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, 2001

Commission File Number 0-24280
                       -------

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

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

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

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

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

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

                                                          Yes   X    No
                                                              -----     ----

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

As of February 28, 2002,  Limited  Partnership  Units with an aggregate value of
$25,271,788 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.  From December 2, 1991 to January 25, 2001,  the
Partnership  engaged 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. 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.  Redemptions of Units for the years ended  December 31, 2001,  2000 and
1999 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>

     Effective January 26, 2001, the Partnership  transferred  substantially all
of its assets in exchange for  31,509.8853  Units of the Master and a fair value
of $31,509,885 as a tax-free  transfer to JWH Strategic  Allocation  Master Fund
LLC, a New York limited liability company (the "Master").  The Master was formed
in order to permit commodity pools managed now or in the future by John W. Henry
& Company,  Inc. (the "Advisor")  using the Strategic  Allocation  Program,  the
Advisor's  proprietary  trading  program,  to  invest  together  in one  trading
vehicle.  Smith Barney  Futures  Management  LLC (the "General  Partner") is the
general  partner  of the  Partnership  and the  managing  member of the  Master.
Expenses to investors as a result of investment in the Master are  approximately
the same and redemption rights are not affected.

     At December 31, 2001, the Partnership owns 30.12% of the Master.  It is the
Partnership's intention to continue to invest substantially all of its assets in
the Master.  The  performance  of the  Partnership  is directly  affected by the
performance of the Master.

     Prior to January 26, 2001, the  Partnership's  commodity broker was 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.  SSBH is a wholly owned  subsidiary of Citigroup
Inc.

     The  Master's  trading of  futures,  forwards  and  options  contracts,  if
applicable,  on  commodities  is done on United  States of America  and  foreign
commodity  exchanges.  It engages in such trading through a commodity  brokerage
account maintained with SSB.

                                       3
<PAGE>

     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.

     The  General   Partner  has  entered  into  a  management   agreement  (the
"Management  Agreement")  with the Advisor,  John W. Henry & Company,  Inc., 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,  for the period January
1, 2000 through  September 30, 2000,  the  Partnership  was 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.  For the period  October 1, 2000 to January 25,  2001,  the
Partnership was obligated to pay the Advisor a monthly management fee 1/6 of  1%


                                       4
<PAGE>

(2% per year) of  month-end  Net Assets  managed by the Advisor and an incentive
fee,  payable  quarterly,  equal to 20% of the New  Trading  Profits.  Effective
January 26,  2001,  the  Partnership  is  obligated to pay the Advisor a monthly
management  fee  equal  to 1/16 of 1% (2% per  year)  of  month-end  Net  Assets
allocated pro-rata by the Master and an Incentive fee payable  quarterly,  equal
to 20% of the New Trading Profits  allocated  pro-rata by the Master, as defined
in the Management Agreement.


     Prior to January 26, 2001, the Customer  Agreement  between the Partnership
and SSB (the  "Customer  Agreement")  provided  that the  Partnership  pay 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 ( the  "brokerage").  SSB
pays a portion of its brokerage fees to its financial  consultants who have sold
Units.  This fee did not include  National  Futures  Association  ("NFA")  fees,
exchange and clearing fees, give-up and user fees and floor brokerage fees which
were borne by the  Partnership.  Effective  January 26, 2001, the Partnership is
obligated  to pay the  Brokerage  Fee based on  month-end  Net Assets  allocated
pro-rata from the Master. All exchange,  clearing user, give-up, floor brokerage
and NFA  fees  will  be  borne  by the  Master  and  allocated  pro-rata  to the
Partnership  through its  investment in the Master.  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


                                       5
<PAGE>

Partnership  the legal right to net  unrealized  gains and losses.  The Customer
Agreement may be terminated upon notice by either party.

     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.  Effective  January 26, 2001, SSB
will pay the Partnership  interest on 80% of the average daily equity  allocated
pro-rata to the  Partnership  by the Master during each month at the rate of the
average  non-competitive  yield of 13-week  T-Bills as  determined at the weekly
auctions thereof during the month.

     (b)  Financial  information  about  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, 2001, 2000, 1999,
1998  and 1997 is set  forth  under  "Item  6.  Selected  Financial  Data."  The
Partnership's capital as of December 31, 2001 was $27,777,558.

     (c) Narrative description of business.

         See Paragraphs (a) and (b) above.
         (i) through (x) - Not applicable.
         (xi) through (xii) - Not applicable.
         (xiii) - The Partnership has no employees.

     (d) Financial  Information  About  Geographic  Areas.  The  Partnership and
through the Partnership's investment in the Master does not engage in


                                       6
<PAGE>

sales of goods or services or own any long lived assets, and therefore this item
is not applicable.

Item 2. Properties.

     The Partnership  does not own or lease any properties.  The General Partner
operates out of facilities provided by its affiliate, SSB.

Item 3.  Legal Proceedings.

     This section  describes  the major pending  legal  proceedings,  other than
ordinary routine litigation  incidental to the business,  to which Salomon Smith
Barney Holdings Inc.  ("SSBH") or its subsidiaries is a party or to which any of
their  property is  subject.  There are no material  legal  proceedings  pending
against the Partnership or the General Partner.

     Salomon  Smith  Barney  Inc.  ("SSB")  is a New York  corporation  with its
principal place of business at 388 Greenwich St., New York, New York 10013.  SSB
is registered as a broker-dealer and futures  commission  merchant ("FCM"),  and
provides futures  brokerage and clearing  services for  institutional and retail
participants  in the  futures  markets.  SSB and  its  affiliates  also  provide
investment banking and other financial services for clients worldwide.

     There have been no administrative, civil or criminal  actions  pending, on
appeal or concluded  against SSB or any of its individual  principals within the
past five years that  management  believes  may have a material  impact on SSB's
ability to act as an FCM. In the ordinary course of its business, SSB is a party


                                       7
<PAGE>

to various claims and regulatory  inquiries.  Proceedings  deemed to be material
for  purposes  of  Commodity  Futures  Trading  Commission  ("CFTC")  disclosure
requirements are:

     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 in a portfolio  of motels owned by Best Inns,
Inc. ("Best"),  violated the Employee  Retirement Income Security Act ("ERISA"),
and  that  APT's  purchase  of the  participation  interests  in the  third  MOA
portfolio  and in the Best  portfolio  violated  the  Racketeer  Influenced  and
Corrupt  Organization Act ("RICO") and the Illinois Consumer Fraud and Deceptive
Practices  Act  ("Consumer  Fraud  Act"),  and  constituted   fraud,   negligent
misrepresentation,  breach of contract and unjust  enrichment.  SBI had acquired
the participation interests when it purchased principal mortgage notes issued by
MOA and Best to finance purchases of  motel  portfolios; 95% of three  of those


                                       8
<PAGE>

interests  and 100% of the fourth were sold to APT for a total of  approximately
$20.9 million.  Plaintiffs'  second amended  complaint seeks judgment (a) on the
ERISA claims for the approximately  $20.9 million purchase price, for rescission
and for  disgorgement of profits,  as well as other relief,  and (b) on the RICO
and state law claims 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.  Following  motions by
defendants,  the court dismissed the RICO, Consumer Fraud Act, fraud,  negligent
misrepresentation,  breach of contract,  and unjust enrichment claims. The court
also found that defendants  were not ERISA  fiduciaries and dismissed two of the
three claims based on that allegation.  Defendants moved for summary judgment on
plaintiffs' only remaining claim,  which alleged an ERISA violation.  The motion
was denied, and defendants appealed to the U.S. Court of Appeals for the Seventh
Circuit.  In July  1999,  the U. S.  Court of Appeals  for the  Seventh  Circuit
reversed the denial of defendants' motion for summary judgment and dismissed the
sole remaining ERISA claim against the Company.  Plaintiffs filed a petition for
certiorari  with the U. S. Supreme Court  seeking  review of the decision of the
Court of  Appeals,  which was  granted  in  January  2000.  After  hearing  oral
argument,  on June 12, 2000,  the U.S.  Supreme Court reversed the U.S. Court of
Appeals for the Seventh Circuit's  judgment,  which had overturned the denial of
defendants'  motion for summary  judgment and dismissed the sole remaining ERISA
claim  against  the  Company, and remanded the matter to the  circuit  court for


                                       9
<PAGE>


further proceedings.  Subsequently, the circuit court remanded the matter to the
U.S.   District  Court  for  the  Northern  District  of  Illinois  for  further
proceedings.

     Both the Department of Labor and the Internal  Revenue Service ("IRS") have
advised SBI that they were or are reviewing the  underlying  transactions.  With
respect to the IRS,  SSBH, SBI and SBRC have consented to extensions of time for
the  assessment  of  excise  taxes  that  may be  claimed  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 such 30-day  letters.  Since
that time, the IRS has not issued such 30-day letters to SSBH, SBI or SBRC.

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
SSB,  in the U.S.  Bankruptcy  Court for the  Central  District  of  California.
(County  of Orange  et al v.  Bear  Stearns  & Co.  Inc.  et al.) The  complaint
alleged,  among other things,  that the  brokerage  firms  recommended  and sold
unsuitable  securities to Orange Count.  SSB and the remaining  brokerage  firms
settled with Orange County in mid 1999.

     In June  1998,  complaints  were filed in the U.S.  district  Court for the



                                       10
<PAGE>

Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc,  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.),  in which the City of New Orleans seeks a
determination that Smith Barney Inc. and another underwriter will be responsible
for any  damages  that the City may incur in the event the IRS denies tax exempt
status to the  City's  General  Obligation  Refunding  Bonds  Series  1991.  The
complaints  were  subsequently  amended.  SSB has asked the court to dismiss the
amended   complaints.   The  Court  denied  the  motion  but  stayed  the  case.
Subsequently, the city withdrew the lawsuit.

     In November  1998, a class action  complaint was filed in the United States
District  Court for the Middle  District of Florida  (Dwight  Brock as Clerk for
Collier County v. Merrill Lynch, et al.). The Complaint  alleged that,  pursuant
to a nationwide conspiracy, 17 broker-dealer defendants,  including SSB, Charged
excessive  mark-ups in connection with advanced  refunding  transactions.  Among
other relief,  plaintiffs sought compensatory and punitive damages,  restitution
and/or  rescission of the  transactions  and  disgorgement of alleged  excessive
profits.  In October 1999, the plaintiff filed a second amended  complaint.  SSB
has asked the court to dismiss the amended  complaint.  In  November  1999,  SSB
moved to dismiss the amended  complaint.  In May 2001, the parties reached,  and
the court preliminarily approved, a tentative settlement. In September 2001, the
court approved the settlement.

     In connection with the Louisiana and Florida matters, the IRS and SEC  have



                                       11
<PAGE>

been  conducting  an  industry-wide  investigation  into the pricing of Treasury
securities  in advanced  refunding  transactions,  In April 2000 SSB and several
other broker-dealers entered into a settlement with the IRS and the SEC.

     In December  1998,  SSB was one of  twenty-eight  market  making firms that
reached a settlement  with the SEC in the matter titled In the Matter of Certain
Market Making  Activities on NASDAQ.  As part of the  settlement of that matter,
SSB,  without  admitting or denying the factual  allegation,  agreed to an order
that  required  that it: (i) cease and desist  from  committing  or causing  any
violations of Sections  15(c)(1) and (2) of the Securities  Exchange Act of 1934
and Rules 15cl -2,  15c2-7 and 17a-3  thereunder,  (ii) pay  penalties  totaling
approximately  $760,000,  and (iii) submit certain policies and procedures to an
independent consultant for review.

     In March 1999, a complaint seeking in excess of $250 million was filed by a
hedge fund and its  investment  advisor  against SSB in the Supreme Court of the
State of New York,  County of New York (MKP Master  Fund,  LDC et al. v. Salomon
Smith Barney  Inc.).  Plaintiffs  allege that while acting as their prime broker
SSB breached its contracts with  plaintiffs,  converted  plaintiffs'  monies and
engaged in tortious  conduct,  including  breaching  its  fiduciary  duties.  In
October 1999, the court dismissed plaintiffs' tort claims,  including the breach
of  fiduciary  duty claims,  but allowed the breach of contract  and  conversion
claims  to  stand.   In  December   1999,  SSB  filed  an  answer  and  asserted




                                       12
<PAGE>

counterclaims  against the investment advisor. In response to plaintiffs' motion
to strike the  counterclaims,  in January  2000,  SSB amended its  counterclaims
against  the  investment  advisor  to  seek  indemnification  and  contribution.
Plaintiffs  moved to strike SSB's  amended  counterclaims  in February  2000. In
September   2000,  the  court  denied   plaintiffs'   motion  to  dismiss  SSB's
counterclaims based on indemnification and contribution. Discovery is ongoing.

     SSBH 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  SSBH'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  SSBH's  management,  none of these  actions  is
expected  to have a  material  adverse  effect  on the  results  of  operations,
consolidated financial condition or liquidity of SSBH 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
          public trading market for the Units of Limited Partnership Interest.



                                       13
<PAGE>

     (b)  Holders.  The number of holders of Units of Partnership Interest as of
          December 31, 2001 was 371.

     (c)  Distribution.  The  Partnership did not declare a distribution in 2001
          or 2000.

     (d)  Use of  Proceeds.  There were no  additional  sales in the years ended
          December 31, 2001, 2000 and 1999.




                                       14
<PAGE>



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, 2001,  2000,  1999,  1998 and 1997 and
total assets at December 31, 2001, 2000, 1999, 1998 and 1997 were as follows:

<TABLE>
<CAPTION>
                                       2001            2000            1999           1998           1997
                                    -----------    ------------    ------------   -----------     -----------
<S>                                      <C>             <C>           <C>             <C>            <C>
Realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 of $1,898,611, $2,050,642,
 $3,470,260, $3,757,246 and
 $3,894,823, respectively          $   (737,462)     (2,016,503)   $(11,456,894)   $  3,311,940   $  9,213,687
Interest income                         844,912       1,516,605       2,011,188       2,218,879      2,495,221
                                   ------------    ------------    ------------    ------------   ------------
                                   $    107,450    $   (499,898)   $ (9,445,706)   $  5,530,819   $ 11,708,908
                                   ============    ============    ============    ============   ============
Net income (loss)                  $   (845,590)   $ (2,033,102)   $(12,246,876)   $  1,967,059   $  7,618,700
                                   ============    ============    ============    ============   ============
Increase (decrease) in Net
 Asset Value per unit              $     (64.74)          $2.10*   $    (570.57)   $      92.64   $     299.35
                                   ============    ============    ============    ============   ============
Total assets                       $ 28,284,925    $ 33,093,324    $ 44,833,263    $ 63,965,039   $ 65,733,567
                                   ============    ============    ============    ============   ============
</TABLE>



* The  amount  shown per Unit in 2000 does not  correspond  with the net loss as
shown on the  Statement of Income and  Expenses for the year ended  December 31,
2001 because of the timing of redemptions of the Partnership's Units in relation
to the fluctuating values of the Partnership's commodity interests.



                                       15
<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  investment  in the  Master,  and  interest
receivable.  Because of the low margin deposits  normally  required in commodity
trading,  relatively  small price movements may result in substantial  losses to
the  Partnership  and through its  investment  in the Master.  Such  substantial
losses could lead to a material  decrease in  liquidity.  To minimize this risk,
the Master follows certain policies including:

          (1) The Master funds are invested  only in commodity  interests  which
are traded in sufficient volume to permit,  in the opinion of the Advisor,  ease
of taking and liquidating positions.

          (2) The Master  diversifies its positions  among various  commodities.
The Advisor does not initiate  additional  positions  in any  commodity  for the
Master 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 Master
managed by the Advisor.

          (3) The Master 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  clearinghouse,  the  physical
commodity position is fully hedged.

          (4) The Master does not employ the trading technique commonly known as
"pyramiding," in  which  the  speculator  uses  unrealized  profits  on existing


                                       16
<PAGE>

positions  as margin for the  purchases or sale of  additional  positions in the
same or related commodities.

     (5) The Master does not utilize borrowings except short-term  borrowings if
the Master 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 Master.  The term  "spread" or "straddle"  describes a commodity  futures
trading  strategy  involving  the  simultaneous  buying  and  selling of futures
contracts  on the same  commodity  but  involving  different  delivery  dates or
markets  and in which the  trader  expects to earn a profit  from a widening  or
narrowing of the difference between the prices of the contracts.

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

     The Master 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.


                                       17
<PAGE>

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's  and the Master'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 Master is
subject.  (See also "Item 8. Financial  Statements and Supplementary  Data," for
further  information  on  financial  instrument  risk  included  in the notes to
financial  statements).  Other than the risks inherent in commodity trading, the
Partnership knows of no trends,  demands,  commitments,  events or uncertainties
which  will  result  in  or  which  are  reasonably  likely  to  result  in  the
Partnership's  liquidity  increasing  or  decreasing  in any  material  way. The
Limited Partnership  Agreement provides that the Partnership and the Master will
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.

     (ii) The Partnership's capital consists of the capital contributions of the
partners as increased  or decreased by gains or losses on commodity  trading and
by expenses, interest income, redemptions of Units and distributions of profits,
if any. Gains or losses on commodity  trading cannot be predicted.  Market moves



                                       18
<PAGE>

in commodities are dependent upon  fundamental  and technical  factors which the
Partnership through the Partnership's investment in the Master 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.

     No forecast can be made as to the level of redemptions in any given period.
A limited  partner may redeem all or some of his Units at the Net Asset Value as
of the last day of any month on  fifteen  days  written  notice  to the  General
Partner.  For the year ended December 31, 2001,  1,751.6591  Units were redeemed
totaling $3,760,741. For the year ended December 31, 2000, 5,449.0614 Units were
redeemed totaling $9,548,455.  For the year ended December 31, 1999,  2,608.2147
Units were redeemed totaling $6,570,181.

     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
under  the  Securities  Act of  1933 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


                                       19
<PAGE>

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.

     (c) Results of  Operations.  For the year ended  December 31, 2001, the Net
Asset Value per Unit decreased  3.0% from  $2,133.36 to $2,068.62.  For the year
ended  December  31,  2000,  the Net Asset  Value per Unit  increased  0.1% from
$2,131.26 to  $2,133.36.  For the year ended  December  31, 1999,  the Net Asset
Value Per Unit decreased 21.1% from $2,701.83 to $2,131.26.

     The  Partnership  through,  its  investment in the Master  experienced  net
trading gains of $1,161,149 before  commissions and expenses for the period from
January 26, 2001 to December 31, 2001. Gains were attributable to the trading of
U.S. and non-U.S.  interest rates futures contracts and were partially offset by
losses incurred in the trading of currencies, metals and indices.

     The Partnership experienced net trading gains of $34,139 before commissions
and  expenses in 2000.  Gains were  attributable  to the trading of  currencies,
energy products,  grains,  livestock and U.S.  interest rates and were partially
offset by losses  incurred in the  trading of softs,  non-U.S.  interest  rates,
metals and indices.

     The  Partnership  experienced  net  trading  losses  of  $7,986,634  before
commissions  and  expenses for the year ended  December  31,  1999.  Losses were
attributable to  the  trading of  indices,  metals,  U.S.  and non-U.S. interest



                                       20
<PAGE>

rates  futures  contracts  and were  partially  offset by gains  incurred in the
trading of currencies.

Commodity  markets  are highly  volatile.  Broad  price  fluctuations  and rapid
inflation  increase the risks involved in commodity  trading,  but also increase
the  possibility of profit.  The  profitability  of the  Partnership  and Master
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 and Master expect to increase capital through operations.

     (d) Operational Risk

     The Partnership,  through its investment in the Master, 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


                                       21
<PAGE>

of transactions,  untimely trade execution,  clearance and/or settlement, or the
inability to process large volumes of transactions.  The Partnership through the
Partnership's  investment  in the  Master is  subject  to  increased  risks with
respect  to  its  trading  activities  in  emerging  market  securities,   where
clearance,  settlement,  and  custodial  risks  are often  greater  than in more
established markets.

Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Partnership's and the Master's ability to
gather, process, and communicate  information efficiently and securely,  without
interruption, with customers, among Units within the Partnership and the Master,
and  in  the  markets  where  the  Partnership  and  the  Master   participates.
Legal/Documentation  Risk - the risk of loss attributable to deficiencies in the
documentation  of  transactions  (such  as  trade  confirmations)  and  customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.

Financial  Control  Risk - the  risk  of loss  attributable  to  limitations  in
financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management and  communicated to external  parties,  including the  Partnership's
unitholders, creditors, and regulators, is free of material errors.


                                       22
<PAGE>

Item 7A. Quantitative and Qualitative Disclosures About Market Risk Introduction

     The  Master  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 through its investment in the Master. Unlike an operating company, the risk
of  market   sensitive   instruments  is  integral,   not  incidental,   to  the
Partnership's and the Master's main line of business.

     Market movements result in frequent changes in the fair market value of the
Master's open  positions and,  consequently,  in its earnings and cash flow. The
Master's and the  Partnership's  market risk is  influenced by a wide variety of
factors,  including the level and volatility of interest rates,  exchange rates,
equity price levels,  the market value of financial  instruments  and contracts,
the diversification  results among the Master's open positions and the liquidity
of the markets in which it trades.

     The Master 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
Master's past performance is not necessarily indicative of its future results.

     Value at Risk is a measure of the  maximum  amount  which the Master  could
reasonably be expected to lose in a given  market sector.  However, the inherent



                                       23
<PAGE>

uncertainty  of the  Master's  speculative  trading  and the  recurrence  in the
markets  traded by the Master of market  movements  far  exceeding  expectations
could result in actual  trading or  non-trading  losses far beyond the indicated
Value at Risk or the  Master'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
Master's  losses in any market sector will be limited to Value at Risk or by the
Master's attempts to manage its market risk.

Quantifying the Master's Trading Value at Risk.

     The  following  quantitative  disclosures  regarding  the  Master's and the
Partnership's market risk exposures contain "forward-looking  statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private  Securities  Litigation  Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of  1934).  All  quantitative  disclosures  in this  section  are  deemed  to be
forward-looking statements for purposes of the safe harbor except for statements
of historical fact (such as the terms of particular  contracts and the number of
market risk  sensitive  instruments  held during or at the end of the  reporting
period).

     The  Master's and the  Partnership's  risk  exposure in the various  market
sectors traded by the Advisor is quantified below in terms of Value at Risk.

                                       24
<PAGE>

Due to the Master's mark-to-market accounting, any loss in the fair value of the
Master's open positions is directly reflected in the Master's earnings (realized
or unrealized) and cash flow.

     Exchange  maintenance  margin  requirements have been used by the Master 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 the  Master),  the  margin
requirements  for the  equivalent  futures  positions have been used as Value at
Risk. In those rare cases in which a futures-equivalent margin is not available,
dealers' margins have been used.

     The fair value of the Master's futures and forward  positions does not have
any optionality component. However, the Advisor trades commodity options.



                                       25
<PAGE>

The Value at Risk associated with options is reflected in the following table as
the margin  requirement  attributable to the instrument  underlying each option.
Where this instrument is a futures contract,  the futures margin, and where this
instrument is a physical commodity,  the  futures-equivalent  maintenance margin
has been used. This calculation is conservative in that it assumes that the fair
value of an option  will  decline  by the same  amount as the fair  value of the
underlying  instrument,  whereas, in fact, the fair values of the options traded
by the Master in almost all cases fluctuate to a lesser extent than those of the
underlying instruments.

     In quantifying the Master'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 the  Master's
positions  are  rarely,  if  ever,  100%  positively  correlated  have  not been
reflected.




                                       26
<PAGE>



The Master's Trading Value at Risk in Different Market Sectors.

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions by market  category as of December 31, 2001.  All open
position  trading risk exposures of the Master have been included in calculating
the figures set forth  below.  As of  December  31,  2001,  the  Master's  total
capitalization was $93,677,938.

                                December 31, 2001
<TABLE>
<CAPTION>
<S>                                 <C>         <C>             <C>            <C>
                                                                    Year to Date
                                              % of Total          High          Low
Market Sector              Value at Risk    Capitalization    Value at Risk  Value at Risk
--------------------------------------------------------------------------------------------
Currencies
- OTC Contracts                 $ 5,033,147     5.37%         $5,602,634       $ 27,500
Energy                            1,883,100     2.01%          2,347,700        475,900
Grains                              255,000     0.27%            426,150        135,000
Interest Rates U.S.               1,017,700     1.09%          1,505,450        406,740
Interest Rates Non-U.S.           2,418,605     2.58%          4,042,034      1,021,936
Livestock                            14,400     0.02%             14,400          7,000
Metals
- Exchange Traded Contracts         394,000     0.42%            479,000        122,000
- OTC Contracts                      78,000     0.08%            292,900         77,500
Softs                               318,264     0.34%            469,764        137,945
Indices                           1,077,669     1.15%          1,883,559        943,944
                               -----------      -----
Total                           $12,489,885    13.33%
                               ===========     =====
</TABLE>



                                       27
<PAGE>



As of December 31, 2000, the Partnership's total capitalization was $32,383,889.


<TABLE>
<CAPTION>
<S>                                <C>           <C>             <C>              <C>
                                December 31, 2000

                                                                    Year to Date
                                             %  of Total          High          Low
Market Sector              Value at Risk    Capitalization    Value at Risk  Value at Risk
-------------------------------------------------------------------------------------------
Currencies
- Exchange Traded Contracts     $   70,308       0.22%         $1,534,166    $   32,852
- OTC Contract                     942,671       2.91%          2,563,782       315,355
Energy                             678,400       2.09%          1,117,000       342,600
Grains                             231,100       0.71%            680,450        53,050
Interest Rates U.S.                375,250       1.16%            898,500       145,640
Interest Rates Non-U.S.          1,475,458       4.56%          3,179,004       451,562
Livestock                            2,100       0.01%             42,200         2,100
Metals (Exchange Traded and
 OTC Contracts)                    160,750       0.50%          1,025,500        33,000
Softs                              107,119       0.33%            249,145        44,467
Indices                            542,048       1.67%          1,042,723       273,099
                               ----------       ------
Total                           $4,585,204      14.16%
                               ==========       ======
</TABLE>



                                       28
<PAGE>



Material Limitations on Value at Risk as an Assessment of Market Risk

     The face  value of the  market  sector  instruments  held by the  Master is
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 the Master.  The magnitude of the Master'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  Master  to incur  severe  losses  over a short  period  of time.  The
foregoing  Value at Risk table -- as well as the past  performance of the Master
-- give no indication of this "risk of ruin".

Non-Trading Risk

     The Master 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 Master's market
sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures.

The  following  qualitative  disclosures  regarding  the  Master's  market  risk
exposures - except for (i) those disclosures that are statements of historical



                                       29
<PAGE>

fact and (ii) the descriptions of how the Master manages its primary market risk
exposures - constitute  forward-looking statements within the meaning of Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934.  The Master's  primary  market risk exposures as well as the strategies
used and to be used by the General  Partner and the  Advisor for  managing  such
exposures are subject to numerous  uncertainties,  contingencies  and risks, any
one of which could cause the actual  results of the  Master'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 Master. There
can be no  assurance  that the  Master'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 Master as of
December 31, 2001, by market sector.

     Interest  Rates.  Interest rate movements  directly affect the price of the
futures positions held by the Master and indirectly the value of its stock index



                                       30
<PAGE>


and  currency  positions.  Interest  rate  movements  in one  country as well as
relative  interest  rate  movements  between  countries  materially  impact  the
Partnership's and the Master's profitability. The Master's primary interest rate
exposure is to interest rate fluctuations in the United States and the other G-7
countries.  However,  the Master 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 Master for the
foreseeable future.

     Currencies.   The   Master'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 General Partner does not anticipate that the
risk profile of the Master's  currency sector will change  significantly  in the
future.  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  Master in expressing Value
at Risk in a functional currency other than dollars.

     Stock Indices. The Master's primary equity exposure is to equity price risk
in the G-7  countries.  The stock index futures  traded by the Master are by law
limited to futures  on broadly based  indices.  As  of December  31, 2001,  the


                                       31
<PAGE>

Partnership's and the Master's primary exposures were in the Eurex (Germany) and
Chicago  Mercantile  Exchange (United States).  The General Partner  anticipates
little,  if any,  trading  in non-G-7  stock  indices.  The Master 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  and through the Master
to avoid being "whipsawed" into numerous small losses.)

     Metals.  The Master'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 and copper,  the principal  market exposures of the
Master have  consistently  been in the  precious  metals,  gold and silver.  The
General Partner  anticipates that gold and silver will remain the primary metals
market exposure for the Master.

     Softs. The Master's primary  commodities  exposure is to agricultural price
movements  which are often  directly  affected by severe or  unexpected  weather
conditions.  Cocoa,  cotton and sugar accounted for the substantial  bulk of the
Master's commodity exposure as of December 31, 2001.

     Energy. The Master's primary energy market exposure is to gas and oil price
movements,  often resulting from political  developments in the Middle East. Oil
prices can be  volatile  and  substantial  profits  and losses have been and are
expected to continue to be experienced in this market.



                                       32
<PAGE>

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following were the only  non-trading risk exposures of the Master as of
December 31, 2001.

     Foreign Currency  Balances.  The Master's primary foreign currency balances
are in  Japanese  yen,  Euro  dollar and Swiss  francs.  The  Advisor  regularly
converts  foreign  currency  balances  to dollars  in an attempt to control  the
Master's non-trading risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The  General   Partner   monitors   and   controls  the  Master's  and  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
Master and the Partnership are subject.

     The General Partner monitors the Master's performance and the concentration
of its open  positions,  and consults with the Advisor  concerning  the Master'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 certain  positions  traded on behalf of the Master.  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 Master'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


                                       33
<PAGE>

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.




                                       34
<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, 2001 and 2000.                              F-4

  Statement of Income and Expenses for
  the years ended December 31, 2001,
  2000 and 1999.                                           F-5

  Statement of Partners' Capital for the
  years ended December 31, 2001, 2000
  and 1999.                                                F-6

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

  Financial Statements of the Master
  Oath or Affirmation.                                     F-12

  Report of Independent Accountants.                       F-13

  Statement of Financial Condition at
  December 31, 2001.                                       F-14

  Condensed Schedule of Investments at
  December 31, 2001                                        F-15

  Statement of Income and Expenses for the
  period January 26, 2001 (commencement of
  trading operations) to December 31, 2001                 F-16

  Statement of Members' Capital for the
  Period January 26, 2001 (commencement of
  Trading operations) to December 31, 2001                 F-17

  Notes to Financial Statements.                       F-18 - F-21



                                       F-1


<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 R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Smith Barney Futures Management LLC
       General Partner, Shearson Midwest
       Futures Fund L.P.

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







                         F-2

<PAGE>



Report of Independent Accountants

To the Partners of
  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, 2001 and 2000,  and the results of its  operations
for each of the three years in the period ended December 31, 2001, in conformity
with accounting  principles  generally accepted in the United States of America.
These  financial  statements  are the  responsibility  of the  management of the
General Partner;  our responsibility is to express an opinion on these financial
statements  based on our  audits.  We  conducted  our audits of these  financial
statements  in  accordance  with auditing  standards  generally  accepted in the
United  States of America,  which  require that we plan and perform the audit to
obtain reasonable  assurance about whether the financial  statements are free of
material  misstatement.  An audit includes examining,  on a test basis, evidence
supporting the amounts and  disclosures in the financial  statements,  assessing
the accounting  principles used and significant estimates made by the management
of  the  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audits  provide a  reasonable  basis for our
opinion.



PricewaterhouseCoopers LLP
New York, New York
February 28, 2002

                                   F-3
<PAGE>


                         Shearson Mid-West Futures Fund
                        Statement of Financial Condition
                           December 31, 2001 and 2000

<TABLE>
<CAPTION>
<S>                                                                             <C>                 <C>
                                                                               2001                2000
Assets:
Investment in Master, at fair value                                         $28,212,698         $        --
Cash, in commodity futures trading account                                       39,834          27,457,873
Net unrealized appreciation on open positions, in commodity
  futures trading account                                                            --           5,516,316
                                                                           ------------        ------------
                                                                             28,252,532          32,974,189
Interest receivable                                                              32,393             119,135
                                                                           ------------        ------------
                                                                            $28,284,925         $33,093,324
                                                                             ==========          ==========


Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                                                                 $141,425            $165,467
   Management fees                                                               46,867              54,800
   Administrative fees                                                           23,433              27,400
   Professional fees                                                             19,681              45,154
   Other                                                                          3,851               2,703
  Redemptions payable (Note 5)                                                  272,110             413,911
                                                                           ------------        ------------
                                                                                507,367             709,435
                                                                           ------------        ------------
Partners' capital (Notes 1, 5 and 6):
  General Partner, 322.1307 Unit equivalents
   outstanding in 2001 and 2000                                                 666,366             687,221
  Limited Partners, 13,105.9599 and 14,857.6190 Units of Limited
   Partnership Interest outstanding in 2001 and 2000, respectively           27,111,192          31,696,668
                                                                           ------------        ------------
                                                                             27,777,558          32,383,889
                                                                           ------------        ------------
                                                                            $28,284,925         $33,093,324
                                                                             ==========          ==========
</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, 2001, 2000 and 1999

<TABLE>
<CAPTION>
<S>                                                   <C>                <C>                 <C>
                                                      2001                2000                1999
                                                    ---------          ---------           ---------
Income:
   Realized gains on closed positions from
    Master                                         $2,926,313        $         --        $         --
   Change in unrealized losses on open
    positions from Master                            (835,302)                 --                  --
   Expenses allocated from Master                     (48,778)                 --                  --
   Net gains (losses) on trading of
    commodity interests:
    Realized losses on closed positions             1,167,649**        (5,550,761)         (1,577,313)
    Change in unrealized gains (losses) on
     open positions                                (2,048,733)**        5,584,900          (6,409,321)
                                                 ------------        ------------       -------------
                                                    1,161,149              34,139          (7,986,634)
  Less, brokerage commissions including
   clearing fees of $34,920 and $49,605, in
   2000 and 1999, respectively (Note 3c)           (1,898,611)         (2,050,642)         (3,470,260)
                                                 ------------        ------------       -------------
  Net realized and unrealized losses                 (737,462)         (2,016,503)        (11,456,894)
  Interest income (Note 3c)                           844,912           1,516,605           2,011,188
                                                 ------------        ------------       -------------
                                                      107,450            (499,898)         (9,445,706)
                                                 ------------        ------------       -------------
Expenses:
  Management fees (Note 3b)                           586,194           1,156,751           2,186,172
  Administrative fees (Note 3a)                       333,268             325,552             546,541
  Professional fees                                    26,052              40,789              63,670
  Other expenses                                        7,526              10,112               4,787
                                                 ------------        ------------       -------------
                                                      953,040           1,533,204           2,801,170
                                                 ------------        ------------       -------------
Net loss                                            $(845,590)        $(2,033,102)       $(12,246,876)
                                                   ==========           =========          ==========

Net income (loss) per Unit of Limited
  Partnership Interest and General Partner
  Unit equivalent (Notes 1 and 6)                     $(64.74)              $2.10*           $(570.57)
                                                    =========             =======              ======
</TABLE>



     * The amount shown per Unit in 2000 does not  correspond  with the net loss
as shown on the Statement of Income and Expenses for the year ended December 31,
2000 because of the timing of redemptions of the Partnership's Units in relation
to the fluctuating values of the Partnership's commodity interests.


    ** For the period from January 1, 2001 to January 25, 2001 (Note 1).


See notes to financial statements.

                                        F-5
<PAGE>


                         Shearson Mid-West Futures Fund
                         Statement of Partners' Capital
                               for the years ended
                        December 31, 2001, 2000, and 1999

<TABLE>
<CAPTION>
<S>                                                         <C>                  <C>             <C>
                                                           Limited            General
                                                         Partners             Partner             Total

Partners' capital at December 31, 1998                  $61,912,161            $870,342       $62,782,503
Net loss                                                (12,063,078)           (183,798)      (12,246,876)
Redemption of 2,608.2147 Units of
   Limited Partnership Interest                          (6,570,181)                 --        (6,570,181)
                                                       ------------        ------------      ------------
Partners' capital at December 31, 1999                   43,278,902             686,544        43,965,446
Net income (loss) (Note 6)                               (2,033,779)                677*       (2,033,102)
Redemption of 5,449.0614 Units of
   Limited Partnership Interest                          (9,548,455)                 --        (9,548,455)
                                                       ------------        ------------      ------------
Partners' capital at December 31, 2000                   31,696,668             687,221        32,383,889
Net loss                                                   (824,735)            (20,855)         (845,590)
Redemption of 1,751.6591 Units of
   Limited Partnership Interest                          (3,760,741)                 --        (3,760,741)
                                                       ------------        ------------      ------------
Partners' capital at December 31, 2001                  $27,111,192            $666,366       $27,777,558
                                                         ==========         ===========        ==========
</TABLE>


     * The limited partners and General Partner  allocation of net income (loss)
does not correspond due to the timing of the  realization of income/loss and the
redemptions     of     limited     partner     Units     during     the    year.


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  directly  or  indirectly  in the  speculative
     trading of a diversified portfolio of commodity interests including futures
     contracts, options and forward contracts. The Partnership commenced trading
     on  December  2, 1991.  From  December  2, 1991 to January  25,  2001,  the
     Partnership  engaged  directly in the speculative  trading of a diversified
     portfolio of commodity  interests.  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 its initial offering period.

     Effective January 26, 2001, the Partnership  transferred  substantially all
     of its assets as a tax-free transfer to the JWH Strategic Allocation Master
     Fund  LLC,  a New York  limited  liability  company  (the  "Master"),  as a
     non-managing member for 31,509.8853 Units of the Master and a fair value of
     $31,509,885.  The  Master  was  formed in order to permit  commodity  pools
     managed  now or in the  future  by  John  W.  Henry &  Company,  Inc.  (the
     "Advisor")   using  the  Strategic   Allocation   Program,   the  Advisor's
     proprietary  trading  program,  to invest together in one trading  vehicle.
     Smith Barney Futures  Management LLC (the "General Partner") is the general
     partner of the Partnership and the managing member of the Master.  Expenses
     to investors as a result of investment in the Master are  approximately the
     same and redemption rights are not affected.

     The financial statements of the Master, including the condensed schedule of
     investments,  are  contained  elsewhere  in this  report and should be read
     together with the Partnership's financial statements.

     At December 31, 2001, the Partnership owns 30.12% of the Master.  It is the
     Partnership's  intention  to  continue to invest  substantially  all of its
     assets in the  Master.  The  performance  of the  Partnership  is  directly
     effected by the performance of the Master.

     Prior to January 26, 2001, the  Partnership's  commodity broker was Salomon
     Smith Barney Inc. ("SSB").  SSB is an affiliate of the General Partner. The
     General  Partner is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc.

     The  General  Partner  and each  limited  partner  share in the profits and
     losses of the  Partnership  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. The value of the  Partnership's  investment  in  the  Master  reflects  the
     Partnership's  proportional interest in the member's capital of the Master.
     All of the income and expenses and unrealized and realized gains and losses
     from the commodity  transactions of the Master are allocated pro rata among
     the investors at the time of such  determination.  All commodity  interests
     (including   derivative  financial  instruments  and  derivative  commodity
     instruments)  held by the  Master  and  prior to  January  26,  2001 by the
     Partnership  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 and
     foreign  currencies  are  recognized in the period in which the contract is
     closed or the  changes  occur and are  included  in net gains  (losses)  on
     trading of commodity interests.

                                   F-7
<PAGE>

  b. 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 in the United  States of America  requires
     management  to make  estimates  and  assumptions  that affect the  reported
     amounts of assets and  liabilities at the date of the financial  statements
     and the  reported  amounts of revenues and  expenses  during the  reporting
     period. Actual results could differ from these estimates.

3.  Agreements:

    a. Limited Partnership Agreement:

     The General Partner administers the business and affairs of the Partnership
     including  selecting one or more advisors to make trading decisions for the
     Partnership.  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,  provides that the Advisor has
     sole  discretion  in  determining  the  allocation  of  the  assets  of the
     Partnership by the General Partner.  For the period January 1, 2000 through
     September  30, 2000,  the  Partnership  was  obligated to pay the Advisor a
     monthly  management  fee  equal to 1/3 of 1% (4% per year) of month end Net
     Assets  allocated  to the Advisor and an  incentive  fee payable  quarterly
     equal to 15% of the New  Trading  Profits,  as  defined  in the  Management
     Agreement.  For  the  period  October  1,  2000 to  January  25,  2001  the
     Partnership was obligated to pay the Advisor a monthly management fee equal
     to 1/6 of 1% (2% per year) of month-end  Net Assets  managed by the Advisor
     and an incentive fee,  payable  quarterly,  equal to 20% of the New Trading
     Profits,  as  defined  in the  Management  Agreement,  of the  Partnership.
     Effective January 26, 2001, the Partnership is obligated to pay the Advisor
     a monthly  management fee equal to 1/6 of 1% (2% per year) of month-end Net
     Assets  allocated  pro-rata  by the Master and an  Incentive  fee,  payable
     quarterly,  equal to 20% of the New Trading Profits  allocated  pro-rata by
     the Master, as defined in the Management Agreement.

    c. Customer Agreement:

     Prior to January 26, 2001, the Partnership  had a Customer  Agreement which
     was  assigned to SSB (from a  predecessor  company)  whereby  SSB  provided
     services which included,  among other things, the execution of transactions
     for the  Partnership's  account in  accordance  with  orders  placed by the
     Advisor.  The Partnership  was 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 (the "Brokerage Fee"). A portion
     of  this  fee is paid  to  employees  of SSB who  have  sold  Units  of the
     Partnership.  This fee did not include exchange,  clearing,  user, give-up,
     floor brokerage and NFA fees which were borne by the Partnership. Effective
     January 26, 2001,  the  Partnership  is obligated to pay the  Brokerage Fee
     based on  month-end  Net Assets  allocated  pro-rata  from the Master.  All
     exchange,  clearing user, user, give-up,  floor brokerage and NFA fees will
     be borne by the Master and allocated  pro-rata to the  Partnership  through
     its investment in Master.  At December 31, 2000, the amount of cash held by
     the Partnership for margin  requirements was $5,122,407.  Effective January
     26, 2001, cash margin  requirements were maintained by the Master.  For the
     period from January 1, 2001 to January 25, 2001,  SSB paid 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.  Effective January 26, 2001, SSB will pay the Partnership
     interest  on 80% of the  average  daily  equity  allocated  pro-rata to the
     Partnership  by the Master  during  each  month at the rate of the  average
     non-competitive  yield of  13-week  T-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 upon notice by
     either party.


                              F-8
<PAGE>

4.  Trading Activities:

    The results of the Master's and prior to January 26, 2001, the Partnership's
    trading activity are shown in the statement of income and expenses.

     The average fair value of the Partnership's  commodity interests during the
     year  ended  December  31,  2000,  based  on  a  monthly  calculation,  was
     $1,056,652. The fair value of these commodity interests,  including options
     thereon,  if applicable,  at December 31, 2000 was $5,516,316,  as detailed
     below.



                                                Fair Value
                                               December 31,
                                                   2000
    Currencies:
        -Exchange Traded Contracts               $148,250
        -OTC Contracts                          1,916,561
    Energy                                        870,480
    Grains                                         98,115
    Interest Rates U.S.                         1,184,843
    Interest Rates Non-U.S.                       967,964
    Livestock                                       6,720
    Metals:
         -Exchange Traded Contracts                (6,190)
         -OTC Contracts                           (45,751)
    Softs                                         (97,168)
    Indices                                       472,492
                                             ------------
    Total                                      $5,516,316
                                              ===========



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 at the Net Asset Value as of the last day of any month  ending at
     least one month after trading  commenced on fifteen days written  notice to
     the General Partner.


                                             F-9
<PAGE>



6.  Financial Highlights:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended December 31, 2001, 2000 and 1999 were as follows:



<TABLE>
<CAPTION>
<S>                                                             <C>               <C>                 <C>
                                                                2001                2000               1999

    Net realized and unrealized gains (losses)                $(55.73)              $1.58           $(534.56)
    Interest income                                             58.03               84.05              92.51
    Expenses                                                   (67.04)             (83.53)           (128.52)
                                                            ---------            --------           ---------
    Increase (decrease) for year                               (64.74)               2.10*           (570.57)
    Net asset value per Unit, beginning of year              2,133.36            2,131.26           2,701.83
                                                            ---------            --------           --------
    Net asset value per Unit, end of year                   $2,068.62           $2,133.36          $2,131.26
                                                             ========            ========            =======
</TABLE>



    Total return                                         (3.0)%
    Ratio of expenses, including brokerage
     commissions, to average net assets                   9.5%
    Ratio of net loss to average net assets              (2.8)%

     * The amount shown per Unit in 2000 does not  correspond  with the net loss
     as shown  on the  Statement  of  Income  and  Expenses  for the year  ended
     December 31, 2000 because of the timing of redemptions of the Partnership's
     Units in relation to the fluctuating values of the Partnership's  commodity
     interests.

7.  Financial Instrument Risks:

     The Partnership and through the Partnership's  investment in the Master, 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,  through  physical  delivery  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/Master  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-10

<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/Master'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,   through  the
     Partnership's  investment in the Master, has concentration risk because the
     sole counterparty or broker with respect to the Master's assets is SSB.

     The General Partner monitors and controls the  Partnership's/Master'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/Master  are subject.  These  monitoring  systems allow the
     General  Partner to  statistically  analyze  actual  trading  results  with
     risk-adjusted   performance  indicators  and  correlation  statistics.   In
     addition,  on-line  monitoring systems provide account analysis of futures,
     forwards and options  positions by sector,  margin  requirements,  gain and
     loss transactions and collateral positions.

     The  notional  or   contractual   amounts  of  these   instruments,   while
     appropriately not recorded in the financial statements,  reflect the extent
     of  the  Partnership's/Master's   involvement  in  these  instruments.  The
     majority of these instruments  mature within one year of December 31, 2001.
     However, due to the nature of the Partnership's/  Master's business,  these
     instruments may not be held to maturity.

8.  Subsequent Event:

     Through February 28, 2002, there were additional  redemptions  representing
     232.6804 Units of Limited Partnership Interest totaling $464,585.


                                   F-11


<PAGE>





                                To The Members of
                    JWH 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 Financial Officer and Director
       Smith Barney Futures Management LLC
       Managing Member, JWH Strategic Allocation
       Master Fund LLC

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




                                   F-12
<PAGE>


                        Report of Independent Accountants

To the Members of
   JWH Strategic Allocation Master Fund LLC:

In our opinion, the accompanying statement of financial condition, including the
condensed  schedule of  investments,  and the related  statements  of income and
expenses and of members' capital present fairly, in all material  respects,  the
financial  position of JWH Strategic  Allocation Master Fund LLC at December 31,
2001 and the  results of its  operations  for the period  from  January 26, 2001
(commencement  of trading  operations) to December 31, 2001, in conformity  with
accounting principles generally accepted in the United States of America.  These
financial  statements are the  responsibility  of the management of the Managing
Member;  our  responsibility  is  to  express  an  opinion  on  these  financial
statements  based on our  audit.  We  conducted  our  audit  of these  financial
statements  in  accordance  with auditing  standards  generally  accepted in the
United  States of America,  which  require that we plan and perform the audit to
obtain reasonable  assurance about whether the financial  statements are free of
material  misstatement.  An audit includes examining,  on a test basis, evidence
supporting the amounts and  disclosures in the financial  statements,  assessing
the accounting  principles used and significant estimates made by the management
of  the  Managing  Member,  and  evaluating  the  overall  financial   statement
presentation.  We believe  that our audit  provides a  reasonable  basis for our
opinion.


PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                   F-13
<PAGE>



                    JWH Strategic Allocation Master Fund LLC
                        Statement of Financial Condition
                                December 31, 2001



<TABLE>
<CAPTION>
<S>                                                                            <C>
                                                                             2001
Assets:
   Equity in commodity futures trading account:
    Cash                                                                  $88,330,292
    Net unrealized appreciation on open futures positions                   5,392,646
                                                                           ----------
                                                                          $93,722,938
                                                                           =========

Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Professional fees                                                          $45,000
                                                                               ------
                                                                               45,000
Members' capital:
  Members' capital, 89,573.7730 Units outstanding in 2001                  93,677,938
                                                                           ----------
                                                                          $93,722,938
                                                                           ==========
</TABLE>




See notes to financial statements.



                                   F-14



<PAGE>


                            JWH Strategic Allocation
                                 Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2001

<TABLE>
<CAPTION>
<S>                                    <C>                    <C>                                              <C>
                                    Notional
Sector                                Amount                Contract                                         Fair Value
-----------                        ------------------       ---------                                        ----------
Currencies
                                                             Over the counter contracts sold - 5.89%
                                  JPY  (16,890,265,200)      JPY/USD - 5.98%, March 20, 2002                 $5,601,926
                                                             Other - (0.09)%                                    (84,884)
                                                             Over the counter contracts purchased - 0.11%       105,908
                                                                                                              ---------
  Total Currencies - 6.00%                                                                                    5,622,950
                                                                                                              ---------

Total Energy - (0.35)%                                       Futures contracts purchased - (0.35)%             (327,598)
                                                                                                              ---------

Total Grains - 0.29%                                         Futures contracts sold - 0.29%                     274,911
                                                                                                              ---------

Total Interest Rates U.S. - (0.01)%                          Futures contracts sold - (0.01)%                   (14,360)
                                                                                                              ---------

Interest Rates Non-U.S.
                                                             Futures contracts sold 1.04%                       970,405
                                                             Futures contracts purchased - (0.20)%             (188,580)
                                                                                                              ---------
  Total Interest Rates Non-U.S.-                                                                                781,825
                                                                                                              ---------
0.84%

Total Livestock - (0.02)%                                    Futures contracts sold - (0.02)%                   (17,180)
                                                                                                              ---------

Metals
                                                             Futures contracts sold - (0.74)%                  (696,167)
                                                             Futures contracts purchased - (0.37)%             (348,785)
                                                                                                              ---------
  Total Metals - (1.11)%                                                                                     (1,044,952)
                                                                                                              ----------

Total Softs - 0.01%                                          Futures contracts purchased - 0.01%                 11,267
                                                                                                              ---------

Total Indices - 0.11%                                        Futures contracts purchased - 0.11%                105,783
                                                                                                              ---------

Total Fair Value - 5.76%                                                                                     $5,392,646
                                                                                                              ==========
</TABLE>

<TABLE>
<CAPTION>
<S>                                  <C>                          <C>
                                 Investments             % of Investments
       Country Composition      at Fair Value             at Fair Value
       --------------------     ------------              --------------
       Australia                    $151,788                    2.82%
       Canada                         49,705                    0.92%
       Germany                     1,084,146                   20.10%
       Japan                        (355,642)                  (6.59)%
       Switzerland                    (2,304)                  (0.04)%
       United Kingdom                176,518                    3.27%
       United States               4,288,435                   79.52%
                                   ---------                   ------
                                  $5,392,646                  100.00%
                                   =========                  ======
</TABLE>

Percentages are based on Members' capital unless otherwise indicated
See notes to financial statements.

                                   F-15
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                        Statement of Income and Expenses
                      for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                           <C>
                                                              2001

Income:
  Net gains on trading of commodity interests:
   Realized gains on closed positions                     $9,307,481
   Change in unrealized losses
    on open positions                                     (2,710,941)
                                                        ------------
                                                           6,596,540
  Less, clearing fees                                       (230,343)
                                                        ------------
  Net realized and unrealized gains                        6,366,197
                                                        ------------

Expenses:
  Professional fees                                           45,000
                                                        ------------
                                                              45,000
Net income                                                $6,321,197
                                                           =========

Net income per Unit of Member Interest                        $45.82
                                                               =====
</TABLE>





See notes to financial statements.

                                   F-16
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Statement of Members' Capital
                      for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001




<TABLE>
<CAPTION>
<S>                                                        <C>
                                                        Members'
                                                        Capital
                                                       ----------
Initial capital contribution from the Members
  representing 74,020.3930 Units                      $74,020,393
Net Income                                              6,321,197
Sale of 29,596.7052 Units of
  Members' Interest                                    28,929,324
Redemption of 14,043.3252 Units of
  Members' Interest                                   (15,592,976)
                                                       -----------
Members' capital at December 31, 2001                 $93,677,938
                                                       ==========
</TABLE>


See notes to financial statements.

                                   F-17
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Notes to Financial Statements



1.  General:

     JWH  Strategic  Allocation  Master  Fund LLC (the  "Master")  is a  limited
     liability  company formed under the New York Limited Liability Company Law.
     The  Master's  purpose  is  to  engage  in  the  speculative  trading  of a
     diversified  portfolio of commodity  interests including futures contracts,
     options  and  forward  contracts.  The  Master  is  authorized  to  sell an
     unlimited number of member interests.

     On January 26, 2001 (date  Master  commenced  trading),  Shearson  Mid-West
     Futures Fund  ("Mid-West")  and Smith Barney Mid-West  Futures Fund L.P. II
     ("Mid-West II") transferred substantially all of their assets as a tax-free
     transfer to the Master as non-managing members for 74,020.3930 Units of the
     Master at a fair  value of  $74,020,393.  The  Master  was formed to permit
     commodity  pools  managed  now or in the future by John W. Henry & Company,
     Inc. (the "Advisor") using the Strategic  Allocation Program, the Advisor's
     proprietary trading program, to invest together in one vehicle.

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors consist of Mid-West,  Mid-West II, The Aspetuck Fund L.P. and The
     Saugatuck Fund L.P., (collectively the "Feeder Funds") with 30.12%, 39.74%,
     3.56% and 26.58% investments in the Master, respectively.

     Smith Barney Futures  Management LLC is the managing  member (the "Managing
     Member") of the Master.  The  Master's  commodity  broker is Salomon  Smith
     Barney Inc.  ("SSB").  SSB is an  affiliate  of the  Managing  Member.  The
     Managing  Member is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc. As of December 31, 2001, all trading decisions
     for the Partnership are made by the Advisor.

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 and foreign currencies 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. All  of  the  income and expenses and  realized  and  unrealized  gains and
     losses on trading of commodity  interests are  determined on each valuation
     day and are  allocated  pro rata among the Feeder Funds at the time of such
     determination.  Income  taxes  have not been  provided  as each  member  is
     individually  liable for the taxes,  if any, on their share of the Master's
     income and expenses.


                                   F-18
<PAGE>


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

3.a. Managing Member Agreement:

     The  Managing  Member  administers  the  business  affairs  of  the  Master
     including  selecting one or more advisors to make trading decisions for the
     Master.

  b. Management Agreement:

     The Managing Member, on behalf of the Master, has entered into a Management
     Agreement with the Advisor,  a registered  commodity  trading advisor.  The
     Advisor  is not  affiliated  with  the  General  Partner  or SSB and is not
     responsible  for the  organization  or  operation of the  Partnership.  The
     Management  Agreement  provides  that the  Advisor has sole  discretion  in
     determining  the investment of the assets of the Master  allocated to it by
     the Managing Member.  All management fees in connection with the Management
     Agreement are borne by the Feeder Funds.

  c. Customer Agreement:

     The Master has  entered  into a Customer  Agreement  with SSB  whereby  SSB
     provides services which include,  among the other things,  the execution of
     transactions  for the Master's  account in accordance with orders placed by
     the Advisor. All exchange, clearing, user, give-up, floor brokerage and NFA
     fees are  borne by the  Master.  All  other  fees  including  SSB's  direct
     brokerage  commission  shall  be  borne  by the  Feeder  Funds.  All of the
     Master's assets are deposited in the Master's  account at SSB. The Master's
     cash is deposited by SSB in segregated bank accounts to the extent required
     by Commodity Futures Trading Commission regulations.  At December 31, 2001,
     the  amount  of  cash  held  by the  Master  for  margin  requirements  was
     $13,748,339.  The Customer  Agreement between the Master and SSB, gives the
     Master the legal right to net  unrealized  gains and losses.  The  Customer
     Agreement may be terminated upon notice by either party.

4.  Trading Activities:

     The Master 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  Master's  trading
     activity are shown in the statement of income and expenses.

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes.  The average  fair value  during the period from January 26, 2001
     (commencement  of trading  operations)  to December  31,  2001,  based on a
     monthly  calculation,  was  $5,146,554.  The fair value of these  commodity
     interests,  including options thereon, if applicable,  at December 31, 2001
     was $5,392,646.


                                      F-19

<PAGE>

5.   Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the Managing Member and at such time as the Managing  Member may decide.  A
     member may  require the Master to redeem his Units at their Net Asset Value
     as of the  last  day of  each  month.  The  Managing  Member,  in its  sole
     discretion, may permit redemptions more frequently than monthly.

6.   Financial Highlights:

     Changes in the net asset value per Unit of Member  interest  for the period
     from January 26, 2001 (commencement of trading  operations) to December 31,
     2001 were as follows:




<TABLE>
<CAPTION>
<S>                                                       <C>
                                                          2001
                                                        ---------

    Net realized and unrealized gains (losses)           $46.32
    Expenses                                              (0.50)
                                                          -----
    Increase for period                                   45.82
    Net asset value per Unit, beginning of period      1,000.00
                                                       --------
    Net asset value per Unit, end of period           $1,045.82
                                                       ========
</TABLE>



   Total return                                                         4.58%
   Ratio of expenses to average net assets *                            0.32%
   Ratio of net income to average net assets *                          7.41%

   *Annualized

7.  Financial Instrument Risks:

     The Master 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, through physical delivery 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 Master 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-20
<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  Master'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 Master has  concentration  risk  because the sole
     counterparty or broker with respect to the Master's assets is SSB.

     The Managing  Member  monitors and controls the Master'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 Master is
     subject.   These   monitoring   systems   allow  the  Managing   Member  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 Master's
     involvement in these instruments.  The majority of these instruments mature
     within one year of December  31,  2001.  However,  due to the nature of the
     Master's business, these instruments may not be held to maturity.

8.  Subsequent Event:

     On January 1, 2002,  there were additional  sales  representing  1,469.6693
     Units of Member interest totaling $1,537,008 and on January 31, 2002, there
     were  additional  redemptions   representing  1,815.3637  Units  of  Member
     Interest totaling $1,898,541.


                                   F-21








<PAGE>


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

          During the last two fiscal years and any subsequent interim period, no
independent  accountant who was engaged as the principal accountant to audit the
Partnership's  and  the  Master's  financial  statements  has  resigned  or  was
dismissed.

                                    PART III

Item 10. Directors and Executive Officers of the Registrant.

          The  Partnership  has no  officers  or  directors  and its affairs are
managed by its General Partner,  Smith Barney Futures Management LLC. Investment
decisions are made by 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  LLC, its General  Partner,  which receives
compensation  for its services,  as set forth under "Item 1.  Business." SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business."  During the year ended December 31, 2001, SSB earned $1,898,611 in
brokerage  commissions  and  clearing  fees.  The  Advisor  earned  $586,194  in
management   fees  during  2001.  The  General   Partner   earned   $333,268  in
administrative  fees during 2001.  The Advisor did not earn an incentive  fee in
the year ended December 31, 2001.



                                       35
<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  (2.4%)  Units of limited  partnership  interest  as of
December 31, 2001.

          (c). Changes in control. None.

Item 13. Certain Relationships and Related Transactions.

          Salomon Smith  Barney Inc.  and Smith Barney  Futures  Management  LLC
would be considered promoters for purposes of item 404(d) of Regulation S-K. The
nature and the amounts of  compensation  each  promoter  will  receive  from the
Partnership  are set  forth  under  "Item  1.  Business.",  "Item  8.  Financial
Statements and Supplementary Data." and "Item 11. Executive Compensation."

                                     PART IV

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

            (a) (1) Financial Statements:

                    Statement  of  Financial  Condition at December 31, 2001 and
                    2000.

                    Statement  of  Income  and  Expenses  for  the  years  ended
                    December 31, 2001, 2000 and 1999.



                                       36
<PAGE>


                    Statement of Partners'  Capital for the years ended December
                    31, 2001, 2000 and 1999.

               (2)  Financial Statement  Schedules:  Financial Data Schedule for
                    the year ended December 31, 2001.

               (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).


                                       37
<PAGE>

                    10.6 - Letter  extending  Management  Agreement with John W.
                           Henry & Company, Inc. for 1998 (previously filed).

                    10.7 - Letter  extending  Management  Agreement with John W.
                           Henry and Company, Inc. for 1999 (previously filed).

                    10.8 - Letter  extending  Management  Agreement with John W.
                           Henry & compay, Inc. for 2000 (previously filed).

                    10.9 - Letter  extending  Management  Agreement with John W.
                           Henry & Company, Inc. for 2001 (filed herein).

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




                                       38
<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



                                       39
<PAGE>



                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K 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 29th day of March 2002.

SHEARSON MID-WEST FUTURES FUND L.P.


By:       Smith Barney Futures Management LLC
          (General Partner)



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


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



/s/ David J. Vogel                            /s/ Shelley Ullman
------------------------------                -----------------------------
David J. Vogel                                     Director
Director, Principal Executive
Officer and President



/s/ Maureen O'Toole                           /s/ Steve J. Keltz
--------------------------                    -----------------------------
Maureen O'Toole                                   Secretary and Director
Director



/s/ Daniel R. McAuliffe, Jr.
------------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director


                                       40