UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 2002

   Commission File Number 0-28336

                        SMITH BARNEY MID-WEST FUTURES FUND L.P. II
             (Exact name of registrant as specified in its charter)

                  New York                                 13-3772374
   (State  or other  jurisdiction of                    (I.R.S. Employer
     incorporation or organization)                     Identification No.)

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

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

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

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

                                                         Yes   X    No

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

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

                                                     Yes       No   X

Limited   Partnership   Units  with  an  aggregate  value  of  $29,757,510  were
outstanding  and  held by  non-affiliates  as of the  last  business  day of the
registrants most recently completed second fiscal quarter.

As of February 28, 2003, 14,828.3397 Limited Partnership Units were outstanding.



                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None
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                                     PART I

Item 1. Business.

     (a) General  development of business.  Smith Barney  Mid-West  Futures Fund
L.P. II, (the "Partnership") is a limited partnership  organized on June 3, 1994
under the partnership  laws of the State of New York. The Partnership  commenced
trading  operations  on  September  1,  1994.  The  Partnership  engages  in the
speculative trading of a diversified  portfolio of commodity interests including
futures  contracts,  options and  forward  contracts.  Between  July 7, 1994 and
August 31, 1994, 9,421 Units of Limited Partnership Interest ("Units") were sold
at $1,000 per Unit. The proceeds of the initial  offering were held in an escrow
account  until  September  1, 1994,  at which time they were  turned over to the
Partnership  for trading.  Sales and  redemptions  of Units and general  partner
contributions  and  redemptions for the years ending December 31, 2002, 2001 and
2000 are reported in the Statement of Partners'  Capital on page F-7 under "Item
8. Financial Statements and Supplementary Data."

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following:  December 31, 2014;  if the Net Asset Value per Unit falls below $350
as of the end of business on any business day or upon the earlier  occurrence of
certain other  circumstances set forth in the Limited  Partnership  Agreement of
the Partnership (the "Limited  Partnership  Agreement").  Partnership Units were
being continuously offered monthly during the continuous offering period through
April 1997. The  Partnership  was authorized to sell 75,000 Units. As of June 7,
1999, the Partnership was authorized to sell an additional 25,000 Units.

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     Effective January 26, 2001, the Partnership  transferred  substantially all
of its assets in exchange for  42,510.5077  Units of the Master and a fair value
of $42,510,508 as a tax-free  transfer to JWH Strategic  Allocation  Master Fund
LLC, a New York limited liability company (the "Master").  The Master was formed
in order to permit commodity pools managed now or in the future by John W. Henry
& Company,  Inc. (the "Advisor")  using the Strategic  Allocation  Program,  the
Advisor's  proprietary  trading  program,  to  invest  together  in one  trading
vehicle.  Smith Barney  Futures  Management  LLC (the "General  Partner") is the
general  partner  of the  Partnership  and the  managing  member of the  Master.
Expenses to investors as a result of investment in the Master are  approximately
the same and redemption rights are not affected.

     At December 31, 2002, the Partnership owns 31.19% of the Master.  It is the
Partnership's intention to continue to invest substantially all of its assets in
the Master.  The  performance  of the  Partnership  is directly  affected by the
performance of the Master.

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

     The  Master's  trading of  futures,  forwards  and  options  contracts,  if

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applicable,  on  commodities  is done  primarily  on United  States  of  America
commodity exchanges and foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with SSB.

     Under the  Limited  Partnership  Agreement,  the  General  Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The  General  Partner  administers  the  business  and affairs of the
Partnership  including  selecting one or more advisors to make trading decisions
for the  Partnership.  The  Partnership  pays  the  General  Partner  a  monthly
administrative  fee in return for its services to the Partnership  equal to 1/12
of 1% (1% per year) of month-end Net Assets of the Partnership.  This fee may be
increased or decreased at the discretion of the General Partner.

     The  General   Partner  has  entered  into  a  Management   Agreement  (the
"Management Agreement") with the Advisor, John W. Henry & Company Inc., who will
make all commodity  trading  decisions for the  Partnership.  The Advisor is not
affiliated  with the General  Partner or SSB. The Advisor is not responsible for
the organization or operation of the Partnership.

     Pursuant to the terms of the Management  Agreement,  for the period January
1, 2000 through  September 30, 2000,  the  Partnership  was obligated to pay the
Advisor a monthly  management fee equal to 1/3 of 1% (4% per year) of Net Assets

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allocated to the Advisor as of the end of the month and an incentive fee payable
quarterly of 15% of New Trading Profits (as defined in the Management Agreement)
of the  Partnership.  Effective  October  1,  2000  to  January  25,  2001,  the
Partnership was obligated to pay the Advisor a monthly  management fee 1/6 of 1%
(2% per year) of  month-end  Net Assets  managed by the Advisor and an incentive
fee,  payable  quarterly,  equal to 20% of the New  Trading  Profits.  Effective
January 26,  2001,  the  Partnership  is  obligated to pay the Advisor a monthly
management  fee  equal  to 1/6 of 1% (2%  per  year)  of  month-end  Net  Assets
allocated pro-rata by the Master and an incentive fee, payable quarterly,  equal
to 20% of the New Trading Profits allocated pro-rata by the Master.

     Prior to January 26, 2001, the Customer  Agreement  between the Partnership
and SSB (the  "Customer  Agreement")  provided  that the  Partnership  pay SSB a
monthly  brokerage  fee equal to 1/2 of 1% of month-end Net Assets (6% per year)
in lieu of brokerage commissions on a per trade basis (the "Brokerage Fee"). SSB
pays a portion of its brokerage fees to its financial  consultants who have sold
Units.  This fee did not include  National  Futures  Association  ("NFA")  fees,
exchange and clearing fees, give-up and user fees and floor brokerage fees which
were borne by the  Partnership.  Effective  January 26, 2001, the Partnership is
obligated  to pay the  Brokerage  Fee based on  month-end  Net Assets  allocated
pro-rata from the Master.  Effective  January 26, 2001, all exchange,  clearing,
user,  give-up,  floor  brokerage  and NFA fees will be borne by the  Master and
allocated to the Partnership through its investment in the Master.


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<PAGE>

     The  Customer   Agreement   between  the  Partnership  and  SSB  gives  the
Partnership the legal right to net unrealized  gains and losses.  Brokerage fees
will be paid for the life of the  Partnership,  although  the rate at which such
fees are paid may be changed.

     Prior to January 26, 2001, SSB pays the Partnership  interest on 80% of the
average daily equity maintained in cash in its account during each month at a 30
day  U.S.   Treasury   bill  rate   determined   weekly  by  SSB  based  on  the
non-competitive  yield on 3 month U.S.  Treasury  bills maturing in 30 days from
the date in which such weekly rate is  determined.  Effective  January 26, 2001,
SSB  will  pay the  Partnership  interest  on 80% of the  average  daily  equity
allocated  pro-rata to the  Partnership  by the Master  during each month at the
rate of the average  non-competitive  yield of 13-week  T-Bills as determined at
the weekly  auctions  thereof  during the month.  The Customer  Agreement may be
terminated upon notice by either party.

     (b)  Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's  net income from operations for the years ended December 31, 2002,
2001, 2000, 1999 and 1998 are set forth under "Item 6. Selected Financial Data."
The Partnership's capital as of December 31, 2002 was $27,821,670.

          (c) Narrative description of business.

          See Paragraphs (a) and (b) above.

          (i) through (xii) - Not applicable.

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          (xiii) - The Partnership has no employees.

     (d) Financial  Information About Geographic Areas. The Partnership does not
engage in sales of goods or services or own any long lived assets, and therefore
this item is not applicable.

Item 2. Properties.

     The Partnership  does not own or lease any properties.  The General Partner
operates  out of  facilities  provided  by its  affiliate,  SSB.  Item 3.  Legal
Proceedings.

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

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

     There have been no  administrative,  civil or criminal actions pending,  on
appeal or concluded  against SSB or any of its individual  principals within the
past five years that  management  believes  may have a material  impact on SSB's

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<PAGE>

ability to act as an FCM. In the ordinary course of its business, SSB is a party
to various claims and regulatory  inquiries.  Proceedings  deemed to be material
for  purposes  of  Commodity  Futures  Trading  Commission  ("CFTC")  disclosure
requirements are:

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
SSB, in the U.S. Bankruptcy Court for the Central District of California (County
of Orange et al. v. Bear  Stearns & Co. Inc.  et al.).  The  complaint  alleged,
among other things,  that the brokerage  firms  recommended  and sold unsuitable
securities to Orange County. SSB and the remaining  brokerage firms settled with
Orange County in mid 1999. SSB paid $1,333,333 to settle this matter.

     In June  1998,  complaints  were filed in the U.S.  District  Court for the
Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc.  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.),  in which the City of New Orleans seeks a
determination that Smith Barney Inc. and another underwriter will be responsible
for any  damages  that the City may  incur in the  event  the  Internal  Revenue
Service  denies tax exempt  status to the City's  General  Obligation  Refunding
Bonds Series 1991. The complaints were subsequently  amended.  SSB has asked the
court to dismiss the amended complaints.  The court denied the motion but stayed
the case. Subsequently, the City withdrew its lawsuit.

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<PAGE>

     In November 1998, a class action  complaint was filed in the U.S.  District
Court for the Middle  District  of Florida  (Dwight  Brock as Clerk for  Collier
County v. Merrill  Lynch,  et al.).  The complaint  alleged that,  pursuant to a
nationwide  conspiracy,  17  broker-dealer  defendants,  including SSB,  charged
excessive  mark-ups in connection with advanced  refunding  transactions.  Among
other relief,  plaintiffs sought compensatory and punitive damages,  restitution
and/or  rescission of the  transactions  and  disgorgement of alleged  excessive
profits.  In October 1999, the plaintiff  filed a second amended  complaint.  In
November  1999,  SSB moved to dismiss the amended  complaint.  In May 2001,  the
parties reached and the court preliminarily approved a tentative settlement. SSB
paid  $1,063,457 to settle this matter and in September 2001, the court approved
the settlement.

     In  connection  with the  Louisiana  and Florida  matters,  the IRS and SEC
conducted an industry-wide investigation into the pricing of Treasury securities
in  advanced  refunding  transactions.  In April  2000,  SSB and  several  other
broker-dealers  entered into a settlement with the IRS and the SEC.  Thereafter,
the plaintiffs filed voluntary discontinuances.

     In December  1998,  SSB was one of 28 market  making  firms that  reached a
settlement  with the SEC in the matter  titled In the  Matter of Certain  Market
Making  Activities on NASDAQ.  As part of the  settlement  of that matter,  SSB,
without admitting or denying the factual  allegations,  agreed to an order which
required that it: (i) cease and desist from committing or causing any violations
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of Sections  15(c)(1)  and (2) of the  Securities  Exchange  Act of 1934 and SEC
Rules  15c1-2,  15c2-7  and  17a-3  thereunder,   (ii)  pay  penalties  totaling
approximately  $760,000 and (iii) submit  certain  policies and procedures to an
independent consultant for review.

     In March 1999, a complaint seeking in excess of $250 million was filed by a
hedge fund and its  investment  advisor  against SSB in the Supreme Court of the
State of New York,  County of New York (MKP Master  Fund,  LDC et al. v. Salomon
Smith Barney Inc.).  The complaint  included  allegations  that, while acting as
prime broker for the hedge fund,  SSB breached its  contracts  with  plaintiffs,
misused their monies and engaged in tortious  conduct,  including  breaching its
fiduciary  duties.  SSB asked the court to dismiss  the  complaint  in full.  In
October  1999,  the court  dismissed  the tort claims,  including  the breach of
fiduciary  duty claims.  The court allowed the breach of contract and conversion
claims  to  stand.   In  December   1999,  SSB  filed  an  answer  and  asserted
counterclaims  against the investment advisor. In response to plaintiff's motion
to strike out the counterclaims,  in January 2000, SSB amended its counterclaims
against  the  investment  advisor  to  seek  indemnification  and  contribution.
Plaintiffs  moved to strike SSB's  amended  counterclaims  in February  2000. In
September   2000,  the  court  denied   plaintiffs'   motion  to  dismiss  SSB's
counterclaims  based on  indemnification  and contribution.  In August 2002, SSB
filed a motion for summary judgment.

     In April 2002,  numerous class action complaints were filed against Salomon
Smith  Barney  and other  investment  banks in the U.S.  District  Court for the

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Southern District of New York alleging  violations of certain federal securities
laws  (including  Section 11 of the  Securities Act of 1933 and Section 10(b) of
the  Securities  Exchange Act of 1934) with respect to the  allocation of shares
for certain initial public  offerings and related  aftermarket  transactions and
damage to investors  caused by allegedly  biased research  analyst  reports.  On
February 19, 2003, the court issued an opinion denying the defendants' motion to
dismiss. Also pending in the Southern District of New York against SSB and other
investment banks are several alleged class actions which have been  consolidated
into a single  class action  alleging  violations  of certain  federal and state
antitrust  laws in connection  with the  allocation of shares in initial  public
offerings  underwritten  by such parties.  The  defendants in these actions have
moved to dismiss the  consolidated  amended  complaint but the court has not yet
rendered a decision on those motions.

     In April 2002,  Citigroup  and, in one case,  SSB were named as  defendants
along with, among others,  commercial and/or  investment banks,  certain current
and former Enron officers and directors,  lawyers and accountants in two alleged
consolidated  class action complaints that were filed in the U.S. District Court
for the Southern  District of Texas  seeking  unspecified  damages.  One action,
brought on behalf of individuals who purchased Enron securities  (Newby,  et al.
v.  Enron  Corp.,  et al.),  alleges  violations  of  Sections  11 and 15 of the
Securities Act of 1933 and Sections  10(b) and 20(a) of the Securities  Exchange
Act of 1934 and the other action,  brought on behalf of current and former Enron

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employees  (Tittle,  et al. v. Enron Corp., et al.), alleges violations of ERISA
and RICO, as well as negligence and civil conspiracy.  On May 8, 2002, Citigroup
and SSB filed  motions to dismiss the  complaints.  On December  19,  2002,  the
motions to dismiss the Newby  complaint  were denied.  The motion to dismiss the
complaint in Tittle remains pending.

     Since April 2002,  SSB and  several  other  broker  dealers  have  received
subpoenas  and/or  requests  for  information  from  various   governmental  and
self-regulatory agencies and Congressional  committees,  including the NASD Inc.
which has raised  issues about SSB's  internal  e-mail  retention  practices and
research  on Winstar  Communications,  Inc.  With  respect to  Winstar,  SSB has
entered into a settlement  agreement.  SSB agreed to pay a penalty in the amount
of $5 million and did not admit to any  wrongdoing.  With  respect to other such
matters,  on December 20, 2002,  Citigroup and a number of other  broker/dealers
reached a  settlement-in-principle  with the SEC,  the NASD  Inc.,  the New York
Stock  Exchange (the "NYSE") and the Attorney  General of New York of all issues
raised   in  their   research,   initial   public   offerings   allocation   and
spinning-related  inquiries.  In addition,  with respect to issues raised by the
NASD,  the NYSE and the SEC  about  SSB's  and  other  firms'  e-mail  retention
practices,  SSB and several other  broker/dealers and the NASD, the NYSE and the
SEC entered into a settlement  agreement in December  2002.  SSB agreed to pay a
penalty in the amount of $1.65  million and did not admit to any  allegation  of
wrongdoing.


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     Since May 2002, Citigroup,  SSB and certain principals,  executive officers
and current and former  employees  have been named as  defendants in a number of
alleged  class  action  complaints  filed in the  U.S.  District  Court  for the
Southern District of New York by purchasers of various securities  alleging they
violated federal  securities law, including Sections 10 and 20 of the Securities
Exchange Act of 1934 by issuing  research  reports without  reasonable basis and
failing  to  disclose   conflicts  of  interest  in  connection  with  published
investment research,  including Global Crossing,  WorldCom, Inc., AT&T, Winstar,
Rhythm Net Connections,  Level 3  Communications,  MetroMedia Fiber Network,  XO
Communications  and  Williams  Communications  Group  Inc.  Nearly  all of these
actions are pending  before a single  judge in the U.S.  District  Court for the
Southern  District  of New York  for  coordinated  proceedings.  The  court  has
consolidated  these actions into nine separate  categories  corresponding to the
companies named above.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  including  SSB, and certain of their current and former  directors,
officers and employees, along with other parties,  including: (1) three putative
class actions filed in state courts and federal  courts on behalf of persons who
maintained accounts with SSB asserting,  among other things,  common law claims,
claims under state  statutes,  and claims under the  Investment  Advisers Act of
1940,  for  allegedly  failing  to provide  objective  and  unbiased  investment
research and investment management,  seeking, among other things, return of fees
and  commissions;  (2)  approximately  fifteen  actions filed in different state

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courts by  individuals  asserting,  among  other  claims,  common law claims and
claims under state  securities  laws,  for allegedly  issuing  research  reports
without  a  reasonable  basis  in fact and for  allegedly  failing  to  disclose
conflicts of interest with  companies in connection  with  published  investment
research,  including Global Crossing and WorldCom,  Inc.; (3) approximately five
actions  filed in different  state  courts by pension and other funds  asserting
common law claims and  statutory  claims under,  among other  things,  state and
federal  securities  laws,  for allegedly  issuing  research  reports  without a
reasonable  basis in fact and for  allegedly  failing to disclose  conflicts  of
interest  with  companies in  connection  with  published  investment  research,
including WorldCom,  Inc. and Qwest  Communications  International Inc.; and (4)
more than two hundred  arbitrations  asserting  common law claims and  statutory
claims  under,  among other  things,  state and  federal  securities  laws,  for
allegedly  issuing  research  reports without a reasonable basis in fact and for
allegedly failing to disclose conflicts of interest with companies in connection
with published investment research.

     In July 2002,  Citigroup,  SSB and various of its affiliates and certain of
their officers and other employees were named as defendants,  along with,  among
others,  commercial and/or  investment  banks,  certain current and former Enron
officers and directors, lawyers and accountants in an alleged class action filed
in the U.S.  District  Court for the Southern  District of New York on behalf of


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purchasers  of the Yosemite  Notes and Enron  Credit-Linked  Notes,  among other
securities (Hudson Soft Co., Ltd v. Credit Suisse First Boston  Corporation,  et
al.). The complaint  alleges  violations of RICO and of Sections 10(b) and 20(a)
of the Securities Exchange Act of 1934 and seeks unspecified damages.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates, including SSB, along with other parties, including (i) three actions
brought in state courts by state pension  plans for alleged  violations of state
securities  law and common law fraud and  unjust  enrichment;  (ii) an action by
banks that  participated  in two Enron  revolving  credit  facilities,  alleging
fraud,  gross  negligence  and  breach  of  implied  duties in  connection  with
defendants'  administration  of a credit  facility  with Enron;  (iii) an action
brought by several funds in connection with secondary  market purchases of Enron
Corp. debt securities  alleging  violations of federal securities law, including
Section  11  of  the   Securities   Act  of  1933,  and  claims  for  fraud  and
misrepresentation;  (iv) a series of  alleged  class  actions by  purchasers  of
NewPower  Holdings common stock alleging  violations of federal  securities law,
including  Section 11 of the  Securities  Act of 1933 and  Section  10(b) of the
Securities  Exchange Act of 1934; (v) an action brought by two investment  funds
in connection with purchases of Enron-related  securities for alleged violations
of state securities and unfair competition  statutes;  (vi) an action brought by
several  investment  funds and fund owners in connection with purchases of notes
of the Osprey I and Osprey II Trusts for alleged  violation of state and federal


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securities  laws  and  claims  for  common  law  fraud,   misrepresentation  and
conspiracy;  (vii) an action brought by several investment funds and fund owners
in connection  with  purchases of notes of the Osprey I and Osprey II Trusts for
alleged  violation  of  state  and  federal  securities  laws and  state  unfair
competition laws and claims for common law fraud and  misrepresentation;  (viii)
an action  brought by the Attorney  General of  Connecticut  in connection  with
various  commercial and investment  banking services  provided to Enron;  (ix) a
putative  class action  brought by clients of SSB in  connection  with  research
reports  concerning Enron,  alleging breach of contract;  (x) actions brought by
several  investment  funds in  connection  with  the  purchase  of notes  and/or
certificates of the Osprey Trusts, the Marlin Trust, and the Marlin Water trust,
as well as the  purchase of other Enron or  Enron-related  securities,  alleging
violation of state and federal  securities laws, and common law civil conspiracy
and fraud;  (xi) an action brought by a retirement  and health  benefits plan in
connection  with the  purchase of certain  Enron  notes,  alleging  violation of
federal  securities law,  including Section 11 of the Securities Act of 1933, as
amended,  violations of state securities and unfair  competition law, and common
law fraud and  breach of  fiduciary  duty;  and (xii) an action  brought  by two
broker/dealers  in  connection  with the  purchase  of certain  notes,  alleging
violation of federal and state securities laws. Several of these cases have been
consolidated  with the Newby action and stayed  pending the Court's  decision on
the pending motions of certain defendants to dismiss Newby.


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     Additionally,  Citigroup and certain of its affiliates, including SSB, have
provided   substantial   information  to,  and  have  entered  into  substantive
discussions  with, the Securities and Exchange  Commission  regarding certain of
their  transactions with Enron and a transaction with Dynegy Inc.  Citigroup and
certain of its  affiliates,  including  SSB,  also have  received  subpoenas and
requests for information from various other regulatory and governmental agencies
and Congressional  committees, as well as from the Special Examiner in the Enron
bankruptcy, regarding certain transactions and business relationships with Enron
and  its  affiliates.   Citigroup  and  such  affiliates,   including  SSB,  are
cooperating  fully with all such  requests.

     Citigroup  and SSB are involved in a number of lawsuits  arising out of the
underwriting  of debt  securities  of  WorldCom,  Inc.  These  lawsuits  include
putative class actions filed in July 2002 by alleged purchasers of WorldCom debt
securities in the United States District Court for the Southern  District of New
York (Above  Paradise  Investments  Ltd. V.  Worldcom,  Inc., et al.;  Municipal
Police Employees Retirement System Of Louisiana V. Worldcom,  Inc., et al.), and
in the United States  District  Court for the Southern  District of  Mississippi
(Longacre  Master Fund V. Worldcom,  Inc., et al.).  These putative class action
complaints assert violations of federal  securities law,  including  Sections 11
and 12 of the Securities Act of 1933, as amended,  and seek unspecified  damages
from the underwriters.


                                       17
<PAGE>

     On October 11, 2002,  the Above  Paradise and  Municipal  Police  Employees
lawsuits filed in the United States District Court for the Southern  District of
New York were  superseded by the filing of a consolidated  putative class action
complaint in the United States  District Court for the Southern  District of New
York  (In  Re  Worldcom,  Inc.  Securities  Litigation).   In  the  consolidated
complaint,  in addition to the claims of violations by the  underwriters  of the
federal  securities law,  including  Sections 11 and 12 of the Securities Act of
1933,  as amended,  the  plaintiffs  allege  violations  of Section 10(b) of the
Securities  Exchange  Act of  1934,  as  amended,  and  Rule  10b-5  promulgated
thereunder,  by SSB arising out of alleged conflicts of interest of SSB and Jack
Grubman.  The plaintiffs continue to seek unspecified  compensatory  damages. In
addition to the consolidated  class action  complaint,  the Southern District of
Mississippi  class  action  has  been  transferred  by  the  Judicial  Panel  on
MultiDistrict  Litigation to the Southern  District of New York for  centralized
pre-trial proceedings with other WorldCom-related actions.

     In addition to the several putative class actions that have been commenced,
certain  individual  actions have been filed in various federal and state courts
against  Citigroup and SSB, along with other parties,  concerning  WorldCom debt
securities  including individual state court actions brought by approximately 18
pension  funds  and  other  institutional   investors  in  connection  with  the
underwriting of debt securities of WorldCom alleging violations of Section 11 of
the Securities Act of 1933, as amended,  and, in one case, violations of various


                                       18
<PAGE>

state  securities  laws and common law fraud.  Most of these  actions  have been
removed to federal court and have been  transferred to the Southern  District of
New York for  centralized  pre-trial  proceedings  with  other  WorldCom-related
actions.

     A putative  class action on behalf of  participants  in  WorldCom's  401(k)
salary savings plan and those  WorldCom  benefit plans covered by ERISA alleging
violations of ERISA and common law fraud  (Emanuele V. Worldcom,  Inc., Et Al.),
which was  commenced  in the United  States  District  Court for the District of
Columbia,  also has been  transferred  by the  Judicial  Panel on  MultiDistrict
Litigation  to the  Southern  District  of New  York for  centralized  pre-trial
proceedings with other  WorldCom-related  actions.  In December 2002, the claims
against SSB and the other underwriters were dismissed without prejudice.

     On or about January 27, 2003,  lead  plaintiff in a  consolidated  putative
class action in the United States  District Court for the District of New Jersey
(In Re  AT&T  Corporation  Securities  Litgation)  sought  leave  to  amend  its
complaint on behalf of purchasers of AT&T common stock asserting claims against,
among others, AT&T Corporation,  to add as named defendants  Citigroup,  SSB and
certain executive  officers and current and former  employees,  asserting claims
under federal  securities laws for allegedly  issuing research reports without a
reasonable  basis in fact and for  allegedly  failing to disclose  conflicts  of
interest with AT&T in connection with published investment research.

                                       19
<PAGE>

     On or about January 28, 2003,  lead  plaintiff in a  consolidated  putative
class action in the United States  District  Court for the Southern  District of
New  York  (In  Re  Global  Crossing,   Ltd.  Securities   Litigation)  filed  a
consolidated  complaint  on behalf of  purchasers  of the  securities  of Global
Crossing  and  its  subsidiaries,  which  names  as  defendants,  among  others,
Citigroup,  SSB and certain executive officers and current and former employees,
asserting  claims under federal  securities laws for allegedly  issuing research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts  of  interest  with  Global  Crossing  in  connection  with  published
investment research.

     SSBHI  and  various  subsidiaries  have also been  named as  defendants  in
various  matters  incident  to and typical of the  businesses  in which they are
engaged. These include numerous civil actions, arbitration proceedings and other
matters in which SSBHI's broker-dealer  subsidiaries have been named, arising in
the  normal  course of  business  out of  activities  as a broker  and dealer in
securities,  as an  underwriter  of  securities,  as  an  investment  banker  or
otherwise.  In the  opinion  of  SSBHI's  management,  none of these  actions is
expected  to have a  material  adverse  effect  on the  results  of  operations,
consolidated financial condition or liquidity of SSBHI and its subsidiaries.


                                       20
<PAGE>

Item 4. Submission of Matters to a Vote of Security Holders.

     There were no matters  submitted to the security  holders for a vote during
the last fiscal year covered by this report.

                                     PART II

Item 5.  Market for  Registrant's  Common  Equity and  Related  Security  Holder
         Matters.

          (a)  Market Information. The Partnership has issued no stock. There is
               no public market for the Units of Limited Partnership Interest.

          (b)  Holders.  The number of holders of Units of Partnership  Interest
               as  of  December  31,  2002  was  378.  (c)   Distribution.   The
               Partnership did not declare a distribution in 2002 or 2001.

          (d)  Use of Proceeds.  There were no additional  sales of Units in the
               years ended  December  31, 2002 and 2001.  For the twelve  months
               ended December 31, 2000,  there were additional sales of 591.5651
               Units totaling $835,000.

               Proceeds  from  the  sale of  additional  Units  are  used in the
               trading  of  commodity  interests  including  futures  contracts,
               options and forward contracts.
                                       21
<PAGE>

Item 6. Selected Financial Data. Realized and unrealized trading gains (losses),
interest  income,  net income (loss) and increase  (decrease) in Net Asset Value
per Unit for the years ended December 31, 2002,  2001,  2000,  1999 and 1998 and
total assets at December 31, 2002, 2001, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
<S>                               <C>            <C>             <C>             <C>            <C>
                                  2002            2001           2000           1999            1998


Realized and unrealized
 trading gains (losses)
 net of brokerage
 commissions and clearing
 fees of $1,874,426,
 $2,506,228, $3,096,407,
 $5,296,707 and $5,793,730,
 respectively                 $  8,791,282   $   (889,142)   $ (4,945,018)   $(18,354,842)   $  4,233,828

Interest income                    377,817      1,122,566       2,193,751       2,923,960       3,300,032


                              $  9,169,099   $    233,424    $ (2,751,267)   $(15,430,882)   $  7,533,860


Net income (loss)             $  8,196,531   $ (1,014,999)   $ (5,075,829)   $(19,681,820)   $  2,107,683


Increase (decrease) in
 Net Asset Value per Unit     $     431.46   $     (43.77)   $      (6.02)   $    (376.78)   $      54.16


Total assets                  $ 28,253,989   $ 37,316,295    $ 45,323,728    $ 74,994,627    $ 96,893,196
</TABLE>

                                       22
<PAGE>

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

     (a)  Liquidity.  The  Partnership  does not engage in sales of goods or ser
vices.  Its  only  assets  are  its  investment  in  the  Master,  and  interest
receivable. The Master does not engage in the sale of goods or services. Because
of the low margin deposits  normally required in commodity  trading,  relatively
small  price  movements  may result in  substantial  losses to the  Partnership,
through its investment in the Master.  Such  substantial  losses could lead to a
material  decrease in  liquidity.  To  minimize  this risk,  the Master  follows
certain policies including:

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

     (2) The Master  diversifies  its positions among various  commodities.  The
Advisor does not initiate  additional  positions in any commodity for the Master
if such  additional  positions  would  result  in  aggregate  positions  for all
commodities  requiring a margin of more than 66-2/3% of net assets of the Master
managed by the Advisor.

     (3) The Master may occasionally accept delivery of a commodity. Unless such
delivery  is  disposed  of  promptly  by  retendering   the  warehouse   receipt
representing  the  delivery  to  the  appropriate  clearinghouse,  the  physical
commodity position is fully hedged.

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


                                       23
<PAGE>

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

     (5) The Master does not utilize borrowings except short-term  borrowings if
the Master takes delivery of any cash commodities.

     (6) The Advisor may, from time to time,  employ trading  strategies such as
spreads or straddles on behalf of the Master.  The term  "spread" or  "straddle"
describes a commodity futures trading strategy involving the simultaneous buying
and selling of futures  contracts on the same commodity but involving  different
delivery  dates or markets and in which the trader expects to earn a profit from
a  widening  or  narrowing  of the  difference  between  the  prices  of the two
contracts.

     The Partnership is party to financial  instruments with  off-balance  sheet
risk,  including  derivative  financial  instruments  and  derivative  commodity
instruments,  through  its  investment  in the  Master.  The  Master is party to
financial   instruments  with  off-balance  sheet  risk,   including  derivative
financial instruments and derivative commodity instruments,  in the normal couse
of its business.  These financial instruments may include forwards,  futures and
options,  whose value is based upon an  underlying  asset,  index,  or reference
rate, and generally  represent future commitments to exchange currencies or cash
flows, or to purchase or sell other financial  instruments at specified terms at
specified  future dates.  Each of these  instruments is subject to various risks
similar to those  relating to the  underlying  financial  instruments  including
market and credit risk. The General  Partner  monitors and controls the Master's


                                       24
<PAGE>

and the Partnership's risk exposure on a daily basis through  financial,  credit
and risk  management  monitoring  systems and  accordingly  believes that it has
effective  procedures for evaluating and limiting the credit and market risks to
which the  Master  is  subject.  (See also  "Item 8.  Financial  Statements  and
Supplementary  Data"  for  further  information  on  financial  instrument  risk
included in the notes to financial statements). Other than the risks inherent in
commodity  trading,  the Partnership knows of no trends,  demands,  commitments,
events or uncertainties  which will result in or which are reasonably  likely to
result in the Partnership's  liquidity  increasing or decreasing in any material
way. The Limited Partnership  Agreement provides that the Partnership will cease
trading operations and liquidate all open positions under certain  circumstances
including  a  decrease  in Net Asset  Value per Unit to less than $350 as of the
close of business on any business day.

     (b) Capital resources. (i) The Partnership has made no material commitments
for capital expenditures as of the latest fiscal period.

     (ii) The Partnership's capital consists of the capital contributions of the
partners as  increased  or  decreased  by gains or losses on  commodity  futures
trading and by expenses, interest income, redemptions of Units and distributions
of profits,  if any.  Gains or losses on commodity  trading cannot be predicted.
Market moves in commodities are dependent upon fundamental and technical factors
which the Partnership,  through its investment in the Master,  may or may not be
able to identify.  Partnership  expenses  will  consist of, among other  things,

                                       25
<PAGE>

commissions,  management fees, administrative fees and incentive fees. The level
of these expenses is dependent upon the level of trading gains or losses and the
ability of the Advisor to identify and take advantage of price  movements in the
commodity markets, in addition to the level of Net Assets maintained. The amount
of interest  income  payable by SSB is dependent  upon interest rates over which
the Partnership has no control.

     For the year  ended  December  31,  2000,  there were  additional  sales of
591.5651 Units totaling $835,000.  The Partnership ceased to offer Units between
April 1997 and June 1999.

     No forecast can be made as to the level of redemptions in any given period.
A limited  partner  may redeem  all or some of his Units at the Net Asset  Value
thereof as of the last day of any month on fifteen days'  written  notice to the
General Partner.  For the year ended December 31, 2002,  10,759.5577  Units were
redeemed totaling $16,153,831.  For the year ended December 31, 2001, 4,875.3133
Units were redeemed totaling  $6,987,255.  For the year ended December 31, 2000,
20,951.5320 Units were redeemed totaling $24,685,129.

     Units of Limited Partnership Interest were sold to persons and entities who
are accredited  investors as that term is defined in rule 501(a) of Regulation D
under  the  Securities  Act of  1933 as well  as to  those  persons  who are not
accredited  investors  but who  have  either  a net  worth  (exclusive  of home,
furnishings and automobile)  either  individually or jointly with the investor's
spouse of at least three times his  investment in the  Partnership  (the minimum


                                       26
<PAGE>

investment for which was $25,000) or gross income for the two previous years and
projected  gross income for the current fiscal year of not less than three times
his investment in the Partnership for each year.

     (c) Results of  Operations.  For the year ended  December 31, 2002, the Net
Asset Value Per Unit increased  31.6% from $1,361.72 to $1,793.18.  For the year
ended  December  31,  2001,  the Net Asset  Value Per Unit  decreased  3.1% from
$1,405.49 to $1,361.72.  For the year ended December 31, 2000, the Net Asset per
Unit decreased 0.4% from $1,411.51 to $1,405.49.

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

     The  Partnership,  through its  investment in the Master,  experienced  net
trading gains of $1,617,086  before  commissions and expenses for the year ended
December 31, 2001. Gains were primarily  attributable to the trading of U.S. and
non-U.S. interest rates, currencies, softs and indices and were partially offset
by losses recognised in the trading of metals, energy and grains.

     The  Partnership  experienced  net  trading  losses  of  $1,848,611  before
commissions  and expenses in 2000.  Losses were  primarily  attributable  to the
trading of non-U.S. interest rates, metals, softs and indices and were partially
offset by gains  recognized  in the  trading  of  currencies,  energy  products,

                                       27
<PAGE>

grains, U.S. interest rates and livestock.

     Commodity markets are highly volatile.  Broad price  fluctuations and rapid
inflation  increase the risks involved in commodity  trading,  but also increase
the  possibility of profit.  The  profitability  of the  Partnership  and Master
depends on the existence of major price trends and the ability of the Advisor to
identify  those price trends  correctly.  Price trends are  influenced by, among
other things, changing supply and demand relationships,  weather,  governmental,
agricultural,   commercial  and  trade  programs  and  policies,   national  and
international  political and economic  events and changes in interest  rates. To
the extent that market  trends  exist and the Advisor is able to identify  them,
the Partnership and Master expect to increase capital through operations.

     (d) Operational Risk

     The Partnership,  through its investment in the Master, is directly exposed
to market risk and credit risk, which arise in the normal course of its business
activities.  Slightly  less  direct,  but  of  critical  importance,  are  risks
pertaining to operational and back office support. This is particularly the case
in a rapidly  changing  and  increasingly  global  environment  with  increasing
transaction volumes and an expansion in the number and complexity of products in
the marketplace.

Such risks include:

Operational/Settlement  Risk - the risk of financial  and  opportunity  loss and
legal liability attributable to operational problems, such as inaccurate pricing

                                       28
<PAGE>

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

Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Partnership's and the Master's ability to
gather, process, and communicate  information efficiently and securely,  without
interruption, with customers, among Units within the Partnership and the Master,
and in the markets where the Partnership participates.

Legal/Documentation  Risk - the risk of loss attributable to deficiencies in the
documentation  of  transactions  (such  as  trade  confirmations)  and  customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.

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

                                       29
<PAGE>

     (e) Critical Accounting Policies

     The General Partner believes that the accounting policies that will be most
critical to the  Partnership's  financial  condition  and results of  operations
relate to the  valuation  of the  Partnership's  positions.  The majority of the
Partnership's positions will be exchange-traded futures contracts, which will be
valued daily at settlement prices published by the exchanges. If applicable, the
Partnership's spot and forward foreign currency contracts will also be valued at
published daily  settlement  prices or at dealers'  quotes.  The General Partner
expects that under normal  circumstances  substantially all of the Partnership's
assets will be valued by objective measures and without difficulty.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

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

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


                                       30
<PAGE>

the diversification  results among the Master's open positions and the liquidity
of the markets in which it trades.

     The Master rapidly acquires and liquidates both long and short positions in
a wide range of different markets.  Consequently,  it is not possible to predict
how a  particular  future  market  scenario  will  affect  performance,  and the
Master's past performance is not necessarily indicative of its future results.

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

Quantifying the Master's Trading Value at Risk

     The  following  quantitative  disclosures  regarding  the  Master's and the
Partnership's market risk exposures contain "forward-looking  statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private  Securities  Litigation  Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act


                                       31
<PAGE>

of  1934).  All  quantitative  disclosures  in this  section  are  deemed  to be
forward-looking statements for purposes of the safe harbor except for statements
of historical fact (such as the terms of particular  contracts and the number of
market risk  sensitive  instruments  held during or at the end of the  reporting
period).

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

     Exchange  maintenance  margin  requirements have been used by the Master as
the measure of its Value at Risk.  Maintenance  margin  requirements  are set by
exchanges  to equal or exceed  the  maximum  losses  reasonably  expected  to be
incurred  in the fair value of any given  contract  in  95%-99%  of any  one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and
exchanges  using  historical  price  studies as well as an assessment of current
market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.

     In the case of market sensitive  instruments  which are not exchange traded

                                       32
<PAGE>

(almost  exclusively   currencies  in  the  case  of  the  Master),  the  margin
requirements  for the  equivalent  futures  positions have been used as Value at
Risk. In those rare cases in which a futures-equivalent margin is not available,
dealers' margins have been used.

     The fair value of the Master's futures and forward  positions does not have
any optionality  component.  However,  the Advisor trades commodity options. The
Value at Risk associated with options is reflected in the following table as the
margin requirement  attributable to the instrument underlying each option. Where
this  instrument  is a futures  contract,  the  futures  margin,  and where this
instrument is a physical commodity,  the  futures-equivalent  maintenance margin
has been used. This calculation is conservative in that it assumes that the fair
value of an option  will  decline  by the same  amount as the fair  value of the
underlying  instrument,  whereas, in fact, the fair values of the options traded
by the Master in almost all cases fluctuate to a lesser extent than those of the
underlying instruments.

     In quantifying the Master's Value at Risk, 100% positive correlation in the
different  positions  held  in each  market  risk  category  has  been  assumed.
Consequently,  the margin  requirements  applicable to the open  contracts  have
simply been added to determine each trading category's  aggregate Value at Risk.
The diversification  effects resulting from the fact that the Master's positions
are rarely, if ever, 100% positively correlated have not been reflected.


                                       33
<PAGE>

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

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions  by market  category as of  December  31, 2002 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Master have been included in  calculating  the figures set
forth below.  As of December 31, 2002,  the Master's  total  capitalization  was
$90,459,415.

                                December 31, 2001
<TABLE>
<CAPTION>
<S>                                 <C>             <C>              <C>         <C>
                                                                    Year   to  Date
                                               % of Total         High           Low
Market Sector               Value at Risk    Capitalization    Value at Risk  Value at Risk

Currencies
- OTC Contract                  $ 4,189,488         4.63%       $7,032,293     $962,872
Energy                            3,346,400         3.70%        3,346,400      557,000
Grains                              245,903         0.27%          450,900       86,150
Interest Rates U.S.                 590,280         0.65%        1,302,100      180,800
Interest Rates Non-U.S.           3,100,649         3.43%        3,493,265      979,315
Livestock                            13,500         0.02%           24,750       13,500
Metals
- Exchange Traded Contracts         418,000         0.46%          464,000       76,500
- OTC Contracts                     434,425         0.48%          550,250       48,000
Softs                               385,842         0.43%          694,904      119,740
Indices                             752,257         0.83%        1,931,347      641,735
                                 ----------        ----
Total                           $13,476,744        14.90%
                                 ----------        ------
</TABLE>

                                       34
<PAGE>

As of December 31, 2001, the Mater's total capitalization was $93,677,938.

                                December 31, 2001

<TABLE>
<CAPTION>
<S>                                 <C>             <C>              <C>         <C>
                                                                    Year   to  Date
                                               % of Total           High           Low
Market Sector                Value at Risk    Capitalization    Value at Risk  Value at Risk

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


                                       35
<PAGE>

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

     The face  value of the  market  sector  instruments  held by the  Master is
typically  many times the  applicable  maintenance  margin  requirement  (margin
requirements  generally range between 2% and 15% of contract face value) as well
as many times the  capitalization  of the Master.  The magnitude of the Master's
open  positions  creates  a "risk of ruin"  not  typically  found in most  other
investment  vehicles.  Because  of the  size of its  positions,  certain  market
conditions -- unusual,  but  historically  recurring  from time to time -- could
cause the  Master  to incur  severe  losses  over a short  period  of time.  The
foregoing  Value at Risk table -- as well as the past  performance of the Master
-- give no indication of this "risk of ruin."

Non-Trading Risk

     The Master has  non-trading  market risk on its foreign  cash  balances not
needed for  margin.  However,  these  balances  (as well as any market risk they
represent) are immaterial.

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

     The following  qualitative  disclosures  regarding the Master's market risk

                                       36
<PAGE>

exposures - except for (i) those  disclosures  that are statements of historical
fact and (ii) the descriptions of how the Partnership manages its primary market
risk  exposures - constitute  forward-looking  statements  within the meaning of
Section 27A of the  Securities  Act of 1933 and  Section  21E of the  Securities
Exchange Act of 1934. The Master's  primary market risk exposures as well as the
strategies  used and to be used by the  General  Partner  and the  Advisors  for
managing such exposures are subject to numerous uncertainties, contingencies and
risks,  any one of which could  cause the actual  results of the  Master's  risk
controls to differ materially from the objectives of such strategies. Government
interventions,  defaults and expropriations,  illiquid markets, the emergence of
dominant fundamental factors,  political upheavals,  changes in historical price
relationships,  an influx of new market  participants,  increased regulation and
many  other  factors  could  result in  material  losses as well as in  material
changes to the risk exposures and the management strategies of the Master. There
can be no  assurance  that the  Master's  current  market  exposure  and/or risk
management  strategies  will not change  materially or that any such  strategies
will be  effective  in  either  the  short-  or long - term.  Investors  must be
prepared  to  lose  all  or  substantially   all  of  their  investment  in  the
Partnership.

     The following  were the primary  trading risk exposures of the Master as of
December 31, 2002, by market sector.


                                       37
<PAGE>

     Interest  Rates.  Interest rate movements  directly affect the price of the
futures positions held by the Master and indirectly the value of its stock index
and  currency  positions.  Interest  rate  movements  in one  country as well as
relative  interest  rate  movements  between  countries  materially  impact  the
Master's  profitability.  The  Master's  primary  interest  rate  exposure is to
interest rate  fluctuations  in the United  States and the other G-7  countries.
However,  the Master also takes  futures  positions  on the  government  debt of
smaller nations -- e.g.,  Australia.  The General Partner  anticipates  that G-7
interest  rates will  remain the primary  market  exposure of the Master for the
foreseeable future.

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

     Stock Indices. The Master's primary equity exposure is to equity price risk
in the G-7  countries.  The stock index futures traded by the Master are limited
to futures on broadly  based  indices.  As of December  31,  2002,  the Master's


                                       38
<PAGE>

primary  exposures were in the Eurex (Germany) and Chicago  Mercantile  Exchange
(United States) stock indices.  The General Partner  anticipates little, if any,
trading in non-G-7 stock indices. The Master is primarily exposed to the risk of
adverse price trends or static markets in the major U.S.,  European and Japanese
indices.  (Static markets would not cause major market changes but would make it
difficult for the Master to avoid being "whipsawed" into numerous small losses.)

     Metals.  The Master's  primary metal market  exposure is to fluctuations in
the price of gold and silver.  Although the Advisor will from time to time trade
base metals such as aluminum and copper,  the principal  market exposures of the
Master have  consistently  been in the  precious  metals,  gold and silver.  The
General Partner  anticipates that gold and silver will remain the primary metals
market exposure for the Master.

     Softs. The Master's primary  commodities  exposure is to agricultural price
movements  which are often  directly  affected by severe or  unexpected  weather
conditions.  Coffee,  cotton and sugar accounted for the substantial bulk of the
Master's commodity exposure as of December 31, 2002.

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



                                       39
<PAGE>

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following were the only  non-trading risk exposures of the Master as of
December 31, 2002.

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The  General   Partner   monitors   and   controls  the  Master's  and  the
Partnership's risk exposure on a daily basis through financial,  credit and risk
management  monitoring  systems and  accordingly  believes that it has effective
procedures  for evaluating and limiting the credit and market risks to which the
Master and the Partnership are subject.

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

     The Advisor  applies its own risk management  policies to its trading.  The
Advisor often follows  diversification  guidelines,  margin limits and stop loss

                                       40
<PAGE>

points to exit a  position.  The  Advisor's  research of risk  management  often
suggests ongoing modifications to its trading programs.

     As part of the General  Partner's  risk  management,  the  General  Partner
periodically  meets with the Advisor to discuss its risk  management and to look
for  any  material  changes  to the  Advisor's  portfolio  balance  and  trading
techniques.  The  Advisor  is  required  to notify  the  General  Partner of any
material changes to its programs.




                                       41
<PAGE>

Item 8.    Financial Statements and Supplementary Data.

                   SMITH BARNEY MID-WEST FUTURES FUND L.P. II
                          INDEX TO FINANCIAL STATEMENTS

                                                                  Page
                                                                 Number

    Oath or Affirmation.                                            F-2

    Reports of Independent Accountants.                          F-3 - F4

    Financial Statements:
    Statements of Financial Condition at
    December 31, 2002 and 2001.                                     F-5

    Statements of Income and Expenses for
    the years ended December 31, 2002, 2001
    and 2000.                                                       F-6

    Statements of Partners' Capital for the
    years ended December 31, 2002, 2001 and
    2000.                                                           F-7

    Notes to Financial Statements.                               F-8 - F-11

    Selected unaudited quarterly financial
    data.                                                          F-12

    Financial Statements of the JWH Strategic
    Allocation Master Fund LLC.
    Oath or Affirmation.                                           F-13

    Reports of Independent Accountants.                         F-14 - F-15

    Statements of Financial Condition at
    December 31, 2002 and 2001.                                    F-16

    Condensed Schedules of Investments at
    December 31, 2002 and 2001.                                  F-17 - F-18

    Statements of Income and Expenses for the
    year ended December 31, 2002 and for the
    period January 26, 2001 (commencement of
    trading operations) to December 31, 2001.                       F-19

    Statements of Members' Capital for the
    year ended December 31, 2002 and for the
    period January 26, 2001 (commencement of
    trading operations) to December 31, 2001.                       F-20

    Notes to Financial Statements.                              F-21 - F-24

    Selected unaudited quarterly financial
    data.                                                          F-25

                                       F-1

<PAGE>

                           To The Limited Partners of
                   Smith Barney Mid-West Futures Fund L.P. II

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





By: /s/Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Smith Barney Futures Management LLC
       General Partner, Smith Barney Mid-West
       Futures Fund L.P. II

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



                                      F-2

<PAGE>


                         Report of Independent Auditors

To the Partners of
   Smith Barney Mid-West Futures Fund L.P. II:

We have  audited the  accompanying  statement  of  financial  condition of Smith
Barney Mid-West Futures Fund L.P. II (the Partnership), as of December 31, 2002,
and the related statements of income and expenses, and partners' capital for the
year then  ended.  These  financial  statements  are the  responsibility  of the
Partnership's  management.  Our responsibility is to express an opinion on these
financial  statements  based  on our  audit.  The  financial  statements  of the
Partnership  as of December  31, 2001 and for the years ended  December 31, 2001
and 2000 were audited by other  auditors  whose  report dated  February 28, 2002
expressed an unqualified opinion on those statements.

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

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the financial position of Smith Barney Mid-West Futures
Fund L.P. II as of December  31,  2002,  and the results of its  operations  and
changes in its partners'  capital for the year then ended,  in  conformity  with
accounting principles generally accepted in the United States of America.

KPMG LLP
New York, New York
March 7, 2003

                                      F-3
<PAGE>


                        Report of Independent Accountants

To the Partners of
   Smith Barney Mid-West Futures Fund L.P. II:

In our opinion,  the  accompanying  statement of  financial  condition,  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly,  in all  material  respects,  the  financial  position  of Smith  Barney
Mid-West  Futures  Fund L.P. II at  December  31,  2001,  and the results of its
operations  for each of the two years in the period ended  December 31, 2001, in
conformity with accounting principles generally accepted in the United States of
America.  These financial statements are the responsibility of the management of
the  General  Partner;  our  responsibility  is to  express  an opinion on these
financial  statements  based on our  audits.  We  conducted  our audits of these
financial statements in accordance with auditing standards generally accepted in
the United  States of America,  which require that we plan and perform the audit
to obtain reasonable  assurance about whether the financial  statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and  disclosures in the financial  statements,  assessing
the accounting  principles used and significant estimates made by the management
of  the  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audits  provide a  reasonable  basis for our
opinion.


PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                      F-4
<PAGE>



                   Smith Barney Mid-West Futures Fund L.P. II
                        Statements of Financial Condition
                           December 31, 2002 and 2001
<TABLE>
<CAPTION>
<S>                                                                           <C>                  <C>
                                                                             2002                 2001
Assets:
Investment in Master, at fair value                                       $28,212,288          $37,231,806
Cash                                                                           19,882               42,242
                                                                         ------------         ------------
                                                                           28,232,170           37,274,048
Interest receivable                                                            21,819               42,247
                                                                         ------------         ------------
                                                                          $28,253,989          $37,316,295
                                                                          ------------         ------------

Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions (Note 3c)                                                     $141,270             $186,581
   Management fees (Note 3b)                                                   46,812               61,844
   Administrative fees (Note 3a)                                               23,406               30,922
   Professional fees                                                           21,578               19,605
   Other                                                                        3,920                3,952
  Redemptions payable (Note 5)                                                195,333            1,234,421
                                                                         ------------         ------------
                                                                              432,319            1,537,325
                                                                         ------------         ------------
Partners' capital (Notes 1 and 5):
  General Partner, 451.3070 and 608.9156 Units equivalents
   outstanding in 2002 and 2001, respectively                                 809,275              829,173
  Limited Partners, 15,063.9866 and 25,665.9357 Units of Limited
   Partnership Interest outstanding in 2002 and 2001, respectively         27,012,395           34,949,797
                                                                         ------------         ------------
                                                                           27,821,670           35,778,970
                                                                         ------------         ------------
                                                                          $28,253,989          $37,316,295
                                                                          ------------         ------------
</TABLE>


See accompanying notes to financial statements.
                                      F-5
<PAGE>


                   Smith Barney Mid-West Futures Fund L.P. II
                        Statements of Income and Expenses
                               for the years ended
                        December 31, 2002, 2001 and 2000

<TABLE>
<CAPTION>
<S>                                                            <C>              <C>                  <C>
                                                             2002               2001               2000

Income:
  Realized gains on closed positions and foreign
   currencies from Master                                 $9,359,691          $3,950,697       $         --
  Change in unrealized gains (losses) on open
   positions from Master                                   1,399,002          (1,000,510)                --
  Expenses allocated from Master                             (92,985)            (64,302)
  Net gains (losses) on trading of commodity
   interests:
   Realized gains (losses) on closed positions                    --           1,696,703*        (9,558,900)
   Change in unrealized gains (losses) on
    open positions                                                --          (2,965,502)*        7,710,289
                                                        ------------        ------------       ------------
                                                          10,665,708           1,617,086         (1,848,611)
  Interest income (Note 3c)                                  377,817           1,122,566          2,193,751
                                                        ------------        ------------       ------------
                                                          11,043,525           2,739,652            345,140
                                                        ------------        ------------       ------------
Expenses:
  Brokerage commissions including clearing fees
   of $53,530 in 2000 (Note 3c)                            1,874,426           2,506,228          3,096,407
  Management fees (Note 3b)                                  620,986             809,363          1,764,892
  Administrative fees (Note 3a)                              310,492             404,680            491,529
  Professional fees                                           36,313              27,287             54,693
  Other expenses                                               4,777               7,093             13,448
                                                        ------------        ------------       ------------
                                                           2,846,994           3,754,651          5,420,969
                                                        ------------        ------------       ------------
Net income (loss)                                         $8,196,531         $(1,014,999)       $(5,075,829)
                                                        ------------        ------------        ------------
Net income (loss) per Unit of Limited Partnership
  Interest and General Partner Unit equivalent
  (Notes 1 and 6)                                            $431.46             $(43.77)            $(6.02)
                                                         -----------         -----------         -----------
</TABLE>


* For the period from January 1, 2001 to January 25, 2001 (Note 1)
See accompanying notes to financial statements.

                                      F-6
<PAGE>


                   Smith Barney Mid-West Futures Fund L.P. II
                         Statements of Partners' Capital
                               for the years ended
                        December 31, 2002, 2001 and 2000

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

Partners' capital at December 31, 1999                $71,847,692           $859,490           $72,707,182
Net loss                                               (5,072,164)            (3,665)           (5,075,829)
Sale of 591.5651 Units of Limited
  Partnership Interest                                    835,000                 --               835,000
Redemption of 20,951.5320 Units of Limited
  Partnership Interest                                (24,685,129)                --           (24,685,129)
                                                   --------------        -----------        --------------
Partners' capital at December 31, 2000                 42,925,399            855,825            43,781,224
Net loss                                                 (988,347)           (26,652)           (1,014,999)
Redemption of 4,875.3133 Units of Limited
  Partnership Interest                                 (6,987,255)                --            (6,987,255)
                                                   --------------        -----------        --------------
Partners' capital at December 31, 2001                 34,949,797            829,173            35,778,970
Net income                                              7,936,656            259,875             8,196,531
Redemption of 10,601.9491 Units of Limited
  Partnership Interest and 157.6086 Units of
  General Partnership Interest                        (15,874,058)          (279,773)          (16,153,831)
                                                   --------------        -----------        --------------
Partners' capital at December 31, 2002                $27,012,395           $809,275           $27,821,670
                                                    -------------         -----------        -------------
</TABLE>


See accompanying notes to financial statements.
                                      F-7

<PAGE>


                   Smith Barney Mid-West Futures Fund L.P. II
                          Notes to Financial Statements

1.  Partnership Organization:

     Smith Barney Mid-West Futures Fund L.P. II (the "Partnership") is a limited
     partnership  which was organized on June 3, 1994 under the partnership laws
     of  the  State  of  New  York  to  engage  directly  or  indirectly  in the
     speculative  trading of a  diversified  portfolio  of  commodity  interests
     including futures contracts, options and forward contracts. The Partnership
     commenced trading on December 2, 1991. From December 2, 1991 to January 25,
     2001, the  Partnership  engaged  directly in the  speculative  trading of a
     diversified portfolio of commodity interests.  The commodity interests that
     are traded by the  Partnership  are  volatile  and involve a high degree of
     market risk. The Partnership was authorized to sell 75,000 Units during its
     initial offering period. As of June 7, 1999, the Partnership was authorized
     to sell an additional 25,000 Units.

     Effective January 26, 2001, the Partnership  transferred  substantially all
     of its assets as a tax-free transfer to the JWH Strategic Allocation Master
     Fund  LLC,  a New York  limited  liability  company  (the  "Master"),  as a
     non-managing member for 42,510.5077 Units of the Master and a fair value of
     $42,510,508.  The  Master  was  formed in order to permit  commodity  pools
     managed  now or in the  future  by  John  W.  Henry &  Company,  Inc.  (the
     "Advisor")   using  the  Strategic   Allocation   Program,   the  Advisor's
     proprietary  trading  program,  to invest together in one trading  vehicle.
     Smith Barney Futures  Management LLC (the "General Partner") is the general
     partner of the Partnership and the managing member of the Master.  Expenses
     to investors as a result of the investment in the Master are  approximately
     the same and redemption rights are not affected.

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

     At December  31,  2002 and 2001,  the  Partnership  owns 31.19% and 39.74%,
     respectively of the Master. It is the  Partnership's  intention to continue
     to invest substantially all of its assets in the Master. The performance of
     the Partnership is directly affected by the performance of the Master.

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

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

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
     following:  December 31, 2014; when the net asset value of a Unit decreases
     to less than $350 as of the close of business on any business day; or under
     certain  other   circumstances  as  defined  in  the  Limited   Partnership
     Agreement.

2.  Accounting Policies:

     a.   The value of the  Partnership's  investment in the Master reflects the
          Partnership's  proportional  interest in the  members'  capital of the
          Master.  All of the income and  expenses and  unrealized  and realized
          gains and losses  from the  commodity  transactions  of the Master are
          allocated   pro  rata  among  the   investors  at  the  time  of  such
          determination. All commodity interests (including derivative financial
          instruments and derivative  commodity  instruments) held by the Master
          and prior to January 26, 2001 by the  Partnership are used for trading
          purposes.  The commodity interests are recorded on trade date and open
          contracts are recorded in the statement of financial condition at fair
          value on the last business day of the year,  which  represents  market
          value for those  commodity  interests for which market  quotations are
          readily available.  Investments in commodity interests  denominated in
          foreign  currencies are translated  into U.S.  dollars at the exchange
          rates prevailing on the last business day of the year.  Realized gains
          (losses) and changes in unrealized  gains  (losses) on open  positions
          are  recognized  in the period in which the  contract is closed or the
          changes  occur and are  included  in net gains  (losses) on trading of
          commodity interests.

                                      F-8
<PAGE>

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

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

     d.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3.  Agreements:

    a. Limited Partnership Agreement:

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

    b. Management Agreement:

     The  Management  Agreement  that the  General  Partner,  on  behalf  of the
     Partnership,  entered into with the Advisor,  provides that the Advisor has
     sole  discretion  in  determining  the  allocation  of  the  assets  of the
     Partnership by the General Partner.  For the period January 1, 2000 through
     September  30, 2000,  the  Partnership  was  obligated to pay the Advisor a
     monthly  management  fee of 1/3 of 1% (4% per year) of month-end Net Assets
     allocated to the Advisor and an incentive fee payable  quarterly,  equal to
     15% of the New Trading Profits, as defined in the Management Agreement. For
     the  period  October 1, 2000 to  January  25,  2001,  the  Partnership  was
     obligated  to pay the Advisor a monthly  management  fee equal to 1/6 of 1%
     (2% per year) of month-end Net Assets managed by the Advisor. Month-end Net
     Assets,  for the purpose of calculating  management fees are Net Assets, as
     defined in the Limited  Partnership  Agreement,  prior to the  reduction of
     redemptions  and incentive fees. In addition,  the Partnership  will pay an
     incentive fee, payable quarterly,  equal to 20% of the New Trading Profits,
     as defined in the Management Agreement, of the Partnership.

     Effective January 26, 2001, the Partnership is obligated to pay the Advisor
     a monthly  management fee equal to 1/6 of 1% (2% per year) of month-end Net
     Assets  allocated  pro-rata  by the Master and an  incentive  fee,  payable
     quarterly,  equal to 20% of the New Trading Profits  allocated  pro-rata by
     the Master, as defined in the Management Agreement.

    c. Customer Agreement

     Prior to January 26, 2001, the  Partnership  had a Customer  Agreement with
     SSB whereby SSB provided services which included,  among other things,  the
     execution of transactions for the Partnership's  account in accordance with
     orders  placed by the  Advisor.  The  Partnership  was  obligated  to pay a
     monthly  brokerage  fee to SSB equal to 1/2 of 1 % of month-end  Net Assets
     (6% per year) in lieu of  brokerage  commissions  on a per trade basis (the
     "Brokerage  Fee").  Month-end  Net Assets,  for the purpose of  calculating
     commissions  are  Net  Assets,  as  defined  in  the  Limited   Partnership
     Agreement,  prior to the reduction of all liabilities of the Partnership. A
     portion of this fee is paid to  employees of SSB who have sold Units of the
     Partnership.  This fee did not include exchange, clearing, floor brokerage,
     user, give-up and National Futures Association fees which were borne by the
                                      F-9
<PAGE>

     Partnership.  Effective  January 26, 2001, the  Partnership is obligated to
     pay the Brokerage Fee based on month-end Net Assets allocated pro-rata from
     the Master.  Effective  January 26, 2001,  all  exchange,  clearing,  user,
     give-up,  floor  brokerage and National  Futures  Association  fees will be
     borne by the Master and allocated to the Partnership through its investment
     in Master.  Effective  January  26,  2001,  cash  margin  requirements  are
     maintained  by the Master.  For the period from  January 1, 2001 to January
     25, 2001,  SSB paid the  Partnership  interest on 80% of the average  daily
     equity  maintained  in cash in its  account  during  each month at a 30-day
     Treasury bill rate  determined  weekly by SSB based on the  non-competitive
     yield on 3-month U.S.  Treasury  bills maturing in 30 days from the date on
     which such weekly rate is determined.  Effective January 26, 2001, SSB will
     pay the Partnership  interest on 80% of the average daily equity  allocated
     pro-rata to the  Partnership by the Master during each month at the rate of
     the  average  non-competitive  yield  of  13-week  U.S.  Treasury  bills as
     determined at the weekly  auctions  thereof during the month.  The Customer
     Agreement  between the  Partnership and SSB gives the Partnership the legal
     right to net  unrealized  gains and losses.  The Customer  Agreement may be
     terminated upon notice by either party.

4.  Trading Activities:

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

5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the General Partner;  however,  a limited partner may redeem all or some of
     their Units at the Net Asset Value  thereof as of the last day of any month
     beginning  with the first full month  ending at least  three  months  after
     trading commenced on fifteen days written notice to the General Partner.

     The  Partnership  is permitted to withdraw all or a portion of its interest
     in the Master as of each  month-end in order to meet its  obligations  with
     respect to the redemption rights of limited partners.

6.  Financial Highlights:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended December 31, 2002, 2001 and 2000 were as follows:

<TABLE>
<CAPTION>
<S>                                                                     <C>               <C>             <C>
                                                                       2002             2001              2000

    Net realized and unrealized gains (losses)*                       $463.00          $(38.33)           $(4.51)
    Interest income                                                     19.08            38.33             53.49
    Expenses**                                                         (50.62)          (43.77)           (55.00)
                                                                   ----------       ----------        ----------
    Increase (decrease) for year                                       431.46           (43.77)            (6.02)
    Net asset value per Unit, beginning of year                      1,361.72         1,405.49          1,411.51
                                                                   ----------       ----------        ----------
    Net asset value per Unit, end of year                           $1,793.18        $1,361.72         $1,405.49
                                                                   -----------       -----------      -----------

    Ratio of net investment loss, to average net assets***               (8.5)%           (6.1)%
    Ratio of expenses, including brokerage commissions, to
     average net assets                                                   9.8%             8.8%
    Ratio of net income (loss) to average net assets ****                27.2%            (2.3)%
    Total return                                                         31.9%            (3.1)%
</TABLE>

    *    Includes brokerage commissions
    **   Excludes brokerage commissions *** Interest income less total expenses
    **** Supplemental information not required

     The above ratios may vary for individual  investors  based on the timing of
capital transactions during the year.


                                      F-10
<PAGE>



7.  Financial Instrument Risks:

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

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

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

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

     The majority of these  instruments  mature  within one year of December 31,
     2002. However,  due to the nature of the  Partnership's/Master's  business,
     these instruments may not be held to maturity.


                                      F-11
<PAGE>

     Selected  unaudited  quarterly  financial data for the years ended December
     31, 2002 and December 31, 2001 is summarized below:
<TABLE>
<CAPTION>
<S>                                                   <C>               <C>                  <C>                     <C>
                                                For the period       For the period     For the period           For the period
                                                     from                 from               from                     from
                                                October 1, 2002      July 1, 2002        April 1, 2002           January 1, 2002
                                                      to                   to                   to                     to
                                              December 31, 2002    September 30, 2002    June 30, 2002            March 31, 2002
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                       $ (2,807,315)        $ 6,165,953         $ 9,257,872              $ (3,430,458)

Net Income (loss)                                $ (3,037,323)        $ 5,916,110         $ 9,009,608              $ (3,691,864)

Increase (decrease) in Net Asset
 Value per Unit                                    $ (190.28)            $ 345.91            $ 420.73                 $ (144.90)


                                                For the period       For the period     For the period             For the period
                                                     from                 from               from                       from
                                                October 1, 2001       July 1, 2001       April 1, 2001            January 1, 2001
                                                      to                   to                 to                        to
                                              December 31, 2001    September 30, 2001    June 30, 2001             March 31, 2001

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                       ($1,511,073)          $1,963,592        ($5,291,606)               $5,090,804

Net Income (loss)                                ($1,793,716)          $1,655,853        ($5,615,574)               $4,738,438

Increase (decrease) in Net Asset
 Value per Unit                                      ($65.79)              $60.24           ($192.88)                  $154.66
</TABLE>


                                      F-12
<PAGE>

                                To The Members of
                    JWH Strategic Allocation Master Fund LLC

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






By: /s/Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Smith Barney Futures Management LLC
       Managing Member, JWH Strategic Allocation
       Master Fund LLC

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



                                      F-13

<PAGE>


                         Report of Independent Auditors

To the Members of
JWH Strategic Allocation Master Fund LLC:

We have  audited  the  accompanying  statement  of  financial  condition  of JWH
Strategic  Allocation  Master Fund LLC (the  Company),  including  the condensed
schedule of investments  as of December 31, 2002, and the related  statements of
income  and  expenses,  and  members'  capital  for the year then  ended.  These
financial  statements  are  the  responsibility  of  the  Managing  Member.  Our
responsibility  is to express an opinion on these financial  statements based on
our audit.  The financial  statements of the Company as of December 31, 2001 and
for the period from January 26, 2001 (commencement of operations) to December 31
2001 were  audited by other  auditors  whose  report  dated  February  28,  2002
expressed an unqualified opinion on those statements.

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

In our opinion,  the financial  statements  referred to above present fairly, in
all material respects, the financial position of JWH Strategic Allocation Master
Fund LLC as of December 31, 2002,  and the results of its operations and changes
in its members'  capital for the year then ended,  in conformity with accounting
principles generally accepted in the United States of America.

KPMG LLP
New York, New York
March 7, 2003


                                      F-14
<PAGE>


                        Report of Independent Accountants

To the Members of
   JWH Strategic Allocation Master Fund LLC:

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



PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                      F-15

<PAGE>



                    JWH Strategic Allocation Master Fund LLC
                        Statements of Financial Condition
                           December 31, 2002 and 2001



<TABLE>
<CAPTION>
<S>                                                                           <C>               <C>
                                                                             2002                 2001
Assets:
   Equity in commodity futures trading account:
    Cash (restricted $15,044,312 and $13,748,339 in 2002 and 2001,        $81,112,283          $88,330,292
      respectively)
    Net unrealized appreciation on open positions*                          9,394,955            5,392,646
                                                                         ------------         ------------
                                                                          $90,507,238          $93,722,938
                                                                          ------------         ------------

Liabilities and Members' Capital:
Liabilities:
  Accrued expenses:
   Professional fees                                                          $47,823              $45,000
                                                                         ------------         ------------
                                                                               47,823               45,000
                                                                         ------------         ------------
Members' capital:
  Members' capital, 60,664.1530 and 89,573.7730 Units outstanding
   in 2002 and 2001, respectively                                          90,459,415           93,677,938
                                                                         ------------         ------------
                                                                          $90,507,238          $93,722,938
                                                                          ------------         ------------
</TABLE>


*  Forward contracts included in this balance are presented gross in the
   accompanying Condensed Schedule of Investments.

See accompanying notes to financial statements.

                                      F-16

<PAGE>


                            JWH Strategic Allocation
                                 Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2002

<TABLE>
<CAPTION>
<S>                                    <C>                    <C>                                                 <C>
                                    Notional
Sector                              Amount                 Contract                                             Fair Value

Currencies                                                 Unrealized appreciation on forward contracts 8.23%
                                     EUR (116,850,000)     EUR/USD 3.52%, March 19, 2003                       $3,188,260
                                     CHF (60,550,000)      CHF/USD 1.82%, March 19, 2003                        1,644,000
                                     JPY (9,565,600,000)   JPY/USD 1.51%, March 19, 2003                        1,364,829
                                                           Other 1.38%                                          1,251,826
                                                           Unrealized depreciation on forward contracts (2.61)%(2,364,747)
                                                                                                                ----------
   Total Currencies 5.62%                                   Total forward contracts 5.62%                       5,084,168
                                                                                                                ---------

Total Energy 1.22%                                         Futures contracts purchased 1.22%                    1,104,121
                                                                                                                ---------

Grains                                                     Futures contracts purchased (0.01)%                    (10,640)
                                                           Futures contracts sold 0.36%                           329,388
                                                                                                                ---------
  Total Grains 0.35%                                                                                              318,748
                                                                                                                ---------

Interest Rates U.S.                                        Futures contracts purchased 0.55%                      497,228
                                                           Futures contracts sold (0.96)%                        (872,094)
                                                                                                                ---------
  Total Interest Rates U.S. (0.41)%                                                                              (374,866)
                                                                                                                ---------

Total Interest Rates Non-U.S.2.78%                         Futures contracts purchased 2.78%                    2,515,874
                                                                                                                ---------

Total Livestock 0.03%                                      Futures contracts purchased 0.03%                       23,980
                                                                                                                ---------

Metals                                                     Futures contracts purchased 1.01%                      916,440

                                                           Unrealized appreciation on forward contracts 0.09%      79,435
                                                            Unrealized depreciation on forward contracts (0.35)% (313,193)
                                                                                                                ---------
                                                           Total forward contracts (0.26)%                       (233,758)
                                                                                                                ---------
  Total Metals 0.75%                                                                                              682,682
                                                                                                                ---------

Softs                                                      Futures contracts purchased 0.27%                      246,814
                                                           Futures contracts sold (0.00)%*                         (2,844)
                                                                                                                ---------
  Total Softs 0.27%                                                                                               243,970
                                                                                                                ---------

Indices                                                    Futures contracts purchased (0.24)%                   (222,005)
                                                           Futures contracts sold 0.02%                            18,283
                                                                                                                ---------
  Total Indices (0.22)%                                                                                          (203,722)
                                                                                                                ---------
Total Fair Value 10.39%                                                                                        $9,394,955
                                                                                                                ==========
                                                    Investments             % of Investments
Country Composition                                at Fair Value             at Fair Value

Australia                                              $220,191                    2.34%
Canada                                                   51,439                    0.55
Germany                                                 879,354                    9.36
Japan                                                   771,920                    8.22
United Kingdom                                          195,396                    2.08
United States                                         7,276,655                   77.45
                                              -------------------------- ------------------------
                                                     $9,394,955                  100.00%
                                              ========================== ========================
</TABLE>

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

                                      F-17
<PAGE>


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

<TABLE>
<CAPTION>
<S>                                    <C>                    <C>                                                 <C>
                                    Notional
Sector                              Amount                 Contract                                             Fair Value

Currencies
                                                             Over the counter contracts sold  5.89%
                                JPY    (16,890,265,200)      JPY/USD  5.98%, March 20, 2002                  $5,601,926
                                                             Other  (0.09)%                                     (84,884)
                                                             Over the counter contracts purchased 0.11%         105,908
                                                                                                              ---------
   Total Currencies 6.00%                                                                                     5,622,950
                                                                                                              ---------

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

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

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

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

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

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

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

Total Indices 0.11%                                          Futures contracts purchased  0.11%                  105,783
                                                                                                              ---------
Total Fair Value 5.76%                                                                                        $5,392,646
                                                                                                              ==========
                                                    Investments             % of Investments
Country Composition                                at Fair Value             at Fair Value

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

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

                                      F-18
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                        Statements of Income and Expenses
                    for the year ended December 31, 2002 and
                      for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                           <C>             <C>
                                                            2002               2001
Income:
  Net gains on trading of commodity interests:
   Realized gains on closed positions and
    foreign currencies                                   $29,185,102          $9,307,481
   Change in unrealized gains (losses)
    on open positions                                      4,002,309          (2,710,941)
                                                        ------------        ------------
                                                          33,187,411           6,596,540
                                                        ------------        ------------

Expenses:
  Clearing fees                                              220,446             230,343
  Professional fees                                           50,000              45,000
                                                        ------------        ------------
                                                             270,446             275,343
                                                        ------------        ------------
Net income                                               $32,916,965          $6,321,197
                                                        -------------       ------------
Net income per Unit of Member Interest                       $445.33              $45.82
                                                        -------------       ------------
</TABLE>


See accompanying notes to financial statements.

                                      F-19
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Statement of Members' Capital
                    for the year ended December 31, 2002 and
                      for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001





                                                         Members'
                                                          Capital

Initial capital contribution from the Members
  representing 74,020.3930 Units                      $74,020,393
Net Income                                              6,321,197
Sale of 29,596.7052 Units of
  Members' Interest                                    28,929,324
Redemption of 14,043.3252 Units of
  Members' Interest                                   (15,592,976)
                                                   --------------
Members' capital at December 31, 2001                  93,677,938
Net Income                                             32,916,965
Sale of 3,545.8883 Units of Members' Interest           4,638,927
Redemption of 32,455.5083 Units of
  Members' Interests                                  (40,774,415)
                                                    -------------
Members' capital at December 31, 2002                 $90,459,415
                                                     -------------


See accompanying notes to financial statements.

                                      F-20
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Notes to Financial Statements



1.  General:

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

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

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors  consist of Mid-West,  Mid-West II, The Aspetuck  Fund L.P.,  The
     Saugatuck Fund L.P. and JWH Global  Strategies  Limited  (collectively  the
     "Feeder Funds") with 29.68%, 31.19%, 6.17%, 30.76% and 2.20% investments in
     the Master, for 2002 respectively.

     Smith Barney Futures  Management LLC is the managing  member (the "Managing
     Member") of the Master.  The  Master's  commodity  broker is Salomon  Smith
     Barney Inc.  ("SSB").  SSB is an  affiliate  of the  Managing  Member.  The
     Managing  Member is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc. As of December 31, 2002, all trading decisions
     for the Master are made by the Advisor.

2.  Accounting Policies:

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

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


                                      F-21
<PAGE>



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

3.  a. Managing Member Agreement:

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

    b. Management Agreement:

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

    c. Customer Agreement:

     The Master has  entered  into a Customer  Agreement  with SSB  whereby  SSB
     provides services which include,  among the other things,  the execution of
     transactions  for the Master's  account in accordance with orders placed by
     the Advisor.  All exchange,  clearing,  user, give-up,  floor brokerage and
     National Futures  Association fees are borne by the Master.  All other fees
     including SSB's direct  brokerage  commission  shall be borne by the Feeder
     Funds.  All of the Master's assets are deposited in the Master's account at
     SSB. The Master's cash is deposited by SSB in  segregated  bank accounts to
     the extent required by Commodity Futures Trading Commission regulations. At
     December  31,  2002 and 2001,  the  amount of cash held by the  Master  for
     margin  requirements  was $15,044,312 and  $13,748,339,  respectively.  The
     Customer  Agreement  between  the Master and SSB gives the Master the legal
     right to net  unrealized  gains and losses.  The Customer  Agreement may be
     terminated upon notice by either party.

4.  Trading Activities:

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

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes.  The average fair value for the year ended  December 31, 2002 and
     for the period from January 26, 2001  (commencement of trading  operations)
     to December 31, 2001,  based on a monthly  calculation,  was $9,163,093 and
     $5,146,554, respectively.


                                      F-22
<PAGE>



5.  Distributions and Redemptions:

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

6.  Financial Highlights:

     Changes  in the net asset  value per Unit of Member  interest  for the year
     ended  December  31,  2002  and  for  the  period  from  January  26,  2001
     (commencement of trading operations) to December 31, 2001 were as follows:

<TABLE>
<CAPTION>
<S>                                                                     <C>              <C>
                                                                        2002             2001

    Net realized and unrealized gains**                               $446.04           $46.32
    Expenses***                                                         (0.71)           (0.50)
                                                                   ----------       ----------
    Increase for period                                                445.33            45.82
    Net asset value per Unit, beginning of period                    1,045.82         1,000.00
                                                                   ----------       ----------
    Net asset value per Unit, end of period                         $1,491.15        $1,045.82
                                                                  -----------       -----------
     Ratio of expenses to average net assets *(***)                       0.3%             0.3%
     Ratio of net income to average net assets *(***)(****)              35.9%             7.4%
     Ratio of net investment income to average
        net assets *(***)                                                (0.3)%           (0.3)%
     Total return                                                        42.6%             4.6%

</TABLE>

     *    Annualized in 2001.
     ** Includes clearing fees. *** Excludes clearing fees.
     **** Supplemental information not required.

     The above ratios may vary for individual investors based on the
        timing of capital transactions during the year.

7.  Financial Instrument Risks:

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



                                      F-23

<PAGE>


     market and credit risk. In general, the risks associated with OTC contracts
     are greater than those associated with exchange traded instruments  because
     of the greater risk of default by the counterparty to an OTC contract.

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

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

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

     The majority of these  instruments  mature  within one year of December 31,
     2002.  However,  due  to  the  nature  of  the  Master's  business,   these
     instruments may not be held to maturity.




                                      F-24
<PAGE>


     Selected  unaudited  quarterly  financial data for the years ended December
     31, 2002 and December 31, 2001 is summarized below:

<TABLE>
<CAPTION>
<S>                                              <C>                   <C>                    <C>               <C>
                                             For the period       For the period      For the period        For the period
                                                  from                  from               from                  from
                                             October 1, 2002       July 1, 2002        April 1, 2002        January 1, 2002
                                                   to                   to                   to                  to
                                             December 31, 2002    September 30, 2002    June 30, 2002       March 31, 2002
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                      $ (7,583,868)         $20,470,126         $28,166,096       $ (8,085,389)

Net Income (loss)                               $ (7,598,868)         $20,457,626         $28,154,846       $ (8,096,639)

Increase (decrease) in Net Asset
 Value per Unit                                    $ (125.14)            $ 308.13            $ 355.22          $ ( 92.88)


                                               For the period       For the period     For the period    For the period
                                                    from                 from               from              from
                                               October 1, 2001       July 1, 2001       April 1, 2001    January 26, 2001
                                                     to                   to                 to                to
                                             December 31, 2001    September 30, 2001    June 30, 2001     March 31, 2001
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                      $ (2,262,278)         $ 5,561,450      $ (11,365,758)     $ 14,432,783

Net Income (loss)                               $ (2,307,278)         $ 5,561,450      $ (11,365,758)     $ 14,432,783

Increase (decrease) in Net Asset
 Value per Unit                                     $ (49.16)             $ 62.24          $ (125.04)         $ 157.78

</TABLE>




                                      F-25


<PAGE>



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

     PricewaterhouseCoopers  LLP was previously the principal accountant for the
Partnership.  On July 9, 2002,  that firm was dismissed as principal  accountant
and KPMG LLP was  engaged  as  principal  accountant.  The  decision  to  change
accountants was approved by the general partner of the Partnership.

     In  connection  with the audits of the two fiscal years ended  December 31,
2001,   and   through   July  9,  2002,   there  were  no   disagreements   with
PricewaterhouseCoopers  LLP on any matter of accounting principles or practices,
financial  statement  disclosure,   or  auditing  scope  or  procedures,   which
disagreements  if not resolved to their  satisfaction  would have caused them to
make  reference  thereto in their reports on the financial  statements  for such
years.

     The audit reports of PricewaterhouseCoopers LLP on the financial statements
of the  Partnership as of and for the years ended December 31, 2001 and 2000 did
not  contain  any  adverse  opinion  or  disclaimer  of  opinion,  nor were they
qualified or modified as to uncertainty, audit scope, or accounting principle.

                                    PART III

Item 10. Directors and Executive Officers of the Registrant.

     The Partnership has no officers or directors and its affairs are managed by
its General Partner,  Smith Barney Futures Management LLC. Investment  decisions
are made by John W. Henry & Company, Inc. (the "Advisor").


                                       42
<PAGE>

Item 11. Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Smith  Barney  Futures  Management  LLC,  its General  Partner,  which  receives
compensation  for its services,  as set forth under "Item 1.  Business." SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business."  During the year ended December 31, 2002, SSB earned $1,874,426 in
brokerage  commissions  and  clearing  fees.  The  Advisor  earned  $620,986  in
management  fees during  2002.  During the year ended  December  31,  2002,  the
General Partner earned $310,492 in administrative fees. The Advisor did not earn
an incentive fee in the year ended December 31, 2002.

Item 12. Security Ownership of Certain Beneficial Owners and Management.

     (a). Security ownership of certain beneficial owners. The Partnership knows
of no person who beneficially owns more than 5% of the Units outstanding.

     (b).  Security  ownership  of  management.  Under the terms of the  Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent to 451.3070  (2.9%) Units of partnership  interest as of December 31,
2002.

     (c). Changes in control. None.

                                       43
<PAGE>


Item 13. Certain Relationships and Related Transactions.

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

Item 14. Control and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures  as of a date within 90 days of the filing of this report,  the Chief
Executive  Officer and Chief Financial Officer have concluded that such controls
and procedures are effective.

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.

                                     PART IV

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

          (a) (1)   Financial Statements:  Statement of  Financial  Condition at
                    December 31, 2002 and 2001.

                    Statement  of  Income  and  Expenses  for  the  years  ended
                    December 31, 2002, 2001 and 2000.

                    Statement of Partners'  Capital for the years ended December
                    31, 2002, 2001 and 2000.

                                       44
<PAGE>

                    (2)  Financial Statement Schedules:  Financial Data Schedule
                         for year ended December 31, 2002.

                    (3) Exhibits:

                    3.1  -  Certificate  of  Limited   Partnership   (previously
                         filed).

                    3.2  - Limited Partnership Agreement (previously filed).

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

                    10.2 -  Customer  Agreement  between  Registrant  and  Smith
                         Barney Shearson Inc. (previously filed).

                    10.3 - Form of Subscription Agreement (previously filed).

                    10.4 - Letter  dated  February  16,  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  John  W.  Henry  &  Co.,  Inc.   extending
                         Management  Agreement  to  June  30,  1996  (previously
                         filed).

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

                                       45
<PAGE>

                    10.7 - Letter  from the  General  Partner to John W. Henry &
                         Company,  Inc. extending  Management 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 the  General  Partner to John W. Henry &
                         Company,  Inc. extending  Management Agreement for 2001
                         (previously filed).

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

                    99.1 Certificate of Chief Executive Officer.

                    99.2 Certificate of Chief Financial Officer.

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

                                       46
<PAGE>


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




Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.


                                       47
<PAGE>

                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K to be signed on its behalf by the  undersigned,  thereunto duly authorized,
in the City of New York and State of New York on the 28th day of March 2003.


SMITH BARNEY MID-WEST FUTURES FUND L.P. II


By:       Smith Barney Futures Management LLC
          (General Partner)



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


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


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



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



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

                                       48
<PAGE>


    TYPE>                            EX-27
    DESCRIPTION>                     FINANCIAL DATA SCHEDULE
TEXT>
ARTICLE>                             5
CIK>                                 0001013167
NAME>                                Smith Barney Mid-West Futures Fund L.P. II
<TABLE>
<S>                                                   <C>
PERIOD-TYPE>                                       12-MONTHS
FISCAL-YEAR-END>                                   DEC-31-2002
PERIOD-START>                                      JAN-01-2002
PERIOD-END>                                        DEC-31-2002
CASH>                                                      28,212,288
SECURITIES>                                                    19,882
RECEIVABLES>                                                   21,819
ALLOWANCES>                                                         0
INVENTORY>                                                          0
CURRENT-ASSETS>                                            28,253,989
PP&E>                                                               0
DEPRECIATION>                                                       0
TOTAL-ASSETS>                                              28,253,989
CURRENT-LIABILITIES>                                          432,319
BONDS>                                                              0
PREFERRED-MANDATORY>                                                0
PREFERRED>                                                          0
COMMON>                                                             0
OTHER-SE>                                                  27,821,670
TOTAL-LIABILITY-AND-EQUITY>                                28,253,989
SALES>                                                              0
TOTAL-REVENUES>                                            11,043,525
CGS>                                                                0
TOTAL-COSTS>                                                        0
OTHER-EXPENSES>                                             2,846,994
LOSS-PROVISION>                                                     0
INTEREST-EXPENSE>                                                   0
INCOME-PRETAX>                                              8,196,531
INCOME-TAX>                                                         0
INCOME-CONTINUING>                                                  0
DISCONTINUED>                                                       0
EXTRAORDINARY>                                                      0
CHANGES>                                                            0
NET-INCOME>                                                 8,196,531
EPS-PRIMARY>                                                   431.46
EPS-DILUTED>                                                        0
</TABLE>
<PAGE>

                                  Exhibit 99.1
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Smith Barney Mid-West  Futures Fund L.P.
II (the  "Partnership")  on Form 10-K for the year ending  December  31, 2002 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"),  I, David J. Vogel, President of Smith Barney Futures Management LLC,
certify,  pursuant to 18 U.S.C.  ss. 1350, as adopted pursuant to ss. 906 of the
Sarbanes-Oxley Act of 2002, that:

          (1) The Report fully complies with the requirements of section 13(a)
or 15(d) of the Securities Exchange Act of 1934; and
          (2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.

/s/ David J. Vogel
    David J. Vogel
    Smith Barney Futures Management LLC
    Chief Executive Officer
    March 28, 2003
<PAGE>
                                  Exhibit 99.2
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Smith Barney Mid-West  Futures Fund L.P.
II (the  "Partnership")  on Form 10-K for the year ending  December  31, 2002 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"), I, Daniel R. McAuliffe,  Jr., Chief Financial Officer and Director of
Smith Barney Futures Management LLC, certify, pursuant to 18 U.S.C. ss. 1350, as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.

/s/ Daniel R. McAuliffe, Jr
    Daniel R. McAuliffe, Jr.
    Smith Barney Futures Management LLC
    Chief Financial Officer and Director
    March 28, 2003