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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
================ ================
5
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
================ ================
6
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
================ ================ ================ ================
7
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