UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of1934

For the fiscal year endedDecember 31, 2004

Commission File Number 000-25921

|                                                             |  |                                    |  |  |  |  |
|-------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| **SMITHBARNEY AAA ENERGY FUNDL.P.**                         |
| (Exact name of registrantas specified in its charter)       |
| NewYork                                                     |  | 13-3986032                         |
| (Stateor other jurisdiction ofincorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
| c/oCitigroup Managed Futures LLC                            |
| 399 Park Avenue. – 7thFl.                             |
| NewYork, New York 10022                                     |
| (Address and ZipCode of principal executive offices)        |
| (212)559-2011                                               |
| (Registrant'stelephone number, including areacode)          |
|                                                             |

Securities registered pursuant toSection 12(b) of the Act: None

Securitiesregistered pursuant to Section 12(g) of the Act: Redeemable Unitsof Limited Partnership Interest

|  | (Titleof Class) |
|--|-----------------|

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or forsuch shorter period that the registrant was required to file suchreports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes X        No    

Indicate by check mark if disclosure ofdelinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best ofregistrant's knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K orany amendment to this form 10-K [X]

Indicate by checkmark whether the registrant is an accelerated filer (as defined in Rule12b-2 of the Acts).

Yes X        No    

Limited Partnership Redeemable Unitswith an aggregate value of $121,143,768 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

As of February28, 2005, 54,578.7107 Limited Partnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BYREFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Smith Barney AAA Energy Fund L.P. (the"Partnership") is a limited partnershiporganized on January 5, 1998 under the partnership laws of the State ofNew York. The objective of the Partnership is to achieve substantialappreciation of its assets through speculative trading, directly orindirectly, in commodity interests generally including commodityoptions and commodity futures contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind, but initially it traded solelyenergy and energy related products. In addition, the Partnership mayenter into swap contracts on energy related products (together withother traded futures and options contracts, the "CommodityInterests"). The Partnership invests all of its assets inSB AAA Master Fund LLC, a New York Limited Liability Company (the"Master"). The Commodity Interests that aretraded by the Master are volatile and involve a high degree of marketrisk. During the initial offering period (February 12, 1998 throughMarch 15, 1998) the Partnership sold 49,538 redeemable units of LimitedPartnership in the Partnership ("RedeemableUnits"). The Partnership commenced its Commodity Interesttrading activities on March 16, 1998. No securities which represent anequity interest or any other interest in the Partnership trade on anypublic market. Sales and redemptions of Redeemable Units and generalpartner contributions and redemptions for the years ended December 31,2004, 2003 and 2002 are reported in the Statements of Changes inPartners' Capital on page F-9 under "Item 8.Financial Statements and Supplementary Data."

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2018; if the net asset value per RedeemableUnit falls below $400 as of the close of business on any business dayor upon the earlier occurrence of certain other circumstances set forthin the Limited Partnership Agreement of the Partnership (the"Limited Partnership Agreement").

Effective September 1, 2001, the Partnership allocated substantiallyall of its capital to the Master. With this cash, the Partnershippurchased 128,539.1485 Units of the Master with a fair value of$128,539,149 (including unrealized appreciation of $7,323,329). TheMaster was formed in order to permit commodity pools managed now or inthe future by AAA Capital Management, Inc.("AAA") (the"Advisor") using the Energy with SwapsProgram, the Advisor's proprietary trading program, to investtogether in one trading vehicle. Citigroup Managed Futures LLC acts asthe general partner (the "General Partner")of the Partnership and the managing member (the "ManagingMember") of the Master. The General Partner and theAdvisor believe that trading through the master/feeder structure shouldpromote efficiency and economy in the trading process. Expenses toinvestors as a result of the investment in the Master are approximatelythe same and redemption rights are not affected.

At December 31,2004 and 2003, the Partnership owns 46.6% and 47.6%,respectively of the Master. It is the Partnership's intention tocontinue to invest substantially all of its assets in the Master. Theperformance of the Partnership is directly affected by the performanceof the Master.

Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.,acts as the Partnership's and the Master Fund's commoditybroker. CGM is an affiliate of the General Partner. The General Partneris wholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup").

The Master'strading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchanges and foreign commodity exchanges. It engages in such tradingthrough a commodity brokerage account maintained with CGM.

Underthe Limited Partnership Agreement, the General Partner has soleresponsibility for the administration of the business and affairs ofthe Partnership, but may delegate trading discretion to one or moretrading advisors.

The General Partner has entered into amanagement agreement (the "ManagementAgreement") with the Advisor who will make all commoditytrading decisions for the Partnership. Mr. A. Anthony Annunziato is thepresident of the Advisor. He and the Advisor's other fourprincipals are also employees of CGM. The Advisor is not responsiblefor the organization or operation of the Partnership.

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The Partnership is obligated to pay theAdvisor a monthly management fee equal to 1/6 of 1% (2%per year) of month-end Net Assets allocated by the Master. Month-endNet Assets, for the purpose of calculating management fees, are NetAssets, as defined in the Limited Partnership Agreement, prior to thereduction of redemptions and incentive fees. The Advisor has agreed topay one half of its management fee to CGM for services it provides inconnection with the Advisor. In addition, the Advisor is a SpecialLimited Partner of the Partnership and receives an annual profit shareallocation to its capital account in the Partnership equal to20% of New Trading Profits (as defined in the ManagementAgreement) earned on behalf of the Partnership during each calendaryear in the form of Special Limited Partner Units.

All brokeragecommissions, exchange, clearing, user, give-up, and NFA fees will beborne by the Master and allocated to the Partnership through itsinvestment in the Master. CGM pays a portion of its brokerage fees toits financial consultants who have sold Redeemable Units in thisPartnership. Brokerage fees will be paid for the life of thePartnership, although the rate at which such fees are paid may bechanged. CGM will pay the Partnership interest on 80% of theaverage daily equity allocated to the Partnership by the Master duringeach month at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. The Customer Agreement between CGM and the Master gives theMaster the legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party.

(b)    Financial information about industry segments. ThePartnership's business consists of only one segment, speculativetrading of commodity interests. The Partnership does not engage insales of goods or services. The Partnership's net income fromoperations for the years ended December 31, 2004, 2003, 2002, 2001 and2000 are set forth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2004, was $155,619,551.

(c)    Narrative descriptionof business.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    FinancialInformation About Geographic Areas. The Partnership does notengage in sales of goods or services or own any long lived assets, andtherefore this item is not applicable.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings

This section describes the major pending legalproceedings, other than ordinary routine litigation incidental to thebusiness, to which Citigroup Global Markets Holding Inc.("CGMHI") or its subsidiaries is a party orto which any of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

Citigroup Global Markets Inc. ("CGM") is aNew York corporation with its principal place of business at 388Greenwich Street, New York, New York 10013. CGM is registered as abroker-dealer and futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against Citigroup Global Markets (formerly known asSalomon Smith Barney) or any of its individual principals and no suchactions are currently pending, except as follows.

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Regulatory Matters

Both theDepartment of Labor and the Internal Revenue Service("IRS") have advised CGM that they were orare reviewing transactions in which Ameritech Pension Trust purchasedfrom CGM and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

In April 2000, CGM and several other broker-dealersentered into a settlement with the IRS and the SEC, concluding anindustry-wide investigation into the pricing of Treasury securities inadvanced refunding transactions.

IPO Regulatory Inquiries

Since April 2002, CGM and several other broker dealers have receivedsubpoenas and/or requests for information from various governmental andself-regulatory agencies and Congressional committees as part of theirresearch on IPO allocation inquiries. With respect to issues raised bythe NASD, the NYSE and the SEC about CGM's and other firms'e-mail retention practices, CGM and several other broker/dealers andthe NASD, the NYSE and the SEC entered into a settlement agreement inDecember 2002. CGM agreed to pay a penalty in the amount of $1.65million and did not admit any wrongdoing.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against CGM and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. CGM is not a defendant in any ofthe six focus cases. The underwriter defendants in the focus cases havefiled a petition to the United States Court of Appeals for the SecondCircuit seeking review of this decision.

Also filed in theSouthern District of New York against CGM and other investment bankswere several alleged class actions that were consolidated into a singleclass action alleging violations of certain federal and state antitrustlaws in connection with the allocation of shares in initial publicofferings when acting as underwriters. On November 3, 2003, the courtgranted CGM's motion to dismiss the consolidated amendedcomplaint in the antitrust case. An appeal to the Second Circuit of thedismissal granted to CGM in November 2003 with respect to the antitrustcase relating to the allocation of shares for certain initial publicofferings is pending.

Research Settlement

On April 28,2003, CGM announced final agreements with the SEC, the NASD, the NYSEand the New York Attorney General (as lead state among the 50 states,the District Columbia and Puerto Rico) to resolve on a civil basis allof their outstanding investigations into its research and IPOallocation and distribution practices (the "ResearchSettlement"). As part of the Research Settlement, CGM hasconsented to the entry of (1) an injunction under the federalsecurities laws to be entered in the United States District Court forthe Southern District of New York, barring CGM from violatingprovisions of the federal securities laws and related NASD and NYSErules relating to research, certain IPO allocation practices, thesafeguarding of material nonpublic information, and the maintenance ofrequired books and records and requiring CGM to adopt and enforce newrestrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring CGM to cease and desist from violations ofcorresponding NASD rules and requiring CGM to adopt and enforce thesame new restrictions; (3) an 

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NYSE Stipulation and Consent requiring CGM tocease and desist from violations of corresponding NYSE rules andrequiring CGM to adopt and enforce the same new restrictions; and (4)an Assurance of Discontinuance with the New York Attorney Generalcontaining substantially the same or similar restrictions. The ResearchSettlement requires CGM to pay $300 million for retrospective relief,plus $25 million for investor education, and commit to spend $75million to provide independent third-party research to its clients atno charge. CGM reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the 2002fourth quarter.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against CGM and nine other investment banks. TheNASD has accepted the Letter of Acceptance, Waiver and Consent enteredinto with CGM in connection with the Research Settlement. In May 2003,the NYSE advised CGM that the Hearing Panel's Decision, in whichit accepted the Research Settlement, had become final. As required bythe Research Settlement, CGM also has entered into separate settlementagreements with numerous states and certain U.S. territories.

Several individual actions have been filed against Citigroup and CGMrelating to, among other things, research on Qwest CommunicationsInternational, Inc. alleging violations of state and federal securitieslaws.

Enron Regulatory Settlement

On July 28,2003, Citigroup (CGM's ultimate parent) entered into a finalsettlement agreement with the SEC to resolve the SEC'soutstanding investigations into Citigroup transactions with Enron Corp.and Dynegy Inc. Pursuant to the settlement, Citigroup has, among otherterms, (1) consented to the entry of an administrative cease and desistorder, which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CGM,Citigroup and various other Citigroup-related entities have been namedas defendants in over 20 civil lawsuits pending in state and federalcourts throughout the United States, alleging claims against Citigroupand CGM based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked holdings. The lawsuits collectively allege as againstCitigroup and/or its affiliates and subsidiaries, among other things,federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of fiduciary duty, aiding and abettinga breach of fiduciary duty and related claims. In most of theselawsuits, Citigroup is named as a co-defendant along with otherinvestment banks alleged to have had dealings with Enron. The majorityof cases pending in the federal courts have been, or are in the processof being, consolidated before a single judge in the United StatesDistrict Court for the Southern District of Texas. In addition, in fiveadversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, inone case, its co-debtor affiliates and subsidiaries, and the OfficialCommittee of Unsecured Creditors of Enron Corp., et al., have namedCitigroup and/or its affiliates or subsidiaries as defendants.

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A Citigroup affiliate, along with otherdefendants, settled all claims against it in In Re: NewpowerHoldings Securities Litigation, a class action brought on behalf ofcertain investors in NewPower securities. Citigroup reached thissettlement agreement without admitting any wrongdoing. On September 13,2004, the United States District Court for the Southern District of NewYork preliminarily approved the settlement.

WorldCom-RelatedLitigation

Citigroup, CGM and certain executive officers andcurrent and former employees have been named as defendants —along with twenty-two other investment banks, certain current andformer WorldCom officers and directors, and WorldCom's formerauditors — in a consolidated class action brought on behalf ofindividuals and entities who purchased or acquired publicly tradedsecurities of WorldCom between April 29, 1999 and June 25, 2002 InRe: Worldcom, Inc. Securities Litigation. The class actioncomplaint asserts claims against CGM under (i) Sections 11 and 12(a)(2)of the Securities Act of 1933, as amended, in connection with certainbond offerings in which it served as underwriter, and (ii) Sections10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, andRule 10b-5 promulgated under Section 10(b), alleging that itparticipated in the preparation and/or issuance of misleading WorldComregistration statements and disseminated misleading research reportsconcerning WorldCom stock. In 2003, the district court deniedCGM's motion to dismiss the consolidated class action complaintand granted the plaintiffs' motion for class certification.

Pursuant to an order entered May 28, 2003, the District Courtconsolidated approximately seventy-eight individual actions with theclass action for pretrial proceedings. The claims asserted in theseindividual actions are substantially similar to the claims alleged inthe class action and assert state and federal securities law claimsbased on CGM's research reports concerning WorldCom and/orCGM's role as an underwriter in WorldCom offerings. Plaintiffs incertain of these actions filed motions to remand their cases to statecourt. The District Court denied these motions and its rulings wereupheld on appeal.

Numerous other actions asserting claimsagainst CGM in connection with its research reports about WorldComand/or its role as an investment banker for WorldCom are pending inother federal and state courts around the country. These actions havebeen remanded to various state courts, are pending in other federalcourts, or have been conditionally transferred to the United StatesDistrict Court for the Southern District of New York to be consolidatedwith the class action. In addition to the court suits, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its WorldCom research reports are pending in numerousarbitrations around the country. These actions assert claims that aresubstantially similar to the claims asserted in the classaction.

On May 10, 2004, Citigroup announced that it had agreedto pay $2.58 billion to settle the WorldCom class action suits. TheUnited States District Court for the Southern District of New Yorkgranted approval to the proposed settlement on November 10,2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, etal., an alleged class action against CGM and others brought onbehalf of holders of WorldCom securities asserting claims based on,among other things, CGM's research reports concerning WorldCom,was dismissed with prejudice in its entirety by the United StatesDistrict Court for the Southern District of New York. The plaintiffsnoticed an appeal of the dismissal to the United States Court ofAppeals for the Second Circuit on October 15, 2004. The parties havereached an agreement in principle on the terms of a settlement of thisaction.

Citigroup and CGM, along with a number of otherdefendants, have settled Retirement Systems of Alabama, et al. v.J.P. Morgan Chase & Co., et al., a WorldCom individual actionthat had been remanded to the Circuit Court of Montgomery County,Alabama. The settlement became final on September 30, 2004.

OnJune 28, 2004, the United States District Court for the SouthernDistrict of New York dismissed all claims under the Securities Act of1933, as amended, and certain claims under the Securities Exchange Actof 1934 in In Re: Targets Securities Litigation, an allegedclass action against Citigroup and CGM and certain former employees,leaving only claims under the 1934 Act for purchases of Targeted GrowthEnhanced Terms Securities With Respect to the Common Stock of MCIWorldCom, Inc. ("TARGETS") 

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after July 30, 1999. On October 20, 2004, theparties signed a Memorandum of Understanding setting forth the terms ofa settlement of all remaining claims in this action. The settlement waspreliminarily approved by the Court on January 11, 2005.

Afairness hearing was held on November 5, 2004 in connection with theproposed class settlement between plaintiffs and the Citigroup-relateddefendants in In Re: Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, leadplaintiff in a consolidated alleged class action in the United StatesDistrict Court for the Southern District of New York (In Re: GlobalCrossing, Ltd. Securities Litigation) filed a consolidatedcomplaint on behalf of purchasers of the securities of Global Crossingand Asia Global Crossing, which names as defendants, among others,Citigroup, CGM, CGMH and certain executive officers and current andformer employees. The purported class action complaint asserts claimsunder the federal securities laws alleging that the defendants issuedresearch reports without a reasonable basis in fact and failed todisclose conflicts of interest with Global Crossing in connection withpublished investment research. On March 22, 2004, the lead plaintiffamended its consolidated complaint to add claims on behalf ofpurchasers of the securities of Asia Global Crossing. The added claimsassert causes of action under the federal securities laws and commonlaw in connection with CGM's research reports about GlobalCrossing and Asia Global Crossing and for CGM's roles as aninvestment banker for Global Crossing and as an underwriter in theGlobal Crossing and Asia Global Crossing offerings. The Citigrouprelated defendants moved to dismiss all of the claims against them onJuly 2, 2004. The plaintiffs and the Citigroup related defendants havereached an agreement in principle on the terms of a settlement of thisaction.

In addition, on or about January 27, 2004, the GlobalCrossing Estate Representative filed in the United States BankruptcyCourt for the Southern District of New York (i) an adversary proceedingasserting claims against, among others, Citigroup, CGM and certainexecutive officers and current and former employees, asserting claimsunder federal bankruptcy law and common law in connection withCGM's research reports about Global Crossing and for its role asan underwriter in Global Crossing offerings, and (ii) an adversaryproceeding against Citigroup and several other financial institutionsseeking to rescind the payment of a $1 billion loan made to asubsidiary of Global Crossing. The Citigroup related defendants movedto dismiss the former action on June 26, 2004, and the latter on May28, 2004.

In addition, actions asserting claims againstCitigroup and certain of its affiliates relating to its Global Crossingresearch reports are pending in numerous arbitrations around thecountry. These arbitration proceedings assert claims that aresubstantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, including CGM, Citibank,N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc.(together, the Citigroup Parties). The complaint alleges that theCitigroup Parties and numerous other defendants committed acts inviolation of the Bank Holding Company Act and the common law. Thecomplaint seeks equitable relief and an unspecified amount ofcompensatory and punitive damages. In November 2003, a similaradversary proceeding was filed by the Equity Holders Committee ofAdelphia. In June 2004, motions to dismiss were filed with respect tothe complaints of the Official Committee of Unsecured Creditors and theEquity Holders Committee. The motions are currently pending.

Inaddition, CGM is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also assert claims against Citigroup Inc.and Citibank, N.A. All of the complaints allege violations of federalsecurities laws, and certain of the complaints also allege violationsof state securities laws and the common law. The complaint seeksunspecified damages. In December 2003, a second amended complaint wasfiled and consolidated before the same judge of the United StatesDistrict Court for the Southern District of New York. In February 2004,motions to dismiss the class and individual actions pending in theUnited States District Court for the Southern District were filed. Themotions are currently pending.

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Mutual Funds

Citigroup and certainof its affiliates have been named in several class action litigationspending in various federal district courts arising out of allegedviolations of the federal securities laws, the Investment Company Actand common law (including breach of fiduciary duty and unjustenrichment). The claims concern practices in connection with the saleof mutual funds, including allegations involving market timing, revenuesharing, incentive payments for the sale of proprietary funds,undisclosed breakpoint discounts for the sale of certain classes offunds, inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally seek unspecifiedcompensatory damages, rescissionary damages, injunctive relief, costsand fees. In the principal market timing cases that name Citigroup, alead plaintiff has been appointed but that plaintiff has not yet filedan amended complaint. In the cases concerning revenue sharing,incentive payment and other issues, the lead plaintiff filed aconsolidated and amended complaint on December 15, 2004.

Severalissues in the mutual fund industry have come under scrutiny of federaland state regulators. Citigroup has received subpoenas and otherrequests for information from various government regulators regardingmarket timing, financing, fees, sales practices and other mutual fundissues in connection with various investigations. Citigroup iscooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

In addition to the alleged researchclass actions, several individual actions have been filed againstCitigroup and CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGM assertingcommon law claims in connection with published investment research onbehalf of CGM customers have been dismissed by United States DistrictCourts, one of which was affirmed by the United States Court of Appealsfor the Ninth Circuit, and one of which is pending on appeal to theUnited States Courts of Appeals for the Third Circuit. Two moreputative class actions raising similar claims are pending against CGM,one in the United States District Court for the Southern District ofNew York (Norman v. Salomon Smith Barney, et al.) and the otherin Illinois state court (Disher v. CGM Inc.). On June 9, 2004,the District Court denied CGMI's motion to dismiss Norman v.Salomon Smith Barney, et al., a case which asserts violations ofthe Investment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney.

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Supervisory Investigation

In May2003, the SEC, NYSE and NASD issued a subpoena and letters to CGMrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of CGM. Other parties tothe Research Settlement have received similar subpoenas andletters.

West Virginia Attorney General Suit

On June23, 2003, the West Virginia Attorney General filed an action againstCGM and nine other firms that were parties to the Research Settlement.The West Virginia Attorney General alleges that the firms violated theWest Virginia Consumer Credit and Protection Act in connection withtheir research activities and seeks monetary penalties.

Citigroup Shareholder Litigation

In July 2002, Citigroup,CGM and certain officers were named as defendants in an alleged classaction filed in the United States District Court for the SouthernDistrict of New York, brought on behalf of purchasers of Citigroupcommon stock between July 24, 1999 and July 23, 2002. The complaintseeks unspecified compensatory and punitive damages for allegedviolations of Sections 10(b) and 20(a) of the Securities Exchange Actof 1934, and for common law fraud. Fourteen virtually identicalcomplaints have been filed and consolidated. The complaints allege thatCitigroup misstated the extent of its Enron-related exposure, and thatCitigroup's stock price fell once the true extent ofCitigroup's Enron involvements became known. Plaintiffs filed anamended complaint on March 10, 2003, which incorporated the allegationsin the 15 separate actions and added new material as well. The amendedcomplaint focuses on certain transactions between Citigroup and Enronand alleged analyst conflicts of interest. The class period for theconsolidated amended complaint is July 24, 1999 to December 11, 2002.On June 2, 2003, Citigroup filed a motion to dismiss the consolidatedamended complaint. Plaintiffs' response was filed on July 30, andCitigroup's reply was filed on October 3, 2003. On August 10,2004, Judge Swain granted Citigroup's motion to dismiss theconsolidated amended complaint. The plaintiffs filed a notice of appealin October 2004.

NASD Settlement

In November 2004, CGMentered into a final agreement with the NASD to resolve theNASD's investigation into certain of its selling practices.Without admitting or denying any allegations or findings, CGM acceptedcertain factual findings by the NASD that it (i) sold units in twomanaged futures funds to 45 customers for whom the investment was notsuitable, (ii) failed to maintain records disclosing the basis uponwhich its investor suitability determinations were made and (iii)failed to adequately disclose the risks of investing in managed futuresproducts on its website. CGM consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, CGM, as a major futures commissionmerchant and broker-dealer is a party to various claims and routineregulatory investigations and proceedings that the general partnerbelieves do not have a material adverse effect on the business ofCGM.

Item 4.    Submission of Matters to a Vote ofSecurity Holders.

There were no matters submitted to thesecurity holders for a vote during the last fiscal year covered by thisreport.

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PART II

Item5.    Market for Registrant's Common Equity and RelatedSecurity Holder Matters.

(a)    MarketInformation. The Partnership has issued no stock. There is nopublic market for the Redeemable Units of Limited PartnershipInterest.

(b)    Holders. The number of holders ofRedeemable Units of Partnership Interest as of December 31, 2004, was1,048.

(c)    Distribution. The Partnership did notdeclare a distribution in 2004 or 2003.

(d)    Use ofProceeds. The Partnership no longer offers Redeemable units at thenet asset value per Redeemable Unit as of the end of each month. Forthe twelve months ended December 31, 2004, there were no additionalsales. For the twelve months ended December 31, 2003, there were noadditional sales. For the twelve months ended December 31, 2002, therewere additional sales of 3,071.2548 Redeemable Units totaling$5,862,000.

Proceeds from the sale of additional RedeemableUnits are used in the trading of commodity interests including futurescontracts, options, swaps and forward contracts.

Item6.    Selected Financial Data.

The Partnershipcommenced trading operations on March 16, 1998. Net realized andunrealized trading gains (losses), interest income, net income (loss)and increase (decrease) in Net Asset Value per Redeemable Unit for theyears ended December 31, 2004, 2003, 2002, 2001 and 2000 and totalassets at December 31, 2004, 2003, 2002, 2001 and 2000 were asfollows:

|                                                                                                                                                                                                                       |  |        |             |        |  |        |             |         |  |        |             |        |  |        |             |        |  |        |            |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                                                                                                  |  | 2004   |             | 2003   |  | 2002   |             | 2001    |  | 2000   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees)of $4,721,137, $6,760,951, $15,155,860, $6,777,879 and $7,591,291,respectively |  | $      | 55,011,111  |   |  | $      | (45,814,699 | )  |  | $      | 63,651,739  |   |  | $      | 35,703,923  |   |  | $      | 14,488,934 |   |
| Interestincome                                                                                                                                                                                                        |  |   | 1,393,628   |   |  |   | 1,151,191   |    |  |   | 2,266,446   |   |  |   | 2,765,985   |   |  |   | 2,520,294  |   |
|                                                                                                                                                                                                                  |  | $      | 56,404,739  |   |  | $      | (44,663,508 | )  |  | $      | 65,918,185  |   |  | $      | 38,469,908  |   |  | $      | 17,009,228 |   |
| Netincome (loss) before Allocation to the Special LimitedPartner                                                                                                                                                      |  | $      | 53,540,506  |   |  | $      | (47,512,039 | )  |  | $      | 62,361,519  |   |  | $      | 36,115,307  |   |  | $      | 15,501,056 |   |
| Allocationto the Special LimitedPartner                                                                                                                                                                               |  |   | 2,333,604   |   |  |   | —     |    |  |   | 12,019,017  |   |  |   | 6,669,865   |   |  |   | 1,831,884  |   |
| Netincome (loss) available for pro ratadistribution                                                                                                                                                                   |  | $      | 51,206,902  |   |  | $      | (47,512,039 | )  |  | $      | 50,342,502  |   |  | $      | 29,445,442  |   |  | $      | 13,669,172 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                              |  | $      | 885.09      |   |  | $      | (680.90     | )  |  | $      | 691.35      |   |  | $      | 489.01      |   |  | $      | 272.65     |   |
| Totalassets                                                                                                                                                                                                           |  | $      | 157,137,085 |   |  | $      | 121,366,913 |    |  | $      | 194,697,342 |   |  | $      | 144,011,712 |   |  | $      | 95,783,289 |   |
|                                                                                                                                                                                                                       |

Item7.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Overview

The Partnership, through its investment in the Master, seeks toachieve capital appreciation through speculative trading, directly orindirectly, in commodity interests generally including, commodityfutures 

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and commodity option contracts on UnitedStates exchanges and certain foreign exchanges and swaps. ThePartnership, through its investment in the Master, intends to tradeonly energy and energy related products, as well as the Goldman SachsCommodity Index (an index future comprised of energy and otherproducts), traded on the Chicago Mercantile Exchange, but is authorizedto trade commodity futures, swaps and options contracts of any kind.The Partnership has invested all of its assets in the Master. TheAdvisor is authorized to trade forward contracts on behalf of thePartnership and the Master but does not currently intend to do so(certain swaps that the Advisor trades are, however, the substantialeconomic equivalent of forward contracts).

The GeneralPartner/Managing Member manages all business of the Partnership/Master.The General Partner has delegated its responsibility for the investmentof the Partnership's assets to AAA. The Partnership has investedthese assets in the Master. The General Partner employs a team ofapproximately 20 professionals whose primary emphasis is on attemptingto maintain quality control among the advisors to the Partnershipsoperated or managed by the General Partner. A full-time staff of duediligence professionals use state-of-the-art technology and on-siteevaluations to monitor new and existing futures money managers. Theaccounting and operations staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the Advisor for the Partnership/Master, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

Responsibilities of the GeneralPartner/Managing Member include:

|              |                                          |
|--------------|------------------------------------------|
| •  | duediligence examinations of theAdvisor; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointment andtermination of the Advisor; |

|              |                                            |
|--------------|--------------------------------------------|
| •  | negotiationof the management agreement;and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activity of theAdvisor. |

In addition, the General Partner/Managing Memberprepares the books and records and provides the administrative andcompliance services that are required by law or regulation from time totime in connection with operation of the Partnership/Master. Theseservices include the preparation of required books and records andreports to limited partners, government agencies and regulators;computation of net asset value; calculation of fees; effectingsubscriptions, redemptions and limited partner communications; andpreparation of offering documents and sales literature.

TheGeneral Partner/Managing Member shall seek the best prices and servicesavailable in its commodity futures brokerage transactions. The GeneralPartner/Managing Member reviews at least annually, the brokerage ratescharged to commodity pools similar to the Partnership/Master todetermine that the brokerage fee the Partnership/Master pays iscompetitive with other rates.

The Partnership's assetsallocated to AAA for trading are not invested in commodity interestsdirectly. AAA's allocation of the Partnership's assets iscurrently invested in the Master. AAA trades the Master's, andthereby the Partnership's, assets in accordance with its Energywith Swaps Program.

The Master currently trades energy futurescontracts and options on energy futures contracts on domestic andinternational exchanges, as well as the Goldman Sachs Commodity Index(an index future comprised of energy and other products) traded on theChicago Mercantile Exchange. The Master also currently engages in swaptransactions involving crude oil and other energy related products.References herein to energy and energy related products include all ofthe foregoing.

AAA generally bases its trading decisions on"fundamental" factors, namely supply anddemand for a particular group or type of commodity. AAA attempts to buyundervalued commodities and sell overvalued commodities, often but notalways simultaneously. AAA uses options to attempt either to reduce ordefine risks.

AAA is aware of price trends but does not tradeupon trends. AAA often takes profits in positions with specific trendseven though that trend may still be intact or perhaps even strong. AAAoccasionally establishes positions that are countertrend.

Effective risk management is a crucial aspect of AAA's tradingprogram. Account size, expectation, volatility of the market traded andthe nature of other positions taken are all factors in determining theamount of equity committed to each trade. The Master is AAA'slargest account.

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(a)    Liquidity.

ThePartnership does not engage in sales of goods or services. Its onlyassets are its investment in the Master and cash. The Master does notengage in the sale of goods or services. Because of the low margindeposits normally required in commodity trading, relatively small pricemovements may result in substantial losses to the Partnership, throughits investment in the Master. Such substantial losses could lead to amaterial decrease in liquidity.

In the first quarter of 2003,the Master, and, therefore, the Partnership, experienced a cumulativeloss of 25%. This loss was primarily attributable toextraordinary price activity during the first quarter of 2003 in U.S.natural gas and crude oil markets which led to losses in theMaster's energy market positions.

In February 2003, theMaster had a short position in the April natural gas futures contractas a partial offset to an overall long position in delivery monthslater in the year in the same contract. During the last week ofFebruary, natural gas prices rose sharply reflecting relatively highshort-term demand in the eastern and mid-continental United Statesalong with a reduced ability of natural gas suppliers to delivernatural gas from storage due to low storage inventories. Volatility inthe natural gas markets was exacerbated during that period as themarkets became relatively illiquid when many traders stayed out of themarket to wait for the volatility to pass. During this period, theApril natural gas futures contract experienced an upward increase inprice of over 50% in two days and related cash market pricesexperienced a 300% increase in price. Deferred delivery monthsin the natural gas futures contract did not experience comparable priceincreases. The spread between the price of the April contract and thoseof the deferred months changed suddenly and unexpectedly. Such extrememoves generally happen only in exceptionally rare circumstances and canlead to illiquid market conditions.

In March 2003, volatilitystruck the crude oil market, and the Master again experienced losses asprices for crude oil dropped over $8.00 per barrel, or 21%, inthe course of a week. The Master's and the Partnership'sliquidity was not hindered as a result of these market movements as theMaster and the Partnership each had adequate cash reserves to absorbmarket volatility and to meet redemption requests during thatperiod.

The performance for the year ended December 31, 2004 isdiscussed in (c) Results of Operations.

To minimize this riskrelating to low margin deposits, the Master follows certain tradingpolicies, including:

|           |                                                                                                                                                                                                                                                                                                                                              |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Master invests itsassets only in commodity interests that the Advisor believes are tradedin sufficient volume to permit ease of taking and liquidatingpositions. Sufficient volume, in this context, refers to a level ofliquidity that the Advisor believes will permit it to enter and exittrades without noticeably moving themarket. |

|            |                                                                                                                                                                                                                     |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | The Advisor will not initiateadditional positions in any commodity if these positions would resultin aggregate positions requiring a margin of more than 662/3% of the Master's net assets allocated to theAdvisor. |

|             |                                                                                                                                                                                                                                                        |
|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Master may occasionallyaccept delivery of a commodity. Unless such delivery is disposed ofpromptly by retendering the warehouse receipt representing the deliveryto the appropriate clearinghouse, the physical commodity position isfully hedged. |

|            |                                                                                                                                                                                                                                                   |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master does not employthe trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or relatedcommodities. |

|           |                                                                                                                         |
|-----------|-------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Master does not utilizeborrowings except short-term borrowings if the Master takes delivery ofany cash commodities. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisor may,from time to time, employ trading strategies such as spreads orstraddles on behalf of the Master. The term"spread" or"straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

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|             |                                                                                                                                                                                                                                                                                  |
|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | The Master willnot permit the churning of its commodity trading account. The term"churning" refers to the practice of enteringand exiting trades with a frequency unwarranted by legitimate effortsto profit from the trades, driven by the desire to generate commissionincome. |

The Partnership, through its investment in the Master,is party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. 

The Master is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments in the normal course of its business.These financial instruments include forwards, futures, options andswaps, whose values are based upon an underlying asset, index orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, or to purchase or sell other financialinstruments at specified terms at specified future dates, or, in thecase of derivative commodity interests, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Master due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statement of financial condition and not represented by thecontract or notional amounts of the instruments. The Master has creditrisk and concentration risk because the sole counterparty or brokerwith respect to the Master's assets is CGM.

The GeneralPartner/Managing Member monitors and controls the Master's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Master is subject. These monitoring systems allow the GeneralPartner/Managing Member to statistically analyze actual trading resultswith risk adjusted performance indicators and correlation statistics.In addition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions. (See also"Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the notes to financial statements.)

Other thanthe risks inherent in commodity futures and swaps trading, the Masterknows of no trends, demands, commitments, events or uncertainties whichwill result in or which are reasonably likely to result in theMaster's liquidity increasing or decreasing in any material way.The Limited Partnership Agreement provides that the General Partnermay, in its discretion, cause the Partnership to cease tradingoperations and liquidate all open positions under certain circumstancesincluding a decrease in Net Asset Value per Redeemable Unit to lessthan $400 as of the close of business on any businessday.

(b)    CapitalResources.

|           |                                                                           |
|-----------|---------------------------------------------------------------------------|
| (i)  | The Partnership has made nomaterial commitments for capital expenditures. |

(ii)    ThePartnership's capital consists of the capital contributions ofthe partners as increased or decreased by gains or losses on tradingand by expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any. Gains or losses on trading cannot bepredicted. Market moves in 

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commodities are dependent upon fundamentaland technical factors which the Advisor may or may not be able toidentify, such as changing supply and demand relationships, weather,government agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. Partnership expenses consist of, among other things,commissions, advisory fees and administrative fees. The level of theseexpenses is dependent upon the level of trading and the ability of theAdvisor to identify and take advantage of price movements in thecommodity markets, in addition to the level of Net Assets maintained.In addition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

The Partnership no longer offers units at the net asset value perRedeemable Unit as of the end of each month. For the years endedDecember 31, 2004 and 2003, there were no additional sales. For theyear ended December 31, 2002, there were additional sales of 3,071.2548Redeemable Units totaling $5,862,000.

No forecast can be made asto the level of redemptions in any given period. A limited partner mayrequire the Partnership to redeem their Redeemable Units at their NetAsset Value as of the last day of a month on 10 business days notice tothe General Partner. For the year ended December 31, 2004, 7,766.6819Redeemable Units were redeemed totaling $17,443,417. For the year endedDecember 31, 2003, 7,598.1992 Redeemable Units were redeemed totaling$14,817,157. For the year ended December 31, 2002, 3,916.9924Redeemable Units were redeemed totaling $9,240,665 and 4,643.0922 Unitsof Special Limited Partnership Interest totaling $12,019,016 wereredeemed.

Redeemable Units of Limited Partnership Interest weresold to persons and entities who are accredited investors as that termis defined in rule 501(a) of Regulation D under the Securities Act of1933, as well as to those persons who are not accredited investors butwho have either a net worth (exclusive of home, furnishings andautomobile) either individually or jointly with the investor'sspouse of at least three times their investment in the Partnership (theminimum investment for which was $25,000) or gross income for the twoprevious years and projected gross income for the current fiscal yearof not less than three times their investment in the Partnership foreach year.

(c)    Results of Operations.

Forthe year ended December 31, 2004 the Net Asset Value per RedeemableUnit increased 46.4% from $1,907.68 to $2,792.77. For the yearended December 31, 2003 the Net Asset Value per Redeemable Unitdecreased 26.3% from $2,588.58 to $1,907.68. For the year endedDecember 31, 2002 the Net Asset Value per Redeemable Unit increased36.4% from $1,897.23 to $2,588.58. For the three years endedDecember 31, 2004 the Net Asset Value per Redeemable Unit increased47.2% from $1,897.23 to $2,792.77.

The Partnership, forits own account, through its investment in the Master, experienced nettrading gains of $59,732,248 before commissions and expenses for theyear ended December 31, 2004. Gains were primarily attributable to thetrading of NYMEX Natural Gas, NYMEX Heating Oil, NYMEX Crude Oil andIPE Gas Oil and were partially offset by losses in NYMEX UnleadedGas.

Trading results for the year 2004 were positive as strongtrends and market volatility across the energy sector providedprofitable trading opportunities for the Advisor. The results for theyear were primarily influenced by one historic trend and one volatilebut adeptly traded market: the price of crude oil rose to over $50 abarrel while the price of natural gas experienced nearly 50%swings at least twice during the year.

The first quarter beganwith a fairly static January performance as crude oil oscillated in anarrow range. Natural gas prices dropped nearly $2.00/MM BTU in Januaryand continued a bearish trend through the quarter. A large portion ofthe profits for this period was the result of a bearish shortoption/volatility position on the front end of the market combined witha long futures positions in the summer months.

The secondquarter likewise started off mixed but quickly developed momentum ascrude oil moved past the psychological $40 barrier in May. The highprices did not persist and swung lower later in the quarter. Tradingwas mixed as prices moved rapidly in short timeframes. ThePartnership's only profitable 

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month for the quarter was May as thePartnership's natural gas trading profited from near-term pricestability but declining long-term prices.

The third quarterwitnessed the first big move in crude oil to nearly $50 a barrel bylate September. Prices were effected by the occurrence of severalsimultaneous global events, specifically, the hurricane season in theCaribbean, turmoil in Russia, Iran and Iraq, and low inventories aheadof the northern hemisphere winter. After grinding lower much of thesummer, natural gas futures posted a low of $4.52/MM BTU in August onlyto explode to over $7.00/MM BTU by late September. The Advisorbenefited from long futures positions and long volatility positions inthis market during this period.

These price rallies were shortlived, particularly in natural gas, as the supplies built up, winterweather was mild, and political tensions eased. While October wasprofitable for the Partnership, natural gas decreased from over$7.00/MM BTU to a low of $6.00/MM BTU by the end of December andresulted in losses for the Partnership's natural gas longpositions. Crude oil fluctuated nearly $10.00 a barrel in the last twomonths of the year, so the focus was on profit preservation andadjusting positions to a long term view. Overall, it was a successfultrading year for the Partnership illustrating the benefits of patience,agility and a market diversification.

The Partnership, for itsown account, through its investment in the Master, experienced nettrading losses of $39,053,748 before commissions and expenses for theyear ended December 31, 2003. Losses were primarily attributable to thetrading of NYMEX Natural Gas, NYMEX Heating Oil and NYMEX Unleaded Gasand were partially offset by gains in IPE Gas Oil and NYMEX CrudeOil.

The year 2003 presented numerous challenges for thePartnership/Master and AAA Capital Management Inc.

In a broadsense, the year can be viewed in three parts: (1) the first quarter sawthe emergence of hyper-volatility in US natural gas markets and a steepdrawdown in net asset value of the Partnership; (2) in the second andthird quarters the Advisor's focus was on recovery and solidgains were achieved; and (3) the fourth quarter was progressing welluntil early December when sizable losses were incurred in a rapidlyclimbing US natural gas market.

In the first quarter, Februaryand March saw extraordinary volatility strike the natural gas and crudeoil markets as explained under Liquidity. As a discretionaryAdvisor relying upon its principals' assessment of fundamentalsupply and demand relationships, this volatility was both unexpectedand greatly disruptive. Once this unusual price disequilibrium wasshaken out of the markets, more normal conditions resurfaced andtrading results resumed a course more typical of AAA's historicalperformance.

Over the course of the next seven months, thePartnership had two negative months of performance (-1.5% inJuly and -.23% in September) with the other five months rangingin returns from +.84% to +7.05%. By the end of November,the Partnership had recovered 24%.

In early December, asharp drop in NAV occurred as the result of sizable losses in a rapidlyclimbing US natural gas market. The price of a natural gas rose over50% in a few weeks despite weak/discounted cash markets forheating fuels and surprisingly small draw in high underground storagelevels during an extremely cold weather period. Petroleum also ralliedto new post war highs near $35.00 on growing signs that the persistentweakness in the US dollar versus the Euro and expectations of awidespread commodity boom/inflationary period has brought new money tothe buy side of these markets. Long positions in forward petroleumhelped mitigate losses in NAV during December.

So while progresswas thwarted for the month, the Advisor modified its views and approachto trading to adjust to a new emerging market dynamic. For much of thisyear that has entailed smaller positions and reduced exposure tonatural gas markets. Going forward the changes are also likely toinclude a further reduction in the types of trades the Advisor expectsto make in natural gas and a greater focus on limited risk/long optionpositions.

To put the Advisor in perspective, during the pastfive years, AAA has built a team of energy trading professionals tohelp broaden AAA's research and trading capabilities as well asto tap into new market opportunities. AAA now comprises over a dozenpeople and four trading principals who are responsible for specificmarket sectors and a well-defined portion of AAA's assets undermanagement.

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The Partnership, for its own account,through its investment in the Master, experienced net trading gains of$78,807,599 before commissions and expenses for the year ended December31, 2002. Gains were primarily attributable to the trading of NYMEXNatural Gas, NYMEX Heating Oil, IPE Gas Oil and energy swaps and werepartially offset by losses in NYMEX Unleaded Gas, IPE Brent Crude andNYMEX Crude Oil.

Commodity markets are highly volatile. Broadprice fluctuations and rapid inflation increase the risks involved incommodity trading, but also increase the possibility of profit. Theprofitability of the Master and the Partnership depends on theAdvisor's ability to forecast changes in energy and energyrelated commodities. Such price changes are influenced by, among otherthings, changing supply and demand relationships, weather,governmental, agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. To the extent that the Advisor correctly makes suchforecasts, the Master and the Partnership expect to increase capitalthrough operations.

(d)    Operational Risk.

The Partnership is directly exposed to market risk and credit risk,which arise in the normal course of its business activities. Slightlyless direct, but of critical importance, are risks pertaining tooperational and back office support. This is particularly the case in arapidly changing and increasingly global environment with increasingtransaction volumes and an expansion in the number and complexity ofproducts in the marketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial andopportunity loss and legal liability attributable to operationalproblems, such as inaccurate pricing of transactions, untimely tradeexecution, clearance and/or settlement, or the inability to processlarge volumes of transactions. The Partnership/Master is subject toincreased risks with respect to its trading activities in emergingmarket securities, where clearance, settlement, and custodial risks areoften greater than in more established markets.

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain the Partnership'sability to gather, process, and communicate information efficiently andsecurely, without interruption, to customers, among Redeemable Unitswithin the Partnership, and in the markets where the Partnership/Masterparticipates.

Legal/Documentation Risk — the riskof loss attributable to deficiencies in the documentation oftransactions (such as trade confirmations) and customer relationships(such as master netting agreements) or errors that result innoncompliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributableto limitations in financial systems and controls. Strong financialsystems and controls ensure that assets are safeguarded, thattransactions are executed in accordance with management'sauthorization, and that financial information utilized by managementand communicated to external parties, including the Partnership'sunit holders, creditors, and regulators, is free of materialerrors.

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity withaccounting principles generally accepted in the United States ofAmerica requires estimates and assumptions that affect the reportedamounts of assets and liabilities, revenues and expenses, and relateddisclosures of contingent assets and liabilities in the financialstatements and accompanying notes.

All commodity interests(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in the statementof financial condition at fair value on the last business day of theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General Partner for thosecommodity interests and foreign currencies for which market quotationsare not readily available, including dealer quotes for swaps andcertain option contracts. Investments in commodity 

15

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interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the period. Realized gains (losses) andchanges in unrealized values on commodity interests and foreigncurrencies are recognized in the period in which the contract is closedor the changes occur and are included in net gains (losses) on tradingof commodity interests.

Foreign currency contracts are thosecontracts where the Partnership/Master agrees to receive or deliver afixed quantity of foreign currency for an agreed-upon price on anagreed future date. Foreign currency contracts are valued daily, andthe Partnership/Master'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 dates, is includedin the statement 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 statement of income and expenses andpartners' capital.

The General Partner believes that theaccounting policies that will be most critical to the Master'sfinancial condition and results of operations relate to the valuationof the Partnership's positions. The majority of thePartnership's positions will be exchange-traded futurescontracts, which will be valued daily at settlement prices published bythe exchanges. Swap contracts generally will be valued by reference topublished settlement prices or dealers' quotes in related marketsor other measures of fair value deemed appropriate by the GeneralPartner. The General Partner expects that under normal circumstancessubstantially all of the Partnership's/Master's assets willbe valued by objective measures and without difficulty.

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk

The Master is a speculative commodity pool. Themarket sensitive instruments held by the Master are acquired forspeculative trading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading lossthrough its investment in the Master. Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, tothe Master's and the Partnership's main line ofbusiness.

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of Partnership assetsand undistributed profits. This limited liability is a consequence ofthe organization of the Partnership as a limited partnership underapplicable law.

Market movements result in frequent changes inthe fair market value of the Master's open positions and,consequently, in its earnings and cash flow. The Master's and 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 results among the Master'sopen positions and the liquidity of the markets in which it trades.

The Master rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Master's past performance is not necessarilyindicative of its future results.

Value at Risk is a measure ofthe maximum amount which the Master could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of theMaster's speculative trading and the recurrence in the marketstraded by the Master of market movements far exceeding expectationscould result in actual trading or non-trading losses far beyond theindicated Value at Risk or the Master'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 included in thissection should not be considered to constitute any assurance orrepresentation that the Master's losses in any market sector willbe limited to Value at Risk or by the Master's attempts to manageits market risk.

Quantifying the Partnership's TradingValue at Risk

The following quantitative disclosures regardingthe Master's and the Partnership's market risk exposurescontain "forward-looking statements" withinthe meaning of the safe harbor from civil liability 

16

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provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A ofthe Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934). All quantitative disclosures in this section are deemedto be forward-looking statements for purposes of the safe harbor exceptfor statements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

TheMaster's and the Partnership's risk exposure in the variousmarket sectors traded by the Advisor is quantified below in terms ofValue at Risk. Due to the Master's mark-to-market accounting, anyloss in the fair value of the Master's open positions is directlyreflected in the Master's earnings (realized or unrealized) andcash flow.

Exchange maintenance margin requirementshave been used by the Master 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-dayintervals. The maintenance margin levels are established by dealers andexchanges using historical price studies as well as an assessment ofcurrent market volatility (including the implied volatility of theoptions on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-termone-day price fluctuation. Maintenance margin has been used rather thanthe more generally available initial margin, because initial marginincludes a credit risk component which is not relevant to Value atRisk.

In the case of market sensitive instruments whichare not exchange traded (almost exclusively currencies in the case ofthe Master), the margin requirements for the equivalent futurespositions have been used as Value at Risk. In those rare cases in whicha futures-equivalent margin is not available, dealers' marginshave been used.

The fair value of the Master'sfutures and forward positions does not have any optionality component.However, the Advisor does trade commodity options. The Value at Riskassociated with options is reflected in the following table as themargin requirement attributable to the instrument underlying eachoption. Where this instrument is a futures contract, the futuresmargin, and where this instrument is a physical commodity, thefutures-equivalent maintenance margin has been used. This calculationis conservative in that it assumes that the fair value of an optionwill decline by the same amount as the fair value of the underlyinginstrument, whereas, in fact, the fair values of the options traded bythe Master in almost all cases fluctuate to a lesser extent than thoseof the underlying instruments.

In quantifying theMaster's Value at Risk, 100% positive correlation in thedifferent positions held in each market risk category has been assumed.Consequently, the margin requirements applicable to the open contractshave simply been added to determine each trading category'saggregate Value at Risk. The diversification effects resulting from thefact that the Master's positions are rarely, if ever, 100%positively correlated have not been reflected.

TheMaster's Trading Value at Risk in Different Market Sectors

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof December 31, 2004, and the highest, lowest and average value at anypoint during the year. All open position trading risk exposures of theMaster have been included in calculating the figures set forth below.As of December 31, 2004, the Master's total capitalization was$336,495,535.

December 31,2004

|              |  |               |            |                          |  |                   |      |                   |  |                       |            |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|--------------------------|--|-------------------|------|-------------------|--|-----------------------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|         |  |          |            |                     |  | Yearto Date       |
| MarketSector |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |      | Low Value at Risk |  | Average Value atRisk* |
| Energy       |  | $             | 20,193,006 |                     |  |              | 6.00 | %            |  | $                     | 40,780,129 |   |  | $      | 10,664,222 |   |  | $      | 20,757,158 |   |
| EnergySwaps  |  |          | 3,300,000  |                     |  |              | 0.98 | %            |  | $                     | 3,788,189  |   |  | $      | 1,698,904  |   |  | $      | 2,605,289  |   |
| **Total**    |  | $             | 23,493,006 |                     |  |              | 6.98 | %            |  |                  |       |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

*   Averageof month-end Value at Risk

17

----

The following table indicates the tradingValue at Risk associated with the Master's open positions bymarket category as of December 31, 2003. As of December 31, 2003, theMaster's total capitalization was $255,057,637.

December31,2003

|              |  |               |            |                          |  |                   |       |                   |  |                       |             |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|--------------------------|--|-------------------|-------|-------------------|--|-----------------------|-------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|         |  |          |            |                     |  | Yearto Date       |
| MarketSector |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |       | Low Value at Risk |  | Average Value atRisk* |
| Energy       |  | $             | 25,111,381 |                     |  |              | 9.85  | %            |  | $                     | 131,820,411 |   |  | $      | 12,880,254 |   |  | $      | 36,036,174 |   |
| EnergySwaps  |  |          | 6,027,189  |                     |  |              | 2.36  | %            |  | $                     | 33,232,031  |   |  | $      | 900,000    |   |  | $      | 7,862,309  |   |
| **Total**    |  | $             | 31,138,570 |                     |  |              | 12.21 | %            |  |                  |        |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

*   Averageof month-end Value at Risk

Material Limitations on Value atRisk as an Assessment of Market Risk

The face value of themarket sector instruments held by the Master is typically many timesthe applicable margin requirement (margin requirements generally rangebetween 2% and 15% of contract face value) as well asmany times the capitalization of the Master. The magnitude of theMaster's open positions creates a "risk ofruin" not typically found in most other investmentvehicles. Because of the size of its positions, certain marketconditions — unusual, but historically recurring from time totime — could cause the Master to incur severe losses over a shortperiod of time. The foregoing Value at Risk table — as well asthe past performance of the Partnership — give no indication ofthis "risk of ruin."

Materiality asused in this section, "Qualitative and QuantitativeDisclosures About Market Risk," is based on an assessmentof reasonably possible market movements and the potential losses causedby such movements, taking into account the leverage, optionality andmultiplier features of the Master's market sensitiveinstruments.

Qualitative Disclosures Regarding Primary TradingRisk Exposures

The following qualitative disclosures regardingthe Master's market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the Master manages its primary market riskexposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934. The Master's primary marketrisk exposures as well as the strategies used and to be used by theGeneral Partner and the Advisor for managing such exposures are subjectto numerous uncertainties, contingencies and risks, any one of whichcould cause the actual results of the Master's risk control todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Master. There can be no assurancethat the Master's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Master as of December 31, 2004 by market sector.

Energy.    Energy related products, such as crude oil,heating oil, gasoline and natural gas, constitute the principal marketexposure of the Master. The Master has substantial market exposure togas and oil price movements, often resulting from politicaldevelopments in the Middle East. Political developments in othercountries or regions can also materially impact upon the prices ofenergy products, as could changing supply and demand relationships,weather, governmental, commercial and trade programs and policies, andother significant economic events. Energy prices can be volatile andsubstantial profits and losses have been and are expected to continueto be experienced in these markets.

18

----

The Master engages in swap transactionsin crude oil and other energy related products. In this connection, theMaster contracts with its counterparty to exchange a stream of paymentscomputed by reference to a notional amount and the price of the energyproduct that is the subject of the swap.

Swap contracts are notguaranteed by an exchange or clearinghouse. CGM does not engage in swaptransactions as a principal.

The Master usually enters intoswaps on a net basis, i.e., the two payment streams are netted out in acash settlement on the payment date or dates specified in theagreement, with the Master receiving or paying, as the case may be,only the net amount of the two payments. Swaps do not involve thedelivery of underlying assets or principal. Accordingly, the risk ofloss with respect to swaps is limited to the net amount of paymentsthat the Master is contractually obligated to make. If the counterpartyto a swap defaults, the Master's risk of loss consists of the netamount of payments that the Master is contractually entitled toreceive.

The Master may also enter into spot transactions topurchase or sell commodities with CGM, or one of its affiliates, asprincipal. Such spot transactions provide for two-day settlement andare not margined. Such transactions may be entered into in connectionwith exchange for physical transactions. Like the swap contract market,the spot market is a principals' market so there is noclearinghouse guarantee of performance. Instead, the Master is subjectto the risk of inability of, or refusal by, a counterparty to performwith respect to the underlying contract.

Other CommodityInterests.    The Master primarily emphasizes the trading ofenergy products, but may also trade some portion of its assets in othercommodity interests, including, but not limited to, commodity interestcontracts on the Goldman Sachs Commodity Index (an index futurecomprised primarily of energy products). Commodity interest prices canbe affected by numerous factors, including political developments,weather conditions, seasonal effects and other factors which affectsupply and demand for the underlying commodity.

QualitativeDisclosures Regarding Means of Managing Risk Exposure

TheGeneral Partner monitors and controls the Partnership's, throughits investment in the Master, risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master and thePartnership are subject.

The General Partner monitors theMaster's performance and the concentration of its open positions,and consults with the Advisor concerning the Master's overallrisk profile. If the General Partner felt it necessary to do so, theGeneral Partner could require the Advisor to close out individualpositions as well as enter programs traded on behalf of the Master.However, any such intervention would be a highly unusual event. TheGeneral Partner primarily relies on the Advisor's own riskcontrol policies while maintaining a general supervisory overview ofthe Master's market risk exposures.

The Advisor appliesits own risk management policies to its trading. The Advisor oftenfollows diversification guidelines, margin limits and stop loss pointsto exit a position. The Advisor's research of risk managementoften suggests ongoing modifications to its trading programs.

Aspart of the General Partner's risk management, the GeneralPartner periodically meets with the Advisor to discuss its riskmanagement and to look for any material changes to the Advisor'sportfolio balance and trading techniques. The Advisor is required tonotify the General Partner of any material changes to itsprograms.

19

----

Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY AAA ENERGY FUND L.P.

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | PageNumber        |
| Oath orAffirmation                                                                            |  | F-2               |
| Management's Report on Internal Control over FinancialReporting                               |  | F-3               |
| Report of IndependentRegistered Public Accounting Firm                                        |  | F-4 – F-6   |
| Financial Statements:                                                                         |  |
| Statementsof Financial Condition at December 31, 2004 and2003                                 |  | F-7               |
| Statements of Income andExpenses for the years ended December 31, 2004, 2003 and2002          |  | F-8               |
| Statements of Changes inPartners' Capital for the years ended December 31, 2004, 2003 and2002 |  | F-9               |
| Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002                  |  | F-10              |
| Notes to Financial Statements                                                                 |  | F-11 –F-14  |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-15              |
| Financial Statements ofthe SB AAA Master Fund LLC                                             |  |              |
| Oath orAffirmation                                                                            |  | F-16              |
| Independent Auditors'Report                                                                   |  | F-17              |
| Statements of FinancialCondition at December 31, 2004 and2003.                                |  | F-18              |
| Condensed Schedule of Investmentsat December 31, 2004 and 2003                                |  | F-19 –F-20  |
| Statements of Income and Expenses for the yearsended December 31, 2004, 2003 and2002          |  | F-21              |
| Statementsof Changes in Members' Capital for the years ended December 31,2004, 2003 and2002   |  | F-22              |
| Statementsof Cash Flows for the years ended December 31, 2004, 2003 and2002                   |  | F-23              |
| Notes to FinancialStatements                                                                  |  | F-24 – F-27 |
| SelectedUnaudited Quarterly FinancialData                                                     |  | F-28              |
|                                                                                               |

F-1

----

To theLimited Partners ofSmith Barney AAA Energy Fund L.P.

To the best of the knowledge and belief of the undersigned,the information contained herein is accurate andcomplete.

/s/ Daniel R. McAuliffe,Jr.

|  |
|--|
|  |  |  |
|  |

|  | By:   Daniel R.McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Smith Barney AAA          Energy Fund L.P. |
|--|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup ManagedFutures LLC**399 Park Avenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

----

Management's Report on InternalControl overFinancial Reporting

The management ofSmith Barney AAA Energy Fund L.P. (the"Partnership"), Citigroup Managed FuturesLLC, is responsible for establishing and maintaining adequate internalcontrol over financial reporting. The Partnership's internalcontrol system was designed to provide reasonable assurance to thePartnership's management and Board of Directors regarding thepreparation and fair presentation of published financial statements inaccordance with U.S. generally accepted accounting principles. Allinternal control systems, no matter how well designed, have inherentlimitations. Therefore, even those systems determined to be effectivecan provide only reasonable assurance with respect to financialstatement preparation and presentation.

 Managementmaintains a comprehensive system of controls intended to ensure thattransactions are executed in accordance with management'sauthorization, assets are safeguarded, and financial records arereliable. Management also takes steps to see that information andcommunication flows are effective and to monitor performance, includingperformance of internal control procedures.

 ThePartnership's management assessed the effectiveness of thePartnership's internal control over financial reporting as ofDecember  31, 2004 based on the criteria set forth by theCommittee of Sponsoring Organizations of the Treadway Commission (COSO)in Internal Control-Integrated Framework. Based on this assessment,management believes that, as of December  31, 2004, thePartnership's internal control over financial reporting iseffective.

 Management's assessment of theeffectiveness of the Company's internal control over financialreporting as of December  31, 2004 has been audited by KPMG LLP,the Partnership's independent registered public accounting firm,as stated in their reports appearing on the following pages, whichexpress unqualified opinions on management's assessment and onthe effectiveness of the Partnership's internal control overfinancial reporting as of December  31, 2004.

F-3

----

Report of Independent Registered PublicAccounting Firm

The Partners of Smith BarneyAAA Energy Fund L.P.:

We have audited management'sassessment, included in the accompanying Management's Reporton Internal Control Over Financial Reporting, that Smith Barney AAAEnergy Fund L.P. (the "Partnership")maintained effective internal control over financial reporting as ofDecember 31, 2004, based on criteria established in InternalControl—Integrated Framework issued by the Committee ofSponsoring Organizations of the Treadway Commission("COSO"). The Partnership's managementis responsible for maintaining effective internal control overfinancial reporting and for its assessment of the effectiveness ofinternal control over financial reporting. Our responsibility is toexpress an opinion on management's assessment and an opinion onthe effectiveness of the Partnership's internal control overfinancial reporting based on our audit.

We conducted our auditin accordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we planand perform the audit to obtain reasonable assurance about whethereffective internal control over financial reporting was maintained inall material respects. Our audit included obtaining an understanding ofinternal control over financial reporting, evaluatingmanagement's assessment, testing and evaluating the design andoperating effectiveness of internal control, and performing such otherprocedures as we considered necessary in the circumstances. We believethat our audit provides a reasonable basis for our opinion.

Apartnership's internal control over financial reporting is aprocess designed to provide reasonable assurance regarding thereliability of financial reporting and the preparation of financialstatements for external purposes in accordance with generally acceptedaccounting principles. A partnership's internal control overfinancial reporting includes those policies and procedures that (1)pertain to the maintenance of records that, in reasonable detail,accurately and fairly reflect the transactions and dispositions of theassets of the partnership; (2) provide reasonable assurance thattransactions are recorded as necessary to permit preparation offinancial statements in accordance with generally accepted accountingprinciples, and that receipts and expenditures of the partnership arebeing made only in accordance with authorizations of management of thepartnership; and (3) provide reasonable assurance regarding preventionor timely detection of unauthorized acquisition, use, or disposition ofthe partnership's assets that could have a material effect on thefinancial statements.

Because of its inherent limitations,internal control over financial reporting may not prevent or detectmisstatements. Also, projections of any evaluation of effectiveness tofuture periods are subject to the risk that controls may becomeinadequate because of changes in conditions, or that the degree ofcompliance with the policies or procedures may deteriorate.

Inour opinion, management's assessment that Smith Barney AAA EnergyFund L.P. maintained effective internal control over financialreporting as of December 31, 2004, is fairly stated, in all materialrespects, based on criteria established in InternalControl—Integrated Framework issued by COSO. Also, inour opinion, the Partnership maintained, in all material respects,effective internal control over financial reporting as of December 31,2004, based on criteria established in InternalControl—Integrated Framework issued by COSO.

F-4

----

We also have audited, in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates), the statements of financial condition of the Partnership, asof December 31, 2004 and 2003, and the related statements of income andexpenses, changes in partners' capital, and cash flows for eachof the years in the three-year period ended December 31, 2004, and ourreport dated March 14, 2005 expressed an unqualified opinion on thosefinancial statements.

/s/ KPMG LLPNew York,New York March 14, 2005

F-5

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofSmithBarney AAA Energy Fund L.P.:

We have audited the accompanyingstatements of financial condition of Smith Barney AAA Energy Fund L.P.(the Partnership), as of December 31, 2004 and 2003, and the relatedstatements of income and expenses, changes in partners' capital,and cash flows for each of the years in the three-year period endedDecember 31, 2004. These financial statements are the responsibility ofthe Partnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

Weconducted our audits in accordance with the standards of the PublicCompany Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. An audit includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements. Anaudit also includes assessing the accounting principles used andsignificant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our auditsprovide a reasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Smith Barney AAA Energy Fund L.P.as of December 31, 2004 and 2003, and the results of its operations,changes in its partners' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2004, inconformity with U. S. generally accepted accounting principles.

We have also audited, in accordance with standards of the PublicCompany Accounting Oversight Board (United States), the effectivenessof the Partnership's internal control over financial reporting asof December 31, 2004, based on criteria established in InternalControl—Integrated Framework issued by the Committee ofSponsoring Organizations of the Treadway Commission("COSO"), and our report dated March 14, 2005expressed an unqualified opinion on management's assessment of,and the effective operation of, internal control over financialreporting.

/s/ KPMG LLPNew York, New YorkMarch 14, 2005

F-6

----

Smith Barney AAAEnergy FundL.P.Statements of Financial ConditionDecember 31, 2004 and2003

|                                                                                                                                        |  |        |             |        |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                   |  | 2004   |             | 2003   |
| **Assets:**                                                                                                                            |  |   |        |   |  |   |        |   |
| Investmentin Master, at fairvalue                                                                                                      |  | $      | 157,088,428 |   |  | $      | 121,348,210 |   |
| Cash                                                                                                                                   |  |   | 48,657      |   |  |   | 18,703      |   |
|                                                                                                                                   |  | $      | 157,137,085 |   |  | $      | 121,366,913 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                           |  |   |        |   |  |   |        |   |
| Accruedexpenses:                                                                                                                       |  |   |        |   |  |   |        |   |
| Management fees(Note3b)                                                                                                                |  | $      | 266,056     |   |  | $      | 206,097     |   |
| Professionalfees                                                                                                                       |  |   | 68,924      |   |  |   | 27,390      |   |
| Other                                                                                                                                  |  |   | 8,854       |   |  |   | 8,291       |   |
| Redemptionspayable (Note5)                                                                                                             |  |   | 1,173,700   |   |  |   | 1,602,673   |   |
|                                                                                                                                   |  |   | 1,517,534   |   |  |   | 1,844,451   |   |
| Partners'capital (Notes 1 and5):                                                                                                       |  |   |        |   |  |   |        |   |
| General Partner,913.9790 Unit equivalents outstanding in 2004 and2003                                                                  |  |   | 2,552,533   |   |  |   | 1,743,579   |   |
| SpecialLimited Partner, 835.5874 and 0 Redeemable Units of Limited PartnershipInterest outstanding in 2004 and 2003,respectively       |  |   | 2,333,604   |   |  |   | —     |   |
| LimitedPartners, 53,972.7219 and 61,739.4038 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 150,733,414 |   |  |   | 117,778,883 |   |
|                                                                                                                                   |  |   | 155,619,551 |   |  |   | 119,522,462 |   |
|                                                                                                                                   |  | $      | 157,137,085 |   |  | $      | 121,366,913 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-7

----

Smith Barney AAAEnergy FundL.P.Statements of Income and Expensesfor the years endedDecember 31, 2004, 2003 and2002

|                                                                                                                        |  |        |            |         |  |        |             |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                   |  | 2004   |            | 2003    |  | 2002   |
| Income:                                                                                                                |  |   |       |    |  |   |        |    |  |   |        |    |
| Realizedgains (losses) on closed positions fromMaster                                                                  |  | $      | 46,255,956 |    |  | $      | (46,781,015 | )  |  | $      | 70,639,778  |    |
| Changein unrealized gains (losses) on openpositions fromMaster                                                         |  |   | 13,476,292 |    |  |   | 7,727,267   |    |  |   | 8,167,821   |    |
| Interestincome allocated fromMaster                                                                                    |  |   | 1,393,628  |    |  |   | 1,151,191   |    |  |   | 2,266,446   |    |
| Expensesallocated fromMaster                                                                                           |  |   | (4,721,137 | )  |  |   | (6,760,951  | )  |  |   | (15,155,860 | )  |
|                                                                                                                   |  |   | 56,404,739 |    |  |   | (44,663,508 | )  |  |   | 65,918,185  |    |
| Expenses:                                                                                                              |  |   |       |    |  |   |        |    |  |   |        |    |
| Managementfees (Note3b)                                                                                                |  |   | 2,759,441  |    |  |   | 2,702,332   |    |  |   | 3,488,171   |    |
| Professionalfees                                                                                                       |  |   | 96,146     |    |  |   | 112,966     |    |  |   | 49,098      |    |
| Otherexpenses                                                                                                          |  |   | 8,646      |    |  |   | 33,233      |    |  |   | 19,397      |    |
|                                                                                                                   |  |   | 2,864,233  |    |  |   | 2,848,531   |    |  |   | 3,556,666   |    |
| Netincome (loss) before allocation to the Special LimitedPartner                                                       |  |   | 53,540,506 |    |  |   | (47,512,039 | )  |  |   | 62,361,519  |    |
| Allocationto the Special Limited Partner (Note3b)                                                                      |  |   | 2,333,604  |    |  |   | —     |    |  |   | 12,019,017  |    |
| Netincome (loss) available for pro ratadistribution                                                                    |  | $      | 51,206,902 |    |  | $      | (47,512,039 | )  |  | $      | 50,342,502  |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | 885.09     |    |  | $      | (680.90     | )  |  | $      | 691.35      |    |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-8

----

Smith Barney AAA Energy FundL.P.Statements of Changes in Partners' Capitalfor theyears ended December 31, 2004, 2003 and2002

|                                                                                                                 |  |                 |                |                       |  |                |                |         |  |        |           |         |  |        |             |         |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|-----------------|----------------|-----------------------|--|----------------|----------------|---------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                            |  | LimitedPartners |                | SpecialLimitedPartner |  | GeneralPartner |                | Total   |
| Partners'capital at December 31,2001                                                                            |  | $               | 133,153,793    |                  |  | $              | —        |    |  | $      | 1,734,028 |    |  | $      | 134,887,821 |    |
| Saleof 3,071.2548 Redeemable Units of Limited PartnershipInterest                                               |  |            | 5,862,000      |                  |  |           | —        |    |  |   | —   |    |  |   | 5,862,000   |    |
| Redemptionof 3,916.9924 Redeemable Units of Limited PartnershipInterest                                         |  |            | (9,240,665     | )                |  |           | —        |    |  |   | —   |    |  |   | (9,240,665  | )  |
| Redemptionof 4,643.0922 Redeemable Units of Special Limited PartnershipInterest                                 |  |            | —        |                  |  |           | (12,019,016    | )  |  |   | —   |    |  |   | (12,019,016 | )  |
| Allocationof net income for the year ended December 31,2002:                                                    |  |            |           |                  |  |           |           |    |  |   |      |    |  |
| Allocation of4,643.0922 Redeemable Units of Limited Partnership Interest to theSpecial Limited Partner (Note3b) |  |            | —        |                  |  |           | 12,019,016     |    |  |   | —   |    |  |   | 12,019,016  |    |
| Netincome available for pro ratadistribution                                                                    |  |            | 49,710,622     |                  |  |           | —        |    |  |   | 631,880   |    |  |   | 50,342,502  |    |
| Partners'capital at December 31,2002                                                                            |  |            | 179,485,750    |                  |  |           | —        |    |  |   | 2,365,908 |    |  |   | 181,851,658 |    |
| Netloss available for pro ratadistribution                                                                      |  |            | (46,889,710    | )                |  |           | —        |    |  |   | (622,329  | )  |  |   | (47,512,039 | )  |
| Redemptionof 7,598.1992 Redeemable Units of Limited PartnershipInterest                                         |  |            | (14,817,157    | )                |  |           | —        |    |  |   | —   |    |  |   | (14,817,157 | )  |
| Partners'capital at December 31,2003                                                                            |  |            | 117,778,883    |                  |  |           | —        |    |  |   | 1,743,579 |    |  |   | 119,522,462 |    |
| Redemptionof 7,766.6819 Redeemable Units of Limited PartnershipInterest                                         |  |            | (17,443,417    | )                |  |           | —        |    |  |   | —   |    |  |   | (17,443,417 | )  |
| Allocation of net income for the year ended December31, 2004:                                                   |  |
| Allocation of 835.5874 Redeemable Units ofLimited Partnership Interest to the Special Limited Partner (Note 3b) |  |            | –– |                  |  |           | 2,333,604      |    |  |   | —   |    |  |   | 2,333,604   |    |
| Netincome available for pro ratadistribution                                                                    |  |            | 50,397,948     |                  |  |           | –– |    |  |   | 808,954   |    |  |   | 51,206,902  |    |
| Partners'capital at December 31,2004                                                                            |  | $               | 150,733,414    |                  |  | $              | 2,333,604      |    |  | $      | 2,552,533 |    |  | $      | 155,619,551 |    |
|                                                                                                                 |

NetAsset Value Per Redeemable Unit

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2002 |  | $ | 2,588.58 |   |
| 2003 |  | $ | 1,907.68 |   |
| 2004 |  | $ | 2,792.77 |   |
|      |

Seeaccompanying notes to financial statements.

F-9

----

Smith Barney AAA Energy FundL.P. Statements of Cash Flowsfor the years ended December 31,2004, 2003 and2002

|                                                                                                   |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                              |  | 2004   |             | 2003    |  | 2002   |
| Cashflows from operating activities:                                                              |  |
| Net income(loss)                                                                                  |  | $      | 51,206,902  |    |  | $      | (47,512,039 | )  |  | $      | 50,342,502  |    |
| Adjustmentsto reconcile net income(loss) to net cash provided by (used in)operating activities:   |  |
| Changes inoperating assets and liabilities:                                                       |  |
| (Increase)decrease in investment in Master, at fairvalue                                          |  |   | (35,740,218 | )  |  |   | 73,343,951  |    |  |   | (51,211,971 | )  |
| Accruedexpenses:                                                                                  |  |
| Increase (decrease) in managementfees                                                             |  |   | 59,959      |    |  |   | (124,598    | )  |  |   | 87,001      |    |
| Increase(decrease) in professional fees                                                           |  |   | 41,534      |    |  |   | 18,800      |    |  |   | (11,712     | )  |
| Increase(decrease) in other                                                                       |  |   | 563         |    |  |   | 3,068       |    |  |   | (1,568      | )  |
| Increase(decrease) in redemptions payable                                                         |  |   | (428,973    | )  |  |   | (10,898,503 | )  |  |   | 4,167,914   |    |
|     Netcash provided by (used in) operating    activities |  |   | 15,139,767  |    |  |   | 14,830,679  |    |  |   | 3,372,166   |    |
| Cash flows from financingactivities:                                                              |  |
| Proceeds from additions - LimitedPartners                                                         |  |   | —     |    |  |   | —     |    |  |   | 5,862,000   |    |
| Allocationof units - Special LimitedPartner                                                       |  |   | 2,333,604   |    |  |   | —     |    |  |   | —     |    |
| Paymentsfor redemptions - LimitedPartners                                                         |  |   | (17,443,417 | )  |  |   | (14,817,157 | )  |  |   | (9,240,665  | )  |
|     Netcash provided by (used in) financing    activities |  |   | (15,109,813 | )  |  |   | (14,817,157 | )  |  |   | (3,378,665  | )  |
|     Netchange in cash                                                         |  |   | 29,954      |    |  |   | 13,522      |    |  |   | (6,499      | )  |
|     Cash, atbeginning of year                                                 |  |   | 18,703      |    |  |   | 5,181       |    |  |   | 11,680      |    |
|     Cash, at end of year                                                      |  | $      | 48,657      |    |  | $      | 18,703      |    |  | $      | 5,181       |    |
|                                                                                                   |

Seeaccompanying notes to financialstatements.

F-10

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

1.    PartnershipOrganization:

Smith Barney AAA Energy Fund L.P. (the"Partnership") is a limited partnership whichwas organized on January  5, 1998 under the partnership laws ofthe State of New York to engage, directly or indirectly, in thespeculative trading of a diversified portfolio of commodity interests,including commodity options and commodity futures contracts on UnitedStates exchanges and certain foreign exchanges. The Partnership maytrade commodity futures and options contracts of any kind but intendsinitially to trade solely energy and energy related products. Inaddition, the Partnership may enter into swap contracts on energyrelated products. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk.During the initial offering period (February 12, 1998 throughMarch  15, 1998), the Partnership sold 49,538 redeemable units("Redeemable Units"). The Partnershipcommenced trading on March 16, 1998. From March 16, 1998 to August 31,2001, the Partnership engaged directly in the speculative trading of adiversified portfolio of commodity interests.

Citigroup ManagedFutures LLC, formerly Smith Barney Futures Management LLC, acts as thegeneral partner (the "General Partner") ofthe Partnership and the managing member of the Master. ThePartnership's/Master's commodity broker is Citigroup GlobalMarkets Inc. ("CGM"), formerly Salomon SmithBarney Inc. CGM is an affiliate of the General Partner. The GeneralPartner is wholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup").

Effective September 1,2001, the Partnership allocated substantially all of its capital to theSB AAA Master Fund LLC, a New York Limited Liability Company (the"Master"). With this cash, the Partnershippurchased 128,539.1485 Units of the Master with a fair value of$128,539,149 (including unrealized appreciation of $7,323,329). TheMaster was formed in order to permit commodity pools managed now or inthe future by AAA Capital Management, Inc. (the"Advisor") using the Energy with SwapsProgram, the Advisor's proprietary trading program, to investtogether in one trading vehicle. The General Partner and the Advisorbelieve that trading through this master/feeder structure shouldpromote efficiency and economy in the trading process. Expenses toinvestors as a result of the investment in the Master are approximatelythe same and redemption rights are not affected.

The financialstatements of the Master (attached), including the condensed schedulesof investments, should be read together with the Partnership'sfinancial statements.

At December 31, 2004 and 2003, thePartnership owns 46.6% and 47.6%, respectively, of theMaster. It is the Partnership's intention to continue to investsubstantially all of its assets in the Master. The performance of thePartnership is directly affected by the performance of the Master.

The General Partner and each limited partner share in the profitsand losses of the Partnership, after the allocation to the SpecialLimited Partner (as defined in Note 3b), in proportion to the amount ofpartnership interest owned by each except that no limited partner shallbe liable for obligations of the Partnership in excess of their initialcapital contribution and profits, if any, net of distributions.

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2018; the net asset value of a Redeemable Unitdecreases to less than $400 per Redeemable Unit as of a close of anybusiness day; the aggregate net assets of the Partnership decline toless than $1,000,000; or under certain other circumstances as definedin the Limited Partnership Agreement.

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                               |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the unrealized and realized gains and losses fromthe commodity transactions of the Master are allocated pro rata amongthe investors at the time of such determination. All commodityinterests (including derivative financial instruments |

F-11

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | and derivative commodity instruments) held bythe Master are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized values oncommodity interests are recognized in the period in which the contractis closed or the changes occur and are included in net realized andunrealized gains (losses). |

|          |                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxeshave not been provided as each partner is individually liable for thetaxes, if any, on their share of the Partnership's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, and disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| d.  | Certain prior periodamounts have been reclassified to conform to current yearpresentation. |

3.    Agreements:

|                                  |                                |
|----------------------------------|--------------------------------|
| a.      | Limited Partnership Agreement: |

The General Partner administers the business and affairs ofthe Partnership including selecting one or more advisors to maketrading decisions for the Partnership.

|                                  |                       |
|----------------------------------|-----------------------|
| b.      | Management Agreement: |

TheGeneral Partner, on behalf of the Partnership, has entered into aManagement Agreement with the Advisor, a registered commodity tradingadvisor. Mr. A. Anthony Annunziato is the president of the Advisor. Heand the Advisor's other four principals are also employees ofCGM. Month-end Net Assets, for the purpose of calculating managementfees are Net Assets, as defined in the Limited Partnership Agreement,prior to the reduction of redemptions and incentive fees. ThePartnership is obligated to pay the Advisor a monthly management feeequal to 1/6 of 1% (2% per year) of month-end Net Assetsallocated by the Master. The Advisor has agreed to pay one half of itsmanagement fee to CGM for services it provides in connection with theAdvisor. In addition, the Advisor is a Special Limited Partner of thePartnership and receives an annual profit share allocation to itscapital account in the Partnership equal to 20% of New TradingProfits, as defined in the Management Agreement, earned on behalf ofthe Partnership during each calendar year in the form of SpecialLimited Partner Units.

|                                  |                    |
|----------------------------------|--------------------|
| c.      | CustomerAgreement: |

All brokerage commissions, exchange,clearing, user, give-up, and National Futures Association fees will beborne by the Master and allocated to the Partnership through itsinvestment in the Master. CGM will pay a portion of brokerage fees toits financial consultants who have sold Units in this Partnership. ThePartnership's assets not held at the Master are held in thePartnership's account at CGM. The Partnership's assets aredeposited by CGM in segregated bank accounts to the extent required byCommodity Futures Trading Commission regulations. 

F-12

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

Cash margin requirements are maintained bythe Master. CGM will pay the Partnership interest on 80% of theaverage daily equity allocated to the Partnership by the Master duringeach month at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. The customer agreement (the "CustomerAgreement") between CGM and the Master gives the Masterthe legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party.

4.    Trading Activities:

The results of theMaster's trading activities are shown in the statements of incomeand expenses.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the General Partner and at such times as the GeneralPartner may decide. Beginning with the first full month ending at leastthree months after the commencement of trading, a limited partner mayrequire the Partnership to redeem their Redeemable Units at their NetAsset Value as of the last day of a month on 10 days notice to theGeneral Partner. There is no fee charged to limited partners inconnection with redemptions.

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the years ended December  31, 2004, 2003 and 2002were asfollows:

|                                                       |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|-------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                  |  | 2004   |          | 2003    |  | 2002   |
| Netrealized and unrealized gains(losses)*             |  | $      | 952.94   |    |  | $      | (652.70  | )  |  | $      | 875.42   |    |
| Interestincome                                        |  |   | 24.27    |    |  |   | 17.19    |    |  |   | 31.29    |    |
| Expenses**                                            |  |   | (92.12   | )  |  |   | (45.39   | )  |  |   | (215.36  | )  |
| Increase(decrease) foryear                            |  |   | 885.09   |    |  |   | (680.90  | )  |  |   | 691.35   |    |
| Netasset value per Redeemable Unit, beginning of year |  |   | 1,907.68 |    |  |   | 2,588.58 |    |  |   | 1,897.23 |    |
| Netasset value per Redeemable Unit, end of year       |  | $      | 2,792.77 |    |  | $      | 1,907.68 |    |  | $      | 2,588.58 |    |
|                                                       |

|  |
|--|
|  |  |
|  |

|         |                                                   |
|---------|---------------------------------------------------|
| *  | Includescommissions expenses allocated fromMaster |

|          |                                                                                                                    |
|----------|--------------------------------------------------------------------------------------------------------------------|
| **  | Excludes commissions expensesallocated from Master and includes incentive fee allocation to SpecialLimited Partner |

F-13

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

|                                                       |  |        |        |          |  |        |         |          |  |        |       |          |  |  |
|-------------------------------------------------------|--|--------|--------|----------|--|--------|---------|----------|--|--------|-------|----------|--|--|
|                                                  |  | 2004   |        | 2003     |  | 2002   |
| Ratiosto average net assets:                          |  |
| Net investment lossbefore incentive fee allocation*** |  |   | (4.6   | )%  |  |   | (6.2    | )%  |  |   | (10.1 | )%  |
| Operatingexpenses                                     |  |   | 5.6    |     |  |   | 7.0     | %   |  |   | 11.4  | %   |
| Incentivefeeallocation                                |  |   | 1.7    | %   |  |   | — | %   |  |   | 7.3   | %   |
| Totalexpenses and incentive feeallocation             |  |   | 7.3    | %   |  |   | 7.0     | %   |  |   | 18.7  | %   |
| Totalreturn:                                          |  |   |   |     |  |   |    |     |  |
| Total return beforeincentive feeallocation            |  |   | 48.6   | %   |  |   | (26.3   | )%  |  |   | 45.5  | %   |
| Incentivefeeallocation                                |  |   | (2.2   | )%  |  |   | — | %   |  |   | (9.1  | )%  |
| Totalreturn after incentive feeallocation             |  |   | 46.4   | %   |  |   | (26.3   | )%  |  |   | 36.4  | %   |
|                                                       |

|  |
|--|
|  |  |
|  |

|           |                                                                           |
|-----------|---------------------------------------------------------------------------|
| ***  | Interestincome less total expenses (exclusive of incentive feeallocation) |

The above ratios may vary for individualinvestors based on the timing of capital transactions during the year.Additionally, these ratios are calculated for the limited partner classusing the limited partners' share of income, expenses and averagenet assets.

7.    Financial Instrument Risks:

In the normal course of its business, the Partnership,through its investment in the Master, is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative commodity instruments. These financial instruments mayinclude forwards, futures, options and swaps, whose values are basedupon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cashthrough physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract. The Master's swap contractsare OTC contracts.

Market risk is the potential forchanges in the value of the financial instruments traded by the Masterdue to market changes, including interest and foreign exchange ratemovements and fluctuations in commodity or security prices. Market riskis directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Creditrisk is the possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Partnership's/Master's risk ofloss in the event of counterparty default is typically limited to theamounts recognized in the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. ThePartnership, through its investment in the Master, has concentrationrisk because a significant counterparty or broker with respect to theMaster's assets is CGM.

The General Partnermonitors and controls the Partnership's/Master's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Partnership/ Master is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year ofDecember 31, 2004. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

F-14

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2004 and December 31, 2003 is summarized below:

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |           |        |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|-----------|--------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September 30,2004 |  | For the period from April 1, 2004 to June 30,2004 |            | For the period from January 1, 2004 to March 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 11,052,024 |                                                  |  | $                                                 | 30,234,312 |                                                 |  | $ | 4,877,947 |   |  | $ | 10,354,084 |   |
| NetIncome(loss)                                                                                                      |  | $                                                      | 8,174,598  |                                                  |  | $                                                 | 29,067,831 |                                                 |  | $ | 4,232,220 |   |  | $ | 9,732,253  |   |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 142.37     |                                                  |  | $                                                 | 509.75     |                                                 |  | $ | 71.26     |   |  | $ | 161.71     |   |
|                                                                                                                      |

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |           |                                                      |  |   |            |        |  |   |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|---|------------|--------|--|---|-------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2003 to December 31,2003 |            | For the period from July 1, 2003 to September 30,2003 |  | For the period from April 1, 2003 to June 30,2003 |           | For the period from January 1, 2003 to March 31,2003 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | (9,138,070 | )                                                |  | $                                                 | 2,490,454 |                                                 |  | $ | 21,116,553 |   |  | $ | (59,132,445 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | (9,827,957 | )                                                |  | $                                                 | 1,752,130 |                                                 |  | $ | 20,436,613 |   |  | $ | (59,872,825 | )  |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | (155.57    | )                                                |  | $                                                 | 26.91     |                                                 |  | $ | 304.06     |   |  | $ | (856.30     | )  |
|                                                                                                                      |

F-15

----

To theMembers ofSB AAA Master Fund LLC

To the best of theknowledge and belief of the undersigned, the information containedherein is accurate and complete.

|  | /s/ D.R.McAuliffe, Jr. |
|--|------------------------|

|  | By:   Daniel R.McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          Managing Member, SB AAA Master Fund LLC |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup Managed Futures LLC**399Park Avenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-16

----

Independent Auditors' Report

To the Members of    SB AAA Master Fund LLC:

We have audited the accompanying statements of financialcondition of SB AAA Master Fund LLC (the Company), including thecondensed schedules of investments, as of December  31, 2004 and2003, and the related statements of income and expenses, changes inmembers' capital, and cash flows for each of the years in thethree-year period ended December 31, 2004. These financial statementsare the responsibility of the Company's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits inaccordance with generally accepted auditing standards as established bythe Auditing Standards Board (United States) and in accordance with theauditing standards of the Public Company Accounting Oversight Board(United States). Those standards require that we plan and perform theaudit to obtain reasonable assurance about whether the financialstatements are free of material misstatement. The Company is notrequired to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audit includedconsideration of internal control over financial reporting as a basisfor designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Company's internal control over financialreporting. Accordingly, we express no such opinion. An audit includesexamining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates madeby management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of SB AAA Master Fund LLC as of December  31,2004 and 2003, and the results of its operations, changes in itsmembers' capital, and its cash flows for each of the years in thethree-year period ended December 31, 2004, in conformity withaccounting principles generally accepted in the United States ofAmerica.

/s/ KPMG LLPNew York, NewYorkMarch 14, 2005

F-17

----

SB AAAMaster Fund LLCStatements of Financial ConditionDecember 31,2004 and2003

|                                                                                                    |  |        |             |        |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                               |  | 2004   |             | 2003   |
| **Assets:**                                                                                        |  |
| Equityin commodity futures trading account:                                                        |  |
| Cash(restricted $29,327,275 and $48,471,997,respectively)                                          |  | $      | 302,866,457 |   |  | $      | 231,361,103 |   |
| Netunrealized appreciation on open futurespositions                                                |  |   | 33,027,068  |   |  |   | 8,845,539   |   |
| Unrealizedappreciation on open swapspositions                                                      |  |   | 93,606,729  |   |  |   | 50,093,912  |   |
| Commodityoptions owned, at fair value (cost $39,565,244 and $49,687,512,respectively)              |  |   | 51,017,766  |   |  |   | 42,630,230  |   |
|                                                                                               |  |   | 480,518,020 |   |  |   | 332,930,784 |   |
| Duefrombrokers                                                                                     |  |   | 2,425,135   |   |  |   | 2,148,690   |   |
| Interestreceivable                                                                                 |  |   | 459,835     |   |  |   | 159,050     |   |
|                                                                                               |  | $      | 483,402,990 |   |  | $      | 335,238,524 |   |
|                                                                                               |  |
| **Liabilitiesand Members'Capital:**                                                                |  |
| Liabilities:                                                                                       |  |
| Unrealizeddepreciation on open swappositions                                                       |  | $      | 89,659,294  |   |  | $      | 18,654,566  |   |
| Commodityoptions written, at fair value (premium received $54,943,984 and$47,549,852,respectively) |  |   | 52,353,395  |   |  |   | 57,804,597  |   |
| Accruedexpenses:                                                                                   |  |
| Commissions                                                                                        |  |   | 1,662,591   |   |  |   | 1,670,425   |   |
| Professionalfees                                                                                   |  |   | 2,000       |   |  |   | 59,625      |   |
| Due tobrokers                                                                                      |  |   | 2,753,610   |   |  |   | 1,815,015   |   |
| DuetoCGM                                                                                           |  |   | 22,978      |   |  |   | 22,978      |   |
| Distributionpayable                                                                                |  |   | 453,587     |   |  |   | 153,681     |   |
|                                                                                               |  |   | 146,907,455 |   |  |   | 80,180,887  |   |
| Members'Capital:                                                                                   |  |
| Members' Capital, 185,364.2361and 211,023.7320 Units outstanding in 2004 and 2003,respectively     |  |   | 336,495,535 |   |  |   | 255,057,637 |   |
|                                                                                               |  | $      | 483,402,990 |   |  | $      | 335,238,524 |   |
|                                                                                                    |

Seeaccompanying notes to financial statements.

F-18

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2004

|                              |  |                   |            |          |  |                                                    |  |        |             |         |  |  |  |  |
|------------------------------|--|-------------------|------------|----------|--|----------------------------------------------------|--|--------|-------------|---------|--|--|--|--|
| Sector                       |  | NumberofContracts |            | Contract |  | FairValue                                          |
| Energy                       |  |              |       |     |  |                                               |  |
|                         |  |              |       |     |  | Futurescontracts purchased0.37%                    |  | $      | 1,240,430   |    |
|                         |  |              |       |     |  | Futurescontracts sold9.45%                         |  |   |        |    |
|                         |  |              | 2,626      |     |  | NYMEXNatural Gas Feb. 05 – May 096.77%       |  |   | 22,776,795  |    |
|                         |  |              |       |     |  | Other2.68%                                         |  |   | 9,009,843   |    |
|                         |  |              |       |     |  |                                               |  |   | 31,786,638  |    |
|                         |  |              |       |     |  | Totalfutures contracts9.82%                        |  |   | 33,027,068  |    |
|                         |  |              |       |     |  |                                               |  |
|                         |  |              |       |     |  | Optionsowned15.16%                                 |  |   | 51,017,766  |    |
|                         |  |
|                         |  |              |       |     |  | Optionswritten (15.56)%                            |  |
|                         |  |              | 6,992      |     |  | NYMEXNatural Gas Feb. 05 – Jan 06(7.67)%     |  |   | (25,794,540 | )  |
|                         |  |              |       |     |  | Other(7.89)%                                       |  |   | (26,558,855 | )  |
|                         |  |              |       |     |  |                                               |  |   | (52,353,395 | )  |
|                         |  |
|                         |  |              |       |     |  | Unrealizedappreciation on Swaps contracts27.82%    |  |   |        |    |
|                         |  |              | 1,450      |     |  | GulfCoast Unleaded Gas Calendar 20066.50%          |  |   | 21,867,545  |    |
|                         |  |              | 1,080      |     |  | NYMEXUnleaded Gas Calendar 2005 6.98%              |  |   | 23,491,972  |    |
|                         |  |              |       |     |  | Other14.34%                                        |  |   | 48,247,212  |    |
|                         |  |              |       |     |  |                                               |  |   | 93,606,729  |    |
|                         |  |              |       |     |  | Unrealized depreciation on Swaps contracts(26.65)% |  |   |        |    |
|                         |  |              | 1,450      |     |  | GulfCoast Unleaded Gas Calendar 2006(5.60)%        |  |   | (18,846,201 | )  |
|                         |  |              | 820        |     |  | NYMEXUnleaded Gas Calendar 2005(6.29)%             |  |   | (21,159,503 | )  |
|                         |  |              |       |     |  | Other(14.76)%                                      |  |   | (49,653,590 | )  |
|                         |  |              |       |     |  |                                               |  |   | (89,659,294 | )  |
| TotalEnergy Fair Value10.59% |  | $                 | 35,638,874 |     |
|                              |

|                    |  |                          |            |                              |  |        |        |         |  |  |
|--------------------|--|--------------------------|------------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments atFair Value |            | % ofInvestments atFair Value |
| UnitedKingdom      |  | $                        | 1,752,837  |                         |  |   | 4.92   | %  |
| UnitedStates       |  |                     | 33,886,037 |                         |  |   | 95.08  |    |
|               |  | $                        | 35,638,874 |                         |  |   | 100.00 | %  |
|                    |

Percentagesare based on Members' Capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-19

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2003

|                             |  |                   |        |          |            |                                                      |  |        |             |         |  |  |  |  |
|-----------------------------|--|-------------------|--------|----------|------------|------------------------------------------------------|--|--------|-------------|---------|--|--|--|--|
| Sector                      |  | NumberofContracts |        | Contract |            | FairValue                                            |
| Energy                      |  |              |   |     |            | Futurescontracts purchased5.35%                      |  | $      | 13,637,465  |    |
|                        |  |              |   |     |            | Futurescontracts sold(1.88)%                         |  |   | (4,791,926  | )  |
|                        |  |              |   |     |            | Totalfutures contracts3.47%                          |  |   | 8,845,539   |    |
|                        |  |              |   |     |            |                                                 |  |
|                        |  |              |   |     |            | Optionsowned 16.71%                                  |  |
|                        |  |              | 6,488  |     |            | NYMEXNatural Gas Put Feb. 04 – Oct 048.98%     |  |   | 22,900,060  |    |
|                        |  |              |   |     |            | Other7.73%                                           |  |   | 19,730,170  |    |
|                        |  |              |   |     |            |                                                 |  |   | 42,630,230  |    |
|                        |  |              |   |     |            | Optionswritten (22.66)%                              |  |
|                        |  |              | 7,335  |     |            | NYMEXNatural Gas Call Feb. 04 – Dec 04(16.04)% |  |   | (40,916,710 | )  |
|                        |  |              |   |     |            | Other(6.62)%                                         |  |   | (16,887,887 | )  |
|                        |  |              |   |     |            |                                                 |  |   | (57,804,597 | )  |
|                        |  |              |   |     |            | Unrealizedappreciation on Swaps contracts19.64%      |  |
|                        |  |              | 1,000  |     |            | HH Natural GasFeb 048.22%                            |  |   | 20,967,521  |    |
|                        |  |              |   |     |            | Other11.42%                                          |  |   | 29,126,391  |    |
|                        |  |              |   |     |            |                                                 |  |   | 50,093,912  |    |
|                        |  |              |   |     |            |                                                 |  |
|                        |  |              |   |     |            | Unrealizeddepreciation on Swaps contracts(7.31)%     |  |   | (18,654,566 | )  |
| TotalEnergy Fair Value9.85% |  |              |        | $        | 25,110,518 |                                                 |
|                             |

|                    |  |                          |            |                              |  |        |        |          |  |  |
|--------------------|--|--------------------------|------------|------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments atFair Value |            | % ofInvestments atFair Value |
| UnitedKingdom      |  | $                        | (113,943   | )                       |  |   | (0.45  | )%  |
| UnitedStates       |  |                     | 25,224,461 |                         |  |   | 100.45 |     |
|               |  | $                        | 25,110,518 |                         |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' Capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-20

----

SB AAA Master Fund LLCStatements ofIncome and Expensesfor the years ended December 31, 2004, 2003 and2002

|                                                                                                   |  |        |             |        |  |        |             |         |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|-------------|--------|--|--|
|                                                                                              |  | 2004   |             | 2003   |  | 2002   |
| Income:                                                                                           |  |
| Netgains (losses) on trading of commodityinterests:                                               |  |
| Realized gains (losses) on closedpositions                                                        |  | $      | 98,726,739  |   |  | $      | (89,228,388 | )  |  | $      | 96,247,547  |   |
| Changein unrealized gains on openpositions                                                        |  |   | 28,044,756  |   |  |   | 12,929,224  |    |  |   | 7,940,877   |   |
|                                                                                              |  |   | 126,771,495 |   |  |   | (76,299,164 | )  |  |   | 104,188,424 |   |
| Interestincome                                                                                    |  |   | 3,078,611   |   |  |   | 2,459,477   |    |  |   | 3,255,591   |   |
|                                                                                              |  |   | 129,850,106 |   |  |   | (73,839,687 | )  |  |   | 107,444,015 |   |
|                                                                                              |  |
| Expenses:                                                                                         |  |
| Brokeragecommissions including clearing fees of $1,255,894, $2,041,075 and$2,515,609,respectively |  |   | 9,765,132   |   |  |   | 13,877,538  |    |  |   | 21,769,166  |   |
| Otherexpenses                                                                                     |  |   | 244,350     |   |  |   | 347,628     |    |  |   | 37,083      |   |
|                                                                                              |  |   | 10,009,482  |   |  |   | 14,225,166  |    |  |   | 21,806,249  |   |
| Netincome(loss)                                                                                   |  | $      | 119,840,624 |   |  | $      | (88,064,853 | )  |  | $      | 85,637,766  |   |
|                                                                                              |  |
| Netincome (loss) per Unit of Member Interest (Notes 1 and6)                                       |  | $      | 622.49      |   |  | $      | (400.99     | )  |  | $      | 525.84      |   |
|                                                                                                   |

Seeaccompanying notes to financial statements.

F-21

----

SB AAA Master Fund LLCStatements ofChanges in Members' Capitalfor the years ended December 31,2004, 2003 and2002

|                                                   |  |                 |             |         |  |  |
|---------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                              |  | Members'Capital |
| Members'Capital at December 31,2001               |  | $               | 152,214,723 |    |
| NetIncome                                         |  |            | 85,637,766  |    |
| Sale of 103,668.6762 Unitsof Member Interest      |  |            | 149,182,059 |    |
| Redemptionsof 24,734.5653 Units of MemberInterest |  |            | (33,598,368 | )  |
| Distribution ofInterest to feederfunds            |  |            | (3,152,727  | )  |
| Members'Capital at December 31, 2002              |  |            | 350,283,453 |    |
| NetLoss                                           |  |            | (88,064,853 | )  |
| Sale of 39,745.9253 Unitsof Member Interest       |  |            | 54,393,460  |    |
| Redemptions of44,880.6036 Units of MemberInterest |  |            | (59,184,213 | )  |
| Distribution ofInterest to feederfunds            |  |            | (2,370,210  | )  |
| Members'Capital at December 31, 2003              |  |            | 255,057,637 |    |
| NetIncome                                         |  |            | 119,840,624 |    |
| Sale of 20,423.0579 Unitsof Member Interest       |  |            | 32,767,686  |    |
| Redemption of46,082.5538 Units of MemberInterest  |  |            | (68,133,449 | )  |
| Distribution ofInterest to feederfunds            |  |            | (3,036,963  | )  |
| Members'Capital at December 31,2004               |  | $               | 336,495,535 |    |
|                                                   |

NetAsset Value PerUnit:

|       |
|-------|
|       |  |  |  |  |  |  |
| 2002: |  | $ | 1,620.49 |   |
| 2003: |  | $ | 1,208.66 |   |
| 2004: |  | $ | 1,815.32 |   |
|       |

Seeaccompanying notes to financialstatements.

F-22

----

SB AAA Master Fund LLCStatements ofCash Flowsfor the years ended December 31, 2004, 2003 and2002

|                                                                                                 |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                            |  | 2004   |             | 2003    |  | 2002   |
| Cashflows from operatingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Net income(loss)                                                                                |  | $      | 119,840,624 |    |  | $      | (88,064,853 | )  |  | $      | 85,637,766  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |   |        |    |  |   |        |    |  |
| Changesin operating assets andliabilities:                                                      |  |   |        |    |  |   |        |    |  |
| (Increase)decrease in restrictedcash                                                            |  |   | 19,144,722  |    |  |   | 5,050,258   |    |  |   | (31,730,018 | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions         |  |   | (24,181,529 | )  |  |   | 342,944     |    |  |   | (8,103,683  | )  |
| (Increase) decrease in net unrealized appreciation onopen swapscontracts                        |  |   | (43,512,817 | )  |  |   | (12,082,141 | )  |  |   | (35,645,646 | )  |
| (Increase)decrease in commodity options owned, at fairvalue                                     |  |   | (8,387,536  | )  |  |   | 40,621,872  |    |  |   | (81,116,402 | )  |
| (Increase) decrease in due frombrokers                                                          |  |   | (276,445    | )  |  |   | 10,447,102  |    |  |   | (12,113,857 | )  |
| (Increase) decrease in interestreceivable                                                       |  |   | (300,785    | )  |  |   | 124,570     |    |  |   | (280,709    | )  |
|                                                                                            |  |   |        |    |  |
| Increase (decrease) inunrealized depreciation on open swap contracts                            |  |   | 71,004,728  |    |  |   | (29,815,656 | )  |  |   | 45,497,787  |    |
| Increase(decrease) in commodity options written, at fairvalue                                   |  |   | (5,451,202  | )  |  |   | (9,920,180  | )  |  |   | 61,223,031  |    |
| Accruedexpenses:                                                                                |  |
| Increase (decrease) incommissions                                                               |  |   | (7,834      | )  |  |   | (3,539,742  | )  |  |   | 4,948,450   |    |
| Increase(decrease) in professionalfees                                                          |  |   | (57,625     | )  |  |   | 39,508      |    |  |   | (17,883     | )  |
| Increase (decrease) in due tobrokers                                                            |  |   | 938,595     |    |  |   | 273,792     |    |  |   | 634,373     |    |
| Increase (decrease) in distributionpayable                                                      |  |   | 299,906     |    |  |   | (123,227    | )  |  |   | 276,908     |    |
| Net cashprovided by (used in) operatingactivities                                               |  |   | 129,052,802 |    |  |   | (86,645,753 | )  |  |   | 29,210,117  |    |
|                                                                                            |  |   |        |    |  |
| Cashflows from financingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Proceeds fromadditions                                                                          |  |   | 32,767,686  |    |  |   | 54,393,460  |    |  |   | 149,182,059 |    |
| Paymentsfor redemptions                                                                         |  |   | (68,133,449 | )  |  |   | (59,184,213 | )  |  |   | (33,598,368 | )  |
| Distributionof interest to feederfunds                                                          |  |   | (3,036,963  | )  |  |   | (2,370,210  | )  |  |   | (3,152,727  | )  |
|                                                                                            |  |   |        |    |  |
| Netcash provided by (used in) financingactivities                                               |  |   | (38,402,726 | )  |  |   | (7,160,963  | )  |  |   | 112,430,964 |    |
|                                                                                            |  |   |        |    |  |
| Netchange in cash                                                                               |  |   | 90,650,076  |    |  |   | (93,806,716 | )  |  |   | 141,641,081 |    |
| Unrestrictedcash, at beginning ofyear                                                           |  |   | 182,889,106 |    |  |   | 276,695,822 |    |  |   | 135,054,741 |    |
| Unrestricted cash, at end ofyear                                                                |  | $      | 273,539,182 |    |  | $      | 182,889,106 |    |  | $      | 276,695,822 |    |
|                                                                                                 |

F-23

----

SBAAA Master Fund LLCNotes to FinancialStatements

1.    General:

SB AAAMaster Fund LLC (the "Master") is a limitedliability company formed under the New York Limited Liability CompanyLaw. The Master's purpose is to engage in the speculative tradingof a diversified portfolio of commodity interests including commodityfutures contracts and commodity options contracts on United Statesexchanges and certain foreign exchanges. The Master may trade commodityfutures and option contracts of any kind but intends initially to tradesolely energy and energy related products. In addition, the Master mayenter into swap contracts. The Master is authorized to sell anunlimited number of units ("Units") of memberinterest.

On September 1, 2001 (date Master commenced trading),Smith Barney AAA Energy Fund  L.P.("AAA") allocated substantially all of itscapital and Smith Barney Orion Futures Fund L.P("Orion") allocated a portion of its capitalto the Master. With this cash, the Partnerships purchased 133,712.5867Units of the Master with a fair value of $133,712,587 (includingunrealized appreciation of $7,755,035). On July 1, 2002, Salomon SmithBarney AAA Energy Fund L.P. II ("AAA II")allocated substantially all of its capital to the Master and purchased64,945.0387 Units with a fair value of $94,925,000. The Master wasformed to permit commodity pools managed now or in the future by AAACapital Management, Inc. (the "Advisor")using the Energy with Swaps Program, the Advisor's proprietarytrading program, to invest together in one vehicle.

The Masteroperates under a "master/feeder fund"structure where its investors consist of AAA, AAA II, Orion andPinnacle Natural Resources, LP (each a"Member", collectively the"Feeder Funds") with 46.6%,35.7%, 13.7% and 4.0% investments in the Master atDecember 31, 2004, respectively.

Citigroup Managed Futures LLC,formerly Smith Barney Futures Management LLC, acts as the managingmember (the "Managing Member") of the Master.The Master's commodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the Managing Member. The Managing Member iswholly-owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly-ownedsubsidiary of Citigroup Inc. All trading decisions for the Master aremade by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (including derivativefinancial instruments and derivative commodity instruments) are usedfor trading purposes. The commodity interests are recorded on tradedate and open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available or other measures of fair value deemedappropriate by management of the Managing Member for those commodityinterests and foreign currencies for which market quotations are notreadily available, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the year. Realized gains(losses) and changes in unrealized gains (losses) on open positions arerecognized in the period in which the contract is closed or the changesoccur and are included in net gains (losses) on trading of commodityinterests. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | The Master may purchase andwrite (sell) options. An option is a contract allowing, but notrequiring, its holder to buy (call) or sell (put) a specific orstandard commodity or financial instrument at a specified price duringa specified time period. The option premium is the total price paid orreceived for the option contract. When the Master writes an option, thepremium received is recorded as a liability in the statements offinancial condition and marked to market daily. When the Masterpurchases an option, the premium paid is recorded as an asset in thestatements of financial condition and marked to market daily. |

F-24

----

SBAAA Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                  |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | All of the incomeand expenses and realized and unrealized gains and losses on trading ofcommodity interests are determined on each valuation day and allocatedpro rata among the Feeder Funds at the time of such determination. |

|          |                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | Income taxes have not been provided as eachpartner of each of the members (the Feeder Funds) is individuallyliable for the taxes, if any, on their share of the Master'sincome and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| e.  | The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assetsand liabilities, and disclosure of contingent assets and liabilities atthe date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period. Actual results coulddiffer from these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| f.  | Certain priorperiod amounts have been reclassified to conform to current yearpresentation. |

|          |             |
|----------|-------------|
| 3.  | Agreements: |

|          |                           |
|----------|---------------------------|
| a.  | ManagingMember Agreement: |

The Managing Member administers thebusiness affairs of the Master.

|          |                      |
|----------|----------------------|
| b.  | ManagementAgreement: |

The Managing Member, on behalf of the Masterhas entered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is affiliated with the ManagingMember and CGM but is not responsible for the organization or operationof the Master. The Management Agreement provides that the Advisor hassole discretion in determining the investment of the assets of theMaster. All management fees in connection with the Management Agreementshall be borne by the Feeder Funds.

|          |                    |
|----------|--------------------|
| c.  | CustomerAgreement: |

The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. The Masterwill pay CGM brokerage commissions at $18 per round turn for futures,options and swap transactions. The brokerage fee is inclusive ofapplicable floor brokerage. All exchange, clearing, user, give-up andNational Futures Association fees are borne by the Master. All otherfees (management fees, administrative fees, incentive fees and offeringcosts) shall be borne by the Feeder Funds. All of the Master'scash is deposited by CGM in segregated bank accounts, to the extentrequired by Commodity Futures Trading Commission regulations. AtDecember 31, 2004 and 2003, the amount of cash held by the Master formargin requirements was $29,327,275 and $48,471,997, respectively. TheCustomer Agreement between the Master and CGM gives the Master thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated by either party. All commissions in connection withthe Customer Agreement shall be borne by the Feeder Funds.

4.    Trading Activities:

The Master was formed for thepurpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The results of the Master's trading activities areshown in the statements of income and expenses.

All of thecommodity interests owned by the Master are held for trading purposes.The average fair values for the years ended December 31, 2004 and 2003based on a monthly calculation, were $37,750,006 

F-25

----

SBAAA Master Fund LLCNotes to FinancialStatements

and $39,703,607, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at December 31, 2004 and 2003 were $35,638,874 and$25,110,518, respectively.

5.    Distributions andRedemptions:

Distributions of profits, if any, will be made atthe sole discretion of the Managing Member and at such time as theManaging Member may decide. A member may require the Master to redeemtheir Units at their Net Asset Value as of the last day of the month.The Managing Member, at its sole discretion, may permit redemptionsmore frequently than monthly. There is no fee charged to members inconnection with redemptions.

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member interest for theyears ended December 31, 2004, 2003 and 2002 were asfollows:

|                                                               |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|---------------------------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                                          |  | 2004   |          | 2003     |  | 2002   |
| Netrealized and unrealized gains(losses)*                     |  | $      | 607.73   |     |  | $      | (410.62  | )   |  | $      | 510.93   |     |
| Interestincome                                                |  |   | 16.06    |     |  |   | 11.23    |     |  |   | 15.13    |     |
| Expenses**                                                    |  |   | (1.30    | )   |  |   | (1.60    | )   |  |   | (0.22    | )   |
| Increase(decrease) foryear                                    |  |   | 622.49   |     |  |   | (400.99  | )   |  |   | 525.84   |     |
| Distributions                                                 |  |   | (15.83   | )   |  |   | (10.84   | )   |  |   | (14.59   | )   |
| Netasset value per Unit, beginning ofyear                     |  |   | 1,208.66 |     |  |   | 1,620.49 |     |  |   | 1,109.24 |     |
| Netasset value per Unit, end ofyear                           |  | $      | 1,815.32 |     |  | $      | 1,208.66 |     |  | $      | 1,620.49 |     |
| *  Includes brokerage commissions                   |  |
| ** Excludesbrokeragecommissions                               |  |   |     |     |  |   |     |     |  |
| Ratioto average net assets:                                   |  |   |     |     |  |   |     |     |  |
| Netinvestmentloss***                                          |  |   | (2.4     | )%  |  |   | (4.1     | )%  |  |   | (8.9     | )%  |
| Operatingexpenses                                             |  |   | 3.5      | %   |  |   | 5.0      | %   |  |   | 9.0      | %   |
| Totalreturn                                                   |  |   | 51.5     | %   |  |   | (24.7    | )%  |  |   | 47.4     | %   |
| ***    Interestincome less total expenses |  |
|                                                               |

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year.

7.    Financial InstrumentRisks:

In the normal course of its business, the Master 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. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

F-26

----

SBAAA Master Fund LLCNotes to FinancialStatements

Market risk is the potential for changesin the value of the financial instruments traded by the Master due tomarket changes, including interest and foreign exchange rate movementsand fluctuations in commodity or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Master hasconcentration risk because a significant counterparty or broker withrespect to the Master's assets is CGM. As of December 31, 2004,the counterparties to the Master's swap contracts were Citibank,N.A., which is affiliated with the Master, Morgan Stanley Capital GroupInc., J.  Aron & Company, Hess Trading Company, LLC and BPCorporation North America, Inc.

The Managing Member monitors andcontrols the Master's risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems and,accordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master issubject. These monitoring systems allow the Managing Member tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2004. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

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Selectedunaudited quarterly financial data for the Master for the years endedDecember 31, 2004 and December 31, 2003 is summarized below:

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September 30,2004 |  | For the period from April 1, 2004 to June 30,2004 |            | For the period from January 1, 2004 to March 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 23,925,828 |                                                  |  | $                                                 | 64,277,686 |                                                 |  | $ | 10,197,155 |   |  | $ | 21,684,305 |   |
| NetIncome(loss)                                                                                                      |  | $                                                      | 23,724,769 |                                                  |  | $                                                 | 64,261,824 |                                                 |  | $ | 10,181,466 |   |  | $ | 21,672,565 |   |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 122.43     |                                                  |  | $                                                 | 338.61     |                                                 |  | $ | 52.27      |   |  | $ | 109.18     |   |
|                                                                                                                      |

|                                                                                                                      |  |                                                        |             |                                                       |  |                                                   |           |                                                      |  |   |            |        |  |   |              |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-------------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|---|------------|--------|--|---|--------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2003 to December 31,2003 |             | For the period from July 1, 2003 to September 30,2003 |  | For the period from April 1, 2003 to June 30,2003 |           | For the period from January 1, 2003 to March 31,2003 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | (19,076,349 | )                                                |  | $                                                 | 5,417,949 |                                                 |  | $ | 43,551,945 |   |  | $ | (117,610,770 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | (19,209,758 | )                                                |  | $                                                 | 5,222,221 |                                                 |  | $ | 43,542,648 |   |  | $ | (117,619,964 | )  |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | (91.62      | )                                                |  | $                                                 | 24.17     |                                                 |  | $ | 196.92     |   |  | $ | (530.46      | )  |
|                                                                                                                      |

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Item 9.    Changesin and Disagreements with Accountants on Accounting and FinancialDisclosure.

None.

Item 9A.    Controls andProcedures

Based on their evaluation of thePartnership's disclosure controls and procedures as of year end,the Chief Executive Officer and Chief Financial Officer have concludedthat such controls and procedures are effective.

There were nosignificant changes in the Partnership's internal controls or inother factors that could significantly affect such controls subsequentto the date of their evaluation.

Management's report oninternal control over financial reporting and KPMG LLP's relatedopinion are included in the Partnership's annual financialstatements under "Item 8. Financial Statements andSupplementary Data."

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by the Advisor, AAA CapitalManagement, Inc.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner, which receives compensation for its services, as setforth under "Item 1. Business." CGM,an affiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."During the year ended December 31, 2004, CGM earned $4,607,509 inbrokerage commissions and clearing fees from the Partnership andthrough the Partnership's investment in the Master. The Advisorearned $2,759,441 in management fees during 2004.

Item12.    Security Ownership of Certain Beneficial Owners andManagement.

(a)    Security ownership of certainbeneficial owners. The Partnership knows of no person whobeneficially owns more than 5% of the Redeemable Unitsoutstanding.

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 913.9790 (1.6%) Units of Limited Partnership Interest as ofDecember 31, 2004.

Principals who own Redeemable Units of thePartnership:

David J. Vogel                     101.0801 Redeemable UnitsDaniel R. McAuliffe, Jr.        10.3165 Redeemable Units

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets and Citigroup Managed Futures LLC would beconsidered promoters for purposes of item 404(d) of Regulation S-K. Thenature and the amounts of compensation each promoter will receive fromthe Partnership are set forth under "Item 1.Business.", "Item 8. FinancialStatements and Supplementary Data." and"Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

(1)    Audit Fees.The aggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of

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financial statements included in thePartnership's Forms 10-Q and 10-K and other services normallyprovided in connection with regulatory filings or engagements are asfollows:

2004            $53,950

2003            $30,046

(2)    Audit-Related Fees. None

(3)    Tax Fees. The aggregate fees billed for each ofthe last two fiscal years for professional services rendered by KPMGLLP for tax compliance and tax advice given in the preparation of thePartnership's Schedule K1s, the preparation of thePartnership's Form 1065 and preparation of all State Tax Returnsare as follows:

2004            $5,136

2003            $4,809

(4)    AllOther Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

There were no significant changes inthe Partnership's internal controls or in other factors thatcould significantly affect such controls subsequent to the date oftheir evaluation.

PART IV

Item 15.    Exhibits,Financial Statement Schedules, and Reports on Form 8-K.

|            |     |                      |
|------------|-----|----------------------|
| (a)   | (1) | FinancialStatements: |

Statements of Financial Condition at December31, 2004 and 2003.

Statements of Income and Expenses forthe years ended December 31, 2004, 2003 and 2002.

Statements of Changes in Partners' Capital for theyears ended December 31, 2004, 2003 and 2002.

Statementsof Cash Flows for the years ended December 31, 2004, 2003 and 2002.

|        |     |           |
|--------|-----|-----------|
|   | (2) | Exhibits: |

3.1 – Certificate of Limited Partnership (previouslyfiled).

3.2 – Limited Partnership Agreement(previously filed).

10.1 – ManagementAgreement among the Partnership, the General Partner and AAA CapitalManagement, Inc. (previously filed).

10.2 –Customer Agreement between Registrant and Smith Barney Inc. (thepredecessor to Salomon Smith Barney Inc.) (previously filed).

10.3 – Form of Subscription Agreement (previouslyfiled).

10.4 – Letter from General Partner to AAACapital Management, Inc. extending the Management Agreement for 1999(previously filed).

10.5 – Letter from the GeneralPartner to AAA Capital Management, Inc. extending the ManagementAgreement for 2000 (previously filed).

10.6 –Letter from the General Partner to AAA Capital Management, Inc.extending the Management Agreement for 2001 (previously filed).

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10.7 – Letter from theGeneral Partner to AAA Capital Management, Inc. extending theManagement Agreement for 2002 (previously filed).

10.8– Letter from the General Partner to AAA Capital Management, Inc.extending the Management Agreement for 2003 (previously filed).

10.9 – Letter from the General Partner to AAA CapitalManagement, Inc. extending the Management Agreement for 2004 (filedherein).

16.1 – Letter from PricewaterhouseCoopersLLP (previously filed).

The exhibits required to befiled by Item 601 of Regulation S-K are incorporated herein byreference.

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

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

|  |        |                                                                                                  |
|--|--------|--------------------------------------------------------------------------------------------------|
|  |   | Exhibit – 32.1 – Section1350 Certification (Certification of President and Director) |

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

|  |           |                                |
|--|-----------|--------------------------------|
|  | (b)  | Report on Form 8-K:None Filed. |

Supplemental Information To Be Furnished WithReports Filed Pursuant To Section 15(d) Of The Act by Registrants WhichHave Not Registered Securities Pursuant To Section 12 Of the Act.

Annual Report to Limited Partners

No proxy materialhas been sent to Limited Partners.

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized on the 15th day of March2005.

Smith Barney AAA Energy Futures Fund L.P.

|           |                                                    |
|-----------|----------------------------------------------------|
| By:  | /s/ Citigroup Managed Futures LLC(General Partner) |

|           |                                                            |
|-----------|------------------------------------------------------------|
| By:  | /s/ David J.Vogel David J. Vogel, President & Director |

Pursuant to the requirements of the Securities Exchange Act of 1934,this annual report on Form 10-K has been signed below by the followingpersons on behalf of the Registrant and in the capacities and on thedate indicated.

|                             |  |                        |  |  |  |  |
|-----------------------------|--|------------------------|--|--|--|--|
| /s/David J. Vogel           |  | /s/ Shelley Ullman     |
| David J. Vogel              |  | Shelley Ullman         |
| Director, Principal         |  | ExecutiveDirector      |
| Officer and President       |  |
|                        |  |
|                        |  |
| /s/ MaureenO'Toole          |  | /s/ Steve J. Keltz     |
| Maureen O'Toole             |  | Steve J. Keltz         |
| Director                    |  | Secretary and Director |
|                        |  |
|                        |  |
| /s/ Daniel R.McAuliffe, Jr. |  |
| Daniel R. McAuliffe,Jr.     |  |
| Chief Financial Officer and |  |
| Director                    |  |
|                             |

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