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 0-28336

SMITH BARNEY MID-WEST FUTURES FUNDL.P. II

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(Exactname of registrant as specified in its charter)

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| NewYork                                                      |  | 13-3772374                         |
| (State or otherjurisdiction of incorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
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c/o Citigroup Managed Futures LLC399Park Avenue. – 7th Fl. New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

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

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

YesX        No     

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

Indicate by check mark whether the registrant is anaccelerated filer (as defined in Rule 12b-2 of the Act).

Yes             No X

LimitedPartnership Redeemable Units with an aggregate value of $18,808,096were outstanding and held by non-affiliates as of the last business dayof the registrant's most recently completed second fiscalquarter.

As of February 28, 2005, 12,258.2487 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Smith Barney Mid-West Futures Fund L.P. II, (the"Partnership") is a limited partnershiporganized on June 3, 1994 under the partnership laws of the State ofNew York. The Partnership commenced trading operations on September 1,1994. Between July 7, 1994 and August 31, 1994, 9,421 redeemable unitsof Limited Partnership Interest ("RedeemableUnits") were sold at $1,000 per Redeemable Unit. Theproceeds of the initial offering were held in an escrow account untilSeptember 1, 1994, at which time they were turned over to thePartnership for trading. From September 1, 1994 to January 25, 2001,the Partnership engaged directly in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Partnership has investedall of its assets in the JWH Strategic Allocation Master Fund LLC, aNew York Limited Liability Company (the"Master"). Partnership Redeemable Units werebeing continuously offered monthly during the continuous offeringperiod through April 1997. The Partnership was authorized to sell75,000 Redeemable Units. As of June 7, 1999, the Partnership wasauthorized to sell an additional 25,000 Redeemable Units. Sales andredemptions of Redeemable Units and general partner contributions andredemptions for the years ending December 31, 2004, 2003, and 2002 arereported 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 42,510.5077 Units ofthe Master with a fair value of $42,510,508. 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 11.82%and 18.11%, 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 Smith Barney HoldingsInc., 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 primarily on United States of America commodityexchanges and foreign commodity exchanges. It engages in such tradingthrough a commodity brokerage account maintained with CGM.

ThePartnership will be liquidated upon the first to occur of thefollowing: December 31, 2014; if the Net Asset Value per RedeemableUnit falls below $350 per Redeemable Unit as of the end of business onany business day; or upon the earlier occurrence of certain othercircumstances set forth in the Limited Partnership Agreement of thePartnership (the "Limited PartnershipAgreement").

Under the Limited PartnershipAgreement, the General Partner has sole responsibility for theadministration of the business and affairs of the Partnership, but maydelegate 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, 

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as defined in the Limited PartnershipAgreement, prior to the reduction of redemptions and incentive fees.This fee may be increased or decreased at the discretion of the GeneralPartner.

The General Partner has entered into a managementagreement (the "Management Agreement") withthe Advisor, who will make all commodity trading decisions for thePartnership. The Advisor is not affiliated with the General Partner orCGM. The Advisor is not responsible for the organization or operationof the Partnership.

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

The Partnershipis obligated to pay a brokerage fee equal to 1⁄2 of1% (6% per year) on 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. The Customer Agreement between the Master and CGM gives theMaster the legal right to net unrealized gains and losses. BrokerageFees will be paid for the life of the Partnership, although the rate atwhich such fees are paid may be changed.

CGM will pay thePartnership interest on 80% of the average daily equityallocated pro-rata to the Partnership by the Master during each monthat a 30 day U.S. Treasury bill rate determined weekly by CGM based onthe non-competitive yield on 3 month U.S. Treasury bills maturing in 30days from the date in which such weekly rate is determined. TheCustomer Agreement may be terminated upon notice by either party.

(b)    Financial information about industry segments. ThePartnership's business consists of only one segment, speculativetrading of commodity interests. The Partnership does not engage insales of goods or services. The Partnership's net income fromoperations for the years ended December 31, 2004, 2003, 2002, 2001and2000 are set forth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2004 was $26,380,884.

(c)    Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    Financialinformation about geographic areas. The Partnership does notengage in sales of goods or services or own any long lived assets, andtherefore this item is not applicable.

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

Item 2.    Properties.

The Partnership does notown or lease any properties. The General Partner operates out offacilities provided by its affiliate, CGM.

Item3.    Legal Proceedings.

This section describes themajor pending legal proceedings, other than ordinary routine litigationincidental to the business, to which Citigroup Global Markets HoldingsInc. ("CGMHI") or its subsidiaries is a partyor to which any of their property is subject. There are no materiallegal proceedings pending against the Partnership or the GeneralPartner.

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

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

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised CGM that they were orare reviewing transactions in which Ameritech Pension Trust purchasedfrom CGM and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

In April 2000, CGM and several other broker-dealersentered into a settlement with the IRS and the SEC, concluding anindustry-wide investigation into the pricing of Treasury securities inadvanced refunding transactions.

IPO Regulatory Inquiries

Since April 2002, CGM and several other broker dealers have receivedsubpoenas and/or requests for information from various governmental andself-regulatory agencies and Congressional committees as part of theirresearch on IPO allocation inquiries. With respect to issues raised bythe NASD, the NYSE and the SEC about CGM's and other firms'e-mail retention practices, CGM and several other broker/dealers andthe NASD, the NYSE and the SEC entered into a settlement agreement inDecember 2002. CGM agreed to pay a penalty in the amount of $1.65million and did not admit any wrongdoing.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against CGM and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. CGM is not a defendant in any ofthe six focus cases. The underwriter defendants in the focus cases havefiled a petition to the United States Court of Appeals for the SecondCircuit seeking review of this decision.

Also filed in theSouthern District of New York against CGM and other investment bankswere several alleged class actions that were consolidated into a singleclass action alleging violations of certain federal and state antitrustlaws in connection with the allocation of shares in initial publicofferings when acting as underwriters. On November 3, 2003, the courtgranted CGM's motion to dismiss the consolidated amendedcomplaint in the antitrust case. An appeal to the Second Circuit of thedismissal granted to CGM in November 2003 with respect to the antitrustcase relating to the allocation of shares for certain initial publicofferings is pending.

Research Settlement

On April 28,2003, CGM announced final agreements with the SEC, the NASD, the NYSEand the New York Attorney General (as lead state among the 50 states,the District Columbia and Puerto Rico) to resolve on a civil basis allof their outstanding investigations into its research and IPOallocation and 

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distribution practices (the"Research Settlement"). As part of theResearch Settlement, CGM has consented to the entry of (1) aninjunction under the federal securities laws to be entered in theUnited States District Court for the Southern District of New York,barring CGM from violating provisions of the federal securities lawsand related NASD and NYSE rules relating to research, certain IPOallocation practices, the safeguarding of material nonpublicinformation, and the maintenance of required books and records andrequiring CGM to adopt and enforce new restrictions on the operation ofresearch; (2) an NASD Acceptance Waiver and Consent requiring CGM tocease and desist from violations of corresponding NASD rules andrequiring CGM to adopt and enforce the same new restrictions; (3) anNYSE Stipulation and Consent requiring CGM to cease and desist fromviolations of corresponding NYSE rules and requiring CGM to adopt andenforce the same new restrictions; and (4) an Assurance ofDiscontinuance with the New York Attorney General containingsubstantially the same or similar restrictions. The Research Settlementrequires CGM to pay $300 million for retrospective relief, plus $25million for investor education, and commit to spend $75 million toprovide independent third-party research to its clients at no charge.CGM reached these final settlement agreements without admitting ordenying any wrongdoing or liability. The Research Settlement does notestablish wrongdoing or liability for purposes of any other proceeding.The $300 million was accrued during the 2002 fourth quarter.

Toeffectuate the Research Settlement, the SEC filed a Complaint and FinalJudgment in the United States District Court for the Southern Districtof New York. On October 31, 2003, final judgment was entered againstCGM and nine other investment banks. The NASD has accepted the Letterof Acceptance, Waiver and Consent entered into with CGM in connectionwith the Research Settlement. In May 2003, the NYSE advised CGM thatthe Hearing Panel's Decision, in which it accepted the ResearchSettlement, had become final. As required by the Research Settlement,CGM also has entered into separate settlement agreements with numerousstates and certain U.S. territories.

Several individual actionshave been filed against Citigroup and CGM relating to, among otherthings, research on Qwest Communications International, Inc. allegingviolations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup(CGM's ultimate parent) entered into a final settlement agreementwith the SEC to resolve the SEC's outstanding investigations intoCitigroup transactions with Enron Corp. and Dynegy Inc. Pursuant to thesettlement, Citigroup has, among other terms, (1) consented to theentry of an administrative cease and desist order, which bars Citigroupfrom committing or causing violations of provisions of the federalsecurities laws, and (2) agreed to pay $120 million ($101.25 millionallocable to Enron and $18.75 million allocable to Dynegy). Citigroupentered into this settlement without admitting or denying anywrongdoing or liability, and the settlement does not establishwrongdoing or liability for purposes of any other proceeding. On July28, 2003, Citibank, N.A. entered into an agreement with the Office ofthe Comptroller of the Currency ("OCC") andCitigroup entered into an agreement with the Federal Reserve Bank ofNew York ("FED") to resolve their inquiriesinto certain of Citigroup's transactions with Enron. Pursuant tothe agreements, Citibank and Citigroup have agreed to submit plans tothe OCC and FED, respectively, regarding the handling of complexstructured finance transactions. Also on July 28, 2003, Citigroupentered into a settlement agreement with the Manhattan DistrictAttorney's Office to resolve its investigation into certain ofCitigroup's transactions with Enron. Pursuant to that settlement,Citigroup has agreed to pay $25.5 million and to abide by itsagreements with the SEC, OCC and FED.

Enron-Related CivilActions

CGM, Citigroup and various other Citigroup-relatedentities have been named as defendants in over 20 civil lawsuitspending in state and federal courts throughout the United States,alleging claims against Citigroup and CGM based on their dealings withEnron. The majority of these cases have been brought by purchasers andsellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup and/orits affiliates and subsidiaries, among 

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other things, federal securities fraud, statelaw claims of negligent misrepresentation, fraud, breach of fiduciaryduty, aiding and abetting a breach of fiduciary duty and relatedclaims. In most of these lawsuits, Citigroup is named as a co-defendantalong with other investment banks alleged to have had dealings withEnron. The majority of cases pending in the federal courts have been,or are in the process of being, consolidated before a single judge inthe United States District Court for the Southern District of Texas. Inaddition, in five adversary proceedings in the Enron Chapter 11bankruptcy, Enron and, in one case, its co-debtor affiliates andsubsidiaries, and the Official Committee of Unsecured Creditors ofEnron Corp., et al., have named Citigroup and/or its affiliates orsubsidiaries as defendants.

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

Dynegy Inc.

 On June  6, 2003, the complaint in a pre-existingputative class action pending in the United States District Court forthe Southern District of Texas (IN RE: DYNEGY  INC. SECURITIESLITIGATION) brought by purchasers of publicly traded debt and equitysecurities of Dynegy  Inc. was amended to add Citigroup, Citibankand CGMI as defendants. The plaintiffs allege violations of Sections10(b) and 20(a) of the Securities Exchange Act of 1934, as amended,against the Citigroup defendants. The Citigroup defendants filed amotion to dismiss in March  2004, which motion was granted by theDistrict Court in October  2004. The court denied leadplaintiff's request for leave to appeal.

WorldCom-RelatedLitigation

Citigroup, CGM and certain executive officers andcurrent and former employees have been named as defendants —along with twenty-two other investment banks, certain current andformer WorldCom officers and directors, and WorldCom's formerauditors — in a consolidated class action brought on behalf ofindividuals and entities who purchased or acquired publicly tradedsecurities of WorldCom between April 29, 1999 and June 25, 2002 InRe: Worldcom, Inc. Securities Litigation. The class actioncomplaint asserts claims against CGM under (i) Sections 11 and 12(a)(2)of the Securities Act of 1933, as amended, in connection with certainbond offerings in which it served as underwriter, and (ii) Sections10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, andRule 10b-5 promulgated under Section 10(b), alleging that itparticipated in the preparation and/or issuance of misleading WorldComregistration statements and disseminated misleading research reportsconcerning WorldCom stock. In 2003, the district court deniedCGM's motion to dismiss the consolidated class action complaintand granted the plaintiffs' motion for class certification.

Pursuant to an order entered May 28, 2003, the District Courtconsolidated approximately seventy-eight individual actions with theclass action for pretrial proceedings. The claims asserted in theseindividual actions are substantially similar to the claims alleged inthe class action and assert state and federal securities law claimsbased on CGM's research reports concerning WorldCom and/orCGM's role as an underwriter in WorldCom offerings. Plaintiffs incertain of these actions filed motions to remand their cases to statecourt. The District Court denied these motions and its rulings wereupheld on appeal.

Numerous other actions asserting claimsagainst CGM in connection with its research reports about WorldComand/or its role as an investment banker for WorldCom are pending inother federal and state courts around the country. These actions havebeen remanded to various state courts, are pending in other federalcourts, or have been conditionally transferred to the United StatesDistrict Court for the Southern District of New York to be consolidatedwith the class action. In addition to the court suits, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its WorldCom research reports are pending in numerousarbitrations around the country. These actions assert claims that aresubstantially 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.

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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, 

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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.

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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'publication 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.

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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

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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 market for theRedeemable Units of Limited Partnership Interest.

(b)    Holders. The number of holders of Redeemable Unitsof Partnership Interest as of December 31, 2004 was 329.

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

(d)    Use of Proceeds.There were no additional sales of Redeemable Units in the years endedDecember 31, 2004, 2003 and 2002.

Item 6.    SelectedFinancial Data.

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   |
| Realizedand unrealized trading gains (losses) net of expenses allocated fromMaster and brokerage commissions (including clearing fees) of$1,513,848, $1,865,651, $1,967,411, $2,506,228, and $3,096,407,respectively |  | $      | 3,205,518  |   |  | $      | 1,983,308  |   |  | $      | 8,791,282  |   |  | $      | (889,142   | )  |  | $      | (4,945,018 | )  |
| Interestincome                                                                                                                                                                                                       |  |   | 228,372    |   |  |   | 229,309    |   |  |   | 377,817    |   |  |   | 1,122,566  |    |  |   | 2,193,751  |    |
|                                                                                                                                                                                                                 |  | $      | 3,433,890  |   |  | $      | 2,212,617  |   |  | $      | 9,169,099  |   |  | $      | 233,424    |    |  | $      | (2,751,267 | )  |
| Netincome(loss)                                                                                                                                                                                                      |  | $      | 2,654,645  |   |  | $      | 1,115,014  |   |  | $      | 8,196,531  |   |  | $      | (1,014,999 | )  |  | $      | (5,075,829 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                             |  | $      | 205.72     |   |  | $      | 52.86      |   |  | $      | 431.46     |   |  | $      | (43.77     | )  |  | $      | (6.02      | )  |
| **Totalassets**                                                                                                                                                                                                      |  | $      | 26,928,378 |   |  | $      | 26,296,781 |   |  | $      | 28,253,989 |   |  | $      | 37,316,295 |    |  | $      | 45,323,728 |    |
|                                                                                                                                                                                                                      |

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

Overview

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

The General Partner/ManagingMember manages all business of the Partnership/Master. The GeneralPartner has delegated its responsibility for the investment of thePartnership's assets to 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, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

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Responsibilities of the General Partnerinclude:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligence examinations ofthe Advisor; |

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

|              |                                             |
|--------------|---------------------------------------------|
| •  | negotiation of the managementagreement; and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activityof the 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                                             |  |
| •    Original InvestmentProgram                |  |   | 17.5 | %  |
| •    GlobalDiversifiedPortfolio                |  |   | 5 | %  |
| •    JWHGlobalAnalytics® Family ofPrograms |  |   | 10 | %  |
| FinancialPrograms                                                       |  |   |   |   |
| •    Financialand MetalsPortfolio              |  |   | 20 | %  |
| •    GlobalFinancial & EnergyPortfolio     |  |   | 15 | %  |
| •    WorldwideBondProgram                      |  |   | 5 | %  |
| MultipleStylePrograms                                                   |  |   |   |   |
| •    CurrencyStrategic AllocationProgram       |  |   | 22.5 | %  |
| ForeignExchangePrograms                                                 |  |   |   |   |
| •    DollarBased Program                       |  |   | 5 | %  |
|                                                                         |

Theallocation of SAP's assets among the investment programs, as wellas the selection of the programs used for SAP, is dynamic. WhileJWH's individual investment programs are technical,trend-following programs, the selection of programs as well as theallocation of assets among the programs in SAP are entirelydiscretionary.

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(a)    Liquidity.

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

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

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

|            |                                                                                                                                                                                                                      |
|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | 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 net assetsallocated to that Advisor. |

|              |                                                                                                                                                                                                                                                        |
|--------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)   | The Mastermay occasionally accept delivery of a commodity. Unless such deliveryis 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 trading techniquecommonly known as "pyramiding", in which thespeculator uses unrealized profits on existing positions as margin forthe purchases or sale of additional positions in the same or relatedcommodities. |

|            |                                                                                                                         |
|------------|-------------------------------------------------------------------------------------------------------------------------|
| (v)   | The Master does not utilizeborrowings except short-term borrowings if the Master takes delivery ofany cash commodities. |

|             |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)   | The Advisors may,from time to time, employ trading strategies such as spreads orstraddles 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)   | TheMaster will not permit the churning of its commodity trading account.The term "churning" refers to the practice ofentering and exiting trades with a frequency unwarranted by legitimateefforts to profit from the trades, driven by the desire to generatecommission income. |

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

In the normal course of business, theMaster is party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. These financial instruments include forwards, futures,options and swaps, whose values are based upon an underlying asset,index or reference rate, and generally represent future commitments toexchange currencies or cash flows, or to purchase or sell otherfinancial instruments at specified terms at specified future dates, or,in the case of derivative commodity interests, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange 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, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Master due to marketchanges, including interest and foreign exchange rate movements andfluctuations in 

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

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

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

Other thanthe risks inherent in commodity futures and swaps trading, the Masterknows of no trends, demands, commitments, events or uncertainties whichwill result in or which are reasonably likely to result in theMaster's liquidity increasing or decreasing in any material way.The Limited Partnership Agreement provides that the General Partnermay, in its discretion, cause the Partnership to cease tradingoperations and liquidate all open positions under certain circumstancesincluding a decrease in Net Asset Value per Redeemable Unit to lessthan $350 as of the close of business on any businessday.

(b)    Capital resources.

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

(ii)    The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby gains or losses on trading and by expenses, interest income,redemptions of Redeemable Units and distributions of profits, if any.Gains or losses on trading cannot be predicted. Market moves incommodities are dependent upon fundamental and technical factors whichthe Advisor may or may not be able to identify, such as changing supplyand demand relationships, weather, government agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. Partnership expensesconsist of, among other things, commissions, advisory fees andadministrative fees. The level of these expenses is dependent upon thelevel of trading and the ability of the Advisors to identify and takeadvantage of price movements in the commodity markets, in addition tothe level of Net Assets maintained. In 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 thereof asof the last day of any month on fifteen days' written notice tothe General Partner. For the year ended December 31, 2004, 1,147.6421Redeemable Units were redeemed totaling $2,128,096. For the year endedDecember 31, 2003, 1,509.9888 Redeemable Units were redeemed totaling$3,082,349. For the year ended December 31, 2002, 10,759.5577Redeemable Units were redeemed totaling $16,153,831.

RedeemableUnits of Limited Partnership Interest were sold to persons and entitieswho are accredited investors as that term is defined in rule 501(a) ofRegulation D under the Securities Act of 1933 as well as to thosepersons who are not accredited investors but who have either a networth (exclusive of home, furnishings and automobile) eitherindividually or jointly with the investor's spouse of at leastthree times his investment in the Partnership (the minimum investmentfor which was $25,000) or gross income for the two previous years andprojected gross income for the current fiscal year of not less thanthree times his investment in the Partnership for eachyear.

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(c)    Results ofOperations.

For the year ended December 31, 2004, the NetAsset Value per Redeemable unit increased 11.1% from $1,846.04to $2,051.76. For the year ended December 31, 2003, the Net Asset perRedeemable Unit increased 3.0% from $1,793.18 to $1,846.04. Forthe year ended December 31, 2002, the Net Asset Value Per RedeemableUnit increased 31.7% from $1,361.72 to $1,793.18.

ThePartnership, through its investment in the Master, experienced nettrading gains of $4,719,366 before commissions and expenses for theyear ended December 31, 2004. Gains were attributable to theMaster's trading of currencies, energy, grains, U.S. and non-U.S.interest rates and were partially offset by losses incurred in thetrading of livestock, metals, stock indices and softs.

Tradingresults for the year 2004 can be described in four distinct periods:the first two months of the year produced positive results of over12% with trends carrying over from late 2003, the middle fivemonths experienced extraordinarily difficult conditions and losses ofapproximately 33% from the recent high for the Partnership,August through November witnesses a recovery period with an increase innet asset value per unit of over 49%. And December stands alonewith the Partnership down approximately 1.4% for the month butfinishing up 11.1% for the full year. The results for the yearwere heavily influenced by two historic trends: the decline in thevalue of the U.S. dollar versus major currencies and the run-up in theprice of crude oil to over $50 a barrel.

The year startedstrongly with many of the trends from late 2003 continuing into early2004. Notably lower interest rates in the U.S. and other majorcountries fostered strong global economic growth and pressuredcommodity prices. These resulted in upward trends in many sectors,especially energy, metals and grains and provided profitable tradingopportunities for the Partnership's advisor. These trendspersisted into early March when economic indicators in the U.S. andChina suggested rising inflation and markets reversed with higherinterest rates, collapsing commodity prices and the dollarreversal.

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

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

ThePartnership, through its investment in the Master, experienced nettrading gains of $3,848,959 before commissions and expenses for theyear ended December 31, 2003. Gains were attributable to theMaster's trading of currencies, livestock, metals and stockindices and were partially offset by losses incurred in the trading ofenergy, grains, U.S. and non-U.S. interest rates and softs.

In2003, the markets had periodic strong trends and then just as strongreversals resulting in a mixed year for the Partnership's overallperformance.

Of the nine JWH programs traded on behalf of thePartnership, 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 

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earlier in 2003. After a strong period oftrending behavior in the first half of the year, many programs gave uptheir gains during the third quarter due to changing directions in thedollar and interest rates and the high level of volatility in theenergy complex.

The Financial & Metals (F&M) Portfoliowas the best performing program for the year, as much as a result ofthe trading model used as the markets traded. Traditionally thisprogram has been volatile because of its focus on financial markets andits use of a three-phase models; but historically it has been rewardedfor its aggressive market positioning. The diversified programsemployed by the Advisor trade several sectors, including agriculturaland energy markets, and some financial programs also actively trade theenergy complex. In both these cases, the inclusion of these sectors wasa drag on overall performance. Energy markets showed extremely choppybehavior, especially in the second half of the year, while theagricultural sector was driven lower by losses in the soft commoditiesof coffee, sugar, and cotton.

Over the course of the year, on avery broad basis, the year 2003 can be divided into three periods: thetime surrounding the Iraq War (January through May), the transition tohigher world growth (June through October), and the renewed dollardecline (November and December).

The Iraq war was the focus formuch of the first half of the year. Like any uncertain event, there isthe market reaction to the impending event, the event itself whenuncertainty is resolved and the response to the event. The first twomonths of the year represented the pre-war uncertainty. Withuncertainty concerning when hostilities would begin and the possibleimpact of these events, investors showed a desire to move to adefensive and conservative stance. Equity markets sold-off, the dollarsold-off, gold prices rose, bond markets rallied, and the energymarkets 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 performance during theseperiods 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. Inadditional to this negative market action, there were further increasesin volatility 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 boosted performance for many of the JWH programs. It is notablehow smooth the declining trend in the dollar was relative to manymarkets that ended the year not much differently from where they began.

15

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During this period, other market sectorswere unable to find very strong trends, as the dollar concerns did notcarry over to equities or fixed income. With limited news in othermarkets, there were no changes in trading ranges.

ThePartnership, through its investment in the Master, experienced nettrading gains of $10,758,693 before commissions and expenses for theyear ended December 31, 2002. Gains were primarily attributable to thetrading of currencies, energy, grains, livestock, U.S. and non-U.S.interest rates and indices and were partially offset by losses incurredin the trading of metals and softs.

It should be noted thatcommodity markets are highly volatile. Broad price fluctuations andrapid inflation increase the risks involved in commodity trading, butalso increase the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisor to identify those price trends correctly. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisor is able to identify them, thePartnership expects to increase capital through operations.

(d)    Operational Risk

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

Such risksinclude:

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

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

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

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

(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 date and opencontracts are recorded in the statement of financial condition at fairvalue on the last business day of the period, which represents marketvalue for those commodity interests for which market 

16

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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 statement 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 statement 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 Master's positions will be exchange-traded futurescontracts, which will be valued daily at settlement prices published bythe exchanges. If applicable, the Partnership's spot and forwardforeign currency contracts will also be valued at published dailysettlement prices or at dealers' quotes. The GeneralPartner/Managing Member expects that under normal circumstancessubstantially all of the Partnership's/Master's assets willbe valued by objective measures and without difficulty.

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk

The Master is a speculative commodity pool. Themarket sensitive instruments held by it are acquired for speculativetrading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading loss,through 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.

Quantifyingthe Master's Trading Value at Risk

The followingquantitative disclosures regarding the Master's and thePartnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability 

17

----

provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A ofthe Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934). All quantitative disclosures in this section are deemedto be forward-looking statements for purposes of the safe harbor exceptfor statements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

TheMaster's and the Partnership's risk exposure in the variousmarket sectors traded by the Advisor is quantified below in terms ofValue at Risk. Due to the Master's mark-to-market accounting, anyloss in the fair value of the Master's open positions is directlyreflected in the Master's earnings (realized or unrealized) andcash flow.

Exchange maintenance margin requirements have beenused by the Master as the measure of its Value at Risk. Maintenancemargin requirements are set by exchanges to equal or exceed the maximumlosses reasonably expected to be incurred in the fair value of anygiven contract in 95%–99% of any one-day intervals.The maintenance 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 beenreflected.

18

----

The Master's Trading Value at Riskin Different Market Sectors

The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of December 31, 2004 and the highest and lowestvalue at any point during the year. All open position trading riskexposures of the Master have been included in calculating the figuresset forth below. As of December 31, 2004, the Master's totalcapitalization was $227,330,049.

December 31,2004

|                                 |  |               |            |                          |  |                   |        |                 |  |          |            |        |  |        |           |        |  |        |            |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|-----------------|--|----------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
|                            |  |          |            |                     |  | Yearto Date       |
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | High Value 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 |

As ofDecember 31, 2003, the Master's total capitalization was$145,076,617.

December 31,2003

|                                 |  |               |            |                          |  |                   |        |                 |  |          |           |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|-----------------|--|----------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |            |                     |  | Yearto Date       |
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | High Value 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 |   |  |   | 1,288,573 |   |  |   | 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 |

19

----

Material Limitations on Value at Risk asan Assessment of Market Risk

The face value of the marketsector instruments held by the Master is typically many times theapplicable maintenance margin requirement (margin requirementsgenerally range between 2% and 15% of contract facevalue) as well as many times the capitalization of the Master. Themagnitude 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, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Master. There can be no assurancethat the Master's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Master as of December 31, 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 

20

----

December  31, 2004, the Master'sprimary exposures were in the Eurex (Germany) and Chicago MercantileExchange (United States) stock indices. The General Partner anticipateslittle, if any, trading in non-G-8 stock indices. The Master isprimarily exposed to the risk of adverse price trends or static marketsin the major U.S., European and Japanese indices. (Static markets wouldnot cause major market changes but would make it difficult for theMaster 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.

The General Partner monitors the Master'sperformance and the concentration of its open positions, and consultswith the Advisor concerning the Master's overall risk profile. Ifthe General Partner felt it necessary to do so, the General Partnercould require the Advisor to close out individual positions as well asenter certain positions traded on behalf of the Master. However, anysuch intervention would be a highly unusual event. The General Partnerprimarily relies on the Advisor's own risk control policies whilemaintaining a general supervisory overview of the Master's marketrisk exposures.

The Advisor applies its own risk managementpolicies to its trading. The Advisor often follows diversificationguidelines, margin limits and stop loss points to exit a position. TheAdvisor's research of risk management often suggests ongoingmodifications to its trading programs.

As part of the GeneralPartner's risk management, the General Partner periodically meetswith the Advisor to discuss its risk management and to look for anymaterial changes to the Advisor's portfolio balance and tradingtechniques. The Advisor is required to notify the General Partner ofany material changes to its programs.

21

----

Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY MIDWEST FUTURES FUND L.P. II

INDEX TOFINANCIALSTATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | 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 and2002 |  | F-6               |
| Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002                  |  | F-7               |
| Notes to Financial Statements                                                                 |  | F-8 – F-11  |
| Selected UnauditedQuarterly Financial Data                                                    |  | F-12              |
| Financial Statements of theMaster:                                                            |  |
| 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 UnauditedQuarterly Financial Data                                                    |  | F-25              |
|                                                                                               |

F-1

----

To theLimited Partners ofSmith Barney Mid-West Futures Fund L.P. II

To the 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 and DirectorCitigroup Managed Futures LLCGeneral Partner, Smith BarneyMid-West Futures Fund L.P.II |
|   |  |
|   |  | **CitigroupManaged Futures LLC**399 Park Avenue7th FloorNew York,N.Y. 10022212-559-2011                                                                                                                                    |
|        |

F-2

----

Report of Independent Registered PublicAccounting Firm

To the PartnersofSmith Barney Mid-West Futures Fund L.P. II:

We haveaudited the accompanying statements of financial condition of SmithBarney Mid-West Futures Fund L.P. II (the Partnership), as of December31, 2004 and 2003, and the related statements of income and expenses,changes in partners' capital, and cash flows for each of theyears in the three-year period ended December 31, 2004. These financialstatements are the responsibility of the Partnership'smanagement. Our responsibility is to express an opinion on thesefinancial statements based on our audits.

We conducted ouraudits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards requirethat we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. Anaudit includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements. An audit alsoincludes assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, the financialstatements referred to above present fairly, in all material respects,the financial position of Smith Barney Mid-West Futures Fund L.P. II 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

----

SmithBarney Mid-West Futures Fund L.P. IIStatements of FinancialConditionDecember 31, 2004 and2003

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2004   |            | 2003   |
| **Assets:**                                                                                                                            |  |
| Investmentin Master, at fairvalue                                                                                                      |  | $      | 26,911,329 |   |  | $      | 26,278,490 |   |
| Cash                                                                                                                                   |  |   | 17,049     |   |  |   | 18,291     |   |
|                                                                                                                                   |  | $      | 26,928,378 |   |  | $      | 26,296,781 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |
| Liabilities:                                                                                                                           |  |
| Accruedexpenses:                                                                                                                       |  |
| Commissions (Note3c)                                                                                                                   |  | $      | 134,642    |   |  | $      | 131,484    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 44,590     |   |  |   | 43,570     |   |
| Administrativefees (Note3a)                                                                                                            |  |   | 22,295     |   |  |   | 21,785     |   |
| Professionalfees                                                                                                                       |  |   | 24,763     |   |  |   | 19,261     |   |
| Other                                                                                                                                  |  |   | 15,097     |   |  |   | 3,865      |   |
| Redemptionspayable (Note5)                                                                                                             |  |   | 306,107    |   |  |   | 222,481    |   |
|                                                                                                                                   |  |   | 547,494    |   |  |   | 442,446    |   |
| Partners'capital (Notes 1 and 5):                                                                                                      |  |
| General Partner,301.3070 and 401.3070 Unit equivalents outstanding in 2004 and 2003,respectively                                       |  |   | 618,210    |   |  |   | 740,829    |   |
| LimitedPartners, 12,556.3557 and 13,603.9978 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 25,762,674 |   |  |   | 25,113,506 |   |
|                                                                                                                                   |  |   | 26,380,884 |   |  |   | 25,854,335 |   |
|                                                                                                                                   |  | $      | 26,928,378 |   |  | $      | 26,296,781 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-4

----

Smith Barney Mid-West Futures Fund L.P.IIStatements of Income and Expensesfor the years endedDecember 31, 2004, 2003 and2002

|                                                                                                                 |  |        |           |         |  |        |           |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|--------|-----------|---------|--|--------|-----------|---------|--|--------|------------|---------|--|--|
|                                                                                                            |  | 2004   |           | 2003    |  | 2002   |
| Income:                                                                                                         |  |
| Realizedgains on closed positions and foreign currencies fromMaster                                             |  | $      | 3,634,889 |    |  | $      | 3,369,625 |    |  | $      | 9,359,691  |    |
| Changein unrealized gains on open positions fromMaster                                                          |  |   | 1,084,477 |    |  |   | 479,334   |    |  |   | 1,399,002  |    |
| Expensesallocated fromMaster                                                                                    |  |   | (77,672   | )  |  |   | (107,545  | )  |  |   | (92,985    | )  |
|                                                                                                            |  |   | 4,641,694 |    |  |   | 3,741,414 |    |  |   | 10,665,708 |    |
| Interestincome allocated from Master (Note3c)                                                                   |  |   | 228,372   |    |  |   | 229,309   |    |  |   | 377,817    |    |
|                                                                                                            |  |   | 4,870,066 |    |  |   | 3,970,723 |    |  |   | 11,043,525 |    |
| Expenses:                                                                                                       |  |
| Brokeragecommissions (Note3c)                                                                                   |  |   | 1,436,176 |    |  |   | 1,758,106 |    |  |   | 1,874,426  |    |
| Managementfees (Note3b)                                                                                         |  |   | 475,623   |    |  |   | 582,488   |    |  |   | 620,986    |    |
| Administrativefees (Note3a)                                                                                     |  |   | 237,810   |    |  |   | 291,243   |    |  |   | 310,492    |    |
| Incentivefees (Note3b)                                                                                          |  |   | —   |    |  |   | 178,139   |    |  |   | —    |    |
| Professionalfees                                                                                                |  |   | 44,879    |    |  |   | 39,498    |    |  |   | 36,313     |    |
| Otherexpenses                                                                                                   |  |   | 20,933    |    |  |   | 6,235     |    |  |   | 4,777      |    |
|                                                                                                            |  |   | 2,215,421 |    |  |   | 2,855,709 |    |  |   | 2,846,994  |    |
| Netincome                                                                                                       |  | $      | 2,654,645 |    |  | $      | 1,115,014 |    |  | $      | 8,196,531  |    |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unit equivalent (Notes 1 and6) |  | $      | 205.72    |    |  | $      | 52.86     |    |  | $      | 431.46     |    |
|                                                                                                                 |

Seeaccompanying notes to financial statements.

F-5

----

Smith Barney Mid-West Futures Fund L.P.IIStatements of Changes in Partners' Capitalfor theyears ended December 31, 2004, 2003 and2002

|                                                                                                                             |  |                 |             |                |  |        |          |         |  |        |             |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------|--|-----------------|-------------|----------------|--|--------|----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                        |  | LimitedPartners |             | GeneralPartner |  | Total  |
| Partners' capital atDecember 31,2001                                                                                        |  | $               | 34,949,797  |           |  | $      | 829,173  |    |  | $      | 35,778,970  |    |
| Netincome                                                                                                                   |  |            | 7,936,656   |           |  |   | 259,875  |    |  |   | 8,196,531   |    |
| Redemptionof 10,601.9491 Redeemable Unitsof Limited Partnership Interest and157.6086 Units of General Partnershipequivalent |  |            | (15,874,058 | )         |  |   | (279,773 | )  |  |   | (16,153,831 | )  |
| Partners'capital at December 31,2002                                                                                        |  |            | 27,012,395  |           |  |   | 809,275  |    |  |   | 27,821,670  |    |
| Netincome                                                                                                                   |  |            | 1,080,639   |           |  |   | 34,375   |    |  |   | 1,115,014   |    |
| Redemptionof 1,459.9888 Redeemable Units of Limited Partnership Interest and50.0000 Units of General Partnershipequivalent  |  |            | (2,979,528  | )         |  |   | (102,821 | )  |  |   | (3,082,349  | )  |
| Partners'capital at December 31,2003                                                                                        |  |            | 25,113,506  |           |  |   | 740,829  |    |  |   | 25,854,335  |    |
| Netincome                                                                                                                   |  |            | 2,592,660   |           |  |   | 61,985   |    |  |   | 2,654,645   |    |
| Redemptionof 1,047.6421 Redeemable Units of Limited Partnership Interest and100.0000 Units of General Partnershipequivalent |  |            | (1,943,492  | )         |  |   | (184,604 | )  |  |   | (2,128,096  | )  |
| Partners'capital at December 31,2004                                                                                        |  | $               | 25,762,674  |           |  | $      | 618,210  |    |  | $      | 26,380,884  |    |
|                                                                                                                             |

Netasset value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2002 |  | $ | 1,793.18 |   |
| 2003 |  | $ | 1,846.04 |   |
| 2004 |  | $ | 2,051.76 |   |
|      |

Seeaccompanying notes to financial statements.

F-6

----

Smith Barney Mid-West Futures Fund L.P.IIStatements of Cash Flowsfor the years endedDecember31, 2004, 2003 and2002

|                                                                                                                                                   |  |        |            |         |  |        |            |         |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                              |  | 2004   |            | 2003    |  | 2002   |
| Cash flows fromoperating activities:                                                                                                              |  |
| Netincome                                                                                                                                         |  | $      | 2,654,645  |    |  | $      | 1,115,014  |    |  | $      | 8,196,531   |    |
| Adjustmentsto reconcile net income (loss) to net   cash provided by(used in) operatingactivities:                                       |  |
|   Changes inoperating assets and liabilities                                                                                            |  |
| (Increase)decrease in investment in Master at fairvalue                                                                                           |  |   | (632,839   | )  |  |   | 1,955,617  |    |  |   | 9,039,946   |    |
| Accruedexpenses:                                                                                                                                  |  |
| Increase (decrease) incommissions                                                                                                                 |  |   | 3,158      |    |  |   | (9,786     | )  |  |   | (45,311     | )  |
| Increase(decrease) in managementfees                                                                                                              |  |   | 1,020      |    |  |   | (3,242     | )  |  |   | (15,032     | )  |
| Increase(decrease) in administrativefees                                                                                                          |  |   | 510        |    |  |   | (1,621     | )  |  |   | (7,516      | )  |
| Increase(decrease) in professionalfees                                                                                                            |  |   | 5,502      |    |  |   | (2,317     | )  |  |   | 1,973       |    |
| Increase(decrease) inother                                                                                                                        |  |   | 11,232     |    |  |   | (55        | )  |  |   | (32         | )  |
| Increase(decrease) in redemptionspayable                                                                                                          |  |   | 83,626     |    |  |   | 27,148     |    |  |   | (1,039,088  | )  |
|   Netcash provided by (used in)   operatingactivities                                                                         |  |   | 2,126,854  |    |  |   | 3,080,758  |    |  |   | 16,131,471  |    |
|                                                                                                                                              |  |
| Cashflows from financing activities:                                                                                                              |  |
| Payments forredemptions – LimitedPartners                                                                                                   |  |   | (1,943,492 | )  |  |   | (2,979,528 | )  |  |   | (15,874,058 | )  |
| Paymentsfor redemptions – GeneralPartner                                                                                                    |  |   | (184,604   | )  |  |   | (102,821   | )  |  |   | (279,773    | )  |
|         Netcash provided by (used in)         financingactivities |  |   | (2,128,096 | )  |  |   | (3,082,349 | )  |  |   | (16,153,831 | )  |
|   Netchange incash                                                                                                                      |  |   | (1,242     | )  |  |   | (1,591     | )  |  |   | (22,360     | )  |
|   Cash,at beginning ofyear                                                                                                              |  |   | 18,291     |    |  |   | 19,882     |    |  |   | 42,242      |    |
|   Cash,at end ofyear                                                                                                                    |  | $      | 17,049     |    |  | $      | 18,291     |    |  | $      | 19,882      |    |
|                                                                                                                                                   |

Seeaccompanying notes to financialstatements.

F-7

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

1.    PartnershipOrganization:

Smith Barney Mid-West Futures Fund L.P. II (the"Partnership") is a limited partnership whichwas organized on June 3, 1994 under the partnership laws of the Stateof 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 September  1, 1994. From September  1,1994 to January 25, 2001, the Partnership engaged directly in thespeculative trading of a diversified portfolio of commodity interests.The commodity interests that were traded by the Partnership arevolatile and involve a high degree of market risk. The Partnership wasauthorized to sell 75,000 redeemable units of Limited PartnershipInterest ("Redeemable Units") during itsinitial offering period. As of June 7, 1999, the Partnership wasauthorized to sell an additional 25,000 Redeemable Units.

Effective January 26, 2001, the Partnership allocated substantiallyall of its capital to the JWH Strategic Allocation Master Fund LLC, aNew York Limited Liability Company (the"Master"). With this cash, the Partnershippurchased 42,510.5077 Units of the Master with a fair value of$42,510,508. The Master was formed in order to permit commodity poolsmanaged now or in the future by John W. Henry & Company, Inc.("JWH") using the Strategic AllocationProgram, JWH's proprietary trading program, to invest together inone trading vehicle. Citigroup Managed Futures LLC, formerly SmithBarney Futures Management LLC, acts as the general partner (the"General Partner") of the Partnership. TheGeneral Partner is the managing member of the Master. Individual andpooled accounts currently managed by JWH, including the Partnership(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.

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

At December 31, 2004 and 2003, the Partnership owns11.82% and 18.11%, 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 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: December 31, 2014;when the Net Asset Value of a Redeemable Unit decreases to less than$350 per Redeemable Unit as of the close of business on any businessday; or under certain other circumstances as defined in the LimitedPartnership Agreement.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of the Partnership'sinvestment in the Master reflects the Partnership's proportionalinterest in the members' capital of the Master. All of the incomeand expenses and unrealized and realized gains and losses from thecommodity transactions of the Master are allocated pro rata among theinvestors at the time of such determination. All commodity interests(including derivative financial instruments and derivative commodityinstruments) held by the Master are |

F-8

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statements of financial condition at fair value on the lastbusiness day of the year, which represents market value for thosecommodity interests 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 gains (losses) on open positions are recognized in theperiod in which the contract is closed or the changes occur and areincluded in net gains (losses) on trading of commodity interests. |

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

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

3.    Agreements:

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

The General Partner administers the business and affairsof the Partnership including selecting one or more advisors to maketrading decisions for the Partnership. The Partnership will pay theGeneral Partner a monthly administrative fee in return for its servicesto the Partnership equal to  1/12 of 1%(1% per year) of month-end Net Assets of the Partnership. Thisfee may be increased or decreased at the discretion of the GeneralPartner. Month-end Net Assets, for the purpose of calculatingadministrative fees are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees.

|          |                       |
|----------|-----------------------|
| 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 by the General Partner. The Partnership isobligated to pay the Advisor a monthly management fee equal to 1/6 of 1% (2% per year) of month-end NetAssets allocated pro-rata by the Master. Month-end Net Assets, for thepurpose of calculating management fees are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. In addition, the Partnership isobligated to pay the Advisor an incentive fee, payable quarterly, equalto 20% of the New Trading Profits allocated pro-rata by theMaster, as defined in the Management Agreement of the Partnership.

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

ThePartnership is obligated to pay a brokerage fee equal to1⁄2% of 1% (6% per year) onmonth-end Net Assets allocated pro-rata from the Master. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees will be borne by the Master and allocated to thePartnership through its investment in Master. CGM pays a portion of itsbrokerage fees to its financial consultants who have sold RedeemableUnits of the Partnership. CGM pays the Partnership interest on80% of the average daily equity allocated pro-rata to thePartnership by the Master during each month at the rate of the averagenon-competitive yield of 13-week U.S. Treasury bills as determined atthe weekly auctions thereof during the month. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

4.    Trading Activities:

The results of the Master's trading activities are shown inthe statements of income and expenses.

F-9

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

5.    Distributions andRedemptions:

Distributions of profits, if any, will be made atthe sole discretion of the General Partner; however, a limited partnermay redeem all or some of their Redeemable Units at the Net Asset Valuethereof as of the last day of any month beginning with the first fullmonth ending at least three months after trading commenced on fifteendays written notice to the General Partner.

The Partnership ispermitted to withdraw all or a portion of its interest in the Master asof each month-end in order to meet its obligations with respect to theredemption rights of limited partners.

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*                     |  | $      | 246.85   |     |  | $      | 111.43   |     |  | $      | 463.00   |     |
| Interestincome                                       |  |   | 16.88    |     |  |   | 15.58    |     |  |   | 19.08    |     |
| Expenses**                                           |  |   | (58.01   | )   |  |   | (74.15   | )   |  |   | (50.62   | )   |
| Increaseforyear                                      |  |   | 205.72   |     |  |   | 52.86    |     |  |   | 431.46   |     |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,846.04 |     |  |   | 1,793.18 |     |  |   | 1,361.72 |     |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 2,051.76 |     |  | $      | 1,846.04 |     |  | $      | 1,793.18 |     |
| Ratiosto Average Net Assets:                         |  |
| Netinvestment loss before incentivefees***           |  |   | (8.7     | )%  |  |   | (8.9     | )%  |  |   | (8.5     | )%  |
| Operatingexpenses                                    |  |   | 9.7      | %   |  |   | 9.7      | %   |  |   | 9.8      | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | 0.6      | %   |  |   | —  | %   |
| Totalexpenses                                        |  |   | 9.7      | %   |  |   | 10.3     | %   |  |   | 9.8      | %   |
| Totalreturn:                                         |  |
| Total return beforeincentivefees                     |  |   | 11.1     | %   |  |   | 3.7      | %   |  |   | 31.7     | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | (0.7     | )%  |  |   | —  | %   |
| Totalreturn after incentivefees                      |  |   | 11.1     | %   |  |   | 3.0      | %   |  |   | 31.7     | %   |
|                                                      |

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

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

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

The above ratios may vary for individualinvestors based on the timing of capital transactions during the year.Additionally, these ratios are calculated for the limited partner classusing the limited partners' share of income, expenses and averagenet assets.

7.    Financial Instrument Risks:

In thenormal 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

F-10

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

("OTC"). Exchangetraded instruments are standardized and include futures and certainoption contracts. OTC contracts are negotiated between contractingparties and include forwards and certain options. Each of theseinstruments is subject to various risks similar to those related to theunderlying financial instruments including market and credit risk. Ingeneral, the risks associated 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 asa counterparty to the transactions. ThePartnership'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

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

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 |  | $                                                      | 7,290,651 |                                                  |  | $                                                 | 1,398,984 |                                                 |  | $ | (6,870,466 | )  |  | $ | 1,614,721 |   |
| NetIncome(loss)                                                                                                                                     |  | $                                                      | 7,055,492 |                                                  |  | $                                                 | 1,246,420 |                                                 |  | $ | (7,044,834 | )  |  | $ | 1,397,567 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                            |  | $                                                      | 527.59    |                                                  |  | $                                                 | 92.28     |                                                 |  | $ | (514.05    | )  |  | $ | 99.90     |   |
|                                                                                                                                                     |

|                                                                                                                                                     |  |                                                        |         |                                                       |  |                                                   |            |                                                      |  |   |            |         |  |   |           |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|---------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|---------|--|---|-----------|--------|--|--|
|                                                                                                                                                |  | 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 |  | $                                                      | 498,262 |                                                  |  | $                                                 | (2,068,454 | )                                               |  | $ | (766,409   | )  |  | $ | 4,549,218 |   |
| NetIncome(loss)                                                                                                                                     |  | $                                                      | 298,999 |                                                  |  | $                                                 | (2,288,378 | )                                               |  | $ | (1,009,380 | )  |  | $ | 4,113,773 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                            |  | $                                                      | 22.11   |                                                  |  | $                                                 | (161.12    | )                                               |  | $ | (71.37     | )  |  | $ | 263.24    |   |
|                                                                                                                                                     |

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

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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

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Selectedunaudited quarterly financial data of 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     |   |
|                                                                                                                    |

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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 General Partner, Citigroup ManagedFutures LLC, manages its affairs. Investment decisions are made by JohnW. 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, anaffiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."During the year ended December 31, 2004, CGM earned $1,436,176 inbrokerage commissions and clearing fees. The Advisor earned $475,623 inmanagement fees during 2004. During the year ended December 31, 2004,the General Partner earned $237,810 in administrative fees.

Item 12.    Security Ownership of Certain Beneficial Ownersand Management.

(a)    Security ownership of certainbeneficial owners. The Partnership knows of no person whobeneficially owns more than 5% of the Redeemable Unitsoutstanding.

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 301.3070 (2.3%) Units of partnership interest as of December31, 2004.

(c)    Changes in control. None.

Item 13.    Certain Relationships and RelatedTransactions.

Citigroup Global Markets Inc. and CitigroupManaged Futures LLC, would be considered promoters for purposes of item404(d) of Regulation S-K. The nature and the amounts of compensationthat each promoter will receive from the Partnership are set forthunder "Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

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Item 14.    Principal Accountant Feesand Services

(1)    Audit Fees. The aggregate feesbilled for each of the last two fiscal years for professional servicesrendered by KPMG LLP for the audit of the Partnership's annualfinancial statements, review of financial statements included in thePartnership's Forms 10-Q and other services normally provided inconnection with regulatory filings or engagements are asfollows:

2004            $19,890

2003            $11,119

(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 (previously filed).

3.2 – Limited Partnership Agreement (previouslyfiled).

10.1 – Management Agreement among thePartnership, the General Partner and John W. Henry & Company, Inc.(previously filed).

10.2 – Customer Agreementbetween Registrant and Smith Barney Shearson Inc. (previouslyfiled).

10.3 – Form of Subscription Agreement(previously filed).

10.4 – Letter dated February16, 1995 from the General Partner to John W. Henry & Co., Inc.extending Management Agreement (previously filed).

10.5– Letter dated January 25, 1996 from the General Partner to JohnW. Henry & Co., Inc. extending Management Agreement to June 30,1996 (previously filed).

10.6 – Letters extendingManagement Agreements with John W. Henry & Company, Inc. for 1996and 1997 (filed as Exhibit 10.6 to the Form 10-K for the fiscal yearended December 31, 1997 and incorporated herein by reference).

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10.7 – Letter from theGeneral Partner to John W. Henry & Company, Inc. extendingManagement Agreement for 1998 (previously filed).

10.8– Letter from the General Partner to John W. Henry & Company,Inc. extending Management Agreement for 1999 (previously filed).

10.9 – Letter from the General Partner to John W.Henry & Company, Inc. extending Management Agreement for 2000(previously filed).

10.10 – Letter from theGeneral Partner to John W. Henry & Company, Inc. extendingManagement Agreement for 2001 (previously filed).

10.11– Letter from the General Partner to John W. Henry & Company,Inc. extending Management Agreement for 2002 (previously filed).

10.12 – Letter from the General Partner to John W.Henry & Company, Inc. extending Management Agreement for 2003(previously filed).

10.13 – Letter from theGeneral Partner to John W. Henry & Company, Inc. extendingManagement Agreement for 2004 (filed herein).

16.1– Letter from PricewaterhouseCoopers LLP (previously filed).

The exhibits required to be filed by Item 601 of RegulationsS-K are incorporated herein by reference.

31.1 –Rule 13a-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 Certification(Certification of President and Director).

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

|           |                                 |
|-----------|---------------------------------|
| (b)  | Reports on Form 8-K:None filed. |

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

Noproxy material has been sent to LimitedPartners.

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SIGNATURES

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

SmithBarney Mid West Futures Fund L.P. II

By:    /s/Citigroup Managed Futures LLC            (GeneralPartner)

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                     |  |                  |
|                              |

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