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, 1999

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
                           390 Greenwich St. - 1st 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  29,  2000 Limited  Partnership  Units  with an  aggregate value
of  $71,421,797  were  outstanding  and  held by non-affiliates.


                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None

<PAGE>





                                     PART I

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 year ending December 31,
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 end 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 General Partner changed its form of
organization  from a corporation  to a limited  liability  company on October 1,
1999. 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 contracts on commodities is done
primarily on United States 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
                                   3
<PAGE>

will make all commodity  trading  decisions for the Partnership.  Mr. A. 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
                                   4
<PAGE>

U.S.  Treasury bill rate determined  weekly by SSB based on the  non-competitive
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 year ended December 31, 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, 1999 was $74,306,423.

     (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.
                  There have been no material administrative,  civil or criminal
actions  within  the  past  five  years  against  SSB or  any of its  individual
principals and no such actions are currently pending, except as follows.
                                   5
<PAGE>

     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 ("SBI") and Salomon  Brothers  Realty  Corporation  ("SBRC") 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.
SBI had acquired the participations issued by Motels of America and Best Inns to
finance purchases of motel portfolios and sold 95% of 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 and oral argument will
be heard 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.

                                       6
<PAGE>

         Both the Department of Labor and the Internal  Revenue  Service ("IRS")
have  advised  SBI that they were or are  reviewing  the  transactions  in which
Ameritech  Pension Trust acquired such  participations.  With respect to the IRS
review,  SSBHI,  SBI and  SBRC  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. As of the date of this report,
the IRS has not issued such 30-day letters to SSBHI, SBI or SBRC.
     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
SSB,  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  recommended  and sold
unsuitable  securities to Orange County.  SSB 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 IRS denies tax exempt
status to the  City's  General  Obligation  Refunding  Bonds  Series  1991.  The
                                   7
<PAGE>

complaints  were  subsequently  amended.  SSB has asked the court to dismiss the
amended complaints.  In May 1999, the Court denied SSB's motion to dismiss,  but
stayed the litigation  because the matter was not ripe. In March,  2000 the city
filed a notice of discontinuance dismissing the complaint.
         In 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 SSB,
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. SSB has asked the court to dismiss the amended complaint.
         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 December 1998, SSB 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,
SSB, 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  15c1-2,  15c2-7 and 17a-3  thereunder,  (ii) pay  penalties  totaling
                                   8
<PAGE>

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 SSB 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,  SSB  breached  its  contracts  with
plaintiffs,  misused their monies, and engaged in tortious  (wrongful)  conduct,
including  breaching  its fiduciary  duties.  SSB asked the court to dismiss the
complaint  in full.  In  October  1999,  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.  In December  1999,  SSB filed an
answer and asserted counterclaims against the investment advisor. In response to
plaintiff's motion to strike the counterclaims, in January 2000, SSB amended its
counterclaims  against  the  investment  advisor  to  seek  indemnification  and
contribution. Plaintiffs moved to strike SSB's amended counterclaims in February
2000. SSB will continue to contest this lawsuit vigorously.
         In the  course of its  business,  SSB,  as a major  futures  commission
merchant and  broker-dealer is a party to various claims and routine  regulatory
investigations  and proceedings  that the general partner believes do not have a
material effect on the business of SSB.

                                   9
<PAGE>


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,  1999  was  800.   (c)
                         Distribution.   The   Partnership  did  not  declare  a
                         distribution in 1999 or 1998.

                    (d)  Use of Proceeds.  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  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.

                                   10
<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
year ended December 31, 1999 and the period from March 16, 1998 (commencement of
trading  operations)  to December 31, 1998 and total assets at December 31, 1999
and 1998 were as follows:

                                  1999            1998
                              ------------     ------------

Realized and unrealized
 trading gains (losses)
 net of brokerage
 commissions and clearing
 fees of $12,587,354 and
 $5,527,260, respectively     $ (4,677,441)   $ 14,675,192
Interest income                  3,411,756       1,978,202
                              ------------    ------------
                              $ (1,265,685)   $ 16,653,394
                              ============    ============
Net income (loss) before
 Special Allocation to
 Special Limited Partner      $ (3,236,003)   $ 15,401,913
                              ============    ============
Allocation to Special
 Limited Partner              $       --      $  2,699,932
                              ============    ============
Net income (loss) available
 for pro rata distribution
 to Partners                  $ (3,236,003)   $ 12,701,981
                              ============    ============
Increase (decrease) in
 net asset value per Unit     $     (48.76)   $     184.33
                              ============    ============
Total assets                  $ 85,432,981    $ 84,035,617
                              ============    ============
                                   11
<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
futures  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 futures  contracts
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.

                                   12
<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
                                   13
<PAGE>

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.  (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  futures
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 futures 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, management fees, and incentive fees. The level of these expenses is
                                   14
<PAGE>

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,  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 year 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.
For the year ended December 31, 1999,  2,177.4358  Units were redeemed  totaling
$2,858,982. For the year 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 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.
                                   15
<PAGE>

     (c) Results of  Operations.  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  $7,909,913  before
commissions  and  expenses  for the year ended  December  31,  1999.  Gains were
primarily attributable to the trading of indices and energy contracts.
     The  Partnership  experienced  net  trading  gains  of  $20,202,452  before
commissions  and  expenses for the period from March 16, 1999  (commencement  of
trading  operations) to December 31, 1998. Gains were primarily  attributable to
the trading of energy contracts.
     Commodity futures 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.

                                   16
<PAGE>
               (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.
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
                                   17
<PAGE>

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.
Risk of Computer System Failure (Year 2000 Issue)
         SSBHI's computer systems and business  processes  successfully  handled
the date change from December 31, 1999 to January 1, 2000. SSBHI is not aware of
any  significant  year 2000  problems  encountered  internally or with the third
parties with which it interfaces,  including customers and  counterparties,  the
global financial market infrastructure,  and the utility infrastructure on which
all corporations rely.
         Based on operations  since  January 1, 2000,  SSBHI does not expect any
significant  impact to its ongoing  business as a result of the year 2000 issue.
However,  it is  possible  that the full impact of year 2000 issues has not been
fully recognized and no assurances can be given that year 2000 problems will not
emerge.
         The pretax costs  associated  with required  system  modifications  and
conversions totaled approximately $130 million.  These costs were funded through
operating cash flow and expensed in the period in which they were incurred.
                                   18
<PAGE>

     The  expenditures  and the General  Partner's  resources  dedicated  to the
preparation  for Year 2000 did not have a material  impact on the  operation  or
results of the Partnership.
     The most likely and most  significant  risk to the  Partnership  associated
with the lack of Year 2000  readiness  is the failure of outside  organizations,
including the commodities exchanges, clearing organizations,  or regulators with
which the  Partnership  interacts to resolve  their Year 2000 issues in a timely
manner.  This risk could  involve the  inability to  determine  the value of the
Partnership  at some  point  in time  and  would  make  effecting  purchases  or
redemptions  of Units in the  Partnership  infeasible  until such  valuation was
determinable.
(e) New Accounting Pronouncements
     The Partnership adopted Statement on Financial Accounting Standards No. 133
("SFAS  133"),  Accounting  For  Derivative  Financial  Instruments  and Hedging
Activities,  on January 1, 1999. SFAS 133 requires that an entity  recognize all
derivative instruments in the statement of financial condition and measure those
financial instruments at fair value. SFAS 133 has no impact on Partners' Capital
and operating results as all derivative  instruments are recorded at fair value,
with changes therein reported in the statement of income and expenses.
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
                                   19
<PAGE>

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
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
                                   20
<PAGE>

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).
     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
                                   21
<PAGE>

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.
         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.

                                   22
<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,  1999.  All open  position  trading  risk
exposures of the  Partnership  have been included in calculating the figures set
forth below. As of December 31, 1999, the Partnership's total capitalization was
$74,306,423.
                                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%
                  ---------                ----

Total           $21,273,897                28.6%
                ===========               =====


                                   23
<PAGE>


         As of December 31, 1998, the  Partnership's  total  capitalization  was
approximately $79,727,340.



                                December 31, 1998

                                                  % of Total
Market Sector               Value at Risk      Capitalization

Energy                        $11,939,250              14.98%
Energy Swaps                    1,644,887               2.06%
Indices                           214,500               0.27%
                              -----------               -----

Total                         $13,798,637              17.31%
                              ===========               =====

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
                                   24
<PAGE>

         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
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
                                   25
<PAGE>

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, 1999, 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
Fund.  The  Partnership  has  substantial  market  exposure to gas and oil 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
                                   26
<PAGE>

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.
         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,
                                   27
<PAGE>

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, 1999.
         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
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
                                   28
<PAGE>

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 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.


                                   29

<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, 1999 and 1998.                      F-4

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

                        Statement  of  Partners'  Capital  for
                        the  year  ended December  31, 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

                                    Continued

<PAGE>

Smith Barney AAA
Energy Fund L.P.
Annual Report
December 31, 1999










SMITH BARNEY FUTURES MANAGEMENT LLc








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
390 Greenwich Street
1st 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, 1999 and 1998 and the results of its operations
for the year ended  December 31, 1999 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.  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,  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 the opinion expressed above.

                                                      PricewaterhouseCoopers LLP

New York, New York
February 25, 2000


                                   F-3
<PAGE>



                                                Smith Barney AAA
                                                Energy Fund L.P.
                                        Statement of Financial Condition
                                           December 31, 1999 and 1998
<TABLE>
<CAPTION>
<S>                                                 <C>             <C>>

      Assets:                                       1999            1998
      Equity in commodity futures
      trading account:

   Cash (Note 3c)                           $ 78,368,723    $ 70,049,894
   Net unrealized appreciation
  (depreciation) on open futures
   contracts                                    (751,259)      6,718,299
   Net unrealized appreciation
  (depreciation) on open swaps
    contracts                                   (623,631)        606,945
   Commodity options owned, at
   fair value (cost $15,880,430
   and $8,098,837, respectively)               8,992,060       6,443,285
                                            ------------    ------------
                                              85,985,893      83,818,423
   Interest receivable                           255,849         217,194
                                            ------------    ------------

                                            $ 86,241,742    $ 84,035,617
                                            ------------    ------------
                                            ------------    ------------

Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                              $    908,487    $    488,115
   Management fees                               128,962         135,859
   Professional fees                              31,701          21,574
   Other                                          15,059           7,962
   Due SSB                                          --               951
  Due to broker                                  808,761            --
  Redemptions payable                          1,485,873         118,433
  Commodity options written,
  at fair value (premium $11,396,728
  and $4,970,916, respectively)                8,556,476       3,535,383
                                            ------------    ------------
                                              11,935,319       4,308,277
                                            ------------    ------------
Partners' capital (Notes 1 and 7):
  General Partner, 682.3138 and
  667.0550 Unit equivalents outstanding
  in 1999 and 1998, respectively                 774,815         790,013
  Limited Partners, 64,753.0149 and
  64,371.5518 Units of Limited
  Partnership Interest outstanding
  in 1999 and 1998, respectively              73,531,608      76,237,395
  Special Limited Partner, 0 and
  2,279.7128 Units of Limited Partnership
  Interest outstanding in 1999 and 1998,
  respectively                                      --         2,699,932
  ------------                                      --         ---------
                                              74,306,423      79,727,340
                                              ----------      ----------
                                            $ 86,241,742    $ 84,035,617
                                            ------------    ------------
                                            ------------    ------------

</TABLE>

See notes to financial statements.

                                   F-4
<PAGE>


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

<TABLE>
<CAPTION>
<S>                                         <C>                <C>

                                           1999                1998
        Income:

  Net gains (losses) on
  trading of commodity interests:
  Realized gains on closed positions   $ 20,438,146    $ 13,097,227
  Change in unrealized gains
  (losses) on open positions            (12,528,233)      7,105,225
                                     ---------------   ---------------
                                          7,909,913      20,202,452
  Less, Brokerage commissions
  including clearing fees of
  $1,574,467 and $686,659,
  respectively (Note 3c)                (12,587,354)     (5,527,260)
                                    ---------------   ---------------
  Net realized and
  unrealized gains (losses)              (4,677,441)     14,675,192
  Interest income (Notes 3c and 6)        3,411,756       1,978,202
                                    ---------------   ---------------
                                         (1,265,685)     16,653,394

Expenses:

  Management fees (Note 3b)               1,820,154       1,125,531
  Organization expense (Note 6)                --            75,951
  Professional fees                         111,375          37,000
  Other expenses                             38,789          12,999
                                     ---------------  ---------------
                                          1,970,318       1,251,481
                                    ---------------   ---------------

Net income (loss) before
allocation to the Special
Limited Partner                          (3,236,003)     15,401,913
                                    ---------------   ---------------
Allocation to the Special
Limited Partner                                --         2,699,932
                                    ---------------   ---------------
Net income (loss) available
for pro rata distribution              $ (3,236,003)   $ 12,701,981
                                    ---------------   ---------------
                                    ---------------   ---------------
Net income (loss) per Unit of
Limited Partnership Interest
and  General Partner Unit equivalent
(Notes 1 and 7)                        $     (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 year ended Decemer 31, 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
year 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 income 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
                                         ------------    ------------    ------------    ------------
                                         ------------    ------------    ------------    ------------

</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.

     Smith  Barney  Futures  Management  LLC acts as the  general  partner  (the
     "General Partner") of the Partnership. The General Partner changed its form
     of  organization  from a  corporation  to a limited  liability  company  on
     October 1, 1999. 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  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

                                   F-7
<PAGE>

        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.

     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.  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,
        exchange,  clearing,  user and give-up  fees.  SSB will pay a portion of
                                   F-8
<PAGE>

        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,  1999 and 1998,  the
        amount  of  cash  held  for  margin  requirements  was  $17,146,683  and
        $12,153,750,  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, 1999 and 1998,  based on a monthly  calculation,  was  $(6,771,852) and
     $22,308,  respectively.  The  fair  value  of  these  commodity  interests,
     including  options and swaps thereon,  if applicable,  at December 31, 1999
     and 1998,  was  $(1,748,067)  and  $10,233,146,  respectively,  as detailed
     below.

                                   Fair Value
                                  December 31,


                          1999           1998

     Energy         $  (315,675)   $ 9,604,751
     Energy Swaps      (623,631)       606,945
     Indices               --           21,450
                           --           ------
     Total          $  (939,306)   $10,233,146
                    -----------    -----------


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.

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,
                                   F-9
<PAGE>

     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
     year  ended   December  31,  1999  and  the  period  from  March  16,  1998
     (commencement of trading operations) to December 31, 1998 were as follows:


<TABLE>
<CAPTION>
<S>                                         <C>           <C>

                                          1999         1998
    Net realized and unrealized
    gains (losses)                   $     (70.95)$     214.27
    Interest income                         51.81        30.39
    Expenses                               (29.62)      (60.33)
                                        ---------    ---------
    Increase (decrease) for period         (48.76)      184.33
    Net asset value per Unit,
    beginning of period                  1,184.33     1,000.00
                                        ---------    ---------
    Net asset value per Unit, end
    of period                        $   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
     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
                                        F-10
<PAGE>

     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
     concentration  risk because the sole counterparty or broker with respect to
     the   Partnership's   assets  is  SSB.  As  of  December  31,   1999,   the
     counterparties  to the  Partnership's  swap contracts were Citibank,  N.A.,
     which is affiliated with the Partnership, Morgan Stanley Capital Group Inc.
     and J. Aron & Company.

     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, 1999. However, due
     to the nature of the Partnership's  business,  these instruments may not be
     held to maturity.

  9. Subsequent Events:

     On January 1, 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.  On  January  31,  2000  there  were
     additional redemptions of 372.9565 Units totaling $408,041

10.  New Accounting Pronouncements:

     The Partnership adopted Statement on Financial Accounting Standards No. 133
     ("SFAS 133"),  Accounting for Derivative Financial  Instruments and Hedging
     Activities,  on January 1, 1999. SFAS 133 requires that an entity recognize
     all  derivative  instruments  in the  statement of financial  condition and
     measure those financial  instruments at fair value.  SFAS 133 has no impact
     on  the  Partners'   Capital  and  operating   results  as  all  derivative
     instruments are recorded at fair value,  with changes  therein  reported in
     the statement of income and expenses.

                                   F-11






<PAGE>


34



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, 1999, SSB earned
$12,587,354  in brokerage  commissions  and clearing  fees.  The Advisor  earned
$1,820,154 in management fees during 1999.

                                   30
<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 682.3138  (1.0%) Units of partnership  interest as of December 31,
1999.
                  (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, 1999 and   1998.  Statement
                           of Income and Expenses for the  year  ended  December
                           31,  1999  and  the  period   from   March  16,  1998
                           31
<PAGE>

                           (commencement  of   trading  operations)  to December
                           31,  1998. Statement of  Partners'  Capital  for  the
                           year  ended   December  31, 1999  and 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, 1999.
                     (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 (filed herein).
                     (b)   Report on Form 8-K:  None Filed

                                   32
<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

                                   33
<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 2000.


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

                                   34