UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 1996

Commission File Number 0-24280

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

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

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

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

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

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

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

                                    Yes   X    No

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


<PAGE>



                                    PART i

Item 1. Business.

                  (a)  General  development  of  business.  Shearson  Mid-  West
Futures Fund (the  "Partnership") is a limited  partnership  organized on August
21, 1991 under the  partnership  laws of the State of New York. The  Partnership
commenced  trading  operations on December 2, 1991. The  Partnership  engages in
speculative trading of a diversified  portfolio of commodity interests including
futures contracts,  options and forward contracts.  The commodity interests that
are traded by the  Partnership  are volatile and involve a high degree of market
risk.  Between  September 26, 1991 and December 2, 1991,  2,000 Units of limited
partnership interest ("Units") were sold at $1,000 per Unit. The proceeds of the
offering were held in an escrow  account  until  December 2, 1991, at which time
they were turned over to the Partnership  for trading.  Sales and redemptions of
Units and general  partner  contributions  and  redemptions  for the years ended
December 31, 1996,  1995 and 1994 are  reported in the  Statements  of Partners'
Capital on page F-5 under "Item 8.
Financial Statements and Supplementary Data."
       The  Partnership  will be  liquidated  upon  the  first  to  occur of the
following:  December 31, 2011;  if the Net Asset Value per Unit falls below $350
as of the end of business on any business day or upon the earlier  occurrence of
certain other  circumstances set forth in the Limited  Partnership  Agreement of
the Partnership (the "Limited Partnership Agreement").
      The Partnership's trading of futures contracts on commodities

                                      2

<PAGE>



is done on United  States and foreign  commodity  exchanges.  It engages in such
trading  through a commodity  brokerage  account  maintained  with its commodity
broker, Smith Barney Inc. ("SB").
      Smith Barney  Futures  Management  Inc.  acts as the general  partner (the
"General  Partner")  of the  Partnership.  SB is an  affiliate  of  the  General
Partner.
      Under the Limited  Partnership  Agreement,  the  General  Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The  General  Partner  administers  the  business  and affairs of the
Partnership  including  selecting one or more advisors to make trading decisions
for the  Partnership.  The  Partnership  will pay the General  Partner a monthly
administrative  fee in return for its services to the Partnership  equal to 1/12
of 1% (1% per year) of month-end Net Assets of the Partnership.  This fee may be
increased or decreased at the discretion of the General Partner.
      The  General  Partner  has  entered  into  a  management   agreement  (the
"Management  Agreement") with John W. Henry & Company,  Inc. (the "Advisor") who
will make all commodity  trading  decisions for the Partnership.  The Advisor is
not affiliated  with the General  Partner or SB. The Advisor is not  responsible
for the organization or operation of the Partnership.
      Pursuant to the terms of the  Management  Agreement,  the  Partnership  is
obligated to pay the Advisor a monthly management fee equal to 1/3 of 1% (4% per
year) of Net Assets allocated to the

                                      3

<PAGE>



Advisor as of the end of the month and an incentive fee payable quarterly of 15%
of New Trading Profits of the Partnership.
       The Customer  Agreement  between the  Partnership  and SB (the  "Customer
Agreement")  provides that the Partnership pays SB a monthly brokerage fee equal
to 1/2 of 1% of  month-end  Net  Assets  (6% per  year),  in  lieu of  brokerage
commissions on a per trade basis. SB pays a portion of its brokerage fees to its
financial  consultants who have sold Units.  The  Partnership  pays for National
Futures  Association  ("NFA") fees, exchange and clearing fees, give-up and user
fees and floor brokerage  fees.  Brokerage fees will be paid for the life of the
Partnership,  although the rate at which such fees are paid may be changed.  The
Customer  Agreement  between the  Partnership  and SB gives the  partnership the
legal right to net unrealized  gains and losses.  The Customer  Agreement may be
terminated by either party.
      In addition,  SB pays the Partnership interest on 80% of the average daily
equity  maintained in cash in its account during each month at the rate equal to
the average  noncompetitive  yield of 13- week U.S. Treasury Bills as determined
at the weekly auctions thereof during the month.
      (b) Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's net income (loss) from operations for the years ended December 31,
1996,  1995,  1994,  1993 and 1992 is set forth under "Item 6. Select  Financial
Data."

                                      4

<PAGE>



The Partnership capital as of December 31, 1996 was $62,075,305.
      (c) Narrative description of business.
      See Paragraphs (a) and (b) above.
      (i) through (x) - Not applicable.
      (xi) through (xii) - Not applicable.
      (xiii) - The Partnership has no employees.
      (d) Financial Information About Foreign and Domestic
Operations and Export Sales.  The Partnership does not engage in
sales of goods or services, and therefore this item is not
applicable.
Item 2. Properties.
      The Partnership does not own or lease any properties.  The General Partner
operates out of facilities provided by its affiliate, SB.
Item 3. Legal Proceedings.
      There are no pending legal proceedings to which the Partnership is a party
or to  which  any of its  assets  is  subject.  No  material  legal  proceedings
affecting the Partnership were terminated during the fiscal year. 
Item 4. Submission of Matters to a Vote of Security Holders.
      There were no matters  submitted to the security holders for a vote during
the last fiscal year covered by this report.


                                      5

<PAGE>



                                    PART II
Item 5.    Market for Registrant's Common Equity and Related Security
           Holder Matters.
           (a)  Market Information.  The Partnership has issued no
                stock.  There is no established public trading market
                for the Units of Limited Partnership Interest.
           (b)  Holders. The number of holders of Units of Partnership
                Interest as of December 31, 1996 was 723.
           (c)  Distribution.  The Partnership did not declare a
                distribution in 1996.


                                      6

<PAGE>



Item 6. Select Financial Data.  Realized and unrealized  trading gains (losses),
interest  income,  net income (loss) and increase  (decrease) in net asset value
per Unit for the years ended December 31, 1996,  1995,  1994,  1993 and 1992 and
total assets at December 31, 1996, 1995, 1994, 1993 and 1992 were as follows:
<TABLE>
<CAPTION>

                                              1996             1995            1994            1993             1992
                                          ------------     ------------    ------------     -----------     -----------
<S>                                            <C>              <C>             <C>              <C>             <C>

Realized and unrealized trading gains 
 (losses) net of brokerage  commissions 
 and clearing fees of $3,740,843, 
 $3,830,022, $3,955,870, $2,488,783 and
 $157,437, respectively.                  $17,066,887      $20,679,606     $(3,231,417)    $ 9,286,505       $  115,703

Interest income                             2,245,474        2,649,301       2,157,483         953,307           70,405
                                          ------------     ------------    ------------    ------------      ----------

                                          $19,312,361      $23,328,907     $(1,073,934)    $10,239,812       $  186,108
                                          ============     ============    ============    ============      ==========

Net Income (loss)                         $14,323,795      $19,082,887     $(5,208,500)    $ 7,091,500       $  (32,096)
                                          ============     ============    ============    ============      ===========

Increase (decrease) in net
 asset value per unit                         $487.33          $484.87        $(126.73)        $417.41           $49.03
                                              ========         ========       =========        ========          ======

Total assets                              $69,175,823      $58,773,443     $55,730,378     $67,360,836       $7,595,910
                                          ============     ============    ============    ============      ==========

</TABLE>



                                            7

<PAGE>



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


                                      8

<PAGE>



           (4) The Partnership  does not employ the trading  technique  commonly
known as  "pyramiding",  in which the  speculator  uses  unrealized  profits  on
existing  positions as margin for the purchases or sale of additional  positions
in the same or related commodities.
           (5) The Partnership  does not utilize  borrowings  except  short-term
borrowings if the Partnership takes delivery of any cash commodities.
           (6) The Advisor may,  from time to time,  employ  trading  strategies
such as spreads or straddles on behalf of the Partnership.  The term "spread" or
"straddle"   describes  a  commodity  futures  trading  strategy  involving  the
simultaneous  buying and selling of futures  contracts on the same commodity but
involving different delivery dates or markets and in which the trader expects to
earn a profit from a widening or narrowing of the difference  between the prices
of the contracts.
           The Partnership is party to financial  instruments  with  off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments,  in the normal course of its business.  These financial instruments
include forwards,  futures and options,  whose value is based upon an underlying
asset,  index, or reference rate, and generally  represent future commitments to
exchange  currencies  or cash  flows,  or to  purchase  or sell other  financial
instruments  at  specified  terms  at  specified  futures  dates.  Each of these
instruments  is subject  to  various  risks  similar  to those  relating  to the
underlying financial  instruments  including market and credit risk. The General
Partner monitors

                                      9

<PAGE>



and controls the Partnership  risk exposure on a daily basis through  financial,
credit and risk management  monitoring systems and, accordingly believes that it
has effective procedures for evaluating and limiting the credit and market risks
to which the Partnership is subject.  (See also Item 8. Financial  Statement and
Supplementary  Data,  for  further  information  on  financial  instrument  risk
included in the notes to financial statements). Other than the risks inherent in
commodity  futures  trading,  the  Partnership  knows  of  no  trends,  demands,
commitments,  events  or  uncertainties  which  will  result  in  or  which  are
reasonably  likely  to  result  in the  Partnership's  liquidity  increasing  or
decreasing in any material way. The Limited Partnership  Agreement provides that
the General  Partner  may, at its  discretion,  cause the  Partnership  to cease
trading operations and liquidate all open positions under certain  circumstances
including  a  decrease  in Net Asset  Value per Unit to less than $350 as of the
close of business on any business day.
           (b)   Capital resources.  (i) The Partnership has made no
material commitments for capital expenditures.
           (ii) The Partnership's  capital consists of the capital contributions
of the  partners  as  increased  or  decreased  by gains or losses on  commodity
futures  trading and by  expenses,  interest  income,  redemptions  of Units and
distributions of profits,  if any. Gains or losses on commodity  futures trading
cannot be predicted.  Market moves in commodities are dependent upon fundamental
and technical  factors which the Partnership may or may not be able to identify.
Partnership expenses will consist of, among other

                                      10

<PAGE>



things,  commissions,  and  incentive  fees.  The  level  of these  expenses  is
dependent  upon the level of trading  and the ability of the Advisor to identify
and take advantage of price movements in the commodity  markets,  in addition to
the level of Net Assets maintained.  In addition,  the amount of interest income
payable by SB is dependent upon interest rates over which the Partnership has no
control.
                For the year ended  December  31,  1996,  4,618.7813  Units were
redeemed totaling $9,644,974.  For the year ended December 31, 1995,  8,609.1486
Units were redeemed  totaling  $15,328,847  which  includes the General  Partner
redemption  representing 149 Unit equivalents  totaling  $271,554.  For the year
ended  December 31, 1994,  5,084.5320  Units were redeemed  totaling  $7,319,326
which  includes  the  General  Partner  redemption   representing   3.8534  Unit
equivalents totaling $5,000.
                Units of Limited  Partnership  Interest were sold to persons and
entities who are accredited  investors as that term is defined in rule 501(a) of
Regulation D as well as to those  persons who are not  accredited  investors but
who have either a net worth  (exclusive  of home,  furnishings  and  automobile)
either  individually  or jointly  with the  investor's  spouse of at least three
times his  investment in the  Partnership  (the minimum  investment for which is
$50,000) or gross income for the two previous  years and projected  gross income
for the current  fiscal year of not less than three times his  investment in the
Partnership for each year.
           (c)  Results of Operations.  For the year ended December
31, 1996 the Net Asset Value Per Unit increased 26.7% from

                                      11

<PAGE>



$1,822.51 to $2,309.84. For the year ended December 31, 1995 the Net Asset Value
Per Unit  increased  36.2%  from  $1,337.64  to  $1,822.51.  For the year  ended
December 31, 1994, the Net Asset Value per Unit decreased 8.7% from $1,464.37 to
$1,337.64.
                The  Partnership  experienced  net trading gains of  $20,807,730
before  commissions  and  expenses for the year ended  December 31, 1996.  These
gains were  recognized in the trading of currency,  precious metals and interest
rate futures contracts.  These gains were partially offset by losses incurred in
the trading of commodity futures in indices.
                The  Partnership  experienced  net trading gains of  $24,509,628
before  commissions and expenses for the year ended December 31, 1995.  Realized
trading gains of $26,698,849  were recognized in the trading of currency,  stock
index and interest rate futures contracts.  These gains were partially offset by
losses incurred in the trading of commodity futures in precious metals.
                The Partnership experienced net trading gains of $724,453 before
commissions  and  expenses for the period  ended  December  31,  1994.  Realized
trading losses of $878,687 were  attributable  to losses incurred in the trading
of  precious  metals  and stock  index  commodity  futures.  These  losses  were
partially  offset by gains  experienced  in the trading of  financial  commodity
futures.
                Commodity  futures  markets  are highly  volatile.  Broad  price
fluctuations  and rapid  inflation  increase  the risks  involved  in  commodity
trading, but also increase the possibility of profit.

                                      12

<PAGE>



The  profitability  of the  Partnership  depends on the existence of major price
trends and the ability of the Advisor to identify those price trends  correctly.
Price trends are influenced by, among other things,  changing  supply and demand
relationships,   weather,  governmental,   agricultural,  commercial  and  trade
programs and policies,  national and international political and economic events
and changes in interest  rates.  To the extent that market  trends exist and the
Advisor is able to identify them, the  Partnership  expects to increase  capital
through operations.


                                      13

<PAGE>



Item 8.         Financial Statements and Supplementary Data.




                        SHEARSON MID-WEST FUTURES FUND
                         INDEX TO FINANCIAL STATEMENTS



                                                                  Page
                                                                  Number


                Report of Independent Accountants.                  F-2

                Financial Statements:
                Statement of Financial Condition at
                December 31, 1996 and 1995.                         F-3

                Statement of Income and Expenses for
                the years ended December 31, 1996,
                1995 and 1994.                                      F-4

                Statement of Partners' Capital for the
                years ended December 31, 1996, 1995,
                and 1994.                                           F-5

                Notes to Financial Statements.                     F-6 - F-11







                                       F-1

                                    Continued


<PAGE>

                        Report of Independent Accountants

To the Partners of
  Shearson Mid-West Futures Fund:

We have audited the  accompanying  statement of financial  condition of SHEARSON
MID-WEST  FUTURES FUND  (formerly,  SLB Mid-West  Futures Fund L.P.) (a New York
Limited  Partnership)  as of  December  31,  1996  and  1995,  and  the  related
statements  of income and expenses for the years ended  December 31, 1996,  1995
and 1994, and of partners'  capital for the years ended December 31, 1996,  1995
and 1994. These financial statements are the responsibility of the management of
the  General  Partner.  Our  responsibility  is to  express  an opinion on these
financial statements based on our audits.

We  conducted  our  audits  in  accordance  with  generally   accepted  auditing
standards.  Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement.  An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements.  An audit also includes
assessing the accounting  principles used and significant  estimates made by the
management of the General Partner,  as well as evaluating the overall  financial
statement  presentation.  We believe that our audits provide a reasonable  basis
for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material respects,  the financial position of Shearson Mid-West Futures Fund
as of December  31, 1996 and 1995,  and the  results of its  operations  for the
years ended  December 31, 1996,  1995 and 1994,  in  conformity  with  generally
accepted accounting principles.




                                                      Coopers & Lybrand L.L.P.

New York, New York
February 28, 1997

                                      F-2
<PAGE>


                         Shearson Mid-West Futures Fund
                        Statement of Financial Condition
                           December 31, 1996 and 1995


                                                        1996           1995
Assets:
Equity in commodity futures
 trading account:
  Cash and cash equivalents (Note 3c)                $67,722,636     $56,437,296
  Net unrealized appreciation
   on open futures contracts                           1,232,573       2,128,034
                                                     -----------     -----------
                                                      68,955,209      58,565,330
Interest receivable                                      220,614         208,113
                                                     -----------     -----------
                                                     $69,175,823     $58,773,443
                                                     ===========     ===========
Liabilities and Partners' Capital:
Liabilities:
 Accrued expenses:
  Commissions                                        $   345,879     $   293,867
  Management fees                                        229,433         194,932
  Administrative fees                                     57,358          48,733
  Incentive fees                                       1,923,668
  Other                                                   56,280          40,415
 Redemptions payable (Note 5)                          4,487,900         799,012
                                                     -----------     -----------
                                                       7,100,518       1,376,959
                                                     -----------     -----------
Partners' capital (Notes 1, 5, and 6):
 General Partner, 322.1307 Unit
  equivalents outstanding in 1996 and 1995               744,070         587,086
 Limited Partners, 26,552.1832 and
  31,170.9645 Units of Limited
  Partnership Interest outstanding in 1996
  and 1995, respectively                              61,331,235      56,809,398
                                                     -----------     -----------
                                                      62,075,305      57,396,484
                                                     -----------     -----------
                                                     $69,175,823     $58,773,443
                                                     ===========     ===========


See notes to financial statements.

                                      F-3
<PAGE>


                         Shearson Mid-West Futures Fund
                        Statement of Income and Expenses
                               for the years ended
                        December 31, 1996, 1995 and 1994


                                         1996           1995           1994
Income:
 Net gains (losses) on trading of
  commodity interests:
  Realized gains (losses)
   on closed positions               $ 21,703,191   $ 26,698,849   $   (878,687)
  Change in unrealized gains/
   losses on open positions              (895,461)    (2,189,221)     1,603,140
                                     ------------   ------------   ------------
                                       20,807,730     24,509,628        724,453
 Less, Brokerage commissions and
  clearing fees ($56,807, $55,021,
  and $41,784,
  respectively) (Note 3c)              (3,740,843)    (3,830,022)    (3,955,870)
                                     ------------   ------------   ------------
 Net realized and unrealized gains
  (losses)                             17,066,887     20,679,606     (3,231,417)
 Interest income (Note 3c)              2,245,474      2,649,301      2,157,483
                                     ------------   ------------   ------------
                                       19,312,361     23,328,907     (1,073,934)
                                     ------------   ------------   ------------
Expenses:
 Management fees (Note 3b)              2,387,610      2,443,591      2,545,849
 Incentive fees (Note 3b)               1,923,668      1,123,640        883,413
 Administrative fees (Note 3a)            596,902        610,897        636,462
 Other expenses                            80,386         67,892         68,842
                                     ------------   ------------   ------------
                                        4,988,566      4,246,020      4,134,566
                                     ------------   ------------   ------------
Net income (loss)                    $ 14,323,795   $ 19,082,887   $ (5,208,500)
                                     ============   ============   ============
Net income (loss) per Unit of
 Limited Partnership Interest
 and General Partner Unit
 equivalent (Notes 1 and 6)          $     487.33   $     484.87   $    (126.73)
                                     ============   ============   ============



See notes to financial statements.

                                      F-4
<PAGE>


                         Shearson Mid-West Futures Fund
                         Statement of Partners' Capital
                               for the years ended
                        December 31, 1996, 1995, and 1994


                                       Limited         General
                                       Partners        Partner        Total
Partners' capital at
  December 31, 1993                  $ 65,480,359   $    689,911   $ 66,170,270
Net loss                               (5,153,792)       (54,708)    (5,208,500)
Redemption  of 5,080.6786 Units
  of Limited  Partnership Interest
  and General Partner redemption
  representing 3.8534 
  Unit equivalents                     (7,314,326)        (5,000)    (7,319,326)
                                     ------------   ------------   ------------

Partners' capital at
  December 31, 1994                    53,012,241        630,203     53,642,444
Net Income                             18,854,450        228,437     19,082,887
Redemption of 8,460.1486 Units of
  Limited Partnership Interest and
  General Partner redemption
  representing 149 Unit equivalents   (15,057,293)      (271,554)   (15,328,847)
                                     ------------   ------------   ------------
Partners' capital at
  December 31, 1995                    56,809,398        587,086     57,396,484
Net Income                             14,166,811        156,984     14,323,795
Redemption of 4,618.7813 Units of
  Limited Partnership Interest         (9,644,974)                   (9,644,974)
                                     ------------   ------------   ------------
Partners' capital at
  December 31, 1996                  $ 61,331,235   $    744,070   $ 62,075,305
                                     ============   ============   ============


See notes to financial statements.

                                      F-5
<PAGE>


                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements


1. Partnership Organization:

   Shearson  Mid-West  Futures Fund (the  "Partnership"),  formerly SLB Mid-West
   Futures Fund L.P., is a limited partnership which was organized on August 21,
   1991  under  the  partnership  laws of the State of New York to engage in the
   speculative  trading  of  a  diversified  portfolio  of  commodity  interests
   including futures  contracts,  options and forward  contracts.  The commodity
   interests that are traded by the  Partnership are volatile and involve a high
   degree of market risk.

   Smith  Barney  Futures  Management  Inc.  acts as the  general  partner  (the
   "General Partner") of the Partnership. Smith Barney Inc. ("SB"), an affiliate
   of the General  Partner,  acts as commodity  broker for the Partnership  (see
   Note 3c). The General  Partner and each limited  partner share in the profits
   and losses of the  Partnership  in  proportion  to the amount of  partnership
   interest  owned by each  except that no limited  partner  shall be liable for
   obligations of the Partnership in excess of his initial capital  contribution
   and profits, if any, net of distributions.  The Partnership was authorized to
   sell up to 40,000 Units of Limited Partnership  Interest ("Units") during the
   offering period.

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

2. Accounting Policies:

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

                                      F-6
<PAGE>
                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements

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

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

3. Agreements:

   a.Limited Partnership Agreement:

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

   b.Management Agreement:

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

                                      F-7
<PAGE>
                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements

   c.Customer Agreement:

     The Partnership has entered into a Customer Agreement which was assigned to
     SB whereby SB provides  services  which  include,  among other things,  the
     execution of transactions for the Partnership's  account in accordance with
     orders placed by the Advisor. The Partnership is obligated to pay a monthly
     brokerage  fee to SB equal to 1/2 of 1% of  month-end  Net  Assets  (6% per
     year), in lieu of brokerage  commissions on a per trade basis. A portion of
     this fee is paid to employees of SB who have sold Units of the Partnership.
     This  fee  does  not  include  exchange,  clearing,  user,  give-up,  floor
     brokerage and NFA fees which will be borne by the  Partnership.  All of the
     Partnership's assets are deposited in the Partnership's  account at SB. The
     Partnership's  cash is  deposited by SB in  segregated  bank  accounts,  as
     required by Commodity Futures Trading Commission  regulations.  At December
     31,  1996 and 1995,  the  amount of cash held for margin  requirements  was
     $5,420,012  and  $7,230,579,  respectively.  SB will  pay  the  Partnership
     interest  on 80% of the  average  daily  equity  maintained  in cash in its
     account during each month at the rate of the average  non-competitive yield
     of 13-week U.S. Treasury Bills as determined at the weekly auctions thereof
     during the month.  The Customer  Agreement  between the  Partnership and SB
     gives the Partnership  the legal right to net unrealized  gains and losses.
     The Customer Agreement may be terminated by either party.

4. Trading Activities:

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

   All of the commodity  interests owned by the Partnership are held for trading
   purposes.  The fair value of these  commodity  interests,  including  options
   thereon,  at  December 31, 1996  and 1995,  was  $1,232,573  and  $2,128,034,
   respectively and the average fair value during the years then ended, based on
   monthly calculation, was $6,115,369 and $4,656,647, respectively.

5. Distributions and Redemptions:

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

                                      F-8
<PAGE>
                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements

6. Net Asset Value Per Unit:

   Changes in  the net asset  value  per Unit  for the  years ended December 31,
   1996, 1995 and 1994 were as follows:


                           1996        1995        1994
   Net realized and
   unrealized
   gains (losses)       $  580.24   $  526.56   $  (81.54)
   Interest income          74.28       75.44       50.10
   Expenses               (167.19)    (117.13)     (95.29)
                        ---------   ---------   ---------
   Increase
   (decrease) for year     487.33      484.87     (126.73)
   Net asset value
   per Unit,
   beginning of year     1,822.51    1,337.64    1,464.37
                        ---------   ---------   ---------
   Net asset value
   per Unit, 
   end of year          $2,309.84   $1,822.51   $1,337.64
                        =========   =========   =========

7. Financial Instrument Risk:

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

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

                                      F-9
<PAGE>
                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements

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

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

   The notional or contractual amounts of these instruments,  while not recorded
   in  the  financial  statements,  reflect  the  extent  of  the  Partnership's
   involvement  in these  instruments.  At December  31,  1996,  the notional or
   contractual  amounts of the  Partnership's  commitment  to purchase  and sell
   these  instruments  was  $330,829,321  and  $206,505,668,   respectively,  as
   detailed below. All of these  instruments  mature within one year of December
   31, 1996.  However,  due to the nature of the Partnership's  business,  these
   instruments may not be held to maturity. At December 31, 1996, the fair value
   of the Partnership's  derivatives,  including options thereon, was $1,232,573
   as detailed below.

                                      F-10
<PAGE>
                         Shearson Mid-West Futures Fund

                          Notes to Financial Statements

                                 Notional or Contractual
                                  Amount of Commitments
                               To Purchase         To Sell          Fair Value
Currencies
 -OTC Contracts                $ 99,141,055      $ 75,992,123      $    404,909
Interest Rate                   219,258,860        87,845,793          (145,247)
 Non-U.S 
Interest Rate U.S.               12,429,406                 0          (153,281)
Metals                                    0        36,526,210           824,200
Indices                                   0         6,141,542           301,992
                               ------------      ------------      ------------
                               $330,829,321      $206,505,668      $  1,232,573
                               ============      ============      ============

                                      F-11





<PAGE>



Item 9.     Changes in and Disagreements with Accountants on
            Accounting and Financial Disclosure.
            During the last two fiscal years and any subsequent
interim  period,  no  independent  accountant  who was engaged as the  principal
accountant to audit the Partnership's  financial  statements has resigned or was
dismissed.
                                   PART III
Item 10.    Directors and Executive Officers of the Registrant.
            The Partnership has no officers or directors and its
affairs are managed by its General Partner, Smith Barney Futures
Management Inc. Investment decisions are made by John W. Henry &
Company, Inc. (the "Advisor").
Item 11.    Executive Compensation.
            The  Partnership  has no  directors  or  officers.  Its  affairs are
managed by Smith Barney  Futures  Management  Inc., its General  Partner,  which
receives  compensation for its services,  as set forth under "Item 1. Business."
SB, an  affiliate  of the  General  Partner,  is the  commodity  broker  for the
Partnership and receives brokerage  commissions for such services,  as described
under "Item 1.  Business."  During the year ended  December 31, 1996,  SB earned
$3,740,843  in brokerage  commissions  and  clearing  fees.  The Advisor  earned
$2,387,610 in management  fees and $1,923,668 in incentive fees during 1996. The
General Partner earned $596,902 in administrative fees during 1996.


                                      14

<PAGE>



Item 12.    Security Ownership of Certain Beneficial Owners and
            Management.
            (a). Security ownership of certain beneficial owners.
The  Partnership  knows of no person who  beneficially  owns more than 5% of the
Units outstanding.
            (b).  Security  ownership  of  management.  Under  the  terms of the
Limited  Partnership  Agreement,  the  Partnership's  affairs are managed by the
General Partner.  The General Partner owns Units of general partnership interest
equivalent  to  322.1307  (1.2%)  Units of limited  partnership  interest  as of
December 31, 1996.
            (c). Changes in control.  None.
Item 13.    Certain Relationships and Related Transactions.
            Smith Barney Inc. and Smith Barney Futures  Management Inc. would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under "Item 1. Business." and "Item 11. Executive Compensation."

                                    PART IV
Item 14.    Exhibits, Financial Statement Schedules, and Reports on
            Form 8-K.
            (a) (1) Financial Statements:
            Statement of Financial Condition at December 31,
            1996 and 1995.
            Statement of Income and  Expenses  for the years ended  December 31,
            1996,  1995 and 1994.  
            Statement of Partners'  Capital for the years
            ended December 31, 1996, 1995 and 1994.

                                      15

<PAGE>



            (2) Financial Statement Schedules: None
            (3)   Exhibits:
                  3.1 -    Certificate of Limited Partnership
                           (previously filed).
                  3.2 -    Limited Partnership Agreement (previously
                           filed).
                  10.1 -   Management Agreement among the Partnership,
                           the General Partner and John W. Henry &
                           Company, Inc. (previously filed).
                  10.2 -   Customer Agreement between Partnership and
                           Smith Barney Shearson Inc. (previously
                           filed).
                  10.3 -   Form of Subscription Agreement (previously
                           filed).
                  10.4 -   Letter dated February 16, 1995 from General
                           Partner to John W. Henry & Company, Inc.
                           extending Management Agreement (previously
                           filed).
                  (b)  Report on Form 8-K:  None Filed


                                      16

<PAGE>



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




Annual Report to Limited Partners


                                      17

<PAGE>



                                  SIGNATURES

       Pursuant  to  the  requirements  of  the  Securities  Act  of  1933,  the
Registrant  has duly  caused  this  Registration  Statement  to be signed on its
behalf by the undersigned,  thereunto duly  authorized,  in the City of New York
and State of New York on the 24th day of March 1997.

SHEARSON MID-WEST FUTURES FUND L.P.


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



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


       Pursuant  to  the  requirements  of the  Securities  Act  of  1933,  this
Registration  Statement  has been signed below by the  following  persons in the
capacities and on the date indicated.



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



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



/s/  Philip M. Waterman, Jr.              /s/ Daniel R. McAuliffe, Jr.
Philip M. Waterman, Jr.                   Daniel R. McAuliffe, Jr.
Director and Vice-Chairman                Director




/s/ Steve J. Keltz                        /s/   Shelley Ullman
Steve J. Keltz                            Shelley Ullman
Secretary and Director                    Director



                                      18

<PAGE>