10-Q 1 a2086754z10-q.txt 10-Q 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 June 30, 2002 ------------- 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 MLIM Alternative Strategies LLC Princeton Corporate Campus 800 Scudders Mill Road - Section 2G Plainsboro, New Jersey 08536 ---------------------------- (Address of principal executive offices) (Zip Code) 609-282-6996 ---------------------------------------------------- (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 --- --- PART I - FINANCIAL INFORMATION Item 1. Financial Statements JOHN W. HENRY & CO./MILLBURN L.P. (a Delaware limited partnership) ------------------------------ STATEMENTS OF FINANCIAL CONDITION ---------------------------------
June 30, December 31, 2002 2001 (unaudited) -------------- -------------- ASSETS ------ Investments $ 29,266,559 $ 26,155,682 Receivable from investments 357,662 220,310 -------------- -------------- TOTAL $ 29,624,221 $ 26,375,992 ============== ============== LIABILITY AND PARTNERS' CAPITAL ------------------------------- Redemptions payable $ 357,662 $ 220,310 -------------- -------------- Total liabilities 357,662 220,310 -------------- -------------- PARTNERS' CAPITAL: General Partner: (284 and 284 Series A Units) 90,305 76,061 (613 and 613 Series B Units) 158,378 133,398 (450 and 450 Series C Units) 90,613 76,317 Limited Partners: (23,866 and 25,601 Series A Units) 7,588,800 6,856,493 (52,137 and 55,127 Series B Units) 13,470,420 11,996,457 (39,074 and 41,374 Series C Units) 7,868,043 7,016,956 -------------- -------------- Total partners' capital 29,266,559 26,155,682 -------------- -------------- TOTAL $ 29,624,221 $ 26,375,992 ============== ============== NET ASSET VALUE PER UNIT Series A (based on 24,150 and 25,885 Units outstanding) $ 317.98 $ 267.82 ============== ============== Series B (based on 52,750 and 55,740 Units outstanding) $ 258.37 $ 217.61 ============== ============== Series C (based on 39,524 and 41,824 Units outstanding) $ 201.36 $ 169.60 ============== ==============
See notes to financial statements. 2 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (a Delaware limited partnership) ------------------------------ STATEMENTS OF OPERATIONS ------------------------ (unaudited)
For the three For the three For the six For the six months ended months ended months ended months ended June 30, 2002 June 30, 2001 June 30, 2002 June 30, 2001 ------------- ------------- ------------- ------------- REVENUES: Income (loss) from investments $ 7,070,175 $ (3,381,495) $ 4,619,230 $ 962,197 ------------- ------------- ------------- ------------- NET INCOME (LOSS) $ 7,070,175 $ (3,381,495) $ 4,619,230 $ 962,197 ============= ============= ============= ============= NET INCOME (LOSS) PER UNIT: Weighted average number of General Partner and Limited Partner Units outstanding 118,855 134,221 120,439 137,794 ============= ============= ============= ============= Net income (loss) per weighted average General Partner and Limited Partner Unit $ 59.49 $ (25.19) $ 38.35 $ 6.98 ============= ============= ============= =============
See notes to financial statements. 3 JOHN W. HENRY & CO./MILLBURN L.P. (a Delaware limited partnership) ------------------------------ STATEMENTS OF CHANGES IN PARTNERS' CAPITAL ------------------------------------------ For the six months ended June 30, 2002 and 2001 ----------------------------------------------- (unaudited)
Units General Partner ----- --------------- Series A Series B Series C Series A Series B Series C ------------ ------------ ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, December 31, 2000 29,064 67,053 48,130 $ 84,379 $ 152,621 $ 86,921 Net income - - - 2,486 4,501 2,563 Redemptions (1,730) (7,004) (4,802) - - - ------------ ------------ ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, June 30, 2001 27,334 60,049 43,328 $ 86,865 $ 157,122 $ 89,484 ============ ============ ============ ============ ============ ============ PARTNERS' CAPITAL, December 31, 2001 25,885 55,740 41,824 $ 76,061 $ 133,398 $ 76,317 Net income - - - 14,244 24,980 14,296 Redemptions (1,735) (2,990) (2,300) - - - ------------ ------------ ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, June 30, 2002 24,150 52,750 39,524 $ 90,305 $ 158,378 $ 90,613 ============ ============ ============ ============ ============ ============ Limited Partners ---------------- Series A Series B Series C Total ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, December 31, 2000 $ 7,415,475 $ 13,906,094 $ 7,777,655 $ 29,423,145 Net income 221,308 464,795 266,544 962,197 Redemptions (462,585) (1,567,838) (845,709) (2,876,132) ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, June 30, 2001 $ 7,174,198 $ 12,803,051 $ 7,198,490 $ 27,509,210 ============ ============ ============ ============ PARTNERS' CAPITAL, December 31, 2001 $ 6,856,493 $ 11,996,457 $ 7,016,956 $ 26,155,682 Net income 1,195,912 2,131,707 1,238,091 4,619,230 Redemptions (463,605) (657,744) (387,004) (1,508,353) ------------ ------------ ------------ ------------ PARTNERS' CAPITAL, June 30, 2002 $ 7,588,800 $ 13,470,420 $ 7,868,043 $ 29,266,559 ============ ============ ============ ============
See notes to financial statements. 4 JOHN W. HENRY & CO./MILLBURN L.P. (a Delaware Limited Partnership) ------------------------------ NOTES TO FINANCIAL STATEMENTS (unaudited) 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") as of June 30, 2002, and the results of its operations for the three and six month periods ended June 30, 2002 and 2001. However, the operating results for the interim periods may not be indicative of the results for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in conformity with accounting principles general accepted in the United States of America 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, 2001. 2. INVESTMENTS As of June 30, 2002, the Partnership had investments in ML JWH Financials and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC") of $14,633,279 and $14,633,279, respectively. For the year ending December 31, 2001, the Partnership had investments in JWH LLC and Millburn LLC of $13,077,841 and $13,077,841, respectively. Total revenues and fees with respect to the Partnership's investment are set forth as follows:
Change in Brokerage Administrative For the three months Realized unrealized Interest income Commissions Fees ended June 30, 2002 ---------------- ---------------- ---------------- ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ 560,671 $ 684,624 $ 12,773 $ 73,679 $ 2,167 Millburn LLC (unaudited) 84,907 679,673 13,762 69,154 2,033 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 645,578 $ 1,364,297 $ 26,535 $ 142,833 $ 4,200 ================ ================ ================ ================ ================ SERIES B UNITS JWH LLC (unaudited) $ 994,054 $ 1,216,252 $ 22,701 $ 130,922 $ 3,850 Millburn LLC (unaudited) 150,329 1,206,534 24,458 122,888 3,615 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 1,144,383 $ 2,422,786 $ 47,159 $ 253,810 $ 7,465 ================ ================ ================ ================ ================ SERIES C UNITS JWH LLC (unaudited) $ 576,327 $ 715,016 $ 13,357 $ 76,977 $ 2,264 Millburn LLC (unaudited) 86,432 705,776 14,397 72,282 2,125 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 662,759 $ 1,420,792 $ 27,754 $ 149,259 $ 4,389 ================ ================ ================ ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ 2,131,052 $ 2,615,892 $ 48,831 $ 281,578 $ 8,281 Millburn LLC (unaudited) 321,668 2,591,983 52,617 264,324 7,773 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 2,452,720 $ 5,207,875 $ 101,448 $ 545,902 $ 16,054 ================ ================ ================ ================ ================ Profit Income from For the three months Shares Investments ended June 30, 2002 ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ - $ 1,182,222 Millburn LLC (unaudited) 34,178 672,977 ---------------- ---------------- Total $ 34,178 $ 1,855,199 ================ ================ SERIES B UNITS JWH LLC (unaudited) $ - $ 2,098,235 Millburn LLC (unaudited) 60,609 1,194,209 ---------------- ---------------- Total $ 60,609 $ 3,292,444 ================ ================ SERIES C UNITS JWH LLC (unaudited) $ - $ 1,225,459 Millburn LLC (unaudited) 35,125 697,073 ---------------- ---------------- Total $ 35,125 $ 1,922,532 ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ - $ 4,505,916 Millburn LLC (unaudited) 129,912 2,564,259 ---------------- ---------------- Total $ 129,912 $ 7,070,175 ================ ================
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Change in Brokerage Administrative For the three months Realized unrealized Interest income Commissions Fees ended June 30, 2001 ---------------- ---------------- ---------------- ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ (204,806) $ (280,090) $ 37,577 $ 84,713 $ 2,492 Millburn LLC (unaudited) 228,655 (519,445) 31,527 76,076 2,237 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 23,849 $ (799,535) $ 69,104 $ 160,789 $ 4,729 ================ ================ ================ ================ ================ SERIES B UNITS JWH LLC (unaudited) $ (382,960) $ (510,598) $ 68,805 $ 155,011 $ 4,559 Millburn LLC (unaudited) 412,936 (950,733) 58,206 140,337 4,128 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 29,976 $ (1,461,331) $ 127,011 $ 295,348 $ 8,687 ================ ================ ================ ================ ================ SERIES C UNITS JWH LLC (unaudited) $ (213,270) $ (286,790) $ 38,496 $ 86,742 $ 2,551 Millburn LLC (unaudited) 232,447 (534,332) 32,569 78,533 2,310 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 19,177 $ (821,122) $ 71,065 $ 165,275 $ 4,861 ================ ================ ================ ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ (801,036) $ (1,077,478) $ 144,878 $ 326,466 $ 9,602 Millburn LLC (unaudited) 874,038 (2,004,510) 122,302 294,946 8,675 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 73,002 $ (3,081,988) $ 267,180 $ 621,412 $ 18,277 ================ ================ ================ ================ ================ Profit Loss from For the three months Shares Investments ended June 30, 2001 ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ - $ (534,524) Millburn LLC (unaudited) - (337,576) ---------------- ---------------- Total $ - $ (872,100) ================ ================ SERIES B UNITS JWH LLC (unaudited) $ - $ (984,323) Millburn LLC (unaudited) - (624,056) ---------------- ---------------- Total $ - $ (1,608,379) ================ ================ SERIES C UNITS JWH LLC (unaudited) $ - $ (550,857) Millburn LLC (unaudited) - (350,159) ---------------- ---------------- Total $ - $ (901,016) ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ - $ (2,069,704) Millburn LLC (unaudited) - (1,311,791) ---------------- ---------------- Total $ - $ (3,381,495) ================ ================ Change in Brokerage Administrative For the six months Realized unrealized Interest income Commissions Fees ended June 30, 2002 ---------------- ---------------- ---------------- ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ 356,894 $ 518,534 $ 26,362 $ 141,431 $ 4,162 Millburn LLC (unaudited) 197,535 408,135 27,446 140,840 4,141 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 554,429 $ 926,669 $ 53,808 $ 282,271 $ 8,303 ================ ================ ================ ================ ================ SERIES B UNITS JWH LLC (unaudited) $ 635,315 $ 923,878 $ 46,570 $ 249,936 $ 7,350 Millburn LLC (unaudited) 348,147 728,313 48,495 248,815 7,319 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 983,462 $ 1,652,191 $ 95,065 $ 498,751 $ 14,669 ================ ================ ================ ================ ================ SERIES C UNITS JWH LLC (unaudited) $ 366,497 $ 541,385 $ 27,394 $ 146,945 $ 4,322 Millburn LLC (unaudited) 204,648 420,939 28,537 146,318 4,303 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 571,145 $ 962,324 $ 55,931 $ 293,263 $ 8,625 ================ ================ ================ ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ 1,358,706 $ 1,983,797 $ 100,326 $ 538,312 $ 15,834 Millburn LLC (unaudited) 750,330 1,557,387 104,478 535,973 15,763 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 2,109,036 $ 3,541,184 $ 204,804 $ 1,074,285 $ 31,597 ================ ================ ================ ================ ================ Profit Income from For the six months Shares Investments ended June 30, 2002 ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ - $ 756,197 Millburn LLC (unaudited) 34,178 453,957 ---------------- ---------------- Total $ 34,178 $ 1,210,154 ================ ================ SERIES B UNITS JWH LLC (unaudited) $ - $ 1,348,477 Millburn LLC (unaudited) 60,609 808,212 ---------------- ---------------- Total $ 60,609 $ 2,156,689 ================ ================ SERIES C UNITS JWH LLC (unaudited) $ - $ 784,009 Millburn LLC (unaudited) 35,125 468,378 ---------------- ---------------- Total $ 35,125 $ 1,252,387 ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ - $ 2,888,683 Millburn LLC (unaudited) 129,912 1,730,547 ---------------- ---------------- Total $ 129,912 $ 4,619,230 ================ ================
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Change in Brokerage Administrative For the six months Realized unrealized Interest income Commissions Fees ended June 30, 2001 ---------------- ---------------- ---------------- ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ 930,093 $ (676,690) $ 85,979 $ 172,886 $ 5,085 Millburn LLC (unaudited) 725,613 (577,467) 72,697 153,934 4,527 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 1,655,706 $ (1,254,157) $ 158,676 $ 326,820 $ 9,612 ================ ================ ================ ================ ================ SERIES B UNITS JWH LLC (unaudited) $ 1,761,525 $ (1,258,667) $ 160,191 $ 321,647 $ 9,460 Millburn LLC (unaudited) 1,358,265 (1,060,337) 136,589 288,673 8,490 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 3,119,790 $ (2,319,004) $ 296,780 $ 610,320 $ 17,950 ================ ================ ================ ================ ================ SERIES C UNITS JWH LLC (unaudited) $ 994,254 $ (708,216) $ 89,826 $ 180,372 $ 5,305 Millburn LLC (unaudited) 763,487 (594,526) 76,593 161,871 4,762 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 1,757,741 $ (1,302,742) $ 166,419 $ 342,243 $ 10,067 ================ ================ ================ ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ 3,685,872 $ (2,643,573) $ 335,996 $ 674,905 $ 19,850 Millburn LLC (unaudited) 2,847,365 (2,232,330) 285,879 604,478 17,779 ---------------- ---------------- ---------------- ---------------- ---------------- Total $ 6,533,237 $ (4,875,903) $ 621,875 $ 1,279,383 $ 37,629 ================ ================ ================ ================ ================ Profit Income from For the six months Shares Investments ended June 30, 2001 ---------------- ---------------- SERIES A UNITS JWH LLC (unaudited) $ - $ 161,411 Millburn LLC (unaudited) - 62,382 ---------------- ---------------- Total $ - $ 223,793 ================ ================ SERIES B UNITS JWH LLC (unaudited) $ - $ 331,942 Millburn LLC (unaudited) - 137,354 ---------------- ---------------- Total $ - $ 469,296 ================ ================ SERIES C UNITS JWH LLC (unaudited) $ - $ 190,187 Millburn LLC (unaudited) - 78,921 ---------------- ---------------- Total $ - $ 269,108 ================ ================ TOTAL ALL UNITS --------------- JWH LLC (unaudited) $ - $ 683,540 Millburn LLC (unaudited) - 278,657 ---------------- ---------------- Total $ - $ 962,197 ================ ================
Condensed statements of financial condition and statements of operations for JWH LLC and Millburn LLC are set forth as follows:
June 30, 2002 (unaudited) December 31, 2001 ----------------------------------- ----------------------------------- JWH Millburn JWH Millburn LLC LLC LLC LLC ---------------- ---------------- ---------------- ---------------- Assets $ 15,916,232 $ 14,865,833 $ 13,692,020 $ 13,171,887 ================ ================ ================ ================ Liabilities $ 1,282,953 $ 232,554 $ 614,179 $ 94,046 Members' Capital 14,633,279 14,633,279 13,077,841 13,077,841 ---------------- ---------------- ---------------- ---------------- Total $ 15,916,232 $ 14,865,833 $ 13,692,020 $ 13,171,887 ================ ================ ================ ================
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JWH LLC For the three For the three For the six For the six months ended months ended months ended months ended June 30, 2002 June 30, 2001 June 30, 2002 June 30, 2001 (unaudited) (unaudited) (unaudited) (unaudited) ---------------- ---------------- ---------------- ---------------- Revenues $ 4,795,775 $ (1,733,636) $ 3,442,829 $ 1,378,295 Expenses 289,859 336,068 554,146 694,755 ---------------- ---------------- ---------------- ---------------- Net Income (Loss) $ 4,505,916 $ (2,069,704) $ 2,888,683 $ 683,540 ================ ================ ================ ================ Millburn LLC For the three For the three For the six For the six months ended months ended months ended months ended June 30, 2002 June 30, 2001 June 30, 2002 June 30, 2001 (unaudited) (unaudited) (unaudited) (unaudited) ---------------- ---------------- ---------------- ---------------- Revenues $ 2,966,268 $ (1,008,170) $ 2,412,195 $ 900,914 Expenses 402,009 303,621 681,648 622,257 ---------------- ---------------- ---------------- ---------------- Net Income (Loss) $ 2,564,259 $ (1,311,791) $ 1,730,547 $ 278,657 ================ ================ ================ ================
3. FAIR VALUE AND OFF-BALANCE SHEET RISK The nature of this Partnership has certain risks, which can not be presented on the financial statements. The following summarizes some of those risks. Market Risk ----------- Derivative instruments involve varying degrees of off-balance sheet market risk. 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 resulted in changes in the net unrealized profit (loss) as reflected in the respective Statements of Financial Condition of the Trading LLCs. 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, through the Trading LLCs, as well as the volatility and liquidity of such markets in which such derivative instruments are traded. MLIM Alternative Strategies LLC ("MLIM AS LLC") has procedures in place intended to control market risk exposure, 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 Advisors selected from time to time for the Partnership, calculating the Net Asset Value of the Advisors' respective Trading LLC accounts as of the close of business on each day and reviewing outstanding positions for over-concentrations both on an Advisor-by-Advisor and on an overall Partnership basis. While MLIM AS 8 LLC does not itself intervene in the markets to hedge or diversify the Partnership's market exposure, MLIM AS LLC may urge Advisors to reallocate positions or itself reallocate Partnership assets among Advisors (although typically only as of the end of a month) in an attempt to avoid over-concentration. However, such interventions are unusual. Except in cases in which it appears that an Advisor has begun to deviate from past practice and trading policies or to be trading erratically, MLIM AS LLC's basic risk control procedures consist simply of the ongoing process of advisor monitoring and selection, with the market risk controls being applied by the Advisors themselves. Credit Risk ----------- 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 Partnership, through the Trading LLCs, has credit risk in respect of its counterparties and brokers, but attempts to mitigate this risk by dealing almost exclusively with Merrill Lynch entities as clearing brokers. The Partnership, through the Trading LLCs, in its normal course of business, enters into various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in the Statements of Financial Condition under Equity in commodity futures trading accounts. Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations MONTH-END NET ASSET VALUE PER SERIES A UNIT ----------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ----------------------------------------------------------- 2001 $264.13 $265.03 $297.36 $274.43 $279.83 $265.64 ----------------------------------------------------------- 2002 $269.22 $255.81 $242.23 $237.12 $258.85 $317.98 ----------------------------------------------------------- MONTH-END NET ASSET VALUE PER SERIES B UNIT ----------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ----------------------------------------------------------- 2001 $214.61 $215.32 $241.58 $222.96 $227.36 $215.83 ----------------------------------------------------------- 2002 $218.75 $207.86 $196.82 $192.67 $210.33 $258.37 ----------------------------------------------------------- MONTH-END NET ASSET VALUE PER SERIES C UNIT ----------------------------------------------------------- Jan. Feb. Mar. Apr. May Jun. ----------------------------------------------------------- 2001 $167.25 $167.81 $188.27 $173.76 $177.19 $168.20 ----------------------------------------------------------- 2002 $170.48 $161.99 $153.39 $150.15 $163.92 $201.36 ----------------------------------------------------------- 9 Performance Summary All of the Partnership's assets are invested in Trading LLCs. The Partnership receives trading profits as an investor in Trading LLCs . The following commentary describes the trading results of Trading LLCs. JANUARY 1, 2002 to JUNE 30, 2002 -------------------------------- January 1, 2002 to March 31, 2002 Trading in the metals sector was unprofitable for the quarter. Long positions in gold suffered losses. The gold market slumped, reversing January gains. Base metal positioning posted losses as prices soared on the hope that an economic recovery in the United States would boost demand. Trading in the interest rate markets produced losses on conflicting economic reports. U.S. short rate profits offset losses incurred further out on the U.S. curve under very choppy market conditions. European and Japanese fixed income exposures posted losses under particularly direction-less markets. Global bond prices declined on growing optimism for a stronger economic outlook for the remainder of 2002, benefiting short positioning. Stock indices trading incurred losses for the quarter. Long equity exposures were flipped to short exposures during the quarter, added to losses in volatile market conditions as profit forecasts fell short and concern over the Enron accounting situation deepened. Global equity markets appreciated in March, notably in Japan, Germany and France, which generated losses on short positioning. Currency trading was the most unprofitable strategy for the quarter. Early in the quarter, strong gains were generated from short Japanese yen positions as the Japanese yen continued to depreciate against the U.S. dollar. In February, all of the futures traded currencies appreciated against the U.S. dollar, with the exception of the Canadian dollar. March was a relatively volatile month for G-7 currencies. The U.S. dollar fell from 133 to 127.50 Japanese yen during the first week, and then almost completely reversed that move by month end, generating substantial losses. April 1, 2002 to June 30, 2002 Large profits were the result of trading in the currency sector. Strong trends developed from a weakening U.S. dollar and continued through June. Most of the majors currencies made new highs versus the U.S. dollar in June. The interest rate sector was profitable for the Partnership despite its slow start. The quarter began with a loss as interest rates were particularly sensitive to economic data that was released, and more so to its varied interpretations. By quarter end, the Partnership profited from a strong bond market, which benefited from the weakness in the stock market and unchanged interest rates. The trading in stock indices found profits from its short positions. Worldwide equity market attempted to move higher, but failed and resumed their longer-term downtrend. The metals sector sustained slight losses for the quarter. In June, the uptrend in gold reversed and losses were sustained on a long position eliminating slight profits earned earlier in the quarter. 10 JANUARY 1, 2001 to JUNE 30, 2001 -------------------------------- January 1, 2001 to March 31, 2001 Trading in the interest rate markets was profitable during the quarter. Eurodollar trading was successful in January as the weakening U.S. economy and the Federal Reserve's move to cut interest rates caused Eurodollar futures contracts to rise dramatically from December 2000 lows. Japanese ten-year bonds and Euro-bund cross futures trading was profitable in February and March. Despite its volatility, trading in the currency markets resulted in gains. Losses from the British pound and the Euro offset early gains from Japanese yen positions. By February, the Euro fell from a near high 96 cents back to the 90-cent level, causing losses in long Euro positions. Profits from Japanese yen and Swiss franc positions realized in March erased losses sustained earlier in the quarter. Stock index trading was moderately successful for the Partnership. Profits from Hang Seng and FTSE Financial Times Stock Index outweighed losses from Nikkei 225, German DAX and Topix positions. Global equity markets remain caught between negative news about earnings and the potential positive effects of further monetary easings. Metals trading was moderately unprofitable for the Partnership. Gold, copper and aluminum trading alternated between profitability and unprofitability throughout the quarter. April 1, 2001 to June 30, 2001 Trading in the metals sector incurred slight losses. Weakness in the Euro, a decline in the Australian dollar to all time lows and producer and Central Bank selling sent gold prices lower. Copper trading was unprofitable despite a number of bullish developments due to existing demand constraints. Stock index trading sustained losses throughout the quarter on FTSE Financial Times Stock Index, Nikkei 225 and NASDAQ 100 positions. Trading in the currency markets was not profitable. Losses occurred from Japanese yen positions. The further weakening of the Japanese yen displayed how the global economy is not immune to the economic slowdown of the U.S. currency markets remained concerned with a hard landing for the Japanese economy. The Euro continued its downward trend versus the U.S. dollar. Trading in the interest rate sector was highly unprofitable for the Partnership. Positions in Euro-Bond futures, U.S. Treasury bonds and U.S. 10-year notes had significant losses. Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable 11 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending proceedings to which the Partnership or MLIM AS LLC is a party. Item 2. Changes in Securities and Use of Proceeds (a) None. (b) None. (c) None. (d) 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 report. (b) Reports on Form 8-K ------------------- There were no reports on Form 8-K filed during the first six months of fiscal 2002. 12 SIGNATURE 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: MLIM ALTERNATIVE STRATEGIES LLC (General Partner) Date: August 15, 2002 By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: August 15, 2002 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 13 EXHIBIT 99 Form of Certification Pursuant to Section 1350 of Chapter 63 of Title 18 of the United States Code We, Fabio P. Savoldelli and Michael L. Pungello, the chief executive officer and chief financial officer, respectively, of MLIM Alternative Strategies LLC, the general partner of John W. Henry & Co./Millburn L.P., certify that (i) the quarterly report Form 10-Q fully complies with the requirements of Section 13(a) or 15(d) of the Securities and Exchange Act of 1934 and (ii) the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of John W. Henry & Co./Millburn L.P. Date: August 15, 2002 By /s/ FABIO P. SAVOLDELLI ----------------------- Fabio P. Savoldelli Chairman, Chief Executive Officer and Manager (Principal Executive Officer) Date: August 15, 2002 By /s/ MICHAEL L. PUNGELLO ----------------------- Michael L. Pungello Vice President, Chief Financial Officer and Treasurer (Principal Financial and Accounting Officer) 14