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

FORM 10-K

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

For the fiscal year ended December 31, 2005

Commission File Number 0-24280

SHEARSON MID-WEST FUTURESFUND

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(Exact nameof registrant as specified in its charter)

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| NewYork                                                      |  |                                | 13-3634370 |   |
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c/o CitigroupManaged Futures LLC 731 Lexington Avenue — 25th Fl. NewYork, New York 10022

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(Address and ZipCode of principal executive offices)

(212) 559-2011

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(Registrant'stelephone number, including area code)

Securitiesregistered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:Redeemable Units of Limited Partnership Interest

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Indicate by checkmark if the registrant is a well-known seasoned issuer, as defined inRule 405 of the Securities Act.

Yes             No X 

Indicate by check mark if the registrant is not required tofile reports pursuant to Section 13 or Section 15(d) of theAct.

Yes             No X 

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

Yes X         No     

Indicate by check mark if disclosure of delinquent filerspursuant to Item 405 of Regulation S-K is not contained herein, andwill not be contained, to the best of registrant's knowledge, indefinitive proxy or information statements incorporated by reference inPart III of this Form 10-K or any amendment to this form  10-K[X]

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of the Act).

Large accelerated filer          Accelerated filer         Non-accelerated filer X 

Indicate by check markwhether the registrant is a shell company (as defined in Rule 12b-2 ofthe Act).

Yes             No X 

Limited Partnership Redeemable Units with anaggregate value of $19,018,186 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

As ofFebruary 28, 2006, 7,053.9207 Limited Partnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BYREFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Shearson Mid-West Futures Fund (the"Partnership") is a limited partnershiporganized on August 21, 1991 under the partnership laws of the State ofNew York. The Partnership commenced trading operations on December 2,1991. Between September 26, 1991 and December 2, 1991, 2,000 redeemableunits of Limited Partnership Interest ("RedeemableUnits") were sold at $1,000 per Redeemable Unit. Theproceeds of the offering were held in an escrow account until December2, 1991, at which time they were turned over to the Partnership fortrading. From December 2, 1991 to January 25, 2001, the Partnershipengaged directly in the speculative trading of a diversified portfolioof commodity interests including futures contracts, options and forwardcontracts. The Partnership has invested all of its assets in the JWHStrategic Allocation Master Fund LLC, a New York Limited LiabilityCompany (the "Master"). Redemptions ofRedeemable Units for the years ended December 31, 2005, 2004, and 2003are reported in the Statements of Changes in Partners' Capital onpage F-6 under "Item 8. Financial Statements andSupplementary Data."

Effective January 26,2001, the Partnership allocated substantially all of its capital to theMaster. With this cash, the Partnership purchased 31,509.8853 Units ofthe Master with a fair value of $31,509,885. The Master was formed inorder to permit commodity pools managed now or in the future by John W.Henry & Company, Inc. ("JWH") (the"Advisor") using the Strategic AllocationProgram, JWH's proprietary trading program, to invest together inone trading vehicle. The commodity interests traded by the Master arevolatile and involve a high degree of market risk. Citigroup ManagedFutures LLC acts as the general partner (the "GeneralPartner") of the Partnership. The General Partner is themanaging member (the "Managing Member") ofthe Master. Individual and pooled accounts currently managed by JWH,including the Partnership, are permitted to be a non-managing member ofthe Master. The General Partner and JWH believe that trading throughthis structure should promote efficiency and economy in the tradingprocess. Expenses to investors as a result of investment in the Masterare approximately the same and redemption rights are not affected.

At December 31, 2005 and 2004 the Partnership owns 10.87% and11.69%, respectively of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

ThePartnership's and Master's commodity broker is CitigroupGlobal Markets Inc. ("CGM"). CGM is anaffiliate of the General Partner/Managing Member. The General Partneris wholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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

The Partnership will be liquidatedupon the first to occur of the following: December 31, 2011; if the NetAsset Value per Redeemable Unit falls below $350 per Redeemable Unit asof the end of business on any business day; or upon the earlieroccurrence of certain other circumstances set forth in the LimitedPartnership Agreement of the Partnership (the "LimitedPartnership Agreement").

Under the LimitedPartnership Agreement, the General Partner has sole responsibility forthe administration of the business and affairs of the Partnership, butmay delegate trading discretion to one or more trading Advisors. ThePartnership pays the General Partner a monthly administrative fee inreturn for its services to the Partnership equal to 1/12 of 1%(1% per year) of month-end Net Assets of the Partnership.Month-end Net Assets, for the purpose of calculating administrativefees are Net Assets, as defined in the Limited Partnership Agreement,prior to the reduction of redemptions and incentive fees. This fee maybe increased or decreased at the discretion of the General Partner.

The General Partner has entered into a management agreement (the"Management Agreement") with the Advisor, whowill make all commodity trading decisions for the Partnership. TheAdvisor is not affiliated with the General Partner or CGM. The Advisoris not responsible for the organization or operation of thePartnership.

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Pursuant to the terms of the ManagementAgreement, the Partnership is obligated to pay the Advisor a monthlymanagement fee equal to 1/6 of 1% (2% per year) ofmonth-end Net Assets managed by the Advisor. Month-end Net Assets, forthe purpose of calculating management fees are Net Assets, as definedin the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. In addition, the Partnership isobligated to pay the Advisor an incentive fee, payable quarterly, equalto 20% of the New Trading Profits allocated pro-rata by theMaster, as defined in the Management Agreement.

The Partnershipis obligated to pay a brokerage fee equal to 1/2 of 1%(6% per year) of month-end Net Assets allocated pro-rata fromthe Master. CGM pays a portion of its brokerage fees to its financialconsultants who have sold Redeemable Units of the Partnership. Allexchange, clearing, user, give-up, floor brokerage and National FuturesAssociation fees will be borne by the Master and allocated pro-rata tothe Partnership through its investment in the Master. Brokerage feeswill be paid for the life of the Partnership, although the rate atwhich such fees are paid may be changed. The Customer Agreement betweenthe Master and CGM gives the Master the legal right to net unrealizedgains and losses. The Customer Agreement may be terminated upon noticeby either party.

CGM pays the Partnership interest on 80%of the average daily equity allocated pro-rata to the Partnership bythe Master during each month at the rate of the average non-competitiveyield of 13-week U.S. Treasury Bills as determined at the weeklyauctions thereof during the month.

(b)    Financialinformation about segments. The Partnership's businessconsists of only one segment, speculative trading of commodityinterests. The Partnership does not engage in sales of goods orservices. The Partnership's net income (loss) from operations forthe years ended December 31, 2005, 2004, 2003, 2002 and 2001 is setforth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2005 was $17,629,450.

(c)    Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i) Through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    Financialinformation about geographic areas. The Partnership and throughthe Partnership's investment in the Master does not engage insales of goods or services or own any long lived assets, and thereforethis item is not applicable.

(e)    AvailableInformation. The Partnership does not have an Internet address.The Partnership will provide paper copies of its annual report on Form10-K, quarterly reports on Form 10-Q, current reports on Form 8-K andany amendments to these reports free of charge upon request.

Item 1A.    Risk Factors

The trading of commodityinterests is speculative, volatile and involves a high degree ofleverage. A small change in the market price of a commodity interestcontract can produce major losses for the Partnership.

Due tothe speculative nature of trading commodity interests, an investorcould lose all of its investment in the Partnership.

Regardlessof its trading performance, the Partnership will incur fees andexpenses, including brokerage and management fees. Fees will be paid tothe trading advisor even if the Partnership experiences a net loss forthe full year.

An investor's ability to redeem units islimited and no market exists for the units.

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The Partnership is subject to numerousconflicts of interest including those that arise from the factsthat:

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| 1.  | The General Partner and commoditybroker are affiliates; |

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| 2.  | The trading advisor,the commodity broker and their principals and affiliates may trade incommodity interests for their own accounts;and |

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| 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisor's tradingstrategies may not perform as they have performed in the past. Theadvisor has from time to time incurred substantial losses in trading onbehalf of clients.

Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions

Item 2.    Properties.

The Partnership does not own or lease any properties. The GeneralPartner operates out of facilities provided by its affiliate, CGM.

Item 3.    Legal Proceedings.

This sectiondescribes the major pending legal proceedings, other than ordinaryroutine litigation incidental to the business, to which CitigroupGlobal Markets Holdings Inc. ("CGMHI") or itssubsidiaries is a party or to which any of their property is subject.There are no material legal proceedings pending against the Partnershipor the General Partner.

Citigroup Managed Futures LLC.("CGM") is a New York corporation with itsprincipal place of business at 388 Greenwich Street, New York, New York10013. CGM is registered as a broker-dealer and futures commissionmerchant ("FCM"), and provides futuresbrokerage and clearing services for institutional and retailparticipants in the futures markets. CGM and its affiliates alsoprovide investment banking and other financial services for clientsworldwide.

There have been no material administrative, civil orcriminal actions within the past five years against CGM or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised Citigroup Global Marketsthat they were or are reviewing transactions in which Ameritech PensionTrust purchased from Citigroup Global Markets and certain affiliatesapproximately $20.9 million in participations in a portfolio of motelsowned by Motels of America, Inc. and Best Inns, Inc. With respect tothe IRS review, Citigroup Global Markets and certain affiliatedentities have consented to extensions of time for the assessment ofexcise taxes that may be claimed to be due with respect to thetransactions for the years 1987, 1988 and 1989.

IPO RegulatoryInquiries

Since April 2002, Citigroup Global Markets andseveral other broker dealers have received subpoenas and/or requestsfor information from various governmental and self-regulatory agenciesand Congressional committees as part of their research on IPOallocation inquiries. With respect to issues raised by the NASD, theNYSE and the SEC about Citigroup Global Markets' and otherfirms' e-mail retention practices, Citigroup Global Markets andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. Citigroup Global Marketsagreed to pay a penalty in the amount of $1.65 million and did notadmit any wrongdoing. No individuals from Citigroup Global Markets havebeen charged in the IPO allocation proceedings.

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IPO Civil Litigation

In April2002, consolidated amended complaints were filed against CitigroupGlobal Markets and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. Citigroup Global Markets is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

On June 30, 2005, the United States Court of Appeals for the SecondCircuit entered an order in In Re: Initial Public OfferingSecurities Litigation agreeing to review the district court'sorder granting plaintiffs' motion for class certification.

Also filed in the Southern District of New York against CitigroupGlobal Markets and other investment banks were several alleged classactions that were consolidated into a single class action allegingviolations of certain federal and state antitrust laws in connectionwith the allocation of shares in initial public offerings when actingas underwriters. On November 3, 2003, the court granted CitigroupGlobal Markets' motion to dismiss the consolidated amendedcomplaint in the antitrust case. On September 28, 2005, the UnitedStates Court of Appeals for the Second Circuit in In Re: InitialPublic Offering Anti-trust Litigation vacated the districtcourt's order dismissing these actions and remanded for furtherproceedings.

Research Settlement

On April 28, 2003,Citigroup Global Markets announced final agreements with the SEC, theNASD, the NYSE and the New York Attorney General (as lead state amongthe 50 states, the District of Columbia and Puerto Rico) to resolve ona civil basis all of their outstanding investigations into its researchand IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and related NASD and NYSE rules relatingto research, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing Panel's Decision, inwhich it accepted the Research Settlement, had become final. Asrequired by the 

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Research Settlement, Citigroup Global Marketsalso has entered into separate settlement agreements with numerousstates and certain U.S. territories.

Several individual actionshave been filed against Citigroup and Citigroup Global Markets relatingto, among other things, research on Qwest Communications International,Inc. alleging violations of state and federal securities laws.

Enron Regulatory Settlement

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

Enron-Related Civil Actions

CitigroupGlobal Markets, Citigroup and various other Citigroup-related entitieshave been named as defendants in over 20 civil lawsuits pending instate and federal courts throughout the United States, alleging claimsagainst Citigroup and Citigroup Global Markets based on their dealingswith Enron. The majority of these cases have been brought by purchasersand sellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup and/orits affiliates and subsidiaries, among other things, federal securitiesfraud, state law claims of negligent misrepresentation, fraud, breachof fiduciary duty, aiding and abetting a breach of fiduciary duty andrelated claims. In most of these lawsuits, Citigroup is named as aco-defendant along with other investment banks alleged to have haddealings with Enron. The majority of cases pending in the federalcourts have been, or are in the process of being, consolidated before asingle judge in the United States District Court for the SouthernDistrict of Texas. In addition, in five adversary proceedings in theEnron Chapter 11 bankruptcy, Enron and, in one case, its co-debtoraffiliates and subsidiaries, and the Official Committee of UnsecuredCreditors of Enron Corp., et al., have named Citigroup and/or itsaffiliates or subsidiaries as defendants.

On June 13, 2005,Citigroup announced a settlement of the Enron class action litigation(Newby, et al v. Enron Corp., et al.) currently pending in theUnited States District Court for the Southern District of Texas,Houston Division. This settlement resolves all claims against Citigroupbrought on behalf of the class of purchasers of publicly traded equityand debt securities issued by Enron and Enron-related entities betweenSeptember 9, 1997 and December 2, 2001. The settlement, which involvesa pre-tax payment of $2.0 billion to the settlement class, is fullycovered by Citigroup's existing litigation reserves. It issubject to approval by the Board of Regents of the University ofCalifornia (the lead plaintiff), the Citigroup Board and the DistrictCourt in Texas.

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

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In April 2005, Citigroup, along with otherfinancial institution defendants, reached an agreement-in-principle tosettle four state-court actions brought by various investment funds,which were not previously consolidated or coordinated with otheractions. The four cases are OCM Opportunities Fund III, L.P., et al.v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, etal. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc.,et al. and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas (Avenue Capital Management II, L.P., etal. v. J.P. Morgan-Chase & Co., et al.). The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets,and several J.P. Morgan entities and alleges fraud, breach of fiduciaryduty and breach of contract arising out of Enron bank debt incurredunder two syndicated revolving credit facilities and a syndicatedletter of credit facility.

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

The courthad also previously denied lead plaintiff's motion for leave toamend. No appeal was yet timely while the remainder of the caseremained pending. On April 15, 2005, as part of a global settlementinvolving all defendants, Citigroup entered into a memorandum ofunderstanding to settle this case. The amount to be paid in settlementis covered by existing litigation reserves.

WorldCom-RelatedLitigation

Citigroup, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants — along with twenty-two other investment banks,certain current and former WorldCom officers and directors, andWorldCom's former auditors — in a consolidated class actionbrought on behalf of individuals and entities who purchased or acquiredpublicly traded securities of WorldCom between April 29, 1999 and June25, 2002 in In Re: Worldcom, Inc. Securities Litigation. Theclass action complaint asserts claims against Citigroup Global Marketsunder (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, asamended, in connection with certain bond offerings in which it servedas underwriter, and (ii) Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, and Rule 10b-5 promulgated underSection 10(b), alleging that it participated in the preparation and/orissuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied Citigroup Global Markets' motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

Pursuant to anorder entered May 28, 2003, the District Court consolidatedapproximately seventy-eight individual actions with the class actionfor pretrial proceedings. The claims asserted in these individualactions are substantially similar to the claims alleged in the classaction and assert state and federal securities law claims based onCitigroup Global Markets' research reports concerning WorldComand/or Citigroup Global Markets' role as an underwriter inWorldCom offerings. Plaintiffs in certain of these actions filedmotions to remove their cases to state court. The District Court deniedthese motions and its rulings were upheld on appeal.

Numerousother actions asserting claims against Citigroup Global Markets inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States 

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District Court for the Southern District ofNew York to be consolidated with the class action. In addition to thecourt suits, actions asserting claims against Citigroup and certain ofits affiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

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

On September 17, 2004, Weinstein, et al. v. Ebbers, et al.,an alleged class action against Citigroup Global Markets and othersbrought on behalf of holders of WorldCom securities asserting claimsbased on, among other things, Citigroup Global Markets' researchreports concerning WorldCom, was dismissed with prejudice in itsentirety by the United States District Court for the Southern Districtof New York. The plaintiffs noticed an appeal of the dismissal to theUnited States Court of Appeals for the Second Circuit on October 15,2004. The parties have reached an agreement in principle on the termsof a settlement of this action.

Citigroup and Citigroup GlobalMarkets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Citigroup, along with other financialinstitutions and other defendants, entered into settlements resolvingcertain claims against Citigroup-related defendants in a number ofWorldCom-related actions. The settlement amounts are covered byexisting litigation reserves.

Global Crossing

On orabout January 28, 2003, the lead plaintiff in a consolidated allegedclass action in the United States District Court for the SouthernDistrict of New York (In Re: Global Crossing, Ltd. SecuritiesLitigation) filed a consolidated complaint on behalf of purchasersof the securities of Global Crossing and Asia Global Crossing, whichnames as defendants, among others, Citigroup, Citigroup Global Markets,Citigroup Global Markets Holdings Inc. and certain executive officersand current and former employees. The alleged class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add claims onbehalf of purchasers of the securities of Asia Global Crossing. Theadded claims assert causes of action under the federal securities lawsand common law in connection with Citigroup Global Markets'research reports about Global Crossing and Asia Global Crossing and forCitigroup Global Markets' roles as an investment banker forGlobal Crossing and as an underwriter in the Global Crossing and AsiaGlobal Crossing offerings. The Citigroup-related defendants moved todismiss all of the claims against them on July 2, 2004. In March 2005,the plaintiffs and the Citigroup-related defendants reached asettlement of all claims against the Citigroup-related defendants,including both research and underwriting claims and claims concerninglosses in both Global Crossing and Asia Global Crossing, for a total of$75 million. The Court granted preliminary approval of the settlementon March 8, 2005.

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In addition, on or about January 27, 2004,the Global Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding asserting claims against, among others, Citigroup, CitigroupGlobal Markets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith Citigroup Global Markets' research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, including CitigroupGlobal Markets, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the "CitigroupParties"). The complaint alleges that the CitigroupParties and numerous other defendants committed acts in violation ofthe Bank Holding Company Act and the common law. The complaint seeksequitable relief and an unspecified amount of compensatory and punitivedamages. In November 2003, a similar adversary proceeding was filed bythe Equity Holders Committee of Adelphia. In June 2004, motions todismiss were filed with respect to the complaints of the OfficialCommittee of Unsecured Creditors and the Equity Holders Committee. Themotions are currently pending.

In addition, Citigroup GlobalMarkets is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also asserted claims against Citigroupand Citibank, N.A. All of the complaints alleged violations of federalsecurities laws, and certain of the complaints also alleged violationsof state securities laws and the common law. The complaints soughtunspecified damages. In December 2003, a second amended complaint wasfiled and consolidated before the same judge of the United StatesDistrict Court for the Southern District of New York.

In May andJuly of 2005, the United States District Court for the SouthernDistrict of New York dismissed several claims on statute of limitationsgrounds in the class and individual actions being coordinated underIn Re: Adelphia Communications Corporation Securities andDerivatives Litigation. With the exception of one individual actionthat was dismissed with prejudice, the court granted the class andindividual plaintiffs leave to re-plead certain of those claims thecourt found to be time-barred. Additional motions to dismiss the classcomplaint and the remaining individual complaints on other groundsremain pending.

Mutual Funds

Citigroup and certain ofits affiliates have been named in several class action litigationspending in various federal district courts arising out of allegedviolations of the federal securities laws, the Investment Company Actand the common law (including breach of fiduciary duty and unjustenrichment). The claims concern practices in connection with the saleof mutual funds, including allegations involving market timing, revenuesharing, incentive payments for the sale of proprietary funds,undisclosed breakpoint discounts for the sale of certain classes offunds, inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, 

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and the litigations involving revenue sharing,incentive payment and other issues have been consolidated in the UnitedStates District Court for the Southern District of New York. Theplaintiffs in these litigations generally seek unspecified compensatorydamages, rescissionary damages, injunctive relief, costs and fees. Inthe principal market timing cases that name Citigroup, a lead plaintiffhas been appointed but that plaintiff has not yet filed an amendedcomplaint. In the cases concerning revenue sharing, incentive paymentand other issues, the lead plaintiff filed a consolidated and amendedcomplaint on December 15, 2004.

Several issues in the mutualfund industry have come under the scrutiny of federal and stateregulators. Citigroup has received subpoenas and other requests forinformation from various government regulators regarding market timing,financing, fees, sales practices and other mutual fund issues inconnection with various investigations. Citigroup is cooperating withall such reviews. Additionally, Citigroup Global Markets has enteredinto a settlement agreement with the SEC with respect to revenuesharing and sales of classes of funds.

On May 31, 2005,Citigroup announced that Smith Barney Fund Management LLC and CitigroupGlobal Markets completed a settlement with the SEC resolving aninvestigation by the SEC into matters relating to arrangements betweencertain Smith Barney mutual funds, an affiliated transfer agent and anunaffiliated sub-transfer agent. Under the terms of the settlement,Citigroup agreed to pay fines totaling $208.1 million. The settlement,in which Citigroup neither admitted nor denied any wrongdoing orliability, includes allegations of willful misconduct by Smith BarneyFund Management LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Research Analyst Litigation

Since May 2002,Citigroup Global Markets and certain executive officers and current andformer employees have been named as defendants in numerous allegedclass action complaints, individual actions, and arbitration demands bypurchasers of various securities alleging that they violated federalsecurities law, including Sections 10 and 20 of the Securities ExchangeAct of 1934, as amended, and certain state laws for allegedly issuingresearch reports without a reasonable basis in fact and for allegedlyfailing to disclose conflicts of interest with companies in connectionwith published investment research, including Global Crossing, Ltd.,AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network,Inc., XO Communications, Inc., Williams Communications Group Inc., andFocal Communications, Inc. The alleged class actions relating toresearch of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

On September 27, 2005, Citigroup entered intoa memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

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On September 22, 2005, Citigroup reachedan agreement-in-principle to settle all claims against theCitigroup-related defendants in Norman v. Salomon Smith Barney, etal., a class action asserting violations of the Investment AdvisersAct of 1940 and various common law claims in connection with certaininvestors who maintained guided portfolio management accounts at SmithBarney. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

OnAugust 17, 2005, in Disher v. Citigroup Global Markets Inc., theUnited States Court of Appeals for the Seventh Circuit reversed thedistrict court's grant of plaintiffs' motion to remand thecase to state court, and directed the district court to dismiss thecase as preempted under the Securities Litigation Uniform Standards Act("SLUSA"). The United States Supreme Courthas granted review in another case involving SLUSA that may affect theSeventh Circuit's dismissal of the Disher matter.

InSturm, et al. v. Citigroup, et al., an NASD arbitration seekingsignificant compensatory and punitive damages, claimants'asserted common law claims, including fraud, arising out of allegedresearch analyst conflicts of interest related to Citigroup GlobalMarkets research coverage of WorldCom.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to Citigroup Global Markets requesting documentsand information with respect to their continuing investigation ofindividuals in connection with the supervision of the research andinvestment banking departments of Citigroup Global Markets. Otherparties to the Research Settlement have received similar subpoenas andletters.

West Virginia Attorney General Suit

On June23, 2003, the West Virginia Attorney General filed an action againstCitigroup Global Markets and nine other firms that were parties to theResearch Settlement. The West Virginia Attorney General alleges thatthe firms violated the West Virginia Consumer Credit and Protection Actin connection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, Citigroup Global Markets and certain officers werenamed as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

In November 2004, Citigroup Global Markets entered into a finalagreement with the NASD to resolve the NASD's investigation intocertain of its selling practices. Without admitting or denying anyallegations or findings, Citigroup Global Markets accepted certainfactual findings by the NASD that it (i) sold units in two managedfutures funds to 45 customers for whom the investment was not suitable,(ii) failed to maintain records disclosing the basis upon which itsinvestor suitability determinations were 

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made and (iii) failed to adequately disclosethe risks of investing in managed futures products on its website.Citigroup Global Markets consented to a censure and a fine of $275,000and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

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

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

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

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PART II

Item 5.    Marketfor Registrant's Common Equity and Related Security HolderMatters.

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

|                                   |                                                                                                           |
|-----------------------------------|-----------------------------------------------------------------------------------------------------------|
| (b)      | Holders. Thenumber of holders of Redeemable Units of Partnership Interest as ofDecember 31, 2005 was 253. |

(c)    Dividends. ThePartnership did not declare a distribution in 2005 or 2004.

|                                   |                                                                                                                        |
|-----------------------------------|------------------------------------------------------------------------------------------------------------------------|
| (d)      | Use of Proceeds. There wereno additional sales of Redeemable Units in the years ended December 31,2005, 2004 and 2003. |

(e)    Compensations Plans.None.

Item 6.    Selected Financial Data.

Net realized and unrealized trading gains (losses), interest income,net income (loss) and increase (decrease) in Net Asset Value perRedeemable Unit for the years ended December 31, 2005, 2004, 2003, 2002and 2001 and total assets at December 31, 2005, 2004, 2003, 2002 and2001 were asfollows:

|                                                                                                                                                                                                                       |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                                                                  |  | 2005   |            | 2004    |  | 2003   |            | 2002   |  | 2001   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees),of $1,222,233, $1,507,956, $1,819,049, $1,733,430 and $1,947,389,respectively |  | $      | (6,048,758 | )  |  | $      | 3,001,028  |   |  | $      | 1,826,392  |   |  | $      | 8,280,383  |   |  | $      | (737,462   | )  |
| Interestincome                                                                                                                                                                                                        |  |   | 483,782    |    |  |   | 250,001    |   |  |   | 227,447    |   |  |   | 334,601    |   |  |   | 844,912    |    |
|                                                                                                                                                                                                                  |  | $      | (5,564,976 | )  |  | $      | 3,251,029  |   |  | $      | 2,053,839  |   |  | $      | 8,614,984  |   |  | $      | 107,450    |    |
| Netincome(loss)                                                                                                                                                                                                       |  | $      | (6,220,156 | )  |  | $      | 2,468,039  |   |  | $      | 1,082,798  |   |  | $      | 7,757,305  |   |  | $      | (845,590   | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                              |  | $      | (756.56    | )  |  | $      | 315.95     |   |  | $      | 89.74      |   |  | $      | 655.84     |   |  | $      | (64.74     | )  |
| Totalassets                                                                                                                                                                                                           |  | $      | 17,881,069 |    |  | $      | 26,624,581 |   |  | $      | 25,911,973 |   |  | $      | 26,889,435 |   |  | $      | 28,284,925 |    |
|                                                                                                                                                                                                                       |

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

Overview

ThePartnership, through its investment in the Master, aims to achievesubstantial capital appreciation through speculative trading in U.S.and international markets for currencies, interest rates, stockindices, agricultural, energy products and precious and base metals.The Partnership has invested all of its assets in the Master. TheMaster may employ futures, options on futures, and forward, spot andswap contracts in those markets.

The General Partner/ManagingMember manages all the business affairs of the Partnership/Master. TheGeneral Partner has delegated its responsibility for the investment ofthe Partnership's assets to JWH. The Partnership has investedthese assets in the Master. The General Partner employs a team of

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approximately 20 professionals whose primaryemphasis is on attempting to maintain quality control among theadvisors to the Partnerships operated or managed by the GeneralPartner. A full-time staff of due diligence professionals usestate-of-the-art technology and on-site evaluations to monitor new andexisting futures money managers. The accounting and operations staffprovide processing of trading activity and reporting to limitedpartners and regulatory authorities. In selecting the Advisor for thePartnership/Master, the General Partner considered past performance,trading style, volatility of markets traded and fee requirements.

Responsibilities of the General Partner/Managing Memberinclude:

|              |                                          |
|--------------|------------------------------------------|
| •  | due diligenceexaminations of theAdvisor; |

|              |                                                      |
|--------------|------------------------------------------------------|
| •  | selection, appointmentand termination of theAdvisor; |

|              |                                            |
|--------------|--------------------------------------------|
| •  | negotiation of themanagement agreement;and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activity ofthe Advisor. |

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

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

The Advisor specializes inmanaging institutional and individual capital in the global futures,interest rate and foreign exchange markets. Since 1981, JWH hasdeveloped and implemented proprietary trend-following tradingtechniques that focus on long-term trends.

JWH trades itsStrategic Allocation Program ("SAP") onbehalf of the Partnership, through its investment in the Master.SAP's objective is capital appreciation with the reduction of thevolatility and risk of loss that typically would be associated with aninvestment in any one JWH investment program.

JWH currentlyoperates 11 investment programs including SAP. Any or all of the otherten programs may be included in SAP from time to time. Each investmentprogram has distinctive style, timing, and market characteristics. SAPprogram selection and allocations are made at the discretion of the JWHInvestment Policy Committee.

As of December 31, 2005, theMaster's assets were allocated among the JWH programs asfollows:

|                                                                   |  |                                                          |        |         |  |  |
|-------------------------------------------------------------------|--|----------------------------------------------------------|--------|---------|--|--|
|                                                              |  | PercentageAllocation in the Master as ofDecember 31,2005 |
| Broadly DiversifiedPrograms                                       |  |                                                     |   |    |
| •   OriginalInvestmentProgram                 |  |                                                     | 15     | %  |
| •   JWHGlobalAnalytics® Family ofPrograms |  |                                                     | 10     | %  |
| FinancialPrograms                                                 |  |                                                     |   |    |
| •   Financial and MetalsPortfolio             |  |                                                     | 15     | %  |
| •   GlobalFinancial & EnergyPortfolio     |  |                                                     | 15     | %  |
| •   WorldwideBondProgram                      |  |                                                     | 15     | %  |
| MultipleStyle Programs                                            |  |                                                     |   |    |
| •   Currency StrategicAllocationProgram       |  |                                                     | 20     | %  |
| ForeignExchange Programs                                          |  |                                                     |   |    |
| •   Dollar BasedProgram                       |  |                                                     | 10     | %  |
|                                                                   |

The allocation ofSAP's assets among the investment programs, as well as theselection of the programs used for SAP, is dynamic. While JWH'sindividual investment programs are technical, 

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trend-following programs, the selection ofprograms as well as the allocation of assets among the programs in SAPare entirely discretionary.

(a)    Liquidity.

The Partnership does not engage in sales of goods or services. Itsonly assets are its investment in the Master and cash. Because of thelow margin deposits normally required in commodity futures trading,relatively small price movements may result in substantial losses tothe Master. Such substantial losses could lead to a material loss inliquidity.

To minimize this risk relating to low margindeposits, the Master follows certain trading policies, including:

|           |                                                                                                                                                                                                                                                                                                                                              |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Master invests its assets only incommodity interests that an Advisor believes are traded in sufficientvolume to permit ease of taking and liquidating positions. Sufficientvolume, in this context, refers to a level of liquidity that theAdvisor believes will permit it to enter and exit trades withoutnoticeably moving the market. |

|            |                                                                                                                                                                                                                      |
|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | TheAdvisor will not initiate additional positions in any commodity ifthese positions would result in aggregate positions requiring a marginof more than 66 2/3% of the Master's netassets allocated to that Advisor. |

|             |                                                                                                                                                                                                                                                        |
|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | TheMaster may occasionally accept delivery of a commodity. Unless suchdelivery is disposed of promptly by retendering the warehouse receiptrepresenting the delivery to the appropriate clearinghouse, thephysical commodity position is fully hedged. |

|            |                                                                                                                                                                                                                                                    |
|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master does not employ the tradingtechnique commonly known as "pyramiding", inwhich the speculator uses unrealized profits on existing positions asmargin for the purchases or sale of additional positions in the same orrelated commodities. |

|           |                                                                                                                         |
|-----------|-------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Master does notutilize borrowings except short-term borrowings if the Master takesdelivery of any cash commodities. |

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

|             |                                                                                                                                                                                                                                                                                  |
|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | The Masterwill not permit the churning of its commodity trading account. The term"churning" refers to the practice of enteringand exiting trades with a frequency unwarranted by legitimate effortsto profit from the trades, driven by the desire to generate commissionincome. |

The Partnership is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments, through its investment in theMaster.

In the normal course of business, the Master is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments include forwards, futures, options and swaps,whose values are based upon an underlying asset, index or referencerate, and generally represent future commitments to exchange currenciesor cash flows, or to purchase or sell other financial instruments atspecified terms at specified future dates, or, in the case ofderivative commodity interests, to have a reasonable possibility to besettled in cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards, swaps and certain options. Each of these instrumentsis subject to various risks similar to those relating to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Master due to market changes, including interest and foreignexchange rate movements and fluctuations in 

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commodity or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

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

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

Otherthan the risks inherent in commodity futures and swaps trading, theMaster knows of no trends, demands, commitments, events oruncertainties which will result in or which are reasonably likely toresult in the Master's liquidity increasing or decreasing in anymaterial way. The Limited Partnership Agreement provides that theGeneral Partner may, in its discretion, cause the Partnership to ceasetrading operations and liquidate all open positions under certaincircumstances including a decrease in Net Asset Value per RedeemableUnit to less than $350 as of the close of business on any businessday.

(b)    Capital resources.

(i)    ThePartnership has made no material commitments for capitalexpenditures.

(ii)    The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby gains or losses on trading and by expenses, interest income,redemptions of Redeemable Units and distributions of profits, if any.Gains or losses on trading cannot be predicted. Market moves incommodities are dependent upon fundamental and technical factors whichthe Advisor may or may not be able to identify, such as changing supplyand demand relationships, weather, government agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. Partnership expensesconsist of, among other things, commissions, advisory fees andadministrative fees. The level of these expenses is dependent upon thelevel of trading and the ability of the Advisors to identify and takeadvantage of price movements in the commodity markets, in addition tothe level of Net Assets maintained in the Master. In addition, theamount of interest income payable by CGM is dependent upon interestrates over which the Partnership has no control.

No forecast canbe made as to the level of redemptions in any given period. A limitedpartner may redeem all or some of his Redeemable Units at the Net AssetValue as of the last day of any month on fifteen days' writtennotice to the General Partner. For the year ended December 31, 2005,906.8597 Redeemable Units were redeemed totaling $2,237,644. For theyear Ended December 31, 2004, 793.9542 Redeemable Units were redeemedtotaling $2,069,210. For the year ended December 31, 2003, 650.6429Redeemable Units were redeemed totaling $2,036,315.

RedeemableUnits of Limited Partnership Interest were sold to persons and entitieswho are accredited investors as that term is defined in rule 501(a) ofRegulation D under the Securities Act of 1933 as well as to thosepersons who are not accredited investors but who have either a networth (exclusive of home, furnishings and automobile) eitherindividually or jointly with the investor's spouse of at leastthree times his investment in the Partnership (the minimum investmentfor which is $50,000) or gross income for the two previous years andprojected gross income for the current fiscal year of not less thanthree times his investment in the Partnership for eachyear.

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(c)    Results ofOperations.

For the year ended December 31, 2005, the NetAsset Value Per Redeemable Unit decreased 24.2% from $3,130.15to $2,373.59. For the year ended December 31, 2004, the Net Asset Valueper Redeemable Unit increased 11.2% from $2,814.20 to $3,130.15.For the year ended December 31, 2003, the Net Asset Value perRedeemable Unit increased 3.3% from $2,724.46 to $2,814.20.

The Partnership, through its investment in the Master, experiencednet trading losses of $4,826,525 before commissions and expenses forthe year ended December 31, 2005. Losses were attributable to theMaster's trading of currencies, energy, grains, metals, U.S. andnon-U.S. interest rates and were partially offset by gains incurred inthe trading of livestock, softs and indices.

Trading resultsfear the year 2005 were characterized by several events that made itextraordinarily difficult for the advisor's program to tradesuccessfully and to retain profits when earned. While profitabletrading did occur in the stock index, and softs sectors, theserelatively slight gains were offset by losses experienced in the othersectors.

In financial markets, foreign stock market indices werethe most profitable sector for the partnership for the year as aresurging Japanese economy and positive political news in Europepropelled these markets out of long-term doldrums. More than offsettingthese gains were losses in US. and non-U.S. interest rate contracttrading.

Currency trading was also unprofitable with the focusbeing the U.S. dollar versus both European and Asian currencies. Aftera prolonged decline in 2004, the U.S. dollar defied expectations forfurther weakness and rallied in January resulting in losses for theadvisor at the beginning of the year. The dollar continuedstrengthening through the second quarter but encountered a prolongedperiod of volatility at the beginning of the third quarter with theChinese government's decision to revalue the Chinese yuan.

Profitable trading over the last half of the year in precious andbase metals trading was able to offset most but not all of the lossesincurred earlier in the year in the these markets. Of particular notewas the price of gold which rose to over $500 an ounce by the end ofthe year. Base metals such as zinc, copper and aluminum alsoexperienced substantial price increases as global demand andspeculative trading spurred prices.

The energy markets providedprofitable trading for much of the year with crude oil and natural gasprices dramatically reaching their peaks post Hurricanes Katrina andRita, Prices had risen so much, so quickly, however, that a notunexpected reaction was for prices to trade in a wide range over thelatter four months of the year. These types of markets were notconducive to profitable trading for advisor's trend-followingstrategies and resulted in a loss for the full year.

Overall, itwas a particularly difficult year for the Partnership's advisorwith periods of favorable market conditions abruptly dashed by singleevents and prolonged volatility.

The Partnership, through itsinvestment in the Master, experienced net trading gains of $4,508,984before commissions and expenses for the year ended December 31, 2004.Gains were attributable to the Master's trading of currencies,energy, grains, U.S. and non-U.S. interest rates and were partiallyoffset by losses incurred in the trading of livestock, metals, stockindices and softs

Trading results for the year 2004 can bedescribed in four distinct periods: the first two months of the yearproduced positive results of over 12% with trends carrying overfrom late 2003, the middle five months experienced extraordinarilydifficult conditions and losses of approximately 33% from recenthighs for the Partnership, August through November witnessed a recoveryperiod with an increase in net asset value per unit of over 47%.And December stands alone with the Partnership down approximately1.4% for the month but finishing up 11.2% for the fullyear. The results for the year were heavily influenced by two historictrends: the decline in the value and subsequent volatility of the U.S.dollar versus major currencies and the run-up in the price of crude oilto over $50 a barrel.

2004 started strongly with many of thetrends from late 2003 continuing into early 2004. Notably lowerinterest rates in the U.S. and other major countries fostered strongglobal economic growth and pressured commodity prices. These resultedin upward trends in many sectors, especially energy, metals

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and grains and provided profitable tradingopportunities for the Partnership's advisor. These trendspersisted into early March when economic indicators in the U.S. andChina suggested rising inflation and markets reversed with higherinterest rates, collapsing commodity prices and the dollarreversal.

This began a protracted period of tentative andconflicting trends across many sectors. As expected in the nature oftrend-following, the strength of profitable trends is often followed bytemporary but often severe periods of losses. Late March through Junewas such a period for the Partnership's advisor as positions wereadjusted from what had been profitable, long-term trends to choppy,directionless and volatile Markets. Trading was treacherous and thusunprofitable in U.S. and Asian interest rates and global stock indiceswhile energy, metals and grains provided some offsetting profits. Thefundamental economic concerns hanging over these markets were furtherexacerbated by the uncertainty surrounding the tightly contested U.S.presidential election.

With the year 2004 looking dismal goinginto the late summer, the price of crude oil resumed its climb to $50 abarrel brought on by a deteriorating security situation in Iraq, SaudiArabia political turmoil, and renewed threats of terrorism. Longpositions in the energy sector continued to provide profits to thePartnership through the end of the third quarter and into the fourthquarter. In late August the U.S. dollar began a precipitous slidetoward $1.40 to the euro. These renewed trends in currency pricescombined with declining interest rates and stronger global stockmarkets were favorable to the Partnership's advisor and provideda solidly profitable September and November for the Partnership.Volatility across many markets especially currencies and energy inDecember resulted in slight loss for the month. In spite of anextremely difficult and challenging year, the Partnership had anoverall increase in net asset value per unit for the year.

ThePartnership, through its investment in the Master, experienced nettrading gains of $3,645,441 before commissions and expenses for theyear ended December 31, 2003. Gains were attributable to theMaster's trading of currencies, livestock, metals and stockindices and were partially offset by losses incurred in the trading ofenergy, grains, U.S. and non-U.S. interest rates and softs.

(d)    Operational Risk

The Partnership, throughits investment in the Master, is directly exposed to market risk andcredit risk, which arise in the normal course of its businessactivities. Slightly less direct, but of critical importance, are riskspertaining to operational and back office support. This is particularlythe case in a rapidly changing and increasingly global environment withincreasing transaction volumes and an expansion in the number andcomplexity of products in the marketplace.

Such risksinclude:

Operational/Settlement Risk — the risk offinancial and opportunity loss and legal liability attributable tooperational problems, such as inaccurate pricing of transactions,untimely trade execution, clearance and/or settlement, or the inabilityto process large volumes of transactions. The Partnership, through itsinvestment in the Master, is subject to increased risks with respect toits trading activities in emerging market securities, where clearance,settlement, and custodial risks are often greater than in moreestablished markets.

Technological Risk — the riskof loss attributable to technological limitations or hardware failurethat constrain the Partnership's and the Master's abilityto gather, process, and communicate information efficiently andsecurely, without interruption, with customers, among Redeemable Unitswithin the Partnership and the Master, and in the markets where thePartnership and the Master participate.

Legal/DocumentationRisk — the risk of loss attributable to deficiencies in thedocumentation of transactions (such as trade confirmations) andcustomer relationships (such as master netting agreements) or errorsthat result in noncompliance with applicable legal and regulatoryrequirements.

Financial Control Risk — the risk ofloss attributable to limitations in financial systems and controls.Strong financial systems and controls ensure that assets aresafeguarded, that transactions are executed in accordance withmanagement's authorization, and that financial informationutilized by management and communicated to external parties, includingthe Partnership's Redeemable Unit holders, creditors, andregulators, is free of material errors.

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(e)    Critical AccountingPolicies.

The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires estimates and assumptions that affect thereported amounts of assets and liabilities, revenues and expenses, andrelated disclosures of contingent assets and liabilities in thefinancial statements and accompanying notes.

All commodityinterests of the Master (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statements of financial condition at fair value on thelast business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the Managing Member for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

Foreign currency contractsare those contracts where the Master agrees to receive or deliver afixed quantity of foreign currency for an agreed-upon price on anagreed future date. Foreign currency contracts are valued daily, andthe Master's net equity therein, representing unrealized gain orloss on the contracts as measured by the difference between the forwardforeign exchange rates at the dates of entry into the contracts and theforward rates at the reporting dates, is included in the statements offinancial condition. Realized gains (losses) and changes in unrealizedvalues on foreign currency contracts are recognized in the period inwhich the contract is closed or the changes occur and are included inthe statements of income and expenses and members' capital.

The General Partner believes that the accounting policies that willbe most critical to the Partnership's financial condition andresults of operations relate to the valuation of the Master'spositions. The majority of the Partnership's/Master'spositions will be exchange-traded futures contracts, which will bevalued daily at settlement prices published by the exchanges. Ifapplicable, the Master's spot and forward foreign currencycontracts will also be valued at published daily settlement prices orat dealers' quotes. The General Partner expects that under normalcircumstances substantially all of thePartnership's/Master's assets will be valued by objectivemeasures and without difficulty.

Item 7A.    Quantitativeand Qualitative Disclosures About Market Risk.

Introduction

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

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of the Partnershipassets and undistributed profits. This limited liability is aconsequence of the organization of the Partnership as a limitedpartnership under applicable law.

Market movements result infrequent changes in the fair market value of the Master's openpositions and, consequently, in its earnings and cash flow. TheMaster's and the Partnership's market risk is influenced bya wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market valueof financial instruments and contracts, the diversification effectsamong the Master's open positions and the liquidity of themarkets in which it trades.

The Master rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets. Consequently, it is not possible to predict how a particularfuture market scenario will affect performance, and the Master'spast performance is not necessarily indicative of its futureresults.

18

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Value at Risk is a measure of the maximumamount which the Master could reasonably be expected to lose in a givenmarket sector. However, the inherent uncertainty of the Master'sspeculative trading and the recurrence in the markets traded by theMaster of market movements far exceeding expectations could result inactual trading or non-trading losses far beyond the indicated Value atRisk or the Master's experience to date (i.e., "riskof ruin"). In light of the foregoing as well as the risksand uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered toconstitute any assurance or representation that the Master'slosses in any market sector will be limited to Value at Risk or by theMaster's attempts to manage its market risk.

Quantifyingthe Master's Trading Value at Risk

The followingquantitative disclosures regarding the Master's market riskexposures contain "forward-lookingstatements" within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor except forstatements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

TheMaster's risk exposure in the various market sectors traded bythe Advisor is quantified below in terms of Value at Risk. Due to theMaster's mark-to-market accounting, any loss in the fair value ofthe Master's open positions is directly reflected in theMaster's earnings (realized or unrealized) and cash flow.

Exchange maintenance margin requirements have been used by theMaster as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%–99% of any one-day intervals. Themaintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of currentmarket volatility (including the implied volatility of the options on agiven futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component, which is not relevant to Value at Risk.

In the case of market sensitive instruments, which are not exchangetraded (almost exclusively currencies in the case of the Master), themargin requirements for the equivalent futures positions have been usedas Value at Risk. In those rare cases in which a futures-equivalentmargin is not available, dealers' margins have been used.

The fair value of the Master's futures and forward positionsdoes not have any optionality component. However, the Advisor tradescommodity options. The Value at Risk associated with options isreflected in the following table as the margin requirement attributableto the instrument underlying each option. Where this instrument is afutures contract, the futures margin, and where this instrument is aphysical commodity, the futures-equivalent maintenance margin has beenused. This calculation is conservative in that it assumes that the fairvalue of an option will decline by the same amount as the fair value ofthe underlying instrument, whereas, in fact, the fair values of theoptions traded by the Master in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Master's Value at Risk, 100% positive correlation inthe different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Master's positions are rarely,if ever, 100% positively correlated have not been reflected.

The Master's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof December 31, 2005 and the highest and lowest value at any pointduring the 

19

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year. All open position-trading riskexposures of the Master have been included in calculating the figuresset forth below. As of December 31, 2005, the Master's totalcapitalization was $163,812,603.

December 31,2005

|                                  |  |               |            |                          |  |                  |        |                  |  |                      |            |        |  |        |           |        |  |        |            |        |  |  |
|----------------------------------|--|---------------|------------|--------------------------|--|------------------|--------|------------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
| MarketSector                     |  | Value at Risk |            | % ofTotal Capitalization |  | HighValue atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies:                      |  |          |       |                     |  |             |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —OTC Contracts             |  | $             | 7,825,928  |                     |  |             | 4.78   | %           |  | $                    | 17,193,806 |   |  | $      | 5,084,096 |   |  | $      | 10,343,780 |   |
| Energy                           |  |          | 3,968,100  |                     |  |             | 2.42   | %           |  |                 | 9,753,735  |   |  |   | 2,066,250 |   |  |   | 6,559,403  |   |
| Grains                           |  |          | 213,380    |                     |  |             | 0.13   | %           |  |                 | 686,681    |   |  |   | 137,727   |   |  |   | 367,680    |   |
| Interest RatesU.S.               |  |          | 1,155,800  |                     |  |             | 0.71   | %           |  |                 | 2,373,400  |   |  |   | 229,065   |   |  |   | 1,350,279  |   |
| Interest Rates Non-U.S.          |  |          | 2,047,806  |                     |  |             | 1.25   | %           |  |                 | 8,280,125  |   |  |   | 1,551,019 |   |  |   | 4,649,754  |   |
| Livestock                        |  |          | 45,500     |                     |  |             | 0.03   | %           |  |                 | 151,200    |   |  |   | 3,200     |   |  |   | 74,367     |   |
| Metals                           |  |          |       |                     |  |             |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —Exchange Traded Contracts |  |          | 1,236,500  |                     |  |             | 0.75   | %           |  |                 | 1,747,000  |   |  |   | 186,000   |   |  |   | 1,041,820  |   |
| — OTCContracts             |  |          | 935,698    |                     |  |             | 0.57   | %           |  |                 | 2,427,602  |   |  |   | 511,160   |   |  |   | 1,235,947  |   |
| Softs                            |  |          | 891,475    |                     |  |             | 0.54   | %           |  |                 | 1,580,442  |   |  |   | 515,760   |   |  |   | 960,763    |   |
| Indices                          |  |          | 3,088,372  |                     |  |             | 1.89   | %           |  |                 | 4,526,107  |   |  |   | 1,482,358 |   |  |   | 3,013,924  |   |
| Total                            |  | $             | 21,408,559 |                     |  |             | 13.07  | %           |  |                 |       |   |  |   |      |   |  |   |       |   |
|                                  |

|  |
|--|
|  |  |
|  |

|  |                                                  |
|--|--------------------------------------------------|
|  | *annual average based on month-end value at risk |

As ofDecember 31, 2004, the Master's total capitalization was$227,330,049.

December 31,2004

|                                 |  |               |            |                          |  |                  |        |                  |  |                       |            |        |  |        |           |        |  |        |            |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|------------------|--------|------------------|--|-----------------------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | HighValue atRisk |        | LowValue at Risk |  | Average* Value atRisk |
| Currencies                      |  |          |       |                     |  |             |   |             |  |                  |       |   |  |   |      |   |  |   |       |   |
| —OTCContracts             |  | $             | 18,279,082 |                     |  |             | 8.04   | %           |  | $                     | 19,488,397 |   |  | $      | 6,009,165 |   |  | $      | 11,416,523 |   |
| Energy                          |  |          | 8,464,810  |                     |  |             | 3.72   | %           |  |                  | 10,739,025 |   |  |   | 4,281,150 |   |  |   | 6,625,471  |   |
| Grains                          |  |          | 374,560    |                     |  |             | 0.17   | %           |  |                  | 1,167,650  |   |  |   | 324,855   |   |  |   | 792,869    |   |
| InterestRatesU.S.               |  |          | 1,593,745  |                     |  |             | 0.70   | %           |  |                  | 2,728,400  |   |  |   | 562,510   |   |  |   | 2,080,827  |   |
| InterestRatesNon-U.S.           |  |          | 8,321,211  |                     |  |             | 3.66   | %           |  |                  | 9,645,652  |   |  |   | 3,748,757 |   |  |   | 7,399,765  |   |
| Livestock                       |  |          | 129,150    |                     |  |             | 0.06   | %           |  |                  | 234,000    |   |  |   | 23,100    |   |  |   | 170,236    |   |
| Metals                          |  |          |       |                     |  |             |   |             |  |                  |       |   |  |   |      |   |  |   |       |   |
| —Exchange TradedContracts |  |          | 1,413,000  |                     |  |             | 0.62   | %           |  |                  | 2,134,000  |   |  |   | 144,500   |   |  |   | 1,663,750  |   |
| —OTCContracts             |  |          | 2,260,564  |                     |  |             | 0.99   | %           |  |                  | 2,737,391  |   |  |   | 939,150   |   |  |   | 1,573,962  |   |
| Softs                           |  |          | 1,548,954  |                     |  |             | 0.68   | %           |  |                  | 1,735,047  |   |  |   | 560,686   |   |  |   | 1,175,096  |   |
| Indices                         |  |          | 5,266,285  |                     |  |             | 2.32   | %           |  |                  | 6,506,354  |   |  |   | 1,807,427 |   |  |   | 4,124,850  |   |
| Total                           |  | $             | 47,651,361 |                     |  |             | 20.96  | %           |  |                  |       |   |  |   |      |   |  |   |       |   |
|                                 |

|  |
|--|
|  |  |
|  |

|  |                                                  |
|--|--------------------------------------------------|
|  | *annual average based on month-end value at risk |

MaterialLimitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Masteris typically many times the applicable maintenance margin requirement(margin requirements generally range between 2% and 15%of contract face value) as well as many times the capitalization of theMaster. The magnitude of the Master's open positions creates a"risk of ruin" not typically found in mostother investment vehicles. Because of the size of its positions,certain market conditions — unusual, but historically recurringfrom time to time — could cause the Master to incur severe lossesover a short period of time. The foregoing Value at Risk table —as well as the past performance of the Master — gives noindication of this "risk of ruin."

20

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Non-Trading Risk

The Master hasnon-trading market risk on its foreign cash balances not needed formargin. However, these balances (as well as any market risk theyrepresent) are considered to be immaterial.

Materiality as usedin this section, "Qualitative and Quantitative DisclosuresAbout Market Risk," is based on an assessment ofreasonably possible market movements and the potential losses caused bysuch movements, taking into account the leverage, optionality andmultiplier features of the Master's market sensitiveinstruments.

Qualitative Disclosures Regarding Primary TradingRisk Exposures

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

The following were the primary trading riskexposures of the Master as of December 31, 2005, by market sector.

Interest Rates. Interest rate movements directly affect theprice of the futures positions held by the Master and indirectly thevalue of its stock index and currency positions. Interest ratemovements in one country as well as relative interest rate movementsbetween countries materially impact the Master's profitability.The Master's primary interest rate exposure is to interest ratefluctuations in the United States and the other G-8 countries. However,the Master also takes futures positions on the government debt ofsmaller nations — e.g., Australia.

Currencies. The Master's currency exposure is toexchange rate fluctuations, primarily fluctuations which disrupt thehistorical pricing relationships between different currencies andcurrency pairs. These fluctuations are influenced by interest ratechanges as well as political and general economic conditions. TheManaging Member does not anticipate that the risk profile of theMaster's currency sector will change significantly in the future.The currency trading Value at Risk figure includes foreign marginamounts converted into U.S. dollars with an incremental adjustment toreflect the exchange rate risk inherent to the U.S. dollar-based Masterin expressing Value at Risk in a functional currency other than U.S.dollars.

Stock Indices. The Master's primaryequity exposure is to equity price risk in the G-8 countries. The stockindex futures traded by the Master are limited to futures on broadlybased indices. As of December 31, 2005, the Master's primaryexposures were in the Eurex (Germany) and Chicago Mercantile Exchange(United States). The Managing Member anticipates little, if any,trading in non-G-8 stock indices. The Master is primarily exposed tothe risk of adverse price trends or static markets in the major U.S.,European and Japanese indices. (Static markets would not cause majormarket changes but would make it difficult for the Partnership, throughthe Master, to avoid being "whipsawed" intonumerous small losses.)

Metals. The Master'sprimary metal market exposure is to fluctuations in the price of goldand silver. Although the Advisor will from time to time trade basemetals such as aluminum and copper, the principal market exposures ofthe Master have consistently been in the precious metals, gold andsilver.

21

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Softs. The Master'sprimary commodities exposure is to agricultural price movements, whichare often directly affected by severe, or unexpected weatherconditions. Coffee, cotton and sugar accounted for the substantial bulkof the Master's commodity exposure as of December 31, 2005.

Energy. The Master's primary energy market exposureis to gas and oil price movements, often resulting from politicaldevelopments in the Middle East. Oil prices can be volatile andsubstantial profits and losses have been and are expected to continueto be experienced in this market.

Qualitative DisclosuresRegarding Non-Trading Risk Exposure

The following were the onlynon-trading risk exposures of the Master as of December 31, 2005.

Foreign Currency Balances. The Master's primaryforeign currency balances are in Japanese yen, Euro dollar and Swissfrancs. The Advisor regularly converts foreign currency balances toU.S. dollars in an attempt to control the Master's non-tradingrisk.

Qualitative Disclosures Regarding Means of Managing RiskExposure

The General Partner monitors and controls theMaster's and the Partnership's risk exposure on a dailybasis through financial, credit and risk management monitoring systemsand accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masterand the Partnership are subject.

The General Partner monitorsthe Master's performance and the concentration of its openpositions, and consults with the Advisor concerning the Master'soverall risk profile. If the General Partner felt it necessary to doso, the General Partner could require the Advisor to close outindividual positions as well as enter certain positions traded onbehalf of the Master. However, any such intervention would be a highlyunusual event. The General Partner primarily relies on theAdvisor's own risk control policies while maintaining a generalsupervisory overview of the Master's market risk exposures.

The Advisor applies its own risk management policies to its trading.The Advisor often follows diversification guidelines, margin limits andstop loss points to exit a position. The Advisor's research ofrisk management often suggests ongoing modifications to its tradingprograms.

As part of the General Partner's riskmanagement, the General Partner periodically meets with the Advisor todiscuss its risk management and to look for any material changes to theAdvisor's portfolio balance and trading techniques. The Advisoris required to notify the General Partner of any material changes toits programs.

22

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Item8.    Financial Statements and Supplementary Data.

SHEARSON MID-WEST FUTURES FUND

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                  |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|------------------|--|--|--|--|
|                                                                                          |  | PageNumber       |
| Oath or Affirmation                                                                           |  | F-2              |
| Reportof Independent Registered Public AccountingFirm                                         |  | F-3              |
| Statements of Financial Conditionat December 31, 2005 and 2004                                |  | F-4              |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and 2003         |  | F-5              |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004 and2003 |  | F-6              |
| Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003                  |  | F-7              |
| Notes to Financial Statements                                                                 |  | F-8 –F-11  |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-12             |
| Financial Statements ofthe Master:                                                            |  |             |
| Oath or Affirmation                                                                           |  | F-13             |
| Independent Auditors' Report                                                                  |  | F-14             |
| Statements of Financial Condition atDecember 31, 2005 and 2004                                |  | F-15             |
| CondensedSchedules of Investments at December 31, 2005 and 2004                               |  | F-16– F-17 |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and 2003         |  | F-18             |
| Statements of Changes inMembers' Capital for the years ended December 31, 2005, 2004 and2003  |  | F-19             |
| Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003                  |  | F-20             |
| Notes to Financial Statements                                                                 |  | F-21 –F-24 |
| Selected Unaudited Quarterly Financial Data                                                   |  | F-25             |
|                                                                                               |

F-1

----

Tothe Limited Partners ofShearson Mid-West Futures Fund

Tothe best of the knowledge and belief of the undersigned, theinformation contained herein is accurate and complete.

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

|  | By:   DanielR. McAuliffe, Jr.        Chief Financial Officer andDirector        Citigroup Managed FuturesLLC        General Partner, ShearsonMidwest        Futures Fund |
|--|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofShearson Mid-WestFutures Fund:

We have audited the accompanying statements offinancial condition of Shearson Mid-West Futures Fund (the"Partnership"), as of December 31, 2005 and2004, and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements. An audit also assessing the accounting principles used andsignificant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our auditsprovide a reasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Shearson Mid-West Futures Fund asof December 31, 2005 and 2004, and the results of its operations,changes in its partners' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

|  |
|--|
|  |  |
|  |

New York, New York March 13,2006

F-3

----

ShearsonMid-West Futures FundStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                      |  |        |            |        |  |        |            |        |  |  |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                 |  | 2005   |            | 2004   |
| Assets:                                                                                                                              |  |   |       |   |  |   |       |   |
| Investmentin Master, at fairvalue                                                                                                    |  | $      | 17,851,693 |   |  | $      | 26,615,586 |   |
| Cash                                                                                                                                 |  |   | 29,376     |   |  |   | 8,995      |   |
|                                                                                                                                 |  | $      | 17,881,069 |   |  | $      | 26,624,581 |   |
|                                                                                                                                 |  |   |       |   |  |   |       |   |
| Liabilitiesand Partners'Capital:                                                                                                     |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                         |  |   |       |   |  |   |       |   |
| Accruedexpenses:                                                                                                                     |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                 |  | $      | 89,405     |   |  | $      | 133,123    |   |
| Managementfees (Note3b)                                                                                                              |  |   | 29,585     |   |  |   | 44,096     |   |
| Administrativefees (Note3a)                                                                                                          |  |   | 14,792     |   |  |   | 22,048     |   |
| Professionalfees                                                                                                                     |  |   | 27,342     |   |  |   | 20,535     |   |
| Other                                                                                                                                |  |   | 13,532     |   |  |   | 13,464     |   |
| Redemptionspayable (Note5)                                                                                                           |  |   | 76,963     |   |  |   | 304,065    |   |
|                                                                                                                                 |  |   | 251,619    |   |  |   | 537,331    |   |
| Partners'capital (Notes 1 and5):                                                                                                     |  |   |       |   |  |   |       |   |
| General Partner,40.4850 Unit equivalents outstanding in 2005 and2004                                                                 |  |   | 96,095     |   |  |   | 126,724    |   |
| LimitedPartners, 7,386.8474 and 8,293.7071 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 17,533,355 |   |  |   | 25,960,526 |   |
|                                                                                                                                 |  |   | 17,629,450 |   |  |   | 26,087,250 |   |
|                                                                                                                                 |  | $      | 17,881,069 |   |  | $      | 26,624,581 |   |
|                                                                                                                                      |

Seeaccompanying notes to financial statements.

F-4

----

Shearson Mid-West FuturesFundStatements of Income and Expensesfor the yearsendedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |            |         |  |        |           |         |  |        |           |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|---------|--|--------|-----------|---------|--|--|
|                                                                                                                   |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |       |    |  |   |      |    |  |   |      |    |
| Realizedgains (losses) on closed positions and foreign currencies fromMaster                                           |  | $      | (1,697,115 | )  |  | $      | 3,514,816 |    |  | $      | 3,020,802 |    |
| Changein unrealized gains (losses) on open positions fromMaster                                                        |  |   | (3,129,410 | )  |  |   | 994,168   |    |  |   | 624,639   |    |
| Expensesallocated fromMaster                                                                                           |  |   | (39,458    | )  |  |   | (77,552   | )  |  |   | (105,066  | )  |
|                                                                                                                   |  |   | (4,865,983 | )  |  |   | 4,431,432 |    |  |   | 3,540,375 |    |
| Interestincome allocated fromMaster                                                                                    |  |   |       |    |  |   |      |    |  |   |      |    |
| (Note3c)                                                                                                               |  |   | 483,782    |    |  |   | 250,001   |    |  |   | 227,447   |    |
|                                                                                                                   |  |   | (4,382,201 | )  |  |   | 4,681,433 |    |  |   | 3,767,822 |    |
| Expenses:                                                                                                              |  |   |       |    |  |   |      |    |  |   |      |    |
| Brokeragecommissions (Note3c)                                                                                          |  |   | 1,182,775  |    |  |   | 1,430,404 |    |  |   | 1,713,983 |    |
| Managementfees (Note3b)                                                                                                |  |   | 391,310    |    |  |   | 473,866   |    |  |   | 567,899   |    |
| Administrativefees (Note3a)                                                                                            |  |   | 195,655    |    |  |   | 236,934   |    |  |   | 283,948   |    |
| Incentivefees (Note3b)                                                                                                 |  |   | —    |    |  |   | —   |    |  |   | 77,162    |    |
| Professionalfees                                                                                                       |  |   | 44,468     |    |  |   | 47,392    |    |  |   | 35,572    |    |
| Otherexpenses                                                                                                          |  |   | 23,747     |    |  |   | 24,798    |    |  |   | 6,460     |    |
|                                                                                                                   |  |   | 1,837,955  |    |  |   | 2,213,394 |    |  |   | 2,685,024 |    |
| Netincome(loss)                                                                                                        |  | $      | (6,220,156 | )  |  | $      | 2,468,039 |    |  | $      | 1,082,798 |    |
|                                                                                                                   |  |   |       |    |  |   |      |    |  |   |      |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | (756.56    | )  |  | $      | 315.95    |    |  | $      | 89.74     |    |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-5

----

Shearson Mid-West FuturesFundStatements of Changes in Partners' Capitalfor theyears endedDecember 31, 2005, 2004, and2003

|                                                                       |  |                 |            |                |  |        |         |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|---------|---------|--|--------|------------|---------|--|--|
|                                                                  |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners' capital atDecember 31,2002                                  |  | $               | 26,531,638 |           |  | $      | 110,300 |    |  | $      | 26,641,938 |    |
| Netincome                                                             |  |            | 1,079,165  |           |  |   | 3,633   |    |  |   | 1,082,798  |    |
| Redemptionof 650.6429 Redeemable Units of Limited PartnershipInterest |  |            | (2,036,315 | )         |  |   | — |    |  |   | (2,036,315 | )  |
| Partners'capital at December 31,2003                                  |  |            | 25,574,488 |           |  |   | 113,933 |    |  |   | 25,688,421 |    |
| Netincome                                                             |  |            | 2,455,248  |           |  |   | 12,791  |    |  |   | 2,468,039  |    |
| Redemptionof 793.9542 Redeemable Units of Limited PartnershipInterest |  |            | (2,069,210 | )         |  |   | — |    |  |   | (2,069,210 | )  |
| Partners'capital at December 31,2004                                  |  |            | 25,960,526 |           |  |   | 126,724 |    |  |   | 26,087,250 |    |
| Netloss                                                               |  |            | (6,189,527 | )         |  |   | (30,629 | )  |  |   | (6,220,156 | )  |
| Redemptionof 906.8597 Redeemable Units of Limited PartnershipInterest |  |            | (2,237,644 | )         |  |   | — |    |  |   | (2,237,644 | )  |
| Partners'capital at December 31,2005                                  |  | $               | 17,533,355 |           |  | $      | 96,095  |    |  | $      | 17,629,450 |    |
|                                                                       |

NetAsset Value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2003 |  | $ | 2,814.20 |   |
| 2004 |  | $ | 3,130.15 |   |
| 2005 |  | $ | 2,373.59 |   |
|      |

Seeaccompanying notes to financial statements.

F-6

----

Shearson Mid-West FuturesFundStatements of Cash Flowsfor the years ended December31, 2005, 2004 and2003

|                                                                                                 |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                            |  | 2005   |            | 2004    |  | 2003   |
| Cashflows from operatingactivities:                                                             |  |   |       |    |  |   |       |    |  |   |       |    |
| Net income(loss)                                                                                |  | $      | (6,220,156 | )  |  | $      | 2,468,039  |    |  | $      | 1,082,798  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |   |       |    |  |   |       |    |  |   |       |    |
| Changesin operating assets andliabilities                                                       |  |   |       |    |  |   |       |    |  |   |       |    |
| Proceedsfrom sale of investment inPartnership                                                   |  |   | 3,897,910  |    |  |   | 3,714,026  |    |  |   | 4,508,921  |    |
| Netunrealized appreciation (depreciation) on investment inPartnership's                         |  |   | 4,865,983  |    |  |   | (4,431,432 | )  |  |   | (3,540,375 | )  |
| Accruedexpenses:                                                                                |  |   |       |    |  |   |       |    |  |   |       |    |
| Increase(decrease) incommissions                                                                |  |   | (43,718    | )  |  |   | 3,563      |    |  |   | (4,887     | )  |
| Increase(decrease) in managementfees                                                            |  |   | (14,511    | )  |  |   | 1,156      |    |  |   | (1,609     | )  |
| Increase(decrease) in administrativefees                                                        |  |   | (7,256     | )  |  |   | 578        |    |  |   | (805       | )  |
| Increase(decrease) in professionalfees                                                          |  |   | 6,807      |    |  |   | 7,812      |    |  |   | (7,499     | )  |
| Increase(decrease) inother                                                                      |  |   | 68         |    |  |   | 7,862      |    |  |   | 485        |    |
| Netcash provided by (used in) operatingactivities                                               |  |   | 2,485,127  |    |  |   | 1,771,604  |    |  |   | 2,037,029  |    |
|                                                                                            |  |   |       |    |  |   |       |    |  |   |       |    |
| Cashflows from financingactivities:                                                             |  |   |       |    |  |   |       |    |  |   |       |    |
| Payment forredemptions – LimitedPartners                                                  |  |   | (2,464,746 | )  |  |   | (1,776,402 | )  |  |   | (2,045,945 | )  |
| Netchange incash                                                                                |  |   | 20,381     |    |  |   | (4,798     | )  |  |   | (8,916     | )  |
| Cash,at beginning ofyear                                                                        |  |   | 8,995      |    |  |   | 13,793     |    |  |   | 22,709     |    |
| Cash,at end ofyear                                                                              |  | $      | 29,376     |    |  | $      | 8,995      |    |  | $      | 13,793     |    |
|                                                                                                 |

Seeaccompanying notes to financialstatements.

F-7

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

1.    PartnershipOrganization:

Shearson Mid-West Futures Fund (the"Partnership") is a limited partnership whichwas organized on August 21, 1991 under the partnership laws of theState of New York to engage, directly or indirectly, in the speculativetrading of a diversified portfolio of commodity interests includingfutures contracts, options and forward contracts. The Partnershipcommenced trading on December 2, 1991. From December 2, 1991 to January25, 2001, the Partnership engaged directly in the speculative tradingof a diversified portfolio of commodity interests. The Partnership wasauthorized to sell up to 40,000 redeemable units of Limited PartnershipInterest ("Redeemable Units") during itsinitial offering period.

Effective January 26, 2001, thePartnership allocated substantially all of its capital to the JWHStrategic Allocation Master Fund  LLC, a New York LimitedLiability Company (the "Master"). With thiscash, the Partnership purchased 31,509.8853 Units of the Master with afair value of $31,509,885. The Master was formed in order to permitcommodity pools managed now or in the future by John W. Henry &Company, Inc. ("JWH") using the StrategicAllocation Program, JWH's proprietary trading program, to investtogether in one trading vehicle. The commodity interests that aretraded by the Master are volatile and involve a high degree of marketrisk. Citigroup Managed Futures LLC, acts as the general partner (the"General Partner") of the Partnership. TheGeneral Partner is the managing member of the Master. Individual andpooled accounts currently managed by JWH, including the Partnership arepermitted to be a non-managing member of the Master. The GeneralPartner and JWH believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of investment in the Master areapproximately the same and redemption rights are not affected.

The financial statements of the Master, including the condensedschedules of investments, are contained elsewhere in this report andshould be read together with the Partnership's financialstatements.

At December 31, 2005 and 2004, the Partnership owns10.87% and 11.69%, respectively, of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

ThePartnership's and Master's commodity broker is CitigroupGlobal Markets Inc. ("CGM"). CGM is anaffiliate of the General Partner. The General Partner is wholly ownedby Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

The General Partner andeach limited partner share in the profits and losses of the Partnershipin proportion to the amount of partnership interest owned by eachexcept that no limited partner shall be liable for obligations of thePartnership in excess of their initial capital contribution andprofits, if any, net of distributions.

The Partnership will beliquidated upon the first to occur of the following: December31, 2011; when the net asset value of a Redeemable Unit decreases toless than $350 per Redeemable Unit as of the close of business on anybusiness day; or under certain other circumstances as defined in theLimited Partnership Agreement.

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the income and expenses and unrealized andrealized gains and losses from the commodity transactions of the Masterare allocated pro rata among the investors at the time of suchdetermination. All commodity interests (including derivative financialinstruments and derivative commodity instruments) held by the Masterare used for trading purposes. The commodity interests are recorded ontrade date and open |

F-8

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | contracts are recorded in the statements offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

|          |                                                                                                                                                          |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxes have not been provided as eachpartner is individually liable for the taxes, if any, on their share ofthe Partnership's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, anddisclosure of contingent assets and liabilities at the date of thefinancial statements and the reported amounts of revenues and expensesduring the reporting period. Actual results could differ from theseestimates. |

|          |                                                                                             |
|----------|---------------------------------------------------------------------------------------------|
| d.  | Certain prior period amountshave been reclassified to conform to current year presentation. |

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

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

The General Partner administers the business andaffairs of the Partnership including selecting one or more advisors tomake trading decisions for the Partnership. The Partnership will paythe General Partner a monthly administrative fee in return for itsservices to the Partnership equal to 1/12 of 1%(1%  per year) of month-end Net Assets of the Partnership.Month-end Net Assets, for the purpose of calculating administrativefees are Net Assets, as defined in the Limited Partnership Agreement,prior to the reduction of redemptions and incentive fees. This fee maybe increased or decreased at the discretion of the General Partner.

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

TheManagement Agreement that the General Partner, on behalf of thePartnership, entered into with the Advisor, provides that the Advisorhas sole discretion in determining the allocation of the assets of thePartnership. The Partnership is obligated to pay the Advisor a monthlymanagement fee equal to 1/6 of 1% (2% per year) ofmonth-end Net Assets allocated pro-rata by the Master. Month-end NetAssets, for the purpose of calculating management fees are Net Assets,as defined in the Limited Partnership Agreement, prior to the reductionof redemptions and incentive fees. In addition, the Partnership isobligated to pay the Advisor an incentive fee, payable quarterly, equalto 20% of the New Trading Profits allocated pro-rata by theMaster, as defined in the Management Agreement.

|          |                     |
|----------|---------------------|
| c.  | Customer Agreement: |

ThePartnership is obligated to pay a brokerage fee equal to 1/2 of1% (6% per year) of month-end Net Assets allocatedpro-rata from the Master. All exchange, clearing, user, give-up, floorbrokerage and National Futures Association fees are borne by the Masterand allocated pro-rata to the Partnership through its investment inMaster. CGM pays a portion of its brokerage fees to its financialconsultants who have sold Redeemable Units of the Partnership. CGM paysthe Partnership interest on 80% of the average daily equityallocated pro-rata to the Partnership by the Master during each monthat the rate of the average non-competitive yield of 13-week U.S.Treasury bills as determined at the weekly auctions thereof during themonth. The Customer Agreement between the Master and CGM gives theMaster the legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party.

F-9

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

|          |                    |
|----------|--------------------|
| 4.  | TradingActivities: |

The results of the Master's tradingactivities are shown in the statements of income and expenses.

|          |                                |
|----------|--------------------------------|
| 5.  | Distributions and Redemptions: |

Distributions of profits, if any, will be made at the solediscretion of the General Partner; however, a limited partner mayredeem all or some of their Redeemable Units at the Net Asset Value asof the last day of any month ending at least one month after tradingcommenced on fifteen days written notice to the General Partner.

The Partnership is permitted to withdraw all or a portion ofits interest in the Master as of each month-end in order to meet itsobligations with respect to the redemption rights of limitedpartners.

|          |                      |
|----------|----------------------|
| 6.  | FinancialHighlights: |

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December 31, 2005, 2004 and2003 are asfollows:

|                                                      |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|------------------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                                 |  | 2005   |          | 2004     |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | (735.88  | )   |  | $      | 376.90   |     |  | $      | 168.46   |     |
| Interestincome                                       |  |   | 61.78    |     |  |   | 28.33    |     |  |   | 24.18    |     |
| Expenses**                                           |  |   | (82.46   | )   |  |   | (89.28   | )   |  |   | (102.90  | )   |
| Increase(decrease) foryear                           |  |   | (756.56  | )   |  |   | 315.95   |     |  |   | 89.74    |     |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 3,130.15 |     |  |   | 2,814.20 |     |  |   | 2,724.46 |     |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 2,373.59 |     |  | $      | 3,130.15 |     |  | $      | 2,814.20 |     |
| Ratiosto Average NetAssets:                          |  |   |     |     |  |   |     |     |  |   |     |     |
| Netinvestment loss before incentivefees***           |  |   | (6.8     | )%  |  |   | (8.6     | )%  |  |   | (8.9     | )%  |
| Operatingexpenses                                    |  |   | 9.3      | %   |  |   | 9.7      | %   |  |   | 9.7      | %   |
| Incentivefees                                        |  |   | —  |     |  |   | —  | %   |  |   | 0.3      | %   |
| Totalexpenses                                        |  |   | 9.3      | %   |  |   | 9.7      | %   |  |   | 10.0     | %   |
| Totalreturn:                                         |  |   |     |     |  |   |     |     |  |   |     |     |
| Total returnbefore incentivefees                     |  |   | (24.2    | )%  |  |   | 11.2     | %   |  |   | 3.6      | %   |
| Incentivefees                                        |  |   | —  |     |  |   | —  | %   |  |   | (0.3     | )%  |
| Totalreturn after incentivefees                      |  |   | (24.2    | )%  |  |   | 11.2     | %   |  |   | 3.3      | %   |
|                                                      |

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

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

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

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the limited partner class using the limited partners' shareof income, expenses and average netassets.

|          |                             |
|----------|-----------------------------|
| 7.  | Financial Instrument Risks: |

In the normal course of its business, the Partnership, through thePartnership's investment in the Master, is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures and options, whose values arebased upon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, topurchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option 

F-10

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

contracts. OTC contracts are negotiatedbetween contracting parties and include forwards and certain options.Each of these instruments is subject to various risks similar to thoserelated to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

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

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange-traded instruments is reduced to the extent that anexchange or clearing organization acts as a counterparty to thetransactions. The Partnership's/Master's risk of loss inthe event of counterparty default is typically limited to the amountsrecognized in the statements of financial condition and not representedby the contract or notional amounts of the instruments. ThePartnership, through the Partnership's investment in the Master,has concentration risk because the sole counterparty or broker withrespect to the Master's assets is CGM.

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

The majority of these instruments mature within one year of December31, 2005. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

F-11

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 are summarizedbelow:

|                                                                                                                                      |  |                                                        |          |                                                       |  |                                                   |         |                                                      |  |   |         |        |  |   |            |         |  |  |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|----------|-------------------------------------------------------|--|---------------------------------------------------|---------|------------------------------------------------------|--|---|---------|--------|--|---|------------|---------|--|--|
|                                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |          | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |         | For the period from January 1, 2005 to March31, 2005 |
| Net realized and unrealized trading gains(losses) net of expenses allocated from Master and brokeragecommissions plus interestincome |  | $                                                      | (688,445 | )                                                |  | $                                                 | 198,338 |                                                 |  | $ | 233,674 |   |  | $ | (5,308,543 | )  |
| NetIncome(loss)                                                                                                                      |  | $                                                      | (849,572 | )                                                |  | $                                                 | 40,348  |                                                 |  | $ | 73,312  |   |  | $ | (5,484,244 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                             |  | $                                                      | (116.62  | )                                                |  | $                                                 | 5.12    |                                                 |  | $ | 13.95   |   |  | $ | (659.01    | )  |
|                                                                                                                                      |

|                                                                                                                                      |  |                                                        |           |                                                       |  |                                                   |           |                                                      |  |   |            |         |  |   |           |        |  |  |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|---|------------|---------|--|---|-----------|--------|--|--|
|                                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |           | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |           | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gains(losses) net of expenses allocated from Master and brokeragecommissions plus interestincome |  | $                                                      | 7,174,304 |                                                  |  | $                                                 | 1,389,800 |                                                 |  | $ | (6,921,101 | )  |  | $ | 1,608,026 |   |
| NetIncome(loss)                                                                                                                      |  | $                                                      | 6,934,779 |                                                  |  | $                                                 | 1,237,046 |                                                 |  | $ | (7,095,929 | )  |  | $ | 1,392,143 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                             |  | $                                                      | 804.99    |                                                  |  | $                                                 | 141.33    |                                                 |  | $ | (782.95    | )  |  | $ | 152.58    |   |
|                                                                                                                                      |

F-12

----

To theMembers ofJWH Strategic Allocation Master Fund LLC

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

|  |                                                                                         By:   Daniel R. McAuliffe, Jr. |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Chief FinancialOfficer and Director Citigroup Managed Futures LLCManaging Member,JWH Strategic AllocationMaster Fund LLC |
|--|--------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|------------------------------------------------------------------------------------------------|

F-13

----

Independent Auditors'Report

To the Membersof    JWH Strategic Allocation Master Fund LLC:

We haveaudited the accompanying statements of financial condition of JWHStrategic Allocation Master Fund LLC (the"Company"), including the condensed schedulesof investments, as of December  31, 2005 and 2004, and therelated statements of income and expenses, changes in members'capital, and cash flows for each of the years in the three-year periodended December 31, 2005. These financial statements are theresponsibility of the Company's management. Our responsibility isto express an opinion on these financial statements based on ouraudits.

We conducted our audits in accordance with generallyaccepted auditing standards as established by the Auditing StandardsBoard (United States) and in accordance with the auditing standards ofthe Public Company Accounting Oversight Board (United States). Thosestandards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. The Company is not required to have, nor were weengaged to perform, an audit of its internal control over financialreporting. Our audit included consideration of internal control overfinancial reporting as a basis for designing audit procedures that areappropriate in the circumstances, but not for the purpose of expressingan opinion on the effectiveness of the Company's internal controlover financial reporting. Accordingly, we express no such opinion. Anaudit also includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements, assessing theaccounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of JWH Strategic Allocation Master Fund LLC as ofDecember  31, 2005 and 2004, and the results of its operations,changes in its members' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

                                        New York, New York March 13,2006

F-14

----

JWHStrategic Allocation Master Fund LLCStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                                    |  | 2005   |             | 2004   |
| Assets:                                                                                                                                                 |  |   |        |   |  |   |        |   |
| Equityin commodity futures trading account:Cash (restricted $23,817,475and $52,152,846 in 2005 and 2004,     respectively) (Note3c) |  | $      | 163,966,877 |   |  | $      | 200,509,589 |   |
| Netunrealized appreciation on open futurespositions                                                                                                     |  |   | —     |   |  |   | 2,816,587   |   |
| Unrealizedappreciation on open forwardcontracts                                                                                                         |  |   | 7,440,156   |   |  |   | 29,891,977  |   |
|                                                                                                                                                    |  |   | 171,407,033 |   |  |   | 233,218,153 |   |
| Interestreceivable                                                                                                                                      |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
| Liabilitiesand Members'Capital:                                                                                                                         |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                                            |  |   |        |   |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                                                                                     |  | $      | 3,646,687   |   |  | $      | —     |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                                         |  |   | 3,896,303   |   |  |   | 5,772,552   |   |
| Accruedexpenses:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                                                                        |  |   | 51,440      |   |  |   | 115,552     |   |
| Distributionpayable                                                                                                                                     |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  |   | 8,080,241   |   |  |   | 6,199,252   |   |
| Members'capital:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Members'capital, 99,442.6187 and 112,131.2876 Units outstanding in 2005 and2004,respectively                                                            |  |   | 163,812,603 |   |  |   | 227,330,049 |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
|                                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-15

----

JWH Strategic Allocation Master FundLLCCondensed Schedule of InvestmentsDecember 31, 2005

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Energy                                            |  | $         | (5,388,180 | )               |  |   | (3.29  | )%  |
| Grains                                            |  |      | 4,425      |                 |  |   | 0.00   | *   |
| Indices                                           |  |      | 887,362    |                 |  |   | 0.54   |     |
| Interest Rates Non-U.S.                           |  |      | 2,450      |                 |  |   | 0.00   | *   |
| Livestock                                         |  |      | 61,790     |                 |  |   | 0.04   |     |
| Metals                                            |  |      | 2,121,145  |                 |  |   | 1.30   |     |
| Softs                                             |  |      | 1,449,421  |                 |  |   | 0.89   |     |
| Total futures contractspurchased                  |  |      | (861,587   | )               |  |   | (0.52  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | (406,499   | )               |  |   | (0.25  | )   |
| Grains                                            |  |      | (198,697   | )               |  |   | (0.12  | )   |
| InterestRates U.S.                                |  |      | (553,540   | )               |  |   | (0.34  | )   |
| InterestRatesNon-U.S.                             |  |      | (925,603   | )               |  |   | (0.56  | )   |
| Softs                                             |  |      | (700,761   | )               |  |   | (0.43  | )   |
| Totalfutures contractssold                        |  |      | (2,785,100 | )               |  |   | (1.70  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 4,917,155  |                 |  |   | 3.00   |     |
| Metals                                            |  |      | 2,523,001  |                 |  |   | 1.54   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 7,440,156  |                 |  |   | 4.54   |     |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,172,504 | )               |  |   | (1.94  | )   |
| Metals                                            |  |      | (723,799   | )               |  |   | (0.44  | )   |
|                                              |  |      | (3,896,303 | )               |  |   | (2.38  | )   |
| TotalFair Value                                   |  | $         | (102,834   | )               |  |   | (0.06  | )%  |
|                                                   |

Percentagesare based on Members' capital unless otherwiseindicated

|   |                |
|---|----------------|
| * | Due torounding |

See accompanying notes tofinancial statements.

F-16

----

JWH Strategic AllocationMaster FundLLCCondensed Schedule of InvestmentsDecember 31, 2004

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Grains                                            |  | $         | 900        |                 |  |   | 0.00   | %*  |
| Indices                                           |  |      | 794,965    |                 |  |   | 0.35   |     |
| Interest Rates -U.S.                              |  |      | (757,875   | )               |  |   | (0.33  | )   |
| Interest RatesNon-U.S.                            |  |      | (59,280    | )               |  |   | (0.03  | )   |
| Metals                                            |  |      | (825,978   | )               |  |   | (0.36  | )   |
| Softs                                             |  |      | 1,435,024  |                 |  |   | 0.63   |     |
| Total futures contractspurchased                  |  |      | 587,756    |                 |  |   | 0.26   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | 2,791,481  |                 |  |   | 1.23   |     |
| Grains                                            |  |      | 970,394    |                 |  |   | 0.43   |     |
| Indices                                           |  |      | (876,403   | )               |  |   | (0.39  | )   |
| InterestRates -U.S.                               |  |      | (234,931   | )               |  |   | (0.10  | )   |
| Livestock                                         |  |      | 53,450     |                 |  |   | 0.02   |     |
| Metals                                            |  |      | 71,100     |                 |  |   | 0.03   |     |
| Softs                                             |  |      | (546,260   | )               |  |   | (0.24  | )   |
| Totalfutures contracts sold                       |  |      | 2,228,831  |                 |  |   | 0.98   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 26,407,028 |                 |  |   | 11.62  |     |
| Metals                                            |  |      | 3,484,949  |                 |  |   | 1.53   |     |
| Total unrealized appreciation onforward contracts |  |      | 29,891,977 |                 |  |   | 13.15  |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,208,972 | )               |  |   | (1.41  | )   |
| Metals                                            |  |      | (2,563,580 | )               |  |   | (1.13  | )   |
| Totalunrealized depreciation on forwardcontracts  |  |      | (5,772,552 | )               |  |   | (2.54  | )   |
|                                              |  |      |       |                 |  |   |   |     |
| Totalfair value                                   |  | $         | 26,936,012 |                 |  |   | 11.85  | %   |
|                                                   |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages are based onMembers' capital unless otherwise indicated. |

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

Seeaccompanying notes to financial statements.

F-17

----

JWH Strategic Allocation Master FundLLCStatements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                  |  |        |             |         |  |        |            |        |  |        |           |        |  |  |
|------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|--------|--|--------|-----------|--------|--|--|
|                                                             |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                          |  |   |        |    |  |   |       |   |  |   |      |   |
| Netgains (losses) on trading of commodityinterests:              |  |   |        |    |  |   |       |   |  |   |      |   |
| Realizedgains (losses) on closed positions and foreigncurrencies |  | $      | (13,743,649 | )  |  | $      | 30,114,264 |   |  | $      | 1,507,963 |   |
| Changein unrealized gains (losses) on openpositions              |  |   | (27,038,846 | )  |  |   | 13,762,492 |   |  |   | 3,778,565 |   |
|                                                             |  |   | (40,782,495 | )  |  |   | 43,876,756 |   |  |   | 5,286,528 |   |
| Interestincome                                                   |  |   | 5,162,509   |    |  |   | 2,057,684  |   |  |   | 1,160,948 |   |
|                                                             |  |   | (35,619,986 | )  |  |   | 45,934,440 |   |  |   | 6,447,476 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Expenses:                                                        |  |   |        |    |  |   |       |   |  |   |      |   |
| Clearingfees                                                     |  |   | 426,530     |    |  |   | 491,209    |   |  |   | 438,351   |   |
| Professionalfees                                                 |  |   | (54,074     | )  |  |   | 60,000     |   |  |   | 60,000    |   |
|                                                             |  |   | 372,456     |    |  |   | 551,209    |   |  |   | 498,351   |   |
| Netincome(loss)                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231 |   |  | $      | 5,949,125 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Netincome (loss) per Unit of Member Interest (Notes 1 and6)      |  | $      | (333.20     | )  |  | $      | 368.39     |   |  | $      | 202.70    |   |
|                                                                  |

Seeaccompanying notes to financial statements.

F-18

----

JWH Strategic Allocation Master FundLLCStatement of Changes in Members' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                     |  |                 |             |         |  |  |
|-----------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                                |  | Members'Capital |
| Members'capital at December 31, 2002                |  | $               | 90,459,415  |    |
| NetIncome                                           |  |            | 5,949,125   |    |
| Sale of 33,577.0811 Unitsof Members'Interest        |  |            | 63,340,545  |    |
| Redemption of 7,806.0512Units of Members'Interests  |  |            | (13,511,520 | )  |
| Distribution ofinterest to feederfunds              |  |            | (1,160,948  | )  |
| Members'capital at December 31, 2003                |  |            | 145,076,617 |    |
| NetIncome                                           |  |            | 45,383,231  |    |
| Sale of 40,227.5910 Unitsof Members'Interest        |  |            | 64,674,000  |    |
| Redemption of14,531.4863 Units of Members'Interests |  |            | (25,746,115 | )  |
| Distribution ofinterest to feederfunds              |  |            | (2,057,684  | )  |
| Members'capital at December 31, 2004                |  |            | 227,330,049 |    |
| Netloss                                             |  |            | (35,992,442 | )  |
| Sale of 30,875.5707 Unitsof Members'Interests       |  |            | 52,052,292  |    |
| Redemption of43,564.2396 Units of Members'Interests |  |            | (74,414,787 | )  |
| Distribution ofinterest to feederfunds              |  |            | (5,162,509  | )  |
| Members'capital at December 31,2005                 |  | $               | 163,812,603 |    |
|                                                     |

|                         |  |        |          |        |  |  |
|-------------------------|--|--------|----------|--------|--|--|
| NetAsset Value perUnit: |
|                    |  |   |     |   |
| 2003                    |  | $      | 1,678.44 |   |
| 2004                    |  | $      | 2,027.35 |   |
| 2005                    |  | $      | 1,647.31 |   |
|                         |

Seeaccompanying notes to financial statements.

F-19

----

JWH Strategic Allocation Master FundLLCStatements of Cash Flowsfor the years endedDecember31, 2005, 2004 and 2003

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operating activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Netincome(loss)                                                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231  |    |  | $      | 5,949,125   |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |   |        |    |  |   |        |    |  |   |        |    |
| Changes inoperating assets and liabilities:                                                      |  |   |        |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in restrictedcash                                                             |  |   | 28,335,371  |    |  |   | (20,300,101 | )  |  |   | (16,808,433 | )  |
| (Increase)decrease in unrealized appreciation on open futurespositions                           |  |   | 2,816,587   |    |  |   | (1,339,486  | )  |  |   | 3,067,444   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |   | 22,451,821  |    |  |   | (16,395,964 | )  |  |   | (5,967,663  | )  |
| (Increase)decrease in interest receivable                                                        |  |   | (174,663    | )  |  |   | (230,431    | )  |  |   | 3,762       |    |
| Increase(decrease) in unrealized depreciation on open futurespositions                           |  |   | 3,646,687   |    |  |   | —     |    |  |   | —     |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | (1,876,249  | )  |  |   | 3,972,958   |    |  |   | (878,346    | )  |
| Accruedexpenses:                                                                                 |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase (decrease) in professionalfees                                                          |  |   | (64,112     | )  |  |   | 39,147      |    |  |   | 28,582      |    |
| Netcash provided by (used in) operatingactivities                                                |  |   | 19,143,000  |    |  |   | 11,129,354  |    |  |   | (14,605,529 | )  |
| Cashflows from financing activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceedsfromadditions                                                                            |  |   | 52,052,292  |    |  |   | 64,674,000  |    |  |   | 63,340,545  |    |
| Paymentforredemptions                                                                            |  |   | (74,414,787 | )  |  |   | (25,746,115 | )  |  |   | (13,511,520 | )  |
| Distributionof interest to feederfunds                                                           |  |   | (4,987,846  | )  |  |   | (1,827,253  | )  |  |   | (1,164,710  | )  |
| Netcash provided by (used in) financingactivities                                                |  |   | (27,350,341 | )  |  |   | 37,100,632  |    |  |   | 48,664,315  |    |
| Netchange incash                                                                                 |  |   | (8,207,341  | )  |  |   | 48,229,986  |    |  |   | 34,058,786  |    |
| Unrestrictedcash, at beginning ofyear                                                            |  |   | 148,356,743 |    |  |   | 100,126,757 |    |  |   | 66,067,971  |    |
| Unrestrictedcash, at end ofyear                                                                  |  | $      | 140,149,402 |    |  | $      | 148,356,743 |    |  | $      | 100,126,757 |    |
|                                                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-20

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

1.    General:

JWHStrategic Allocation Master Fund LLC (the"Master") is a limited liability companyformed under the New York Limited Liability Company Law. TheMaster's purpose is to engage in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Master is authorized tosell an unlimited number of member interests.

Effective January26, 2001, Shearson Mid-West Futures Fund("Mid-West") and Smith Barney Mid-WestFutures Fund L.P. II ("Mid-West II")allocated substantially all of their capital to the Master. With thiscash, Mid-West and Mid-West II purchased a total of 74,020.3930 Unitsof the Master with a fair value of $74,020,393. On March 1, 2001, TheSaugatuck Fund L.P. ("Saugatuck") allocatedsubstantially all of their capital to the Master and purchased a totalof 20,750.0000 Units of the Master with cash equal to $20,750,000. OnDecember 1, 2001, The Aspetuck Fund L.P.("Aspetuck") allocated substantially all oftheir capital to the Master and purchased a total of 3,184.5305 Unitsof the Master with cash equal to $3,050,000. On November 1, 2002, JWHGlobal Strategies Limited Series ("JWH GlobalStrategies") allocated substantially all of their capitalto the Master and purchased a total of 1,338.2964 Units of the Masterwith cash equal to $2,000,000. On May 22, 2003, SSB Diversified 2000Futures Fund L.P. ("Diversified 2000")allocated a portion of their capital to the Master and purchased atotal of 14,370.0894 Units of the Master with a fair value of$27,367,545. On July 1, 2005, CMF Institutional Futures Portfolio L.P.("CMF Institutional") allocated a portion ofits capital to the Master and purchased 4,195.5111 Units of the Masterwith cash equal to $7,000,000. The Master was formed to permitcommodity pools managed now or in the future by John W. Henry &Company, Inc. (the "Advisor") using theStrategic Allocation Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master'sinvestors consist of Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies, Diversified 2000 and CMF Institutional (each a"Member", collectively the"Feeder Funds") with 10.87%,10.97%, 5.47%, 14.95%, 40.49%,14.42% and 2.83% ownerships of the Master at December 31,2005, respectively. Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies and Diversified 2000 owned 11.69%,11.82%, 4.79%, 13.40%, 46.09% and12.21% ownerships of the Master at December 31, 2004,respectively, and with 17.84%, 18.11%, 5.91%,21.06%, 18.13% and 18.95% ownership of the Masterat December 31, 2003, respectively.

Citigroup Managed FuturesLLC acts as the managing member (the "ManagingMember") of the Master. The Managing Member administersthe business affairs of the Master including selecting one or moreadvisors to make trading decisions for the Master. The Master'scommodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember. The Managing Member is wholly owned by Citigroup Global MarketsHoldings Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized values on open positions are recognized in the period inwhich the contract is closed or the changes occur and are included innet gains (losses) on trading of commodity interests. |

F-21

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income andexpenses and realized and unrealized gains and losses on trading ofcommodity interests are determined on each valuation day and areallocated pro rata among the Feeder Funds at the time of suchdetermination. Income taxes have not been provided as each member isindividually liable for the taxes, if any, on their share of theMaster's income and expenses. |

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

|          |                                                                                             |
|----------|---------------------------------------------------------------------------------------------|
| d.  | Certain prior period amounts have beenreclassified to conform to current year presentation. |

3.    Agreements:

|          |                           |
|----------|---------------------------|
| a.  | Managing MemberAgreement: |

The Managing Member administers the businessaffairs of the Master.

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Managing Member, on behalf ofthe Master, has entered into a Management Agreement with the Advisor, aregistered commodity trading advisor. The Advisor is not affiliatedwith the Managing Member or CGM and is not responsible for theorganization or operation of the Master. The Management Agreementprovides that the Advisor has sole discretion in determining theinvestment of the assets of the Master allocated to it by the ManagingMember. All management fees in connection with the Management Agreementare borne by the Feeder Funds. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into aCustomer Agreement with CGM whereby CGM provides services whichinclude, among the other things, the execution of transactions for theMaster's account in accordance with orders placed by the Advisor.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master. All other feesincluding CGM direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005 and 2004,the amount of cash held by the Master for margin requirements was$23,817,475 and $52,152,846, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party. |

4.    Trading Activities:

The Master was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The results of theMaster's trading activities are shown in the statements of incomeand expenses.

All of the commodity interests owned by the Masterare held for trading purposes. The average fair value for the yearsended December 31, 2005 and 2004, based on a monthly calculation, was$9,833,608 and $7,166,273, respectively.

5.    Distributionsand Redemptions:

Distributions of profits, if any, will be madeat the sole discretion of the Managing Member and at such time as theManaging Member may decide. A Member may require the Master to redeemtheir Units 

F-22

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

at their Net Asset Value as of the last dayof each month. The Managing Member, in its sole discretion, may permitredemptions more frequently than monthly.

6.    FinancialHighlights:

Changes in the Net Asset Value per Unit of Memberinterest for the years ended December 31, 2005, 2004 and 2003 were asfollows:

|                                           |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|-------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                      |  | 2005   |          | 2004     |  | 2003   |
| Netrealized and unrealized gains(losses)* |  | $      | (380.61  | )   |  | $      | 349.49   |     |  | $      | 188.13   |     |
| Interestincome                            |  |   | 46.84    |     |  |   | 19.48    |     |  |   | 15.41    |     |
| Expenses**                                |  |   | 0.57     |     |  |   | (0.58    | )   |  |   | (0.84    | )   |
| Increase(decrease) forperiod              |  |   | (333.20  | )   |  |   | 368.39   |     |  |   | 202.70   |     |
| Distributions                             |  |   | (46.84   | )   |  |   | (19.48   | )   |  |   | (15.41   | )   |
| NetAsset Value per Unit, beginning ofyear |  |   | 2,027.35 |     |  |   | 1,678.44 |     |  |   | 1,491.15 |     |
| NetAsset Value per Unit, end ofyear       |  | $      | 1,647.31 |     |  | $      | 2,027.35 |     |  | $      | 1,678.44 |     |
| Ratioto average net assets***             |  |   |     |     |  |   |     |     |  |   |     |     |
| Netinvestmentincome****                   |  |   | 2.5      | %   |  |   | 0.9      | %   |  |   | 0.5      | %   |
| Operatingexpenses                         |  |   | (0.2     | )%  |  |   | (0.3     | )%  |  |   | (0.4     | )%  |
| Totalreturn                               |  |   | (16.4    | )%  |  |   | 21.9     | %   |  |   | 13.6     | %   |
|                                           |

|   |                        |
|---|------------------------|
| * | Includesclearing fees. |

|    |                        |
|----|------------------------|
| ** | Excludesclearing fees. |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | Interestincome less total expenses (exclusive of incentivefees). |

The above ratios may vary for individualinvestors based on the timing of capital transactions during theyear.

7.    Financial Instrument Risks:

In the normalcourse of its business, the Master is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Master due to market changes,including interest and foreign exchange rate movements and fluctuationsin commodity or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the relatedunderlying assets are traded.

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Master's risk of loss in the event of counterparty default istypically limited to the amounts recognized in 

F-23

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. TheMaster has concentration risk because the sole counterparty or brokerwith respect to the Master's assets is CGM.

The ManagingMember monitors and controls the Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masteris subject. These monitoring systems allow the Managing Member tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-24

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Selectedunaudited quarterly financial data for JWH Master for the years endedDecember 31, 2005 and 2004 are summarized below:

|                                                                                                                      |  |                                                        |            |                                                      |  |                                                 |            |                                                    |  |   |             |         |  |   |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|------------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-------------|---------|--|---|-------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |            | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | (3,798,063 | )                                               |  | $                                               | 5,054,464  |                                               |  | $ | 5,728,983   |    |  | $ | (43,031,900 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | (3,718,740 | )                                               |  | $                                               | 5,046,798  |                                               |  | $ | 5,721,400   |    |  | $ | (43,041,900 | )  |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | (38.83     | )                                               |  | $                                               | 44.39      |                                               |  | $ | 49.01       |    |  | $ | (387.77     | )  |
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |            | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 65,465,161 |                                                 |  | $                                               | 13,041,842 |                                               |  | $ | (44,742,215 | )  |  | $ | 11,678,443  |    |
| NetIncome(loss)                                                                                                      |  | $                                                      | 65,450,161 |                                                 |  | $                                               | 13,026,842 |                                               |  | $ | (44,757,215 | )  |  | $ | 11,663,443  |    |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 559.94     |                                                 |  | $                                               | 121.55     |                                               |  | $ | (445.46     | )  |  | $ | 132.36      |    |
|                                                                                                                      |

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

None.

Item 9A.    Controls andProcedures

The General Partner of the Partnership, withthe participation of the General Partner's Chief ExecutiveOfficer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controlsand procedures (as defined in Rules 13a-15(e) and 15d-15(e) of theExchange Act) with respect to the Partnership as of the end of theperiod covered by the report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures areeffective.

There were no significant changes in thePartnership's internal controls over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

PART III

Item 10.    Directors and Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by John W. Henry &Company, Inc. (the "Advisor").

ThePartnership has not adopted a code of ethics that applies to officersbecause it has no officers.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner, which receives compensation for its services, as setforth under "Item 1. Business." CGM, anaffiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."During the year ended December 31, 2005, CGM earned $1,182,775 inbrokerage commissions and clearing fees. The Advisor earned $391,310 inmanagement fees during 2005. The General Partner earned $195,655 inadministrative fees during 2005.

Item 12.    SecurityOwnership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.As of February 28, 2006, one beneficial owner who is neither a directornor executive officer owns more than five percent (5%) of theoutstanding Redeemable Units issued by the Registrant asfollows:

|                                                 |  |                                                                                    |  |                                           |  |                |  |  |  |  |  |  |  |  |
|-------------------------------------------------|--|------------------------------------------------------------------------------------|--|-------------------------------------------|--|----------------|--|--|--|--|--|--|--|--|
| Titleof Class                                   |  | Name and Address of BeneficialOwner                                                |  | Amount and Nature of Beneficial Ownership |  | PercentofClass |
| Redeemable Units ofLimited Partnership Interest |  | BasicAmerican Financial, LPEthan Jackson6900 S GrayRoadIndianapolis, IN 46237-3209 |  | 373.9660 RedeemableUnits                  |  | 5.1%           |
|                                                 |

(b)    Securityownership of management. Under the terms of the LimitedPartnership Agreement, the Partnership's affairs are managed bythe General Partner. The General Partner owns Units of generalpartnership interest equivalent to 40.4850 Redeemable Units(0.5%) of Limited Partnership Interest as of December 31,2005.

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLC,would be considered promoters for purposes of item 404(d) of RegulationS-K. The nature and the amounts of compensation each 

23

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promoter will receive from the Partnershipare set forth under "Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

(1)    Audit Fees.The aggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of financialstatements included in the Partnership's Forms 10-Q and otherservices normally provided in connection with regulatory filings orengagements are asfollows:

2005                $19,000

2003                $11,005

(2)    Audit-Related Fees. None

(3)    TaxFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for tax complianceand tax advice given in the preparation of the Partnership'sSchedule K1s, the preparation of the Partnership's Form 1065 andpreparation of all State Tax Returns are asfollows:

2005                $7,606

2004                $5,136

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

24

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PART IV

Item15.    Exhibits and Financial Statement Schedules.

|                |                       |
|----------------|-----------------------|
| (a) (1)   | Financial Statements: |

Statements of Financial Condition at December 31, 2005 and2004.

Condensed Schedules of Investments at December 31,2005 and 2004.

Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003.

Statementsof Changes in Partners' Capital for the years ended December 31,2005, 2004 and 2003.

Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003.

Notes toFinancial Statements.

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

3.1 – Certificate of Limited Partnership (previouslyfiled).

3.2 – Limited Partnership Agreement(previously filed).

10.1 – Management Agreementamong the Partnership, the General Partner and John W. Henry &Company, Inc. (previously filed).

10.2 – CustomerAgreement between Partnership and Smith Barney Shearson Inc.(previously filed).

10.3 – Form of SubscriptionAgreement (previously filed).

10.4 – Letter datedFebruary 16, 1995 from General Partner to John W. Henry & Company,Inc. extending Management Agreement (previously filed).

10.5 – Letters extending Management Agreement withJohn W. Henry & Company, Inc. for 1997 (filed as Exhibit 10.5 toForm 10-K for the year ended December 31, 1997 and incorporated hereinby reference).

10.6 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for 1998 (previouslyfiled).

10.7 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for 1999 (previouslyfiled).

10.8 – Letter extending ManagementAgreement with John W. Henry & company, Inc. for 2000 (previouslyfiled).

10.9 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for 2001 (previouslyfiled).

10.10 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for 2002 (previouslyfiled).

10.11 – Letter extending ManagementAgreement with John W. Henry & Company, Inc. for2003(previously filed).

10.12 – Letterextending Management Agreement with John W. Henry & Company, Inc.for 2004 (previously filed).

10.13 – Letterextending Management Agreement with John W. Henry & Company, Inc.for 2005 (filed herein).

16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed).

Theexhibits required to be filed by Item 601 of Regulations S-K areincorporated herein by reference.

25

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31.1 – Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector).

31.2 – Rule 13a-14(a)/15d-14(a)Certification (Certification of Chief Financial Officer andDirector).

32.1 – Section 1350 Certifications(Certification of President and Director).

32.2 –Section 1350 Certification (Certification of Chief Financial Officerand Director)

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

Annual Report to Limited Partners

No proxy materialhas been sent to Limited Partners.

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 29th day of March 2006.

ShearsonMid-West Futures Fund

By:    /s/ Citigroup ManagedFutures LLC            (General Partner)

By:    /s/ David J. Vogel           David J. Vogel           President andDirector

Pursuant to the requirements of the Securities ExchangeAct of 1934, this annual report on Form 10-K has been signed below bythe following persons on behalf of the Registrant and in the capacitiesand on the date indicated.

|                                          |  |                                                    |  |  |  |  |
|------------------------------------------|--|----------------------------------------------------|--|--|--|--|
| /s/ David J. Vogel                       |  | /s/ ShelleyUllman                                  |
| David J. Vogel                           |  | ShelleyUllman                                      |
| President andDirector                    |  | Director                                           |
| /s/ Daniel R. McAuliffe,Jr.              |  | /s/ Jennifer Magro                                 |
| DanielR. McAuliffe. Jr.                  |  | Jennifer Magro                                     |
| ChiefFinancial Officer andDirector       |  | Director                                           |
| /s/ MaureenO'TooleMaureenO'TooleDirector |  | /s/ JerryPascucciJerryPascucciDirector             |
|                                     |  | /s/Ihor RokowskyIhor RokowskySecretary andDirector |
|                                          |

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