FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR (  )TRANSITION REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIESEXCHANGE ACT OF 1934

For The Quarter Ended June 30,2005

Commission File Number 0-50271

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

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(Exact name of registrantas specified in its charter)

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|--------------------------------------------------------------|--|-------------------------------------|--|--|--|--|
| New York                                                     |  | 22-3644546                          |
| (State orother jurisdiction ofincorporation or organization) |  | (I.R.S. EmployerIdentification No.) |
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c/oCitigroup Managed Futures LLC 399 Park Avenue. – 7thFl. New York, New York 10022

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(Address and Zip Code ofprincipal executive offices)

(212) 559-2011

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(Registrant'stelephone number, including area code)

Indicate by checkmark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subjectto such filing requirements for the past 90 days.

Yes  X    No      

Indicate by check mark whether the registrant is anaccelerated filer (as defined in Rule 12b-2 of the Exchange Act).

Yes  X    No      

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SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |                                                                                                                           |  |               |  |  |  |  |  |  |
|---------------------------------|--|---------------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|
|                            |  |                                                                                                                      |  | PageNumber    |
| PART I - Financial Information: |  |
| Item1.                          |  | FinancialStatements:                                                                                                      |  |          |
|                            |  | Statements ofFinancial Condition at June 30, 2005 and December 31, 2004(unaudited)                                        |  | 3             |
|                            |  | Condensed Schedules of Investments at June 30,2005 and December 31, 2004 (unaudited)                                      |  | 4 –5    |
|                            |  | Statements of Income and Expensesand Partners' Capital for the three and six months endedJune 30, 2005and 2004(unaudited) |  | 6             |
|                            |  | Statementsof Cash Flows for the three and six monthsended June 30, 2005and 2004(unaudited)                                |  | 7             |
|                            |  | Notes toFinancial Statements (unaudited)                                                                                  |  | 8 –12   |
| Item 2.                         |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations                                        |  | 13 – 14 |
| Item3.                          |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                  |  | 15 – 16 |
| Item4.                          |  | Controls andProcedures                                                                                                    |  | 17            |
| PART II -OtherInformation       |  |                                                                                                                      |  | 18            |
|                                 |

2

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PART I

Item 1.Financial Statements

Salomon Smith Barney Orion Futures FundL.P. Statements of Financial Condition(Unaudited)

|                                                                                                                                        |  |             |             |                 |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|-------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                   |  | June30,2005 |             | December31,2004 |
| **Assets:**                                                                                                                            |  |        |        |            |  |   |        |   |
| Investmentin Partnerships, at fairvalue                                                                                                |  | $           | 103,359,071 |            |  | $      | 84,542,782  |   |
| Equityin commodity futures trading account:                                                                                            |  |
| Cash(restricted $11,857,398 and $5,271,154 in 2005 and 2004, respectively)in commodity futures tradingaccount                          |  |        | 41,141,869  |            |  |   | 36,084,976  |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |        | 4,143,383   |            |  |   | 2,612,228   |   |
|                                                                                                                                   |  |        | 148,644,323 |            |  |   | 123,239,986 |   |
| Interestreceivable                                                                                                                     |  |        | 107,037     |            |  |   | 62,043      |   |
|                                                                                                                                   |  | $           | 148,751,360 |            |  | $      | 123,302,029 |   |
|                                                                                                                                   |  |        |        |            |  |   |        |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |        |        |            |  |   |        |   |
| Liabilities:                                                                                                                           |  |        |        |            |  |   |        |   |
| Accruedexpenses:                                                                                                                       |  |        |        |            |  |   |        |   |
| Commissions                                                                                                                            |  | $           | 344,619     |            |  | $      | 162,453     |   |
| Managementfees                                                                                                                         |  |        | 223,492     |            |  |   | 192,180     |   |
| Administrativefees                                                                                                                     |  |        | 60,927      |            |  |   | 52,089      |   |
| Incentivefees                                                                                                                          |  |        | 2,304,369   |            |  |   | 849,874     |   |
| Other                                                                                                                                  |  |        | 151,591     |            |  |   | 142,507     |   |
| Redemptionspayable                                                                                                                     |  |        | 2,616,653   |            |  |   | 3,119,102   |   |
|                                                                                                                                   |  |        | 5,701,651   |            |  |   | 4,518,205   |   |
|                                                                                                                                   |  |        |        |            |  |   |        |   |
| Partners'Capital:                                                                                                                      |  |        |        |            |  |   |        |   |
| General Partner,865.3542 Unit equivalents outstanding in 2005 and2004                                                                  |  |        | 1,306,391   |            |  |   | 1,184,090   |   |
| LimitedPartners, 93,890.7288 and 85,943.7403 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |        | 141,743,318 |            |  |   | 117,599,734 |   |
|                                                                                                                                   |  |        | 143,049,709 |            |  |   | 118,783,824 |   |
|                                                                                                                                   |  | $           | 148,751,360 |            |  | $      | 123,302,029 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments June 30,2005(Unaudited)

|                                        |  |                                    |  |           |             |         |  |  |  |  |
|----------------------------------------|--|------------------------------------|--|-----------|-------------|---------|--|--|--|--|
| Sector                                 |  | Contract                           |  | FairValue |
| Currencies                             |  |                               |  |      |        |    |
|                                   |  | Futurescontracts purchased (0.34)% |  | $         | (481,943    | )  |
|                                   |  | Futures contracts sold2.38%        |  |      | 3,407,700   |    |
| Total Currencies2.04%                  |  |                               |  |      | 2,925,757   |    |
| Energy                                 |  |                               |  |      |        |    |
|                                   |  | Futurescontracts purchased (0.51)% |  |      | (733,369    | )  |
|                                   |  | Futures contracts sold0.00%*       |  |      | 475         |    |
| Total Energy(0.51)%                    |  |                               |  |      | (732,894    | )  |
| Grains (0.46)%                         |  | Futurescontracts purchased(0.46)%  |  |      | (658,213    | )  |
| Interest Rates U.S. 0.60%              |  | Futures contractspurchased 0.60%   |  |      | 863,949     |    |
| Interest Rates Non-U.S. 1.47%          |  | Futures contractspurchased 1.47%   |  |      | 2,101,574   |    |
| Livestock 0.10%                        |  | Futures contracts sold0.10%        |  |      | 141,440     |    |
| Metals (0.33)%                         |  | Futurescontracts purchased(0.33)%  |  |      | (468,445    | )  |
| Softs                                  |  |                               |  |      |        |    |
|                                   |  | Futurescontracts purchased (0.01)% |  |      | (15,345     | )  |
|                                   |  | Futures contracts sold(0.01)%      |  |      | (14,440     | )  |
| Total Softs(0.02)%                     |  |                               |  |      | (29,785     | )  |
| Investment inPartnership               |  |                               |  |      |        |    |
|                                   |  | SB AAA MasterFund LLC 37.71%       |  |      | 53,935,968  |    |
|                                   |  | CMF Winton Master Fund LP34.55%    |  |      | 49,423,103  |    |
| Total Investment in Partnerships72.26% |  |                               |  |      | 103,359,071 |    |
| Total Fair Value75.15%                 |  |                               |  | $         | 107,502,454 |    |
|                                        |

|                    |  |                           |             |                             |  |        |        |         |  |  |
|--------------------|--|---------------------------|-------------|-----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |             | %ofInvestments at FairValue |
| Germany            |  | $                         | 637,942     |                        |  |   | 0.59   | %  |
| Japan              |  |                      | 161,087     |                        |  |   | 0.15   |    |
| UnitedKingdom      |  |                      | 1,302,546   |                        |  |   | 1.21   |    |
| UnitedStates       |  |                      | 105,400,879 |                        |  |   | 98.05  |    |
|               |  | $                         | 107,502,454 |                        |  |   | 100.00 | %  |
|               |  |                      |        |                        |  |   |   |    |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Financial Statements.

4

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments December31, 2004 (Unaudited)

|                                       |  |                                    |  |           |            |         |  |  |  |  |
|---------------------------------------|--|------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                                |  | Contract                           |  | FairValue |
| Currencies                            |  | Futurescontracts purchased0.84%    |  | $         | 994,089    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | (606       | )  |
| TotalCurrencies0.84%                  |  |                               |  |      | 993,483    |    |
| Energy0.61%                           |  | Futures contracts sold0.61%        |  |      | 724,990    |    |
| Grains                                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.00%    |  |      | (313       | )  |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (20,275    | )  |
| TotalGrains(0.02)%                    |  |                               |  |      | (20,588    | )  |
| InterestRates U.S. 0.04%              |  | Futures contracts sold0.04%        |  |      | 44,813     |    |
| InterestRates Non-U.S.                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.22%    |  |      | 266,606    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | 3,001      |    |
| TotalInterest Rates Non-U.S.0.22%     |  |                               |  |      | 269,607    |    |
| Livestock0.04%                        |  | Futures contracts purchased0.04%   |  |      | 40,990     |    |
| Metals(0.01)%                         |  | Futures contracts purchased(0.01)% |  |      | (7,003     | )  |
| Softs                                 |  |                               |  |      |       |    |
|                                  |  | Futures contracts purchased0.50%   |  |      | 597,196    |    |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (31,260    | )  |
| TotalSofts0.48%                       |  |                               |  |      | 565,936    |    |
| Investmentin Partnerships             |  |                               |  |      |       |    |
|                                  |  | SB AAAMaster Fund LLC38.91%        |  |      | 46,220,533 |    |
|                                  |  | CMF WintonMaster Fund LP32.26%     |  |      | 38,322,249 |    |
| TotalInvestment in Partnerships71.17% |  |                               |  |      | 84,542,782 |    |
| Total Fair Value73.37%                |  |                               |  | $         | 87,155,010 |    |
|                                       |

|                    |  |                          |            |                            |  |        |        |         |  |  |
|--------------------|--|--------------------------|------------|----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | %ofInvestmentsat FairValue |
| Germany            |  | $                        | 121,341    |                       |  |   | 0.14   | %  |
| UnitedKingdom      |  |                     | 148,266    |                       |  |   | 0.17   | %  |
| UnitedStates       |  |                     | 86,885,403 |                       |  |   | 99.69  | %  |
|               |  | $                        | 87,155,010 |                       |  |   | 100.00 | %  |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Financial Statements.

5

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Salomon Smith Barney OrionFutures Fund L.P. Statements of Income and Expenses andPartners' Capital(Unaudited)

|                                                                                                                                     |  |                           |             |                         |  |        |             |         |  |        |             |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|-------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                |  | ThreeMonths EndedJune 30, |             | Six Months EndedJune30, |
|                                                                                                                                |  | 2005                      |             | 2004                    |  | 2005   |             | 2004    |
| **Income:**                                                                                                                         |  |                      |        |                    |  |   |        |    |  |
| Netgains (losses) on trading of commodityinterests:                                                                                 |  |
| Realized gains (losses) on closedpositions                                                                                          |  | $                         | (7,621,348  | )                  |  | $      | (1,616,695  | )  |  | $      | (10,149,464 | )  |  | $      | 8,715,119  |    |
| Changein unrealized gains (losses) on open positions and investment inPartnerships                                                  |  |                      | 13,664,176  |                    |  |   | (6,475,883  | )  |  |   | 31,431,351  |    |  |   | (2,414,407 | )  |
|                                                                                                                                |  |                      | 6,042,828   |                    |  |   | (8,092,578  | )  |  |   | 21,281,887  |    |  |   | 6,300,712  |    |
| Interestincome                                                                                                                      |  |                      | 278,841     |                    |  |   | 143,932     |    |  |   | 496,871     |    |  |   | 287,943    |    |
|                                                                                                                                |  |                      | 6,321,669   |                    |  |   | (7,948,646  | )  |  |   | 21,778,758  |    |  |   | 6,588,655  |    |
| Expenses:                                                                                                                           |  |                      |        |                    |  |   |        |    |  |
| Brokeragecommissions including clearing fees of $46,869, $48,478, $72,262 and$98,185,respectively                                   |  |                      | 1,009,021   |                    |  |   | 460,211     |    |  |   | 1,684,691   |    |  |   | 1,050,710  |    |
| Managementfees                                                                                                                      |  |                      | 636,931     |                    |  |   | 455,022     |    |  |   | 1,219,529   |    |  |   | 916,496    |    |
| Administrativefees                                                                                                                  |  |                      | 173,723     |                    |  |   | 123,232     |    |  |   | 332,061     |    |  |   | 249,076    |    |
| Incentivefees                                                                                                                       |  |                      | 2,304,369   |                    |  |   | —     |    |  |   | 5,329,717   |    |  |   | 1,579,063  |    |
| Otherexpenses                                                                                                                       |  |                      | 59,929      |                    |  |   | 43,575      |    |  |   | 111,429     |    |  |   | 72,797     |    |
|                                                                                                                                |  |                      | 4,183,973   |                    |  |   | 1,082,040   |    |  |   | 8,677,427   |    |  |   | 3,868,142  |    |
| Netincome(loss)                                                                                                                     |  |                      | 2,137,696   |                    |  |   | (9,030,686  | )  |  |   | 13,101,331  |    |  |   | 2,720,513  |    |
| Additions— LimitedPartner                                                                                                     |  |                      | 12,973,000  |                    |  |   | 6,607,000   |    |  |   | 20,464,000  |    |  |   | 15,124,000 |    |
| —GeneralPartner                                                                                                               |  |                      | —     |                    |  |   | 160,000     |    |  |   | —     |    |  |   | 440,051    |    |
| Redemptions                                                                                                                         |  |                      | (6,178,079  | )                  |  |   | (2,784,187  | )  |  |   | (9,299,446  | )  |  |   | (8,481,399 | )  |
| Netincrease (decrease) in Partners'capital                                                                                          |  |                      | 8,932,617   |                    |  |   | (5,047,873  | )  |  |   | 24,265,885  |    |  |   | 9,803,165  |    |
| Partners'capital, beginning ofperiod                                                                                                |  |                      | 134,117,092 |                    |  |   | 102,320,018 |    |  |   | 118,783,824 |    |  |   | 87,468,980 |    |
| Partners'capital, end ofperiod                                                                                                      |  | $                         | 143,049,709 |                    |  | $      | 97,272,145  |    |  | $      | 143,049,709 |    |  | $      | 97,272,145 |    |
| Netasset value per Redeemable Unit (94,756.0830 and 85,763.4074 RedeemableUnits outstanding at June 30, 2005 and 2004,respectively) |  | $                         | 1,509.66    |                    |  | $      | 1,134.19    |    |  | $      | 1,509.66    |    |  | $      | 1,134.19   |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unitequivalent                              |  | $                         | 20.11       |                    |  | $      | (106.09     | )  |  | $      | 141.33      |    |  | $      | 34.00      |    |
|                                                                                                                                     |

SeeAccompanying Notes to Financial Statements.

6

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Salomon Smith Barney OrionFutures Fund L.P. Statements of Cash Flows(Unaudited)

|                                                                                                  |  |                           |            |                         |  |        |            |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|------------|-------------------------|--|--------|------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedJune 30, |            | Six Months EndedJune30, |
|                                                                                             |  | 2005                      |            | 2004                    |  | 2005   |            | 2004    |
| Cashflows from operating activities:                                                             |  |
| Net income(loss)                                                                                 |  | $                         | 2,137,696  |                    |  | $      | (9,030,686 | )  |  | $      | 13,101,331  |    |  | $      | 2,720,513   |    |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |
| Changes in operatingassets and liabilities:                                                      |  |
| (Increase) decreasein investment in Partnerships, at fairvalue                                   |  |                      | (5,293,210 | )                  |  |   | (3,241,399 | )  |  |   | (18,816,289 | )  |  |   | (6,063,876  | )  |
| (Increase) decrease in restrictedcash                                                            |  |                      | (1,481,894 | )                  |  |   | 5,190,430  |    |  |   | (6,586,244  | )  |  |   | 4,813,040   |    |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions          |  |                      | (358,378   | )                  |  |   | 7,558,443  |    |  |   | (1,531,155  | )  |  |   | 5,499,612   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |                      | —    |                    |  |   | 371,956    |    |  |   | —     |    |  |   | 1,878,527   |    |
| (Increase) decrease ininterest receivable                                                        |  |                      | (18,652    | )                  |  |   | 4,895      |    |  |   | (44,994     | )  |  |   | (10,762     | )  |
| Increase (decrease) inunrealized depreciation on open forward contracts                          |  |                      | —    |                    |  |   | 73,937     |    |  |   | —     |    |  |   | (424,372    | )  |
| Accruedexpenses:                                                                                 |  |
| Increase (decrease) incommissions                                                                |  |                      | 140,203    |                    |  |   | (98,496    | )  |  |   | 182,166     |    |  |   | (64,494     | )  |
| Increase (decrease) inmanagement fees                                                            |  |                      | 7,312      |                    |  |   | (16,341    | )  |  |   | 31,312      |    |  |   | 6,909       |    |
| Increase (decrease) inadministrative fees                                                        |  |                      | 2,229      |                    |  |   | (4,763     | )  |  |   | 8,838       |    |  |   | 1,686       |    |
| Increase (decrease) in incentivefees                                                             |  |                      | (720,980   | )                  |  |   | (1,579,063 | )  |  |   | 1,454,495   |    |  |   | (539,454    | )  |
| Increase (decrease) inother                                                                      |  |                      | (42,416    | )                  |  |   | (54,348    | )  |  |   | 9,084       |    |  |   | (28,626     | )  |
| Net cash provided by (used in)operatingactivities                                                |  |                      | (5,628,090 | )                  |  |   | (825,435   | )  |  |   | (12,191,456 | )  |  |   | 7,788,703   |    |
| Cash flows from financingactivities:                                                             |  |
| Proceeds from additions —Limited Partners                                                  |  |                      | 12,973,000 |                    |  |   | 6,607,000  |    |  |   | 20,464,000  |    |  |   | 15,124,000  |    |
| Proceedsfrom additions — General Partner                                                   |  |                      | —    |                    |  |   | 160,000    |    |  |   | —     |    |  |   | 440,051     |    |
| Payments for redemptions — LimitedPartners                                                 |  |                      | (4,369,182 | )                  |  |   | (4,212,767 | )  |  |   | (9,801,895  | )  |  |   | (10,353,626 | )  |
| Net cash provided by (used in) financingactivities                                               |  |                      | 8,603,818  |                    |  |   | 2,554,233  |    |  |   | 10,662,105  |    |  |   | 5,210,425   |    |
| Net change in cash                                                                               |  |                      | 2,975,728  |                    |  |   | 1,728,798  |    |  |   | (1,529,351  | )  |  |   | 12,999,128  |    |
| Unrestricted cash, at beginning ofyear                                                           |  |                      | 26,308,743 |                    |  |   | 48,086,114 |    |  |   | 30,813,822  |    |  |   | 36,815,784  |    |
| Unrestricted cash, at end ofyear                                                                 |  | $                         | 29,284,471 |                    |  | $      | 49,814,912 |    |  | $      | 29,284,471  |    |  | $      | 49,814,912  |    |
|                                                                                                  |

See Accompanying Notes toFinancial Statements.

7

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2005(Unaudited)

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on March 22, 1999 under the partnership laws of the State ofNew York to engage, directly or indirectly, in the speculative tradingof a diversified portfolio of commodity interests, including options,commodity futures and forward contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind. In addition, the Partnership mayenter into swap contracts on energy-related products. The commodityinterests that are traded by the Partnership are volatile and involve ahigh degree of market risk.

Between March 31, 1999 (commencementof the offering period) and June 10, 1999, 10,499 redeemable units ofLimited Partnership Interest ("RedeemableUnits") and 106 Unit equivalents representing the generalpartner's contribution were sold at $1,000 per Redeemable Unit.The proceeds of the offering were held in an escrow account until June10, 1999, at which time they were turned over to the Partnership fortrading. The Partnership continues to offer Redeemable Units.

Citigroup Managed Futures LLC a Delaware limited liability company,is the Partnership's general partner and commodity pool operator("the General Partner"). ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.("Citigroup"). As of June 30, 2005, alltrading decisions are made by Willowbridge Associates Inc., WintonCapital Management Limited and AAA Capital Management, Inc.("AAA"), (collectively, the"Advisors").

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at June 30, 2005 and December31, 2004 and the results of its operations and cash flows for the threeand six months ended June 30, 2005 and 2004. These financial statementspresent the results of interim periods and do not include alldisclosures normally provided in annual financial statements. Youshould read these financial statements together with the financialstatements and notes included in the Partnership's Annual Reporton Form 10-K filed with the Securities and Exchange Commission for theyear ended December 31, 2004.

Due to the nature of commoditytrading, the results of operations for the interim periods presentedshould not be considered indicative of the results that may be expectedfor the entire year.

Certain prior period amounts have beenreclassified to conform to current periodpresentation.

8

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2005(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three and six months ended June 30, 2005 and 2004 were asfollows:

|                                                        |  |                           |          |                        |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedJune 30, |          | SixMonths EndedJune30, |
|                                                   |  | 2005                      |          | 2004                   |  | 2005   |          | 2004    |
| Netrealized and unrealized gains (losses)*             |  | $                         | 50.51    |                   |  | $      | (100.53  | )  |  | $      | 211.68   |    |  | $      | 64.02    |    |
| InterestIncome                                         |  |                      | 2.94     |                   |  |   | 1.68     |    |  |   | 5.37     |    |  |   | 3.39     |    |
| Expenses**                                             |  |                      | (33.34   | )                 |  |   | (7.24    | )  |  |   | (75.72   | )  |  |   | (33.41   | )  |
| Increase (decrease) for the period                     |  |                      | 20.11    |                   |  |   | (106.09  | )  |  |   | 141.33   |    |  |   | 34.00    |    |
| NetAsset Value per Redeemable Unit,beginning of period |  |                      | 1,489.55 |                   |  |   | 1,240.28 |    |  |   | 1,368.33 |    |  |   | 1,100.19 |    |
| Net Asset Value perRedeemable Unit,end of period       |  | $                         | 1,509.66 |                   |  | $      | 1,134.19 |    |  | $      | 1,509.66 |    |  | $      | 1,134.19 |    |
|                                                        |

|   |                                            |
|---|--------------------------------------------|
| * | Includes Partnershipbrokerage commissions. |

|    |                                |
|----|--------------------------------|
| ** | Excludes brokeragecommissions. |

|                                             |  |        |       |          |  |        |         |         |  |        |       |         |  |        |       |         |  |  |
|---------------------------------------------|--|--------|-------|----------|--|--------|---------|---------|--|--------|-------|---------|--|--------|-------|---------|--|--|
| Ratiosto average net assets:***             |  |
| Net investment lossbefore incentivefees**** |  |   | (4.7) | %   |  |   | (3.8)   | %  |  |   | (4.5) | %  |  |   | (4.2) | %  |
| Operatingexpense                            |  |   | 5.6   | %   |  |   | 4.4     | %  |  |   | 5.2   | %  |  |   | 4.8   | %  |
| Incentivefees                               |  |   | 1.7   | %   |  |   | — |    |  |   | 4.1   | %  |  |   | 1.6   | %  |
| Total expenses                              |  |   | 7.3   | %   |  |   | 4.4     | %  |  |   | 9.3   | %  |  |   | 6.4   | %  |
| Total return:                               |  |
| Total returnbefore incentive fees           |  |   | 3.0   | %   |  |   | (8.6)   | %  |  |   | 14.4  | %  |  |   | 4.9   | %  |
| Incentivefees                               |  |   | (1.6  | )%  |  |   | — | %  |  |   | (4.1) | %  |  |   | (1.8) | %  |
| Total return after incentive fees           |  |   | 1.4   | %   |  |   | (8.6)   | %  |  |   | 10.3  | %  |  |   | 3.1   | %  |
|                                             |

|     |                                      |
|-----|--------------------------------------|
| *** | Annualized(other than incentivefees) |

|      |                                                                  |
|------|------------------------------------------------------------------|
| **** | Interest income lesstotal expenses (exclusive of incentive fees) |

|  |                                                                                                                                                                                                                                                                   |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the Limited Partner class using the Limited Partners' shareof income, expenses and average net assets. |

3.    TradingActivities:

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity instruments.The results of the Partnership's trading activities are shown inthe Statements of Income and Expenses and Partners' Capital andare discussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses on open futurespositions.

9

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2005(Unaudited)

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valuesof these interests during the six and twelve months ended June 30, 2005and December 31, 2004, based on a monthly calculation, were $3,445,677and $4,419,977, respectively. The fair values of these commodityinterests, including options and swaps thereon, if applicable, at June30, 2005 and December 31, 2004 were $4,143,383 and $2,612,228,respectively. Fair values for exchange traded commodity futures andoptions are based on quoted market prices for those futures andoptions. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Investment inPartnerships:

Effective September 1, 2001, the Partnershipallocated the portion of the Partnership's capital that wasallocated to AAA for trading to the SB AAA Master Fund LLC, a New YorkLimited Liability Company ("AAA Master").With this cash, the Partnership purchased 5,173.4381 Units of AAAMaster at a fair value of $5,173,438. AAA Master was formed in order topermit accounts managed now or in the future by AAA using the Energywith Swaps Program, to invest together in one trading vehicle. TheGeneral Partner is the managing member of AAA Master. Individual andpooled accounts currently managed by AAA, including the Partnership,are permitted to be non-managing members of AAA Master. The GeneralPartner and AAA believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of the investment in AAA Master areapproximately the same and redemption rights are not affected.

On November 1, 2004, the cash allocated to Winton for trading wasallocated to the CMF Winton Master Fund L.P. ("WintonMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased35,389.8399 Units of Winton Master with cash equal to $33,594,083 and acontribution of open commodity futures and forward positions with afair value of $1,795,757. Winton Master was formed in order to permitaccounts managed now or in the future by Winton using the DiversifiedProgram, to invest together in one trading vehicle. The General Partnerof the Partnership is the General Partner of Winton Master. Individualand pooled accounts currently managed by Winton, including thePartnership are permitted to be limited partners of Winton Master. TheGeneral Partner and Winton believe that trading through thismaster/feeder structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWinton Master are approximately the same and redemption rights are notaffected.

AAA Master's and Winton Master's commoditybroker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember/General Partner. The Managing Member/General Partner is whollyowned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

AAA Master's andWinton Master's trading of futures, forwards and optionscontracts, if applicable, on commodities is done primarily on UnitedStates of America commodity exchanges and foreign commodity exchanges.Both engage in such trading through commodity brokerage accountsmaintained with CGM.

A non-managing member/limited partner maywithdraw all or part of their capital contribution and undistributedprofits, if any, from AAA Master or Winton Master in multiples of thenet asset value per unit of limited partnership interest as of the lastday of a month after a request for redemption has been made to theManaging Member/General Partner at least 3 days in advance ofmonth-end.

All exchange, clearing, user, give-up, floorbrokerage and National Futures Association fees are borne by AAA Masterand Winton Master. All other fees including CGM's directbrokerage commission shall be borne by the Feeder Funds.

At June30, 2005 and December 31, 2004 the Partnership owns 9.4% and13.7%, respectively of AAA Master. At June 30, 2005 and December31, 2004 the Partnership owns 29.8% and 33.4%,respectively of 

10

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2005(Unaudited)

Winton Master. It is AAA's andWinton's intention to continue to invest the assets allocated toeach by the Partnership in AAA Master and Winton Master, respectively.The performance of the Partnership is directly affected by theperformance of AAA Master and Winton Master.

Summarizedinformation reflecting the Partnership's investments in, and theoperations of, the AAA Master and the Winton Master are as shown in thefollowing table.

|               |  |                           |        |                                         |  |              |             |          |  |                 |            |                     |  |                      |         |        |  |        |        |        |  |        |            |        |  |                    |  |         |  |  |  |  |  |  |
|---------------|--|---------------------------|--------|-----------------------------------------|--|--------------|-------------|----------|--|-----------------|------------|---------------------|--|----------------------|---------|--------|--|--------|--------|--------|--|--------|------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
|          |  | June30, 2005              |        | For the three months ended June 30,2005 |  |
| Investment    |  | %ofPartnership'sNetAssets |        | FairValue                               |  | Income(Loss) |             | Expenses |  | NetIncome(loss) |            | InvestmentObjective |  | RedemptionsPermitted |
| Commissions   |  | Other                     |        |
| AAA Master    |  |                      | 37.71  | %                                  |  | $            | 53,935,968  |     |  |            | 10,442,939 |                |  |                 | 303,541 |   |  |   | 6,578  |   |  |   | 10,132,820 |   |  | EnergyMarkets      |  | Monthly |
| Winton Master |  |                      | 34.55  | %                                  |  |         | 49,423,103  |     |  |            | 3,246,638  |                |  |                 | 68,468  |   |  |   | 5,191  |   |  |   | 3,172,979  |   |  | CommodityPortfolio |  | Monthly |
| Total         |  |                      |   |                                    |  | $            | 103,359,071 |     |  | $               | 13,689,577 |                |  | $                    | 372,009 |   |  | $      | 11,769 |   |  | $      | 13,305,799 |   |  |
|               |

|                            |  |              |        |                                       |  |          |             |                 |  |                     |            |                      |  |        |         |        |  |        |        |        |  |        |            |        |  |                    |  |         |  |  |  |  |  |  |
|----------------------------|--|--------------|--------|---------------------------------------|--|----------|-------------|-----------------|--|---------------------|------------|----------------------|--|--------|---------|--------|--|--------|--------|--------|--|--------|------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                 |  | June30, 2005 |        | For the six months ended June 30,2005 |  |
| %ofPartnership'sNet Assets |  | FairValue    |        | Income(Loss)                          |  | Expenses |             | NetIncome(Loss) |  | InvestmentObjective |            | RedemptionsPermitted |  |        |
| Commissions                |  | Other        |        |
| AAA Master                 |  |         | 37.71  | %                                |  | $        | 53,935,968  |            |  |                | 24,402,497 |                 |  |   | 639,990 |   |  |   | 12,837 |   |  |   | 23,749,670 |   |  | EnergyMarkets      |  | Monthly |
| Winton Master              |  |         | 34.55  | %                                |  |     | 49,423,103  |            |  |                | 6,298,568  |                 |  |   | 137,632 |   |  |   | 10,411 |   |  |   | 6,150,525  |   |  | CommodityPortfolio |  | Monthly |
| Total                      |  |         |   |                                  |  | $        | 103,359,071 |            |  | $                   | 30,701,065 |                 |  | $      | 777,622 |   |  | $      | 23,248 |   |  | $      | 29,900,195 |   |  |
|                            |

|                            |  |                  |        |                                         |  |          |            |                 |  |                     |           |                      |  |        |         |        |  |        |         |        |  |        |           |        |  |                    |  |         |  |  |  |  |  |  |
|----------------------------|--|------------------|--------|-----------------------------------------|--|----------|------------|-----------------|--|---------------------|-----------|----------------------|--|--------|---------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                 |  | December31, 2004 |        | For the three months ended June 30,2004 |  |
| %ofPartnership'sNet Assets |  | FairValue        |        | Income(Loss)                            |  | Expenses |            | NetIncome(Loss) |  | InvestmentObjective |           | RedemptionsPermitted |  |        |
| Commissions                |  | Other            |        |
| AAA Master                 |  |             | 38.91  | %                                  |  | $        | 46,220,533 |            |  |                | 1,842,896 |                 |  |   | 312,145 |   |  |   | 2,300   |   |  |   | 1,528,451 |   |  | EnergyMarkets      |  | Monthly |
| Winton Master              |  |             | 32.26  | %                                  |  |     | 38,322,249 |            |  |                | —   |                 |  |   | — |   |  |   | — |   |  |   | —   |   |  | CommodityPortfolio |  | Monthly |
| Total                      |  |             |   |                                    |  | $        | 84,542,782 |            |  | $                   | 1,842,896 |                 |  | $      | 312,145 |   |  | $      | 2,300   |   |  | $      | 1,528,451 |   |  |
|                            |

|                            |  |                  |        |                                       |  |          |            |                 |  |                     |           |                      |  |        |         |        |  |        |         |        |  |        |           |        |  |                    |  |         |  |  |  |  |  |  |
|----------------------------|--|------------------|--------|---------------------------------------|--|----------|------------|-----------------|--|---------------------|-----------|----------------------|--|--------|---------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                 |  | December31, 2004 |        | For the six months ended June 30,2004 |  |
| %ofPartnership'sNet Assets |  | FairValue        |        | Income(Loss)                          |  | Expenses |            | NetIncome(Loss) |  | InvestmentObjective |           | RedemptionsPermitted |  |        |
| Commissions                |  | Other            |        |
| AAA Master                 |  |             | 38.91  | %                                |  | $        | 46,220,533 |            |  |                | 5,181,197 |                 |  |   | 637,925 |   |  |   | 3,913   |   |  |   | 4,539,359 |   |  | EnergyMarkets      |  | Monthly |
| Winton Master              |  |             | 32.26  | %                                |  |     | 38,322,249 |            |  |                | —   |                 |  |   | — |   |  |   | — |   |  |   | —   |   |  | CommodityPortfolio |  | Monthly |
| Total                      |  |             |   |                                  |  | $        | 84,542,782 |            |  | $                   | 5,181,197 |                 |  | $      | 637,925 |   |  | $      | 3,913   |   |  | $      | 4,539,359 |   |  |
|                            |

5.    Financial InstrumentRisks:

In the normal course of its business, the Partnership isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures, options andswaps, whose values are based upon an 

11

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2005(Unaudited)

underlying asset, index, or reference rate,and generally represent future commitments to exchange currencies orcash flows, or to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments to have a reasonable possibility to be settled incash, through physical delivery or with another financial instrument.These instruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized as unrealized appreciation in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Partnership has concentration riskbecause the sole counterparty or broker with respect to thePartnership's assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk-adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of June 30, 2005. However, due tothe nature of the Partnership's business, these instruments maynot be held to maturity.

12

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity and CapitalResources

The Partnership does not engage in the sale of goodsor services. The Partnership's only assets are its equity in itscommodity futures trading account consisting of cash, investment inPartnerships, net unrealized appreciation on open futures and forwardcontracts, commodity options, if applicable, and interest receivable.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership. While substantial losses couldlead to a decrease in liquidity, no such losses occurred in the secondquarter of 2005.

The Partnership's capital consists of thecapital contributions of the partners as increased or decreased byrealized and/or unrealized gains or losses on commodity futurestrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

For the six months ended June30, 2005, Partnership capital increased 20.4% from $118,783,824to $143,049,709. This increase was attributable to net income fromoperations of $13,101,331 coupled with additional sales of 14,392.0504Redeemable Units of Limited Partnership totaling $20,464,000, which waspartially offset by the redemption of 6,445.0619 Redeemable Unitsresulting in an outflow of $9,299,446. Future redemptions can impactthe amount of funds available for investment in the Partnership insubsequent periods.

Critical Accounting Policies

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, and disclosures of contingent assetsand liabilities at the date of the financial statements and thereported amounts of revenues and expenses during the reporting period.Actual results could differ from these estimates.

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statement of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values oncommodity interests and foreign currencies are recognized in the periodin which the contract is closed or the changes occur and are includedin net gains (losses) on trading of commodity interests. The investmentin AAA Master and Winton Master are recorded at fair value, based uponthe Partnership's proportionate interest held.

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statement of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statements of income andexpenses and partners' capital.

Results ofOperations

During the Partnership's second quarter of2005, the net asset value per Redeemable Unit increased 1.4%from $1,489.55 to $1,509.66 as compared to a decrease of 8.6% inthe second quarter of 2004. The Partnership experienced a net tradinggain before brokerage commissions and related fees in the second

13

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quarter of 2005 of $6,042,828. Gains wereprimarily attributable to the Partnership's trading of commodityfutures in currencies, non-U.S. interest rates, livestock and indices,and were partially offset by losses in energy, grains, U.S. interestrates, metals and softs. The Partnership experienced a net trading lossbefore brokerage commissions and related fees in the second quarter of2004 of $8,092,578. Losses were primarily attributable to thePartnership's trading of commodity futures in currencies, metals,grains, softs, indices and U.S. and non-U.S. interest rates and werepartially offset by gains in energy and livestock.

Trading in thesecond quarter of 2005 began with a continuation of the volatile anddirectionless markets that had characterized the first quarter. Tradinglosses in April were predominantly attributable to trading in energymarkets, global stock indices and U.S. interest rates. A big sell ofcrude oil whipsawed the advisors' net long positions, thenrallied mid-month only to drop precipitously in the final week of themonth. May was a transition period as macro-economic trends emergedgenerating profits in currency and fixed income markets. June witnesseda continuation of both financial and commodity trends leading to arecovery of net profits and an overall positive quarter.

Lowerinterest rates in Europe were the primary drivers of profitability forthe quarter and had a concomitant impact on strengthening the U.S.dollar to recent highs versus the Euro, British pound and Swiss franc.Lower interest rates were favorable for the Advisor's positionsas lower inflation reports, weak European markets, and improvedproductivity caused markets to shrug off another increase in short-termrates by the U.S. Federal Reserve Bank. Trading in foreign currencieswas the second most profitable sector for the Fund. Trading in globalstock indices was also profitable.

Offsetting a portion of thesegains were losses in the commodity markets. A combination of lowerinflation expectations and increased supplies disrupted price trendsacross several markets leading to losses in energy, primarily crudeoil, base and precious metals, and grains.

During the six monthsended June 30, 2005, the net asset value per Redeemable Unit increased10.3% from $1,368.33 to $1,509.66 as compared to an increase of3.1% during the six months ended June 30, 2004. The Partnershipexperienced a net trading gain before brokerage commissions and relatedfees in the six months ended June 30, 2005 of $21,281,887. Gains wereprimarily attributable to the Partnership's trading of commodityfutures in energy, U.S. and non-U.S. interest rates, indices and lumberand were partially offset by losses in currencies, grains, livestock,metals and softs. The Partnership experienced a net trading gain beforebrokerage commissions and related fees in the six months ended June 30,2004 of $6,300,712. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, grains,livestock, indices and lumber and were partially offset by losses incurrencies, U.S. and non-U.S. interest rates, metals and softs.

Commodity futures markets are highly volatile. The potential forbroad and rapid price fluctuations increases the risks involved incommodity trading, but also increases the possibility of profit. Theprofitability of the Partnership depends on the existence of majorprice trends and the ability of the Advisors to correctly identifythose price trends. Price trends are influenced by, among other things,changing supply and demand relationships, weather, governmental,agricultural, commercial and trade programs and policies, national andinternational political and economic events and changes in interestrates. To the extent that market trends exist and the Advisors are ableto identify them, the Partnership expects to increase capital throughoperations. AAA is aware of price trends but does not trade upontrends. AAA often makes profits in positions with specific trends eventhough that trend may still be intact or perhaps even stronger. AAAoccasionally establishes positions that are counter-trend.

Interest income is earned on 100% of the Partnership'saverage daily equity maintained in cash in its account during eachmonth at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. CGM may continue to maintain the Partnership's assetsin cash and/or place all of the Partnership's assets in 90-dayTreasury bills and pay the Partnership 100% of the interestearned on Treasury bills purchased. Interest income for the three andsix months ended June 30, 2005 increased by $134,909 and $208,928 ascompared to the corresponding periods in 2004. The increase in interestincome is primarily due to higher net assets and higher interest ratesin the three and six months ended June 30, 2005 as compared to thecorresponding periods in 2004.

14

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Brokerage commissions are based on thenumber of trades executed by the Advisors. Brokerage commissions andfees for the three and six months ended June 30, 2005 increased by$548,810 and $633,981, as compared to the corresponding period in 2004.The increase in commissions and fees is primarily due to an increase inthe number of trades during the three and six months ended June 30,2005 as compared to the corresponding periods in 2004.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance, additions and redemptions. Managementfees for the three and six months ended June 30, 2005 increased by$181,909 and $303,033, as compared to the corresponding period in 2004.The increase of management fees is due to an increase in net assetsduring the three and six months ended June 30, 2005 as compared to thecorresponding periods in 2004.

Administrative fees are paid tothe General Partner for administering the business and affairs of thePartnership. These fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Administrative feesfor the three and six months ended June 30, 2005 increased by $50,491and $82,985, as compared to the corresponding periods in 2004. Theincrease in administrative fees is due to higher net assets during thethree and six months ended June 30, 2005 as compared to thecorresponding periods in 2004.

Incentive fees paid by thePartnership are based on the new trading profits generated by eachAdvisor at the end of the quarter, as defined in the managementagreements between the Partnership, the General Partner and eachAdvisor. Trading performance for the three and six months ended June30, 2005 resulted in incentive fees of $2,304,369 and $5,329,712,respectively. Trading performance for the three and six months endedJune 30, 2004 resulted in incentive fees of $0 and $1,579,063,respectively.

Item 3.    Quantitative and QualitativeDisclosures about Market Risk

The Partnership is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Partnership's assets are subject to the risk of tradingloss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

Market movements result in frequentchanges in the fair value of the Partnership's open positionsand, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the value of financial instruments andcontracts, the diversification effects of the Partnership's openpositions and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates both long and shortpositions in a range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership's past performance is notnecessarily indicative of its future results.

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherentuncertainty of the Partnership's speculative trading and therecurrence in the markets traded by the Partnership of market movementsfar exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or thePartnership's experience to date (i.e., "risk ofruin"). In light of the foregoing, as well as the risksand uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered toconstitute any assurance or representation that the Partnership'slosses in any market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk.

Exchangemaintenance margin requirements have been used by the Partnership asthe measure of its Value at Risk. Maintenance margin requirements areset by exchanges to equal or exceed the maximum losses reasonablyexpected to be incurred in the fair value of any given contract in95%-99% of any one-day interval. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component, which is notrelevant to Value at Risk.

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The following table indicates the tradingValue at Risk associated with the Partnership's open positions bymarket category as of June 30, 2005 and the highest, lowest and averagevalue during the three months ended June 30, 2005. All open positiontrading risk exposures of the Partnership have been included incalculating the figures set forth below. As of June 30, 2005, thePartnership's total capitalization was $143,049,709. There hasbeen no material change in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2004.

June 30, 2005

|                                 |  |               |           |                         |  |                                |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|--------------------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |           |                    |  | ThreeMonths Ended June 30,2005 |
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | High Value atRisk              |        | LowValue at Risk |  | Average ValueatRisk* |
| Currencies:                     |  |
| –Exchange TradedContracts |  | $             | 2,322,992 |                    |  |                           | 1.62   | %           |  | $                    | 2,952,913 |   |  | $      | 89,160  |   |  | $      | 1,832,197 |   |
| Energy                          |  |          | 1,321,937 |                    |  |                           | 0.92   | %           |  |                 | 3,868,500 |   |  |   | 76,500  |   |  |   | 1,424,812 |   |
| Grains                          |  |          | 928,850   |                    |  |                           | 0.65   | %           |  |                 | 1,265,900 |   |  |   | 23,800  |   |  |   | 843,808   |   |
| InterestRatesU.S.               |  |          | 921,600   |                    |  |                           | 0.64   | %           |  |                 | 1,432,200 |   |  |   | 52,000  |   |  |   | 692,600   |   |
| InterestRatesNon-U.S.           |  |          | 2,429,489 |                    |  |                           | 1.70   | %           |  |                 | 2,433,812 |   |  |   | 266,582 |   |  |   | 1,927,084 |   |
| Livestock                       |  |          | 88,000    |                    |  |                           | 0.06   | %           |  |                 | 88,000    |   |  |   | 10,400  |   |  |   | 59,733    |   |
| Metals                          |  |          |      |                    |  |                           |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  |          | 1,352,000 |                    |  |                           | 0.95   | %           |  |                 | 1,546,000 |   |  |   | 93,000  |   |  |   | 680,889   |   |
| Softs                           |  |          | 326,000   |                    |  |                           | 0.23   | %           |  |                 | 885,900   |   |  |   | 273,800 |   |  |   | 508,033   |   |
| Totals                          |  | $             | 9,690,868 |                    |  |                           | 6.77   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at Risk |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures (as defined inRules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to thePartnership within 90 days of the filing date of this quarterly report,and, based on this evaluation, has concluded that these disclosurecontrols and procedures are effective. Additionally, there were nosignificant changes in the Partnership's internal controls or inother factors that could significantly affect these controls subsequentto the date of this evaluation, including any corrective actions withregard to significant deficiencies and materialweaknesses.

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Item, 3 "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2004 and under Part II, Item 1, "LegalProceedings" in the Partnership's Quarterly Reporton Form 10-Q for the quarter ended March 31, 2005.

Enron-Related Civil Actions

On June 13, 2005,Citigroup announced a settlement of the Enron class action litigation(Newby, et al. v. Enron Corp., et al.) currently pending in the UnitedStates District Court for the Southern District of Texas, HoustonDivision. This settlement resolves all claims against Citigroup broughton behalf of the class of purchasers of publicly traded equity and debtsecurities issued by Enron and Enron-related entities between September9, 1997 and December 2, 2001. The settlement, which involves a pre-taxpayment of $2.0 billion to the settlement class, is fully covered byCitigroup's existing litigation reserves. It is subject toapproval by the Board of Regents of the University of California (thelead plaintiff), the Citigroup Board and the District Court inTexas.

Mutual Funds

On May 31, 2005, Citigroupannounced that Smith Barney Fund Management LLC and Citigroup GlobalMarkets completed a settlement with the SEC resolving an investigationby the SEC into matters relating to arrangements between certain SmithBarney mutual funds, an affiliated transfer agent and an unaffiliatedsub-transfer agent. Under the terms of the settlement, Citigroup agreedto pay fines totaling $208.1 million. The settlement, in whichCitigroup neither admitted nor denied any wrongdoing or liability,includes allegations of willful misconduct by Smith Barney FundManagement LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Item 2.    Unregistered Sales of EquitySecurities and Use of Proceeds

For the three monthsended June 30, 2005 there were additional sales of 8,912.8974Redeemable Units of Limited Partnership totaling $12,973,000. TheRedeemable Units were issued in reliance upon applicable exemptionsfrom registration under Section  4(2) of the Securities Act of1933, as amended, and Section 506 of Regulation D promulgated thereunder.

Proceeds from the sale of additional RedeemableUnits are used in the trading of commodity interests including futurescontracts, options, forwards and swapcontracts.

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The following chart sets forth thepurchases of Redeemable Units by thePartnership.

|                                    |  |                                               |            |                                                             |  |                                                                                           |          |                                                                                                                     |  |        |     |        |  |        |     |        |  |  |
|------------------------------------|--|-----------------------------------------------|------------|-------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                             |  | (a)Total Numberof Shares(or Units) Purchased* |            | (b)AveragePrice Paid per   Share (or Unit)** |  | (c)Total Numberof Shares (or Units)Purchased as PartofPublicly AnnouncedPlans or Programs |          | (d) MaximumNumber(or ApproximateDollar Value) of Shares(or Units)thatMay Yet Be Purchased Under thePlans orPrograms |
| April 1, 2005− April 30,2005 |  |                                          | 504.3407   |                                                        |  | $                                                                                         | 1,389.48 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| May1, 2005 − May 31,2005     |  |                                          | 1,957.5962 |                                                        |  | $                                                                                         | 1,461.31 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| June1, 2005 − June 30,2005   |  |                                          | 1,733.2729 |                                                        |  | $                                                                                         | 1,509.66 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| Total                              |  |                                          | 4,195.2098 |                                                        |  | $                                                                                         | 1,453.48 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
|                                    |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item 4.    Submission of Matters to a Vote of SecurityHolders – None

Item 5.    Other Information– None

Item 6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December 31, 2004. |

Exhibit – 31.1– Rule 13a-14(a)/15d-14(a) Certification (Certification ofPresident and Director).

Exhibit – 31.2 –Rule 13a-14(a)/15d-14(a) Certification (Certification of ChiefFinancial Officer and Director).

Exhibit – 32.1– Section 1350 Certification (Certification of President andDirector).

Exhibit – 32.2 – Section 1350Certification (Certification of Chief Financial Officer andDirector).

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned, thereunto duly authorized.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                 |
|   |  | (General Partner)                                            |
| By:    |  | /s/David J. Vogel                                            |
|   |  | DavidJ. Vogel President and Director                         |
| Date:  |  | August 9,2005                                                |
| By:    |  | /s/Daniel R. McAuliffe,Jr                                    |
|   |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  | August 9,2005                                                |
|        |

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