UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 1998

Commission File Number 0-24280

                         SHEARSON MID-WEST FUTURES FUND
             (Exact name of registrant as specified in its charter)

         New York                                       13-3634370        
    (State or other jurisdiction of                  (I.R.S. Employer
     incorporation or organization)                 Identification No.)

                    c/o Smith Barney Futures Management Inc.
                           390 Greenwich St. - 1st Fl.
                            New York, New York 10013
              (Address and Zip Code of principal executive offices)

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

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

Securities registered pursuant to Section 12(g) of the Act:  None

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

                                    Yes X No

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

As of February 28, 1999  Limited  Partnership  Units with an aggregate  value of
$2,556.20 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None



<PAGE>




                                     PART I

Item 1. Business.
          (a) General  development of business.  Shearson  Mid-West Futures Fund
(the "Partnership") is a limited partnership  organized on August 21, 1991 under
the partnership laws of the State of New York. The Partnership commenced trading
operations on December 2, 1991. The Partnership  engages in speculative  trading
of a diversified  portfolio of commodity  interests including futures contracts,
options and forward  contracts.  The commodity  interests that are traded by the
Partnership  are  volatile  and  involve a high degree of market  risk.  Between
September  26,  1991 and  December 2, 1991,  2,000 Units of Limited  Partnership
Interest  ("Units")  were sold at $1,000 per Unit.  The proceeds of the offering
were held in an escrow  account until  December 2, 1991, at which time they were
turned over to the Partnership  for trading.  Sales and redemptions of Units and
general partner  contributions  and redemptions for the years ended December 31,
1998,  1997 and 1996 are reported in the Statement of Partners'  Capital on page
F-6 under "Item 8. Financial Statements and Supplementary Data."

          The  Partnership  will be  liquidated  upon the  first to occur of the
following:  December 31, 2011;  if the Net Asset Value per Unit falls below $350
as of the end of business on any business day or upon the earlier  occurrence of
certain other  circumstances set forth in the Limited  Partnership  Agreement of
the Partnership (the "Limited Partnership Agreement").

                                       2
<PAGE>


          Smith Barney Futures  Management Inc. acts as the general partner (the
"General  Partner") of the Partnership.  On September 1, 1998, the Partnership's
commodity  broker,  Smith  Barney  Inc.,  merged with  Salomon  Brothers Inc and
changed its name to Salomon  Smith Barney Inc.  ("SSB").  SSB is an affiliate of
the General Partner. The General Partner is wholly owned by Salomon Smith Barney
Holdings,  Inc.  ("SSBH"),  which is the sole owner of SSB.  On October 8, 1998,
Travelers Group Inc. merged with Citicorp Inc. and changed its name to Citigroup
Inc. SSBH is a wholly owned subsidiary of Citigroup Inc.
         The  Partnership's  trading of futures contracts on commodities is done
on United  States and foreign  commodity  exchanges.  It engages in such trading
through a commodity brokerage account maintained with SSB.
         Under the Limited Partnership  Agreement,  the General Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The  General  Partner  administers  the  business  and affairs of the
Partnership  including  selecting one or more advisors to make trading decisions
for the  Partnership.  The  Partnership  will pay the General  Partner a monthly
administrative  fee in return for its services to the Partnership  equal to 1/12
of 1% (1% per year) of month-end Net Assets of the Partnership.  This fee may be
increased or decreased at the discretion of the General Partner.

                                       3
<PAGE>


         The General  Partner  has  entered  into a  management  agreement  (the
"Management  Agreement") with John W. Henry & Company,  Inc. (the "Advisor") who
will make all commodity  trading  decisions for the Partnership.  The Advisor is
not affiliated  with the General  Partner or SSB. The Advisor is not responsible
for the organization or operation of the Partnership.
         Pursuant to the terms of the Management  Agreement,  the Partnership is
obligated to pay the Advisor a monthly management fee equal to 1/3 of 1% (4% per
year) of Net Assets  allocated  to the Advisor as of the end of the month and an
incentive fee payable quarterly of 15% of New Trading Profits (as defined in the
Management Agreement) of the Partnership.
          The Customer  Agreement between the Partnership and SSB (the "Customer
Agreement") provides that the Partnership pays SSB a monthly brokerage fee equal
to 1/2 of 1% of month-end  Net Assets  (6%  per  year),  in  lieu  of  brokerage
commissions  on a per trade basis.  SSB pays a portion of its brokerage  fees to
its financial consultants who have sold Units. The Partnership pays for National
Futures  Association  ("NFA") fees, exchange and clearing fees, give-up and user
fees and floor brokerage  fees.  Brokerage fees will be paid for the life of the
Partnership,  although the rate at which such fees are paid may be changed.  The
Customer  Agreement  between the  Partnership  and SSB gives the partnership the
legal right to net unrealized  gains and losses.  The Customer  Agreement may be
terminated by either party.

                                       4
<PAGE>

          In addition,  SSB pays the Partnership  interest on 80% of the average
daily  equity  maintained  in cash in its account  during each month at the rate
equal to the average  noncompetitive  yield of 13-week  U.S.  Treasury  Bills as
determined at the weekly auctions thereof during the month.
         (b) Financial  information about industry  segments.  The Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's net income (loss) from operations for the years ended December 31,
1998, 1997,  1996, 1995 and 1994 is set forth under "Item 6. Selected  Financial
Data." The Partnership capital as of December 31, 1998 was $62,782,503.
         (c)  Narrative  description  of business.  
              See  Paragraphs  (a) and (b) above.  
              (i)  through (x) - Not  applicable.  
              (xi)  through  (xii) - Not applicable. 
              (xiii) - The Partnership has no employees.
         (d) Financial  Information  About Foreign and Domestic  Operations  and
Export Sales. The Partnership does not engage in sales of goods or services, and
therefore this item is not applicable.
Item 2. Properties.
         The  Partnership  does not own or lease  any  properties.  The  General
Partner operates out of facilities provided by its affiliate, SSB.
Item 3. Legal Proceedings.
          Thereare no material legal proceedings pending against the Partnership

                                       5
<PAGE>

or the General  Partner.  This section  describes  the major legal  proceedings,
other than ordinary  routine  litigation  incidental  to the business,  to which
SSBH, the parent company of this General Partner or its  subsidiaries is a party
or to which any of their property is subject.
              In September  1992,  Harris Trust and Savings Bank (as trustee for
Ameritech  Pension  Trust  ("APT"),  Ameritech  Corporation,  and an  officer of
Ameritech filed suit against Salomon  Brothers Inc. ("SBI") and Salomon Brothers
Realty Corporation ("SBRC") in the U.S. District Court for the Northern District
of Illinois  (Harris Trust Savings Bank, not  individually but solely as trustee
for the Ameritech Pension Trust,  Ameritech Corporation and John A. Edwardson v.
Salomon  Brothers Inc and Salomon  Brothers  Realty  Corp.).  The second amended
complaint  alleges that three purchases by APT from defendants of  participation
interests  in net cash flow or resale  proceeds  of three  portfolios  of motels
owned by Motels of America, Inc. ("MOA"), as well as a fourth purchase by APT of
a similar participation  interest with respect to a portfolio of motels owned by
Best Inns, Inc. ("Best"),  violated the Employee  Retirement Income Security Act
("ERISA"),  and that the purchase of the  participation  interests for the third
MOA portfolio and for the Best portfolio  violated the Racketeer  Influenced and
Corrupt   Organization  Act  ("RICO")  and  state  law.  SBI  had  acquired  the

                                       6
<PAGE>

participation  interests  in  transactions  in which it  purchased  as principal
mortgage notes issued by MOA and Best to finance  purchases of motel portfolios;
95% of three such  interests  and 100% of one such interest were sold to APT for
purchase prices  aggregating  approximately  $20.9 million.  Plaintiffs'  second
amended complaint seeks (a) judgment on the ERISA claims for the purchase prices
of  the  four  participation   interests   (approximately  $20.9  million),  for
rescission and for  disgorgement  of profits,  as well as other relief,  and (b)
judgment on the claims  brought  under RICO and state law in the amount of $12.3
million,  with  damages  trebled to $37 million on the RICO claims and  punitive
damages  in excess of $37  million on certain of the state law claims as well as
other  relief.  The court  dismissed  the RICO,  breach of contract,  and unjust
enrichment  claims.  The court also found that  defendants did not qualify as an
ERISA  fiduciary and dismissed the claims based on that  allegation.  Defendants
moved for summary  judgment on the sole remaining  claim. The motion was denied,
and defendants  appealed to the U.S.  Court of Appeals for the Seventh  Circuit.
Defendants are awaiting a decision.
              Both the Department of Labor and the Internal Revenue Service have
advised  SBI that  they  were or are  reviewing  the  transactions  in which APT
acquired  such  participation  interests.  With respect to the Internal  Revenue
Service review,  SSBH, SBI and SBRC have consented to extensions of time for the
assessment  of excise  taxes that may be  claimed to be due with  respect to the
transactions  for the years 1987,  1988 and 1989.  In August 1996,  the IRS sent
SSBH,  SBI and SBRC what appeared to be draft  "30-day  letters" with respect to
the  transactions and SSBH, SBI and SBRC were given an opportunity to comment on
whether the IRS should issue 30-day letters,  which would actually  commence the
assessment  process.  In October 1996, SSBH, SBI and SBRC submitted a memorandum
setting forth  reasons why the IRS should not issue 30-day  letters with respect
to the transactions.


                                       7
<PAGE>

              In December 1996, a complaint seeking unspecified monetary damages
was  filed by  Orange  County,  California  against  numerous  brokerage  firms,
including Smith Barney, in the U.S. Bankruptcy Court for the Central District of
California  (County  of  Orange  et al. v.  Bear  Stearns  & Co.  Inc.  et al.).
Plaintiff alleges,  among other things, that defendants  recommended and sold to
plaintiff  unsuitable  securities  and that such  transactions  were outside the
scope of  plaintiff's  statutory and  constitutional  authority  (ultra  vires).
Defendants'  motion for summary  judgment  was granted with respect to the ultra
vires  claims in  February  1999.  The court  allowed  the  filing of an amended
complaint asserting claims based on alleged breaches of fiduciary duty.
             In June 1998,  complaints were filed in the U.S. District Court for
the Eastern  District of Louisiana in two actions (Board of  Liquidations,  City
Debt of the City of New Orleans v. Smith Barney Inc. et ano. and The City of New
Orleans v. Smith Barney Inc. et ano.),  in which the City of New Orleans seeks a
declaratory  judgment  that  Smith  Barney  Inc.  and  another  underwriter  are
responsible  for any damages  that the City may incur in the event the  Internal
Revenue  Service  denies tax  exempt  status to the  City's  General  Obligation
Refunding  Bonds  Series  1991.  The  Company  filed a  motion  to  dismiss  the
complaints in September 1998, and the complaints were subsequently  amended. The
Company has filed a motion to dismiss the amended complaints.

                                       8
<PAGE>

              In November 1998, a purported class action  complaint was filed in
the United  States  District  Court for the Middle  District of Florida  (Dwight
Brock as Clerk for Collier  County v.  Merrill  Lynch,  et al.).  The  complaint
alleges that, pursuant to a nationwide conspiracy,  17 broker-dealer defendants,
including SSB, charged excessive  mark-ups in connection with advanced refunding
transactions.   The  Company  intends  to  contest  this  complaint  vigorously.
Environmental Matters
         In July  1996,  the City and  County of Denver  ("Denver")  enacted  an
ordinance   imposing   a   substantial   fee  on  any   radioactive   waste   or
radium-contaminated  material  disposed  of in the City of  Denver.  Under  this
ordinance,  Denver assessed a subsidiary of Salomon,  the S.W. Shattuck Chemical
Company, Inc.  ("Shattuck"),  $9.35 million for certain disposal already carried
out. Shattuck sued to enjoin  imposition of the fee on  constitutional  grounds.
The  United  States  also  sued,  seeking  to  enjoin  imposition  of the fee on
constitutional  grounds.  Denver  counterclaimed  and  moved  to add  SSBH  as a
defendant  for past costs.  These cases have been  consolidated  before the U.S.
District Court in Colorado,  which granted  Shattuck's  motion for a preliminary
injunction  enjoining Denver from enforcing the ordinance during the pendency of
the litigation. The parties have reached a settlement.

                                       9
<PAGE>

         The Company and various subsidiaries have also been named as defendants
in various  matters  incident to and typical of the businesses in which they are
engaged. These include numerous civil actions, arbitration proceedings and other
matters  in which the  Company's  broker-dealer  subsidiaries  have been  named,
arising in the  normal  course of  business  out of  activities  as a broker and
dealer in securities,  as an underwriter of securities,  as an investment banker
or otherwise. In the opinion of the Company's management,  none of these actions
is  expected to have a material  adverse  effect on the  consolidated  financial
condition of the Company and its subsidiaries.  
Item 4. Submission of Matters to a Vote of Security Holders.
         There were no matters  submitted  to the  security  holders  for a vote
during the last fiscal year covered by this report.
                                     PART II
Item  5.Market  for  Registrant's  Common  Equity and  Related  Security  Holder
Matters.
                (a)    Market Information.  The Partnership has issued no stock.
                       There is no  established  public  trading  market for the
                       Units of Limited Partnership Interest.

                (b)    Holders. The number of  holders  of Units of  Partnership
                       Interest as of December 31, 1998 was 661.

                (c)    Distribution. The Partnership did not declare a 
                       distribution in 1998 or 1997.

                                       10
<PAGE>


32


Item 6. Selected Financial Data. Realized and unrealized trading gains (losses),
interest  income,  net income (loss) and increase  (decrease) in net asset value
per Unit for the years ended December 31, 1998,  1997,  1996,  1995 and 1994 and
total assets at December 31, 1998, 1997, 1996, 1995 and 1994 were as follows:
<TABLE>
<CAPTION>

                                              1998           1997            1996           1995             1994
                                            ------------  ------------    ------------   -----------     ------------
<S>                                              <C>           <C>            <C>             <C>            <C>    

Realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees of
 $3,757,246, $3,894,823, $3,740,843,
 $3,830,022, and $3,955,870, respectively   $  3,311,940   $  9,213,687   $ 17,066,887   $ 20,679,606    $ (3,231,417)

Interest income                                2,218,879      2,495,221      2,245,474      2,649,301       2,157,483
                                            ------------   ------------   ------------   ------------    ------------

                                            $  5,530,819   $ 11,708,908   $ 19,312,361   $ 23,328,907    $ (1,073,934)
                                            ============   ============   ============   ============    ============

Net income (loss)                           $  1,967,059   $  7,618,700   $ 14,323,795   $ 19,082,887    $ (5,208,500)
                                            ============   ============   ============   ============    ============
Increase (decrease) in net
 asset value per unit                       $      92.64   $     299.35   $     487.33   $     484.87    $    (126.73)
                                            ============   ============   ============   ============    ============

Total assets                                $ 63,965,039   $ 65,733,567   $ 69,175,823   $ 58,773,443    $ 55,730,378
                                            ============   ============   ============   ============    ============


</TABLE>

                                       11
<PAGE>


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

                                       12
<PAGE>


                (4) The  Partnership  does  not  employ  the  trading  technique
commonly known as "pyramiding",  in which the speculator uses unrealized profits
on  existing  positions  as  margin  for the  purchases  or  sale of  additional
positions in the same or related commodities.
                (5)  The  Partnership   does  not  utilize   borrowings   except
short-term borrowings if the Partnership takes delivery of any cash commodities.
                (6)  The  Advisor  may,  from  time  to  time,   employ  trading
strategies such as spreads or straddles on behalf of the  Partnership.  The term
"spread" or "straddle"  describes a commodity futures trading strategy involving
the simultaneous  buying and selling of futures  contracts on the same commodity
but  involving  different  delivery  dates or  markets  and in which the  trader
expects to earn a profit from a widening or narrowing of the difference  between
the prices of the contracts.

                                       13
<PAGE>


                The   Partnership  is  party  to  financial   instruments   with
off-balance  sheet  risk,  including   derivative   financial   instruments  and
derivative commodity  instruments,  in the normal course of its business.  These
financial instruments may include forwards,  futures and options, whose value is
based  upon an  underlying  asset,  index,  or  reference  rate,  and  generally
represent  future  commitments  to  exchange  currencies  or cash  flows,  or to
purchase or sell other  financial  instruments  at specified  terms at specified
future dates.  Each of these  instruments is subject to various risks similar to
those  relating to the underlying  financial  instruments  including  market and
credit risk.  The General  Partner  monitors and controls the  Partnership  risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems and,  accordingly  believes that it has effective  procedures
for evaluating and limiting the credit and market risks to which the Partnership
is subject.  (See also Item 8. Financial  Statements and Supplementary Data, for
further  information  on  financial  instrument  risk  included  in the notes to
financial  statements).  Other  than the risks  inherent  in  commodity  futures
trading,  the Partnership knows of no trends,  demands,  commitments,  events or
uncertainties  which will result in or which are reasonably  likely to result in
the  Partnership's  liquidity  increasing or decreasing in any material way. The
Limited  Partnership  Agreement  provides  that the General  Partner may, at its
discretion,  cause the Partnership to cease trading operations and liquidate all
open  positions  under certain  circumstances  including a decrease in Net Asset
Value per Unit to less than $350 as of the  close of  business  on any  business
day.
                (b) Capital resources.  (i) The Partnership has made no material
commitments for capital expenditures.

                                       14
<PAGE>


                (ii)  The   Partnership's   capital   consists  of  the  capital
contributions  of the  partners as  increased or decreased by gains or losses on
commodity futures trading and by expenses, interest income, redemptions of Units
and  distributions  of profits,  if any.  Gains or losses on  commodity  futures
trading  cannot be predicted.  Market moves in  commodities  are dependent  upon
fundamental  and technical  factors which the Partnership may or may not be able
to  identify.   Partnership  expenses  will  consist  of,  among  other  things,
commissions, management,  administrative, and incentive fees. The level of these
expenses is dependent  upon the level of trading gains or losses and the ability
of the  Advisor  to  identify  and  take  advantage  of price  movements  in the
commodity  markets,  in  addition  to the  level of Net  Assets  maintained.  In
addition,  the  amount of  interest  income  payable  by SSB is  dependent  upon
interest rates over which the Partnership has no control.
                For the year ended December 31, 1998,  1,404.7117 Units redeemed
totaling $3,479,591. For the year ended December 31, 1997, 2,232.5764 Units were
redeemed totaling $5,398,970.  For the year ended December 31, 1996,  4,618.7813
Units were redeemed totaling $9,644,974.
                Units of Limited  Partnership  Interest were sold to persons and
entities who are accredited  investors as that term is defined in rule 501(a) of
Regulation D as well as to those  persons who are not  accredited  investors but
who have either a net worth  (exclusive  of home,  furnishings  and  automobile)
either  individually  or jointly  with the  investor's  spouse of at least three
times his  investment in the  Partnership  (the minimum  investment for which is
$50,000) or gross income for the two previous  years and projected  gross income
for the current  fiscal year of not less than three times his  investment in the
Partnership for each year.

                                       15
<PAGE>


                (c) Results of Operations. For the year ended December 31, 1998,
the Net Asset Value per Unit increased 3.6% from $2,609.19 to $2,701.83. For the
year ended December 31, 1997, the Net Asset Value per Unit increased  13.0% from
$2,309.84 to  $2,609.19.  For the year ended  December  31, 1996,  the Net Asset
Value Per Unit increased 26.7% from $1,822.51 to $2,309.84
                The  Partnership  experienced  net trading  gains of  $7,069,186
before commissions and expenses for the year ended December 31, 1998. Gains were
attributable to the trading of U.S. and non-U.S. interest rate futures contracts
and were partially offset by losses incurred in the trading of commodity futures
in currencies, metals and indices.
                The  Partnership  experienced  net trading gains of  $13,108,510
before commissions and expenses for the year ended December 31, 1997. Gains were
attributable to the trading of commodity futures in metals, currencies,  indices
and U.S. and non-U.S. interest rate products.
                The  Partnership  experienced  net trading gains of  $20,807,730
before  commissions  and  expenses for the year ended  December 31, 1996.  These
gains were attributable to the trading of currency, precious metals and U.S. and
non-U.S.  interest rate futures contracts.  These gains were partially offset by
losses incurred in the trading of commodity futures in indices.

                                       16
<PAGE>


                Commodity  futures  markets  are highly  volatile.  Broad  price
fluctuations  and rapid  inflation  increase  the risks  involved  in  commodity
trading,  but also increase the possibility of profit.  The profitability of the
Partnership  depends on the  existence  of major price trends and the ability of
the  Advisor  to  identify  those  price  trends  correctly.  Price  trends  are
influenced  by, among other things,  changing  supply and demand  relationships,
weather, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events and changes in interest
rates.  To the  extent  that  market  trends  exist and the  Advisor  is able to
identify them, the Partnership expects to increase capital through operations.
         (d)      Operational Risk
The Company is directly  exposed to market risk and credit risk,  which arise in
the normal  course of its business  activities.  Slightly  less  direct,  but of
critical  importance,  are  risks  pertaining  to  operational  and back  office
support.  This is particularly  the case in a rapidly  changing and increasingly
global environment with increasing  transaction  volumes and an expansion in the
number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement  Risk - the risk of financial  and  opportunity  loss and
legal liability attributable to operational problems, such as inaccurate pricing
of transactions,  untimely trade execution,  clearance and/or settlement, or the
inability to process  large volumes of  transactions.  The Company is subject to
increased  risks with  respect to its  trading  activities  in  emerging  market
securities,  where clearance,  settlement, and custodial risks are often greater
than  in  more  established  markets.  

                                       17
<PAGE>

Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Company's ability to gather, process, and
communicate  information  efficiently and securely,  without interruption,  with
customers,  among units within the Company, and in the markets where the Company
participates.
Legal/Documentation  Risk - the risk of loss attributable to deficiencies in the
documentation  of  transactions  (such  as  trade  confirmations)  and  customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.
Financial  Control  Risk - the  risk  of loss  attributable  to  limitations  in
financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management  and  communicated  to  external  parties,  including  the  Company's
stockholder,  creditors,  and regulators,  is free of material  errors.  
Risk of Computer System Failure (Year 2000 Issue)
                  The Year 2000 issue is the  result of  existing  computers  in
many  businesses  using  only two digits to  identify a year in the date  field.

                                       18
<PAGE>

These  computers and programs,  often referred to as  "information  technology,"
were  designed  and  developed  without  considering  the impact of the upcoming
change in the century. If not corrected,  many computer  applications could fail
or create  erroneous  results at the Year 2000.  Such systems and  processes are
dependent on correctly identifying dates in the next century.
                  The  General   Partner   administers   the   business  of  the
Partnership through various systems and processes maintained by SSBH and SSB. In
addition, the operation of the Partnership is dependent on the capability of the
Partnership's  Advisor,  the brokers  and  exchanges  through  which the Advisor
trades,  and other third parties to prepare  adequately for the Year 2000 impact
on their  systems  and  processes.  The  Partnership  itself  has no  systems or
information technology applications relevant to its operations.
                  The General Partner,  SSB, SSBH and their parent  organization
Citigroup Inc. have  undertaken a  comprehensive,  firm-wide  evaluation of both
internal and external  systems  (systems  related to third parties) to determine
the  specific  modifications  needed to prepare for the year 2000.  The combined
Year 2000 program in SSB is expected to cost approximately $140 million over the
four years  from 1996  through  1999,  and  involve  over 450 people at the peak
staffing level. SSB expects to complete all compliance and certification work by
June 1999. At this time,  over 95% of SSBH systems have completed the correction
process  and are Year 2000  compliant.  Over 73% of the systems  have  completed
certification testing. The Year 2000 project at SSBH remains on schedule.

                                       19
<PAGE>

                  The systems and components  supporting  the General  Partner's
business that require  remediation have been identified and  modifications  have
been made to bring them into Year 2000 compliance.  Testing of these systems was
completed in the fourth  quarter of 1998.  Final testing and  certification  are
expected to be completed by the end of the first quarter of 1999.
                This expenditure and the General Partner's  resources  dedicated
to the  preparation  for Year 2000 do not and will not have a material impact on
the operation or results of the Partnership.
                  The General Partner has requested and received statements from
the Advisor that it has undertaken its own evaluation and  remediation  plans to
identify any of its computer systems that are Year 2000 vulnerable.  The Advisor
has  confirmed  it is taking  immediate  actions  to  remedy  those  systems  as
necessary.  The General Partner will continue to inquire into and to confirm the
Advisor's readiness for Year 2000.
                  The most likely and most  significant  risk to the Partnership
associated  with the lack of Year  2000  readiness  is the  failure  of  outside
organizations,  including the commodities exchanges, clearing organizations,  or
regulators  with which the  Partnership  interacts  to  resolve  their Year 2000
issues in a timely  manner.  This risk could  involve the inability to determine
the value of the  Partnership  at some  point in time and would  make  effecting
purchases  or  redemptions  of Units in the  Partnership  infeasible  until such
valuation was determinable.

                                       20
<PAGE>

                  SSB has  successfully  participated in  industry-wide  testing
including:  The Streetwide  Beta Testing  organized by the  Securities  Industry
Association  (SIA),  a  government  securities  clearing  test with the  Federal
Reserve Bank of New York,  The  Depository  Trust  Company,  and The Bank of new
York,  and Futures  Industry  Association  participants  test.  The firm is also
participating in the streetwide testing which commenced in March 1999.
                  It is possible that problems may occur that would require some
time to repair.  Moreover,  it is possible that problems will occur outside SSBH
for which  SSBH could  experience  a  secondary  effect.  Consequently,  SSBH is
preparing   comprehensive,   written   contingency  plans  so  that  alternative
procedures  and a  framework  for  critical  decisions  are  defined  before any
potential crisis occurs.
                The goal of Year 2000 contingency planning is a set of alternate
procedures to be used in the event of a critical  system failure or a failure by
a supplier or  counterparty.  Planning work was completed in December  1998, and
testing of alternative procedures will be conducted in the first half of 1999.
European Economic and Monetary Union
         European  Economic and Monetary  Union ("EMU") is an historic  event in
Europe involving the unification of currency in eleven major countries.  The new
unified currency, called the Euro, is expected to compete on a global scale with
the U.S. Dollar and the Japanese Yen.

                                       21
<PAGE>

         Introduction  of the Euro began on January 1, 1999,  when the  European
Central Bank assumed control of the monetary policy for  participating  nations.
Exchange  rates between the  participating  countries were fixed and the Euro is
available for  electronic  payments.  Also on January 1, 1999,  various  issuers
re-denominated  their  securities and  harmonized  bond payment  conventions.  A
three-year  transition  period began on January 1, 1999,  after which Euro notes
and coins will be issued by the European  Central  Bank and national  currencies
will be phased out.
         The  Company  completed  a  successful  conversion  to the Euro and has
commenced  trading and settlement in the new currency with no major  exceptions.
         As the preceding risks are largely  interrelated,  so are the Company's
actions to mitigate and manage them. The Company's Chief Administrative  Officer
is  responsible  for,  among other things,  oversight of global  operations  and
technology.  An  essential  element in  mitigating  the risks noted above is the
optimization  of information  technology and the ability to manage and implement
change.  To be an effective  competitor in an  information-driven  business of a
global nature  requires the  development  of global  systems and databases  that
ensure increased and more timely access to reliable data.
         (e) New Accounting Pronouncements         
         In June 1998, the Financial Accounting Standards Board issued SFAS 133,
Accounting for Derivative  Instruments and Hedging Activities ("SFAS 133"). SFAS
133  requires  that an entity  recognize  all  derivatives  in the  statement of
financial condition and measure those instruments at fair value.

                                       22
<PAGE>

SFAS 133 is effective for fiscal year beginning  after June 15, 1999 SFAS 133 is
expected  to  have  no  material  impact  on  the  financial  statements  of the
Partnership as all commodity  interests are recorded at fair value, with changes
therein  reported in the statement of income and expenses 
Item 7A. Quantitative and Qualitative Disclosures About Market Risk 
Introduction
         The Partnership is a speculative  commodity pool. The market  sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company,  the risk of market sensitive  instruments is
integral, not incidental, to the Partnership's main line of business.
         Market movements result in frequent changes in the fair market value of
the  Partnership's  open positions and,  consequently,  in its earnings and cash
flow. The Partnership's  market risk is influenced by a wide variety of factors,
including the level and volatility of interest  rates,  exchange  rates,  equity
price  levels,  the market value of financial  instruments  and  contracts,  the
diversification effects among the Partnership's open positions and the liquidity
of the markets in which it trades.
         The  Partnership  rapidly  acquires and liquidates  both long and short
positions in a wide range of different markets. Consequently, it is not possible
to predict how a particular future market scenario will affect performance,  and
the Partnership's  past performance is not necessarily  indicative of its future
results.

                                       23
<PAGE>

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

                                       24
<PAGE>

         The Partnership's risk exposure in the various market sectors traded by
the  Advisor  is  quantified  below  in  terms  of  Value  at  Risk.  Due to the
Partnership's  mark-to-market  accounting,  any  loss in the  fair  value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized).  
         Exchange   maintenance  margin  requirements  have  been  used  by  the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum losses  reasonably  expected
to be incurred in the fair value of any given contract in 95%-99% of any one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and
exchanges  using  historical  price  studies as well as an assessment of current
market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.
         In the case of market  sensitive  instruments  which  are not  exchange
traded  (almost  exclusively  currencies  in the case of the  Partnership),  the
margin requirements for the equivalent futures positions have been used as Value
at  Risk.  In those  rare  cases in  which a  futures-equivalent  margin  is not
available, dealers' margins have been used.

                                       25
<PAGE>

         In  quantifying  the   Partnership's   Value  at  Risk,  100%  positive
correlation  in the  different  positions  held in each market risk category has
been  assumed.  Consequently,  the margin  requirements  applicable  to the open
contracts have simply been added to determine each trading category's  aggregate
Value at Risk.  The  diversification  effects  resulting  from the fact that the
Partnership's positions are rarely, if ever, 100% positively correlated have not
been  reflected.  The  Partnership's  Trading Value at Risk in Different  Market
Sectors
         The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of December 31, 1998. All
open position  trading risk exposures of the  Partnership  have been included in
calculating  the  figures  set  forth  below.  As  of  December  31,  1998,  the
Partnership's total capitalization was $62,782,503.
                                  December 31, 1998

                                               % of Total
Market Sector                 Value at Risk   Capitalization


Currencies
- OTC Contract                 $  716,040         1.14%
Interest Rate U.S.                922,600         1.47%
Interest Rate Non-U.S.          3,909,049         6.23%
Metals                            137,600         0.22%
                               ----------         -----

Total                          $5,685,289         9.06%
                               ==========         =====


                                       26
<PAGE>

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

                                       27
<PAGE>

Qualitative Disclosures Regarding Primary Trading Risk Exposures
         The  following  qualitative  disclosures  regarding  the  Partnership's
market risk exposures - except for (i) those  disclosures that are statements of
historical fact and (ii) the  descriptions  of how the  Partnership  manages its
primary market risk exposures - constitute forward-looking statements within the
meaning of Section 27A of the  Securities  Act and Section 21E of the Securities
Exchange Act. The  Partnership's  primary  market risk  exposures as well as the
strategies  used and to be used by the  General  Partner  and the  Advisors  for
managing such exposures are subject to numerous uncertainties, contingencies and
risks, any one of which could cause the actual results of the Partnership's risk
controls to differ materially from the objectives of such strategies. Government
interventions,  defaults and expropriations,  illiquid markets, the emergence of
dominant fundamental factors,  political upheavals,  changes in historical price
relationships,  an influx of new market  participants,  increased regulation and
many  other  factors  could  result in  material  losses as well as in  material
changes to the risk exposures and the management  strategies of the Partnership.
There can be no assurance that the Partnership's  current market exposure and/or
risk  management  strategies  will  not  change  materially  or  that  any  such
strategies will be effective in either the short- or long- term.
Investors must be prepared to lose all or substantially  all of their investment
in the Partnership.
         The  following   were  the  primary   trading  risk  exposures  of  the
Partnership as of December 31, 1998, by market sector.

                                       28
<PAGE>

         Interest Rates.  Interest rate risk is the principal market exposure of
the  Partnership.  Interest  rate  movements  directly  affect  the price of the
futures  positions held by the Partnership and indirectly the value of its stock
index and currency positions.  Interest rate movements in one country as well as
relative  interest  rate  movements  between  countries  materially  impact  the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate  fluctuations in the United States and the other G-7 countries.
However,  the Partnership also takes futures positions on the government debt of
smaller nations -- e.g.,  Australia.  The General Partner  anticipates  that G-7
interest rates will remain the primary market  exposure of the  Partnership  for
the foreseeable future. The changes in interest rates which have the most effect
on the  Partnership are changes in long-term,  as opposed to short-term,  rates.
Consequently,  even a material  change in  short-term  rates  would have  little
effect on the Partnership were the medium- to long-term rates to remain steady.
         Currencies.  The  Partnership's  currency  exposure is to exchange rate
fluctuations,  primarily  fluctuations  which  disrupt  the  historical  pricing
relationships   between   different   currencies  and  currency   pairs.   These
fluctuations  are  influenced  by interest rate changes as well as political and
general economic  conditions.  The Partnership's  major exposures have typically
been in the dollar/yen,  dollar/mark  and  dollar/pound  positions.  The General
Partner does not anticipate that the risk profile of the Partnership's  currency
sector will change significantly in the future, although it is difficult at this
point to predict  the effect of the  introduction  of the Euro on the  Advisors'
currency trading strategies.  The currency trading Value at Risk figure includes
foreign  margin  amounts   converted  into  U.S.  dollars  with  an  incremental
adjustment  to reflect  the  exchange  rate risk  inherent  to the  dollar-based
Partnership  in  expressing  Value at Risk in a functional  currency  other than
dollars.

                                       29
<PAGE>

         Stock Indices.  The Partnership's  primary equity exposure is to equity
price  risk  in the  G-7  countries.  The  stock  index  futures  traded  by the
Partnership are by law limited to futures on broadly based indices. Although the
Partnership  does trade stock indices such as the Financial  Times (England) and
Nikkei (Japan),  at December 31, 1998. The Partnership held no open positions in
these instruments.  The General Partner  anticipates  little, if any, trading in
non-G-7  stock  indices.  The  Partnership  is primarily  exposed to the risk of
adverse price trends or static markets in the major U.S.,  European and Japanese
indices.  (Static markets would not cause major market changes but would make it
difficult for the  Partnership  to avoid being  "whipsawed"  into numerous small
losses.)
         Metals.   The  Partnership's   primary  metal  market  exposure  is  to
fluctuations  in the price of gold and silver.  Although  the Advisor  will from
time to time trade base metals such as aluminum,  copper and tin, the  principal
market  exposures  of the  Partnership  have  consistently  been in the precious
metals,  gold and silver.  The  Advisor's  gold  trading  has been  increasingly
limited due to the long-lasting and mainly non-volatile  decline in the price of
gold over the last 10-15 years.  However,  silver prices have remained  volatile
over  this  period,  and the  Advisor  has from time to time  taken  substantial
positions as they have perceived market  opportunities  to develop.  The General
Partner  anticipates  that gold and silver will remain the primary metals market
exposure for the Partnership. 

                                       30
<PAGE>

Qualitative Disclosures Regarding Non-Trading Risk Exposure
         The  following  were  the  only   non-trading  risk  exposures  of  the
Partnership as of December 31, 1998.
         Foreign Currency Balances.  The Partnership's  primary foreign currency
balances are in Japanese yen,  German marks,  British  pounds and French francs.
The  Advisor  regularly  converts  foreign  currency  balances  to dollars in an
attempt to control the Partnership's non-trading risk.
         Qualitative Disclosures Regarding Means of Managing Risk Exposure
         The General  Partner  monitors the  Partnership's  performance  and the
concentration  of its open positions,  and consults with the Advisor  concerning
the Partnership's overall risk profile. If the General Partner felt it necessary
to do so, the General  Partner could require the Advisor to close out individual
positions  as well as  enter  programs  traded  on  behalf  of the  Partnership.
However,  any such  intervention  would be a highly unusual  event.  The General
Partner  primarily  relies on the  Advisor's  own risk  control  policies  while
maintaining  a general  supervisory  overview of the  Partnership's  market risk
exposures.
         The Advisor  applies its own risk  management  policies to its trading.
The Advisor often  follows  diversification  guidelines,  margin limits and stop
loss points to exit a position.  The Advisor's research of risk management often
suggests ongoing modifications to its trading programs.
         As part of the General  Partner's risk management,  the General Partner
periodically  meets with the Advisor to discuss its risk  management and to look
for  any  material  changes  to the  Advisor's  portfolio  balance  and  trading
techniques.  
         The Advisor is required to notify the General  Partner of any  material
changes to its programs.



                                       31

<PAGE>



Item 8.    Financial Statements and Supplementary Data.




                         SHEARSON MID-WEST FUTURES FUND
                          INDEX TO FINANCIAL STATEMENTS


                                                                     Page
                                                                    Number


                        Oath or Affirmation                           F-2

                        Report of Independent Accountants.            F-3

                        Financial Statements:
                        Statement of Financial Condition at
                        December 31, 1998 and 1997.                   F-4

                        Statement of Income and Expenses for
                        the years ended December 31, 1998,
                        1997 and 1996.                                F-5

                        Statement of Partners' Capital for the
                        years ended December 31, 1998, 1997,
                        and 1996.                                     F-6

                        Notes to Financial Statements.              F-7 - F-11







                                       F-1
                                    Continued


<PAGE>

                           To The Limited Partners of
                         Shearson Mid-West Futures Fund

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






By:  Daniel A. Dantuono, Chief Financial Officer
     Smith Barney Futures Management Inc.
     General Partner, Shearson Mid-West
     Futures Fund

Smith Barney Futures Management Inc.
390 Greenwich Street
1st Floor
New York, N.Y. 10013
212-723-5424






                                   F-2


<PAGE>


                           Report of Independent Accountants

To the Partners of
  Shearson Mid-West Futures Fund:

In our  opinion,  the  accompanying  statement of  financial  condition  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly, in all material  respects,  the financial  position of Shearson Mid-West
Futures  Fund at December 31, 1998 and 1997,  and the results of its  operations
for each of the three years in the period ended December 31, 1998, in conformity
with generally accepted accounting  principles.  These financial  statements are
the responsibility of the management of the General Partner;  our responsibility
is to express an opinion on these financial  statements based on our audits.  We
conducted our audits of these financial  statements in accordance with generally
accepted auditing  standards which require that we plan and perform the audit to
obtain reasonable  assurance about whether the financial  statements are free of
material  misstatement.  An audit includes examining,  on a test basis, evidence
supporting the amounts and  disclosures in the financial  statements,  assessing
the accounting  principles used and significant estimates made by the management
of  the  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audits  provide a  reasonable  basis for the
opinion expressed above.



                                                  PricewaterhouseCoopers LLP

New York, New York
February 26, 1999

                                    F-3
<PAGE>


                             Shearson Mid-West Futures Fund
                            Statement of Financial Condition
                               December 31, 1998 and 1997

<TABLE>
<CAPTION>

                                                  1998             1997
<S>                                               <C>             <C>   

Assets:
Equity in commodity futures trading account:
   Cash (Note 3c)                              $57,448,807   $62,456,814
   Net unrealized appreciation on open
    futures contracts                            6,340,737     3,053,604
                                               -----------   -----------
                                                63,789,544    65,510,418
Interest receivable                                175,495       223,149
                                               -----------   -----------
                                               $63,965,039   $65,733,567
                                               -----------   -----------


Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                                 $   319,825   $   328,668
   Management fees                                 212,009       218,016
   Administrative fees                              53,002        54,504
   Incentive fees                                     --         658,743
   Other                                            42,480        41,906
  Redemptions payable (Note 5)                     555,220       136,695
                                               -----------   -----------
                                                 1,182,536     1,438,532
                                               -----------   -----------
Partners' capital (Notes 1, 5, and 6):
  General Partner, 322.1307 Unit
   equivalents outstanding in 1998 and 1997        870,342       840,500
  Limited Partners, 22,914.8951 and
   24,319.6068 Units of Limited Partnership
   Interest outstanding in 1998 and 1997,
   respectively                                 61,912,161    63,454,535
                                               -----------   -----------
                                                62,782,503    64,295,035
                                               -----------   -----------
                                               $63,965,039   $65,733,567
                                               ===========   ===========
</TABLE>


See notes to financial statements.

                                   F-4
<PAGE>


                             Shearson Mid-West Futures Fund
                            Statement of Income and Expenses
                                  for the years ended
                            December 31, 1998, 1997 and 1996

<TABLE>
<CAPTION>
                                    1998               1997           1996
<S>                                  <C>               <C>           <C>  

Income:
  Net gains on trading
   of commodity interests:
   Realized gains on closed
    positions                  $  3,782,053    $ 11,287,479    $ 21,703,191
   Change in unrealized
    gains/losses on open
    positions                     3,287,133       1,821,031        (895,461)
                               ------------    ------------    ------------
                                  7,069,186      13,108,510      20,807,730
  Less, brokerage
   commissions including
   clearing fees of
   $47,294, $48,998
   and $56,807, respectively
   (Note 3c)                     (3,757,246)     (3,894,823)     (3,740,843)
                               ------------    ------------    ------------
  Net realized and 
   unrealized gains               3,311,940       9,213,687      17,066,887
  Interest income
   (Note 3c)                      2,218,879       2,495,221       2,245,474
                               ------------    ------------    ------------
                                  5,530,819      11,708,908      19,312,361
                               ------------    ------------    ------------
Expenses:
  Management fees
  (Note 3b)                       2,342,517       2,494,842       2,387,610
  Incentive fees
  (Note 3b)                         573,485         913,533       1,923,668
  Administrative fees
  (Note 3a)                         585,630         623,709         596,902
  Other expenses                     62,128          58,124          80,386
                               ------------    ------------    ------------
                                  3,563,760       4,090,208       4,988,566
                               ------------    ------------    ------------
Net income                     $  1,967,059    $  7,618,700    $ 14,323,795
                               ============    ============    ============
Net income per Unit
  of Limited Partnership
  Interest and General
  Partner Unit equivalent
  (Notes 1 and 6)              $      92.64    $     299.35    $     487.33
                               ============    ============    ============
See notes to financial statements.
</TABLE>

                                  F-5
<PAGE>


                             Shearson Mid-West Futures Fund
                             Statement of Partners' Capital
                                  for the years ended
                           December 31, 1998, 1997, and 1996

<TABLE>
<CAPTION>

                                        Limited         General
                                        Partner         Partner          Total
<S>                                     <C>              <C>          <C>

Partners' capital at
   December 31, 1995               $ 56,809,398    $    587,086   $ 57,396,484
Net income                           14,166,811         156,984     14,323,795
Redemption of 4,618.7813
   Units of Limited Partnership
   Interest                          (9,644,974)           --       (9,644,974)
                                   ------------    ------------   ------------
Partners' capital at
   December 31, 1996                 61,331,235         744,070     62,075,305
Net income                            7,522,270          96,430      7,618,700
Redemption of 2,232.5764
   Units of  Limited Partnership
   Interest                          (5,398,970)           --       (5,398,970)
                                   ------------    ------------   ------------
Partners' capital at 
   December 31, 1997                 63,454,535         840,500     64,295,035
Net income                            1,937,217          29,842      1,967,059
Redemption of 1,404.7117 Units
   of Lmited Partnership
   Interest                          (3,479,591)           --       (3,479,591)
                                   ------------    ------------   ------------
Partners' capital at
   December 31, 1998               $ 61,912,161    $    870,342   $ 62,782,503
                                   ============    ============   ============

</TABLE>

See notes to financial statements.

                                    F-6
<PAGE>


                         Shearson Mid-West Futures Fund
                          Notes to Financial Statements

1.  Partnership Organization:

    Shearson Mid-West Futures Fund (the  "Partnership") is a limited partnership
    which was  organized  on August 21, 1991 under the  partnership  laws of the
    State of New York to  engage in the  speculative  trading  of a  diversified
    portfolio of commodity  interests  including futures contracts,  options and
    forward  contracts.   The  commodity   interests  that  are  traded  by  the
    Partnership  are  volatile  and  involve a high degree of market  risk.  The
    Partnership was authorized to sell up to 40,000 Units of Limited Partnership
    Interest ("Units") during the offering period.

    Smith Barney  Futures  Management  Inc.  acts as the  general  partner (the
    "General  Partner")  of  the  Partnership.  On  September  1,  1998,  the 
    Partnership's commodity  broker,  Smith  Barney  Inc., merged with  Salomon
    Brothers  Inc and  changed its name to Salomon  Smith Barney Inc.  ("SSB").
    SSB is an affiliate of  the General Partner. The General Partner is  wholly
    owned by Salomon Smith Barney Holdings,  Inc.  ("SSBH"),  which is the sole
    owner of SSB.  On October 8, 1998, Travelers Group Inc. merged with Citicorp
    Inc. and changed  its  name to  Citigroup  Inc.  SSBH  is a  wholly  owned 
    subsidiary of Citigroup Inc.

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

    The Partnership will be liquidated upon the first to occur of the following:
    December 31, 2011; when the net asset value of a Unit decreases to less than
    $350 as of the close of business on any business day; or under certain other
    circumstances as defined in the Limited Partnership Agreement.

2.  Accounting Policies:

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

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

    c. The  preparation  of financial  statements in conformity  with  generally
       accepted accounting  principles requires management to make estimates and
       assumptions that affect the reported amounts of assets and liabilities at
       the date of the financial statements and the reported amounts of revenues
       and expenses  during the reporting  period.  Actual  results could differ
       from these estimates.
                             F-7
<PAGE>

3.  Agreements:

    a. Limited Partnership Agreement:

       The  General  Partner   administers  the  business  and  affairs  of  the
       Partnership  including  selecting  one or more  advisors to make  trading
       decisions  for the  Partnership.  The  Partnership  will pay the  General
       Partner a monthly  administrative  fee in return for its  services to the
       Partnership  equal to 1/12 of 1% (1% per year) of month-end Net Assets of
       the Partnership. This fee may be increased or decreased at the discretion
       of the General Partner.

    b. Management Agreement:

       The  Management  Agreement  that the  General  Partner,  on behalf of the
       Partnership,  entered  into with the  Advisor  (John W.  Henry & Company,
       Inc.),  provides that the Advisor has sole  discretion in determining the
       investment of the assets of the  Partnership  allocated to the Advisor by
       the General  Partner.  As compensation  for services,  the Partnership is
       obligated  to pay the Advisor a monthly  management  fee of 1/3 of 1% (4%
       per year) of month-end Net Assets managed by the Advisor and an incentive
       fee,  payable  quarterly,  equal to 15% of the New  Trading  Profits,  as
       defined, of the Partnership.

    c. Customer Agreement:

       The Partnership has entered into a Customer  Agreement which was assigned
       to SSB (from a predecessor  company) whereby SSB provides  services which
       include,  among other  things,  the  execution  of  transactions  for the
       Partnership's  account in  accordance  with orders placed by the Advisor.
       The Partnership is obligated to pay a monthly  brokerage fee to SSB equal
       to 1/2 of 1% of month-end Net Assets (6% per year),  in lieu of brokerage
       commissions  on a per  trade  basis.  A  portion  of this  fee is paid to
       employees  of SSB who have sold Units of the  Partnership.  This fee does
       not include exchange,  clearing,  user, give-up,  floor brokerage and NFA
       fees which  will be borne by the  Partnership.  All of the  Partnership's
       assets  are   deposited  in  the   Partnership's   account  at  SSB.  The
       Partnership's  cash is deposited by SSB in segregated  bank accounts,  to
       the extent required by Commodity Futures Trading Commission  regulations.
       At  December  31,  1998 and 1997,  the  amount  of cash  held for  margin
       requirements  was $6,056,359 and $7,529,226,  respectively.  SSB will pay
       the Partnership interest on 80% of the average daily equity maintained in
       cash  in its  account  during  each  month  at the  rate  of the  average
       non-competitive yield of 13-week U.S. Treasury Bills as determined at the
       weekly auctions thereof during the month. The Customer  Agreement between
       the  Partnership  and SSB gives the  Partnership  the legal  right to net
       unrealized gains and losses.  The Customer Agreement may be terminated by
       either party.

4.  Trading Activities:

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

    All of the commodity interests owned by the Partnership are held for trading
    purposes.  The fair value of these commodity  interests,  including  options
    thereon,  if  applicable,  at December 31, 1998 and 1997, was $6,340,737 and
    $3,053,604,  respectively,  and the average fair value during the years then
    ended,  based on a  monthly  calculation,  was  $3,792,199  and  $3,584,774,
    respectively.
                                    F-8

<PAGE>

5.  Distributions and Redemptions:

    Distributions of profits, if any, will be made at the sole discretion of the
    General  Partner;  however,  a limited partner may redeem all or some of his
    Units  (minimum  20 Units) at the Net Asset  Value as of the last day of any
    month  ending at least one month after  trading  commences  on fifteen  days
    written  notice to the General  Partner,  provided  that no  redemption  may
    result in the limited  partner  holding  fewer than twenty  Units after such
    redemption is effected.

6.  Net Asset Value Per Unit:

    Changes  in the net asset  value per Unit of  Partnership  interest  for the
    years ended December 31, 1998, 1997 and 1996 were as follows:




<TABLE>
<CAPTION>
                                                1998         1997       1996
<S>                                             <C>            <C>         <C> 

Net realized and unrealized gains           $  148.70  $    361.46  $   580.24
Interest income                                 91.81        95.57       74.28
Expenses                                      (147.87)     (157.68)    (167.19)
                                            ---------    ---------    ---------
Increase for year                               92.64       299.35      487.33
Net asset value per 
 Unit, beginning of year                     2,609.19     2,309.84    1,822.51
                                            ---------    ---------    ---------
Net asset value per 
 Unit, end of year                          $2,701.83   $ 2,609.19  $ 2,309.84
                                            =========    =========    =========
</TABLE>
                                                    
7.  Financial Instrument Risks:

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

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

                               F-9

<PAGE>



    Credit risk is the possibility that a loss may occur due to the failure of a
    counterparty  to perform  according to the terms of a contract.  Credit risk
    with respect to exchange traded instruments is reduced to the extent that an
    exchange  or  clearing   organization   acts  as  a   counterparty   to  the
    transactions.  The  Partnership's  risk of loss in the event of counterparty
    default is typically  limited to the amounts  recognized in the statement of
    financial  condition and not represented by the contract or notional amounts
    of the instruments.  The Partnership has concentration risk because the sole
    counterparty or broker with respect to the Partnership's assets is SSB.

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

    The notional or contractual amounts of these instruments, while not recorded
    in the  financial  statements,  reflect  the  extent  of  the  Partnership's
    involvement in these instruments.

    At  December  31,  1998,  the  notional  or   contractual   amounts  of  the
    Partnership's   commitment  to  purchase  and  sell  these  instruments  was
    $387,519,021 and $397,589,186, respectively, as detailed below. All of these
    instruments mature within one year of December 31, 1998. However, due to the
    nature of the Partnership's  business,  these instruments may not be held to
    maturity.  At  December  31,  1998,  the  fair  value  of the  Partnership's
    derivatives,  including options thereon, if applicable,  was $6,340,737,  as
    detailed below.

<TABLE>
<CAPTION>
                                December 31, 1998
                             Notional or Contractual
                              Amount of Commitments

                                  To Purchase        To Sell         Fair Value
<S>                                     <C>             <C>              <C> 
Currencies
 -OTC Contracts                  $ 32,353,773     $ 10,033,454     $    332,575
Interest Rate U.S.                 61,058,375       68,811,675         (462,275)
Interest Rate Non-U.S             294,106,873      313,773,297        6,473,917
Metals                                   --          4,970,760           (3,480)
                                 ------------     ------------     ------------
                                 $387,519,021     $397,589,186     $  6,340,737
                                 ============     ============     ============
</TABLE>
                                F-10
<PAGE>


At December 31, 1997, the notional or contractual  amounts of the  Partnership's
commitment  to  purchase  and  sell  these   instruments  was  $280,212,217  and
$428,797,179, respectively, and the fair value of the Partnership's derivatives,
including options thereon, if applicable, was $3,053,604, as detailed below.

<TABLE>
<CAPTION>

                                December 31, 1997
                             Notional or Contractual
                              Amount of Commitments
                                  To Purchase        To Sell         Fair Value
<S>                                   <C>              <C>                <C> 
Currencies
  -OTC Contracts                 $ 72,139,633     $137,350,403     $   (315,816)
Interest Rate U.S.                 59,122,937             --            470,500
Interest Rate Non-U.S             141,407,722      260,654,913          161,757
Metals                              7,541,925       25,355,150        2,293,635
Indices                                  --          5,436,713          443,528
                                 ------------     ------------     ------------
                                 $280,212,217     $428,797,179     $  3,053,604
                                 ============     ============     ============
</TABLE>




8.   New Accounting Pronouncements:

     In June 1998,  the Financial  Accounting  Standards  Board issued SFAS 133,
     Accounting for Derivative  Instruments and Hedging Activities ("SFAS 133").
     SFAS 133 requires that an entity recognize all derivatives in the statement
     of financial  condition and measure those  instruments at fair value.  SFAS
     133 is effective for fiscal years  beginning  after June 15, 1999. SFAS 133
     is expected to have no material  impact on the financial  statements of the
     Partnership  as all commodity  interests  are recorded at fair value,  with
     changes therein reported in the statement of income and expenses.

                               F-11



<PAGE>



                                                                              38

Item  9.  Changes  in and  Disagreements  with  Accountants  on  Accounting  and
          Financial Disclosure.

         During the last two fiscal years and any subsequent  interim period, no
independent  accountant who was engaged as the principal accountant to audit the
Partnership's financial statements has resigned or was dismissed.
          
                                    PART III
Item 10. Directors and Executive Officers of the Registrant.
         The  Partnership  has no  officers  or  directors  and its  affairs are
managed by its General Partner,  Smith Barney Futures Management Inc. Investment
decisions are made by John W. Henry & Company, Inc. (the "Advisor").
Item 11. Executive Compensation.
         The Partnership  has no directors or officers.  Its affairs are managed
by Smith Barney Futures  Management  Inc., its General  Partner,  which receives
compensation  for its services,  as set forth under "Item 1.  Business." SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business."  During the year ended December 31, 1998, SSB earned $3,757,246 in
brokerage  commissions  and clearing  fees.  The Advisor  earned  $2,342,517  in
management  fees and $573,485 in incentive fees during 1998. The General Partner
earned $585,630 in administrative fees during 1998.

                                       33
<PAGE>


Item 12. Security Ownership of Certain Beneficial Owners and Management.
         (a). Security  ownership of certain  beneficial owners. The Partnership
knows of no person who beneficially owns more than 5% of the Units outstanding.
         (b). Security  ownership of management.  Under the terms of the Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent  to  322.1307  (1.4%)  Units of limited  partnership  interest  as of
December 31, 1998.
         (c). Changes in control. None.

Item 13. Certain Relationships and Related Transactions.

         Smith Barney Inc. and Smith Barney  Futures  Management  Inc.  would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under "Item 1. Business." and "Item 11. Executive Compensation."

                                     PART IV
Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.
         (a) (1) Financial Statements:
                 Statement of  Financial  Condition at December 31, 1998
                 and 1997.
                 Statement  of Income and  Expenses  for the years ended
                 December 31, 1998, 1997 and 1996.

                                     34
<PAGE>


                  Statement of Partners' Capital for the years ended
                  December 31, 1998, 1997 and 1996.
                 (2)     Financial Statement Schedules: Financial Data Schedule 
                         for the year ended December 31, 1998.
                 (3)     Exhibits:

                3.1 - Certificate of Limited Partnership (previously filed).
                3.2 - Limited Partnership Agreement (previously filed).
                10.1- Management  Agreement among the  Partnership,  the General
                    Partner  and  John W.  Henry  &  Company,  Inc.  (previously
                    filed).
                10.2- Customer  Agreement  between  Partnership and Smith Barney
                    Shearson Inc. (previously filed).
                10.3 - Form of Subscription Agreement (previously filed).
                10.4- Letter dated  February  16, 1995 from  General  Partner to
                    John W. Henry & Company, Inc. extending Management Agreement
                    (previously filed).
                10.5- Letters extending  Management Agreement with John W. Henry
                    & Company, Inc. for 1997 (filed as Exhibit 10.5 to Form 10-K
                    for the year ended December 31, 1997 and incorporated herein
                    by reference.)


<PAGE>



                10.6.- Letter extending  Management Agreement with John W. Henry
                    & Company,  Inc. for 1998 (filed  herein) 
               (b) Report on Form 8-K: None Filed

                                       36
<PAGE>


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




Annual Report to Limited Partners

                                       37

<PAGE>


                                   SIGNATURES

          Pursuant to the  requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this Registration Statement
to be signed on its behalf by the undersigned, thereunto duly authorized, in the
City of New York and State of New York on the 24th day of March 1999.

SHEARSON MID-WEST FUTURES FUND L.P.


By:       Smith Barney Futures Management Inc.
          (General Partner)



By        /s/        David J. Vogel
          David J. Vogel, President & Director


          Pursuant to the  requirements of the Securities  Exchange Act of 1934,
this  Registration  Statement has been signed below by the following  persons in
the capacities and on the date indicated.



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



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



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



/s/    Shelley Ullman
Shelley Ullman
Director