-----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, RPgOQmZzOXv9IYW+VNcPFqELaShVvoT0JLytVgEXRI1P8N7bm+Jn1U+MXki4vGWv ZFnP1K2KNKHw6Dgr1D+8UA== 0000950130-97-005027.txt : 19971117 0000950130-97-005027.hdr.sgml : 19971117 ACCESSION NUMBER: 0000950130-97-005027 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19970930 FILED AS OF DATE: 19971114 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: HENRY JOHN W & CO/MILLBURN L P CENTRAL INDEX KEY: 0000853456 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 061287586 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: SEC FILE NUMBER: 000-18215 FILM NUMBER: 97718386 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 QUARTERLY REPORT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q (Mark One) (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 1997 -------------------- OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from ________________ to ________________ Commission File Number 0-18215 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. Merrill Lynch World Headquarters - South Tower, 6th Fl. World Financial Center New York, New York 10080-6106 ----------------------------------------------------- (Address of principal executive offices) (Zip Code) 212-236-5662 ---------------------------------------------- (Registrant's telephone number, including area code) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No_____ ----- This document contains 15 pages. PART I - FINANCIAL INFORMATION Item 1. Financial Statements JOHN W. HENRY & CO./MILLBURN L.P. (a Delaware limited partnership) ------------------------------ STATEMENTS OF FINANCIAL CONDITION ---------------------------------
September 30, December 31, 1997 1996 ---- ---- ASSETS - ------ Investments $61,895,775 $60,834,087 Receivable from investments 668,261 779,075 ------------------ ------------------ TOTAL $62,564,036 $61,613,162 ================== ================== LIABILITIES AND PARTNERS' CAPITAL - --------------------------------- LIABILITIES: Redemptions payable $ 668,261 $ 778,385 Profit shares payable - 689 ------------------ ------------------ Total liabilities 668,261 779,074 ------------------ ------------------ PARTNERS' CAPITAL: General Partner: (780 and 780 Series A Units) 214,127 196,983 (1976 and 1976 Series B Units) 440,840 405,594 (1439 and 1439 Series C Units) 250,197 230,192 Limited Partners: (51572 and 55596 Series A Units) 14,157,788 14,040,479 (137722 and 146552 Series B Units) 30,726,644 30,082,484 (92630 and 99256 Series C Units) 16,106,179 15,878,356 ------------------ ------------------ Total partners' capital 61,895,775 60,834,088 ------------------ ------------------ TOTAL $62,564,036 $61,613,162 ================== ================== NET ASSET VALUE PER UNIT Series A (Based on 52352 and 56376 Units outstanding) $ 274.52 $ 252.54 ================== ================== Series B (Based on 139698 and 148528 Units outstanding) $ 223.11 $ 205.27 ================== ================== Series C (Based on 94069 and 100695 Units outstanding) $ 173.88 $ 159.97 ================== ================== 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 nine For the nine months ended months ended months ended months ended September 30, September 30, September 30, September 30, 1997 1996 1997 1996 ------------------ ------------------ ------------------ ------------------ REVENUES: Trading profits (loss): Realized $ - $ (393,434) $ - $ 986,680 Change in unrealized - 1,668,447 - 1,860,042 ------------------ ------------------ ------------------ ------------------ Total trading results - 1,275,013 - 2,846,722 ------------------ ------------------ ------------------ ------------------ Interest income - 536,654 - 1,703,650 Income from investments 4,026,458 - 5,219,594 - ------------------ ------------------ ------------------ ------------------ Total revenues 4,026,458 1,811,667 5,219,594 4,550,372 ------------------ ------------------ ------------------ ------------------ EXPENSES: Profit shares - - - 9,078 Brokerage commissions - 1,544,898 - 4,917,818 Administrative fees - 32,872 - 104,635 ------------------ ------------------ ------------------ ------------------ Total expenses - 1,577,770 - 5,031,531 ------------------ ------------------ ------------------ ------------------ NET INCOME (LOSS) $4,026,458 $ 233,897 $5,219,594 $ (481,159) ================== ================== ================== ================== NET INCOME (LOSS) PER UNIT: Weighted average number of units outstanding 292,180 321,184 297,946 333,307 ================== ================== ================== ================== Weighted average net income (loss) per Limited Partner and General Partner Unit $ 13.78 $0.73 $ 17.52 $(1.44) ================== ================== ================== ================== 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 nine months ended September 30, 1997 and 1996 -----------------------------------------------------
Units Limited Partners ---------- ----------------- Series A Series B Series C Series A Series B --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, December 31, 1995 63,573 168,337 117,797 $13,205,024 $28,450,897 Redemptions (5,073) (17,130) (13,699) (1,113,315) (2,915,985) Net loss - - - (63,443) (241,076) --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, September 30, 1996 58,500 151,207 104,098 $12,028,266 $25,293,836 =============== ============ ============= ================= ================= PARTNERS' CAPITAL, December 31, 1996 56,376 148,528 100,695 $14,040,479 $30,082,484 Redemptions (4,024) (8,830) (6,626) (1,091,900) (1,936,437) Net income - - - 1,209,209 2,580,597 --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, September 30, 1997 52,352 139,698 94,069 $14,157,788 $30,726,644 =============== ============ ============= ================= ================= General Partner ---------------- Series C Series A Series B Series C Total --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, December 31, 1995 $15,571,401 $164,028 $337,920 $192,564 $57,921,834 Redemptions (1,827,493) - - - $(5,856,793) Net loss (169,841) (1,485) (3,013) (2,301) $ (481,159) --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, September 30, 1996 $13,574,067 $162,543 $334,907 $190,263 $51,583,882 =============== ============ ============= ================= ================= PARTNERS' CAPITAL, December 31, 1996 $15,878,356 $196,983 $405,594 $230,192 $60,834,088 Redemptions (1,129,570) - - - $(4,157,907) Net income 1,357,393 17,144 35,246 20,005 $ 5,219,594 --------------- ------------ ------------- ----------------- ----------------- PARTNERS' CAPITAL, September 30, 1997 $16,106,179 $214,127 $440,840 $250,197 $61,895,775 =============== ============ ============= ================= ================= 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" or the "Fund") as of September 30, 1997 and the results of its operations for the nine months ended September 30, 1997 and 1996. However, the operating results for the interim periods may not be indicative of the results expected for the full year. Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with 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, 1996 (the "Annual Report"). 2. INVESTMENTS At September 30, 1997, the Partnership had investments in the ML JWH Financial and Metals Portfolio L.L.C. ("JWH LLC") and ML Millburn Global L.L.C. ("Millburn LLC"). Total revenues and fees with respect to such investments is set forth as follows:
For the three months Total Brokerage Administrative Profit Income from ended September 30, Revenue Commissions Fees Shares Investments 1997 ------------------- ----------------- ------------------ ------------------- ------------------- SERIES A UNITS JWH LLC $1,071,218 $174,245 $ 4,586 $ 31,350 $ 861,037 Millburn LLC 292,516 186,294 4,902 21,974 79,346 ------------------- ----------------- ------------------ ------------------- ------------------- Total $1,363,734 $360,539 $ 9,488 $ 53,324 $ 940,383 =================== ================= ================== =================== =================== SERIES B UNITS JWH LLC $2,298,494 $374,547 $ 9,857 $ 66,946 $1,847,144 Millburn LLC 629,907 403,749 10,626 46,810 168,722 ------------------- ----------------- ------------------ ------------------- ------------------- Total $2,928,401 $778,296 $20,483 $113,756 $2,015,866 =================== ================= ================== =================== =================== SERIES C UNITS JWH LLC $1,216,513 $197,276 $ 5,192 $ 35,664 $ 978,381 Millburn LLC 335,489 212,667 5,596 25,398 91,828 ------------------- ----------------- ------------------ ------------------- ------------------- Total $1,552,002 $409,943 $10,788 $ 61,062 $1,070,209 =================== ================= ================== =================== =================== TOTAL ALL UNITS - ------------------- JWH LLC $4,586,225 $746,068 $19,635 $133,960 $3,686,562 Millburn LLC 1,257,912 802,710 21,124 94,182 339,896 ------------------- ----------------- ------------------ ------------------- ------------------- Total $ 5,844,137 $1,548,778 $ 40,759 $ 228,142 $4,026,458 =================== ================= ================== =================== ===================
5
For the nine months Total Brokerage Administrative Profit Income from ended September 30, Revenue Commissions Fees Shares Investments 1997 ------------------- ----------------- ------------------ ------------------- ------------------- SERIES A UNITS JWH LLC $ 1,009,462 $ 512,799 $ 13,144 $ 31,914 $ 451,605 Millburn LLC 1,571,585 575,589 14,752 206,496 774,748 ------------------- ----------------- ------------------ ------------------- ------------------- Total $ 2,581,047 $1,088,388 $ 27,896 $ 238,410 $1,226,353 =================== ================= ================== =================== =================== SERIES B UNITS JWH LLC $ 2,160,892 $1,103,112 $ 28,279 $ 67,741 $ 961,760 Millburn LLC 3,371,038 1,243,925 31,890 441,140 1,654,083 ------------------- ----------------- ------------------ ------------------- ------------------- Total $ 5,531,930 $2,347,037 $ 60,169 $ 508,881 $2,615,843 =================== ================= ================== =================== =================== SERIES C UNITS JWH LLC $ 1,136,736 $ 583,702 $ 14,964 $ 36,009 $ 502,061 Millburn LLC 1,784,120 658,445 16,880 233,458 875,337 ------------------- ----------------- ------------------ ------------------- ------------------- Total $ 2,920,856 $1,242,147 $ 31,844 $ 269,467 $1,377,398 =================== ================= ================== =================== =================== TOTAL ALL UNITS - ------------------- JWH LLC $ 4,307,090 $2,199,613 $ 56,387 $ 135,664 $1,915,426 Millburn LLC 6,726,743 2,477,959 63,522 881,094 3,304,168 ------------------- ----------------- ------------------ ------------------- ------------------- Total $11,033,833 $4,677,572 $119,909 $1,016,758 $5,219,594 =================== ================= ================== =================== ===================
6 As significant investees, income statement information for JWH LLC and Millburn LLC is set forth as follows: ML JWH FINANCIAL AND METALS PORTFOLIO LLC - ----------------------------------------- (a Delaware limited partnership) -------------------------------- STATEMENTS OF INCOME --------------------
For the three For the nine months ended months ended September 30, September 30, 1997 1997 --------------------- ----------------- REVENUES: Trading profits (loss): Realized $6,666,871 $3,199,095 Change in unrealized 1,824,620 3,394,200 --------------------- ----------------- Total trading results 8,491,491 6,593,295 --------------------- ----------------- Interest income 788,805 2,312,273 --------------------- ----------------- Total revenues 9,280,296 8,905,568 --------------------- ----------------- EXPENSES: Profit shares 389,699 406,321 Brokerage commissions 1,446,028 4,088,876 Administrative fees 39,632 110,113 --------------------- ----------------- Total expenses 1,875,359 4,605,310 --------------------- ----------------- NET INCOME $7,404,937 $4,300,258 ===================== =================
7 ML MILLBURN GLOBAL L.L.C. ------------------------- (a Delaware limited partnership) -------------------------------- STATEMENTS OF INCOME --------------------
For the three For the nine months ended months ended September 30, September 30, 1997 1997 --------------------- ----------------- REVENUES: Trading profits (loss): Realized $1,198,944 $ 7,430,295 Change in unrealized (215,294) (1,158,707) --------------------- ----------------- Total trading results 983,650 6,271,588 --------------------- ----------------- Interest income 400,945 1,151,318 --------------------- ----------------- Total revenues 1,384,595 7,422,906 --------------------- ----------------- EXPENSES: Profit shares 103,793 973,415 Brokerage commissions 876,568 2,702,727 Administrative fees 23,235 69,944 --------------------- ----------------- Total expenses 1,003,596 3,746,086 --------------------- ----------------- NET INCOME $ 380,999 $ 3,676,820 ===================== =================
8 3. INCOME (LOSS) PER UNIT The profit and loss of the Series A, Series B and Series C Units for the three months ended September 30, 1997 and 1996 is as follows:
1997 1996 ------------------------------------------------ -------------------------------------------- Series A Series B Series C Series A Series B Series C ---------------- --------------- --------------- -------------- --------------- ------------- REVENUES: Trading profits (loss): Realized $ - $ - $ - $(70,691) $(192,476) $(130,267) Change in unrealized - - - 380,443 834,090 453,914 ---------------- --------------- --------------- -------------- --------------- ------------- Total trading results - - - 309,752 641,614 323,647 ---------------- --------------- --------------- -------------- --------------- ------------- Interest income - - - 124,044 267,807 144,803 Income from investments 940,383 2,015,866 1,070,209 - - - ---------------- --------------- --------------- -------------- --------------- ------------- Total revenues 940,383 2,015,866 1,070,209 433,796 909,421 468,450 ---------------- --------------- --------------- -------------- --------------- ------------- EXPENSES: Profit shares - - - - - - Brokerage commissions - - - 359,655 767,928 417,315 Administrative fees - - - 7,653 16,339 8,880 ---------------- --------------- --------------- -------------- --------------- ------------- Total expenses - - - 367,308 784,267 426,195 ---------------- --------------- --------------- -------------- --------------- ------------- NET INCOME $940,383 $2,015,866 $1,070,209 $ 66,488 $ 125,154 $ 42,255 ================ =============== =============== ============== =============== ============= NET INCOME PER UNIT: Weighted average number of units outstanding 53,601 142,368 96,211 58,918 154,634 107,632 ================ =============== =============== ============== =============== ============= Weighted average net income per Limited Partner and General Partner Unit $ 17.54 $ 14.16 $ 11.12 $1.13 $0.81 $0.39 ================ =============== =============== ============== =============== =============
9 The profit and loss of the Series A, Series B and Series C Units for the nine months ended September 30, 1997 and 1996 is as follows:
1997 1996 --------------------------------------------- -------------------------------------------------- Series A Series B Series C Series A Series B Series C ------------- ------------- ------------- -------------- -------------- -------------- REVENUES: Trading profits : Realized $ - $ - $ - $ 274,534 $ 480,980 $ 231,166 Change in unrealized - - - 431,039 929,339 499,664 ------------- ------------- ------------- -------------- -------------- -------------- Total trading results - - - 705,573 1,410,319 730,830 Interest income - - - 386,645 850,816 466,189 Income from investments 1,226,353 2,615,843 1,377,398 - - - ------------- ------------- ------------- -------------- -------------- -------------- Total revenues 1,226,353 2,615,843 1,377,398 1,092,218 2,261,135 1,197,019 ------------- ------------- ------------- -------------- -------------- -------------- EXPENSES: Profit shares - - - 5,557 1,065 2,456 Brokerage commissions - - - 1,127,598 2,451,989 1,338,231 Administrative fees - - - 23,992 52,170 28,473 --------------------------------------------- -------------- -------------- -------------- Total expenses - - - 1,157,147 2,505,224 1,369,160 ------------- ------------- ------------- -------------- -------------- -------------- NET INCOME (LOSS) $1,226,353 $2,615,843 $1,377,398 $ (64,929) $ (244,089) $ (172,141) ============= ============= ============= ============== ============== ============== NET INCOME (LOSS) PER UNIT: Weighted average number of units outstanding 54,618 144,913 98,415 60,240 160,784 112,283 ============= ============= ============= ============== ============== ============== Weighted average net income (loss) per Limited Partner and General Partner Unit $ 22.45 $ 18.05 $ 14.00 $(1.08) $(1.52) $(1.53) ============= ============= ============= ============== ============== ==============
10 4. FAIR VALUE AND OFF-BALANCE SHEET RISK The Partnership's revenues by reporting category for the respective periods were as follows
For the three For the nine months ended months ended September 30, September 30, 1996 1996 ------------------- ------------------- Interest rate & Stock indices $ 3,641,871 $1,190,889 Currencies (2,708,181) 1,521,270 Metals 341,323 134,563 ------------------- ------------------- $ 1,275,013 $2,846,722 =================== ===================
The average fair value of the Partnership's derivative instrument positions which were open as of the end of each calendar month during the year ended December 31, 1996 were as follows (there were no open contracts for each of the nine months ended September 30, 1997):
1996 ------------------------------------------- Commitment to Commitment to Purchase (Futures, Sell (Futures, Options & Forwards) Options & Forwards) --------------------- --------------------- Interest rate & Stock indices $250,831,694 $190,374,835 Currencies 296,018,497 334,030,991 Metals 18,491,709 29,682,273 ---------------- ------------------ $565,341,900 $554,088,099 ================ ==================
5. RELATED PARTY TRANSACTIONS MLIP is currently reviewing certain aspects of the interest arrangements between the Partnership and certain affiliates of MLIP. The purpose of the review is to confirm that the Partnership received interest credits as described in its Prospectus. The results of this review have not been determined. Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations Operational Overview: Advisor Selections - ------------------------------------------ Due to the nature of the Fund's business, its results of operations depend on Merrill Lynch Investment Partners Inc.'s, ("MLIP") ability to select Advisors and determine the appropriate percentage of 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 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. 11 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 1996, the Series' average month-end Net Assets equaled $12,592,749, and the Series recognized gross trading profit of $705,573 or 5.60% of such average month-end Net Assets. Brokerage commissions of $1,127,598 or 8.95%, Administrative fees of $23,992 or .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 Assets which resulted in a .90% decrease in the Net Asset Value per Unit since December 31, 1995. During the first nine months of 1997, the Series' average month-end Net Assets equaled $14,495,434. Income from investments resulted in a net gain of $1,226,353 or 8.46 % of average month-end Net Assets which resulted in a 8.70 % increase in the Net Asset Value per Unit since December 31, 1996. During the first nine months of 1997 and 1996, the Series experienced 8 profitable months and 10 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES A UNIT Jan. Feb. Mar. Apr May Jun Jul Aug Sep -------------------------------------------------------------------------------------------------------- 1996 $231.67 $209.48 $205.35 $213.42 $204.22 $207.21 $206.87 $201.95 $208.39 - ---------------------------------------------------------------------------------------------------------- 1997 $273.52 $270.58 $267.94 $261.04 $251.03 $257.22 $283.93 $270.03 $274.52 - ----------------------------------------------------------------------------------------------------------
SERIES B UNITS: During the first nine months of 1996, the Series' average month-end Net Assets equaled $27,373,367, and the Series recognized gross trading profit of $1,410,319 or 5.15% of such average month-end Net Assets. Brokerage commissions of $2,451,989 or 8.96%, Administrative fees of $52,170 or .19% and Profit shares of $1,065 or .004% 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 1997, the Series' average month-end Net Assets equaled $31,283,609. Income from investments resulted in net gain of $2,615,843 or 8.36 % of average month-end Net Assets which resulted in a 8.69 % increase in the Net Asset Value per Unit since December 31, 1996. During the first nine months of 1997 and 1996, the Series experienced 8 profitable months and 10 unprofitable months.
MONTH-END NET ASSET VALUE PER SERIES B UNIT Jan. Feb. Mar. Apr May Jun Jul Aug Sep - --------------------------------------------------------------------------------------------------------- 1996 $188.93 $171.14 $167.47 $173.94 $166.31 $168.64 $168.41 $164.21 $169.49 - --------------------------------------------------------------------------------------------------------- 1997 $222.32 $219.93 $217.78 $212.17 $204.08 $209.10 $230.77 $219.46 $223.11 - ---------------------------------------------------------------------------------------------------------
SERIES C UNITS: During the nine months of 1996, the Series' average month-end Net Assets equaled $15,398,289, and the Series realized gross trading profit of $730,830 or 4.75% of such average month-end Net Assets. Brokerage commissions of $1,338,231 or 8.69%, Administrative fees 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 1997, the Series' average month-end Net Assets equaled $16,550,212. Income from Investments resulted in net gain of $ 1,377,398 or 8.32 % of average month-end Net Assets which resulted in a 8.70 % increase in the Net Asset Value since December 31, 1996. During the first nine months of 1997 and 1996, the Series experienced 8 profitable months and 10 unprofitable months. 12
MONTH-END NET ASSET VALUE PER SERIES C UNIT Jan. Feb. Mar. Apr May Jun Jul Aug Sep - ---------------------------------------------------------------------------------------------------------- 1996 $147.90 $133.80 $130.88 $135.93 $129.91 $131.79 $131.69 $128.12 $132.22 - ---------------------------------------------------------------------------------------------------------- 1997 $173.26 $171.40 $169.73 $165.35 $159.04 $162.96 $179.85 $171.03 $173.88 - ----------------------------------------------------------------------------------------------------------
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 Advisors' 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. 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. 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. 13 PART II - OTHER INFORMATION Item 1. Legal Proceedings There are no pending legal proceedings to which the Partnership or the General Partner is a party. John W. Henry & Company, Inc., ("JWH") is one of the Advisors retained by the Fund, managing approximately 49% of the fund's assets committed to trading as of October 1, 1997. In September 1996, JWH was named as a co-defendant in a class action lawsuits brought in the California Superior Court, Los Angeles County and in the New York Supreme Court, New York County. In November 1996, JWH was named as a co-defendant in a class action complaint filed in Superior Court of the State of Delaware for Newcastle County that contained the same allegations as the New York and California complaints. The actions, which seek unspecified damages, purport to be brought on behalf of investors in certain Dean Witter, Discover & Co. ("Dean Witter") commodity pools, some of which are advised by JWH, and are primarily directed at Dean Witter's alleged fraudulent selling practices in connection with the marketing of those pools. JWH is essentially alleged to have aided and abetted or directly participated with Dean Witter in those practices. JWH believes the allegations against it are without merit; it intends to contest these allegations vigorously, and is convinced that it will be shown to have acted properly and in the best interest of the investors. Item 2. Changes in Securities None. Item 3. Defaults Upon Senior Securities None. Item 4. Submission of Matters to a Vote of Security Holders None. Item 5. Other information Ms. Eilene Nicoll is the vice president of trading administration and a member of the Investment Policy Committee of John W. Henry & Company, Inc. ("JWH"). Prior to joining JWH in July 1997, Ms. Nicoll was a vice president beginning in January 1997 at Commercial Materials, L.L.C., a newly organized corporation which has not yet begun operations. She was a vice president and director at West Course Capital, Inc., a CTA, from January 1994 until it dissolved in December 1996. At West Course Capital, Inc., Ms. Nicoll was responsible for operations and administration. Prior to joining West Course Capital, Inc., she was a vice president at REFCO, Inc. from May 1991 to December 1993. While at REFCO, Inc., she was also a principal of Nikkhah & Nicoll Asset Management, Inc., a CPO. Ms. Nicoll was at Shearson Lehman Brothers from January 1987 to December 1990 as vice president-futures, and subsequently, from January 1991 to May 1991, at Moore Capital Management, Inc. where she was involved in all aspects of the commodity trading advisor business, including administration, marketing, and allocation of proprietary capital. From 1984 through 1986, she was an independent discretionary trader. Ms. Nicoll was employed at Commodities Corporation (USA) N.V. from 1978 to 1984 where she was an assistant vice president. Ms. Nicoll received her B.A. in psychology from Brooklyn College. Ms. Glenda G. Twist and Mr. John A. Ford are no longer principals of JWH effective August 1, 1997 and August 31, 1997, respectively. Item 6. Exhibits and Reports on Form 8-K. (a) Exhibits -------- There are no exhibits required to be filed as part of this document. (b) Reports on Form 8-K ------------------- There were no reports on Form 8-K filed during the first nine months of fiscal 1997. 14 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 14, 1997 By /s/JOHN R. FRAWLEY, JR. ----------------------- John R. Frawley, Jr. President, Chief Executive Officer and Director Date: November 14, 1997 By /s/MICHAEL A. KARMELIN ---------------------- Michael A. Karmelin Chief Financial Officer, Vice President and Treasurer EX-27 2 FINANCIAL DATA SCHEDULE
BD 9-MOS 9-MOS DEC-31-1996 DEC-31-1995 JAN-01-1997 JAN-01-1996 SEP-30-1997 SEP-30-1996 0 0 62,564,036 52,852,720 0 0 0 0 0 0 0 0 62,564,036 52,852,720 0 0 668,261 1,268,838 0 0 0 0 0 0 0 0 0 0 0 0 0 0 61,895,775 51,583,882 62,564,036 52,852,720 0 2,846,722 0 1,703,650 0 5,031,531 5,219,594 0 0 0 0 0 0 0 5,219,594 (481,159) 5,219,594 (481,159) 0 0 0 0 5,219,594 (481,159) 17.52 (1.44) 17.52 (1.44)
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