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

FORM 10-K

Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934

For thefiscal year ended December 31, 2004

CommissionFile Number 0-24280

SHEARSON MID-WEST FUTURESFUND

|  |
|--|
|  |  |
|  |

(Exact nameof registrant as specified in its charter)

|                                                              |  |                                     |            |        |  |  |
|--------------------------------------------------------------|--|-------------------------------------|------------|--------|--|--|
| NewYork                                                      |  |                                | 13-3634370 |   |
| (Stateor other jurisdiction ofincorporation or organization) |  | (I.R.S.Employer Identification No.) |
|                                                              |

c/o CitigroupManaged Futures LLC 399 Park Avenue — 7th Fl. New York,New York 10022

|  |
|--|
|  |  |
|  |

(Address and ZipCode of principal executive offices)

(212) 559-2011

|  |
|--|
|  |  |
|  |

(Registrant'stelephone number, including area code)

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

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

|  | (Title of Class) |
|--|------------------|

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

Yes X         No     

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

Indicate by check mark whether theregistrant is an accelerated filer (as defined in Rule 12b-2 of theAct).

Yes             No X 

Limited Partnership Redeemable Units with an aggregate valueof $19,327,352 were outstanding and held by non-affiliates as of thelast business day of the registrant's most recently completedsecond fiscal quarter.

As of February 28, 2005,8,225.7071 Limited Partnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

None

----

PART I

Item1.    Business.

(a)    General development ofbusiness. Shearson Mid-West Futures Fund (the"Partnership") is a limited partnershiporganized on August 21, 1991 under the partnership laws of the State ofNew York. The Partnership commenced trading operations on December 2,1991. Between September 26, 1991 and December 2, 1991, 2,000 redeemableunits of Limited Partnership Interest ("RedeemableUnits") were sold at $1,000 per Redeemable Unit. Theproceeds of the offering were held in an escrow account until December2, 1991, at which time they were turned over to the Partnership fortrading. From December 2, 1991 to January 25, 2001, the Partnershipengaged directly in the speculative trading of a diversified portfolioof commodity interests including futures contracts, options and forwardcontracts. The Partnership has invested all of its assets in the JWHStrategic Allocation Master Fund LLC, a New York Limited LiabilityCompany (the "Master"). Redemptions ofRedeemable Units for the years ended December 31, 2004, 2003, and 2002are reported in the Statements of Changes in Partners' Capital onpage F-6 under "Item 8. Financial Statements andSupplementary Data."

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

At December 31, 2004 and 2003 the Partnership owns 11.69% and17.84%, respectively of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the General Partner. The General Partner iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup").

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

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

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

1

----

The General Partner has entered into amanagement agreement (the "ManagementAgreement") with the Advisor, who will make all commoditytrading decisions for the Partnership. The Advisor is not affiliatedwith the General Partner or CGM. The Advisor is not responsible for theorganization or operation of the Partnership.

Pursuant to theterms of the Management Agreement, the Partnership is obligated to paythe Advisor a monthly management fee equal to 1/6 of 1%(2% per year) of month-end Net Assets managed by the Advisor.Month-end Net Assets, for the purpose of calculating management feesare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of redemptions and incentive fees. In addition, thePartnership is obligated to pay the Advisor an incentive fee, payablequarterly, equal to 20% of the New Trading Profits allocatedpro-rata by the Master, as defined in the Management Agreement.

The Partnership is obligated to pay a brokerage fee equal to 1/2 of1% (6% per year) of month-end Net Assets allocatedpro-rata from the Master. CGM pays a portion of its brokerage fees toits financial consultants who have sold Redeemable Units of thePartnership. All exchange, clearing, user, give-up, floor brokerage andNational Futures Association fees will be borne by the Master andallocated pro-rata to the Partnership through its investment in theMaster. Brokerage fees will be paid for the life of the Partnership,although the rate at which such fees are paid may be changed. TheCustomer Agreement between the Master and CGM gives the Master thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated upon notice by either party.

CGM pays thePartnership interest on 80% of the average daily equityallocated pro-rata to the Partnership by the Master during each monthat the rate of the average non-competitive yield of 13-week U.S.Treasury Bills as determined at the weekly auctions thereof during themonth.

(b)    Financial information about segments.The Partnership's business consists of only one segment,speculative trading of commodity interests. The Partnership does notengage in sales of goods or services. The Partnership's netincome (loss) from operations for the years ended December 31, 2004,2003, 2002, 2001 and 2000 is set forth under "Item 6.Selected Financial Data." The Partnership'scapital as of December 31, 2004 was $26,087,250.

(c)    Narrative description of business.

See Paragraphs (a) and (b) above.

(i) Through(xii) - Not applicable.

(xiii) - The Partnership has noemployees.

(d)    Financial information about geographicareas. The Partnership and through the Partnership'sinvestment in the Master does not engage in sales of goods or servicesor own any long lived assets, and therefore this item is notapplicable.

(e)    Available Information. ThePartnership does not have an Internet address. The Partnership willprovide paper copies of its annual report on Form 10-K, quarterlyreports on Form 10-Q, current reports on Form 8-K and any amendments tothese reports free of charge upon request.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which Citigroup Global Markets Holdings Inc.("CGMHI") or its subsidiaries is a party orto which any of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

Citigroup Managed Futures LLC. ("CGM") isa New York corporation with its principal place of business at 388Greenwich Street, New York, New York 10013. CGM is registered as abroker-dealer and 

2

----

futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against CGM or any of its individual principals and nosuch actions are currently pending, except as follows.

Regulatory Matters

Both the Department of Labor and theInternal Revenue Service ("IRS") have advisedCGM that they were or are reviewing transactions in which AmeritechPension Trust purchased from CGM and certain affiliates approximately$20.9 million in participations in a portfolio of motels owned byMotels of America, Inc. and Best Inns, Inc. With respect to the IRSreview, CGM and certain affiliated entities have consented toextensions of time for the assessment of excise taxes that may beclaimed to be due with respect to the transactions for the years 1987,1988 and 1989.

In April 2000, CGM and several otherbroker-dealers entered into a settlement with the IRS and the SEC,concluding an industry-wide investigation into the pricing of Treasurysecurities in advanced refunding transactions.

IPO RegulatoryInquiries

Since April 2002, CGM and several other brokerdealers have received subpoenas and/or requests for information fromvarious governmental and self-regulatory agencies and Congressionalcommittees as part of their research on IPO allocation inquiries. Withrespect to issues raised by the NASD, the NYSE and the SEC aboutCGM's and other firms' e-mail retention practices, CGM andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. CGM agreed to pay apenalty in the amount of $1.65 million and did not admit anywrongdoing.

IPO Civil Litigation

In April 2002,consolidated amended complaints were filed against CGM and otherinvestment banks named in numerous alleged class actions filed in theUnited States District Court for the Southern District of New York,alleging violations of certain federal securities laws (includingSection 11 of the Securities Act of 1933, as amended, and Section 10(b)of the Securities Exchange Act of 1934, as amended) with respect to theallocation of shares for certain initial public offerings and relatedaftermarket transactions and damage to investors caused by allegedlybiased research analyst reports. On February 19, 2003, the Court issuedan opinion denying defendants' motion to dismiss.

OnOctober 13, 2004, the court granted in part the motion to certify classactions for six focus cases in the securities litigation. CGM is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

Also filed in the Southern District of New York against CGM andother investment banks were several alleged class actions that wereconsolidated into a single class action alleging violations of certainfederal and state antitrust laws in connection with the allocation ofshares in initial public offerings when acting as underwriters. OnNovember 3, 2003, the court granted CGM's motion to dismiss theconsolidated amended complaint in the antitrust case. An appeal to theSecond Circuit of the dismissal granted to CGM in November 2003 withrespect to the antitrust case relating to the allocation of shares forcertain initial public offerings is pending.

ResearchSettlement

On April 28, 2003, CGM announced final agreementswith the SEC, the NASD, the NYSE and the New York Attorney General (aslead state among the 50 states, the District Columbia and Puerto Rico)to resolve on a civil basis all of their outstanding investigationsinto its research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, CGM has 

3

----

consented to the entry of (1) an injunctionunder the federal securities laws to be entered in the United StatesDistrict Court for the Southern District of New York, barring CGM fromviolating provisions of the federal securities laws and related NASDand NYSE rules relating to research, certain IPO allocation practices,the safeguarding of material nonpublic information, and the maintenanceof required books and records and requiring CGM to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring CGM to cease and desist from violations ofcorresponding NASD rules and requiring CGM to adopt and enforce thesame new restrictions; (3) an NYSE Stipulation and Consent requiringCGM to cease and desist from violations of corresponding NYSE rules andrequiring CGM to adopt and enforce the same new restrictions; and (4)an Assurance of Discontinuance with the New York Attorney Generalcontaining substantially the same or similar restrictions. The ResearchSettlement requires CGM to pay $300 million for retrospective relief,plus $25 million for investor education, and commit to spend $75million to provide independent third-party research to its clients atno charge. CGM reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the 2002fourth quarter.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against CGM and nine other investment banks. TheNASD has accepted the Letter of Acceptance, Waiver and Consent enteredinto with CGM in connection with the Research Settlement. In May 2003,the NYSE advised CGM that the Hearing Panel's Decision, in whichit accepted the Research Settlement, had become final. As required bythe Research Settlement, CGM also has entered into separate settlementagreements with numerous states and certain U.S. territories.

Several individual actions have been filed against Citigroup and CGMrelating to, among other things, research on Qwest CommunicationsInternational, Inc. alleging violations of state and federal securitieslaws.

Enron Regulatory Settlement

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

Enron-Related Civil Actions

CGM,Citigroup and various other Citigroup-related entities have been namedas defendants in over 20 civil lawsuits pending in state and federalcourts throughout the United States, alleging claims against Citigroupand CGM based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked holdings. The lawsuits collectively allege as againstCitigroup and/or its affiliates and subsidiaries, among other things,federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of 

4

----

fiduciary duty, aiding and abetting a breachof fiduciary duty and related claims. In most of these lawsuits,Citigroup is named as a co-defendant along with other investment banksalleged to have had dealings with Enron. The majority of cases pendingin the federal courts have been, or are in the process of being,consolidated before a single judge in the United States District Courtfor the Southern District of Texas. In addition, in five adversaryproceedings in the Enron Chapter 11 bankruptcy, Enron and, in one case,its co-debtor affiliates and subsidiaries, and the Official Committeeof Unsecured Creditors of Enron Corp., et al., have named Citigroupand/or its affiliates or subsidiaries as defendants.

A Citigroupaffiliate, along with other defendants, settled all claims against itin In Re: Newpower Holdings Securities Litigation, a classaction brought on behalf of certain investors in NewPower securities.Citigroup reached this settlement agreement without admitting anywrongdoing. On September 13, 2004, the United States District Court forthe Southern District of New York preliminarily approved thesettlement.

Dynegy Inc.

 On June  6, 2003,the complaint in a pre-existing putative class action pending in theUnited States District Court for the Southern District of Texas (IN RE:DYNEGY  INC. SECURITIES LITIGATION) brought by purchasers ofpublicly traded debt and equity securities of Dynegy  Inc. wasamended to add Citigroup, Citibank and CGMI as defendants. Theplaintiffs allege violations of Sections 10(b) and 20(a) of theSecurities Exchange Act of 1934, as amended, against the Citigroupdefendants. The Citigroup defendants filed a motion to dismiss inMarch  2004, which motion was granted by the District Court inOctober  2004. The court denied lead plaintiff's requestfor leave to appeal.

WorldCom-Related Litigation

Citigroup, CGM and certain executive officers and current and formeremployees have been named as defendants — along with twenty-twoother investment banks, certain current and former WorldCom officersand directors, and WorldCom's former auditors — in aconsolidated class action brought on behalf of individuals and entitieswho purchased or acquired publicly traded securities of WorldCombetween April 29, 1999 and June 25, 2002 In Re: Worldcom, Inc.Securities Litigation. The class action complaint asserts claimsagainst CGM under (i) Sections 11 and 12(a)(2) of the Securities Act of1933, as amended, in connection with certain bond offerings in which itserved as underwriter, and (ii) Sections 10(b) and 20(a) of theSecurities Exchange Act of 1934, as amended, and Rule 10b-5 promulgatedunder Section 10(b), alleging that it participated in the preparationand/or issuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied CGM's motion to dismiss theconsolidated class action complaint and granted the plaintiffs'motion for class certification.

Pursuant to an order entered May28, 2003, the District Court consolidated approximately seventy-eightindividual actions with the class action for pretrial proceedings. Theclaims asserted in these individual actions are substantially similarto the claims alleged in the class action and assert state and federalsecurities law claims based on CGM's research reports concerningWorldCom and/or CGM's role as an underwriter in WorldComofferings. Plaintiffs in certain of these actions filed motions toremand their cases to state court. The District Court denied thesemotions and its rulings were upheld on appeal.

Numerous otheractions asserting claims against CGM in connection with its researchreports about WorldCom and/or its role as an investment banker forWorldCom are pending in other federal and state courts around thecountry. These actions have been remanded to various state courts, arepending in other federal courts, or have been conditionally transferredto the United States District Court for the Southern District of NewYork to be consolidated with the class action. In addition to the courtsuits, actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

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

5

----

On September 17, 2004, Weinstein, et al.v. Ebbers, et al., an alleged class action against CGM and othersbrought on behalf of holders of WorldCom securities asserting claimsbased on, among other things, CGM's research reports concerningWorldCom, was dismissed with prejudice in its entirety by the UnitedStates District Court for the Southern District of New York. Theplaintiffs noticed an appeal of the dismissal to the United StatesCourt of Appeals for the Second Circuit on October 15, 2004. Theparties have reached an agreement in principle on the terms of asettlement of this action.

Citigroup and CGM, along with a numberof other defendants, have settled Retirement Systems of Alabama, etal. v. J.P. Morgan Chase & Co., et al., a WorldCom individualaction that had been remanded to the Circuit Court of MontgomeryCounty, Alabama. The settlement became final on September 30,2004.

On June 28, 2004, the United States District Court for theSouthern District of New York dismissed all claims under the SecuritiesAct of 1933, as amended, and certain claims under the SecuritiesExchange Act of 1934 in In Re: Targets Securities Litigation, analleged class action against Citigroup and CGM and certain formeremployees, leaving only claims under the 1934 Act for purchases ofTargeted Growth Enhanced Terms Securities With Respect to the CommonStock of MCI WorldCom, Inc. ("TARGETS") afterJuly 30, 1999. On October 20, 2004, the parties signed a Memorandum ofUnderstanding setting forth the terms of a settlement of all remainingclaims in this action. The settlement was preliminarily approved by theCourt on January 11, 2005.

A fairness hearing was held onNovember 5, 2004 in connection with the proposed class settlementbetween plaintiffs and the Citigroup-related defendants in In Re:Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, lead plaintiff in a consolidatedalleged class action in the United States District Court for theSouthern District of New York (In Re: Global Crossing, Ltd.Securities Litigation) filed a consolidated complaint on behalf ofpurchasers of the securities of Global Crossing and Asia GlobalCrossing, which names as defendants, among others, Citigroup, CGM, CGMHand certain executive officers and current and former employees. Thepurported class action complaint asserts claims under the federalsecurities laws alleging that the defendants issued research reportswithout a reasonable basis in fact and failed to disclose conflicts ofinterest with Global Crossing in connection with published investmentresearch. On March 22, 2004, the lead plaintiff amended itsconsolidated complaint to add claims on behalf of purchasers of thesecurities of Asia Global Crossing. The added claims assert causes ofaction under the federal securities laws and common law in connectionwith CGM's research reports about Global Crossing and Asia GlobalCrossing and for CGM's roles as an investment banker for GlobalCrossing and as an underwriter in the Global Crossing and Asia GlobalCrossing offerings. The Citigroup related defendants moved to dismissall of the claims against them on July 2, 2004. The plaintiffs and theCitigroup related defendants have reached an agreement in principle onthe terms of a settlement of this action.

In addition, on orabout January 27, 2004, the Global Crossing Estate Representative filedin the United States Bankruptcy Court for the Southern District of NewYork (i) an adversary proceeding asserting claims against, amongothers, Citigroup, CGM and certain executive officers and current andformer employees, asserting claims under federal bankruptcy law andcommon law in connection with CGM's research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004.

In addition, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its Global Crossing research reports are pending innumerous arbitrations around the country. These arbitration proceedingsassert claims that are substantially similar to the claims asserted inthe alleged class action.

Adelphia CommunicationsCorporation

On July 6, 2003, an adversary proceeding was filedby the Official Committee of Unsecured Creditors on behalf of AdelphiaCommunications Corporation against certain lenders and investmentbanks, 

6

----

including CGM, Citibank, N.A., Citicorp USA,Inc., and Citigroup Financial Products, Inc. (together, the CitigroupParties). The complaint alleges that the Citigroup Parties and numerousother defendants committed acts in violation of the Bank HoldingCompany Act and the common law. The complaint seeks equitable reliefand an unspecified amount of compensatory and punitive damages. InNovember 2003, a similar adversary proceeding was filed by the EquityHolders Committee of Adelphia. In June 2004, motions to dismiss werefiled with respect to the complaints of the Official Committee ofUnsecured Creditors and the Equity Holders Committee. The motions arecurrently pending.

In addition, CGM is among the underwritersnamed in numerous civil actions brought to date by investors inAdelphia debt securities in connection with Adelphia securitiesofferings between September 1997 and October 2001. Three of thecomplaints also assert claims against Citigroup Inc. and Citibank, N.A.All of the complaints allege violations of federal securities laws, andcertain of the complaints also allege violations of state securitieslaws and the common law. The complaint seeks unspecified damages. InDecember 2003, a second amended complaint was filed and consolidatedbefore the same judge of the United States District Court for theSouthern District of New York. In February 2004, motions to dismiss theclass and individual actions pending in the United States DistrictCourt for the Southern District were filed. The motions are currentlypending.

Mutual Funds

Citigroup and certain of itsaffiliates have been named in several class action litigations pendingin various federal district courts arising out of alleged violations ofthe federal securities laws, the Investment Company Act and common law(including breach of fiduciary duty and unjust enrichment). The claimsconcern practices in connection with the sale of mutual funds,including allegations involving market timing, revenue sharing,incentive payments for the sale of proprietary funds, undisclosedbreakpoint discounts for the sale of certain classes of funds,inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally seek unspecifiedcompensatory damages, rescissionary damages, injunctive relief, costsand fees. In the principal market timing cases that name Citigroup, alead plaintiff has been appointed but that plaintiff has not yet filedan amended complaint. In the cases concerning revenue sharing,incentive payment and other issues, the lead plaintiff filed aconsolidated and amended complaint on December 15, 2004.

Severalissues in the mutual fund industry have come under scrutiny of federaland state regulators. Citigroup has received subpoenas and otherrequests for information from various government regulators regardingmarket timing, financing, fees, sales practices and other mutual fundissues in connection with various investigations. Citigroup iscooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

7

----

In addition to the alleged research classactions, several individual actions have been filed against Citigroupand CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGM assertingcommon law claims in connection with published investment research onbehalf of CGM customers have been dismissed by United States DistrictCourts, one of which was affirmed by the United States Court of Appealsfor the Ninth Circuit, and one of which is pending on appeal to theUnited States Courts of Appeals for the Third Circuit. Two moreputative class actions raising similar claims are pending against CGM,one in the United States District Court for the Southern District ofNew York (Norman v. Salomon Smith Barney, et al.) and the otherin Illinois state court (Disher v. CGM Inc.). On June 9, 2004,the District Court denied CGMI's motion to dismiss Norman v.Salomon Smith Barney, et al., a case which asserts violations ofthe Investment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to CGM requesting documents and information withrespect to their continuing investigation of individuals in connectionwith the supervision of the research and investment banking departmentsof CGM. Other parties to the Research Settlement have received similarsubpoenas and letters.

West Virginia Attorney General Suit

On June 23, 2003, the West Virginia Attorney General filed an actionagainst CGM and nine other firms that were parties to the ResearchSettlement. The West Virginia Attorney General alleges that the firmsviolated the West Virginia Consumer Credit and Protection Act inconnection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, CGM and certain officers were named as defendants inan alleged class action filed in the United States District Court forthe Southern District of New York, brought on behalf of purchasers ofCitigroup common stock between July 24, 1999 and July 23, 2002. Thecomplaint seeks unspecified compensatory and punitive damages foralleged violations of Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, and for common law fraud. Fourteen virtuallyidentical complaints have been filed and consolidated. The complaintsallege that Citigroup misstated the extent of its Enron-relatedexposure, and that Citigroup's stock price fell once the trueextent of Citigroup's Enron involvements became known. Plaintiffsfiled an amended complaint on March 10, 2003, which incorporated theallegations in the 15 separate actions and added new material as well.The amended complaint focuses on certain transactions between Citigroupand Enron and alleged analyst conflicts of interest. The class periodfor the consolidated amended complaint is July 24, 1999 to December 11,2002. On June 2, 2003, Citigroup filed a motion to dismiss theconsolidated amended complaint. Plaintiffs' response was filed onJuly 30, and Citigroup's reply was filed on October 3, 2003. OnAugust 10, 2004, Judge Swain granted Citigroup's motion todismiss the consolidated amended complaint. The plaintiffs filed anotice of appeal in October 2004.

NASD Settlement

InNovember 2004, CGM entered into a final agreement with the NASD toresolve the NASD's investigation into certain of its sellingpractices. Without admitting or denying any allegations or findings,CGM accepted certain factual findings by the NASD that it (i) soldunits in two managed futures funds to 45 customers for whom theinvestment was not suitable, (ii) failed to maintain records disclosingthe basis upon which its investor suitability determinations were madeand (iii) failed to adequately disclose the risks of investing inmanaged futures products on its website. CGM consented to a censure anda fine of $275,000 and offered to redeem the investment of thecustomers for whom investment in the two managed futures funds wasfound not suitable.

8

----

In the course of its business, CGM, as amajor futures commission merchant and broker-dealer is a party tovarious claims and routine regulatory investigations and proceedingsthat the general partner believes do not have a material adverse effecton the business of CGM.

Item 4.    Submission of Mattersto a Vote of Security Holders.

There were no matterssubmitted to the security holders for a vote during the last fiscalyear covered by this report.

9

----

PART II

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

(a)    Market Information. ThePartnership has issued no stock. There is no public trading market forthe Redeemable Units of Limited Partnership Interest.

(b)    Holders. The number of holders of Redeemable Unitsof Partnership Interest as of December 31, 2004 was 274.

Distribution. The Partnership did not declare adistribution in 2004 or 2003.

Use of Proceeds. Therewere no additional sales of Redeemable Units in the years endedDecember 31, 2004, 2003 and 2002.

Item 6.    SelectedFinancial Data.

Net realized and unrealized trading gains(losses), interest income, net income (loss) and increase (decrease) inNet Asset Value per Redeemable Unit for the years ended December 31,2004, 2003, 2002, 2001 and 2000 and total assets at December 31, 2004,2003, 2002, 2001 and 2000 were asfollows:

|                                                                                                                                                                                                                       |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                                                                                                  |  | 2004   |            | 2003   |  | 2002   |            | 2001   |  | 2000   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees),of $1,507,956, $1,819,049, $1,733,430, $1,947,389 and $2,050,642,respectively |  | $      | 3,001,028  |   |  | $      | 1,826,392  |   |  | $      | 8,280,383  |   |  | $      | (737,462   | )  |  | $      | (2,016,503 | )  |
| Interestincome                                                                                                                                                                                                        |  |   | 250,001    |   |  |   | 227,447    |   |  |   | 334,601    |   |  |   | 844,912    |    |  |   | 1,516,605  |    |
|                                                                                                                                                                                                                  |  | $      | 3,251,029  |   |  | $      | 2,053,839  |   |  | $      | 8,614,984  |   |  | $      | 107,450    |    |  | $      | (499,898   | )  |
| Netincome(loss)                                                                                                                                                                                                       |  | $      | 2,468,039  |   |  | $      | 1,082,798  |   |  | $      | 7,757,305  |   |  | $      | (845,590   | )  |  | $      | (2,033,102 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                              |  | $      | 315.95     |   |  | $      | 89.74      |   |  | $      | 655.84     |   |  | $      | (64.74     | )  |  | $      | 2.10*      |    |
| **Totalassets**                                                                                                                                                                                                       |  | $      | 26,624,581 |   |  | $      | 25,911,973 |   |  | $      | 26,889,435 |   |  | $      | 28,284,925 |    |  | $      | 33,093,324 |    |
|                                                                                                                                                                                                                       |

|  |
|--|
|  |  |
|  |

|   |                                                                                                                                                                                                                                                                                                                                |
|---|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | Theamount shown per Redeemable Unit in 2000 does not correspond with thenet loss as shown on the Statement of Income and Expenses for the yearended December 31, 2000 because of the timing of redemptions of thePartnership's Redeemable Units in relation to the fluctuatingvalues of the Partnership's commodity interests. |

Item 7.    Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

Overview

The Partnership, through its investment in theMaster, aims to achieve substantial capital appreciation throughspeculative trading in U.S. and international markets for currencies,interest rates, stock indices, agricultural, energy products andprecious and base metals. The Partnership has invested all of itsassets in the Master. The Master may employ futures, options onfutures, and forward, spot and swap contracts in those markets.

The General Partner/Managing Member manages all the business affairsof the Partnership/Master. The General Partner has delegated itsresponsibility for the investment of the Partnership's assets to

10

----

JWH. The Partnership has invested theseassets in the Master. The General Partner employs a team ofapproximately 20 professionals whose primary emphasis is on attemptingto maintain quality control among the advisors to the Partnershipsoperated or managed by the General Partner. A full-time staff of duediligence professionals use state-of-the-art technology and on-siteevaluations to monitor new and existing futures money managers. Theaccounting and operations staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the Advisor for the Partnership/Master, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

Responsibilities of the GeneralPartner/Managing Memberinclude:

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

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

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

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

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

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

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

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

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

As of December 31, 2004, theMaster's assets were allocated among the JWH programs asfollows:

|                                                                   |  |                                                          |      |         |  |  |
|-------------------------------------------------------------------|--|----------------------------------------------------------|------|---------|--|--|
|                                                              |  | PercentageAllocation in the Master as ofDecember 31,2004 |
| Broadly DiversifiedPrograms                                       |  |
| •   OriginalInvestmentProgram                 |  |                                                     | 17.5 | %  |
| •   GlobalDiversifiedPortfolio                |  |                                                     | 5    | %  |
| •   JWHGlobalAnalytics® Family ofPrograms |  |                                                     | 10   | %  |
| FinancialPrograms                                                 |  |
| •   Financial and MetalsPortfolio             |  |                                                     | 20   | %  |
| •   GlobalFinancial & EnergyPortfolio     |  |                                                     | 15   | %  |
| •   WorldwideBondProgram                      |  |                                                     | 5    | %  |
| MultipleStyle Programs                                            |  |
| •   Currency StrategicAllocationProgram       |  |                                                     | 22.5 | %  |
| ForeignExchange Programs                                          |  |
| •   Dollar BasedProgram                       |  |                                                     | 5    | %  |
|                                                                   |

11

----

The allocation of SAP's assetsamong the investment programs, as well as the selection of the programsused for SAP, is dynamic. While JWH's individual investmentprograms are technical, trend-following programs, the selection ofprograms as well as the allocation of assets among the programs in SAPare entirely discretionary.

(a)    Liquidity.

The Partnership does not engage in sales of goods or services. Itsonly assets are its investment in the Master and interest receivable.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Master. Such substantial losses could lead toa material loss in liquidity.

To minimize this risk relating tolow margin deposits, the Master follows certain trading policies,including:

|           |                                                                                                                                                                                                                                                                                                                                              |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Master invests its assetsonly in commodity interests that an Advisor believes are traded insufficient volume to permit ease of taking and liquidating positions.Sufficient volume, in this context, refers to a level of liquidity thatthe Advisor believes will permit it to enter and exit trades withoutnoticeably moving the market. |

|            |                                                                                                                                                                                                                     |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | An Advisorwill not initiate additional positions in any commodity if thesepositions would result in aggregate positions requiring a margin ofmore than 66 2/3% of the Master's netassets allocated to that Advisor. |

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

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

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

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

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

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

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

12

----

with OTC contracts are greater than thoseassociated with exchange traded instruments because of the greater riskof default by the counterparty to an OTC contract.

Market riskis the potential for changes in the value of the financial instrumentstraded by the Master due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts ascounterparty to the transactions. The Master's risk of loss inthe event of counterparty default is typically limited to the amountsrecognized in the statement of financial condition and not representedby the contract or notional amounts of the instruments. The Master hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Master's assets is CGM.

TheGeneral Partner/Managing Member monitors and controls theMaster's risk exposure on a daily basis through financial, creditand risk management monitoring systems, and accordingly believes thatit has effective procedures for evaluating and limiting the credit andmarket risks to which the Master is subject. These monitoring systemsallow the General Partner/Managing Member to statistically analyzeactual trading results with risk adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions. (See also "Item 8. Financial Statements andSupplementary Data" for further information onfinancial instrument risk included in the notes to financialstatements.)

Other than the risks inherent in commodity futuresand swaps trading, the Master knows of no trends, demands, commitments,events or uncertainties which will result in or which are reasonablylikely to result in the Master's liquidity increasing ordecreasing in any material way. The Limited Partnership Agreementprovides that the General Partner may, in its discretion, cause thePartnership to cease trading operations and liquidate all openpositions under certain circumstances including a decrease in Net AssetValue per Redeemable Unit to less than $350 as of the close of businesson any business day.

(b)    Capital resources.

(i)    The Partnership has made no material commitments forcapital expenditures.

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

No forecast can be made as to thelevel of redemptions in any given period. A limited partner may redeemall or some of his Redeemable Units at the Net Asset Value as of thelast day of any month on fifteen days' written notice to theGeneral Partner. For the year Ended December 31, 2004, 793.9542Redeemable Units were redeemed totaling $2,069,210. For the year endedDecember 31, 2003, 650.6429 Redeemable Units were redeemed totaling$2,036,315. For the year ended December 31, 2002, 3,649.3014 RedeemableUnits were redeemed totaling $8,892,925.

Redeemable Units ofLimited Partnership Interest were sold to persons and entities who areaccredited investors as that term is defined in rule 501(a) ofRegulation D under the Securities Act of 1933 as well as to thosepersons who are not accredited investors but who have either a networth (exclusive 

13

----

of home, furnishings and automobile) eitherindividually or jointly with the investor's spouse of at leastthree times his investment in the Partnership (the minimum investmentfor which is $50,000) or gross income for the two previous years andprojected gross income for the current fiscal year of not less thanthree times his investment in the Partnership for each year.

(c)    Results of Operations.

For the year endedDecember 31, 2004, the Net Asset Value per Redeemable Unit increased11.2% from $2,814.20 to $3,130.15. For the year ended December31, 2003, the Net Asset Value per Redeemable Unit increased 3.3%from $2,724.46 to $2,814.20. For the year ended December 31, 2002, theNet Asset Value Per Redeemable Unit increased 31.7% from$2,068.62 to $2,724.46.

The Partnership, through its investmentin the Master, experienced net trading gains of $4,508,984 beforecommissions and expenses for the year ended December 31, 2004. Gainswere attributable to the Master's trading of currencies, energy,grains, U.S. and non-U.S. interest rates and were partially offset bylosses incurred in the trading of livestock, metals, stock indices andsofts

Trading results for the year 2004 can be described in fourdistinct periods: the first two months of the year produced positiveresults of over 12% with trends carrying over from late 2003,the middle five months experienced extraordinarily difficult conditionsand losses of approximately 33% from recent highs for thePartnership, August through November witnessed a recovery period withan increase in net asset value per unit of over 47%. AndDecember stands alone with the Partnership down approximately1.4% for the month but finishing up 11.2% for the fullyear. The results for the year were heavily influenced by two historictrends: the decline in the value and subsequent volatility of the U.S.dollar versus major currencies and the run-up in the price of crude oilto over $50 a barrel.

The year started strongly with many of thetrends from late 2003 continuing into early 2004. Notably lowerinterest rates in the U.S. and other major countries fostered strongglobal economic growth and pressured commodity prices. These resultedin upward trends in many sectors, especially energy, metals and grainsand provided profitable trading opportunities for thePartnership's advisor. These trends persisted into early Marchwhen economic indicators in the U.S. and China suggested risinginflation and markets reversed with higher interest rates, collapsingcommodity prices and the dollar reversal.

This began aprotracted period of tentative and conflicting trends across manysectors. As expected in the nature of trend-following, the strength ofprofitable trends is often followed by temporary but often severeperiods of losses. Late March through June was such a period for thePartnership's advisor as positions were adjusted from what hadbeen profitable, long-term trends to choppy, directionless and volatileMarkets. Trading was treacherous and thus unprofitable in U.S. andAsian interest rates and global stock indices while energy, metals andgrains provided some offsetting profits. The fundamental economicconcerns hanging over these markets were further exacerbated by theuncertainty surrounding the tightly contested U.S. presidentialelection.

With the year looking dismal going into the latesummer, the price of crude oil resumed its climb to $50 a barrelbrought on by a deteriorating security situation in Iraq, Saudi Arabiapolitical turmoil, and renewed threats of terrorism. Long positions inthe energy sector continued to provide profits to the Partnershipthrough the end of the third quarter and into the fourth quarter. Inlate August the U.S. dollar began a precipitous slide toward $1.40 tothe euro. These renewed trends in currency prices combined withdeclining interest rates and stronger global stock markets werefavorable to the Partnership's advisor and provided a solidlyprofitable September and November for the Partnership. Volatilityacross many markets especially currencies and energy in Decemberresulted in slight loss for the month. In spite of an extremelydifficult and challenging year, the Partnership had an overall increasein net asset value per unit for the year.

The Partnership,through its investment in the Master, experienced net trading gains of$3,645,441 before commissions and expenses for the year ended December31, 2003. Gains were attributable to the Master's trading ofcurrencies, livestock, metals and stock indices and were partiallyoffset by losses incurred in the trading of energy, grains, U.S. andnon-U.S. interest rates and softs.

In 2003, the markets hadperiodic strong trends and then just as strong reversals resulting in amixed year for the Partnership's overall performance.

14

----

Of the nine JWH programs traded on behalfof the Partnership, the programs that concentrate in interest rate andcurrencies programs ended the year with positive returns based onstrong performance for the month of December. Unfortunately, many ofthese programs were off their high watermarks set earlier in 2003.After a strong period of trending behavior in the first half of theyear, many programs gave up their gains during the third quarter due tochanging directions in the dollar and interest rates and the high levelof volatility in the energy complex.

The Financial & Metals(F&M) Portfolio was the best performing program for the year, asmuch as a result of the trading model used as the markets traded.Traditionally this program has been volatile because of its focus onfinancial markets and its use of a three-phase models; but historicallyit has been rewarded for its aggressive market positioning. Thediversified programs employed by the Advisor trade several sectors,including agricultural and energy markets, and some financial programsalso actively trade the energy complex. In both these cases, theinclusion of these sectors was a drag on overall performance. Energymarkets showed extremely choppy behavior, especially in the second halfof the year, while the agricultural sector was driven lower by lossesin the soft commodities of coffee, sugar, and cotton.

Over thecourse of the year, on a very broad basis, the year 2003 can be dividedinto three periods: the time surrounding the Iraq War (January throughMay), the transition to higher world growth (June through October), andthe renewed dollar decline (November and December).

The Iraq warwas the focus for much of the first half of the year. Like anyuncertain event, there is the market reaction to the impending event,the event itself when uncertainty is resolved and the response to theevent. The first two months of the year represented the pre-waruncertainty. With uncertainty concerning when hostilities would beginand the possible impact of these events, investors showed a desire tomove to a defensive and conservative stance. Equity markets sold-off,the dollar sold-off, gold prices rose, bond markets rallied, and theenergy markets exhibited a risk premium concerning potential supplydisruptions. This was a continuation of many of the trends carried overfrom 2002. During the first two months of the year, the Advisor'sprograms had solid performance, up over 23%.

Just priorto the inception of the hostilities, JWH reduced leverage in allprograms by 50 percent, in expectation of higher volatility in themarkets. Markets were more volatile with a reduction of liquidity inresponse to events in March. During this period, bond markets sold-off,the dollar stabilized, crude oil prices declined significantly, and thestock market started to rally. Even with this reduced leverage themarkets were volatile and prior trends disrupted leading to losses forthe month of March. Positions returned to normal leverage in allprograms in April and May saw a substantial recovery of Partnershipperformance with profits coming from short dollar, long interest rateand long commodity positions. The Advisor's performance duringthese periods was consistent with their past actions in uncertain andpotentially highly volatile markets. The General Partner was aware ofand acknowledged the Advisor's actions as appropriate for theconditions of the economic and political environment.

In atransition to economic recovery and growth, the major markets began toreflect changed expectations in the middle of June. The announcementsof consistent, positive macroeconomic news led to the unexpectedpronouncement of no further easing actions by the ECB and the Fed. Newsof stronger growth, especially in the U.S., suggested that thedeflationary story may have been over-done; consequently, there was atrend change, interest rates moved up off 40 year lows. Additionally,the dollar actually rallied on the positive US economic news, reversingthe slide from earlier in the year. In both cases, the program saw agiveback in JWH trading profits, as the markets transitioned to newtrends.

While there were gains in stock index trading,JWH's exposure in these markets has been relatively low; so theywere not able to make a sustainable impact on performance. In additionto this negative market action, there were further increases involatility for the energy sector and growing volatility within arelatively tight range for many agricultural markets. The third quarterand the beginning of the fourth quarter were unprofitable for many ofthe Advisors trading programs. This was the result of a transition tohigher worldwide economic growth.

The final period of 2003 wasthe renewed dollar decline beginning in late November. Regardless ofthe strong growth exhibited in the United States in the third quarter,the best in 20 years, the dollar began a new significant slide againstboth the euro and yen. This led to significant fourth quarter profits,which 

15

----

boosted performance for many of the JWHprograms. It is notable how smooth the declining trend in the dollarwas relative to many markets that ended the year not much differentlyfrom where they began. During this period, other market sectors wereunable to find very strong trends, as the dollar concerns did not carryover to equities or fixed income. With limited news in other markets,there were no changes in trading ranges.

The Partnership,through its investment in the Master, experienced net trading gains of$10,013,813 before commissions and expenses for the year ended December31, 2002. Gains were attributable to the trading of indices,currencies, energy, grains, livestock, U.S. and non-U.S. interest ratesand were partially offset by losses incurred in the trading of metalsand softs.

It should be noted that commodity markets are highlyvolatile. Broad price fluctuations and rapid inflation increase therisks involved in commodity trading, but also increase the possibilityof profit. The profitability of the Partnership and the Master dependson the existence of major price trends and the ability of the Advisorto identify those price trends correctly. Price trends are influencedby, among other things, changing supply and demand relationships,weather, governmental, agricultural, commercial and trade programs andpolicies, national and international political and economic events andchanges in interest rates. To the extent that market trends exist andthe Advisor is able to identify them, the Partnership expects toincrease capital through operations.

(d)    OperationalRisk

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

Such risksinclude:

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

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

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

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

(e)    CriticalAccounting Policies.

The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires estimates and assumptions thataffect the reported amounts of assets and liabilities, revenues andexpenses, and related disclosures of contingent assets and liabilitiesin the financial statements and accompanying notes.

Allcommodity interests of the Master (including derivative financialinstruments and derivative commodity instruments) are used for tradingpurposes. The commodity interests are recorded on trade 

16

----

date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values oncommodity interests and foreign currencies are recognized in the periodin which the contract is closed or the changes occur and are includedin net gains (losses) on trading of commodity interests.

Foreigncurrency contracts are those contracts where the Master agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Master's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statements of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statements of income andexpenses and partners' capital.

The General Partnerbelieves that the accounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Master's positions. The majorityof the Partnership's/Master's positions will beexchange-traded futures contracts, which will be valued daily atsettlement prices published by the exchanges. If applicable, thePartnership's spot and forward foreign currency contracts willalso be valued at published daily settlement prices or atdealers' quotes. The General Partner expects that under normalcircumstances substantially all of thePartnership's/Master's assets will be valued by objectivemeasures and without difficulty.

Item 7A.    Quantitativeand Qualitative Disclosures About Market Risk.

Introduction

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

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

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

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

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

17

----

Quantifying the Master's TradingValue at Risk

The following quantitative disclosures regardingthe Master's and the Partnership's market risk exposurescontain "forward-looking statements" withinthe meaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative disclosures inthis section are deemed to be forward-looking statements for purposesof the safe harbor except for statements of historical fact (such asthe terms of particular contracts and the number of market risksensitive instruments held during or at the end of the reportingperiod).

The Master's and the Partnership's riskexposure in the various market sectors traded by the Advisor isquantified below in terms of Value at Risk. Due to the Master'smark-to-market accounting, any loss in the fair value of theMaster's open positions is directly reflected in theMaster's earnings (realized or unrealized) and cash flow.

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

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

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

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

The Master's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof December 31, 2004 and the highest and lowest value at any pointduring the year. All open position-trading risk exposures of the Masterhave been included in calculating the figures set forth below. As ofDecember 31, 2004, the Master's total capitalization was$227,330,049.

18

----

December 31,2004

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

|  |
|--|
|  |  |
|  |

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

19

----

As of December 31, 2003, theMaster's total capitalization was $145,076,617.

December31,2003

|                                 |  |               |            |                          |  |                  |        |                 |  |          |           |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|------------------|--------|-----------------|--|----------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |            |                     |  | Yearto Date      |
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | HighValue atRisk |        | LowValue atRisk |  | Average* |
| Currencies                      |  |          |       |                     |  |             |   |            |  |     |      |   |  |   |      |   |  |   |      |   |
| —OTCContracts             |  | $             | 9,075,287  |                     |  |             | 6.25   | %          |  | $        | 9,696,832 |   |  | $      | 1,910,405 |   |  | $      | 6,684,699 |   |
| Energy                          |  |          | 5,468,850  |                     |  |             | 3.77   | %          |  |     | 6,633,674 |   |  |   | 1,837,000 |   |  |   | 4,354,588 |   |
| Grains                          |  |          | 578,400    |                     |  |             | 0.40   | %          |  |     | 760,425   |   |  |   | 152,175   |   |  |   | 506,502   |   |
| InterestRatesU.S.               |  |          | 2,439,000  |                     |  |             | 1.68   | %          |  |     | 2,557,100 |   |  |   | 419,700   |   |  |   | 1,519,918 |   |
| InterestRatesNon-U.S.           |  |          | 4,079,811  |                     |  |             | 2.81   | %          |  |     | 6,547,640 |   |  |   | 1,228,573 |   |  |   | 4,018,251 |   |
| Livestock                       |  |          | 150,000    |                     |  |             | 0.10   | %          |  |     | 336,800   |   |  |   | 9,350     |   |  |   | 82,020    |   |
| Metals                          |  |          |       |                     |  |             |   |            |  |     |      |   |  |   |      |   |  |   |      |   |
| —Exchange TradedContracts |  |          | 1,259,500  |                     |  |             | 0.87   | %          |  |     | 2,120,000 |   |  |   | 198,000   |   |  |   | 917,917   |   |
| —OTCContracts             |  |          | 912,480    |                     |  |             | 0.63   | %          |  |     | 935,700   |   |  |   | 175,800   |   |  |   | 603,845   |   |
| Softs                           |  |          | 663,973    |                     |  |             | 0.46   | %          |  |     | 1,227,182 |   |  |   | 295,046   |   |  |   | 685,656   |   |
| Indices                         |  |          | 3,764,466  |                     |  |             | 2.60   | %          |  |     | 3,871,103 |   |  |   | 709,998   |   |  |   | 2,379,432 |   |
| **Total**                       |  | $             | 28,391,767 |                     |  |             | 19.57  | %          |  |     |      |   |  |   |      |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

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

MaterialLimitations on Value at Risk as an Assessment of Market Risk

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

Non-Trading Risk

The Master has non-trading market risk onits foreign cash balances not needed for margin. However, thesebalances (as well as any market risk they represent) are considered tobe immaterial.

Materiality as used in this section,"Qualitative and Quantitative Disclosures About MarketRisk," is based on an assessment of reasonably possiblemarket movements and the potential losses caused by such movements,taking into account the leverage, optionality and multiplier featuresof the Master's market sensitive instruments.

QualitativeDisclosures Regarding Primary Trading Risk Exposures

Thefollowing qualitative disclosures regarding the Master's marketrisk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how theMaster manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934. The Master's primary market risk exposures as well asthe strategies used and to be used by the General Partner and theAdvisor for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could causethe actual results of the Master's risk controls to differmaterially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, 

20

----

an influx of new market participants,increased regulation and many other factors could result in materiallosses as well as in material changes to the risk exposures and themanagement strategies of the Master. There can be no assurance that theMaster's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Master as of December 31, 2004, by market sector.

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

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

Stock Indices. The Master's primaryequity exposure is to equity price risk in the G-8 countries. The stockindex futures traded by the Master are limited to futures on broadlybased indices. As of December 31, 2004, the Master's primaryexposures were in the Eurex (Germany) and Chicago Mercantile Exchange(United States). The General Partner anticipates little, if any,trading in non-G-8 stock indices. The Master is primarily exposed tothe risk of adverse price trends or static markets in the major U.S.,European and Japanese indices. (Static markets would not cause majormarket changes but would make it difficult for the Partnership, throughthe Master, to avoid being "whipsawed" intonumerous small losses.)

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

Softs. The Master's primary commoditiesexposure is to agricultural price movements, which are often directlyaffected by severe, or unexpected weather conditions. Coffee, cottonand sugar accounted for the substantial bulk of the Master'scommodity exposure as of December 31, 2004.

Energy. TheMaster's primary energy market exposure is to gas and oil pricemovements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losseshave been and are expected to continue to be experienced in thismarket.

Qualitative Disclosures Regarding Non-Trading RiskExposure

The following were the only non-trading risk exposuresof the Master as of December 31, 2004.

Foreign CurrencyBalances. The Master's primary foreign currency balances arein Japanese yen, Euro dollar and Swiss francs. The Advisor regularlyconverts foreign currency balances to U.S. dollars in an attempt tocontrol the Master's non-trading risk.

QualitativeDisclosures Regarding Means of Managing Risk Exposure

TheGeneral Partner monitors and controls the Master's and thePartnership's risk exposure on a daily basis through financial,credit and risk management monitoring systems and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Master and the Partnership aresubject.

21

----

The General Partner monitors theMaster's performance and the concentration of its open positions,and consults with the Advisor concerning the Master's overallrisk profile. If the General Partner felt it necessary to do so, theGeneral Partner could require the Advisor to close out individualpositions as well as enter certain positions traded on behalf of theMaster. However, any such intervention would be a highly unusual event.The General Partner primarily relies on the Advisor's own riskcontrol policies while maintaining a general supervisory overview ofthe Master's market risk exposures.

The Advisor appliesits own risk management policies to its trading. The Advisor oftenfollows diversification guidelines, margin limits and stop loss pointsto exit a position. The Advisor's research of risk managementoften suggests ongoing modifications to its trading programs.

Aspart of the General Partner's risk management, the GeneralPartner periodically meets with the Advisor to discuss its riskmanagement and to look for any material changes to the Advisor'sportfolio balance and trading techniques. The Advisor is required tonotify the General Partner of any material changes to itsprograms.

22

----

Item8.    Financial Statements and Supplementary Data.

SHEARSON MID-WEST FUTURES FUND

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                  |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|------------------|--|--|--|--|
|                                                                                          |  | PageNumber       |
| Oath or Affirmation                                                                           |  | F-2              |
| Reportof Independent Registered Public AccountingFirm                                         |  | F-3              |
| Statements of Financial Conditionat December 31, 2004 and 2003                                |  | F-4              |
| Statements of Income and Expenses forthe years ended December 31, 2004, 2003 and 2002         |  | F-5              |
| Statements of Changes inPartners' Capital for the years ended December 31, 2004,2003 and 2002 |  | F-6              |
| Statements of Cash Flowsfor the years ended December 31, 2004, 2003 and2002                   |  | F-7              |
| Notes to Financial Statements                                                                 |  | F-8 – F-11 |
| Selected UnauditedQuarterly FinancialData                                                     |  | F-12             |
| Financial Statements ofthe Master:                                                            |  |
| Oath or Affirmation                                                                           |  | F-13             |
| Independent Auditors' Report                                                                  |  | F-14             |
| Statements of Financial Condition atDecember 31, 2004 and 2003                                |  | F-15             |
| CondensedSchedules of Investments at December 31, 2004 and 2003                               |  | F-16– F-17 |
| Statements of Income and Expenses forthe years ended December 31, 2004, 2003 and 2002         |  | F-18             |
| Statements of Changes inMembers' Capital for the years ended December 31, 2004, 2003 and2002  |  | F-19             |
| Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002                  |  | F-20             |
| Notes to Financial Statements                                                                 |  | F-21 –F-24 |
| Selected Unaudited Quarterly Financial Data                                                   |  | F-25             |
|                                                                                               |

F-1

----

Tothe Limited Partners ofShearson Mid-West Futures Fund

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

|  | /s/ Daniel R. McAuliffe,Jr. |
|--|-----------------------------|

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

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

|  | **Citigroup Managed Futures LLC**399 ParkAvenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofShearson Mid-WestFutures Fund:

We have audited the accompanying statements offinancial condition of Shearson Mid-West Futures Fund (thePartnership), as of December 31, 2004 and 2003 and the relatedstatements of income and expenses, changes in partners' capital,and cash flows for each of the years in the three-year period endedDecember 31, 2004. These financial statements are the responsibility ofthe Partnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

Weconducted our audits in accordance with the standards of the PublicCompany Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. An audit includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements. Anaudit also includes assessing the accounting principles used andsignificant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our auditsprovide a reasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Shearson Mid-West Futures Fund asof December 31, 2004 and 2003 and the results of its operations,changes in its partners' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2004, inconformity with U.S. generally accepted accounting principles.

/s/ KPMG LLP

New York, New YorkMarch 14,2005

F-3

----

ShearsonMid-West Futures FundStatements of FinancialConditionDecember 31, 2004 and2003

|                                                                                                                                      |  |        |            |        |  |        |            |        |  |        |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--------|
|                                                                                                                                 |  | 2004   |            | 2003   |
| **Assets:**                                                                                                                          |  |   |       |   |  |   |       |   |
| Investmentin Master, at fairvalue                                                                                                    |  | $      | 26,615,586 |   |  | $      | 25,898,180 |   |  |   |   |   |
| Cash                                                                                                                                 |  |   | 8,995      |   |  |   | 13,793     |   |
|                                                                                                                                 |  | $      | 26,624,581 |   |  | $      | 25,911,973 |   |
|                                                                                                                                 |  |   |       |   |  |   |       |   |
| **Liabilitiesand Partners'Capital:**                                                                                                 |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                         |  |   |       |   |  |   |       |   |
| Accruedexpenses:                                                                                                                     |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                 |  | $      | 133,123    |   |  | $      | 129,560    |   |
| Managementfees (Note3b)                                                                                                              |  |   | 44,096     |   |  |   | 42,940     |   |
| Administrativefees (Note3a)                                                                                                          |  |   | 22,048     |   |  |   | 21,470     |   |
| Professionalfees                                                                                                                     |  |   | 20,535     |   |  |   | 12,723     |   |
| Other                                                                                                                                |  |   | 13,464     |   |  |   | 5,602      |   |
| Redemptionspayable (Note5)                                                                                                           |  |   | 304,065    |   |  |   | 11,257     |   |
|                                                                                                                                 |  |   | 537,331    |   |  |   | 223,552    |   |
| Partners'capital (Notes 1 and5):                                                                                                     |  |   |       |   |  |   |       |   |
| General Partner,40.4850 Unit equivalents outstanding in 2004 and2003                                                                 |  |   | 126,724    |   |  |   | 113,933    |   |
| LimitedPartners, 8,293.7071 and 9,087.6613 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 25,960,526 |   |  |   | 25,574,488 |   |
|                                                                                                                                 |  |   | 26,087,250 |   |  |   | 25,688,421 |   |
|                                                                                                                                 |  | $      | 26,624,581 |   |  | $      | 25,911,973 |   |
|                                                                                                                                      |

Seeaccompanying notes to financial statements.

F-4

----

Shearson Mid-West FuturesFundStatements of Income and Expensesfor the yearsendedDecember 31, 2004, 2003 and2002

|                                                                                                                 |  |        |           |         |  |        |           |         |  |        |            |         |  |        |
|-----------------------------------------------------------------------------------------------------------------|--|--------|-----------|---------|--|--------|-----------|---------|--|--------|------------|---------|--|--------|
|                                                                                                            |  | 2004   |           | 2003    |  | 2002   |
| Income:                                                                                                         |  |   |      |    |  |   |      |    |  |   |       |    |
| Realizedgains on closed positions and foreign currencies fromMaster                                             |  | $      | 3,514,816 |    |  | $      | 3,020,802 |    |  | $      | 8,860,069  |    |
| Changein unrealized gains on open positions fromMaster                                                          |  |   | 994,168   |    |  |   | 624,639   |    |  |   | 1,153,744  |    |
| Expensesallocated fromMaster                                                                                    |  |   | (77,552   | )  |  |   | (105,066  | )  |  |   | (81,068    | )  |
|                                                                                                            |  |   | 4,431,432 |    |  |   | 3,540,375 |    |  |   | 9,932,745  |    |
| Interestincome allocated fromMaster                                                                             |  |   |      |    |  |   |      |    |  |   |       |    |
| (Note3c)                                                                                                        |  |   | 250,001   |    |  |   | 227,447   |    |  |   | 334,601    |    |
|                                                                                                            |  |   | 4,681,433 |    |  |   | 3,767,822 |    |  |   | 10,267,346 |    |
| Expenses:                                                                                                       |  |   |      |    |  |   |      |    |  |   |       |    |
| Brokeragecommissions (Note3c)                                                                                   |  |   | 1,430,404 |    |  |   | 1,713,983 |    |  |   | 1,652,362  |    |  |   |   |   |  |   |   |   |
| Managementfees (Note3b)                                                                                         |  |   | 473,866   |    |  |   | 567,899   |    |  |   | 547,426    |    |  |   |   |   |  |   |   |   |
| Administrativefees (Note3a)                                                                                     |  |   | 236,934   |    |  |   | 283,948   |    |  |   | 273,716    |    |  |   |   |   |  |   |   |   |
| Incentivefees (Note3b)                                                                                          |  |   | —   |    |  |   | 77,162    |    |  |   | —    |    |  |   |   |   |  |   |   |   |
| Professionalfees                                                                                                |  |   | 47,392    |    |  |   | 35,572    |    |  |   | 30,775     |    |  |   |   |   |  |   |   |   |
| Otherexpenses                                                                                                   |  |   | 24,798    |    |  |   | 6,460     |    |  |   | 5,762      |    |
|                                                                                                            |  |   | 2,213,394 |    |  |   | 2,685,024 |    |  |   | 2,510,041  |    |
| Netincome                                                                                                       |  | $      | 2,468,039 |    |  | $      | 1,082,798 |    |  | $      | 7,757,305  |    |
|                                                                                                            |  |   |      |    |  |   |      |    |  |   |       |    |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unit equivalent (Notes 1 and6) |  | $      | 315.95    |    |  | $      | 89.74     |    |  | $      | 655.84     |    |
|                                                                                                                 |

Seeaccompanying notes to financial statements.

F-5

----

Shearson Mid-West FuturesFundStatements of Changes in Partners' Capitalfor theyears endedDecember 31, 2004, 2003, and2002

|                                                                                                                             |  |                 |            |                |  |        |          |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|----------|---------|--|--------|------------|---------|--|--|
|                                                                                                                        |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners' capital atDecember 31,2001                                                                                        |  | $               | 27,111,192 |           |  | $      | 666,366  |    |  | $      | 27,777,558 |    |
| Netincome                                                                                                                   |  |            | 7,553,973  |           |  |   | 203,332  |    |  |   | 7,757,305  |    |
| Redemptionof 3,367.6557 Redeemable Units of  Limited Partnership Interestand 281.6457 Units  of General PartnershipInterest |  |            | (8,133,527 | )         |  |   | (759,398 | )  |  |   | (8,892,925 | )  |
| Partners'capital at December 31,2002                                                                                        |  |            | 26,531,638 |           |  |   | 110,300  |    |  |   | 26,641,938 |    |
| Netincome                                                                                                                   |  |            | 1,079,165  |           |  |   | 3,633    |    |  |   | 1,082,798  |    |
| Redemptionof 650.6429 Redeemable Units of Limited PartnershipInterest                                                       |  |            | (2,036,315 | )         |  |   | —  |    |  |   | (2,036,315 | )  |
| Partners'capital at December 31,2003                                                                                        |  |            | 25,574,488 |           |  |   | 113,933  |    |  |   | 25,688,421 |    |
| Netincome                                                                                                                   |  |            | 2,455,248  |           |  |   | 12,791   |    |  |   | 2,468,039  |    |
| Redemptionof 793.9542 Redeemable Units of Limited PartnershipInterest                                                       |  |            | (2,069,210 | )         |  |   | —  |    |  |   | (2,069,210 | )  |
| Partners'capital at December 31,2004                                                                                        |  | $               | 25,960,526 |           |  | $      | 126,724  |    |  | $      | 26,087,250 |    |
|                                                                                                                             |

NetAsset Value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2002 |  | $ | 2,724.46 |   |
| 2003 |  | $ | 2,814.20 |   |
| 2004 |  | $ | 3,130.15 |   |
|      |

Seeaccompanying notes to financial statements.

F-6

----

Shearson Mid-West Futures FundL.P.Statements of Cash Flowsfor the years ended December31, 2004, 2003 and2002

|                                                                                           |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                      |  | 2004   |            | 2003    |  | 2002   |
| Cashflows from operatingactivities:                                                       |  |   |       |    |  |   |       |    |  |
| Net income                                                                                |  | $      | 2,468,039  |    |  | $      | 1,082,798  |    |  | $      | 7,757,305  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |       |    |  |   |       |    |  |
| Changesin operating assets andliabilities                                                 |  |   |       |    |  |   |       |    |  |   |       |    |
| (Increase)decrease in investment in Master, at fairvalue                                  |  |   | (717,406   | )  |  |   | 968,546    |    |  |   | 1,378,365  |    |
| Accruedexpenses:                                                                          |  |   |       |    |  |   |       |    |  |
| Increase(decrease) incommissions                                                          |  |   | 3,563      |    |  |   | (4,887     | )  |  |   | (6,978     | )  |
| Increase(decrease) in managementfees                                                      |  |   | 1,156      |    |  |   | (1,609     | )  |  |   | (2,318     | )  |
| Increase(decrease) in administrativefees                                                  |  |   | 578        |    |  |   | (805       | )  |  |   | (1,158     | )  |
| Increase(decrease) in professionalfees                                                    |  |   | 7,812      |    |  |   | (7,499     | )  |  |   | 541        |    |
| Increase(decrease) inother                                                                |  |   | 7,862      |    |  |   | 485        |    |  |   | 1,266      |    |
| Increase(decrease) in redemptionspayable                                                  |  |   | 292,808    |    |  |   | (9,630     | )  |  |   | (251,223   | )  |
| Netcash provided by (used in) operatingactivities                                         |  |   | 2,064,412  |    |  |   | 2,027,399  |    |  |   | 8,875,800  |    |
|                                                                                      |  |   |       |    |  |
| Cashflows from financingactivities:                                                       |  |   |       |    |  |   |       |    |  |
| Payment forredemptions – LimitedPartners                                            |  |   | (2,069,210 | )  |  |   | (2,036,315 | )  |  |   | (8,133,527 | )  |
| Paymentfor redemptions – GeneralPartner                                             |  |   | —    |    |  |   | —    |    |  |   | (759,398   | )  |
| Netcash provided by (used in) financingactivities                                         |  |   | (2,069,210 | )  |  |   | (2,036,315 | )  |  |   | (8,892,925 |    |
| Netchange incash                                                                          |  |   | (4,798     | )  |  |   | (8,916     | )  |  |   | (17,125    | )  |
| Cash,at beginning ofyear                                                                  |  |   | 13,793     |    |  |   | 22,709     |    |  |   | 39,834     |    |
| Cash,at end ofyear                                                                        |  | $      | 8,995      |    |  | $      | 13,793     |    |  | $      | 22,709     |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-7

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

1.    PartnershipOrganization:

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

Effective January 26, 2001, thePartnership allocated substantially all of its capital to the JWHStrategic Allocation Master Fund  LLC, a New York LimitedLiability Company (the "Master"). With thiscash, the Partnership purchased 31,509.8853 Units of the Master with afair value of $31,509,885. The Master was formed in order to permitcommodity pools managed now or in the future by John W. Henry &Company, Inc. ("JWH") using the StrategicAllocation Program, JWH's proprietary trading program, to investtogether in one trading vehicle. The commodity interests that aretraded by the Master are volatile and involve a high degree of marketrisk. Citigroup Managed Futures LLC, formerly Smith Barney FuturesManagement LLC, acts as the general partner (the "GeneralPartner") of the Partnership. The General Partner is themanaging member of the Master. Individual and pooled accounts currentlymanaged by JWH, including the Partnership (collectively, the"Feeder Funds"), are permitted to be anon-managing member of the Master. The General Partner and JWH believethat trading through this master/feeder structure should promoteefficiency and economy in the trading process. Expenses to investors asa result of investment in the Master are approximately the same andredemption rights are not affected.

The financial statements ofthe Master, including the condensed schedules of investments, arecontained elsewhere in this report and should be read together with thePartnership's financial statements.

At December 31, 2004and 2003, the Partnership owns 11.69% and 17.84%,respectively, of the Master. It is the Partnership's intention tocontinue to invest substantially all of its assets in the Master. Theperformance of the Partnership is directly affected by the performanceof the Master.

The Partnership's commodity broker isCitigroup Global Markets Inc. ("CGM"),formerly Salomon Smith Barney Inc. CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), formerlySalomon Smith Barney Holdings Inc., which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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

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

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                        |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the income and expenses and unrealized andrealized gains and losses from the commodity transactions of the Masterare allocated pro |

F-8

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | rata among the investors at the time of suchdetermination. All commodity interests (including derivative financialinstruments and derivative commodity instruments) held by the Masterare used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statements offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

|          |                                                                                                                                                          |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxes have not been provided aseach partner is individually liable for the taxes, if any, on theirshare of the Partnership's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financial statementsin conformity with accounting principles generally accepted in theUnited States of America requires management to make estimates andassumptions that affect the reported amounts of assets and liabilities,and disclosure of contingent assets and liabilities at the date of thefinancial statements and the reported amounts of revenues and expensesduring the reporting period. Actual results could differ from theseestimates. |

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

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

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

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

The Management Agreement that the General Partner, onbehalf of the Partnership, entered into with the Advisor, provides thatthe Advisor has sole discretion in determining the allocation of theassets of the Partnership. The Partnership is obligated to pay theAdvisor a monthly management fee equal to 1/6 of 1% (2%per year) of month-end Net Assets allocated pro-rata by the Master.Month-end Net Assets, for the purpose of calculating management feesare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of redemptions and incentive fees. In addition, thePartnership is obligated to pay the Advisor an incentive fee, payablequarterly, equal to 20% of the New Trading Profits allocatedpro-rata by the Master, as defined in the Management Agreement.

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

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

F-9

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

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

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

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

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

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

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

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December 31, 2004, 2003 and2002 are asfollows:

|                                                      |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|------------------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                                 |  | 2004   |          | 2003     |  | 2002   |
| Netrealized and unrealizedgains*                     |  | $      | 376.90   |     |  | $      | 168.46   |     |  | $      | 703.35   |     |
| Interestincome                                       |  |   | 28.33    |     |  |   | 24.18    |     |  |   | 29.22    |     |
| Expenses**                                           |  |   | (89.28   | )   |  |   | (102.90  | )   |  |   | (76.73   | )   |
| Increaseforyear                                      |  |   | 315.95   |     |  |   | 89.74    |     |  |   | 655.84   |     |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 2,814.20 |     |  |   | 2,724.46 |     |  |   | 2,068.62 |     |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 3,130.15 |     |  | $      | 2,814.20 |     |  | $      | 2,724.46 |     |
| Ratiosto Average NetAssets:                          |  |   |     |     |  |   |     |     |  |   |     |     |
| Netinvestment loss before incentivefees***           |  |   | (8.6     | )%  |  |   | (8.9     | )%  |  |   | (8.5     | )%  |
| Operatingexpenses                                    |  |   | 9.7      | %   |  |   | 9.7      | %   |  |   | 9.7      | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | 0.3      | %   |  |   | —  | %   |
| Totalexpenses                                        |  |   | 9.7      | %   |  |   | 10.0     | %   |  |   | 9.7      | %   |
| Totalreturn:                                         |  |   |     |     |  |   |     |     |  |   |     |     |
| Total returnbefore incentivefees                     |  |   | 11.2     | %   |  |   | 3.6      | %   |  |   | 31.7     | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | (0.3     | )%  |  |   | —  | %   |
| Totalreturn after incentivefees                      |  |   | 11.2     | %   |  |   | 3.3      | %   |  |   | 31.7     | %   |
|                                                      |

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

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

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

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

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

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

F-10

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange-traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Partnership's/Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership,through the Partnership's investment in the Master, hasconcentration risk because the sole counterparty or broker with respectto the Master's assets is CGM.

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

The majority of these instruments mature within one year of December31, 2004. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

F-11

----

ShearsonMid-West Futures Fund

Notes to FinancialStatements

Selected unaudited quarterly financialdata for the Partnership for the years ended December 31, 2004 and 2003are summarizedbelow:

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

|                                                                                                                                                     |  |                                                        |         |                                                       |  |                                                   |            |                                                      |  |   |          |         |  |   |           |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|---------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|----------|---------|--|---|-----------|--------|--|--|
|                                                                                                                                                |  | Forthe period from October 1, 2003 to December 31,2003 |         | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |            | For the period from January 1, 2003 to March31, 2003 |
| Net realized and unrealized trading gains(losses) net of expenses allocated from Master, brokerage commissionsand clearing fees plus interestincome |  | $                                                      | 488,214 |                                                  |  | $                                                 | (2,046,050 | )                                               |  | $ | (760,568 | )  |  | $ | 4,372,243 |   |
| NetIncome(loss)                                                                                                                                     |  | $                                                      | 292,779 |                                                  |  | $                                                 | (2,262,395 | )                                               |  | $ | (997,371 | )  |  | $ | 4,049,785 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                            |  | $                                                      | 33.97   |                                                  |  | $                                                 | (245.25    | )                                               |  | $ | (108.85  | )  |  | $ | 409.87    |   |
|                                                                                                                                                     |

F-12

----

To theMembers ofJWH Strategic Allocation Master Fund LLC

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

|  | /s/ Daniel R. McAuliffe,Jr. |
|--|-----------------------------|

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

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

|  | **Citigroup Managed** **Futures LLC**399Park Avenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|--------------------------------------------------------------------------------------------------|

F-13

----

Independent Auditors'Report

To the Membersof    JWH Strategic Allocation Master Fund LLC:

We haveaudited the accompanying statements of financial condition of JWHStrategic Allocation Master Fund LLC (the Company), including thecondensed schedules of investments, as of December 31, 2004 and 2003,and the related statements of income and expenses, changes inmembers' capital, and cash flows for each of the years in thethree-year period ended December 31, 2004. These financial statementsare the responsibility of the Company's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits in accordance withauditing standards generally accepted in the United States of America.Those standards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. An audit includes consideration of internalcontrol over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for thepurpose of expressing an opinion on the effectiveness of theCompany's internal control over financial reporting. Accordingly,we express no such opinion. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principlesused and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believethat our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of JWH StrategicAllocation Master Fund LLC as of December 31, 2004 and 2003, and theresults of its operations, changes in its members' capital, andits cash flows for each of the years in the three-year period endedDecember 31, 2004, in conformity with accounting principles generallyaccepted in the United States of America.

/s/ KPMGLLP

New York, New YorkMarch 14,2005

F-14

----

JWHStrategic Allocation Master Fund LLCStatements of FinancialConditionDecember 31, 2004 and2003

|                                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                                    |  | 2004   |             | 2003   |
| **Assets:**                                                                                                                                             |  |   |        |   |  |   |        |   |
| Equityin commodity futures trading account:Cash (restricted $52,152,846and $31,852,745 in 2004 and 2003,     respectively) (Note3c) |  | $      | 200,509,589 |   |  | $      | 131,979,502 |   |
| Netunrealized appreciation on open futurespositions                                                                                                     |  |   | 2,816,587   |   |  |   | 1,477,101   |   |
| Unrealizedappreciation on open forwardcontracts                                                                                                         |  |   | 29,891,977  |   |  |   | 13,496,013  |   |
|                                                                                                                                                    |  |   | 233,218,153 |   |  |   | 146,952,616 |   |
| Interestreceivable                                                                                                                                      |  |   | 311,148     |   |  |   | 80,717      |   |
|                                                                                                                                                    |  | $      | 233,529,301 |   |  | $      | 147,033,333 |   |
| **Liabilitiesand Members'Capital:**                                                                                                                     |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                                            |  |   |        |   |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                                         |  | $      | 5,772,552   |   |  | $      | 1,799,594   |   |
| Accruedexpenses:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                                                                        |  |   | 115,552     |   |  |   | 76,405      |   |
| Distributionpayable                                                                                                                                     |  |   | 311,148     |   |  |   | 80,717      |   |
|                                                                                                                                                    |  |   | 6,199,252   |   |  |   | 1,956,716   |   |
| Members'capital:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Members'capital, 112,131.2876 and 86,435.1829 Units outstanding in 2004 and2003,respectively                                                            |  |   | 227,330,049 |   |  |   | 145,076,617 |   |
|                                                                                                                                                    |  | $      | 233,529,301 |   |  | $      | 147,033,333 |   |
|                                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-15

----

JWH Strategic AllocationMaster FundLLCCondensed Schedule of InvestmentsDecember 31, 2004

|                                 |  |                                                    |  |           |                                                                                                                          |         |  |  |  |  |  |  |  |  |
|---------------------------------|--|----------------------------------------------------|--|-----------|--------------------------------------------------------------------------------------------------------------------------|---------|--|--|--|--|--|--|--|--|
| Sector                          |  | Contract                                           |  | FairValue |                                                                                                                          |
| Currencies                      |  |                                               |  |      |                      |    |  |
|                            |  | Unrealizeddepreciation on forward contracts(1.41)% |  | $         | (3,208,972                                                                                                               | )  |  |
|                            |  | Unrealizedappreciation on forward contracts11.62%  |  |      | 26,407,028                                                                                                               |    |  |
| TotalCurrencies10.21%           |  |                                               |  |      | 23,198,056                                                                                                               |    |  |
| Energy1.23%                     |  | Futures contracts sold1.23%                        |  |      | 2,791,481                                                                                                                |    |  |
| Grains                          |  | Futurescontracts sold0.43%                         |  |      | 970,394                                                                                                                  |    |  |
|                            |  | Futurescontracts purchased0.00%*                   |  |      | 900                                                                                                                      |    |  |
| TotalGrains0.43%                |  |                                               |  |      | 971,294                                                                                                                  |    |  |
| InterestRates Non-U.S. (0.03)%  |  | Futures contracts purchased(0.03)%                 |  |      | (59,280                                                                                                                  | )  |  |
| InterestRates U.S.              |  | Futures contracts purchased(0.33)%                 |  |      | (757,875                                                                                                                 | )  |  |
|                            |  | Futurescontracts sold(0.10)%                       |  |      | (234,931                                                                                                                 | )  |  |
| TotalInterest Rates U.S.(0.43)% |  |                                               |  |      | (992,806                                                                                                                 | )  |  |
| Livestock0.02%                  |  | Futures contracts sold0.02%                        |  |      | 53,450                                                                                                                   |    |  |
| Metals                          |  |
|                            |  | Futurescontracts sold0.03%                         |  |      | 71,100                                                                                                                   |    |  |
|                            |  | Futurescontracts purchased(0.36)%                  |  |      | (825,978                                                                                                                 | )  |  |
|                            |  | Totalfutures contracts(0.33)%                      |  |      | (754,878                                                                                                                 | )  |  |
|                            |  | Unrealizeddepreciation on forward contracts(1.13)% |  |      | (2,563,580                                                                                                               | )  |  |
|                            |  | Unrealizedappreciation on forward contracts1.53%   |  |      | 3,484,949                                                                                                                |    |  |
|                            |  | Totalforward contracts0.40%                        |  |      | 921,369                                                                                                                  |    |  |
| TotalMetals0.07%                |  |                                               |  |      | 166,491                                                                                                                  |    |  |
| Softs                           |  |
|                            |  | Futurescontracts sold(0.24)%                       |  |      | (546,260                                                                                                                 | )  |  |
|                            |  | Futurescontracts purchased0.63%                    |  |      | 1,435,024                                                                                                                |    |  |
| TotalSofts0.39%                 |  |                                               |  |      | 888,764                                                                                                                  |    |  |
| Indices                         |  |
|                            |  | Futurescontracts sold(0.39)%                       |  |      | (876,403                                                                                                                 | )  |  |
|                            |  | Futurescontracts purchased0.35%                    |  |      | 794,965                                                                                                                  |    |  |
| TotalIndices(0.04)%             |  |                                               |  |      | (81,438                                                                                                                  | )  |  |
| TotalFair Value11.85%           |  |                                               |  | $         | 26,936,012                                                                                                               |    |  |
|                                 |

|                    |  |                          |            |                             |  |        |        |          |  |  |
|--------------------|--|--------------------------|------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | % ofInvestmentsat FairValue |
| Australia          |  | $                        | (919,196   | )                      |  |   | (3.41  | )%  |
| Canada             |  |                     | 20,533     |                        |  |   | 0.07   |     |
| Germany            |  |                     | 1,049,284  |                        |  |   | 3.90   |     |
| Japan              |  |                     | (740,310   | )                      |  |   | (2.75  | )   |
| UnitedKingdom      |  |                     | 787,111    |                        |  |   | 2.92   |     |
| UnitedStates       |  |                     | 26,738,590 |                        |  |   | 99.27  |     |
|               |  | $                        | 26,936,012 |                        |  |   | 100.00 | %   |
|                    |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Masters' capital unless otherwiseindicated. |

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

See accompanying notes tofinancial statements.

F-16

----

JWH Strategic AllocationMaster FundLLCCondensed Schedule of InvestmentsDecember 31,2003

|                                                             |  |                                                     |            |           |            |         |  |  |  |  |  |  |  |  |
|-------------------------------------------------------------|--|-----------------------------------------------------|------------|-----------|------------|---------|--|--|--|--|--|--|--|--|
| Sector                                                      |  | Contract                                            |            | FairValue |            |
| Currencies                                                  |  |
|                                                        |  | Unrealizeddepreciation on forward contracts(1.22)%  |            | $         | (1,771,985 | )  |  |
|                                                        |  | Unrealizedappreciation on forward contracts7.66%    |            |      | 11,113,632 |    |  |
|     TotalCurrencies6.44%                |  |                                                |            |      | 9,341,647  |    |  |
|                                                        |  |                                                |            |      |       |    |  |
| Energy0.90%                                                 |  | Futures contracts sold0.90%                         |            |      | 1,299,873  |    |  |
|                                                        |  |                                                |            |      |       |    |  |
| Grains0.22%                                                 |  | Futures contracts purchased0.22%                    |            |      | 318,552    |    |  |
|                                                        |  |                                                |            |      |       |    |  |
| InterestRates Non-U.S.                                      |  |
|                                                        |  | Futures contracts sold(0.08)%                       |            |      | (121,386   | )  |  |
|                                                        |  | Futurescontracts purchased(0.01)%                   |            |      | (8,299     | )  |  |
|     TotalInterest Rates Non-U.S.(0.09)% |  |                                                |            |      | (129,685   | )  |  |
|                                                        |  |                                                |            |      |       |    |  |
| InterestRates U.S. 0.01%                                    |  | Futures contracts purchased0.01%                    |            |      | 19,950     |    |  |
|                                                        |  |                                                |            |      |       |    |  |
| Livestock                                                   |  |
|                                                        |  | Futurescontracts sold0.02%                          |            |      | 27,750     |    |  |
|                                                        |  | Futurescontracts purchased(0.46)%                   |            |      | (671,770   | )  |  |
|     TotalLivestock(0.44)%               |  |                                                |            |      | (644,020   | )  |  |
|                                                        |  |                                                |            |      |       |    |  |
| Metals                                                      |  |
|                                                        |  | Futurescontracts purchased1.40%                     |            |      | 2,028,135  |    |  |
|                                                        |  |                                                |            |      |       |    |  |
|                                                        |  | Unrealizeddepreciation on forward contracts(0.02)%  |            |      | (27,609    | )  |  |
|                                                        |  | Unrealizedappreciation on forward contracts1.64%    |            |      | 2,382,381  |    |  |
|                                                        |  |     Totalforward contracts1.62% |            |      | 2,354,772  |    |  |
|     TotalMetals3.02%                    |  |                                                |            |      | 4,382,907  |    |  |
|                                                        |  |                                                |            |      |       |    |  |
| Softs                                                       |  |
|                                                        |  | Futurescontracts sold(0.15)%                        |            |      | (212,200   | )  |  |
|                                                        |  | Futurescontracts purchased(0.59)%                   |            |      | (854,280   | )  |  |
| TotalSofts(0.74)%                                           |  |                                                |            |      | (1,066,480 | )  |  |
|                                                        |  |                                                |            |      |       |    |  |
| Indices                                                     |  |
|                                                        |  | Futurescontracts sold(0.85)%                        |            |      | (1,230,359 | )  |  |
|                                                        |  | Futurescontracts purchased0.61%                     |            |      | 881,135    |    |  |
| TotalIndices(0.24)%                                         |  |                                                |            |      | (349,224   | )  |  |
| TotalFair Value9.08%                                        |  | $                                                   | 13,173,520 |      |            |
|                                                             |

|                    |  |                          |            |                             |  |        |        |          |  |  |
|--------------------|--|--------------------------|------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | % ofInvestmentsat FairValue |
| Australia          |  | $                        | (106,707   | )                      |  |   | (0.81  | )%  |
| Canada             |  |                     | 90,406     |                        |  |   | 0.69   |     |
| Germany            |  |                     | 468,304    |                        |  |   | 3.55   |     |
| Japan              |  |                     | (1,350,542 | )                      |  |   | (10.25 | )   |
| UnitedKingdom      |  |                     | 2,351,597  |                        |  |   | 17.85  |     |
| UnitedStates       |  |                     | 11,720,462 |                        |  |   | 88.97  |     |
|               |  | $                        | 13,173,520 |                        |  |   | 100.00 | %   |
|                    |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' capital unless otherwiseindicated. |

See accompanying notes tofinancial statements.

F-17

----

JWH Strategic Allocation Master FundLLCStatements of Income and Expensesfor the years endedDecember 31, 2004, 2003 and2002

|                                                         |  |        |            |        |  |        |           |        |  |        |
|---------------------------------------------------------|--|--------|------------|--------|--|--------|-----------|--------|--|--------|
|                                                    |  | 2004   |            | 2003   |  | 2002   |
| Income:                                                 |  |   |       |   |  |   |      |   |  |   |   |   |
| Netgains on trading of commodityinterests:              |  |   |       |   |  |   |      |   |  |   |   |   |
| Realizedgains on closed positions and foreigncurrencies |  | $      | 30,114,264 |   |  | $      | 1,507,963 |   |  | $      | 29,185,102 |   |
| Changein unrealized gains on openpositions              |  |   | 13,762,492 |   |  |   | 3,778,565 |   |  |   | 4,002,309 |   |
|                                                    |  |   | 43,876,756 |   |  |   | 5,286,528 |   |  |   | 33,187,411 |   |
| Interestincome                                          |  |   | 2,057,684  |   |  |   | 1,160,948 |   |  |   | 1,213,624 |   |
|                                                    |  |   | 45,934,440 |   |  |   | 6,447,476 |   |  |   | 34,401,035 |   |
|                                                    |  |   |       |   |  |   |      |   |  |   |   |   |
| Expenses:                                               |  |   |       |   |  |   |      |   |  |   |   |   |
| Clearingfees                                            |  |   | 491,209    |   |  |   | 438,351   |   |  |   | 220,446 |   |
| Professionalfees                                        |  |   | 60,000     |   |  |   | 60,000    |   |  |   | 50,000 |   |
|                                                    |  |   | 551,209    |   |  |   | 498,351   |   |  |   | 270,446 |   |
| Netincome                                               |  | $      | 45,383,231 |   |  | $      | 5,949,125 |   |  | $      | 34,130,589 |   |
|                                                    |  |   |       |   |  |   |      |   |  |   |   |   |
| Netincome per Unit of Member Interest (Notes 1 and6)    |  | $      | 368.39     |   |  | $      | 202.70    |   |  | $      | 462.09 |   |
|                                                         |

Seeaccompanying notes to financial statements.

F-18

----

JWH Strategic Allocation Master FundLLCStatement of Changes in Members' Capitalfor theyears ended December 31, 2004, 2003 and2002

|                                                     |  |                 |             |         |  |  |
|-----------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                                |  | Members'Capital |
| Members'capital at December 31, 2001                |  | $               | 93,677,938  |    |
| NetIncome                                           |  |            | 34,130,589  |    |
| Sale of 3,545.8883 Unitsof Members'Interest         |  |            | 4,638,927   |    |
| Redemption of 32,455.5083Units of Members'Interests |  |            | (40,774,415 | )  |
| Distribution ofinterest to feederfunds              |  |            | (1,213,624  | )  |
| Members'capital at December 31, 2002                |  |            | 90,459,415  |    |
| NetIncome                                           |  |            | 5,949,125   |    |
| Sale of 33,577.0811 Unitsof Members'Interest        |  |            | 63,340,545  |    |
| Redemption of 7,806.0512Units of Members'Interests  |  |            | (13,511,520 | )  |
| Distribution ofinterest to feederfunds              |  |            | (1,160,948  | )  |
| Members'capital at December 31, 2003                |  |            | 145,076,617 |    |
| NetIncome                                           |  |            | 45,383,231  |    |
| Sale of 40,227.5910 Unitsof Members'Interest        |  |            | 64,674,000  |    |
| Redemption of14,531.4863 Units of Members'Interests |  |            | (25,746,115 | )  |
| Distribution ofinterest to feederfunds              |  |            | (2,057,684  | )  |
| Members'capital at December 31,2004                 |  | $               | 227,330,049 |    |
|                                                     |

|                         |  |   |          |        |  |  |
|-------------------------|--|---|----------|--------|--|--|
| NetAsset Value perUnit: |
|                    |  |
| 2002                    |  | $ | 1,491.15 |   |
| 2003                    |  | $ | 1,678.44 |   |
| 2004                    |  | $ | 2,027.35 |   |
|                         |

Seeaccompanying notes to financial statements.

F-19

----

JWH Strategic Allocation Master FundLLCStatements of Cash Flowsfor the years endedDecember31, 2004, 2003 and 2002

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2004   |             | 2003    |  | 2002   |
| Cashflows from operating activities:                                                             |  |   |        |    |  |
| Netincome                                                                                        |  | $      | 45,383,231  |    |  | $      | 5,949,125   |    |  | $      | 34,130,589  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |
| Changes inoperating assets and liabilities:                                                      |  |
| (Increase)decrease in restrictedcash                                                             |  |   | (20,300,101 | )  |  |   | (16,808,433 | )  |  |   | (1,295,973  | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions          |  |   | (1,339,486  | )  |  |   | 3,067,444   |    |  |   | (4,774,849  | )  |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |   | (16,395,964 | )  |  |   | (5,967,663  | )  |  |   | (1,905,400  | )  |
| (Increase)decrease in interestreceivable                                                         |  |   | (230,431    | )  |  |   | 3,762       |    |  |   | (76,955     | )  |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | 3,972,958   |    |  |   | (878,346    | )  |  |   | 2,677,940   |    |
| Accruedexpenses:                                                                                 |  |
| Increase (decrease) in professionalfees                                                          |  |   | 39,147      |    |  |   | 28,582      |    |  |   | 2,823       |    |
| Increase(decrease) in distributionpayable                                                        |  |   | 230,431     |    |  |   | (3,762      | )  |  |   | 76,955      |    |
| Netcash provided by (used in) operatingactivities                                                |  |   | 11,359,785  |    |  |   | (14,609,291 | )  |  |   | 28,835,130  |    |
| Cashflows from financing activities:                                                             |  |
| Proceedsfromadditions                                                                            |  |   | 64,674,000  |    |  |   | 63,340,545  |    |  |   | 4,638,927   |    |
| Paymentforredemptions                                                                            |  |   | (25,746,115 | )  |  |   | (13,511,520 | )  |  |   | (40,774,415 | )  |
| Distributionof interest to feederfunds                                                           |  |   | (2,057,684  | )  |  |   | (1,160,948  | )  |  |   | (1,213,624  | )  |
| Netcash provided by (used in) financingactivities                                                |  |   | 36,870,201  |    |  |   | 48,668,077  |    |  |   | (37,349,112 | )  |
| Netchange incash                                                                                 |  |   | 48,229,986  |    |  |   | 34,058,786  |    |  |   | (8,513,982  | )  |
| Unrestrictedcash, at beginning ofyear                                                            |  |   | 100,126,757 |    |  |   | 66,067,971  |    |  |   | 74,581,953  |    |
| Unrestrictedcash, at end ofyear                                                                  |  | $      | 148,356,743 |    |  | $      | 100,126,757 |    |  | $      | 66,067,971  |    |
|                                                                                             |  |   |        |    |  |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-20

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

1.    General:

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

Effective January26, 2001, Shearson Mid-West Futures Fund("Mid-West") and Smith Barney Mid-WestFutures Fund L.P. II ("Mid-West II")allocated substantially all of their capital to the Master. With thiscash, Mid-West and Mid-West II purchased a total of 74,020.3930 Unitsof the Master with a fair value of $74,020,393. The Master was formedto permit commodity pools managed now or in the future by John W. Henry& Company, Inc. (the "Advisor") using theStrategic Allocation Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master operatesunder a "master/feeder fund" structure whereits investors consist of Mid-West, Mid-West II, The Aspetuck Fund L.P.,The Saugatuck Fund L.P., JWH Global Strategies Limited and SSBDiversified 2000 Fund L.P. (each a "Member",collectively the "Feeder Funds") with11.69%, 11.82%, 4.79%, 13.40%,46.09% and 12.21% investment in the Master at December31, 2004 and with 17.84%, 18.11%, 5.91%,21.06%, 18.13% and 18.95% investments in theMaster at December 31, 2003 and with 29.68%, 31.19%,6.17%, 30.76%, 2.20%, and 0% investments inthe Master at December 31, 2002.

Citigroup Managed Futures LLC,formerly Smith Barney Futures Management LLC, acts as the managingmember (the "Managing Member") of the Master.The Managing Member administers the business affairs of the Masterincluding selecting one or more advisors to make trading decisions forthe Master. The Master's commodity broker is Citigroup GlobalMarkets Inc. ("CGM"), formerly Salomon SmithBarney Inc. CGM is an affiliate of the Managing Member. The ManagingMember is wholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup").

2.    AccountingPolicies:

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

|          |                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income and expenses and realized andunrealized gains and losses on trading of commodity interests aredetermined on each valuation day and are allocated pro rata among theFeeder Funds at the time of such determination. Income taxes have notbeen provided as each member is individually liable for the taxes, ifany, on their share of the Master's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, disclosureof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates. |

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

F-21

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

3.    Agreements:

|          |                            |
|----------|----------------------------|
| a.  | Managing Member Agreement: |

TheManaging Member administers the business affairs of the Master.

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Managing Member, on behalf of the Master, hasentered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is not affiliated with theManaging Member or CGM and is not responsible for the organization oroperation of the Master. The Management Agreement provides that theAdvisor has sole discretion in determining the investment of the assetsof the Master allocated to it by the Managing Member. All managementfees in connection with the Management Agreement are borne by theFeeder Funds. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a Customer Agreementwith CGM whereby CGM provides services which include, among the otherthings, the execution of transactions for the Master's account inaccordance with orders placed by the Advisor. All exchange, clearing,user, give-up, floor brokerage and National Futures Association feesare borne by the Master. All other fees including CGM direct brokeragecommission shall be borne by the Feeder Funds. All of theMaster's assets are deposited in the Master's account atCGM. The Master's cash is deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. At December 31, 2004 and 2003, the amount of cash held bythe Master for margin requirements was $52,152,846 and $31,852,745,respectively. The Customer Agreement between the Master and CGM givesthe Master the legal right to net unrealized gains and losses. TheCustomer Agreement may be terminated upon notice by either party. |

4.    Trading Activities:

The Master was formed for thepurpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The results of the Master's trading activities areshown in the statements of income and expenses.

All of thecommodity interests owned by the Master are held for trading purposes.The average fair value for the years ended December 31, 2004 and 2003,based on a monthly calculation, was $7,166,273 and $7,057,885,respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the Managing Member and at such time as the ManagingMember may decide. A Member may require the Master to redeem theirUnits at their Net Asset Value as of the last day of each month. TheManaging Member, in its sole discretion, may permit redemptions morefrequently than monthly.

F-22

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member interest for theyears ended December 31, 2004, 2003 and 2002 were asfollows:

|                                           |  |        |          |          |  |        |          |          |  |        |          |          |  |  |  |  |  |  |  |  |  |  |
|-------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|--|--|--|--|--|--|--|--|
|                                      |  | 2004   |          | 2003     |  | 2002   |          |
| Netrealized and unrealizedgains*          |  | $      | 349.49   |     |  | $      | 188.13   |     |  | $      | 446.04   |     |  |
| Interestincome                            |  |   | 19.48    |     |  |   | 15.41    |     |  |   | 16.76    |     |  |
| Expenses**                                |  |   | (0.58    | )   |  |   | (0.84    | )   |  |   | (0.71    | )   |  |
| Increaseforperiod                         |  |   | 368.39   |     |  |   | 202.70   |     |  |   | 462.09   |     |  |
| Distributions                             |  |   | (19.48   | )   |  |   | (15.41   | )   |  |   | (16.76   | )   |  |
| Netasset value per Unit, beginning ofyear |  |   | 1,678.44 |     |  |   | 1,491.15 |     |  |   | 1,045.82 |     |  |
| Netasset value per Unit, end ofyear       |  | $      | 2,027.35 |     |  | $      | 1,678.44 |     |  | $      | 1,491.15 |     |  |
| Ratioto average net assets***             |  |
| Netinvestmentincome****                   |  |   | 0.9      | %   |  |   | 0.5      | %   |  |   | 0.3      | %   |  |
| Operatingexpenses                         |  |   | (0.3     | )%  |  |   | (0.4     | )%  |  |   | (0.3     | )%  |  |
| Totalreturn                               |  |   | 21.9     | %   |  |   | 13.6     | %   |  |   | 44.2     | %   |  |
|                                           |

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

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

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

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

7.    Financial Instrument Risks:

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

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Master's risk of loss in the event of counterparty default istypically limited to the amounts recognized in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Master has concentration risk becausethe sole counterparty or broker with respect to the Master'sassets is CGM.

F-23

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

The Managing Member monitors and controlsthe Master's risk exposure on a daily basis through financial,credit and risk management monitoring systems and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Master is subject. These monitoringsystems allow the Managing Member to statistically analyze actualtrading results with risk adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions.

The majority of these instruments mature within oneyear of December 31, 2004. However, due to the nature of theMaster's business, these instruments may not be held tomaturity.

F-24

----

Selectedunaudited quarterly financial data for the Master for the years endedDecember 31, 2004 and 2003 are summarizedbelow:

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |             |         |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|-------------|---------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 65,465,161 |                                                  |  | $                                                 | 13,041,842 |                                                 |  | $ | (44,742,215 | )  |  | $ | 11,678,443 |   |
| NetIncome(loss)                                                                                                      |  | $                                                      | 65,450,161 |                                                  |  | $                                                 | 13,026,842 |                                                 |  | $ | (44,757,215 | )  |  | $ | 11,663,443 |   |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 559.94     |                                                  |  | $                                                 | 121.55     |                                                 |  | $ | (445.46     | )  |  | $ | 132.36     |   |
|                                                                                                                      |

|                                                                                                                    |  |                                                        |           |                                                       |  |                                                   |            |                                                      |  |   |            |         |  |   |            |        |  |  |
|--------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|---------|--|---|------------|--------|--|--|
|                                                                                                               |  | Forthe period from October 1, 2003 to December 31,2003 |           | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |            | For the period from January 1, 2003 to March31, 2003 |
| Net realized and unrealized trading gainsnet (loss) of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 5,054,902 |                                                  |  | $                                                 | (8,879,506 | )                                               |  | $ | (6,518,834 | )  |  | $ | 16,352,563 |   |
| NetIncome(loss)                                                                                                    |  | $                                                      | 5,039,902 |                                                  |  | $                                                 | (8,894,506 | )                                               |  | $ | (6,533,834 | )  |  | $ | 16,337,563 |   |
| Increase(decrease) in Net Asset Value perUnit                                                                      |  | $                                                      | 67.20     |                                                  |  | $                                                 | (102.73    | )                                               |  | $ | (25.93     | )  |  | $ | 264.16     |   |
|                                                                                                                    |

F-25

----

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

None.

Item 9A.    Controls andProcedures

Based on their evaluation of thePartnership's disclosure controls and procedures as of year endthe President and Chief Financial Officer of the General Partner haveconcluded that such controls and procedures are effective.

Therewere no significant changes in the Partnership's internalcontrols or in other factors that could significantly affect suchcontrols subsequent to the date of their evaluation as of year end.

PART III

Item 10.    Directors and ExecutiveOfficers of the Registrant.

The Partnership has noofficers or directors and its affairs are managed by its GeneralPartner, Citigroup Managed Futures LLC. Investment decisions are madeby John W. Henry & Company, Inc. (the"Advisor").

The Partnership has notadopted a code of ethics that applies to officers because it has noofficers.

Item 11.    Executive Compensation.

The Partnership has no directors or officers. Its affairs aremanaged by Citigroup Managed Futures LLC, its General Partner, whichreceives compensation for its services, as set forth under"Item 1. Business." CGM, an affiliate of theGeneral Partner, is the commodity broker for the Partnership andreceives brokerage commissions for such services, as described under"Item 1. Business." During the yearended December 31, 2004, CGM earned $1,430,404 in brokerage commissionsand clearing fees. The Advisor earned $473,866 in management feesduring 2004. The General Partner earned $236,934 in administrative feesduring 2004.

Item 12.    Security Ownership of CertainBeneficial Owners and Management.

(a)    Securityownership of certain beneficial owners. The Partnership knows ofno person who beneficially owns more than 5% of the RedeemableUnits outstanding.

(b)    Security ownership ofmanagement. Under the terms of the Limited Partnership Agreement,the Partnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 40.4850 (0.5%) Redeemable Units of Limited PartnershipInterest as of December 31, 2004.

(c)    Changes incontrol. None.

Item 13.    Certain Relationships andRelated Transactions.

Citigroup Global Markets Inc. andCitigroup Managed Futures LLC, would be considered promoters forpurposes of item 404(d) of Regulation S-K. The nature and the amountsof compensation each promoter will receive from the Partnership are setforth under "Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

23

----

Item 14.    Principal AccountantFees and Services

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

2004                $9,390

2003                $11,005

(2)    Audit-Related Fees. None

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

2004                $5,136

2003                $4,809

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

PART IV

Item 15.    Exhibits, Financial Statement Schedules, andReports on Form 8-K.

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

Statements ofFinancial Condition at December 31, 2004 and 2003.

Condensed Schedules of Investments at December 31, 2004 and2003.

Statements of Income and Expenses for the yearsended December 31, 2004, 2003 and 2002.

Statements ofChanges in Partners' Capital for the years ended December 31,2004, 2003 and 2002.

Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002.

Notes toFinancial Statements.

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

3.1 – Certificate of Limited Partnership (previouslyfiled).

3.2 – Limited Partnership Agreement(previously filed).

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

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

10.3 – Form of SubscriptionAgreement (previously filed).

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

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

24

----

10.6 – Letter extendingManagement Agreement with John W. Henry & Company, Inc. for 1998(previously filed).

10.7 – Letter extendingManagement Agreement with John W. Henry & Company, Inc. for 1999(previously filed).

10.8 – Letter extendingManagement Agreement with John W. Henry & company, Inc. for 2000(previously filed).

10.9 – Letter extendingManagement Agreement with John W. Henry & Company, Inc. for 2001(previously filed).

10.10 – Letter extendingManagement Agreement with John W. Henry & Company, Inc. for 2002(previously filed).

10.11 – Letter extendingManagement Agreement with John W. Henry & Company, Inc. for2003(previously herein).

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

16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed).

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

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

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

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

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

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

25

----

Supplemental Information To Be FurnishedWith Reports Filed Pursuant To Section 15(d) Of The Act by RegistrantsWhich Have Not Registered Securities Pursuant To Section 12 Of theAct.

Annual Report to Limited Partners

No proxymaterial has been sent to LimitedPartners.

26

----

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 31st day of March 2005.

ShearsonMid West Futures Fund

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

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

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

|                              |  |                       |  |  |  |  |
|------------------------------|--|-----------------------|--|--|--|--|
| /s/ David J. Vogel           |  | /s/ ShelleyUllman     |
| David J. Vogel               |  | ShelleyUllman         |
| Director, PrincipalExecutive |  | Director              |
| Officer andPresident         |  |                  |
| /s/Maureen O'Toole           |  | /s/ Steven J.Keltz    |
| Maureen O'Toole              |  | Steven J.Keltz        |
| Director                     |  | Secretary andDirector |
| /s/ Daniel R.McAuliffe, Jr.  |  |                  |
| Daniel R. McAuliffe,Jr.      |  |                  |
| Chief Financial Officerand   |  |                  |
| Director                     |  |                  |
|                              |

27

----