FORM 10-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 SECURITIES EXCHANGE ACT OF 1934



For The Quarter Ended June 30, 2004
                      -------------

Commission File Number 0-50271
                       -------

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
             (Exact name of registrant as specified in its charter)

               New York                            22-3644546
   (State or other jurisdiction of             (I.R.S. Employer
   incorporation or organization)              Identification No.)

                        c/o Citigroup Managed Futures LLC
                           399 Park Avenue. - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (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__


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

                                                       Yes X   No__




<PAGE>



                  Salomon Smith Barney Orion Futures Fund L.P.
                                    FORM 10-Q
                                      INDEX

                                                                      Page
                                                                     Number

PART I - Financial Information:

    Item 1. Financial Statements:

            Statements of Financial Condition at
            June 30, 2004  and December 31,
            2003 (unaudited).                                          3

            Condensed Schedules of Investments
            at June 30, 2004 and December 31,
            2003 (unaudited).                                        4 - 5


            Statements of Income and Expenses
            and Partners' Capital for the three and six
            months ended June 30, 2004
            and 2003 (unaudited).                                      6

            Statements of Cash Flows for the three
            and six months ended June 30, 2004 and
            2003 (unaudited).                                          7

            Notes to Financial Statements,
            including the Financial Statements
            of SB AAA Master Fund LLC (unaudited).                   8 - 18

    Item 2. Management's Discussion and Analysis
            of Financial Condition and Results of
            Operations.                                             19 - 22

    Item 3. Quantitative and Qualitative
            Disclosures about Market Risk                           23 - 25

    Item 4. Controls and Procedures                                   26

PART II - Other Information                                           27







                                        2
<PAGE>





                                     PART I

                          Item 1. Financial Statements

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


<TABLE>
<CAPTION>
<S>                                                                                        <C>             <C>
                                                                                          June 30,       December 31,
                                                                                            2004             2003
                                                                                       ------------     -------------
Assets:
  Investment in Master, at fair value                                                   $39,595,768     $ 33,531,892
  Cash (restricted $8,966,106 and $13,779,146 in 2004 and 2003,
   respectively) in commodity futures trading account                                    58,781,018       50,594,930
  Net unrealized appreciation on open futures positions                                     207,079        5,706,691
  Unrealized appreciation on open forward positions                                          49,484        1,928,011
                                                                                        -----------      -----------
                                                                                         98,633,349       91,761,524
Interest receivable                                                                          50,821           40,059
                                                                                        ----------       -----------
                                                                                        $98,684,170     $ 91,801,583
                                                                                        ===========      ============

Liabilities and Partners' Capital:
Liabilities:
  Unrealized depreciation on open forward positions                                       $ 214,437        $ 638,809
 Accrued expenses:
  Commissions                                                                                96,372          160,866
  Management fees                                                                           148,992          142,083
  Administrative fees                                                                        40,298           38,612
  Incentive fees                                                                                  -          539,454
  Other                                                                                      48,284           76,910
 Redemptions payable                                                                        863,642        2,735,869
                                                                                          ---------         ---------
                                                                                          1,412,025        4,332,603
                                                                                          ---------        ----------
Partners' Capital:
General Partner, 865.3542 and 499.8084 Unit equivalents
  outstanding in 2004 and 2003, respectively                                                981,476          549,884
Limited Partners, 84,898.0532 and 79,003.6728 Redeemable Units of
  Limited Partnership Interest outstanding in 2004 and 2003, respectively                96,290,669       86,919,096
                                                                                         ----------       ----------
                                                                                         97,272,145       87,468,980
                                                                                         ----------       ----------
                                                                                        $98,684,170     $ 91,801,583
                                                                                         ==========      ===========
</TABLE>

See  Accompanying Notes to Unaudited Financial Statements.


                                                           3
<PAGE>
                  Salomon Smith Barney Orion Futures Fund L.P.
                        Condensed Schedule of Investments
                                  June 30, 2004
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                            <C>                                                                 <C>
Sector                                     Contract                                                              Fair Value
------------------------------------       ------------------------------------------------------      ---------------------
Currencies
                                           Futures contracts purchased (0.11)%                                $   (104,205)
                                           Futures contracts sold  (0.11)%
                                                                                                                  (111,167)
                                                                                                       ---------------------
  Total Currencies  (0.22)%                                                                                       (215,372)
                                                                                                       ---------------------
Energy
                                           Futures contracts purchased 0.38%                                       374,458
                                           Futures contracts sold  0.00%*                                              200
                                                                                                       ---------------------
  Total Energy  0.38%                                                                                              374,658
                                                                                                       ---------------------
Grains
                                           Futures contracts purchased (0.02)%                                     (16,620)
                                           Futures contracts sold  0.12%                                           113,019
                                                                                                       ---------------------
  Total Grains  0.10%                                                                                               96,399
                                                                                                       ---------------------
Interest Rates U.S.
                                           Futures contracts purchased 0.13%                                       126,563
                                           Futures contracts sold (0.33)%                                          (322,551)
                                                                                                       ---------------------
  Total Interest Rates U.S. (0.20)%                                                                               (195,988)
                                                                                                       ---------------------
Interest Rates Non-U.S.
                                           Futures contracts purchased 0.02%                                        18,602
                                           Futures contracts sold  (0.15)%                                        (145,902)
                                                                                                       ---------------------
  Total Interest Rates Non-U.S. (0.13)%                                                                           (127,300)
                                                                                                       ---------------------
Total Lumber (0.01)%                       Futures contracts purchased   (0.01)%                                    (5,412)
                                                                                                       ---------------------
Livestock
                                           Futures contracts purchased (0.02)%                                     (24,175)
                                           Futures contracts sold  (0.02)%                                         (17,640)
                                                                                                       ---------------------
  Total Livestock (0.04)%                                                                                          (41,815)
                                                                                                       ---------------------
Metals
                                           Futures contracts purchased (0.10)%                                     (101,110)
                                           Futures contracts sold  (0.05)%                                          (46,500)
                                                                                                       ---------------------
                                             Total futures contracts  (0.15)%                                     (147,610)
                                                                                                       ---------------------
                                           Unrealized appreciation on forward contracts 0.05%                       49,484
                                           Unrealized depreciation on forward contracts (0.22)%                   (214,437)
                                                                                                       ---------------------
                                             Total forward contracts (0.17)%                                       (164,953)
                                                                                                       ---------------------
  Total Metals  (0.32)%                                                                                           (312,563)
                                                                                                       ---------------------
Softs
                                           Futures contracts purchased (0.11)%                                    (102,920)
                                           Futures contracts sold 0.28%                                            269,282
                                                                                                       ---------------------
  Total Softs  0.17%                                                                                               166,362
                                                                                                       ---------------------
Indices
                                           Futures contracts purchased 0.31%                                       304,357
                                           Futures contracts sold (0.00)%*                                          (1,200)
                                                                                                       ---------------------
  Total Indices  0.31%                                                                                             303,157
                                                                                                       ---------------------
Total Fair Value  0.04%                                                                                        $    42,126
                                                                                                       =====================
                                                                                                % of Investment
Country Composition                                          Investments at Fair Value           at Fair Value
---------------------                                         ----------------------             ---------------
Australia                                                           $   22,735                      53.97%
Canada                                                                  (6,863)                    (16.29)
France                                                                 (28,972)                    (68.77)
Germany                                                                 51,085                     121.27
Hong Kong                                                                7,026                      16.68
Italy                                                                   13,549                      32.16
Japan                                                                   61,741                     146.56
Spain                                                                    1,199                       2.85
United Kingdom                                                        (186,334)                   (442.33)
United States                                                          106,960                     253.90
                                                                  -------------                   -------
                                                                    $   42,126                     100.00 %
                                                                  ==============                  ========
</TABLE>
Percentages are based on Partners' Capital unless otherwise indicated
*Due to rounding
See Accompanying Notes to Unaudited Financial Statements
                                                             4
<PAGE>
                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                                        <C>                                         <C>
Sector                                                   Contract                                  Fair Value
-------                                                  --------                                  -----------
Currencies                                     Futures contracts sold (0.04)%                          $(34,802)
                                               Futures contracts purchased 3.12%                      2,726,064
                                                                                                     ----------
   Total Currencies 3.08%                                                                             2,691,262
                                                                                                      ---------

Total Energy (0.05)%                           Futures contracts purchased (0.05)%                     (47,000)
                                                                                                      ---------

Grains                                         Futures contracts sold (0.12)%                         (107,275)
                                               Futures contracts purchased 1.70%                      1,487,795
                                                                                                     ----------
   Total Grains 1.58%                                                                                 1,380,520
                                                                                                      ---------

Total Interest Rates U.S. (0.15)%              Futures contracts purchased (0.15)%                    (129,958)
                                                                                                      ---------
Interest Rates Non-U.S.
                                               Futures contracts sold (0.00)%*                            (343)
                                               Futures contracts purchased 0.70%                       617,411
                                                                                                     ----------
   Total Interest Rates Non-U.S. 0.70%                                                                 617,068
                                                                                                      ---------
Total Lumber 0.01%                             Futures contracts purchased 0.01%                         6,402
                                                                                                     ---------
Livestock
                                               Futures contracts sold 0.01%                              5,570
                                               Futures contracts purchased (0.03)%                     (25,410)
                                                                                                     ----------
   Total Livestock (0.02)%                                                                             (19,840)
                                                                                                     ---------
Metals
                                               Futures contracts sold (0.00)%*                          (3,655)
                                               Futures contracts purchased 0.96%                       842,863
                                                                                                     ----------
                                                  Total futures contracts 0.96%                        839,208

                                               Unrealized depreciation on forward contracts (0.73)%   (638,809)
                                               Unrealized appreciation on forward contracts  2.20%   1,928,011
                                                                                                      ----------
                                                  Total forward contracts 1.47%                      1,289,202
                                                                                                      ---------
   Total Metals 2.43%                                                                                2,128,410
                                                                                                     ----------
Softs                                          Futures contracts sold 0.06%                             56,990
                                               Futures contracts purchased (0.18)%                    (159,535)
                                                                                                     ----------
  Total Softs (0.12)%                                                                                 (102,545)
                                                                                                     ---------
Total Indices 0.54%                            Futures contracts purchased 0.54%                       471,574
                                                                                                     ----------
Total Fair Value 8.00%                                                                              $6,995,893
                                                                                                     =========

Country                                 Investments at Fair             % of Investments at Fair
Composition                                   Value                              Value
------------------                        -----------------                     -----------
Australia                                    $141,159                               2.02%
Canada                                         83,342                               1.19
France                                         30,769                               0.44
Germany                                       309,378                               4.42
Hong Kong                                       7,903                               0.11
Italy                                         (20,955)                             (0.30)
Japan                                          44,926                               0.64
Spain                                          22,028                               0.32
United Kingdom                              1,802,208                              25.76
United States                               4,575,135                              65.40
                                           ----------                            -------
                                           $6,995,893                            100.00%
                                           ==========                            =======
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated.
* Due to rounding.
See Accompanying Notes to Unaudited Financial Statements.
                                                             5

<PAGE>
                  Salomon Smith Barney Orion Futures Fund L.P.
             Statements of Income and Expenses and Partners' Capital
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                          <C>         <C>            <C>         <C>
                                                                           Three Months Ended         Six Months Ended
                                                                                June 30,                  June 30,
                                                                        ----------------------------------------------------
                                                                            2004         2003         2004         2003
                                                                        ----------------------------------------------------
Income:
   Realized gains (losses) on closed positions from Master                  $687,730   $6,161,897   $4,017,881  $(5,734,827)
   Change in unrealized gains (losses) on open positions
      from Master                                                          1,066,465     (950,472)     999,773    1,293,625
   Interest Income allocated from Master                                      89,428       81,674      164,989      163,476
   Expenses allocated from Master                                           (347,971)    (343,144)    (667,242)  (1,029,319)
   Net gains (losses) on trading of commodity interests:                  (1,618,140)    (539,413)   8,713,674   10,090,157
   Realized gains (losses) on closed positions
   Change in unrealized gains (losses) on open positions                  (8,003,615)    (422,502)  (6,953,767)  (6,988,909)
                                                                         -----------    ---------    ---------   -----------
                                                                         (8,126,103)    3,988,040    6,275,308   (2,205,797)
   Interest income                                                           143,931      129,787      287,942      272,699
                                                                        ------------    ---------    ---------   -----------
                                                                          (7,982,172)   4,117,827    6,563,250   (1,933,098)
                                                                        ------------    ---------    ---------    ----------
Expenses:
  Brokerage commissions including clearing fees
  of $94,090, $81,847, $179,977 and $199,975, respectively                   426,685      621,741    1,025,305      939,893
  Management fees                                                            455,022      381,278      916,496      752,558
  Administrative fees                                                        123,232       97,963      249,076      190,784
  Incentive fees                                                                   -            -    1,579,063      298,424
  Other expenses                                                              43,575       24,450       72,797       49,862
                                                                        ------------    ---------    ----------    ----------
                                                                           1,048,514    1,125,432    3,842,737    2,231,521
                                                                        ------------    ---------   ----------   ----------
  Net income (loss)                                                       (9,030,686)   2,992,395    2,720,513   (4,164,619)
  Additions   -   Limited Partners                                         6,607,000    8,360,000   15,124,000   31,960,000
               -  General Partner                                            160,000            -      440,051            -
Redemptions                                                               (2,784,187)  (3,551,462)  (8,481,399) (11,373,908)
                                                                        ------------   ----------   ----------   -----------
Net increase (decrease) in Partners' capital                              (5,047,873)   7,800,933    9,803,165   16,421,473
Partners' capital, beginning of period                                   102,320,018   70,773,339   87,468,980   62,152,799
                                                                        ------------   ----------   ----------   ----------
Partners' capital, end of period                                         $97,272,145  $78,574,272  $97,272,145  $78,574,272
                                                                        ============   ==========  ===========  ===========
Net asset value per Redeemable Unit
  (85,763.4074 and 70,589.4936 Redeemable Units outstanding
     at June 30, 2004 and 2003, respectively)                              $1,134.19    $1,113.12    $1,134.19    $1,113.12
                                                                        ============   ==========  ===========  ===========
Net income (loss) per Redeemable Unit of Limited Partnership
  Interest and General Partner Unit equivalent
                                                                           $(106.09)       $42.77       $34.00      $(47.70)
                                                                        ============   ==========  ===========  ===========
</TABLE>

See Accompanying Notes to Unaudited Financial Statements.
                                                           6


<PAGE>


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




<TABLE>
<CAPTION>
<S>                                                                          <C>          <C>              <C>          <C>
                                                                           Three months ended             Six months ended
                                                                                 June 30,                       June 30,
                                                                         ---------------------------------------------------------
                                                                            2004           2003            2004           2003
                                                                         ---------------------------------------------------------
Cash flows from operating activities:
 Net income (loss)                                                        (9,030,686)  $2,992,395      $2,720,513    $(4,164,619)
 Adjustments to reconcile net income (loss) to net cash
   provided by (used in) operating activities:
    Changes in operating assets and liabilities:
         Investment in Master, at fair value                              (3,241,399) (11,263,417)     (6,063,876)    (8,651,598)
         Net unrealized appreciation (depreciation) on open futures
          positions                                                        7,558,443      315,455       5,499,612      6,881,861
         Unrealized appreciation (depreciation) on open forward contracts    371,956      (53,672)      1,878,527        (53,672)
         Increase (decrease) in interest receivable                            4,895      (12,698)        (10,762)        (8,001)

       Unrealized depreciation on open forward contracts                      73,937      160,720        (424,372)       160,720
       Accrued expenses:
         Increase (decrease) in commissions                                  (98,496)      12,548         (64,494)         8,549
         Increase (decrease) in management fees                              (16,341)      (3,650)          6,909         17,012
         Increase (decrease) in administrative fees                           (4,763)         702           1,686          5,868
         Increase in incentive fees                                       (1,579,063)    (298,424)       (539,454)      (272,957)
         Increase (decrease) in other                                        (54,348)      29,678         (28,626)        49,864
       Increase (decrease) in redemptions payable                         (1,428,580)  (3,284,292)     (1,872,227)       208,186
                                                                         ---------------------------------------------------------
                 Net cash provided by (used in) operating activities      (7,444,445) (11,404,755)      1,103,436     (5,818,787)
                                                                         ---------------------------------------------------------
Cash flows from financing activities:
  Proceeds from additions Limited Partners                                 6,607,000    8,360,000      15,124,000     31,960,000
  Proceeds from additions General Partner                                    160,000            -         440,051              -
  Payments for redemptions                                                (2,784,187)  (3,551,462)     (8,481,399)   (11,373,908)
                                                                         ---------------------------------------------------------
                 Net cash provided by financing activities                 3,982,813    4,808,538       7,082,652     20,586,092
                                                                         ---------------------------------------------------------
                 Net change in cash                                       (3,461,632)  (6,596,217)      8,186,088     14,767,305
                 Cash, at beginning of period                             62,242,650   54,060,829      50,594,930     32,697,307
                                                                         ---------------------------------------------------------
                 Cash, at end of period                                  $58,781,018  $47,464,612     $58,781,018    $47,464,612
                                                                         =========================================================
</TABLE>


See Accompanying Notes to Unaudited Financial Statements.



                                                           7



<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)


1. General:

     Salomon  Smith Barney  Orion  Futures Fund L.P.  (the  "Partnership")  is a
limited  partnership  organized on March 22, 1999 under the partnership  laws of
the State of New York to engage,  directly  or  indirectly,  in the  speculative
trading of a diversified  portfolio of commodity  interests,  including options,
commodity  futures and forward  contracts on United States exchanges and certain
foreign  exchanges.  The  Partnership  may trade  commodity  futures and options
contracts of any kind but  currently  trades  solely  energy and energy  related
products.  In addition,  the Partnership may enter into swap contracts on energy
related products. The commodity interests that are traded by the Partnership are
volatile and involve a high degree of market risk.

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

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
LLC, a Delaware limited liability company, is the Partnership's  general partner
and commodity pool operator ("the General Partner"). The  Partnership's/Master's
commodity  broker is Citigroup  Global Markets Inc.  ("CGM"),  formerly  Salomon
Smith  Barney  Inc.  CGM is an  affiliate  of the General  Partner.  The General
Partner is wholly owned by Citigroup  Global  Markets  Holdings Inc.  ("CGMHI"),
formerly  Salomon Smith Barney  Holdings  Inc.,  which is the sole owner of CGM.
CGMHI is a wholly owned subsidiary of Citigroup Inc.  ("Citigroup").  As of June
30, 2004, all trading decisions are made by Willowbridge Associates Inc., Winton
Capital  Management  and  AAA  Capital  Management,   Inc.  (collectively,   the
"Advisors").

     Effective  September 1, 2001, the Partnership  allocated the portion of the
Partnership's capital that was allocated to AAA Capital Management, Inc. ("AAA")
for trading to the SB AAA Master Fund LLC, a New York limited  liability company
(the "Master").  With this cash, the Partnership  purchased  5,173.4381 Units of
the  Master at a fair  value of  $5,173,438.  The  Master was formed in order to
permit commodity pools managed now or in the future by AAA using the Energy with
Swaps Program, to invest together in one trading vehicle. The General Partner is
the managing  member of the Master.  Individual  and pooled  accounts  currently
managed by AAA,  including the Partnership  (collectively,  the "Feeder Funds"),
are permitted to be non-managing  members of the Master. The General Partner and
AAA believe that trading  through this  master/feeder  structure  should promote
efficiency and economy in the trading process. Expenses to investors as a result
of the investment in the Master are approximately the same and redemption rights
are not affected.


                                        8


<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


     As of June  30,  2004,  the  Partnership  owns  approximately  15.1% of the
Master.  The  performance  of  the  Partnership  is  directly  affected  by  the
performance  of the Master.  The Master's  Statements  of  Financial  Condition,
Statements of Income and Expenses and Members' Capital,  Condensed  Schedules of
Investments and Statements of Cash Flows are included herein.

     The accompanying  financial statements are unaudited but, in the opinion of
management,  include  all  adjustments,  consisting  only  of  normal  recurring
adjustments,  necessary for a fair presentation of the  Partnership's  financial
condition  at June 30,  2004  and  December  31,  2003  and the  results  of its
operations  and cash flows for the three and six months  ended June 30, 2004 and
2003. These financial  statements  present the results of interim periods and do
not include all disclosures  normally  provided in annual financial  statements.
You  should  read  these  financial   statements  together  with  the  financial
statements  and notes included in the  Partnership's  Annual Report on Form 10-K
filed with the  Securities  and Exchange  Commission for the year ended December
31, 2003.

     Due to the nature of commodity  trading,  the results of operations for the
interim  periods  presented  should not be considered  indicative of the results
that may be expected for the entire year.

















                                        9

<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


     The Master's  Statements of Financial  Condition and Condensed Schedules of
Investments  as of June 30, 2004 and December 31, 2003 and  Statements of Income
and Expenses and Members' Capital and Statements of Cash Flows for the three and
six months ended June 30, 2004 and 2003 are presented below:


                             SB AAA Master Fund LLC
                        Statements of Financial Condition
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                           <C>               <C>
                                                                          June 30,          December 31,
                                                                            2004                2003
                                                                        --------------       ------------
Assets:

  Equity in commodity futures trading account:
  Cash  (restricted $32,548,811 and  $48,471,997, respectively)           $246,443,750     $  231,361,103
  Net unrealized appreciation on open futures positions                     15,310,591          8,845,539
  Unrealized appreciation on open swaps positions                           56,926,392         50,093,912
  Commodity options owned, at fair value
   (cost $27,220,225 and $49,687,512, respectively)                         33,541,142         42,630,230
                                                                         -------------       ------------
                                                                           352,221,875        332,930,784
  Due from brokers                                                           4,841,914          2,148,690
  Interest receivable                                                          184,111            159,050
                                                                         -------------       -------------
                                                                          $357,247,900     $  335,238,524
                                                                         =============       =============

Liabilities and Members' Capital:
Liabilities:
  Unrealized depreciation on open swap positions                          $ 53,255,398        $18,654,566
  Commodity options written, at market value
   (premium received $42,707,960 and $47,549,852, respectively)             38,180,640         57,804,597
  Accrued expenses:
   Commissions                                                               1,674,819          1,670,425
   Professional fees                                                            42,540             59,625
  Due to brokers                                                             2,371,013          1,815,015
  Due to CGM                                                                    22,978             22,978
  Distribution payable                                                         182,583            153,681
                                                                          ------------        ------------
                                                                            95,729,971         80,180,887
                                                                          ------------        ------------
Members' Capital:
  Members' Capital, 191,545.8749 and 211,023.7320 Units
  outstanding in 2004 and 2003, respectively                               261,517,929        255,057,637
                                                                          ------------        -----------
                                                                          $357,247,900     $  335,238,524
                                                                          ============        ============
</TABLE>




                                                          10

<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                  June 30, 2004
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>            <C>              <C>                                                    <C>
           Number of
Sector     Contracts   Contract                                                     Fair Value
------     ----------- -----------------------------------                        ------------

Energy
                       Futures contracts purchased 4.29%                        $  11,210,090
                       Futures contracts sold 1.56%
                                                                                    4,100,501
                                                                                 -------------
                         Total futures contracts 5.85%                             15,310,591

                       Options owned 12.83%
                2,117  NYMEX Natural Gas Aug. 04 - May 05  5.58%                   14,584,160
                       Other  7.25%                                                18,956,982
                                                                                 -------------
                                                                                   33,541,142

                       Options written (14.60)%
                1,647  NYMEX Natural Gas Aug. 04 - Feb. 05 (7.15)%                (18,705,710)
                       Other  (7.45)%                                             (19,474,930)
                                                                                 -------------
                                                                                  (38,180,640)

                       Unrealized appreciation on Swaps contracts 21.77%           56,926,392

                       Unrealized depreciation on Swaps contracts (20.37)%        (53,255,398)
                                                                                 ------------
           Total Energy Fair Value 5.48%                                        $  14,342,087
                                                                                 ============



                        Investment at        % of Investment at
Country Composition      Fair Value               Fair Value
--------------------     ----------          -----------------
United Kingdom          $   422,630                   2.95%
United States            13,919,457                  97.05
                         ----------                 --------
                        $14,342,087                 100.00%
                         ==========              ===========
</TABLE>
Percentages are based on Members' Capital unless otherwise indicated.


                                                          11

<PAGE>




                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2003

<TABLE>
<CAPTION>
<S>                     <C>                  <C>                                           <C>
                     Number of
Sector               Contracts    Contract                                               Fair Value
-----------         -----------  --------------------------------------------         -------------

Energy                           Futures contracts purchased 5.35%                     $13,637,465
                                 Futures contracts sold (1.88)%                         (4,791,926)
                                                                                       -----------
                                   Total futures contracts 3.47%                         8,845,539

                                 Options owned 16.71%
                      6,488      NYMEX Natural Gas Put Feb. 04 - Oct. 04  8.98%         22,900,060
                                 Other 7.73%                                            19,730,170
                                                                                       -----------
                                                                                        42,630,230
                                 Options written (22.66)%
                      7,335      NYMEX Natural Gas Call Feb. 04 - Dec. 04 (16.04)%     (40,916,710)
                                 Other (6.62)%                                         (16,887,887)
                                                                                       ------------
                                                                                       (57,804,597)
                                 Unrealized appreciation on Swaps contracts 19.64%
                      1,000      HH Natural Gas Feb.  04  8.22%                         20,967,521
                                 Other 11.42%                                           29,126,391
                                                                                       ------------
                                                                                        50,093,912

                                 Unrealized depreciation on Swaps contracts (7.31)%    (18,654,566)
                                                                                       ------------
Total Energy Fair Value 9.85%                                                          $25,110,518
                                                                                       ============

                                                   Investments at                 % of Investments at
Country Composition                                  Fair Value                       Fair Value
--------------------                              -----------                      ----------------
United Kingdom                                      $(113,943)                         (0.45)%
United States                                      25,224,461                         100.45
                                                  -----------                         ------
                                                  $25,110,518                         100.00%
                                                  ===========                         =======
</TABLE>


Percentages are based on Members' Capital unless otherwise indicated.

                                                            12

<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
             Statements of Income and Expenses and Members' Capital
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                           <C>            <C>                <C>            <C>
                                                                Three Months Ended               Six Months Ended
                                                                     June 30,                         June 30,
                                                        ----------------------------------------------------------------
                                                             2004            2003                2004               2003
                                                        -----------------------------------------------------------------
Income:
Net gains (losses) on trading of commodity interests:
Realized gains (losses) on closed positions             $   3,978,261    $  51,205,109    $  28,569,544    $ (92,568,712)
Change in unrealized gains (losses) on open
 positions                                                  7,896,158       (4,955,814)       6,856,964       27,054,699
                                                         ------------       ----------       ----------     -------------
                                                           11,874,419       46,249,295       35,426,508      (65,514,013)

Interest income                                               506,446          721,637          965,959        1,686,957
                                                         ------------       ----------       ----------     -------------
                                                           12,380,865       46,970,932       36,392,467      (63,827,056)
                                                         ------------       ----------       ----------     -------------
Expenses:
Brokerage commissions including clearing fees
 of $321,424, $398,062, $591,163 and
 and $1,434,608, respectively                               2,183,710        3,289,199        4,511,007        9,786,358
Professional fees                                              15,689            9,297           27,429           18,491
                                                        ------------       ----------       ----------     -------------
                                                            2,199,399        3,298,496        4,538,436        9,804,849
                                                         ------------       ----------       ----------     -------------
Net income (loss)                                          10,181,466       43,672,436       31,854,031      (73,631,905)
 Additions                                                  4,371,518       12,193,128        5,911,026       45,179,314
 Redemptions                                              (13,073,006)     (17,378,056)     (30,355,980)     (38,872,082)
 Distribution of interest to feeder funds                    (498,827)        (706,482)        (948,785)      (1,629,621)
                                                         ------------       ----------       ----------     -------------
Net increase (decrease) in Members' Interest                  981,151       37,781,026        6,460,292      (68,954,294)
Members' capital, beginning of period                     260,536,778      243,548,133      255,057,637      350,283,453
                                                        ------------       ----------       ----------     -------------
Members' capital, end of period                         $ 261,517,929    $ 281,329,159    $ 261,517,929    $ 281,329,159
                                                         ============      ===========      ===========      ===========
Net asset value per Unit
 (191,545.8749 and 219,606.2204 Units outstanding
 in June 30, 2004 and 2003, respectively)               $    1,365.30    $    1,281.06    $    1,365.30    $    1,281.06
                                                         ============      ===========      ===========      ===========

Net income (loss) per Unit of Member Interest           $       52.27    $      197.61    $      161.43    $     (332.01)
                                                         ============      ===========      ===========      ===========
</TABLE>

                                       13
<PAGE>



                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
                            Statements of Cash Flows
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                           <C>            <C>              <C>            <C>
                                                                            Three months ended                Six months ended
                                                                                 June 30,                         June 30,
                                                                    ---------------------------------------------------------------
                                                                          2004              2003            2004            2003
                                                                    ----------------------------------------------------------------
Cash flows from operating activities:

  Net Income (loss)                                                    $10,181,466      $43,672,436     $31,854,031   $(73,631,905)
  Adjustments to reconcile net income (loss) to net cash
     provided by (used in) operating activities:
        Changes in operating assets and liabilities:
         Net unrealized appreciation (depreciation) on open
          futures positions                                             (7,201,122)      (4,996,585)     (6,465,052)    10,514,826
         Unrealized appreciation on open swaps contracts               (16,763,737)      (8,859,120)     (6,832,480)   (16,059,909)
         Commodity options owned, at fair value                          2,576,851       49,556,337       9,089,088     31,530,521
         Increase (decrease) in due from brokers                        (3,830,615)       9,058,112      (2,693,224)     7,726,979
         Increase (decrease) in interest receivable                        (13,763)          44,407         (25,061)        88,756


         Unrealized depreciation on open swap positions                 25,262,360       (2,762,412)     34,600,832    (20,565,910)

         Commodity options written, at fair value                       (7,144,971)     (12,072,266)    (19,623,957)   (25,614,907)
       Accrued expenses:
         Increase (decrease) in commissions                                (58,429)        (616,808)          4,394     (2,288,904)
         Increase (decrease) in professional fees                           (8,525)           9,296         (17,085)        18,489
         Increase (decrease) in due to brokers                           2,034,138       (5,291,253)        555,998      1,871,989
         Increase (decrease) in distribution  payable                       14,881          (44,429)         28,902        (86,928)
                                                                      -------------     -----------     -----------    ------------
              Net cash provided by (used in) operating activities        5,048,534       67,697,715      40,476,386    (86,496,903)
                                                                      -------------     -----------     -----------     ------------

Cash flows from financing activities:

  Proceeds from additions                                                4,371,518       12,193,128       5,911,026     45,179,314
  Payments for redemptions                                             (13,073,006)     (17,378,056)    (30,355,980)   (38,872,082)
  Distribution of interest to feeder funds                                (498,827)        (706,482)       (948,785)    (1,629,621)
                                                                      -------------     -----------    ------------    ------------
              Net cash provided by (used in) financing activities       (9,200,315)      (5,891,410)    (25,393,739)     4,677,611
                                                                     -------------     -----------    ------------     ------------
              Net change in cash                                        (4,151,781)      61,806,305      15,082,647    (81,819,292)
              Cash, at beginning of period                             250,595,531      186,592,480     231,361,103    330,218,077
                                                                      ------------     -----------     ------------   -------------
              Cash, at end of period                                  $246,443,750     $248,398,785    $246,443,750   $248,398,785
                                                                      ============      ===========     ===========   =============
</TABLE>



                                                          14

<PAGE>




                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


2.   Financial Highlights:

     Changes in Net Asset Value per Redeemable Unit for the three and six months
ended June 30, 2004 and 2003 were as follows:
<TABLE>
<CAPTION>
<S>                                                                 <C>              <C>                 <C>             <C>
                                                                  Three Months Ended                     Six Months Ended
                                                          ------------------------------------  ------------------------------------
                                                           June 30, 2004      June 30, 2003      June 30, 2004      June 30, 2003
                                                          -----------------  -----------------  -----------------  -----------------

Net realized and unrealized gains (losses) *                     $ (101.54)         $   47.04          $   62.13        $  (31.36)
Interest income                                                       2.72               2.98               5.33             6.53
Expenses **                                                          (7.27)             (7.25)            (33.46)          (22.87)
                                                          -----------------  -----------------  -----------------  -----------------
Increase (decrease) for the period                                 (106.09)             42.77              34.00           (47.70)
Net Asset Value per Redeemable Unit, beginning of period          1,240.28           1,070.35           1,100.19         1,160.82
                                                          -----------------  -----------------  -----------------  -----------------
Net Asset Value per Redeemable Unit, end of period              $ 1,134.19         $ 1,113.12         $ 1,134.19       $ 1,113.12
                                                          =================  =================  =================  =================

* Includes Partnership brokerage commissions and brokerage commissions allocated from the Master.
** Excludes Partership brokerage commissions brokerage commissions allocated from the Master.

Ratios to average net assets:***
Net investment income (loss) before incentive fee
allocation****                                                        (4.7)%           (6.0)%           (5.4)%           (6.0)%
                                                          ================= ================= ================= ================


Operating expense                                                      5.7%             7.4%             6.1%             7.5%
Incentive fee allocation                                                 -%               -%             1.6%             0.8%
                                                          ----------------- ---------------- ---------------- -----------------
Total expenses                                                         5.7%             7.4%             7.7%             8.3%
                                                          ================= ================ ================ =================

Total return:
Total return before incentive fees                                    (8.6)%            4.0%             4.9%            (3.7)%
Incentive fees                                                           -%               -%            (1.8)%           (0.4)%
                                                          ----------------- ---------------- ---------------- -----------------
Total return after incentive fees                                     (8.6)%            4.0%             3.1%            (4.1)%
                                                          ================= ================ ================ =================
</TABLE>

*** Annualized (other than incentive fees)
**** Interest income less total expenses (exclusive of incentive fees )
The  above  ratios  may vary for  individual  investors  based on the  timing of
capital transactions during the year. Additionally,  these ratios are calculated
for the  Limited  Partner  class using the  Limited  Partners'  share of income,
expenses and average net assets.


                                       15



<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


Financial Highlights of the Master:

<TABLE>
<CAPTION>
<S>                                                     <C>         <C>         <C>          <C>
                                                      Three Months Ended       Six Months Ended
                                                           June 30,                June 30,
                                                   ----------------------   -----------------------
                                                       2004        2003         2004        2003
                                                   ----------------------   -----------------------

Net realized and unrealized gains (losses) *        $  49.73     $ 194.36      $156.69     $(339.61)
Interest Income                                         2.61         3.29         4.89         7.68
Expenses **                                            (0.07)       (0.04)       (0.15)       (0.08)
                                                     ---------    ---------    ---------    ---------
Increase (decrease) for the period                     52.27       197.61       161.43      (332.01)
Distributions                                          (2.58)       (3.22)       (4.80)       (7.42)
Net Asset Value per Unit, beginning of period       1,315.61     1,086.67     1,208.67     1,620.49
                                                   ---------    ---------    ---------    ---------
Net Asset Value per Unit, end of period           $ 1,365.30   $ 1,281.06   $ 1,365.30 $  $1,281.06
                                                   =========    =========    =========    =========

*   Includes brokerage commissions
**  Excludes brokerage commissions

Ratios to average net assets:***
Net investment income (loss)****                        (2.6)%      (3.4)%       (2.7)%       (5.4)%
                                                        ====         ====        ====          ===


Operating expense                                        3.4%         4.4%        3.6%         6.5%
                                                        ====         ====        =====         ====


Total return                                             4.0%        18.2%       13.4%       (20.5)%
                                                        ====         ====        =====        =====

</TABLE>
*** Annualized
**** Interest income less total expenses
The  above  ratios  may vary for  individual  investors  based on the  timing of
capital transactions during the year.


                                                            16

<PAGE>




                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


3.   Trading Activities:

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

     The respective  Customer Agreements between the Partnership and CGM and the
Master and CGM give the  Partnership  and the  Master,  respectively,  the legal
right to net unrealized gains and losses.

     All of the  commodity  interests  owned  by the  Partnership  are  held for
trading purposes.  The average fair values of these interests during the six and
twelve  months ended June 30, 2004 and  December  31,  2003,  based on a monthly
calculation,  were $4,962,850 and $4,553,850,  respectively.  The fair values of
these commodity  interests,  including options and swaps thereon, if applicable,
at  June  30,  2004  and  December   31,  2003  were  $42,126  and   $6,995,893,
respectively.  Fair values for exchange traded commodity futures and options are
based on quoted market prices for those futures and options. Fair values for all
other  financial  instruments  for  which  market  quotations  are  not  readily
available are based on calculations approved by the General Partner.

4.   Financial Instrument Risk:


     In the normal course of its business the Partnership directly,  and through
its investment in the Master, is party to financial instruments with off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments.  These financial instruments may include forwards, futures, options
and swaps, whose values are based upon an underlying asset,  index, or reference
rate, and generally  represent future commitments to exchange currencies or cash
flows, or to purchase or sell other  financial  instruments at specific terms at
specified future dates, or, in the case of derivative  commodity  instruments to
have a reasonable  possibility to be settled in cash,  through physical delivery
or with another  financial  instrument.  These  instruments  may be traded on an
exchange  or   over-the-counter   ("OTC").   Exchange  traded   instruments  are
standardized and include futures and certain option contracts. OTC contracts are
negotiated between contracting parties and include forwards and certain options.
Each of these  instruments  is subject to various risks similar to those related
to the underlying  financial  instruments  including  market and credit risk. In
general,  the  risks  associated  with OTC  contracts  are  greater  than  those


                                       17

<PAGE>





                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                  June 30, 2004
                                   (Unaudited)
                                   (Continued)


associated  with  exchange  traded  instruments  because of the greater  risk of
default by the counterparty to an OTC contract.  The Master's swap contracts are
OTC contracts.

     Market  risk is the  potential  for  changes in the value of the  financial
instruments traded by the  Partnership/Master  due to market changes,  including
interest and foreign  exchange rate movements and  fluctuations  in commodity or
security  prices.  Market  risk  is  directly  impacted  by the  volatility  and
liquidity in the markets in which the related underlying assets are traded.

     Credit risk is the possibility  that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or  clearing  organization  acts  as a  counterparty  to the  transactions.  The
Partnership's/Master's  risk of loss in the  event of  counterparty  default  is
typically  limited to the amounts  recognized as unrealized  appreciation in the
statements  of  financial  condition  and not  represented  by the  contract  or
notional amounts of the instruments.  The  Partnership/Master  has concentration
risk   because   the  sole   counterparty   or  broker   with   respect  to  the
Partnership's/Master's assets is CGM.

     The General Partner monitors and controls the  Partnership's/Master's  risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems,  and accordingly  believes that it has effective  procedures
for   evaluating  and  limiting  the  credit  and  market  risks  to  which  the
Partnership/Master  is  subject.  These  monitoring  systems  allow the  General
Partner to  statistically  analyze  actual  trading  results with risk  adjusted
performance  indicators  and  correlation  statistics.   In  addition,   on-line
monitoring  systems  provide account  analysis of futures,  forwards and options
positions  by  sector,  margin  requirements,  gain  and loss  transactions  and
collateral positions.

     The majority of these instruments  mature within one year of June 30, 2004.
However,  due  to  the  nature  of the  Partnership's/Master's  business,  these
instruments may not be held to maturity.




                                       18
<PAGE>


Item 2. Management's  Discussion and Analysis of Financial Condition and Results
        of Operations.

Liquidity and Capital Resources

     The  Partnership/Master  does not engage in the sale of goods or  services.
The  Partnership's  only assets are its equity in its commodity  futures trading
account consisting of cash,  investment in Master,  net unrealized  appreciation
(depreciation)  on open futures and forward  contracts,  commodity  options,  if
applicable,  and interest receivable. The Master's only assets are its equity in
its  commodity  futures  trading  account  consisting  of cash,  net  unrealized
appreciation  (depreciation)  on open futures and forward  contracts,  commodity
options,  if  applicable,  and  interest  receivable.  Because of the low margin
deposits normally required in commodity futures trading,  relatively small price
movements  may result in  substantial  losses to the  Partnership/Master.  While
substantial  losses  could  lead to a  decrease  in  liquidity,  no such  losses
occurred in the second quarter of 2004.

     The  Partnership's  capital  consists of the capital  contributions  of the
partners as increased or decreased by realized and/or unrealized gains or losses
on  commodity  futures  trading,  expenses,   interest  income,  redemptions  of
Redeemable Units and distributions of profits, if any.

     For the six months ended June 30, 2004, Partnership capital increased 11.2%
from  $87,468,980 to $97,272,145.  This increase was  attributable to net income
from  operations  of $2,720,513  coupled with  additional  sales of  13,063.6197
Redeemable  Units of  Limited  Partnership  totaling  $15,124,000  and  365.5458
General Partner unit equivalents  totaling $440,051,  which was partially offset
by  redemption  of  7,169.2392  Redeemable  Units  resulting  in an  outflow  of
$8,481,399.  Future  redemptions  can impact the amount of funds  available  for
investment in the Partnership/Master in subsequent periods.

     The Master's capital  consists of the capital  contributions of the members
as  increased  or decreased  by realized  and/or  unrealized  gains or losses on
commodity futures trading,  expenses,  interest income, redemptions of Units and
distributions of profits, if any.

     For the six months ended June 30, 2004, the Master's capital increased 2.5%
from $255,057,637 to $261,517,929.  This increase was attributable to net income
from  operations  of  $31,854,031  coupled with  additions of  4,524.1504  Units
totaling   $5,911,026,   which  was  partially  offset  by  the  redemptions  of
24,002.0075 Units totaling $30,355,980 and distributions of interest of $948,785
to the  non-managing  members of the Master.  Future  redemptions can impact the
amount of funds  available for  investments in commodity  contract  positions in
subsequent periods.

Critical Accounting Policies

     The  preparation  of financial  statements  in conformity  with  accounting
principles   generally  accepted  in  the  United  States  of  America  requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities,  and disclosures of contingent assets and liabilities at
the date of the financial  statements  and the reported  amounts of revenues and
expenses  during the reporting  period.  Actual  results could differ from these
estimates.

                                       19



<PAGE>



     All commodity interests  (including  derivative  financial  instruments and
derivative commodity  instruments) are used for trading purposes.  The commodity
interests  are  recorded on trade date and open  contracts  are  recorded in the
statement of financial  condition at fair value on the last  business day of the
period,  which represents  market value for those commodity  interests for which
market  quotations are readily  available or other measures of fair value deemed
appropriate by management of the General Partner for those  commodity  interests
and foreign  currencies for which market  quotations are not readily  available,
including dealer quotes for swaps and certain option  contracts.  Investments in
commodity  interests  denominated in foreign currencies are translated into U.S.
dollars at the exchange rates prevailing on the last business day of the period.
Realized gains (losses) and changes in unrealized values on commodity  interests
and foreign  currencies  are  recognized  in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.

     Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed  quantity of foreign  currency for an  agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the  Partnership's net equity therein,  representing  unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the dates of entry  into the  contracts  and the  forward  rates at the
reporting dates, is included in the statement of financial  condition.  Realized
gains (losses) and changes in unrealized  values on foreign  currency  contracts
are  recognized  in the period in which the  contract  is closed or the  changes
occur and are included in the  statements  of income and expenses and  partners'
capital.

Results of Operations

     During the  Partnership's  second  quarter of 2004, the net asset value per
Redeemable  Unit  decreased  8.6% from  $1,240.28 to $1,134.19 as compared to an
increase of 4.0% in the second  quarter of 2003. The  Partnership  experienced a
net trading  loss before  brokerage  commissions  and related fees in the second
quarter  of  2004 of  $7,867,560.  Losses  were  primarily  attributable  to the
Partnership's trading of commodity futures in currencies, metals, grains, softs,
indices and U.S. and non-U.S.  interest rates and were partially offset by gains
in energy and livestock.  The Partnership  experienced a net trading gain before
brokerage  commissions  and  related  fees  in the  second  quarter  of  2003 of
$4,249,510.  Gains were primarily  attributable to the Partnership's  trading of
commodity  futures in currencies,  grains,  indices and U.S.  interest rates and
were partially offset by losses in energy, softs, livestock,  metal and non-U.S.
interest rates.

     During  the six  months  ended  June 30,  2004,  the net  asset  value  per
Redeemable  Unit  increased  3.1% from  $1,100.19  to $1,134.19 as compared to a
decrease of 4.1% during the six months ended June 30, 2003. Gains were primarily
attributable  to the  Partnership's  trading  of  commodity  futures  in energy,
grains,  livestock,  indices and lumber and were  partially  offset by losses in
currencies, U.S. and non-U.S. interest rates, metals and softs.

     The lack of persistent  trends resulted in a difficult  environment for the
Advisors  (except AAA) which began  precisely as the second  quarter of 2004 got
underway.  Trends in both financial and commodity futures markets had been clear
for the  previous  three  quarters.  In the  second  quarter  of 2004,  however,
substantially  opposing fundamental  considerations along with benign short-term
volatility  greatly  reduced  the  opportunities  for  Advisors  resulting  in a
particularly difficult trading environment.

                                       20
<PAGE>


     The directionless  behavior of so many markets can be explained in terms of
a perception  that a significant  change may be underway in the global  economic
cycle.  Some of the primary drivers of these  conditions have been:  softer than
expected U.S.  economic data creating  confusion with regard to forecasting  the
pace of Federal Reserve  tightening;  U.S. and international  bonds,  equity and
currency  markets coping with indications of rising  inflation,  but at the same
time,  an apparent  pause in growth;  and a fragile  Eurozone  recovery  keeping
European Central Bank monetary intervention on hold.

     Trading in all market sectors was unprofitable  for the Partnership  except
in the energy,  grains and base metal sectors.  The interest rate,  stock index,
currency,  grains and  precious  metals  were the  primary  contributors  to the
losses. Trading in crude oil, soybeans,  copper and aluminum provided profits to
the Partnership to mitigate the other losses.

     Commodity futures markets are highly volatile.  The potential for broad and
rapid price fluctuations  increase the risks involved in commodity trading,  but
also   increase  the   possibility   of  profit.   The   profitability   of  the
Partnership/Master  depends  on the  existence  of major  price  trends  and the
ability of the Advisors to correctly  identify those 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 and international political and economic events and changes in interest
rates.  To the extent  that market  trends  exist and the  Advisors  are able to
identify them, the Partnership  expects to increase capital through  operations.
AAA is aware of price  trends but does not trade upon  trends.  AAA often  makes
profits in positions  with  specific  trends even though that trend may still be
intact or perhaps even stronger. AAA occasionally establishes positions that are
counter-trend.

     Interest income is earned on 100% of the Partnership's average daily equity
maintained  in cash in its account  during each month at a 30-day U.S.  Treasury
bill rate determined weekly by CGM based on the average non-competitive yield on
3-month  U.S.  Treasury  bills  maturing  in 30 days from the date on which such
weekly rate is  determined.  Interest  income for the three and six months ended
June 30, 2004 increased by $14,144 and 15,243,  respectively  as compared to the
corresponding periods in 2003. Interest income allocated from the Master for the
three and six  months  ended  June 30,  2004  increased  by $7,754  and  $1,513,
respectively as compared to the  corresponding  periods in 2003. The increase in
interest income and interest  income  allocated from Master are primarily due to
an increase in net assets during the three and six months ended June 30, 2004.

     Brokerage  commissions  are based on the number of trades  executed  by the
Advisor. Brokerage commissions and fees for the three months ended June 30, 2004
decreased  by  $195,056 as compared  to the  corresponding  period in 2003.  The
decrease in commissions and fees is primarily due to a decrease in the number of
trades  during  the  three  months  ended  June  30,  2004  as  compared  to the
corresponding periods in 2003.

     Management  fees are  calculated as a percentage of the  Partnership's  net
asset value as of the end of each month and are affected by trading performance,
additions and  redemptions.  Management  fees for the three and six months ended
June 30, 2004  increased by $73,744 and $163,938,  respectively,  as compared to
the corresponding  periods in 2003. The increase of management fees is due to an
increase  in net assets  during the three and six months  ended June 30, 2004 as
compared to the corresponding periods in 2003.



                                       21

<PAGE>







     Administrative  fees are paid to the General Partner for  administering the
business  and  affairs  of the  Partnership.  These  fees  are  calculated  as a
percentage of the  Partnership's net asset value as of the end of each month and
are affected by trading performance and redemptions. Administrative fees for the
three and six months  ended June 30,  2004  increased  by $25,269  and  $58,292,
respectively,  as compared to the corresponding periods in 2003. The increase in
administrative fees is due to higher average net assets during the three and six
months ended June 30, 2004 as compared to the corresponding periods in 2003.

     Incentive fees paid by the Partnership are based on the new trading profits
generated  by  each  Advisor  at the  end  of the  quarter,  as  defined  in the
management  agreements  between the  Partnership,  the General  Partner and each
Advisor.  Trading  performance  for the three and six months ended June 30, 2004
and  2003  resulted  in  incentive  fees of $0,  $0,  $1,579,063  and  $298,424,
respectively.







                                       22


<PAGE>




Item 3.  Quantitative and Qualitative Disclosures about Market Risk

     The   Partnership/Master   are  speculative  commodity  pools.  The  market
sensitive  instruments held by it are acquired for speculative trading purposes,
and all or substantially all of the Partnership's/Master's assets are subject to
the risk of  trading  loss.  Unlike  an  operating  company,  the risk of market
sensitive  instruments  is  integral,  not  incidental,  to  the  Partnership's/
Master's main line of business.

     Market  movements  result  in  frequent  changes  in the fair  value of the
Partnership's/Master's  open  positions and,  consequently,  in its earnings and
cash  flow.  The  Partnership's/Master's  market  risk is  influenced  by a wide
variety of  factors,  including  the level and  volatility  of  interest  rates,
exchange  rates,  equity price levels,  the value of financial  instruments  and
contracts,  the  diversification  effects  of  the  Partnership's/Master's  open
positions and the liquidity of the markets in which it trades.

     The Partnership/Master  rapidly acquires and liquidates both long and short
positions in a range of different markets.  Consequently,  it is not possible to
predict how a particular future market scenario will affect performance, and the
Partnership's/Master's  past  performance is not  necessarily  indicative of its
future results.

     Value  at  Risk  is  a   measure   of  the   maximum   amount   which   the
Partnership's/Master's  could  reasonably  be expected to lose in a given market
sector.   However,  the  inherent  uncertainty  of  the   Partnership's/Master's
speculative   trading  and  the   recurrence  in  the  markets   traded  by  the
Partnership/Master  of market movements far exceeding  expectations could result
in actual trading or non-trading  losses far beyond the indicated  Value at Risk
or the  Partnership's/Master's  experience  to date (i.e.,  "risk of ruin").  In
light of the foregoing as well as the risks and  uncertainties  intrinsic to all
future  projections,  the inclusion of the quantification in this section should
not be  considered  to  constitute  any  assurance  or  representation  that the
Partnership's/Master's  losses in any market  sector will be limited to Value at
Risk or by the Partnership's/Master's attempts to manage its market risk.

     Exchange   maintenance   margin   requirements   have   been  used  by  the
Partnership/Master  as the  measure  of its  Value at Risk.  Maintenance  margin
requirements  are set by  exchanges  to  equal  or  exceed  the  maximum  losses
reasonably  expected to be  incurred in the fair value of any given  contract in
95%-99% of any one-day  interval.  Maintenance  margin has been used rather than
the more generally  available initial margin,  because initial margin includes a
credit risk component, which is not relevant to Value at Risk.





                                       23

<PAGE>





     The following table indicates the trading Value at Risk associated with the
Partnership's  open  positions  by market  category  as of June 30, 2004 and the
highest,  lowest and average  value during the three months ended June 30, 2004.
All open position  trading risk exposures of the Partnership  have been included
in  calculating  the  figures  set  forth  below.  As  of  June  30,  2004,  the
Partnership's total  capitalization was $97,272,145.  There has been no material
change in the trading  Value at Risk  information  previously  disclosed  in the
Partnership's Annual Report on Form 10-K for the year ended December 31, 2003.
<TABLE>
<CAPTION>
<S>                                       <C>            <C>           <C>             <C>             <C>
                                             June 30, 2004
                                              (Unaudited)

                                                                           Three Months Ended June 30, 2004
                                                                   ------------------------------------------
                                                   % of Total           High            Low         Average Value
Market Sector                       Value at Risk  Capitalization   Value at Risk  Value at Risk       at Risk
-------------                       --------------------------------------------------------------------------
Currencies
   - Exchange Traded Contracts       $   710,618         0.73%     $1,414,062       $ 710,618      $   952,173
Energy                                 1,326,550         1.36%      3,586,630       1,326,550        2,355,040
Grains                                   189,572         0.20%      1,266,731         189,572          456,853
Interest Rates  U.S.                     752,050         0.77%      1,385,650         104,450          815,800
Interest Rates  Non-U.S.               1,680,067         1.73%      2,696,681       1,134,891        1,611,647
Livestock                                298,100         0.31%        298,100         201,688          245,240
Metals
   - Exchange Traded Contracts           353,000         0.36%        970,100         190,000          258,250
   - OTC Contracts                       136,860         0.14%        258,765          77,950          119,207
Softs                                    402,696         0.41%        567,860         340,395          375,209
Indices                                1,648,407         1.70%      1,648,407         687,682        1,273,040
Lumber                                     1,100         0.00%          4,400           1,100            3,300
                                    -----------------------------
Totals                               $ 7,499,020         7.71%
                                    =============================

</TABLE>











                                       24

<PAGE>





     The following table indicates the trading Value at Risk associated with the
Master's open positions by market  category as of June 30, 2004 and the highest,
lowest and average  value during the three months ended June 30, 2004.  All open
position  trading risk exposures of the Master have been included in calculating
the  figures  set  forth  below.  As  of  June  30,  2004,  the  Master's  total
capitalization  was  $261,517,929.  There  has been no  material  change  in the
trading  Value at Risk  information  previously  disclosed in the  Partnership's
Annual Report on Form 10-K for the year ended December 31, 2003.




                                  June 30, 2004

<TABLE>
<CAPTION>
<S>                                  <C>             <C>             <C>                  <C>              <C>
                                                                          Three Months Ended June 30, 2004
                                                               ----------------- -------------------- -----------------
Market Sector              Value at Risk        % of Total           High                Low           Average Value
                                              Capitalization    Value at Risk       Value at Risk         at Risk
------------------------ ------------------- ----------------- ----------------- -------------------- -----------------
Energy                          $22,034,533        8.43%         $22,385,986          $10,664,222       $18,027,882
Energy Swaps                      1,700,000        0.65%          $1,988,189           $1,698,904        $1,699,635
                                  ---------        -----
Total                           $23,734,533        9.08%
                                ===========        =====
</TABLE>






                                       25

<PAGE>



Item 4. Controls and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures as of June 30, 2004, the Chief Executive  Officer and Chief Financial
Officer have concluded that such controls and procedures are effective.

     During the  Partnership's  last fiscal quarter,  no changes occurred in the
Partnership's  internal  control over financial  reporting that have  materially
affected,  or are  reasonably  likely to materially  affect,  the  Partnership's
internal control over financial reporting.





                                       26

<PAGE>


                           PART II. OTHER INFORMATION


Item 1.   LEGAL PROCEEDINGS

     The following  information  supplements and amends our discussion set forth
under Item 3 "Legal Proceedings" in the Partnership's Annual Report on Form 10-K
for the year ended December 31, 2003 under Part II, Item 1. "Legal  Proceedings"
in the  Partnership's  Quarterly  Report on Form 10Q for the quarter ended March
31, 2004.

WorldCom, Inc.

     On May 10,  2004,  Citigroup  announced  that it had  agreed to settle  the
WorldCom class action suits.

                                       27
<PAGE>

Item 2. Changes in  Securities,  Use of Proceeds and Issuer  Purchases of Equity
        Securities

          For the three months ended June 30, 2004 there were  additional  sales
          of  5,525.1988   Redeemable  Units  of  Limited  Partnership  totaling
          $6,607,000  and  contributions  by the  General  Partner  representing
          139.7490  Unit  equivalents  totaling  $160,000.  For the three months
          ended  June  30,  2003  there  were  additional  sales  of  7,661.9837
          Redeemable Units of Limited Partnership totaling $8,360,000.

Proceeds from the sale of additional Redeemable Units are used in the trading of
commodity  interests  including futures  contracts,  options,  forwards and swap
contracts.  The following chart sets forth the purchases of Redeemable  Units by
the Partnership.
<TABLE>
<CAPTION>
<S>                                   <C>                    <C>                         <C>                   <C>
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Period                          (a)  Total  Number  of  (b)   Average    Price  (c)  Total  Number of  (d)   Maximum   Number
                                Shares    (or   Units)  Paid  per   Share  (or  Shares   (or   Units)  (or        Approximate
                                Purchased*              Unit)**                 Purchased  as Part of  Dollar    Value)    of
                                                                                Publicly    Announced  Shares    (or   Units)
                                                                                Plans or Programs      that    May   Yet   Be
                                                                                                       Purchased   Under  the
                                                                                                       Plans or Programs
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
April 1, 2004 - April 30, 2004     254.5261             $1,144.91               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
May 1, 2004 - May 31, 2004       1,382.7442             $1,178.19               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
June 1, 2004 - June 30, 2004       761.4613             $1,134.19               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Total                            2,398.7316             $1,152.43               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
</TABLE>

* Generally,  Limited Partners are permitted to redeem their Redeemable Units as
of the end of each  month on 10  days'  notice  to the  General  Partner.  Under
certain circumstances, the General Partner can compel redemption but to date the
General Partner has not exercised this right.  Purchases of Redeemable  Units by
the Partnership reflected in the chart above were made in the ordinary course of
the Partnership's  business in connection with effecting redemptions for Limited
Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month
  at the Net Asset Value per Redeemable Unit as of that day.

Item 3. Defaults Upon Senior Securities - None

Item 4. Submission of Matters to a Vote of Security Holders - None

                                       28
<PAGE>

Item 5. Other Information - None

Item 6. Exhibits and Reports on Form 8-K

     (a)  The exhibits  required to be filed by Item 601 of  Regulation  S-K are
          incorporated   herein  by  reference  to  the  exhibit  index  of  the
          Partnership's Annual Report on Form 10-K for the period ended December
          31, 2003.

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

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

          Exhibit  -  32.1  -  Section  1350  Certification   (Certification  of
          President and Director).

          Exhibit - 32.2 - Section 1350  Certification  (Certification  of Chief
          Financial Officer and Director).

     (b)  Reports on Form 8-K - None






                                       29

<PAGE>


                                   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.


SALOMON SMITH BARNEY ORION FUTURES FUND L.P.


By:  Citigroup Managed Futures LLC
     -----------------------------
    (General Partner)



By:  /s/ David J. Vogel
         David J. Vogel
         President and Director


Date:    August 6, 2004


By:  /s/ Daniel R. McAuliffe, Jr.
     ----------------------------------
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer and Director


Date:    August 6, 2004



                                       30

<PAGE>

                                                                    Exhibit 31.1
                                 CERTIFICATIONS

I, David J. Vogel, certify that:

1. I have  reviewed this  quarterly  report on Form 10-Q of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this 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 report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this 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 report;

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

          a) designed such disclosure  controls and  procedures,  or caused such
     disclosure controls and procedures to be designed under our supervision, 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  report is being
     prepared;

          b) evaluated the effectiveness of the registrant's disclosure controls
     and  procedures  and  presented  in this report our  conclusions  about the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

          c)  disclosed in this report any change in the  registrant's  internal
     control over financial reporting that occurred during the registrant's most
     recent fiscal quarter that has materially affected, or is reasonably likely
     to materially  affect,  the  registrant's  internal  control over financial
     reporting; and

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

          a) all significant  deficiencies and material weaknesses in the design
     or  operation  of  internal  control  over  financial  reporting  which are
     reasonably  likely to adversely affect the registrant's  ability to record,
     process, summarize and report financial information; and

          b) any fraud,  whether or not material,  that  involves  management or
     other employees who have a significant  role in the  registrant's  internal
     control over financial reporting.

Date: August 6, 2004
                                         /s/  David J. Vogel
                                             ----------------
                                              David J. Vogel
                                              Citigroup Managed Futures LLC
                                              President and Director


                                       31
<PAGE>


                                                                    Exhibit 31.2
                                 CERTIFICATIONS

I, Daniel R. McAuliffe, Jr., certify that:

1. I have  reviewed this  quarterly  report on Form 10-Q of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this 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 report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this 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 report;

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

          a) designed such disclosure  controls and  procedures,  or caused such
     disclosure controls and procedures to be designed under our supervision, 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  report is being
     prepared;

          b) evaluated the effectiveness of the registrant's disclosure controls
     and  procedures  and  presented  in this report our  conclusions  about the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

          c)  disclosed in this report any change in the  registrant's  internal
     control over financial reporting that occurred during the registrant's most
     recent fiscal quarter that has materially affected, or is reasonably likely
     to materially  affect,  the  registrant's  internal  control over financial
     reporting; and

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

          a) all significant  deficiencies and material weaknesses in the design
     or  operation  of  internal  control  over  financial  reporting  which are
     reasonably  likely to adversely affect the registrant's  ability to record,
     process, summarize and report financial information; and

          b) any fraud,  whether or not material,  that  involves  management or
     other employees who have a significant  role in the  registrant's  internal
     control over financial reporting.

Date:  August 6, 2004

                                       /s/ Daniel R. McAuliffe, Jr.
                                           -----------------------
                                           Daniel R. McAuliffe, Jr.
                                           Citigroup Managed Futures LLC
                                           Chief Financial Officer and Director

                                       32
<PAGE>


                                                                    Exhibit 32.1
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection  with the  Quarterly  Report of Salomon Smith Barney Orion Futures
Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending June 30, 2004
as filed with the  Securities  and Exchange  Commission  on the date hereof (the
"Report"),  I, David J.  Vogel,  President  and  Director of  Citigroup  Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.


/s/ David J. Vogel
-----------------------
David J. Vogel
Citigroup Managed Futures LLC
President and Director

August  6, 2004


                                       33
<PAGE>


                                                                    Exhibit 32.2
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection  with the  Quarterly  Report of Salomon Smith Barney Orion Futures
Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending June 30, 2004
as filed with the  Securities  and Exchange  Commission  on the date hereof (the
"Report"), I, Daniel R. McAuliffe,  Jr., Chief Financial Officer and Director of
Citigroup  Managed  Futures LLC,  certify,  pursuant to 18 U.S.C.  ss. 1350,  as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of  operation of the
Partnership.

/s/ Daniel R. McAuliffe, Jr.
-----------------------
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director

August 6, 2004


                                       34