partners Inc.
(formerly ML Futures 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)
212-236-4161
--------------------------------------------------
(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 13 pages.
There are no exhibits and no exhibit index filed with this document.
<PAGE>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(a Delaware limited partnership)
------------------------------
STATEMENTS OF FINANCIAL CONDITION
---------------------------------
<TABLE>
<CAPTION>
September 30, December 31,
1996 1995
---- ----
<S> <C> <C>
ASSETS
- ------
Accrued interest $ 169,496 $ 236,588
Equity in commodity futures trading accounts:
Cash and option premiums 49,062,964 57,465,987
Net unrealized gain on open contracts 3,620,260 1,760,218
---------------- ----------------
TOTAL $52,852,720 $59,462,793
================ ================
LIABILITIES AND PARTNERS' CAPITAL
- ---------------------------------
LIABILITIES:
Redemptions payable $ 740,311 $ 946,331
Brokerage commissions payable (Note 2) 517,516 594,628
Profit shares payable - -
Administrative expense payable (Note 2) 11,011 -
---------------- ----------------
Total liabilities 1,268,838 1,540,959
---------------- ----------------
PARTNERS' CAPITAL:
General Partner:
780 and 780 Series A units outstanding $ 162,543 $164,028
1,976 and 1,976 Series B units outstanding 334,907 337,920
1,439 and 1,439 Series C units outstanding 190,263 192,564
Limited Partners:
57,720 and 62,793 Series A units outstanding 12,028,266 13,205,024
149,231 and 166,361 Series B units outstanding 25,293,836 28,450,897
102,659 and 116,358 Series C units outstanding 13,574,067 15,571,401
---------------- ----------------
Total partners' capital 51,583,882 57,921,834
---------------- ----------------
TOTAL $52,852,720 $59,462,793
================ ================
NET ASSET VALUE PER UNIT:
Series A (Based on 58,500 and 63,573 units outstanding) $208.39 $210.29
======= =======
Series B (Based on 151,207 and 168,337 units outstanding) $169.49 $171.02
======= =======
Series C (Based on 104,098 and 117,797 units outstanding) $132.22 $133.82
======= =======
</TABLE>
See notes to financial statements.
2
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(a Delaware limited partnership)
------------------------------
STATEMENTS OF OPERATIONS
------------------------
<TABLE>
<CAPTION>
For the three For the three For the nine For the nine
months ended months ended months ended months ended
September 30, September 30, September 30, September 30,
1996 1995 1996 1995
-------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
REVENUES:
Trading (loss) profits:
Realized $(393,434) $1,469,120 $ 986,680 $25,311,425
Change in unrealized 1,668,447 (1,697,994) 1,860,042 (3,882,903)
----------------- ----------------- ---------------- -----------------
Total trading results 1,275,013 (228,874) 2,846,722 21,428,522
----------------- ----------------- ---------------- -----------------
Interest income 536,654 775,303 1,703,650 2,192,119
----------------- ----------------- ---------------- -----------------
Total revenues 1,811,667 546,429 4,550,372 23,620,641
----------------- ----------------- ---------------- -----------------
EXPENSES:
Profit shares - 312 9,078 729,139
Brokerage commissions (Note 2) 1,544,898 1,846,477 4,917,818 5,619,789
Administrative expense (Note 2) 32,872 - 104,635 -
----------------- ----------------- ---------------- -----------------
Total expenses 1,577,770 1,846,789 5,031,531 6,348,928
----------------- ----------------- ---------------- -----------------
NET INCOME (LOSS) $ 233,897 $(1,300,360) $ (481,159) $17,271,713
================= ================= ================ =================
NET INCOME (LOSS) PER UNIT:
Weighted average number of units
outstanding 321,184 370,903 333,307 397,623
======== ======== ======== =======
Weighted average net income
(loss) per Limited Partner
unit and General Partner
unit $0.73 $(3.51) $(1.44) $43.44
====== ======= ======= ======
</TABLE>
See notes to financial statements.
3
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(a Delaware Limited Partnership)
------------------------------
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the nine months ended September 30, 1996 and 1995
-----------------------------------------------------
<TABLE>
<CAPTION>
Limited Partners
Series Series Series ------------------------------------------------
A B C Series Series Series
Units Units Units A B C
----- ----- ----- - - -
<S> <C> <C> <C> <C> <C> <C>
PARTNERS' CAPITAL,
DECEMBER 31, 1994 74,610 213,110 153,995 $11,495,848 $26,740,233 $15,045,473
Redemptions (10,012) (39,230) (30,417) (1,951,460) (6,276,410) (3,828,082)
Net income - - - 3,702,632 8,473,031 4,861,192
--------- ----------- ----------- -------------- -------------- --------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1995 64,598 173,880 123,578 $13,247,020 $28,936,854 $16,078,583
========= =========== =========== ============== ============== ==============
PARTNERS' CAPITAL,
DECEMBER 31, 1995 63,573 168,337 117,797 $13,205,024 $28,450,897 $15,571,401
Redemptions (5,073) (17,130) (13,699) (1,113,315) (2,915,985) (1,827,493)
Net loss - - - (63,443) (241,076) (169,841)
--------- ----------- ----------- -------------- -------------- --------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1996 58,500 151,207 104,098 $ 12,028,266 $ 25,293,836 $ 13,574,067
========= =========== =========== ============== ============== ==============
<CAPTION>
General Partner
---------------------------------------
Series Series Series
A B C Total
- - - -----
<S> <C> <C> <C> <C>
PARTNERS' CAPITAL,
DECEMBER 31, 1994 $135,628 $359,351 $210,911 $53,987,444
Redemptions - - - (12,055,952)
Net income 45,215 118,707 70,936 17,271,713
----------- ---------- ---------- --------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1995 $180,843 $478,058 $281,847 $59,203,205
=========== ========== ========== ==============
PARTNERS' CAPITAL,
DECEMBER 31, 1995 $164,028 $337,920 $192,564 $57,921,834
Redemptions - - - (5,856,793)
Net loss (1,485) (3,013) (2,301) (481,159)
----------- ---------- ---------- --------------
PARTNERS' CAPITAL,
SEPTEMBER 30, 1996 $162,543 $334,907 $190,263 $51,583,882
=========== ========== ========== ==============
</TABLE>
See notes to financial statements.
4
<PAGE>
JOHN W. HENRY & CO./MILLBURN L.P.
(A Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting
of only normal recurring adjustments) necessary to present fairly the
financial position of John W. Henry & Co./Millburn L.P. (the "Partnership"
or the "Fund") as of September 30, 1996 and the results of its operations
for the nine months ended September 30, 1996 and 1995. 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 general 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, 1995 (the "Annual Report").
2. RELATED PARTY TRANSACTIONS
The Partnership pays brokerage commissions to MLF at a flat monthly rate of
1% (a 12% annual rate) of the Partnership's month-end assets. Effective
January 1, 1996, the brokerage commission the Partnership pays to the
Commodity Broker was reduced to .9792% (a 11.75% annual rate), and the
Partnership began to pay an administrative fee to the General Partner of
.020833% (a .25% annual rate). Month-end assets are not reduced for
purposes of calculating brokerage commissions by any accrued but unpaid
brokerage commissions, profit shares or other fees or charges. MLIP
estimates that the round-turn equivalent commission rate charged to the
Partnership during the nine months ended September 30, 1996 and 1995, was
approximately $165 and $56, respectively (not including, in calculating
round-turn equivalents, forward contracts on a futures-equivalent basis).
MLF pays the Advisors annual Consulting Fees equal to 4% of the average
month-end net assets managed by each of them.
5
<PAGE>
3. INCOME/(LOSS) PER SERIES
The profit and loss of the Series A, Series B and Series C Units for the
three months ended September 30, 1996 and 1995 is as follows:
<TABLE>
<CAPTION>
1996 1995
---------------------------------------- ----------------------------------------
Series A Series B Series C Series A Series B Series C
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
REVENUES:
Trading (loss) profit:
Realized $(70,691) $(192,476) $(130,267) $311,943 $699,762 $457,415
Change in unrealized 380,443 834,090 453,914 (387,771) (835,670) (474,553)
------------- -------------- -------------- -------------- -------------- --------------
Total trading results 309,752 641,614 323,647 (75,828) (135,908) (17,138)
Interest income 124,044 267,807 144,803 173,279 388,357 213,667
------------- -------------- -------------- -------------- -------------- --------------
Total revenues 433,796 909,421 468,450 97,451 252,449 196,529
------------- -------------- -------------- -------------- -------------- --------------
EXPENSES:
Profit shares - - - 25 160 127
Brokerage commissions 359,655 767,928 417,315 416,385 921,722 508,370
Administrative expense 7,653 16,339 8,880 - - -
------------- -------------- -------------- -------------- -------------- --------------
Total expenses 367,308 784,267 426,195 416,410 921,882 508,497
------------- -------------- -------------- -------------- -------------- --------------
NET INCOME (LOSS) $ 66,488 $ 125,154 $ 42,255 $(318,959) $(669,433) $(311,968)
============= ============== ============== ============== ============== ==============
NET INCOME (LOSS)
PER UNIT OF
PARTNERSHIP INTEREST:
Weighted average number
of units outstanding 58,918 154,634 107,632 65,738 178,899 126,266
======= ======== ======== ======= ======== =======
Weighted average net
income (loss) per Limited
Partner unit and General
Partner unit $1.13 $.81 $.39 $(4.85) $(3.74) $(2.47)
====== ===== ===== ======= ======= =======
The profit and loss of the Series A, Series B and Series C Units for the
nine months ended September 30, 1996 and 1995 is as follows:
<CAPTION>
1996 1995
---------------------------------------- ----------------------------------------
Series A Series B Series C Series A Series B Series C
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
REVENUES:
Trading profit (loss):
Realized $274,534 $ 480,980 $231,166 $5,561,210 $12,599,880 $7,150,335
Change in unrealized 431,039 929,339 499,664 (882,967) (1,934,372) (1,065,564)
------------- ------------- -------------- ------------- -------------- --------------
Total trading results 705,573 1,410,319 730,830 4,678,243 10,665,508 6,084,771
------------- ------------- -------------- ------------- -------------- --------------
Interest income 386,645 850,816 466,189 485,255 1,097,445 609,419
------------- ------------- -------------- ------------- -------------- --------------
Total revenues 1,092,218 2,261,135 1,197,019 5,163,498 11,762,953 6,694,190
------------- ------------- -------------- ------------- -------------- --------------
</TABLE>
6
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
EXPENSES:
Profit shares 5,557 1,065 2,456 168,968 362,058 198,113
Brokerage commissions 1,127,598 2,451,989 1,338,231 1,246,683 2,809,157 1,563,949
Administrative expense 23,992 52,170 28,473 - - -
------------- ------------- -------------- ------------- -------------- --------------
Total expenses 1,157,147 2,505,224 1,369,160 1,415,651 3,171,215 1,762,062
------------- ------------- -------------- ------------- -------------- --------------
NET (LOSS) INCOME $ (64,929) $ (244,089) $ (172,141) $3,747,847 $8,591,738 $4,932,128
============= ============= ============== ============= ============== ==============
NET (LOSS) INCOME
PER UNIT OF
PARTNERSHIP INTEREST:
Weighted average number
of units outstanding 60,240 160,784 112,283 69,056 191,655 136,912
======= ======== ======== ======= ======== ========
Weighted average net
(loss) income per Limited
Partner unit and General
Partner unit $(1.08) $(1.52) $(1.53) $54.27 $44.83 $36.02
======= ======= ======= ======= ======= =======
</TABLE>
4. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership trades futures, options and forward contracts in interest
rates, stock indices, commodities, currencies, metals and energy. The
Partnership's revenues by reporting category for the quarter ended
September 30, 1996 were as follows:
1996
----
Interest rate and Stock indices $1,190,889
Currencies 1,521,270
Metals 134,563
------------------
$2,846,722
==================
Market Risk
-----------
Derivative instruments involve varying degrees of off-balance sheet market
risk, and 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 unrealized gain or loss on such derivative
instruments as reflected in the 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.
The General Partner has procedures in place intended to control market
risk, although there can be no assurance that they will, in fact, succeed
in doing so. These procedures focus primarily on monitoring the trading of
the two Advisors of the Partnership, calculating the Net Asset Value of the
Advisors' respective Partnership accounts as of the close of business on
each day and reviewing outstanding positions for over-concentration. While
the General Partner will not itself intervene in the markets to hedge or
diversify the Partnership's market exposure, the General Partner may urge
the Advisors to reallocate positions, or itself reallocate Partnership
assets among Advisors (although only as of the end of a month) in an
attempt to avoid over-concentrations. However, such interventions are
unusual. Except in cases in which it appears that an Advisor has begun to
deviate from past practice or trading policies or to be trading
erratically, the General Partner's basic risk control procedures consist
simply of the ongoing process of Advisor monitoring, with the market risk
controls being applied by the Advisors themselves.
7
<PAGE>
Fair Value
- ----------
The derivative instruments used in the Partnership's trading activities are
marked to market daily with the resulting unrealized gains or losses recorded in
the Statements of Financial Condition and the related profit or loss reflected
in trading revenues in the Statements of Operations. The contract/notional
values of the Partnership's open derivative instrument positions as of September
30, 1996 and December 31, 1995 were as follows:
<TABLE>
<CAPTION>
1996 1995
--------------------------------------------------- ------------------------------------------
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
and Stock
indices $283,234,975 $15,807,463 $316,321,139 $ 81,485,562
Currencies 124,758,279 171,013,274 115,918,767 196,448,531
Metals 6,690,003 54,211,942 4,396,075 19,975,248
----------------- ----------------- ------------------ -----------------
$414,683,257 $241,032,679 $436,635,981 $297,909,341
================= ================= ================== =================
</TABLE>
Substantially all of the Partnership's derivative instruments outstanding as of
September 30, 1996 expire within one year.
The contract/notional value of the Trading Partnership's exchange-traded and
non-exchange-traded derivative instrument positions as of September 30, 1996 and
December 31, 1995 was as follows:
<TABLE>
<CAPTION>
1996 1995
--------------------------------------------------- ----------------------------------------------
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 $289,251,875 $60,553,913 $317,647,209 $94,328,735
Non-Exchange
traded 125,431,382 180,478,766 118,988,772 203,580,606
-------------------- -------------------- --------------------- --------------------
$414,683,257 $241,032,679 $436,635,981 $297,909,341
==================== ==================== ===================== ====================
</TABLE>
The average fair value of the Partnership's derivative instrument positions
which were open as of the end of each calendar month during the nine months
ended September 30, 1996 and the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
1996 1995
------------------------------------------ --------------------------------------------
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
and Stock
indices $262,718,459 $190,736,113 $295,297,616 $44,755,764
Currencies 303,052,896 343,377,281 252,057,126 240,468,554
Metals 18,608,872 32,082,586 10,695,784 24,230,482
------------------ ----------------- -------------------- -------------------
$584,380,227 $566,195,980 $558,050,526 $309,454,800
================== ================= ==================== ===================
</TABLE>
A portion of the amounts indicated as off-balance sheet risk reflects offsetting
commitments to purchase and to sell the same derivative instrument on the same
date in the future. These commitments are economically offsetting but are not,
as a technical matter, offset in the forward market until the settlement date.
Credit Risk
- -----------
8
<PAGE>
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 fair value amounts in the above tables represent the extent of the
Partnership's market exposure in the particular class of derivative
instrument listed, but not the credit risk associated with counterparty
nonperformance. The credit risk associated with these instruments from
counterparty nonperformance is the net unrealized gain, if any, included in
the Statements of Financial Condition. The Partnership also has credit risk
because the sole counterparty or broker with respect to most of the
Partnership's assets is MLF.
As of September 30,1996 and December 31, 1995, $16,910,709 and $19,033,635
of the Partnership's assets, respectively, were held in segregated accounts
at MLF in accordance with Commodity Futures Trading Commission regulations.
The gross unrealized gain and the net unrealized gain on the Partnership's
open derivative instrument positions as of September 30, 1996 and December
31, 1995 were as follows:
<TABLE>
<CAPTION>
1996 1995
---- ----
Gross Net Gross Net
Unrealized Unrealized Unrealized Unrealized
Gain Gain (Loss) Gain Gain (Loss)
------- ----------- ------- -----------
<S> <C> <C> <C> <C>
Exchange
traded $3,312,101 $2,750,309 $3,112,617 $2,803,973
Non-Exchange
traded 2,900,503 869,951 1,175,189 (1,043,755)
-------------------- -------------------- --------------------- --------------------
$6,212,604 $3,620,260 $4,287,806 $1,760,218
==================== ==================== ===================== ====================
</TABLE>
The Partnership controls credit risk by dealing almost exclusively with Merrill
Lynch entities as brokers and counterparties.
The Partnership through its normal course of business enters into various
contracts with MLF acting as its commodity broker. Pursuant to the brokerage
arrangement with MLF, such trading which results in receivables from and
payables to MLF will be offset and reported as a net receivable or payable.
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 MLIP's ability to determine the appropriate percentage of each series'
assets to allocate to them for trading, as well as the Advisors' ability to
recognize and capitalize on trends and other profit opportunities in different
sectors of the world commodity markets. MLIP's Advisor selection procedure and
leveraging analysis, as well as the Advisors' 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
- -------------------------------
MLIP believes that multi-Advisor futures funds should be regarded
as medium- to long-term investments but, unlike an operating business, it is
difficult to identify "trends" in the Fund's operations and virtually impossible
to make any predictions regarding future results based on results to date.
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 Advisors are
affected differently by trends in general as well as by particular types of
trends.
9
<PAGE>
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-advisor, multi-strategy structure. This
structure purposefully attempts to diversify the Fund's Advisor group among
different strategy types and market sectors in an effort to reduce risk
(although the Fund's portfolio currently emphasizes technical and
trend-following approaches).
Performance Summary
- -------------------
SERIES A Units:
During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $13,352,757, and the Fund recognized gross trading gains of
$4,678,243 or 35.04% of such average month-end Net Assets. Brokerage commissions
of $1,246,683 or 9.34% and Profit Shares of $168,968 or 1.27% of average month-
end Net Assets were paid. Interest income of $485,255 or 3.63% of average month-
end Net Assets resulted in a net gain of $3,747,847 or 28.07% of average month-
end Net Assets, which resulted in a 33.3% increase in the Net Asset Value per
Unit since December 31, 1994.
During the first nine months of 1996, the Fund's average month-end
Net Assets equalled $12,592,749, and the Fund recognized gross trading gains of
$705,573 or 5.60% of such average month-end Net Assets. Brokerage commissions of
$1,127,598 or 8.95%, Administrative expense of $23,992 or 0.19% and Profit
Shares of $5,557 or .04% of average month-end Net Assets were paid. Interest
income of $386,645 or 3.07% of average month-end Net Assets resulted in a net
loss of $64,929 or .52% of average month-end Net Assets which resulted in a .90%
decrease in the Net Asset Value per Unit since December 31, 1995.
During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER SERIES A UNIT
---------------------------------------------------------------------------------------
Jan. Feb. Mar. April May June July Aug. Sept.
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $146.85 $167.54 $204.80 $214.46 $216.21 $212.68 $207.03 $212.10 $207.87
---------------------------------------------------------------------------------------
1996 $231.67 $209.48 $205.35 $213.42 $204.22 $207.21 $206.87 $201.95 $208.39
---------------------------------------------------------------------------------------
</TABLE>
SERIES B Units:
During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $29,980,684, and the Fund recognized gross trading gains of
$10,665,508 or 35.57% of such average month-end Net Assets. Brokerage
commissions of $2,809,157 or 9.37% and Profit Shares of $362,058 or 1.21% of
average month-end Net Assets were paid. Interest income of $1,097,445 or 3.66%
of average month-end Net Assets resulted in a net gain of $8,591,738 or 28.66%
of average month-end Net Assets, which resulted in a 33.0% increase in the Net
Asset Value per Unit since December 31, 1994.
During the first nine months of 1996, the Fund's average month-end
Net Assets equalled $27,373,367, and the Fund recognized gross trading gains of
$1,410,319 or 5.15% of such average month-end Net Assets. Brokerage commissions
of $2,451,989 or 8.96%, Administrative expense of $52,170 or .19% and Profit
Shares of $1,065 or 0% of average month-end Net Assets were paid. Interest
income of $850,816 or 3.11% of average month-end Net Assets resulted in net loss
of $244,089 or .89% of average month-end Net Assets which resulted in a .89%
decrease in the Net Asset Value per Unit since December 31, 1995.
During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
---------------------------------------------------------------------------------------
Jan. Feb. Mar. April May June July Aug. Sept.
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $119.62 $136.63 $166.77 $174.39 $175.54 $172.89 $168.13 $172.70 $169.17
---------------------------------------------------------------------------------------
1996 $188.93 $171.14 $167.47 $173.94 $166.31 $168.64 $168.41 $164.21 $169.49
---------------------------------------------------------------------------------------
</TABLE>
SERIES C Units:
During the first nine months of 1995, the Fund's average month-end
Net Assets equalled $16,629,985, and the Fund recognized gross trading gains of
$6,084,771 or 36.59% of such average month-end Net Assets. Brokerage commissions
of $1,563,949 or 9.40% and Profit Shares of $198,113 or 1.19% of average month-
end Net Assets were paid. Interest income of $609,419 or 3.66% of average month-
end Net Assets resulted in a net gain of $4,932,128 or 29.66% of average month-
end Net Assets, which resulted in a 33.6% increase in the Net Asset Value per
Unit since December 31, 1994.
During the first nine months of 1996, the Fund's average month-end
Net Assets equalled
10
<PAGE>
$15,398,289, and the Fund recognized gross trading gains of $730,830 or 4.75% of
such average month-end Net Assets. Brokerage commissions of $1,338,231 or 8.69%,
Administrative expense of $28,473 or .19% and Profit Shares of $2,456 or .02% of
average month-end Net Assets were paid. Interest income of $466,189 or 3.03% of
average month-end Net Assets resulted in net loss of $172,141 or 1.12% of
average month-end Net Assets which resulted in a 1.20% decrease in the Net Asset
Value since December 31, 1995.
During the first nine months of 1996 and 1995, the Fund experienced
9 profitable months and 9 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------
Jan. Feb. Mar. April May June July Aug. Sept.
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 $93.13 $106.27 $129.98 $135.87 $136.83 $134.85 $131.16 $134.97 $132.39
---------------------------------------------------------------------------------------
1996 $147.90 $133.80 $130.88 $135.93 $129.91 $131.79 $131.69 $128.12 $132.22
---------------------------------------------------------------------------------------
</TABLE>
Importance of Market Factors
- ----------------------------
Comparisons between the Fund's performance in a given period in one
fiscal year to the same period in a prior year are unlikely to be meaningful,
given the uncertainty of price movements in the markets traded by the Fund. In
general, MLIP expects that the Fund is most likely to trade successfully in
markets which exhibit strong and sustained price trends. The current Advisor
group emphasizes 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 Advisor 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. Rather, MLIP
concentrates on quantitative and qualitative analysis of prospective Advisors,
as well as on statistical studies of the historical performance parameters of
different Advisor combinations in selecting Advisors and allocating and
reallocating Fund assets among them.
Because managed futures advisors' strategies are proprietary and
confidential and market movements unpredictable, selecting advisors to implement
speculative trading strategies involves considerable uncertainty. Furthermore,
the concentration of the Fund's current Advisor portfolio, both in terms of the
number of managers retained and 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.
MLIP's Advisor Selections
- -------------------------
MLIP has no timetable or schedule for making Advisor changes or
reallocations, and generally intends to make a medium- to long-term commitment
to all Advisors selected. However, there can be no assurance as to the frequency
or number of the Advisor changes which may take place in the future, or as to
how long any of the current Advisors will continue to manage assets for the
Fund.
Liquidity
- ---------
Most of the Partnership's assets are held as cash which, in turn, is
used to margin its futures positions and earn interest income and is withdrawn,
as necessary, to pay redemptions and fees.
The futures contracts in which the Partnership trades may become illiquid
under certain market conditions. Commodity exchanges limit fluctuations in
futures prices during a single day by regulations referred to as "daily limits."
During a single day no trades may be executed at prices beyond the daily limit.
Once the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
generally neither be taken nor liquidated unless traders are willing to effect
trades at or within the limit. Futures contracts have occasionally moved to the
daily limit for several consecutive days with little or no trading. Such market
conditions could prevent the Partnership from promptly liquidating its futures
(including its options) positions. There are no limitations on the daily price
moves in trading foreign currency forward contracts through banks, although
illiquidity may develop in the forward markets due to large spreads between
"bid" and "ask" prices quoted. (Forward contracts are the bank version of
currency futures contracts and are not traded on exchanges.)
Capital Resources
- -----------------
The Partnership does not have, nor does it expect to have, any
capital assets and has no material commitments for capital expenditures. The
Partnership uses its assets to supply the necessary margin or premiums for, and
to pay any losses incurred in connection with, its trading activity and to pay
redemptions and fees.
11
<PAGE>
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.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
None.
Item 2. Changes in Securities
None.
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 document.
(b) Reports on Form 8-K
-------------------
There were no reports on Form 8-K filed during the first nine months
of fiscal 1996.
12
<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.
JOHN W. HENRY & CO./MILLBURN L.P.
By: MERRILL LYNCH INVESTMENT PARTNERS INC.
(General Partner)
Date: November 11, 1996 By /s/ JOHN R. FRAWLEY, JR.
------------------------
John R. Frawley, Jr.
President, Chief Executive Officer
and Director
Date: November 11, 1996 By /s/ JAMES M. BERNARD
--------------------
James M. Bernard
Chief Financial Officer,
Treasurer and Senior Vice President
<TABLE> <S> <C>
<PAGE>
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM CONSOLIDATED
STATEMENTS OF FINANCIAL CONDITION, CONSOLIDATED STATEMENTS OF OPERATIONS,
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL AND IS QUALIFIED IN ITS
ENTIRETY BY REFERENCE TO SUCH FINANCIAL STATEMENTS.
</LEGEND>
<CIK> 0000853456
<NAME> JOHN W. HENRY & CO./MILLBURN L.P.
<S> <C> <C>
<PERIOD-TYPE> 9-MOS 9-MOS
<FISCAL-YEAR-END> DEC-31-1995 DEC-31-1994
<PERIOD-START> JAN-01-1996 JAN-01-1995
<PERIOD-END> SEP-30-1996 SEP-30-1995
<CASH> 0 0
<RECEIVABLES> 52,852,720 60,611,554
<SECURITIES-RESALE> 0 0
<SECURITIES-BORROWED> 0 0
<INSTRUMENTS-OWNED> 0 0
<PP&E> 0 0
<TOTAL-ASSETS> 52,852,720 60,611,554
<SHORT-TERM> 0 0
<PAYABLES> 1,268,838 1,408,349
<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> 51,583,882 59,203,205
<TOTAL-LIABILITY-AND-EQUITY> 52,852,720 60,611,554
<TRADING-REVENUE> 2,846,722 21,428,522
<INTEREST-DIVIDENDS> 1,703,650 2,192,119
<COMMISSIONS> 5,031,531 6,348,928
<INVESTMENT-BANKING-REVENUES> 0 0
<FEE-REVENUE> 0 0
<INTEREST-EXPENSE> 0 0
<COMPENSATION> 0 0
<INCOME-PRETAX> (481,159) 17,271,713
<INCOME-PRE-EXTRAORDINARY> (481,159) 17,271,713
<EXTRAORDINARY> 0 0
<CHANGES> 0 0
<NET-INCOME> (481,159) 17,271,713
<EPS-PRIMARY> (1.44) 43.44
<EPS-DILUTED> (1.44) 43.44
</TABLE>
