UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 2000

Commission File Number 000-25921

                  SMITH BARNEY AAA ENERGY FUND L.P. (Exact name
                   of registrant as specified in its charter)

               New York                              13-3823300
    (State or other jurisdiction of              (I.R.S. Employer
     incorporation or organization)              Identification No.)

                     c/o Smith Barney Futures Management LLC
                           388 Greenwich St. - 7th Fl.
                            New York, New York 10013
              (Address and Zip Code of principal executive offices)

                               (212) 723-5424
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:  None
Securities registered pursuant to Section 12(g) of the Act:  Units
                                                             of Limited
                                                             Partnership
                                                             Interest
                                                             (Title of Class)

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

                                     Yes   X    No

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

As of February 28, 2001,  Limited  Partnership  Units with an aggregate value of
$80,421,165 were outstanding and held by non-affiliates.


                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None

<PAGE>


Item 1. Business.

                  (a) General  development of business.  Smith Barney AAA Energy
Fund L.P. (the "Partnership") is a limited  partnership  organized on January 5,
1998 under the  partnership  laws of the State of New York. The objective of the
Partnership  is to  achieve  substantial  appreciation  of  its  assets  through
speculative  trading,  directly or indirectly,  in commodity interests generally
including  commodity  options and commodity  futures  contracts on United States
exchanges and certain foreign exchanges.  At present,  the Partnership may trade
commodity  futures and options  contracts of any kind,  but  initially it traded
solely energy and energy related  products.  In addition,  the  Partnership  has
entered into swap  contracts on energy  related  products  (together  with other
traded futures and options  contracts,  the "Commodity  Interests").  During the
initial  offering  period  (February  12,  1998  through  March  15,  1998)  the
Partnership sold 49,538 Units. The Partnership  commenced its Commodity Interest
trading  activities on March 16, 1998. No securities  which  represent an equity
interest or any other  interest in the  Partnership  trade on any public market.
Sales and redemptions of Units and general partner contributions and redemptions
for the years ended December 31, 2000,  1999 and the period from January 5, 1998
(date  Partnership  was  organized)  to December  31,  1998 are  reported in the
Statement of Partners'  Capital on page F-6 under "Item 8. Financial  Statements
and Supplementary Data."

                                       2
<PAGE>

       The  Partnership  will be  liquidated  upon  the  first  to  occur of the
following:  December 31, 2018;  if the net asset value per Unit falls below $400
as of the close of business on any business  day or upon the earlier  occurrence
of certain other circumstances set forth in the Limited Partnership Agreement of
the Partnership (the "Limited Partnership Agreement").
      Smith Barney  Futures  Management  LLC acts as the general  partner (the
"General Partner") of the Partnership.  The Partnership's  commodity broker is
Salomon  Smith  Barney  Inc.  ("SSB").  SSB is an  affiliate  of  the  General
Partner.  The  General  Partner  is  wholly  owned  by  Salomon  Smith  Barney
Holdings  Inc.  ("SSBHI"),  which is the sole owner of SSB.  SSBHI is a wholly
owned subsidiary of Citigroup Inc.
      The Partnership's trading of futures,  forwards and options contracts,  if
applicable,  on  commodities  is done  primarily  on United  States  of  America
commodity exchanges and foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with SSB.
      Under the Limited  Partnership  Agreement,  the  General  Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The  General  Partner  administers  the  business  and affairs of the
Partnership  including  selecting one or more advisors to make trading decisions
for the Partnership.
      The  General  Partner  has  entered  into a  management  agreement  (the
"Management Agreement") with AAA Capital Management,  Inc. (the "Advisor") who
will  make  all  commodity  trading  decisions  for the  Partnership.  Mr.  A.

                                       3
<PAGE>

Anthony  Annunziato  is the sole trading  principal of the Advisor and is also
an employee of SSB. The Advisor is not  responsible  for the  organization  or
operation of the Partnership.
      Pursuant to the terms of the  Management  Agreement,  the  Partnership  is
obligated to pay the Advisor a monthly management fee equal to 1/6 of 1% (2% per
year) of Net Assets  allocated  to the  Advisor  as of the end of the month.  In
addition,  the Advisor will be a Special  Limited Partner of the Partnership and
will receive an annual  profit share  allocation  to its capital  account in the
Partnership  equal to 20% of New Trading  Profits (as defined in the  Management
Agreement) of the Partnership.
       The Customer  Agreement  between the  Partnership  and SSB (the "Customer
Agreement") provides that the Partnership pays SSB brokerage  commissions at $18
per round turn for futures and swap  transactions  and $9 per side for  options.
SSB pays a portion of its brokerage fees to its financial  consultants  who have
sold Units. The Partnership pays for National Futures  Association ("NFA") fees,
exchange and clearing fees,  give-up and user fees and floor brokerage fees. The
Customer  Agreement  between the  Partnership  and SSB gives the Partnership the
legal right to net unrealized gains and losses.  Brokerage fees will be paid for
the life of the  Partnership,  although the rate at which such fees are paid may
be changed. In addition, SSB pays the Partnership interest on 80% of the average
daily  equity  maintained  in cash in its account  during each month at a 30 day
U.S.  Treasury bill rate determined  weekly by SSB based on the  non-competitive

                                       4
<PAGE>

yield on 3 month U.S.  Treasury bills maturing in 30 days from the date in which
such weekly rate is  determined.  The Customer  Agreement  may be  terminated by
either party.
      (b) Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's  net income from operations for the years ended December 31, 2000,
1999 and the period from March 16, 1998 (commencement of trading  operations) to
December  31, 1998 are set forth under "Item 6.  Selected  Financial  Data." The
Partnership capital as of December 31, 2000 was $74,326,664.
      (c) Narrative  description of business.
          See Paragraphs (a) and (b) above.
          (i) through (x) - Not  applicable.
          (xi) through  (xii) - Not  applicable.
          (xiii) - The Partnership has no employees.
      (d) Financial  Information  About Geographic Areas. The Partnership does
not engage in sales of goods or  services  or own any long lived  assets,  and
therefore this item is not applicable.
Item 2. Properties.
          The  Partnership  does not own or lease any  properties.  The  General
Partner operates out of facilities provided by its affiliate, SSB.
Item 3. Legal Proceedings.
      Salomon  Smith  Barney Inc,  ("SSB") is a New York  corporation  with its
principal place of business at 388 Greenwich St., New York, New York 10013. SSB

                                       5
<PAGE>

is registered as a broker-dealer and futures commission  merchant ("FCM"),  and
provides futures  brokerage and clearing  services for institutional and retail
participants  in the  futures  markets.  SSB and its  affiliates  also  provide
investment banking and other financial services for clients worldwide.
      There have been no administrative,  civil or criminal actions pending, on
appeal or concluded against SSB or any of its individual  principals within the
past five years that  management  believes may have a material  impact on SSB's
ability to act as an FCM.  In the  ordinary  course of its  business,  SSB is a
party to various  claims and  regulatory  inquiries.  Proceedings  deemed to be
material for purposes of CFTC disclosure requirements are:
      In  September  1992,  Harris  Trust  and  Savings  Bank (as  trustee  for
Ameritech Pension Trust),  Ameritech  Corporation,  and an officer of Ameritech
sued Salomon Brothers Inc and Salomon  Brothers Realty  Corporation in the U.S.
District  Court for the Northern  District of Illinois  (Harris  Trust  Savings
Bank, not individually  but solely as trustee for the Ameritech  Pension Trust,
Ameritech Corporation and John A. Edwardson v. Salomon Brothers Inc and Salomon
Brothers  Realty  Corp.).  The  complaint  alleged that  purchases by Ameritech
Pension  Trust from the Salomon  entities  of  approximately  $20.9  million in
participations  in a portfolio of motels  owned by Motels of America,  Inc. and
Best Inns, Inc. violated the Employee Retirement Income Security Act ("ERISA"),
the Racketeer  Influenced and Corrupt  Organization Act ('RICO") and state law.
Salomon  Brothers  Inc had  acquired  the  participations  issued  by Motels of
America and Best Inns to finance  purchases of motel portfolios and sold 95% of


                                       6
<PAGE>

three  such  issues  and 100% of one such  issue to  Ameritech  Pension  Trust.
Ameritech Pension Trust's  complaint sought (1) approximately  $20.9 million on
the ERISA  claim,  and (2) in excess of $70  million  on the RICO and state law
claims as well as other relief.  In various  decisions  between August 1993 and
July 1999, the courts hearing the case have dismissed all of the allegations in
the complaint against the Salomon entities. In October 1999, Ameritech appealed
to the U.S. Supreme Court and in January 2000, the Supreme Court agreed to hear
the case.  An argument was heard on April 17, 2000.  The appeal seeks review of
the  decision  of the U.S.  Court  of  Appeals  for the  Seventh  Circuit  that
dismissed the sole remaining ERISA claim against the Salomon entities.  In June
the Supreme Court reversed the Seventh Circuit and the matter has been remanded
to the Trial Courts.
      Both the  Department  of Labor  and the  Internal  Revenue  Service  have
advised Salomon  Brothers Inc that they were or are reviewing the  transactions
in which Ameritech Pension Trust acquired such participations.  With respect to
the Internal  Revenue Service review,  Salomon Smith Barney  Holdings,  Salomon
Brothers Inc and Salomon  Brothers  Realty have consented to extensions of time
for the  assessment  of excise taxes that may be claimed to be due with respect
to the transactions for the years 1987, 1988 and 1989.
     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
Salomon Smith Barney,  in the U.S.  Bankruptcy Court for the Central District of
California.  (County  of  Orange et aL v. Bear  Stearns & Co.  Inc.  et al.) The
complaint alleged, among other things, that the brokerage firms

                                       7
<PAGE>

recommended  and sold  unsuitable  securities  to Orange  County.  Salomon Smith
Barney and the remaining brokerage firms settled with Orange County in mid 1999.
     In June  1998,  complaints  were filed in the U.S.  District  Court for the
Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc,  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.),  in which the City of New Orleans seeks a
determination that Smith Barney Inc. and another underwriter will be responsible
for any  damages  that the City may  incur in the  event  the  Internal  Revenue
Service  denies tax exempt  status to the City's  General  Obligation  Refunding
Bonds Series 1991.  The  complaints  were  subsequently  amended.  Salomon Smith
Barney has asked the court to dismiss the amended  complaints.  The Court denied
the motion but stayed the case. Subsequently, the city withdrew its lawsuit.
      It November 1998, a class action complaint was filed in the United States
District  Court for the Middle  District of Florida  (Dwight Brock as Clerk for
Collier County v. Merrill Lynch, et al.). The complaint alleged that,  pursuant
to a nationwide  conspiracy,  17 broker-dealer  defendants,  including  Salomon
Smith Barney,  charged excessive mark-ups in connection with advanced refunding
transactions.  Among other relief,  plaintiffs sought compensatory and punitive
damages,  restitution and/or rescission of the transactions and disgorgement of
alleged  excessive  profits.  In October  1999,  the  plaintiff  filed a second
amended  complaint.  Salomon  Smith  Barney has asked the court to dismiss  the
amended complaint.

                                       8
<PAGE>

      In connection  with the Louisiana  and Florida  matters,  the IRS and SEC
have  been  conducting  an  industry-wide  investigation  into the  pricing  of
Treasury securities in advanced refunding  transactions.  In April 2000 SSB and
several  other  broker-dealers  entered into a settlement  with the IRS and the
SEC.
      In December  1998,  Salomon Smith Barney was one of  twenty-eight  market
making firms that reached a settlement with the SEC in the matter titled In the
Matter of Certain Market Making Activities on NASDAQ. As part of the settlement
of that matter,  Salomon Smith Barney, without admitting or denying the factual
allegations,  agreed to an order  that  required  that it: (i) cease and desist
from  committing or causing any violations of Sections  15(c)(1) and (2) of the
Securities Exchange Act of 1934 and Rules l5cl -2, 15c2-7 and 17a-3 thereunder,
(ii) pay penalties totaling  approximately  $760,000,  and (iii) submit certain
policies and procedures to an independent consultant for review.
      In March 1999, a complaint seeking in excess of $250 million was filed by
a hedge fund and its  investment  advisor  against  Salomon Smith Barney in the
Supreme  Court of the State of New York,  County of New York (MKP Master  Fund,
LDC et al. v. Salomon Smith Barney Inc.).  The complaint  included  allegations
that,  while  acting as prime broker for the hedge fund,  Salomon  Smith Barney
breached its contracts with  plaintiffs,  misused their monies,  and engaged in
tortious (wrongful) conduct,  including breaching its fiduciary duties. Salomon
Smith Barney asked the court to dismiss the complaint in full. In October 1999,

                                       9
<PAGE>

the court  dismissed the tort claims,  including  the breach of fiduciary  duty
claims.  The court allowed the breach of contract and misuse of money claims to
stand, Salomon Smith Barney will continue to contest this lawsuit vigorously.
Item 4. Submission of Matters to a Vote of Security Holders.
          There were no matters  submitted to the security  holders for a vote
during the last fiscal year covered by this report.
                                    PART II
Item 5.    Market for Registrant's  Common Equity and Related Security Holder
           Matters.
            (a)  Market  Information.  The  Partnership  has  issued no stock.
                 There is no public market for the Units of Limited  Partnership
                 Interest.
            (b)  Holders. The number of holders of Units of Partnership Interest
                 as of December 31, 2000 was 708.
            (c)  Distribution. The Partnership did not declare a distribution in
                 2000 or 1999.
            (d)   Use of Proceeds.  For the twelve  months ended  December 31,
                 2000,   there  were  additional  sales  of  3,923.1399  Units
                 totaling  $4,455,000 and contributions by the General Partner
                 representing  22.0154 Unit equivalents  totaling $25,000. For
                 the  twelve  months  ended  December  31,  1999,  there  were
                 additional sales of 2,558.8989 Units totaling  $3,354,000 and
                 contributions  by the General  Partner  representing  15.2588
                 Unit  equivalents  totaling  $20,000.  For the  period  ended

                                       10
<PAGE>

                 December   31,   1998,   there  were   additional   sales  of
                 16,475.2559  Units totaling  $15,973,000 and contributions by
                 the General Partner  representing  166.0550 Unit  equivalents
                 totaling $161,000.
                 Proceeds from  the  sale of  additional  Units  are used in the
                 trading of commodity  interests  including  futures  contracts,
                 options and forward contracts.


                                       11
<PAGE>


Item 6. Selected Financial Data. The Partnership commenced trading operations on
March 16, 1998. Realized and unrealized trading gains (losses), interest income,
net income  (loss) and increase  (decrease)  in net asset value per Unit for the
years  ended  December  31,  2000,  1999 and the  period  from  March  16,  1998
(commencement  of trading  operations)  to December 31, 1998 and total assets at
December 31, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>

                                                         2000             1999               1998
                                                      -----------     -------------      -----------
<S>                                                        <C>            <C>                  <C>
Realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 of $7,591,291, $12,587,354 and
 $5,527,260, respectively                             $14,488,934      $(4,677,441)       $14,675,192

Interest income                                         2,520,294        3,411,756          1,978,202
                                                      ------------    -------------       -----------


                                                      $17,009,228      $(1,265,685)       $16,653,394
                                                      ============    =============       ===========

Net income (loss) before
 Special Allocation to
 Special Limited                                      $15,501,056      $(3,236,003)       $15,401,913
                                                      ============     =============      ===========

Allocation to Special
 Limited Partner                                      $ 1,831,884            $  -         $ 2,699,932
                                                      ============           =======      ===========

Net income (loss) available
 for pro rata distribution
 to Partners                                          $13,669,172      $(3,236,003)       $12,701,981
                                                      ============     =============      ===========

Increase (decrease) in
 net asset value per Unit                                 $272.65          $(48.76)           $184.33
                                                          ========         =========          =======


Total assets                                          $95,783,289       $86,241,742       $84,035,617
                                                      ============      ============      ===========

</TABLE>

                                       12

<PAGE>


Item 7.    Management's Discussion and Analysis of Financial Condition
           and Results of Operations.
           (a) Liquidity.  The Partnership  does not engage in sales of goods or
services. Its only assets are its commodity futures trading account,  consisting
of cash, net unrealized appreciation  (depreciation) on open futures and forward
contracts, commodity options, if applicable, and interest receivable. Because of
the low margin deposits normally required in commodity trading, relatively small
price  movements  may  result in  substantial  losses to the  Partnership.  Such
substantial  losses could lead to a material decrease in liquidity.  To minimize
this risk, the Partnership follows certain policies including:
           (1) Partnership funds are invested only in commodity  interests which
are traded in sufficient volume to permit,  in the opinion of the Advisor,  ease
of taking and liquidating positions.
           (2)  The   Partnership   diversifies   its  positions  among  various
commodities. The Advisor does not initiate additional positions in any commodity
for the  Partnership  if such  additional  positions  would  result in aggregate
positions  for all  commodities  requiring a margin of more than  66-2/3% of net
assets of the Partnership managed by the Advisor.
           (3) The Partnership may occasionally  accept delivery of a commodity.
Unless such  delivery is disposed  of  promptly  by  retendering  the  warehouse
receipt  representing  the  delivery  to the  appropriate  clearing  house,  the
physical commodity position is fully hedged.

                                       13
<PAGE>


           (4) The Partnership  does not employ the trading  technique  commonly
known as  "pyramiding",  in which the  speculator  uses  unrealized  profits  on
existing  positions as margin for the purchases or sale of additional  positions
in the same or related commodities.
           (5) The Partnership  does not utilize  borrowings  except  short-term
borrowings if the Partnership takes delivery of any cash commodities.
           (6) The Advisor may,  from time to time,  employ  trading  strategies
such as spreads or straddles on behalf of the Partnership.  The term "spread" or
"straddle"   describes  a  commodity  futures  trading  strategy  involving  the
simultaneous  buying and selling of futures  contracts on the same commodity but
involving different delivery dates or markets and in which the trader expects to
earn a profit from a widening or narrowing of the difference  between the prices
of the contracts.
           The Partnership is party to financial  instruments  with  off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments,  in the normal course of its business.  These financial instruments
may  include  forwards,  futures  and  options,  whose  value is  based  upon an
underlying  asset,  index,  or reference  rate, and generally  represent  future
commitments to exchange  currencies or cash flows,  or to purchase or sell other
financial  instruments  at specified  terms at specified  future dates.  Each of
these  instruments  is subject to various risks similar to those relating to the
underlying financial  instruments  including market and credit risk. The General
Partner  monitors and controls the  Partnership  risk  exposure on a daily basis

                                       14
<PAGE>

through financial, credit and risk management monitoring systems and accordingly
believes that it has effective procedures for evaluating and limiting the credit
and  market  risks to which the  Partnership  is  subject.  (See  also  "Item 8.
Financial   Statements  and  Supplementary  Data"  for  further  information  on
financial instrument risk included in the notes to financial statements).  Other
than the risks  inherent  in  commodity  trading,  the  Partnership  knows of no
trends,  demands,  commitments,  events or uncertainties which will result in or
which are reasonably likely to result in the Partnership's  liquidity increasing
or decreasing in any material way. The Limited  Partnership  Agreement  provides
that the  Partnership  will cease  trading  operations  and  liquidate  all open
positions  under certain  circumstances  including a decrease in net asset value
per Unit to less than $400 as of the close of business on any business day.
             (b) Capital  resources. (i) The  Partnership  has made no  material
commitments  for  capital expenditures.
           (ii) The Partnership's  capital consists of the capital contributions
of the  partners  as  increased  or  decreased  by gains or losses on  commodity
trading and by expenses, interest income, redemptions of Units and distributions
of profits,  if any.  Gains or losses on  commodity  futures  trading  cannot be
predicted.  Market moves in  commodities  are  dependent  upon  fundamental  and
technical  factors  which the  Partnership  may or may not be able to  identify.
Partnership  expenses  will  consist of,  among other  things,  commissions  and

                                       15
<PAGE>

advisory  fees.  The  level of these  expenses  is  dependent  upon the level of
trading  gains or losses and the  ability of the  Advisor to  identify  and take
advantage of price movements in the commodity markets,  in addition to the level
of Net Assets maintained.  In addition, the amount of interest income payable by
SSB is dependent upon interest rates over which the Partnership has no control.
                For the year ended  December  31,  2000,  there were  additional
sales of 3,923.1399 Units totaling  $4,455,000 and  contributions by the General
Partner  representing  22.0154 Unit equivalents  totaling $25,000.  For the year
ended  December  31,  1999,  there were  additional  sales of  2,558.8989  Units
totaling  $3,354,000  and  contributions  by the  General  Partner  representing
15.2588 Unit  equivalents  totaling  $20,000.  For the period ended December 31,
1998, there were additional sales of 16,475.2559 Units totaling  $15,973,000 and
contributions  by the General  Partner  representing  166.0550 Unit  equivalents
totaling $161,000.
                No forecast  can be made as to the level of  redemptions  in any
given period.  A limited partner may require the Partnership to redeem his Units
at their net asset  value as of the last day of a month on 10 days notice to the
General Partner.  For the year ended December 31, 2000,  17,900.7647  Units were
redeemed totaling $19,960,815.  For the year ended December 31, 1999, 2,177.4358
Units were redeemed totaling $2,858,982. For the period ended December 31, 1998,
1,642.7041 Units were redeemed totaling $1,848,573.
           Units of  Limited  Partnership  Interest  were  sold to  persons  and
entities who are accredited  investors as that term is defined in rule 501(a) of

                                       16
<PAGE>

Regulation D as well as to those  persons who are not  accredited  investors but
who have either a net worth  (exclusive  of home,  furnishings  and  automobile)
either  individually  or jointly  with the  investor's  spouse of at least three
times his investment in the  Partnership  (the minimum  investment for which was
$25,000) or gross income for the two previous  years and projected  gross income
for the current  fiscal year of not less than three times his  investment in the
Partnership for each year.
           (c) Results of Operations.  For the year ended December 31, 2000, the
net asset value Per Unit increased  24.0% from  $1,135.57 to $1,408.22.  For the
year ended  December 31, 1999 the net asset value Per Unit  decreased  4.1% from
$1,184.33  to  $1,135.57.  For the period from March 16, 1998  (commencement  of
trading  operations) to December 31, 1998 the Net Asset Value Per Unit increased
18.4% from $1,000.00 to $1,184.33.
                The  Partnership  experienced  net trading gains of  $22,080,225
before commissions and expenses for the year ended December 31, 2000. Gains were
primarily  attributable  to the trading of NYMEX  Natural Gas,  NYMEX Crude Oil,
NYMEX Heating Oil and energy swaps and were partially  offset by losses in NYMEX
Unleaded Gas and IPE Gas Oil and Brent Crude.
                The  Partnership  experienced  net trading  gains of  $7,909,913
before commissions and expenses for the year ended December 31, 1999. Gains were
primarily  attributable to the trading of NYMEX Electricity,  NYMEX Natural Gas,
NYMEX  Crude  Oil and IPE Gas Oil and were  partially  offset by losses in NYMEX
Unleaded  Gas,  NYMEX  Heating Oil,  IPE Brent  Crude,  CME GSC Index and energy
swaps.


                                       17
<PAGE>

                The  Partnership  experienced  net trading gains of  $20,202,452
before commissions and expenses for the period from March 16, 1998 (commencement
of trading  operations) to December 31, 1998. Gains were primarily  attributable
to the trading of NYMEX Natural Gas, NYMEX Heating Oil, CME GSC Index and energy
swaps and were partially offset by losses in NYMEX Electricity, NYMEX Crude Oil,
NYMEX Unleaded Gas and IPE Gas Oil and Brent Crude
                Commodity markets are highly volatile.  Broad price fluctuations
and rapid inflation increase the risks involved in commodity  trading,  but also
increase the possibility of profit. The profitability of the Partnership depends
on the  existence  of major  price  trends  and the  ability  of the  Advisor to
identify  those price trends  correctly.  Price trends are  influenced by, among
other things, changing supply and demand relationships,  weather,  governmental,
agricultural,   commercial  and  trade  programs  and  policies,   national  and
international  political and economic  events and changes in interest  rates. To
the extent that market  trends  exist and the Advisor is able to identify  them,
the Partnership expects to increase capital through 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. Slightly less
direct, but of critical importance, are risks pertaining to operational and back
office  support.  This is  particularly  the  case  in a  rapidly  changing  and
increasingly  global  environment  with  increasing  transaction  volumes and an
expansion  in the number and  complexity  of products in the  marketplace.

                                       18
<PAGE>

Such risks  include:
Operational/Settlement  Risk - the risk of financial  and  opportunity  loss and
legal liability attributable to operational problems, such as inaccurate pricing
of transactions,  untimely trade execution,  clearance and/or settlement, or the
inability to process large volumes of  transactions.  The Partnership is subject
to increased  risks with respect to its trading  activities  in emerging  market
securities,  where clearance,  settlement, and custodial risks are often greater
than in more established markets.
Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Partnership's ability to gather, process,
and communicate information efficiently and securely,  without interruption,  to
customers,  among units  within the  Partnership,  and in the markets  where the
Partnership participates.
Legal/Documentation  Risk - the risk of loss attributable to deficiencies in the
documentation  of  transactions  (such  as  trade  confirmations)  and  customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.
Financial  Control  Risk - the  risk  of loss  attributable  to  limitations  in
financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management and  communicated to external  parties,  including the  Partnership's
unitholder, creditors, and regulators, is free of material errors.


                                       19
<PAGE>

Item 7A. Quantitative and Qualitative Disclosures About Market Risk
      The  Partnership is a speculative  commodity  pool.  The market  sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company,  the risk of market sensitive  instruments is
integral, not incidental, to the Partnership's main line of business.
      Market  movements  result in frequent  changes in the fair market value of
the  Partnership's  open positions and,  consequently,  in its earnings and cash
flow. The Partnership's  market risk is influenced by a wide variety of factors,
including the level and volatility of interest  rates,  exchange  rates,  equity
price  levels,  the market value of financial  instruments  and  contracts,  the
diversification results among the Partnership's open positions and the liquidity
of the markets in which it trades.
      The  Partnership  rapidly  acquires  and  liquidates  both  long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance,  and
the Partnership's  past performance is not necessarily  indicative of its future
results.
      Value at Risk is a measure of the  maximum  amount  which the  Partnership
could  reasonably  be expected to lose in a given market  sector.  However,  the

                                       20
<PAGE>

inherent uncertainty of the Partnership's speculative trading and the recurrence
in the markets  traded by the  Partnership  of market  movements  far  exceeding
expectations could result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership's  experience to date (i.e., "risk of
ruin").  In  light  of the  foregoing  as well as the  risks  and  uncertainties
intrinsic  to all  future  projections,  the  inclusion  of  the  quantification
included in this section should not be considered to constitute any assurance or
representation  that the  Partnership's  losses  in any  market  sector  will be
limited to Value at Risk or by the  Partnership's  attempts to manage its market
risk.
Quantifying the Partnership's Trading Value at Risk
      The following quantitative  disclosures regarding the Partnership's market
risk exposures contain  "forward-looking  statements"  within the meaning of the
safe harbor from civil  liability  provided for such  statements  by the Private
Securities  Litigation  Reform  Act of 1995  (set  forth in  Section  27A of the
Securities Act of 1933 and Section 21E of the Securities  Exchange Act of 1934).
All  quantitative  disclosures in this section are deemed to be  forward-looking
statements  for purposes of the safe harbor except for  statements of historical
fact (such as the terms of  particular  contracts  and the number of market risk
sensitive instruments held during or at the end of the reporting period).
      The  Partnership's  risk exposure in the various  market sectors traded by
the  Advisor  is  quantified  below  in  terms  of  Value  at  Risk.  Due to the
Partnership's  mark-to-market  accounting,  any  loss in the  fair  value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized).

                                       21
<PAGE>

     Exchange  maintenance margin requirements have been used by the Partnership
as the measure of its Value at Risk.  Maintenance margin requirements are set by
exchanges  to equal or exceed  the  maximum  losses  reasonably  expected  to be
incurred  in the fair value of any given  contract  in  95%-99%  of any  one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and
exchanges  using  historical  price  studies as well as an assessment of current
market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.

      In the case of market sensitive  instruments which are not exchange traded
(almost  exclusively  currencies  in the case of the  Partnership),  the  margin
requirements  for the  equivalent  futures  positions have been used as Value at
Risk. In those rare cases in which a futures-equivalent margin is not available,
dealers' margins have been used.
      The fair value of the Partnership's futures and forward positions does not
have any optionality component. However, certain of the Advisors trade commodity
options. The Value at Risk associated with options is reflected in the following
table as the margin requirement  attributable to the instrument  underlying each
option.  Where this instrument is a futures  contract,  the futures margin,  and
where  this  instrument  is  a  physical   commodity,   the   futures-equivalent

                                       22
<PAGE>

maintenance  margin has been used.  This  calculation is conservative in that it
assumes  that the fair value of an option will decline by the same amount as the
fair value of the underlying  instrument,  whereas,  in fact, the fair values of
the options traded by the  Partnership in almost all cases fluctuate to a lesser
extent than those of the underlying instruments.
      In quantifying the Partnership's Value at Risk, 100% positive  correlation
in the different  positions  held in each market risk category has been assumed.
Consequently,  the margin  requirements  applicable to the open  contracts  have
simply been added to determine each trading category's  aggregate Value at Risk.
The  diversification  effects  resulting  from the fact  that the  Partnership's
positions  are  rarely,  if  ever,  100%  positively  correlated  have  not been
reflected.

                                       23
<PAGE>



The Partnership's Trading Value at Risk in Different Market Sectors
                  The  following  table  indicates  the  trading  Value  at Risk
associated  with the  Partnership's  open  positions  by market  category  as of
December 31, 2000. All open position  trading risk exposures of the  Partnership
have been included in  calculating  the figures set forth below.  As of December
31, 2000, the Partnership's total capitalization was $74,326,664.


                                December 31, 2000
<TABLE>
<CAPTION>
<S>                                   <C>                  <C>                    <C>                  <C>
                                                                                       Year to Date
                                                          % of Total              High                 Low
Market Sector                      Value at Risk        Capitalization         Value at Risk      Value at Risk
----------------------------------------------------------------------------------------------------------------

Energy                               $ 4,708,717             6.34%              $16,360,644          $3,346,961
Energy Swaps                           6,991,928             9.40%               14,203,616           4,461,788
                                     -----------             -----
Total                               $11,700,645             15.74%
                                    ===========             ======
</TABLE>

                                       24
<PAGE>


As of December 31, 1999, the Partnership's total capitalization was $74,306,423.

<TABLE>
<CAPTION>
<S>                                   <C>                   <C>               <C>                 <C>
                                December 31, 1999
                                                                                   Year to Date
                                                      % of Total             High                Low
Market Sector                     Value at Risk      Capitalization       Value at Risk     Value at Risk
---------------------------------------------------------------------------------------------------------

Energy                            $14,343,463             19.3%            $26,883,321         $9,243,752
Energy Swaps                        6,930,434              9.3%             22,222,908          1,644,887
                                  -----------             ----
Total                             $21,273,897             28.6%
                                  ===========             ====
</TABLE>





                                       25
<PAGE>


Material Limitations on Value at Risk as an Assessment of Market Risk
      The face value of the market sector instruments held by the Partnership is
typically  many times the applicable  margin  requirement  (margin  requirements
generally  range  between  2% and 15% of  contract  face  value)  as well as the
capitalization  of the  Partnership.  The  magnitude of the  Partnership's  open
positions  creates a "risk of ruin" not typically found in most other investment
vehicles.  Because of the size of its positions,  certain  market  conditions --
unusual,  but  historically  recurring  from  time to time --  could  cause  the
Partnership  to incur severe  losses over a short period of time.  The foregoing
Value at Risk table -- as well as the past  performance  of the  Partnership  --
give no indication of this "risk of ruin."
Non-Trading Risk
      The Partnership  has non-trading  market risk on its foreign cash balances
not needed for margin.  However, these balances (as well as any market risk they
represent) are immaterial.
      Materiality  as  used  in  this  section,  "Qualitative  and  Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements,  taking into
account the leverage,  optionality and multiplier  features of the Partnership's
market sensitive instruments.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
      The following  qualitative  disclosures regarding the Partnership's market
risk  exposures  - except  for (i)  those  disclosures  that are  statements  of

                                       26
<PAGE>

historical fact and (ii) the  descriptions  of how the  Partnership  manages its
primary market risk exposures - constitute forward-looking statements within the
meaning of Section 27A of the  Securities  Act and Section 21E of the Securities
Exchange Act. The  Partnership's  primary  market risk  exposures as well as the
strategies  used  and to be used by the  General  Partner  and the  Advisor  for
managing such exposures are subject to numerous uncertainties, contingencies and
risks,  any one of which  could  cause the actual  results of the  Partnership's
strategies  to  differ  materially  from  the  objectives  of  such  strategies.
Government  interventions,  defaults and expropriations,  illiquid markets,  the
emergence  of dominant  fundamental  factors,  political  upheavals,  changes in
historical price relationships, an influx of new market participants,  increased
regulation and many other factors could result in material  losses as well as in
material  changes to the risk  exposures  and the  management  strategies of the
Partnership.  There can be no assurance  that the  Partnership's  current market
exposure  and/or risk management  strategies will not change  materially or that
any such  strategies  will be  effective  in either  the  short- or long-  term.
Investors must be prepared to lose all or substantially  all of their investment
in the Partnership.
      The following were the primary  trading risk exposures of the  Partnership
as of December 31, 2000, by market sector.
      Energy. Energy related products, such as crude oil, heating oil, gasoline,
natural gas and  electricity,  constitute the principal  market  exposure of the
Partnership.  The  Partnership  has  substantial  market exposure to gas and oil


                                       27
<PAGE>

price movements, often resulting from political developments in the Middle East.
Political  developments in other countries or regions can also materially impact
upon the  prices  of  energy  products,  as could  changing  supply  and  demand
relationships,   weather,  governmental,   commercial  and  trade  programs  and
policies,  and other significant economic events.  Energy prices can be volatile
and substantial  profits and losses have been and are expected to continue to be
experienced in these markets.
      The Partnership engages in swap transactions in crude oil and other energy
related  products.  In this  connection,  the  Partnership  contracts  with  its
counterparty  to  exchange  a stream of  payments  computed  by  reference  to a
notional  amount and the price of the energy  product that is the subject of the
swap.  Swap contracts are not guaranteed by an exchange or clearing  house.  SSB
does not engage in swap  transactions  as a  principal.  The  Advisor  has never
suffered a loss from counterparty defaults in the swap market.
      The  Partnership  will usually enter into swaps on a net basis,  i.e., the
two payment  streams are netted out in a cash  settlement on the payment date or
dates specified in the agreement,  with the Partnership  receiving or paying, as
the case may be, only the net amount of the two  payments.  Swaps do not involve
the delivery of underlying  assets or principal.  Accordingly,  the risk of loss
with  respect  to  swaps is  limited  to the net  amount  of  payments  that the
Partnership is  contractually  obligated to make. If the  counterparty to a swap
defaults,  the Partnership's risk of loss consists of the net amount of payments
that the Partnership is contractually entitled to receive


                                       28
<PAGE>

      The Partnership may also enter into spot  transactions to purchase or sell
commodities  with  SSB,  or one of  its  affiliates,  as  principal.  Such  spot
transactions  provide  for  two  day  settlement  and  are  not  margined.  Such
transactions  may be entered  into in  connection  with  exchange  for  physical
transactions.  Like the swap contract  market,  the spot market is a principals'
market so there is no  clearinghouse  guarantee  of  performance.  Instead,  the
Partnership  is  subject  to  the  risk  of  inability  of,  or  refusal  by,  a
counterparty to perform with respect to the underlying contract.
      Other Commodity  Interests.  The Fund primarily  emphasizes the trading of
energy  products,  but may  also  trade  some  portion  of its  assets  in other
commodity interests, including, but not limited to, commodity interest contracts
on the Goldman Sachs  Commodity  Index (an index future  comprised  primarily of
energy products). Commodity interest prices can be affected by numerous factors,
including political developments, weather conditions, seasonal effects and other
factors which affect supply and demand for the underlying commodity.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
      The following were the only non-trading risk exposures of the Partnership
as of December 31, 2000.
      Non-Segregated Account. Since 10% or more of the Units are owned by
employees  of SSB,  the  General  Partner  and their  principals  and  employees
(including the principals of the Advisor),  the Partnership's  commodity futures
account with SSB will be carried as a  "proprietary  account".  Such accounts do

                                       29
<PAGE>

not receive the protections  afforded by Section 4d(2) of the Commodity Exchange
Act relating to the segregation of customer funds.  This means that in the event
of a bankruptcy of the futures  commission  merchant  carrying the account,  the
balance in the  account  would be  classified  in the  liquidation  as that of a
general  creditor.   As  such,  the   Partnership's   account  would  not  be  a
first-priority  distribution  of the  firm's  assets.  By  contrast,  segregated
accounts are a first priority distribution.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
      The General Partner monitors and controls the Partnership's  risk exposure
on a daily  basis  through  financial,  credit  and risk  management  monitoring
systems and accordingly believes that it has effective procedures for evaluating
and limiting the credit and market risks to which the Partnership is subject.
      The  General  Partner  monitors  the  Partnership's  performance  and  the
concentration  of its open positions,  and consults with the Advisor  concerning
the Partnership's overall risk profile. If the General Partner felt it necessary
to do so, the General  Partner could require the Advisor to close out individual
positions  as well as  enter  programs  traded  on  behalf  of the  Partnership.
However,  any such  intervention  would be a highly unusual  event.  The General
Partner  primarily  relies on the  Advisor's  own risk  control  policies  while
maintaining  a general  supervisory  overview of the  Partnership's  market risk
exposures.
      The Advisor applies its own risk management  policies to its trading.  The
Advisor often follows  diversification  guidelines,  margin limits and stop loss


                                       30
<PAGE>

points to exit a  position.  The  Advisor's  research of risk  management  often
suggests ongoing modifications to its trading programs.
      As part of the General  Partner's  risk  management,  the General  Partner
periodically  meets with the Advisor to discuss its risk  management and to look
for  any  material  changes  to the  Advisor's  portfolio  balance  and  trading
techniques.  The  Advisor  is  required  to notify  the  General  Partner of any
material changes to its programs.



                                       31
<PAGE>



Item 8.         Financial Statements and Supplementary Data.




                   SMITH BARNEY AAA ENERGY FUTURES FUND L.P.
                         INDEX TO FINANCIAL STATEMENTS


                                                                     Page
                                                                    Number


Oath or Affirmation                                                  F-2

Report of Independent Accountants                                    F-3

Financial Statements:
Statement of Financial Condition
at December 31, 2000 and 1999                                        F-4

Statement of Income and  Expenses  For the years ended  December
31, 2000, 1999 and the period from March 16, 1998  (commencement
of trading operations) to December 31,
1998                                                                 F-5

Statement of Partners'  Capital for the years ended December 31,
2000, 1999 and the period from January 5, 1998 (date Partnership
was organized) to December 31, 1998                                  F-6

Notes to Financial Statements                                     F-7 - F-11








                                       F-1





<PAGE>

   To The Limited Partners of
                        Smith Barney AAA Energy Fund L.P.

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






By:  Daniel A. Dantuono, Chief Financial Officer
     Smith Barney Futures Management LLC
     General Partner, Smith Barney AAA
       Energy Fund L.P.

Smith Barney Futures Management LLC
388 Greenwich Street
7th Floor
New York, N.Y. 10013
212-723-5424







                              F.2

<PAGE>


                      Report of Independent Accountants

To the Partners of
   Smith Barney AAA Energy Fund L.P.:

In our  opinion,  the  accompanying  statement of  financial  condition  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly,  in all material  respects,  the financial  position of Smith Barney AAA
Energy Fund L.P. at December 31, 2000 and 1999 and the results of its operations
for the two years in the period ended  December  31,  2000,  and the period from
January 15, 1998 (date  Partnership  was  organized)  to December 31,  1998,  in
conformity with accounting principles generally accepted in the United States of
America.  These financial statements are the responsibility of the management of
the  General  Partner;  our  responsibility  is to  express  an opinion on these
financial  statements  based on our  audits.  We  conducted  our audits of these
financial statements in accordance with auditing standards generally accepted in
the United  States of America,  which require that we plan and perform the audit
to obtain reasonable  assurance about whether the financial  statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and  disclosures in the financial  statements,  assessing
the accounting  principles used and significant estimates made by the management
of  the  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audits  provide a  reasonable  basis for our
opinion.

PricewaterhouseCoopers LLP
New York, New York
March 9, 2001


                                   F-3
<PAGE>



                                Smith Barney AAA
                                Energy Fund L.P.
                        Statement of Financial Condition
                           December 31, 2000 and 1999
<TABLE>
<CAPTION>
<S>                                                                 <C>              <C>
                                                                   2000             1999
Assets:
Equity in commodity futures trading account:
  Cash (Note 3c)                                               $ 20,958,126    $ 78,368,723
  Net unrealized depreciation on open futures positions         (13,615,408)       (751,259)
  Net unrealized depreciation on open swaps positions              (231,661)       (623,631)
  Commodity options owned, at fair value (cost $21,531,952
   and $15,880,430, respectively)                                79,038,621       8,992,060
                                                               ------------    ------------
                                                                 86,149,678      85,985,893
   Due from brokers                                               9,617,028            --
   Interest receivable                                               16,583         255,849
                                                               ------------    ------------
                                                               $ 95,783,289    $ 86,241,742
                                                               ------------    ------------


Liabilities and Partners' Capital:
Liabilities:
  Commodity options written, at fair value
   (premium received $8,255,382 and $11,396,728,
   respectively)                                               $ 12,063,964    $  8,556,476
  Accrued expenses:
   Commissions                                                      335,187         908,487
   Management fees                                                  132,182         128,962
   Professional fees                                                 58,534          31,701
   Other                                                             14,035          15,059
  Due to brokers                                                  4,937,803         808,761
  Due to SSB                                                        343,968            --
  Redemptions payable (Note 5)                                    3,570,952       1,485,873
                                                               ------------    ------------
                                                                 21,456,625      11,935,319
                                                               ------------    ------------
Partners' capital (Notes 1, 5 and 7):
  General Partner, 704.3292 and 682.3138 Unit equivalents
   outstanding in 2000 and 1999, respectively                       991,850         774,815
  Limited Partners, 50,775.3901 and 64,753.0149 Units of
   Limited Partnership Interest outstanding in 2000 and
   1999, respectively                                            71,502,930      73,531,608
  Special Limited Partner, 1,300.8510 and 0 Units of Limited
   Partnership Interest outstanding in 2000 and 1999,
   respectively                                                   1,831,884            --
                                                               ------------    ------------
                                                                 74,326,664      74,306,423
                                                               ------------    ------------
                                                               $ 95,783,289    $ 86,241,742
                                                               ------------    ------------
</TABLE>

See notes to financial statements.

                                   F-4
<PAGE>


                                Smith Barney AAA
                                Energy Fund L.P.
                        Statement of Income and Expenses
                 for the years ended December 31, 2000 and 1999
                     and for the period from March 16, 1998
                      (commencement of trading operations)
                              to December 31, 1998

<TABLE>
<CAPTION>
<S>                                                             <C>                   <C>                  <C>
                                                                2000                1999                1998

Income:
  Net gains (losses) on trading of commodity interests:
   Realized gains (losses) on closed positions               $(23,193,801)        $20,438,146         $13,097,227
   Change in unrealized gains (losses) on open positions       45,274,026         (12,528,233)          7,105,225
                                                           --------------      --------------      --------------
                                                               22,080,225           7,909,913          20,202,452
  Less, Brokerage commissions including clearing fees
   of $1,024,792, 1,574,467 and $686,659, respectively
   (Note 3c)                                                   (7,591,291)        (12,587,354)         (5,527,260)
                                                           --------------      --------------      --------------
  Net realized and unrealized gains (losses)                   14,488,934          (4,677,441)         14,675,192
  Interest income (Notes 3c and 6)                              2,520,294           3,411,756           1,978,202
                                                           --------------      --------------      --------------
                                                               17,009,228          (1,265,685)         16,653,394
                                                           --------------      --------------      --------------
Expenses:
  Management fees (Note 3b)                                     1,365,960           1,820,154           1,125,531
  Organization expense (Note 6)                                        --                  --              75,951
  Professional fees                                               111,791             111,375              37,000
  Other expenses                                                   30,421              38,789              12,999
                                                           --------------      --------------      --------------
                                                                1,508,172           1,970,318           1,251,481
                                                           --------------      --------------      --------------
Net income (loss) before allocation to the Special
  Limited Partner                                              15,501,056          (3,236,003)         15,401,913
Allocation to the Special Limited Partner                       1,831,884                  --           2,699,932
                                                           --------------      --------------      --------------
Net income (loss) available for pro rata distribution         $13,669,172         $(3,236,003)        $12,701,981
                                                            --------------      --------------      --------------

Net income (loss) per Unit of Limited Partnership
  Interest and General Partner Unit equivalent (Notes 1
  and 7                                                           $272.65             $(48.76)            $184.33
                                                            --------------      --------------      --------------
</TABLE>



See notes to financial statements.

                                   F-5
<PAGE>


                                Smith Barney AAA
                                Energy Fund L.P.
                         Statement of Partners' Capital
                  for the years ended Decemer 31, 2000 and 1999
                     and for the period from January 5, 1998
                        (date Partnership was organized)
                              to December 31, 1998
<TABLE>
<CAPTION>
<S>                                                   <C>            <C>             <C>            <C>
                                                                   Special
                                                    Limited        Limited          General
                                                   Partners         Partner         Partner          Total
Initial capital contributions                   $      1,000    $       --      $      1,000    $      2,000
Proceeds from offering of 49,538 Units of
   Limited Partnership Interest and General
   Partner's contribution representing 500 Unit
   equivalents (Note 1)                           49,538,000            --           500,000      50,038,000
                                                ------------    ------------    ------------    ------------
Opening Partnership capital for operations        49,539,000            --           501,000      50,040,000
Sale of 16,475.2559 Units of Limited
  Partnership Interest and General Partner's
  contribution representing 166.0550 Unit
  equivalents                                     15,973,000            --           161,000      16,134,000
Redemption of 1,642.7041 Units of Limited
  Partnership Interest                            (1,848,573)           --              --        (1,848,573)
Allocation of net income for the period
  ended December 31, 1998:
Allocation of 2,279.7128 Units of Limited
   Partnership Interest to the Special
  Limited Partner (Note 3b)                             --         2,699,932            --         2,699,932
Net loss available for pro rata distribution      12,573,968           --            128,013      12,701,981
                                                ------------    ------------    ------------    ------------
Partners' capital at December 31, 1998            76,237,395       2,699,932         790,013      79,727,340
Sale of 2,558.8989 Units of Limited
   Partnership Interest and General
   Partner's contribution representing
   15.2588 Unit equivalents                        3,354,000            --            20,000       3,374,000
Redemption 2,177.4358 Units of Limited
   Partnership Interest                           (2,858,982)           --              --        (2,858,982)
Redemption 2,279.7128 Units of Special
   Limited Partnership Interest                         --        (2,699,932)           --        (2,699,932)
Net loss available for pro rata distribution      (3,200,805)           --           (35,198)     (3,236,003)
                                                ------------    ------------    ------------    ------------
Partners' capital at December 31, 1999            73,531,608            --           774,815      74,306,423
Sale of 3,923.1399 Units of Limited
   Partnership Interest and General
   Partner's contribution representing
   22.0154 Unit equivalents                        4,455,000            --            25,000       4,480,000
Redemption 17,900.7647 Units of Limited
   Partnership Interest                          (19,960,815)           --              --       (19,960,815)
Allocation of net income for the year
  ended December 31, 2000:
Allocation of 1,300.8510 Units of Limited
   Partnership Interest to the Special
   Limited Partner (Note 3b)                            --         1,831,884            --         1,831,884
Net income available for pro rata
   distribution                                   13,477,137            --           192,035      13,669,172
                                                ------------    ------------    ------------    ------------
Partners' capital at December 31, 2000          $ 71,502,930    $  1,831,884    $    991,850    $ 74,326,664
                                                ------------    ------------    ------------    ------------
</TABLE>


See notes to financial statements.

                                   F-6

<PAGE>


                                Smith Barney AAA
                                Energy Fund L.P.
                          Notes to Financial Statements


1.   Partnership Organization:

     Smith  Barney  AAA  Energy  Fund  L.P.  (the  "Partnership")  is a  limited
     partnership  which was  organized on January 5, 1998 under the  partnership
     laws of the  State of New York to engage in the  speculative  trading  of a
     diversified  portfolio of commodity interests,  including commodity options
     and  commodity  futures  contracts on United  States  exchanges and certain
     foreign exchanges.  The Partnership may trade commodity futures and options
     contracts  of any kind but intends  initially  to trade  solely  energy and
     energy related products.  In addition,  the Partnership may enter into swap
     contracts on energy  related  products.  The commodity  interests  that are
     traded by the  Partnership are volatile and involve a high degree of market
     risk.

     Between  February 12, 1998  (commencement of the offering period) and March
     14, 1998, 49,538 Units of Limited Partnership  Interest ("Units") were sold
     at $1,000 per Unit.  The proceeds of the initial  offering  were held in an
     escrow account until March 15, 1998, at which time they were turned over to
     the  Partnership  for trading.  The  Partnership  was authorized to sell an
     unlimited number of Units during its initial offering period.

     Smith  Barney  Futures  Management  LLC acts as the  general  partner  (the
     "General Partner") of the Partnership.  The Partnership's  commodity broker
     is Salomon  Smith Barney Inc.  ("SSB").  SSB is an affiliate of the General
     Partner.  The  General  Partner  is wholly  owned by Salomon  Smith  Barney
     Holdings Inc. ("SSBHI"),  which is the sole owner of SSB. SSBHI is a wholly
     owned subsidiary of Citigroup Inc.

     The  General  Partner  and each  limited  partner  share in the profits and
     losses of the  Partnership,  after the  allocation  to the Special  Limited
     Partner, in proportion to the amount of partnership  interest owned by each
     except  that no  limited  partner  shall be liable for  obligations  of the
     Partnership in excess of his initial capital  contribution and profits,  if
     any, net of distributions.

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
     following:  December 31, 2018;  the net asset value of a Unit  decreases to
     less than $400 as of a close of any business  day; or under  certain  other
     circumstances as defined in the Limited Partnership Agreement.

2.   Accounting Policies:

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


                                   F-7
<PAGE>

     b. The Partnership  may purchase and write (sell)  options.  An option is a
        contract allowing,  but not requiring,  its holder to buy (call) or sell
        (put) a specific or standard  commodity  or  financial  instrument  at a
        specified  price during a specified  time period.  The option premium is
        the total  price  paid or  received  for the option  contract.  When the
        Partnership  writes an option,  the  premium  received  is recorded as a
        liability in the  statement of financial  condition and marked to market
        daily.  When the  Partnership  purchases an option,  the premium paid is
        recorded as an asset in the statement of financial  condition and marked
        to market daily.

     c. Income  taxes have not been  provided  as each  partner is  individually
        liable for the taxes, if any, on his share of the  Partnership's  income
        and expenses.

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

3.  Agreements:

     a. Limited Partnership Agreement:

        The  General  Partner  administers  the  business  and  affairs  of  the
        Partnership  including  selecting  one or more  advisors to make trading
        decisions for the Partnership.

     b. Management Agreement:

        The General Partner,  on behalf of the  Partnership,  has entered into a
        Management Agreement with AAA Capital Management,  Inc. (the "Advisor"),
        registered  commodity trading advisor.  Mr. A. Anthony Annunziato is the
        sole  trading  principal  of the Advisor and is also an employee of SSB.
        The Partnership  will pay the Advisor a monthly  management fee equal to
        1/6 of 1% (2%  per  year)  of  month-end  Net  Assets  allocated  to the
        Advisor. One half of the management fee will be paid to the Advisor, and
        the  other  half  will  be  paid  to SSB for  services  it  provides  in
        connection with the Advisor. In addition,  the Advisor will be a Special
        Limited  Partner of the  Partnership  and will receive an annual  profit
        share allocation to its capital account in the Partnership  equal to 20%
        of New Trading Profits, as defined,  earned on behalf of the Partnership
        during each calendar year in the form of Units.

     c. Customer Agreement:

        The  Partnership  has entered into a Customer  Agreement  which provides
        that the Partnership will pay SSB brokerage commissions at $18 per round
        turn for futures and swap transactions and $9 per side for options.  The
        brokerage fee is inclusive of applicable floor  brokerage.  In addition,
        the Partnership will pay SSB National Futures  Association ("NFA") fees,



                                   F-8
<PAGE>

        exchange,  clearing,  user and give-up  fees.  SSB will pay a portion of
        brokerage fees to its financial  consultants who have sold Units in this
        Partnership.  All of  the  Partnership's  assets  are  deposited  in the
        Partnership's account at SSB. The Partnership's cash is deposited by SSB
        in segregated bank accounts to the extent required by Commodity  Futures
        Trading  Commission  regulations.  At December  31,  2000 and 1999,  the
        amount  of  cash  held  for  margin   requirements  was  $6,991,928  and
        $17,146,683,  respectively.  SSB  has  agreed  to  pay  the  Partnership
        interest on 80% of the average  daily equity  maintained  in cash in its
        account during each month at a 30-day U.S. Treasury bill rate determined
        weekly by SSB based on the average  noncompetitive yield on 3-month U.S.
        Treasury  bills  maturing  in 30 days from the date on which such weekly
        rate is determined.  The Customer  Agreement between the Partnership and
        SSB gives the  Partnership  the legal right to net unrealized  gains and
        losses.
        The Customer Agreement may be terminated upon notice by either party.

4.   Trading Activities:

     The  Partnership  was formed for the  purpose  of  trading  contracts  in a
     variety of commodity interests,  including derivative financial instruments
     and  derivative  commodity  interests.  The  results  of the  Partnership's
     trading activity are shown in the statement of income and expenses.

     All of the  commodity  interests  owned  by the  Partnership  are  held for
     trading purposes.  The average fair value during the periods ended December
     31,  2000 and 1999,  based on a monthly  calculation,  was  $9,388,872  and
     $(6,771,852),  respectively.  The fair value of these commodity  interests,
     including  options and swaps thereon,  if applicable,  at December 31, 2000
     and 1999, was $53,127,588 and $(939,306), respectively, as detailed below.




                               Fair Value

                        December 31,      December 31,
                            2000             1999

          Energy         $ 53,359,249    $   (315,675)
          Energy Swaps       (231,661)       (623,631)
                         ------------    ------------
          Total          $ 53,127,588    $   (939,306)
                         ------------    ------------

5.   Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the General  Partner  and at such times as the General  Partner may decide.
     Beginning  with the first full month ending at least three months after the
     commencement  of trading,  a limited partner may require the Partnership to
     redeem his Units at their Net Asset  Value as of the last day of a month on
     10 days' notice to the General Partner.  There is no fee charged to limited
     partners in connection with redemptions.


                                        F-9
<PAGE>



6.   Offering and Organization Costs:

     Offering and organization  expenses of $75,951 relating to the issuance and
     marketing of Units offered were  initially  paid by SSB. As of December 31,
     1998,  the  Partnership  had  reimbursed  SSB for $75,951 of  offering  and
     organization  expenses  from  the  interest  earned  on  funds  held in its
     account.

7.   Net Asset Value Per Unit:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended  December  31, 2000 and 1999 and the period from March 16, 1998
     (commencement of trading operations) to December 31, 1998 were as follows:




<TABLE>
<CAPTION>
<S>                                                      <C>           <C>           <C>
                                                         2000         1999         1998

Net realized and unrealized gains (losses)           $  290.47   $   (70.95)   $  214.27
  Interest income                                        41.32        51.81        30.39
  Expenses                                              (59.14)      (29.62)      (60.33)
                                                      ---------    ---------    ---------
  Increase (decrease) for period                        272.65       (48.76)      184.33
  Net asset value per Unit, beginning of period       1,135.57     1,184.33     1,000.00
                                                      ---------    ---------    ---------
  Net asset value per Unit, end of period           $ 1,408.22  $  1,135.57   $ 1,184.33
                                                      ---------    ---------    ---------
</TABLE>

8.   Financial Instrument Risks:

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

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

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk


                                   F-10


<PAGE>

     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions (see table in Note 4). The  Partnership's  risk of loss in the
     event  of  counterparty   default  is  typically  limited  to  the  amounts
     recognized in the statement of financial  condition and not  represented by
     the contract or notional  amounts of the  instruments.  The Partnership has
     credit risk and concentration  risk because the sole counterparty or broker
     with respect to the  Partnership's  assets is SSB. As of December 31, 2000,
     the counterparties to the Partnership's swap contracts were Citibank, N.A.,
     which is affiliated  with the  Partnership,  Morgan  Stanley  Capital Group
     Inc., J. Aron & Company,  Enron North America Corp. and Hess Energy Trading
     Company,  LLC. As of December 31, 2000, the Partnership  owed Citibank N.A.
     $1,757,620,  which is included in Due to brokers and represents cash due to
     Citibank N.A. for realized swap transactions.

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

     The  notional  or   contractual   amounts  of  these   instruments,   while
     appropriately not recorded in the financial statements,  reflect the extent
     of the  Partnership's  involvement  in these  instruments.  The majority of
     these instruments mature within one year of December 31, 2000. However, due
     to the nature of the Partnership's  business,  these instruments may not be
     held to maturity.

  9. Subsequent Events:

     On January 31, 2001,  there were  additional  redemptions of 128.9565 Units
totaling $197,450.



                                   F-11

<PAGE>





Item 9.     Changes in and Disagreements with Accountants on Accounting
            and Financial Disclosure.
            During the last two fiscal years and any subsequent  interim period,
no independent  accountant who was engaged as the principal  accountant to audit
the Partnership's financial statements has resigned or was dismissed.

                                    PART III
Item 10.    Directors and Executive Officers of the Registrant.
            The  Partnership  has no  officers  or  directors  and its  affairs
are  managed by its  General  Partner,  Smith  Barney  Futures  Management  LLC.
Investment decisions are made by AAA Capital Management, Inc. (the "Advisor").
Item 11.    Executive Compensation.
            The  Partnership  has no  directors  or  officers.  Its  affairs are
managed by Smith  Barney  Futures  Management  LLC, its General  Partner,  which
receives  compensation for its services,  as set forth under "Item 1. Business."
SSB,  an  affiliate  of the General  Partner,  is the  commodity  broker for the
Partnership and receives brokerage  commissions for such services,  as described
under "Item 1.  Business."  During the year ended  December 31, 2000, SSB earned
$7,591,291  in brokerage  commissions  and  clearing  fees.  The Advisor  earned
$1,365,960 in management fees during 2000.

                                       32
<PAGE>


Item 12.    Security Ownership of Certain Beneficial Owners and Management
     (a). Security ownership of certain beneficial owners. The Partnership knows
of no person who beneficially owns more than 5% of the Units outstanding.
     (b).  Security  ownership  of  management.  Under the terms of the  Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent  to  704.3292  (1.3%)  Units of Limited  Partnership  Interest  as of
December 31, 2000.
     (c). Changes in control.  None
Item 13.    Certain Relationships and Related Transactions.
     Salomon Smith Barney Inc. and Smith Barney Futures  Management LLC would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under  "Item 1.  Business.",  "Item 8.  Financial  Statements  and
Supplementary Data." and "Item 11. Executive Compensation."

                                    PART IV
Item 14.    Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

                    (a)  (1)  Financial   Statements:   Statement  of  Financial
                         Condition at December 31, 2000 and 1999.
                         Statement  of Income and Expenses  for the years ended
                         December 31, 2000,  1999 and for the period from March
                         16, 1998 (commencement of



                                       33
<PAGE>

                        trading operations) to December 31, 1998.
                        Statement  of  Partners'  Capital  for the  years  ended
                        December 31, 2000,  1999 and for the period from January
                        5, 1998 (date Partnership was organized) to December 31,
                        1998.
                  (2)   Financial Statement Schedules: Financial Data
                        Schedule for year ended December 31, 2000.
                  (3)   Exhibits:
                    3.1-Certificate  of  Limited   Partnership   (previously
                        filed).
                    3.2-Limited Partnership Agreement (previously filed).
                   10.1-Management  Agreement  among  the  Partnership,  the
                        General Partner and AAA Capital
                        Management, Inc. (previously filed).
                   10.2-Customer  Agreement  between  Registrant  and  Smith
                        Barney Inc.  (the  predecessor  to Salomon Smith Barney
                        Inc.) (previously filed).
                   10.3-Form of Subscription Agreement (previously filed).
                   10.4-Letter   from   General   Partner  to  AAA   Capital
                        Management, Inc. extending the Management
                        Agreement for 1999 (previously filed).
                   10.5-Letter  from  the  General  Partner  to AAA  Capital
                        Management, Inc. extending the Management Agreement for
                        2000 (filed herein).
         (b)Report on Form 8-K:  None Filed

                                       34
<PAGE>



      Supplemental  Information  To Be Furnished  With Reports Filed Pursuant To
Section 15(d) Of The Act by  Registrants  Which Have Not  Registered  Securities
Pursuant To Section 12 Of the Act.




Annual Report to Limited Partners

                                       35
<PAGE>



                                   SIGNATURES

      Pursuant  to the  requirements  of Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K  authorized,  in the City of New York and State of New York on the 30th day
of March 2001.


SMITH BARNEY AAA ENERGY FUTURES FUND L.P.


By:    Smith Barney Futures Management 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 following persons in the
capacities and on the date indicated.


/s/ David J. Vogel                        /s/ Jack H. Lehman III
David J. Vogel                            Jack H. Lehman III
Director, Principal Executive             Chairman and Director
Officer and President



/s/ Michael R. Schaefer                   /s/ Daniel A. Dantuono
Michael R. Schaefer                       Daniel A. Dantuono
Director                                  Treasurer, Chief Financial
                                          Officer and Director



/s/ Daniel R. McAuliffe, Jr.              /s/ Steve J. Keltz
Daniel R. McAuliffe, Jr.                  Steve J. Keltz
Director                                  Secretary and Director




/s/ Shelley Ullman
Shelley Ullman
Director
                                       36