-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, S27YoaUlaThm2Sy9cgvZDBwVr82LOPXwH8PrrzVsXxXh/EEYE21QORjSs45v2Hb3 yN7UzfGKAytZfvRfetvMcw== 0000950130-96-003172.txt : 19960814 0000950130-96-003172.hdr.sgml : 19960814 ACCESSION NUMBER: 0000950130-96-003172 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960813 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: HENRY JOHN W & CO/MILLBURN L P CENTRAL INDEX KEY: 0000853456 STANDARD INDUSTRIAL CLASSIFICATION: OIL ROYALTY TRADERS [6792] IRS NUMBER: 061287586 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-18215 FILM NUMBER: 96611448 BUSINESS ADDRESS: STREET 1: WORLD FINANCIAL CTR SOUTH TWR-6TH FLR STREET 2: C/O ML FUTURE INVESTMENT PARTNERS INCAGE CITY: MERRILL LYNCH WORLD STATE: NY ZIP: 10080 BUSINESS PHONE: 2122364161 MAIL ADDRESS: STREET 1: MERRILL LYNCH & CO STREET 2: WORLD FINANCIAL CTR, SOUTH TOWER, 6TH FL CITY: NEW YORK STATE: NY ZIP: 10080-6106 10-Q 1 FORM 10-Q (JOHN W. HENRY & CO./MILLBURN L.P.) 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, 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. 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, 1996 1995 ---- ---- ASSETS - ----- Accrud interest $ 183,066 $ 236,588 Equity in commodity futures trading accounts: Cash and option premiums 55,308,109 57,465,987 Net unrealized gain on open contracts (1,568,623) 1,760,218 ------------- ------------- TOTAL $53,922,552 $59,462,793 ============= ============= LIABILITIES AND PARTNERS' CAPITAL - --------------------------------- LIABILITIES: Redemptions payable 565,296 $946,331 Brokerage commissions payable (Note 2) 527,992 594,628 Profit shares payable - - Administrative expense payable (Note 2) 11,234 - ------------- -------------- Total liabilities 1,104,522 1,540,959 ------------- -------------- PARTNERS' CAPITAL: General Partner: 780 and 780 Series A units outstanding 161,626 $164,028 1,976 and 1,976 Series B units outstanding 333,226 337,920 1,439 and 1,439 Series C units outstanding 189,636 192,564 Limited Partners: 58,378 and 62,793 Series A units outstanding 12,096,769 13,205,024 153,811 and 166,361 Series B units outstanding 25,939,256 28,450,897 106,971 and 116,358 Series C units outstanding 14,097,517 15,571,401 ------------- -------------- Total partners' capital 52,818,030 57,921,834 ------------- -------------- TOTAL $53,922,552 $59,462,793 ============= ============== NET ASSET VALUE PER UNIT: Series A (Based on 59,158 and 63,573 Units outstanding) 207.21 $210.29 ======= ======= Series B (Based on 155,787 and 168,337 Units outstanding) 168.64 $171.02 ======= ======= Series C (Based on 108,410 and 117,797 Units outstanding) 131.79 $133.82 ======= =======
See notes to financial statements. 2 JOHN W. HENRY & CO./MILLBURN L.P. --------------------------------- (a Delaware limited partnership) ------------------------------ STATEMENTS OF OPERATIONS ------------------------
For the three For the three For the six For the six months ended months ended months ended months ended June 30, 1996 June 30, 1995 June 30, 1996 June 30, 1995 ------------- ------------- ------------- ------------- REVENUES: Trading profits (loss): Realized $ 615,673 $ 16,571,416 $1,380,114 $23,842,304 Change in unrealized 904,623 (12,556,553) 191,595 (2,184,909) ------------- -------------- -------------- -------------- Total trading results 1,520,296 4,014,863 1,571,709 21,657,395 ------------- -------------- -------------- -------------- Interest income 565,881 746,507 1,166,996 1,416,815 ------------- -------------- -------------- -------------- Total revenues 2,086,177 4,761,370 2,738,705 23,074,210 ------------- -------------- -------------- -------------- EXPENSES: Profit shares - 302,357 9,079 728,826 Brokerage commissions (Note 2) 1,622,231 1,999,149 3,372,919 3,773,312 Administrative expense (Note 2) 34,516 - 71,763 - ------------- -------------- -------------- -------------- Total expenses 1,656,747 2,301,506 3,453,761 4,502,138 ------------- -------------- -------------- -------------- NET INCOME (LOSS) $ 429,430 $ 2,459,864 $(715,056) $18,572,072 ============= ============== ============== ============== NET INCOME (LOSS) PER UNIT: Weighted average number of units outstanding 333,240 389,925 339,371 410,986 ======= ======== ========= ======== Weighted average net income (loss) per unit $1.29 $6.31 $(2.11) $45.19 ===== ====== ======= =======
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, 1996 and 1995 -----------------------------------------------
Series Series Series Limited Partners ------------------------------------------------------- A B C Series Series Series Units Units Units A B C ----- ----- ----- - - - PARTNERS' CAPITAL, DECEMBER 31, 1994 74,610 213,110 153,995 $11,495,848 $26,740,233 $15,045,473 Redemptions (8,202) (31,935) (26,342) (1,574,921) (5,038,296) (3,286,214) Net income - - - 4,017,408 9,131,959 5,167,918 -------- --------- --------- ------------- ------------ ------------ PARTNERS' CAPITAL, JUNE 30, 1995 66,408 181,175 127,653 $13,938,335 $30,833,896 $16,927,177 ======= ======== ======== ============ ============ ============ PARTNERS' CAPITAL, DECEMBER 31, 1995 63,573 168,337 117,797 $13,205,024 $28,450,897 $15,571,401 Redemptions (4,415) (12,550) (9,387) (979,241) (2,147,090) (1,262,417) Net loss - - - (129,014) (364,551) (211,467) -------- --------- --------- ------------- ------------ ------------ PARTNERS' CAPITAL, JUNE 30, 1996 59,158 155,787 108,410 $12,096,769 $25,939,256 $14,097,517 ======== ========= ========= ============ ============ ============ General Partner ------------------------------------------- Series Series Series A B C Total - - - ----- PARTNERS' CAPITAL, DECEMBER 31, 1994 $135,628 $359,351 $210,911 $53,987,444 Redemptions - - - (9,899,431) Net income 49,397 129,212 76,178 18,572,072 --------- --------- --------- ----------- PARTNERS' CAPITAL, JUNE 30, 1995 $185,025 $488,563 $287,089 $62,660,085 ========= ========= ========= ============ PARTNERS' CAPITAL, DECEMBER 31, 1995 $164,028 $337,920 $192,564 $57,921,834 Redemptions - - - (4,388,748) Net loss (2,402) (4,694) (2,928) (715,056) ---------- ---------- ---------- ------------- PARTNERS' CAPITAL, JUNE 30, 1996 $161,626 $333,226 $189,636 $52,818,030 ========= ========= ========= ============
See notes to financial statements. 4 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") as of June 30, 1996 and the results of its operations for the six months ended June 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 six months ended June 30, 1996 and 1995, was approximately $103 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 3. INCOME/(LOSS) PER SERIES The profit and loss of the Series A, Series B and Series C Units for the three months ended June 30, 1996 and 1995 is as follows:
1996 1995 ------------------------------- ---------------------------------- Series A Series B Series C Series A Series B Series C -------- -------- -------- -------- -------- -------- REVENUES: Trading profit (loss): Realized $157,322 $298,959 $159,392 $3,669,069 $8,253,301 $4,649,046 Change in unrealized 212,893 450,062 241,668 (2,760,088) (6,272,172) (3,524,293) ------- -------- ------- ---------- ---------- ---------- Total trading results 370,215 749,021 401,060 (908,981) 1,981,129 1,124,753 Interest income 127,298 282,715 155,868 166 ,930 372,900 206,677 ------- ---------- ------- ---------- ---------- ---------- Total revenues 497,513 1,031,736 556,928 1,075,911 2,354,029 1,331,430 ------- --------- ------- ---------- ---------- ---------- EXPENSES: Brokerage commissions 370,034 808,906 443,291 446,507 997,888 554,754 Profit shares - - - 69,371 147,486 85,500 Administrative expense 7,875 17,211 9,430 - - - ------- ------- ------- ---------- ---------- ---------- Total expenses 377,909 826,117 452,721 515,878 1,145,374 640,254 ------- ---------- -------- ----------- ----------- ----------- NET INCOME $119,604 $205,619 $104,207 $560,033 $1,208,655 $691,176 ======== ========== ======== =========== =========== =========== NET INCOME PER UNIT OF PARTNERSHIP INTEREST: Weighted average number of units outstanding 60,901 163,857 114,613 68,255 187,768 133,902 ------ ------- ------- ------ ------- ------- Weighted average net income per unit $1.96 $1.25 $.91 $8.21 $6.44 $5.16 ======== ====== ======= ===== ===== =====
The profit and loss of the Series A, Series B and Series C Units for the six months ended June 30, 1996 and 1995 is as follows:
1996 1995 ---------------------------------- --------------------------------- Series A Series B Series C Series A Series B Series C -------- -------- -------- -------- -------- -------- REVENUES: Trading profit (loss): Realized $345,225 $673,456 $361,433 $5,249,267 $11,900,117 $6,692,920 Change in unrealized 50,596 95,249 45,750 (495,196) (1,098,702) (591,011) -------- --------- -------- ---------- ----------- ---------- Total trading results 395,821 768,705 407,183 4,754,071 10,801,415 6,101,909 Interest income 262,601 583,009 321,386 311,975 709,088 395,752 -------- --------- -------- ---------- ----------- ---------- Total revenues 658,422 1,351,714 728,569 5,066,046 11,510,503 6,497,661 -------- --------- -------- ---------- ----------- ----------
6 EXPENSES: Brokerage commissions 767,943 1,684,061 920,915 830,298 1,887,434 1,055,580 Profit shares 16,339 35,831 19,593 168,943 361,898 197,985 Administrative expense 5,557 1,065 2,457 - - - ---------- ----------- ---------- ----------- ----------- ----------- Total expenses 789,839 1,720,957 942,965 999,241 2,249,332 1,253,565 ---------- ----------- ---------- ----------- ----------- ----------- NET INCOME $(131,417) $ (369,243) $(214,396) $4,066,805 $9,261,171 $5,244,096 ========== =========== ========== =========== =========== =========== NET INCOME PER UNIT OF PARTNERSHIP INTEREST: Weighted average number of units outstanding 60,901 163,857 114,613 70,714 198,033 142,239 ---------- ----------- ---------- ----------- ----------- ----------- Weighted average net income per unit $ (2.16) $ (2.25) $ (1.87) $57.51 $46.77 $36.87 ========== =========== ========== ======= ======= =======
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 June 30, 1996 were as follows:
1996 ---- Interest rate and Stock indices $(2,450,982) Currencies 4,229,451 Metals (206,760) --------------- $ 1,571,709 ===============
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. 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 June 30, 1996 and December 31, 1995 were as follows: 7
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) ------------------- ------------------ ------------------ ------------------- Interest rate and Stock indices $180,692,490 $157,534,070 $316,321,139 $ 81,485,562 Currencies 159,937,357 197,626,294 115,918,767 196,448,531 Metals 6,417,720 40,651,745 4,396,075 19,975,248 ---------------- --------------- --------------- -------------- $347,047,567 $395,812,109 $436,635,981 $297,909,341 ================ =============== =============== ==============
Substantially all of the Partnership's derivative instruments outstanding as of June 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 June 30, 1996 and December 31, 1995 was as follows:
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) ------------------ ------------------ ------------------ ------------------- Exchange traded $181,658,885 $190,004,455 $317,647,209 $ 94,328,735 Non-Exchange traded 165,388,682 205,807,654 118,988,772 203,580,606 ----------------- ---------------- ----------------- ----------------- $347,047,567 $395,812,109 $436,635,981 $297,909,341 ================= ================ ================= =================
The average fair value of the Partnership's derivative instrument positions which were open as of the end of each calendar month during the quarter ended June 30, 1996 and the year ended December 31, 1995 was as follows:
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) ------------------- ------------------- ------------------- ------------------- Interest rate and Stock indices $167,473,022 $258,870,989 $295,297,616 $ 44,755,764 Currencies 262,635,037 351,634,879 252,057,126 240,468,554 Metals 22,755,628 30,080,714 10,695,784 24,230,482 --------------- ---------------- ---------------- ---------------- $452,863,687 $640,586,582 $558,050,526 $309,454,800 =============== ================ ================ ================
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 ----------- 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. 8 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 June 30,1996 and December 31, 1995, $14,915,784 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 June 30, 1996 and December 31, 1995 were as follows:
1996 1995 ---- ---- Gross Net Gross Net Unrealized Unrealized Unrealized Unrealized Gain Gain (Loss) Gain Gain (Loss) ---------- ------------ ---------- ------------ Exchange traded $1,694,905 $ 1,095,967 $3,112,617 $ 2,803,973 Non-Exchange traded 2,398,693 (2,664,590) 1,175,189 (1,043,755) -------------- ---------------- --------------- --------------- $4,093,598 $(1,568,623) $4,287,806 $ 1,760,218 ============== ================ =============== ===============
The partnership controls credit risk by dealing almost exclusively with Merrill Lynch entities as brokers and counterparties. 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. 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 six months of 1995, the Fund's average month-end Net Assets equalled $13,164,709, and the Fund recognized gross trading gains of $4,754,070 or 36.11% of such average month-end Net Assets. Brokerage commissions of $830,298 or 6.31% and Profit Shares of $168,943 9 or 1.28% of average month-end Net Assets were paid. Interest income of $311,975 or 2.37% of average month-end Net Assets resulted in a net gain of $4,066,805 or 30.89% of average month-end Net Assets, which resulted in a 36.42% increase in the Net Asset Value per Unit since December 31, 1994. During the first six months of 1996, the Fund's average month-end Net Assets equalled $12,845,261, and the Fund recognized gross trading gains of $395,824 or 3.08% of such average month-end Net Assets. Brokerage commissions of $767,943 or 5.98%, Administrative expense of $16,338 or .13% and Profit Shares of $5,558 or .04% of average month-end Net Assets were paid. Interest income of $262,602 or 2.04% of average month-end Net Assets resulted in a net loss of $131,413 or 1.02% of average month-end Net Assets which resulted in a 1.46% decrease in the Net Asset Value per Unit since December 31, 1995. During the first six months of 1996 and 1995, the Fund experienced 7 profitable months and 5 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES A UNIT -------------------------------------------------------------- Jan. Feb. Mar. April May June -------------------------------------------------------------- 1995 $146.85 $167.54 $204.80 $214.46 $216.21 $212.68 -------------------------------------------------------------- 1996 $231.67 $209.48 $205.35 $213.42 $204.22 $207.21 --------------------------------------------------------------
SERIES B UNITS: During the first six months of 1995, the Fund's average month-end Net Assets equalled $29,812,546, and the Fund recognized gross trading gains of $10,801,415 or 36.23% of such average month-end Net Assets. Brokerage commissions of $1,887,434 or 6.33% and Profit Shares of $361,898 or 1.21% of average month-end Net Assets were paid. Interest income of $709,088 or 2.38% of average month-end Net Assets resulted in a net gain of $9,261,171 or 31.06% of average month-end Net Assets, which resulted in a 36.96% increase in the Net Asset Value per Unit since December 31, 1994. During the first six months of 1996, the Fund's average month-end Net Assets equalled $28,174,692, and the Fund recognized gross trading gains of $768,705 or 2.73% of such average month-end Net Assets. Brokerage commissions of $1,684,061 or 5.98%, Administrative expense of $35,831 or .13% and Profit Shares of $1,066 or .004% of average month-end Net Assets were paid. Interest income of $583,008 or 2.07% of average month-end Net Assets resulted in net loss of $369,245 or 1.31% of average month-end Net Assets which resulted in a 1.39% decrease in the Net Asset Value per Unit since December 31, 1995. During the first six months of 1996 and 1995, the Fund experienced 7 profitable months and 5 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES B UNIT -------------------------------------------------------------- Jan. Feb. Mar. April May June -------------------------------------------------------------- 1995 $119.62 $136.63 $166.77 $174.39 $175.54 $172.89 -------------------------------------------------------------- 1996 $188.93 $171.14 $167.47 $173.94 $166.31 $168.64 --------------------------------------------------------------
SERIES C UNITS: During the first six months of 1995, the Fund's average month-end Net Assets equalled $16,629,985, and the Fund recognized gross trading gains of $6,101,910 or 36.69% of such average month-end Net Assets. Brokerage commissions of $1,055,580 or 6.35% and Profit Shares of $197,985 or 1.19% of average month- end Net Assets were paid. Interest income of $395,752 or 2.38% of average month- end Net Assets resulted in a net gain of $5,244,096 or 31.53% of average month- end Net Assets, which resulted in a 36.12% increase in the Net Asset Value per Unit since December 31, 1994. During the first six months of 1996, the Fund's average month-end Net Assets equalled $15,398,289, and the Fund recognized gross trading gains of $407,180 or 2.64% of such average month-end Net Assets. Brokerage commissions of $920,915 or 5.98%, Administrative expense of $19,594 or .13% and Profit Shares of $2,455 or .02% of average month-end Net Assets were paid. Interest income of $321,386 or 2.09% of average month-end Net Assets resulted in net loss of $214,398 or 1.39% of average month-end Net Assets which resulted in a 1.52% decrease in the Net Asset Value since December 31, 1995. During the first six months of 1996 and 1995, the Fund experienced 7 profitable months and 5 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES C UNIT -------------------------------------------------------------- Jan. Feb. Mar. April May June -------------------------------------------------------------- 1995 $ 93.13 $106.27 $129.98 $135.87 $136.83 $134.85 -------------------------------------------------------------- 1996 $147.90 $133.80 $130.88 $135.93 $129.91 $131.79 --------------------------------------------------------------
10 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. 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. 11 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 six months of fiscal 1996. 12 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: August 9, 1996 By /s/JOHN R. FRAWLEY, JR. ----------------------- John R. Frawley, Jr. President, Chief Executive Officer and Director Date: August 9, 1996 By /s/JAMES M. BERNARD ------------------- James M. Bernard Chief Financial Officer, Treasurer and Senior Vice President EX-27 2 FINANCIAL DATA SCHEDULE
BD 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. 6-MOS 6-MOS DEC-31-1995 DEC-31-1994 JAN-01-1996 JAN-01-1995 JUN-30-1996 JUN-30-1995 0 0 53,922,552 64,214,304 0 0 0 0 0 0 0 0 53,922,552 64,214,304 0 0 1,104,522 1,554,219 0 0 0 0 0 0 0 0 0 0 0 0 0 0 52,818,030 62,660,085 53,922,552 64,214,304 1,571,709 21,657,395 1,166,996 1,416,815 3,453,761 4,502,138 0 0 0 0 0 0 0 0 (715,056) 18,572,072 (715,056) 18,572,072 0 0 0 0 (715,056) 18,572,072 (2.11) 45.19 (2.11) 45.19
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