HENRY JOHN W & CO/MILLBURN L P - 10-Q Quarterly Report

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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 September 30, 2003

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 Alternative Investments 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
---------------------------------

See notes to financial statements.

2

JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF OPERATIONS
------------------------
(unaudited)

All items of income and expense are allocated from investments in Trading LLC's.
Certain 2002 information has been reclassified to conform to 2003 presentation.
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, 2003 and 2002
------------------------------------------------------
(unaudited)

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 September 30,
2003, and the results of its operations for the three and nine month periods
ended September 30, 2003 and 2002. 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,
2002.

2. INVESTMENTS

As of September 30, 2003, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC")
("Trading LLC", collectively) of $16,116,954 and $16,116,954, respectively. For
the year ending December 31, 2002, the Partnership had investments in JWH LLC
and Millburn LLC of $15,464,388 and $15,464,388, respectively.

Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:

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.

The General Partner, Merrill Lynch Alternative Investments LLC ("MLAI 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 MLAI LLC does
not itself intervene in the markets to hedge or diversify the Partnership's
market exposure, MLAI 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, MLAI 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.

6

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 of the Trading LLC's 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

MONTH-END NET ASSET VALUE PER SERIES B UNIT

MONTH-END NET ASSET VALUE PER SERIES C UNIT

Performance Summary

All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits as an investor in the Trading LLCs. The following
commentary describes the trading results of the Trading LLCs.

7

January 1, 2003 to September 30, 2003
- -------------------------------------

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the interest rate, stock index and currency
sectors and losses in the metals sector. Overall, the Partnership experienced a
positive rate of return for the quarter.

Interest rate futures were the best performers for the quarter. Interest rates
continued to push lower as economic data for the fourth quarter announced an
annual growth rate for the economy of about 1% for 2002. Consumer spending and
confidence remained low and even the housing market stumbled in March. The
global fixed income markets continued their upward climb until mid-March when
expectations of a short conflict triggered the liquidation of many fixed income
investments hurting long exposure.

Trading in stock indices posted gains for each of the months in the quarter.
European stock markets attempted to start the year with some optimism only to
succumb to eroding prices throughout the quarter. Global economies suffered
throughout the quarter; however, in mid-March the equities market did react with
the currency and fixed income markets. Equities appeared to be more in tune to
the overall market fundamental and were quick to resume their downward trend.

The currency forward and futures trading had gains for the quarter. The
weakening U.S. dollar was continuing to decline as it has for over a year and
the Partnership was well positioned to capitalize on its U.S. dollar positions
against other currencies. In March, on hopes that the war with Iraq would be
short, the U.S. dollar strengthened and returned some of the profits earned
early in the year.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Partnership sustained losses in February as the long
bias in precious metals hurt the portfolio when gold reversed its rising trend
in February with the announcement that the German Bundesbank had sold a portion
of its gold reserves. Industrial metals markets were choppy throughout the
quarter.

April 1, 2003 to June 30, 2003

The Partnership realized gains in the currency, interest rate and stock index
sectors. Losses were realized in the metals sector. Overall, the Partnership
recognized gains for the quarter.

The currency sector drove the returns of the Partnership for the quarter. The
currency markets judged the developments in the Middle East as negative for the
U.S. economy and trade, and the U.S. dollar sold off against most major
currencies in April and May. U.S. Treasury Secretary John Snow indicated he was
comfortable with current decline in the U.S. dollar and that a cheaper U.S.
dollar would increase exports. The U.S. dollar reversed its weakening trend in
June which offset some of the previous gains.

The interest rate sector provided the Partnership with profits for the second
quarter. May gains outpaced losses from June. The decline in interest rates
resulted in profits in many of the Partnership's long positions. Some factors
that kept the interest rates falling were rumors of deflation, hedging by long
term lenders against the falling interest rates, and foreign banks buying U.S.
Treasuries as part of their monetary policy to control the value of their
currency. The market reversed in June due to disappointing news about a smaller
rate cut by the Federal Reserve then expected.

The stock index futures produced small gains for the quarter capitalizing on the
global upswing in stock prices in June. Investors reacted to the hope that
deflation and economic contraction were coming to an end in Japan. Reports
indicate that the rally in Japanese stocks has been fueled by foreign mutual
funds, hedge funds and other non-Japanese institutional investors who invested
more than ten times as much as local investors in June.

8

The metals sector posted a small loss for the second quarter. Positions in gold
shifted from profitable to not throughout the quarter. Copper and other base
metals were unprofitable.

July 1, 2003 to September 30, 2003

Two out of the four sectors were profitable during the third quarter for the
Partnership. Gains were generated in the stock and metals sectors, while
losses were posted in interest rates and the currency sectors.

The stock index sector posted the strongest profits for the third quarter.
During the first part of the third quarter, U.S. equities were fairly quiet
while strong gains were generated in trading global stock indices. The mid
part of the third quarter, the Japanese Nikkei was the star performer as it
gained over 8% on strong economic numbers. Gains in the Nikkei and the U.S.
outweighed small losses in other markets. At the end of the third quarter,
small gains in the Japanese Nikkei and the CAC 40 were outweighed by losses
in other global indices.

The metals sector posted gains for the third quarter. The beginning of the
third quarter profits in the industrial complex were outweighed by losses in
the precious metal sector. Copper and other industrial metals rallied on
technical buying and stronger demand as economies showed stronger growth
prospects. During the mid third quarter, the metals sector posted a gain
while profits in precious metals outweighed losses in the industrial complex.
Long exposure in gold generated gains as the market rallied $20 per ounce,
while long exposure in copper and other industrial metals posted losses. At
the end of the third quarter, the metals sector posted a profit with long
positions in the metals, particularly gold and nickel, making significant
price movements to the upside. Wherein, gold appreciated by 2.50% and nickel
appreciated by 8.02%. In September, both the industrial and metal complex
sectors benefited from increases in valuation.

The interest rate sector posted a loss for the third quarter. The beginning
of the third quarter U.S. bond market suffered heavy losses after the U.S.
government announced its intentions to borrow a record amount to finance the
huge deficit. European bonds were weaker, but outperformed the U.S. Profits
generated in the U.S. segment of the portfolio, across the entire yield curve
outweighed losses in global bonds. In the mid part of the third quarter,
there were massive sell-offs in bonds during July, which seemed to have found
a base during the month of August. Despite a record $60 billion refunding
program in the U.S., bonds managed a timid recovery after making new lows
while the Japanese government bonds lost five figures. With interest rates on
hold at the short end of the curve in the U.S., trading was characterized by
small ranges, which generated minor losses. The Japanese government bond
exposure outweighed moderate losses across other global fixed income markets.
At the end of the third quarter the short positions in the ten year and
30-year sector of the U.S. bond market generated losses, as yields dropped
from 4.46% to 3.94% on the ten year.

The currency sector posted a loss for the third quarter for the Partnership.
In the beginning of the third quarter, the U.S. Dollar appreciated relative
to other currencies with losses being experienced in most positions
specifically, the Australian dollar, the Canadian dollar and the British
pound. Large reversals occurred in these carry-trades, as markets focused
attention on economic fundamentals rather than yield differentials. During
the middle of the third quarter the U.S. dollar appreciated relative to the
European currencies. The third quarter ended with the G-7 summit directing
the market to the idea that a weak U.S. dollar is important to global trade
balance. Foreign currencies against the U.S. dollar appreciated.

9

January 1, 2002 to September 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.

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.

July 1, 2002 to September 30, 2002

Results from the interest rate sector provided solid positive performance for
the Partnership. The yield curve on major debt instruments declined throughout
the quarter. This market environment was supported by the increased risk
aversion, the continued U.S. stock market decline and the conflicting

10

reports regarding the pace of the U.S. economic recovery. The economic news from
Europe also pointed to a weak recovery overseas.

Stock index futures also brought strong positive returns for the quarter. The
downward trending market created a good environment for the trend following
traders. Investors in the equity markets are still liquidating equity exposure.

Metals produced only slight losses this quarter citing declines in precious and
base metals throughout the quarter due to liquidation pressures in the market.
Gold, however, had a weak rally during the second half of the quarter.

Currency trading was the sad story this quarter being the sector with overall
losses. The sector was choppy throughout the quarter making it difficult for any
of the trend following traders to lock onto a market trend.

The Partnership, as a member of a class of plaintiffs, received a settlement
payment in August relating to certain copper trades made by a number of
investors, including the Partnership, during a period in the mid-1990s. Members
of the class were those who purchased or sold Comex copper futures or options
contracts between June 24, 1993 and June 15, 1996. The amount of the settlement
for the Partnership was $100,571, which is included in the realized profit of
JWH LLC and Millburn LLC for $52,219 and $48,352, respectively. The effect of
the settlement payment was included in the Partnership's performance in August.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry
& Co./Millburn L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

11

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending legal proceedings to which the Partnership or
MLAI 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 nine months
of fiscal 2003.

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: MERRIL LYNCH ALTERNATIVE
INVESTMENTS LLC
General Partner

Date: November 14, 2003 By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

Date: November 14, 2003 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 180 of the United States Code
--------------------------------------

I, Robert M. Alderman, certify that:

1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;

b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and

c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: November 14, 2003

- ----------------------
By /s/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

14

EXHIBIT 99 (a)

AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended September 30, 2003 as filed with the Securities
and Exchange Commission on the date hereof, I, Robert M. Alderman, certify,
pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley
Act of 2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.

Date: November 14, 2003

- ----------------------
By /s/ ROBERT M. ALDERMAN
---------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

15

EXHIBIT 99

Form of Certification Pursuant to Section 1350 of Chapter 63
------------------------------------------------------------
of Title 180 of the United States Code
--------------------------------------

I, Michael L. Pungello, certify that:

1. I have reviewed this quarterly report on Form 10-Q of John W. Henry &
Co./Millburn L.P.;

2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

a) designed such disclosure controls and procedures to ensure that material
information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;

b) evaluated the effectiveness of the registrant's disclosure controls and
procedures as of a date within 90 days prior to the filing date of this
quarterly report (the "Evaluation Date"); and

c) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent
functions):

a) all significant deficiencies in the design or operation of internal
controls which could adversely affect the registrant's ability to record,
process, summarize and report financial data and have identified for the
registrant's auditors any material weaknesses in internal controls; and

b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.

Date: November 14, 2003

- -----------------------
By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

16

EXHIBIT 99 (a)

AS ADOPTED TO
-------------
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
---------------------------------------------

In connection with this quarterly report of John W. Henry & Co./Millburn L.P. on
Form 10-Q for the period ended September 30, 2003 as filed with the Securities
and Exchange Commission on the date hereof, I, Michael L. Pungello, certify,
pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley
Act of 2002, that:

1. This quarterly report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of John W.
Henry & Co./Millburn L.P.

Date: November 14, 2003

- -----------------------
By /s/ MICHAEL L. PUNGELLO
----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

17