Table of Contents

FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

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

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( ) TRANSITIONREPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGEACT OF 1934

For the Quarter ended March 31,2006

Commission File Number 0-24111

SMITH BARNEY WESTPORT FUTURES FUND L.P.

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|--|
|  |  |
|  |

(Exact name ofregistrant as specified in its charter)

|                                |  |                     |  |  |  |  |
|--------------------------------|--|---------------------|--|--|--|--|
| NewYork                        |  | 13-3939393          |
| (State or otherjurisdiction of |  | (I.R.S.Employer     |
| incorporation ororganization)  |  | Identification No.) |
|                                |

c/oCitigroup Managed Futures LLC 731 Lexington Avenue – 25thFl. New York, New York10022

|  |
|--|
|  |  |
|  |

(Address and ZipCode of principal executive offices)

(212)559-2011

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|--|
|  |  |
|  |

(Registrant'stelephone number, including area code)

Indicate by check markwhether the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 duringthe preceding 12 months (or for such shorter period that the registrantwas required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

Yes X    No     

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer. See definition of "acceleratedfiler and large accelerated filer" in Rule 12b-2 of theExchange Act. (Check one):

Large accelerated filer        Accelerated filer        Non-accelerated X

Indicate bycheck mark whether the registrant is a shell company (as defined inRule 12b-2 of the Exchange Act).

Yes         NoX

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Table of Contents

SMITH BARNEY WESTPORTFUTURES FUND L.P.

FORM 10-Q

INDEX

|                                      |  |         |        |                                                                                                                    |  |              |        |        |  |  |  |  |  |  |
|--------------------------------------|--|---------|--------|--------------------------------------------------------------------------------------------------------------------|--|--------------|--------|--------|--|--|--|--|--|--|
|                                 |  |    |        |                                                                                                               |  | PageNumber   |
| PART I — FinancialInformation: |  |    |   |                                                                                                               |
|                                 |  | Item1.  |        | FinancialStatements:                                                                                               |  |         |   |   |
|                                 |  |    |        | Statements ofFinancial Condition atMarch 31, 2006 and December 31,2005(unaudited)                                  |  | 3            |
|                                 |  |    |        | Condensed Schedules of InvestmentsatMarch 31, 2006 and December 31, 2005(unaudited)                                |  | 4– 5   |
|                                 |  |    |        | Statements of Incomeand Expenses andPartners' Capital for the three monthsended March 31, 2006 and 2005(unaudited) |  | 6            |
|                                 |  |    |        | Statements of Cash Flows for the threemonths ended March 31, 2006 and2005(unaudited)                               |  | 7            |
|                                 |  |    |        | Notes to FinancialStatements(unaudited)                                                                            |  | 8 – 10 |
|                                 |  | Item2.  |        | Management's Discussion and Analysisof FinancialCondition and ResultsofOperations                                  |  | 11 –12 |
|                                 |  | Item 3. |        | Quantitative andQualitative Disclosures about Market Risk                                                          |  | 13           |
|                                 |  | Item 4. |        | Controls andProcedures                                                                                             |  | 14           |
| PARTII — OtherInformation      |  | 15      |
|                                      |

2

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Table of Contents

PART I

Item 1.Financial Statements

Smith Barney Westport Futures FundL.P.Statements of FinancialCondition(Unaudited)

|                                                                                                                                           |  |              |             |                 |  |        |             |        |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------|--|--------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                      |  | March31,2006 |             | December31,2005 |
| ASSETS:                                                                                                                                   |  |         |        |            |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                                                                |  |         |        |            |  |   |        |   |
| Cash (restricted$16,627,913 and $20,845,766 in 2006 and 2005,respectively)                                                                |  | $            | 126,512,605 |            |  | $      | 143,782,571 |   |
| Net unrealized appreciation on open futurespositions                                                                                      |  |         | 10,057,149  |            |  |   | —     |   |
| Unrealized appreciation on open forwardcontracts                                                                                          |  |         | 3,959,382   |            |  |   | 6,485,519   |   |
|                                                                                                                                      |  |         | 140,529,136 |            |  |   | 150,268,090 |   |
| Interestreceivable                                                                                                                        |  |         | 404,359     |            |  |   | 350,102     |   |
|                                                                                                                                      |  | $            | 140,933,495 |            |  | $      | 150,618,192 |   |
| LIABILITIES AND PARTNERS'CAPITAL:                                                                                                         |  |         |        |            |  |   |        |   |
| Liabilities:                                                                                                                              |  |         |        |            |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                                                                       |  | $            | —     |            |  | $      | 3,146,678   |   |
| Unrealizeddepreciation on open forward contracts                                                                                          |  |         | 5,207,720   |            |  |   | 3,376,758   |   |
| Accruedexpenses:                                                                                                                          |  |         |        |            |  |   |        |   |
| Commissions                                                                                                                               |  |         | 622,076     |            |  |   | 673,100     |   |
| Managementfees                                                                                                                            |  |         | 225,053     |            |  |   | 238,976     |   |
| Other                                                                                                                                     |  |         | 72,188      |            |  |   | 36,237      |   |
| Redemptionspayable                                                                                                                        |  |         | 4,600,973   |            |  |   | 2,935,408   |   |
|                                                                                                                                      |  |         | 10,728,010  |            |  |   | 10,407,157  |   |
| Partners'Capital:                                                                                                                         |  |         |        |            |  |   |        |   |
| General Partner 867.2897Unit equivalents outstanding in 2006 and 2005,respectively                                                        |  |         | 1,007,279   |            |  |   | 1,094,858   |   |
| Limited Partners, 111,242.5328 and 110,200.2032 RedeemableUnits of Limited Partnership Interest outstanding in 2006 and 2005,respectively |  |         | 129,198,206 |            |  |   | 139,116,177 |   |
|                                                                                                                                      |  |         | 130,205,485 |            |  |   | 140,211,035 |   |
|                                                                                                                                      |  | $            | 140,933,495 |            |  | $      | 150,618,192 |   |
|                                                                                                                                           |

See AccompanyingNotes to Financial Statements.

3

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Table of Contents

Smith Barney Westport Futures FundL.P.Condensed Schedule of InvestmentsMarch 31,2006(Unaudited)

|                                                  |  |            |            |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|------------|------------|----------------------|--|--------|--------|---------|--|--|
| Futures ContractsPurchased                       |  | Fair Value |            | % ofPartners'Capital |
| Energy                                           |  | $          | 36,423     |                 |  |   | 0.03   | %  |
| InterestRatesNon-U.S.                            |  |       | (4,220     | )               |  |   | (0.00) | *  |
| Indices                                          |  |       | 1,780,484  |                 |  |   | 1.37   |    |
| Metals                                           |  |       | 1,144,470  |                 |  |   | 0.88   |    |
| Softs                                            |  |       | 110,535    |                 |  |   | 0.08   |    |
|                                             |  |       |       |                 |  |   |   |    |
| Totalfutures contractspurchased                  |  |       | 3,067,692  |                 |  |   | 2.36   |    |
|                                             |  |       |       |                 |  |   |   |    |
| FuturesContractsSold                             |  |       |       |                 |  |   |   |    |
| Energy                                           |  |       | (26,050    | )               |  |   | (0.02  | )  |
| Grains                                           |  |       | 133,262    |                 |  |   | 0.10   |    |
| InterestRates U.S.                               |  |       | 2,504,502  |                 |  |   | 1.92   |    |
| InterestRatesNon-U.S.                            |  |       | 4,275,397  |                 |  |   | 3.28   |    |
| Softs                                            |  |       | 102,346    |                 |  |   | 0.08   |    |
|                                             |  |       |       |                 |  |   |   |    |
| Totalfutures contractssold                       |  |       | 6,989,457  |                 |  |   | 5.36   |    |
|                                             |  |       |       |                 |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |       |       |                 |  |   |   |    |
| Currencies                                       |  |       | 1,500,860  |                 |  |   | 1.15   |    |
| Metals                                           |  |       | 2,458,522  |                 |  |   | 1.89   |    |
|                                             |  |       |       |                 |  |   |   |    |
| Totalunrealized appreciation on forwardcontracts |  |       | 3,959,382  |                 |  |   | 3.04   |    |
|                                             |  |       |       |                 |  |   |   |    |
| UnrealizedDepreciation on ForwardContracts       |  |       |       |                 |  |   |   |    |
| Currencies                                       |  |       | (3,856,572 | )               |  |   | (2.96  | )  |
| Metals                                           |  |       | (1,351,148 | )               |  |   | (1.04  | )  |
|                                             |  |       |       |                 |  |   |   |    |
| Totalunrealized depreciation on forwardcontracts |  |       | (5,207,720 | )               |  |   | (4.00  | )  |
|                                             |  |       |       |                 |  |   |   |    |
| TotalFairValue                                   |  | $          | 8,808,811  |                 |  |   | 6.76   | %  |
|                                                  |

Percentagesare based on Partners' capital unless otherwise indicated

|         |                 |
|---------|-----------------|
| *  | Due to rounding |

See Accompanying Notes to Financial Statements.

4

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Smith Barney Westport Futures FundL.P.Condensed Schedule of InvestmentsDecember 31,2005(Unaudited)

|                                                  |  |           |            |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
| FuturesContracts Purchased                       |  | FairValue |            | % ofPartners'Capital |
| Energy                                           |  | $         | (4,684,950 | )               |  |   | (3.34  | )%  |
| Grains                                           |  |      | 4,100      |                 |  |   | 0.00   | *   |
| InterestRatesNon-U.S.                            |  |      | 1,837      |                 |  |   | 0.00   | *   |
| Livestock                                        |  |      | 55,100     |                 |  |   | 0.04   |     |
| Softs                                            |  |      | 1,275,291  |                 |  |   | 0.91   |     |
| Metals                                           |  |      | 1,881,960  |                 |  |   | 1.34   |     |
| Indices                                          |  |      | 776,264    |                 |  |   | 0.55   |     |
|                                             |  |      |       |                 |  |   |   |     |
| Totalfutures contractspurchased                  |  |      | (690,398   | )               |  |   | (0.50  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |     |
| Energy                                           |  |      | (360,632   | )               |  |   | (0.26  | )   |
| Grains                                           |  |      | (177,716   | )               |  |   | (0.13  | )   |
| InterestRates U.S.                               |  |      | (483,562   | )               |  |   | (0.34  | )   |
| InterestRatesNon-U.S.                            |  |      | (814,464   | )               |  |   | (0.58  | )   |
| Softs                                            |  |      | (619,906   | )               |  |   | (0.44  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| Totalfutures contractssold                       |  |      | (2,456,280 | )               |  |   | (1.75  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| Unrealized Appreciation on ForwardContracts      |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | 4,276,642  |                 |  |   | 3.05   |     |
| Metals                                           |  |      | 2,208,877  |                 |  |   | 1.58   |     |
|                                             |  |      |       |                 |  |   |   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 6,485,519  |                 |  |   | 4.63   |     |
|                                             |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | (2,746,981 | )               |  |   | (1.96  | )   |
| Metals                                           |  |      | (629,777   | )               |  |   | (0.45  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| Totalunrealized depreciation on forwardcontracts |  |      | (3,376,758 | )               |  |   | (2.41  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| TotalFairValue                                   |  | $         | (37,917    | )               |  |   | (0.03  | )%  |
|                                                  |

Percentagesare based on partners' capital unless otherwise indicated

|         |                 |
|---------|-----------------|
| *  | Due to rounding |

See Accompanying Notes to FinancialStatements.

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Smith Barney Westport Futures FundL.P.Statements of Income and Expenses and Partners'Capital(Unaudited)

|                                                                                                                                        |  |                           |             |         |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                   |  | ThreeMonths EndedMarch31, |
|                                                                                                                                   |  | 2006                      |             | 2005    |
| Income:                                                                                                                                |  |                      |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                                                    |  |                      |        |    |  |   |        |    |
| Realized losses on closedpositions                                                                                                     |  | $                         | (19,028,992 | )  |  | $      | (15,738,148 | )  |
| Change in unrealized gains (losses) on openpositions                                                                                   |  |                      | 8,846,728   |    |  |   | (13,753,153 | )  |
|                                                                                                                                   |  |                      | (10,182,264 | )  |  |   | (29,491,301 | )  |
| Interestincome                                                                                                                         |  |                      | 1,135,351   |    |  |   | 592,706     |    |
|                                                                                                                                   |  |                      | (9,046,913  | )  |  |   | (28,898,595 | )  |
| Expenses:                                                                                                                              |  |                      |        |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $38,495 and $40,045,respectively                                                       |  |                      | 1,930,956   |    |  |   | 1,785,621   |    |
| Management fees                                                                                                                        |  |                      | 669,170     |    |  |   | 622,089     |    |
| Otherexpenses                                                                                                                          |  |                      | 35,951      |    |  |   | 26,981      |    |
|                                                                                                                                   |  |                      | 2,636,077   |    |  |   | 2,434,691   |    |
| Net loss                                                                                                                               |  |                      | (11,682,990 | )  |  |   | (31,333,286 | )  |
| Additions—Limited Partners                                                                                                       |  |                      | 10,828,000  |    |  |   | 8,515,000   |    |
| Redemptions—LimitedPartners                                                                                                      |  |                      | (9,150,560  | )  |  |   | (2,164,552  | )  |
| Net decrease in Partners' capital                                                                                                      |  |                      | (10,005,550 | )  |  |   | (24,982,838 | )  |
| Partners' capital, beginning ofperiod                                                                                                  |  |                      | 140,211,035 |    |  |   | 147,913,140 |    |
| Partners' capital, end ofperiod                                                                                                        |  | $                         | 130,205,485 |    |  | $      | 122,930,302 |    |
| Net asset value per RedeemableUnit (112,109.8225 and 94,913.8895 Redeemable Units outstanding atMarch  31, 2006 and 2005,respectively) |  | $                         | 1,161.41    |    |  | $      | 1,295.18    |    |
| Net loss per Redeemable Unit ofLimited Partnership Interest and General Partner Unitequivalent                                         |  | $                         | (100.98     | )  |  | $      | (340.49     | )  |
|                                                                                                                                        |

See Accompanying Notes toFinancial Statements.

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Smith Barney Westport Futures FundL.P.Statements of CashFlows(Unaudited)

|                                                                                                  |  |                            |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|----------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | Three Months EndedMarch31, |
|                                                                                             |  | 2006                       |             | 2005    |
| Cashflows from operating activities:                                                             |  |                       |        |    |  |   |        |    |
| Netloss                                                                                          |  | $                          | (11,682,990 | )  |  | $      | (31,333,286 | )  |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                       |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                                      |  |                       |        |    |  |   |        |    |
| (Increase) decrease inrestricted cash                                                            |  |                       | 4,217,853   |    |  |   | 8,099,283   |    |
| (Increase) decrease in net unrealized appreciation onopen futurespositions                       |  |                       | (10,057,149 | )  |  |   | (6,294,637  | )  |
| (Increase) decrease in unrealized appreciation on openforward contracts                          |  |                       | 2,526,137   |    |  |   | 12,987,031  |    |
| (Increase) decrease in interestreceivable                                                        |  |                       | (54,257     | )  |  |   | (61,362     | )  |
| Increase (decease) in net unrealized depreciation onopen futures positions                       |  |                       | (3,146,678  | )  |  |   | —     |    |
| Increase (decease) in unrealized depreciation on openforward contracts                           |  |                       | 1,830,962   |    |  |   | 7,060,759   |    |
| Accruedexpenses:                                                                                 |  |                       |        |    |  |   |        |    |
| Increase (decrease) incommissions                                                                |  |                       | (51,024     | )  |  |   | (154,689    | )  |
| Increase (decrease) in managementfees                                                            |  |                       | (13,923     | )  |  |   | (55,701     | )  |
| Increase (decrease) in incentivefees                                                             |  |                       | —     |    |  |   | (1,537,143  | )  |
| Increase (decrease) inother                                                                      |  |                       | 35,951      |    |  |   | 26,981      |    |
| Net cash provided by (used in) operatingactivities                                               |  |                       | (16,395,118 | )  |  |   | (11,262,764 | )  |
| Cash flows from financingactivities:                                                             |  |                       |        |    |  |   |        |    |
| Proceeds fromadditions—Limited Partners                                                    |  |                       | 10,828,000  |    |  |   | 8,515,000   |    |
| Payments forredemptions—LimitedPartners                                                    |  |                       | (7,484,995  | )  |  |   | (9,009,404  | )  |
| Net cash provided by (used in) financingactivities                                               |  |                       | 3,343,005   |    |  |   | (494,404    | )  |
| Net change incash                                                                                |  |                       | (13,052,113 | )  |  |   | (11,757,168 | )  |
| Unrestricted cash, at beginning ofperiod                                                         |  |                       | 122,936,805 |    |  |   | 103,112,707 |    |
| Unrestricted cash,at end of period                                                               |  | $                          | 109,884,692 |    |  | $      | 91,355,539  |    |
|                                                                                                  |

SeeAccompanying Notes to FinancialStatements.

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SmithBarney Westport Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

1.    General:

SmithBarney Westport Futures Fund L.P. (the"Partnership") is a limited partnership whichwas organized on March 21, 1997 under the partnership laws of the Stateof New York to engage in the speculative trading of a diversifiedportfolio of commodity interests including futures contracts, optionsand forward contracts. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk.

Citigroup Managed Futures LLC acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.As of March 31, 2006, all trading decisions for the Partnership aremade by John W. Henry & Company, Inc. (the"Advisor").

The accompanying financialstatements are unaudited but, in the opinion of management, include alladjustments, consisting only of normal recurring adjustments, necessaryfor a fair presentation of the Partnership's financial conditionat March 31, 2006 and December 31, 2005, and the results of itsoperations and cash flows for the three months ended March 31, 2006 and2005. These financial statements present the results of interim periodsand do not include all disclosures normally provided in annualfinancial statements. You should read these financial statementstogether with the financial statements and notes included in thePartnership's Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31,2005.

Due to the nature of commodity trading, the results ofoperations for the interim periods presented should not be consideredindicative of the results that may be expected for the entireyear.

Certain prior period amounts have been reclassified toconform to current period presentation.

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit ofLimited Partnership Interest for the three months ended March 31, 2006and 2005 were as follows:

|                                                         |  |                           |          |         |  |        |          |         |  |  |
|---------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                    |  | ThreeMonths EndedMarch31, |
|                                                    |  | 2006                      |          | 2005    |
| Netrealized and unrealized losses *                     |  | $                         | (104.70  | )  |  | $      | (339.88  | )  |
| Interest income                                         |  |                      | 9.82     |    |  |   | 6.32     |    |
| Expenses**                                              |  |                      | (6.10    | )  |  |   | (6.93    | )  |
| Decrease for the period                                 |  |                      | (100.98  | )  |  |   | (340.49  | )  |
| Net asset Value per Redeemable Unit,beginning of period |  |                      | 1,262.39 |    |  |   | 1,635.67 |    |
| Net asset value per Redeemable Unit,end of period       |  | $                         | 1,161.41 |    |  | $      | 1,295.18 |    |
|                                                         |

|   |                               |
|---|-------------------------------|
| * | Includesbrokerage commissions |

|    |                               |
|----|-------------------------------|
| ** | Excludesbrokerage commissions |

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SmithBarney Westport Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

|                                             |  |                           |         |          |  |        |         |          |  |  |
|---------------------------------------------|--|---------------------------|---------|----------|--|--------|---------|----------|--|--|
|                                        |  | ThreeMonths EndedMarch31, |
|                                        |  | 2006                      |         | 2005     |
| Ratios to Average NetAssets:***             |  |                      |    |     |  |   |    |     |
| Net investmentloss before incentivefees**** |  |                      | (4.6    | )%  |  |   | (5.8    | )%  |
| Operatingexpense                            |  |                      | 8.0     | %   |  |   | 7.6     | %   |
| Incentivefees                               |  |                      | — | %   |  |   | — | %   |
| Total expenses                              |  |                      | 8.0     | %   |  |   | 7.6     | %   |
| Totalreturn:                                |  |                      |    |     |  |   |    |     |
| Total return beforeincentive fees           |  |                      | (8.0    | )%  |  |   | (20.8   | )%  |
| Incentivefees                               |  |                      | — | %   |  |   | — | %   |
| Total return after incentivefees            |  |                      | (8.0    | )%  |  |   | (20.8   | )%  |
|                                             |

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

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

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average net assets.

3.    Trading Activities:

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

TheCustomer Agreement between the Partnership and CGM gives thePartnership the legal right to net unrealized gains and losses on openfutures positions.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair values ofthese interests during the three and twelve months ended March 31, 2006and December  31, 2005, based on a monthly calculation, were$2,061,695 and $7,849,063, respectively. The fair values of thesecommodity interests, including options thereon, if applicable, at March31, 2006 and December  31, 2005, were $8,808,811 and $(37,917),respectively. Fair values for exchange traded commodity futures andoptions are based on quoted market prices for those futures andoptions. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Financial InstrumentRisks:

In the normal course of its business, the Partnership isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures and options,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange-tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options.

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SmithBarney Westport Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange-traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

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

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

The General Partnermonitors and controls the Partnership's risk exposure on a dailybasis through financial, credit and risk management monitoring systems,and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which thePartnership is subject. These monitoring systems allow the GeneralPartner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forward and option positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of March 31, 2006.However, due to the nature of the Partnership's business, theseinstruments may not be held to maturity.

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

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its equity in itscommodity futures trading account, consisting of cash, net unrealizedappreciation on open futures and forward contracts and interestreceivable. Because of the low margin deposits normally required incommodity futures trading, relatively small price movements may resultin substantial losses to the Partnership. While substantial lossescould lead to a substantial decrease in liquidity, no such lossesoccurred in the first quarter of 2006.

The Partnership'scapital consists of capital contributions, as increased or decreased byrealized and/or unrealized gains or losses on commodity futures tradingand expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

For the three months endedMarch  31, 2006, Partnership capital decreased 7.14% from$140,211,035 to $130,205,485. This decrease was attributable to a netloss from operations of $11,682,990, coupled with the redemption of7,878.9551 Redeemable Units of Limited Partnership Interest totaling$9,150,560, which was partially offset by additional sales of8,921.2847 Redeemable Units of Limited Partnership Interest totaling$10,828,000. Future redemptions can impact the amount of fundsavailable for investment in commodity contract positions in subsequentperiods.

Critical Accounting Policies

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

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statements of financial condition at fair value on the lastbusiness day of the period, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theGeneral Partner for those commodity interests and foreign currenciesfor which market quotations are not readily available. Investments incommodity interests denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing on the last businessday of the period. Realized gains (losses) and changes in unrealizedvalues on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests.

Foreign currencycontracts are those contracts where the Partnership agrees to receiveor deliver a fixed quantity of foreign currency for an agreed-uponprice on an agreed future date. Foreign currency contracts are valueddaily, and the Partnership's net equity therein, representingunrealized gain or loss on the contracts as measured by the differencebetween the forward foreign exchange rates at the dates of entry intothe contracts and the forward rates at the reporting date, is includedin the statements of financial condition. Realized gains (losses) andchanges in unrealized values on foreign currency contracts arerecognized in the period in which the contract is closed or the changesoccur and are included in the statements of income and expenses andpartners' capital.

Results ofOperations

During the Partnership's first quarter of2006 the net asset value per Redeemable unit decreased 8.0% from$1,262.39 to $1,161.41 as compared to a decrease of 20.8% in thefirst quarter of 2005. The Partnership experienced a net trading lossbefore brokerage commissions and related fees in the first quarter of2006 of $10,182,264. Losses were primarily attributable to the tradingof commodity futures in currencies, energy, grains and livestock andwere partially offset by gains in metals, softs, indices, U.S. andnon-U.S. interest rates. The Partnership experienced a net trading lossbefore brokerage commissions and related fees in the first quarter of2005 of $29,491,301. Losses were primarily attributable to the tradingof commodity futures in currencies, grains, non-U.S. interest rates andmetals and were partially offset by gains in energy, indices, U.S.interest rates, livestock and softs.

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The main drivers of performance in thefirst quarter of 2006 were volatile currency and energy markets whichincurred substantial losses for the partnership. Offsetting a portionof these losses were gains in metals, stock index and interest ratetrading.

The U. S. dollar remained in a trading pattern for mostof the quarter with its value versus both the euro and yen rising andfalling within a range that resulted in losses for thePartnership's advisor whose trading systems tend to be longerterm in nature. Energy trading was likewise unprofitable with losses inall sectors of the market.

Global political instability, risingenergy prices and global interest rates fueled precious metals, bothgold and silver to over 20 year highs. Base metals, notably copper andzinc, reached prices not seen in over 25 years, also contributedpositively. Rising commodity prices led to higher interest rates in theU.S., Europe and Asia, producing profits for the Advisor for thequarter. Counterintuitive to traditional market reaction to higherinterest rates, global stock markets advanced as corporate earningsreports for full year 2005 met or exceeded expectations and consumerspending remained high despite increased energy prices and interestrates. The Partnership's Advisor was properly positioned to takeadvantage of these trends. 

Commodity futures markets are highlyvolatile. The potential for broad and rapid price fluctuationsincreases the risks involved in commodity trading, but also increasesthe possibility of profit. The profitability of the Partnership dependson the existence of major price trends and the ability of the Advisorto correctly identify those price trends. Price trends are influencedby, among other things, changing supply and demand relationships,weather, governmental, agricultural, commercial and trade programs andpolicies, national and international political and economic events andchanges in interest rates. To the extent that market trends exist andthe Advisor is able to identify them, the Partnership expects toincrease capital through operations.

Interest income on80% of the Partnership's daily average equity maintainedin cash was earned at a 30-day U.S. Treasury bill rate determinedweekly by CGM based on the average non-competitive yield on 3-monthU.S. Treasury bills maturing in 30 days. CGM may continue to maintainthe Partnership's assets in cash and/or place all of thePartnership's assets in 90-day Treasury bills and pay thePartnership 80% of the interest earned on the Treasury billspurchased. CGM will retain 20% of any interest earned onTreasury bills. Interest income for the three months ended March31, 2006 increased by $542,645, as compared to the corresponding periodin 2005. The increase is due to higher interest rates and higheraverage net assets during the three months ended March  31, 2006as compared to the corresponding period in 2005.

Brokeragecommissions are calculated on the Partnership's adjusted netasset value on the last day of each month and are affected by tradingperformance, additions and redemptions. Accordingly, they must beanalyzed in relation to the fluctuations in the monthly net assetvalues. Commissions and fees for the three months ended March31, 2006 increased by $145,335, as compared to the corresponding periodin 2005. The increase in brokerage commissions and fees is due tohigher average net assets during the three months ended March31, 2006 as compared to the corresponding period in 2005.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance, additions and redemptions. Managementfees for the three months ended March  31, 2006 increased by$47,081, as compared to the corresponding period in 2005. The increasein management fees is due to higher average net assets during the threemonths ended March  31, 2006 as compared to the correspondingperiod in 2005.

Incentive fees are based on the new tradingprofits generated by the Advisor at the end of the quarter as definedin the advisory agreements between the Partnership, the General Partnerand the Advisor. There were no incentive fees for the three monthsended March  31, 2006 as well as for the three months endedMarch  31, 2005.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

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

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

The Partnership rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing aswell as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Partnership's losses in any market sector will be limited toValue at Risk or by the Partnership's attempts to manage itsmarket risk.

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

The followingtable indicates the trading Value at Risk associated with thePartnership's open positions by market category as ofMarch  31, 2006 and the highest, lowest and average values duringthe three months ended March  31, 2006. All open position tradingrisk exposures of the Partnership have been included in calculating thefigures set forth below. As of March  31, 2006, thePartnership's total capitalization was $130,205,485. There hasbeen no material change in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2005.

March  31, 2006 (Unaudited)

|                                  |  |               |            |                         |  |                                 |        |                  |  |                      |            |        |  |        |           |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|------------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                             |  |          |            |                    |  | Threemonths ended March 31,2006 |
| MarketSector                     |  | Value at Risk |            | % ofTotalCapitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                       |  |          |       |                    |  |                            |   |             |  |                 |       |   |  |   |      |   |  |   |      |   |
| –OTC Contracts             |  | $             | 4,853,778  |                    |  |                            | 3.73   | %           |  | $                    | 11,394,966 |   |  | $      | 3,822,692 |   |  | $      | 6,141,253 |   |
| Energy                           |  |          | 1,133,100  |                    |  |                            | 0.87   | %           |  |                 | 6,631,840  |   |  |   | 341,000   |   |  |   | 1,604,367 |   |
| Grains                           |  |          | 119,100    |                    |  |                            | 0.09   | %           |  |                 | 434,950    |   |  |   | 70,268    |   |  |   | 143,172   |   |
| Interest RatesU.S.               |  |          | 1,543,700  |                    |  |                            | 1.19   | %           |  |                 | 1,636,400  |   |  |   | 97,208    |   |  |   | 1,039,327 |   |
| Interest RatesNon-U.S.           |  |          | 4,561,033  |                    |  |                            | 3.50   | %           |  |                 | 5,666,235  |   |  |   | 1,615,954 |   |  |   | 2,960,008 |   |
| Metals                           |  |          |       |                    |  |                            |   |             |  |                 |       |   |  |   |      |   |  |   |      |   |
| –Exchange Traded Contracts |  |          | 805,500    |                    |  |                            | 0.62   | %           |  |                 | 1,281,750  |   |  |   | 255,000   |   |  |   | 786,833   |   |
| – OTCContracts             |  |          | 190,450    |                    |  |                            | 0.15   | %           |  |                 | 1,574,924  |   |  |   | 185,400   |   |  |   | 362,351   |   |
| Softs                            |  |          | 548,455    |                    |  |                            | 0.42   | %           |  |                 | 1,014,563  |   |  |   | 361,530   |   |  |   | 469,127   |   |
| Indices                          |  |          | 1,725,678  |                    |  |                            | 1.32   | %           |  |                 | 3,010,026  |   |  |   | 1,361,793 |   |  |   | 2,023,215 |   |
| Total                            |  | $             | 15,480,794 |                    |  |                            | 11.89  | %           |  |                 |       |   |  |   |      |   |  |   |      |   |
|                                  |

|   |                                    |
|---|------------------------------------|
| * | Averageof month-end values at risk |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures (as defined inRules 13a-15(e) and 15d-15(e) under the Exchange Act) with respect tothe Partnership as of the end of the period covered by the report, and,based on this evaluation, has concluded that these disclosure controlsand procedures are effective. Additionally, there were no significantchanges in the Partnership's internal controls or in otherfactors that could significantly affect these controls during theregistrant's last fiscal quarter, including any correctiveactions with regard to significant deficiencies and materialweaknesses.

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PART II. OTHER INFORMATION

Item 1.    Legal Proceedings

The followinginformation supplements and amends our discussion set forth under PartI, Item 3, "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

WorldCom, Inc.

In March 2006,the class action settlement in IN RE WORLDCOM, INC. SECURITIESLITIGATION became final, and the settlement amount was paid pursuant tothe terms of the settlement agreement.

Research

OnMarch 29, 2006, the court preliminarily approved Citigroup'ssettlement of IN RE SALOMON ANALYST AT&T LITIGATION. A finalhearing on the settlement is scheduled for August 11, 2006.

IPO Antitrust Litigation

The underwriterdefendants' motion in the Second Circuit to stay the issuance ofthe mandate remanding the cases to the district court pending thefiling of a petition for writ of certiorari to the United StatesSupreme Court was granted on March 9, 2006, after the writ ofcertiorari was filed on March 8, 2006.

Item 1A. RiskFactors

There are no material changes from the risk factors setforth under Part I, Item 1A. "Risk Factors"in our Annual Report on Form 10-K for the fiscal year ended December31, 2005.

Item 2.    Unregistered Sales of Equity Securitiesand Use of Proceeds

For the three months ended March  31,2006, there were additional sales of 8,921.2847 Redeemable Unitstotaling $10,828,000. The Redeemable Units were issued in reliance uponapplicable exemptions from registration under Section 4(2) of theSecurities Act of 1933, as amended, and Section 506 of Regulation Dpromulgated thereunder.

Proceeds from the sale of additionalRedeemable Units are used in the trading of commodity interestsincluding futures contracts, options and forwards contracts.

Thefollowing chart sets forth the purchases of Redeemable Units by thePartnership.

|                                   |  |                                                |            |                                           |  |                                                                                           |          |                                                                                                                     |  |        |     |        |  |        |     |        |  |  |
|-----------------------------------|--|------------------------------------------------|------------|-------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                            |  | (a)Total Number of Shares(or Units) Purchased* |            | (b)AveragePrice Paid perShare (or Unit)** |  | (c) TotalNumberof Shares (or Units)Purchased as Partof PubliclyAnnouncedPlans or Programs |          | (d) Maximum Number(orApproximateDollar Value) of Shares(or Units) thatMay YetBe Purchased Under thePlans orPrograms |
| January 1, 2006-January 31,2006   |  |                                           | 2,265.0363 |                                      |  | $                                                                                         | 1,206.47 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| February1, 2006 -February 28,2006 |  |                                           | 1,652.3781 |                                      |  | $                                                                                         | 1,099.56 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| March1, 2006 - March 31,2006      |  |                                           | 3,961.5407 |                                      |  | $                                                                                         | 1,161.41 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| Total                             |  |                                           | 7,878.9551 |                                      |  | $                                                                                         | 1,155.81 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
|                                   |

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|---|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | Generally,Limited Partners are permitted to redeem their Redeemable Units as ofthe end of each month on 10 days' notice to the General Partner.Under certain circumstances, the General Partner can compel redemptionbut to date the General Partner has not exercised this right. Purchasesof Redeemable Units by the Partnership reflected in the chart abovewere made in the ordinary course of the Partnership's business inconnection with effecting redemptions for Limited Partners. |

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

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Item 3.    Defaults UponSenior Securities – None

Item4.    Submission of Matters to a Vote of Security Holders –None

Item 5.    Other Information – None

Item 6.    Exhibits

The exhibits required to befiled by Item 601 of Regulation S-K are incorporated herein byreference to the exhibit index of the Partnership's Annual Reporton Form 10-K for the period ended December 31, 2005.

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

Exhibit – 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director)

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

Exhibit – 32.2 – Section1350 Certification (Certification of Chief Financial Officer andDirector).

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SIGNATURES

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

SMITH BARNEY WESTPORT FUTURES FUND L.P.

|        |  |                                                         |  |  |  |  |
|--------|--|---------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                            |
|   |  | (General Partner)                                       |
| By:    |  | /s/David J. Vogel                                       |
|   |  | David J. Vogel Presidentand Director                    |
| Date:  |  | May11,2006                                              |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                             |
|   |  | Daniel R. McAuliffe ChiefFinancial Officer and Director |
| Date:  |  | May11, 2006                                             |
|        |

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