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, 2003

   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 Citigroup Managed Futures LLC
                             399 Park Ave. - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (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: Redeemable 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 Act).

                                                      Yes   X    No

Limited Partnership Redeemable Units with an aggregate value of $27,650,072 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 29, 2004,  13,472.2129 Limited Partnership  Redeemable Units were
outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None

<PAGE>

                                     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.  Between July 7, 1994 and August 31,
1994,  9,421  redeemable  units of  Limited  Partnership  Interest  ("Redeemable
Units")  were sold at $1,000 per  Redeemable  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.  From September 1, 1994 to
January 25, 2001, the Partnership engaged directly in the speculative trading of
a diversified  portfolio of commodity  interests  including  futures  contracts,
options and forward contracts. The Partnership has invested all of its assets in
the JWH  Strategic  Allocation  Master  Fund LLC, a New York  Limited  Liability
Company  (the  "Master").  The  commodity  interests  traded by the  Master  are
volatile and involve a high degree of market risk.  Partnership Redeemable Units
were being  continuously  offered monthly during the continuous  offering period
through April 1997. The  Partnership  was  authorized to sell 75,000  Redeemable
Units.  As of June 7, 1999, the Partnership was authorized to sell an additional
25,000 Redeemable  Units.  Sales and redemptions of Redeemable Units and general
partner  contributions  and  redemptions for the years ending December 31, 2003,
2002,  and 2001 are reported in the  Statement of Partners'  Capital on page F-7
under "Item 8. Financial Statements and Supplementary Data."

     Effective January 26, 2001, the Partnership allocated  substantially all of
its capital to the Master. With this cash, the Partnership purchased 42,510.5077
Units of the Master with 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. ("JWH") (the "Advisor") using the Strategic  Allocation  Program,
JWH's  proprietary  trading program,  to invest together in one trading vehicle.
Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management LLC,
acts as the general  partner (the  "General  Partner") of the  Partnership.  The
General  Partner is the managing  member (the "Managing  Member") of the Master.
Individual  and  pooled  accounts   currently  managed  by  JWH,  including  the
Partnership   (collectively,   the  "Feeder  Funds"),  are  permitted  to  be  a
non-managing  member of the  Master.  The General  Partner and JWH believe  that
trading  through this  master/feeder  structure  should  promote  efficiency and
economy in the trading process.  Expenses to investors as a result of investment
in the Master are approximately the same and redemption rights are not affected.

     At December  31,  2003 and 2002,  the  Partnership  owns 18.11% and 31.19%,
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.

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

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<PAGE>

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

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following:  December 31, 2014; if the Net Asset Value per Redeemable  Unit falls
below $350 per Redeemable  Unit 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").

     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 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.  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. 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,  who will make all commodity  trading
decisions for the  Partnership.  The Advisor is not affiliated  with the General
Partner or CGM. The Advisor is not responsible for the organization or operation
of the Partnership.

     Pursuant  to the  terms of the  Management  Agreement  the  Partnership  is
obligated to pay the Advisor a monthly management fee equal to 1/6 of 1% (2% per
year) of month-end Net Assets  allocated  pro-rata by the Master.  Month-end Net
Assets,  for the  purpose of  calculating  management  fees are Net  Assets,  as
defined  in  the  Limited  Partnership  Agreement,  prior  to the  reduction  of
redemptions and incentive fees. In addition, the Partnership is obligated to pay
the Advisor 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 CGM (the  "Customer  Agreement")  provided  that the  Partnership  pay CGM 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").
Month-end Net Assets for the purpose of calculating  brokerage  commissions  are
Net  Assets,  as  defined in the  Limited  Partnership  Agreement,  prior to the
reduction of accrued expenses and redemptions payable. CGM pays a portion of its
Brokerage Fees to its financial  consultants who have sold  Redeemable  Units of
the Partnership.  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

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<PAGE>

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.

     The  Customer  Agreement  between  the  Master and CGM gives the Master 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, CGM paid 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  CGM  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,
CGM  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 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, 2003,
2002, 2001, 2000 and 1999 are set forth under "Item 6. Selected Financial Data."
The Partnership's capital as of December 31, 2003 was $25,854,335.

     (c)  Narrative description of business.

          See  Paragraphs (a) and (b) above.

          (i)  through (xii) - Not applicable.

          (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.

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

Item 2. Properties.

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

                                       4
<PAGE>

Item 3.   Legal Proceedings.

     This section  describes  the major pending  legal  proceedings,  other than
ordinary  routine  litigation  incidental  to the business,  to which  Citigroup
Global  Markets  Holdings Inc.  ("CGMHI") 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.

     Citigroup  Managed Futures LLC.  ("CGM") is a New York corporation with its
principal place of business at 388 Greenwich  Street,  New York, New York 10013.
CGM 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.  CGM and its affiliates also provide
investment banking and other financial services for clients worldwide.

     There  have been no  material  administrative,  civil or  criminal  actions
within the past five years against CGM or any of its  individual  principals and
no such actions are currently pending, except as follows.

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
Salomon Smith Barney,  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.  Salomon  Smith  Barney and the
remaining  brokerage firms settled with Orange County in mid 1999. Salomon Smith
Barney 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 sought a
determination   that  Smith  Barney  Inc.  and  another   underwriter  would  be
responsible  for any damages  that the City may incur in the event the  Internal
Revenue  Service  ("IRS")  denies  tax  exempt  status  to  the  City's  General
Obligation  Refunding  Bonds  Series  1991.  The  complaints  were  subsequently
amended.  Salomon  Smith  Barney  has  asked the court to  dismiss  the  amended
complaints.  The court denied the motion but stayed the case. Subsequently,  the
City withdrew its lawsuit.

     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  Salomon Smith
Barney,  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  plaintiffs  filed a second
amended  complaint.  In November 1999, Salomon Smith Barney moved to dismiss the
amended complaint.  In May 2001, the parties reached and the court preliminarily
approved a tentative settlement.  Salomon Smith Barney paid $1,063,457 to settle
this matter and in September 2001, the court approved the settlement.




                                       5
<PAGE>

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

     In December  1998,  Salomon  Smith Barney 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,   Salomon  Smith  Barney,  without  admitting  or  denying  the  factual
allegations, agreed to an order that required that it: (i) cease and desist from
committing  or  causing  any  violations  of  Sections  15(c)(1)  and (2) of the
Securities  Exchange  Act of  1934  and  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 April 2002,  numerous class action complaints were filed against Salomon
Smith  Barney  and other  investment  banks in the U.S.  District  Court for the
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 the complaints.

     In April 2002,  Citigroup and, in one case, Salomon Smith Barney 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  employees  (Tittle,  et al.  v.  Enron  Corp.,  et al.),  alleges
violations of ERISA and the Racketeer Influenced and Corrupt  Organizations Act,
as well as  negligence  and civil  conspiracy.  On May 8,  2002,  Citigroup  and
Salomon  Smith Barney filed motions to dismiss the  complaints.  On December 19,
2002, the motions to dismiss the Newby  complaint were denied.  On September 30,
2003,  all  of the  claims  against  Citigroup  in the  Tittle  litigation  were
dismissed.

     Several additional actions,  previously identified,  have been consolidated
with the Newby action and are stayed,  except with respect to certain discovery,
until after the Court's decision on class certification.  In addition,  on April
17,  2003,  an action was brought by two  investment  firms in  connection  with
purchases  of Osprey  Trust  certificates  for  alleged  violations  of  federal
securities  laws and state  securities  and other laws.  Also,  in July 2003, an
action was  brought by  purchasers  in the  secondary  market of Enron bank debt
against  Citigroup,  Citibank,  Citigroup Global Markets,  and others,  alleging
claims for common law fraud, conspiracy, gross negligence, negligence and breach
of fiduciary duty.

     Since April 2002,  Salomon  Smith Barney 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  Salomon Smith  Barney's

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<PAGE>

internal e-mail retention practices and research on Winstar Communications, Inc.
With  respect to Winstar,  Salomon  Smith  Barney has entered  into a settlement
agreement.  Salomon  Smith  Barney  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, Salomon Smith Barney and a number of other  broker/dealers
reached a  settlement-in-principle  with the SEC,  the NASD,  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  Salomon  Smith  Barney's  and  other  firms'  e-mail  retention
practices,  Salomon Smith Barney and several other  broker/dealers and the NASD,
the NYSE and the SEC entered  into a  settlement  agreement  in  December  2002.
Salomon  Smith Barney agreed to pay a penalty in the amount of $1.65 million and
did not admit any wrongdoing.

     Since May 2002, Citigroup,  Salomon Smith Barney and certain principals and
current  and  former  employees  have been  named as  defendants  in a number of
alleged  class  action  complaints  filed 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  Salomon Smith  Barney,  and certain of their current and
former directors,  officers and employees, along with other parties,  including:
(1) three  alleged  class  actions  filed in state courts and federal  courts on
behalf of persons who maintained  accounts with Salomon Smith Barney  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 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, Salomon Smith Barney and various of its affiliates



                                       7
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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  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,  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 the  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 New Power  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 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) an alleged class action brought by clients of
Salomon  Smith Barney 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,  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.  On April 17, 2003,  the motion to dismiss the complaints in the putative
class actions relating to the New Power Holdings common stock was denied.

     Additionally,  Citigroup and certain of its affiliates,  including  Salomon
Smith Barney,  have provided  substantial  information to, and have entered into
substantive  discussions with, the SEC regarding  certain of their  transactions
with Enron and a  transaction  with  Dynegy  Inc.  Citigroup  and certain of its
affiliates,  including  Salomon Smith Barney,  also have received  subpoenas and

                                       8
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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 its  affiliates,  including  Salomon  Smith
Barney, are cooperating fully with all such requests.

     On July 28, 2003,  Citigroup entered into a final settlement agreement with
the  SEC  to  resolve  the  SEC's  outstanding   investigations  into  Citigroup
transactions with Enron and Dynegy.  Pursuant to the settlement,  Citigroup has,
among other terms,  (1)  consented to the entry of an  administrative  cease and
desist order,  which bars  Citigroup  from  committing or causing  violations of
provisions of the federal  securities  laws,  and (2) agreed to pay $120 million
($101.25  million  allocable to Enron and $18.75  million  allocable to Dynegy).
Citigroup  entered  into  this  settlement  without  admitting  or  denying  any
wrongdoing or liability,  and the  settlement  does not establish  wrongdoing or
liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A.
entered into an  agreement  with the Office of the  Comptroller  of the Currency
("OCC") and Citigroup entered into an agreement with the Federal Reserve Bank of
New York  ("FED")  to  resolve  their  inquiries  into  certain  of  Citigroup's
transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have
agreed to submit plans to the OCC and FED, respectively,  regarding the handling
of complex structured  finance  transactions.  Also on July 28, 2003,  Citigroup
entered into a  settlement  agreement  with the  Manhattan  District  Attorney's
Office to resolve its  investigation  into certain of  Citigroup's  transactions
with  Enron;  pursuant  to the  settlement,  Citigroup  has  agreed to pay $25.5
million and to abide by its agreements with the SEC, OCC and FED.

     Citigroup  and Salomon  Smith  Barney are  involved in a number of lawsuits
arising out of the  underwriting  of debt  securities  of WorldCom,  Inc.  These
lawsuits include alleged 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 alleged
class action complaints assert violations of federal  securities law,  including
Sections 11 and 12 of the Securities Act of 1933, and seek  unspecified  damages
from the underwriters.

     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  alleged 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,  the  plaintiffs  allege  violations  of Section  10(b) of the  Securities
Exchange Act of 1934, and Rule 10b-5  promulgated  thereunder,  by Salomon Smith
Barney arising out of alleged  conflicts of interest of Salomon Smith Barney and
certain  of  its  principals.   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. On
May 19, 2003, the motion to dismiss the amended complaint in the WorldCom,  Inc.
Securities Litigation was denied.

                                       9
<PAGE>

     In addition to the several  alleged class actions that have been commenced,
certain  individual  actions have been filed in various federal and state courts
against Citigroup and Salomon Smith Barney, 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 and, in one case, violations of various
state  securities  laws and common law fraud.  Citigroup  and/or  Salomon  Smith
Barney  are now  named in  approximately  35 of  these  individual  state  court
actions.  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. On October 24, 2003, the court
granted plaintiffs' motion to have this matter certified as a class action.

     An alleged  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,  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  Salomon  Smith  Barney  and the other
underwriters were dismissed without prejudice.

     On or about January 27, 2003, the lead plaintiff in a consolidated  alleged
class action in the United States  District Court for the District of New Jersey
(In Re AT&T Corporation  Securities  Litigation)  sought permission 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,  Salomon
Smith Barney 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. By order dated March 27, 2003, the court denied plaintiffs' request to
amend their complaint to add as defendants  Citigroup,  Salomon Smith Barney and
certain of their executive officers and current and former employees.

     On or about January 28, 2003, the lead plaintiff in a consolidated  alleged
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,  Salomon Smith Barney 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.

     On March 5, 2003, an action was brought on behalf of the  purchasers of the
Yosemite  Notes and Enron Credit  Linked  Notes,  alleging  violation of federal
securities laws.

     On April 9, 2003, an action was brought by a group of related  mutual funds
that purchased certain Yosemite Notes,  alleging  violations of state securities
laws and common law claims.


                                       10
<PAGE>

     On April 28, 2003,  Citigroup  Global  Markets  (formerly  known as Salomon
Smith Barney)  announced  final  agreements with the SEC, the NASD, the NYSE and
the New York Attorney  General (as lead state among the 50 states,  the District
of  Columbia  and  Puerto  Rico)  to  resolve  on a  civil  basis  all of  their
outstanding investigations into its research and IPO allocation and distribution
practices. As part of the settlements, Salomon Smith Barney has consented to the
entry of (1) an injunction  under the federal  securities  laws to be entered in
the United States District Court for the Southern District of New York,  barring
Salomon Smith Barney from violating  provisions of the federal  securities  laws
and related  NASD and NYSE rules  relating to research,  certain IPO  allocation
practices,   the  safeguarding  of  material   nonpublic   information  and  the
maintenance of required books and records, and requiring Salomon Smith Barney to
adopt and enforce new  restrictions  on the  operation of research;  (2) an NASD
Acceptance Waiver and Consent requiring Salomon Smith Barney to cease and desist
from violations of corresponding  NASD rules and requiring  Salomon Smith Barney
to adopt and  enforce the same new  restrictions;  (3) an NYSE  Stipulation  and
Consent  requiring  Salomon Smith Barney to cease and desist from  violations of
corresponding NYSE rules and requiring Salomon Smith Barney to adopt and enforce
the same new restrictions;  and (4) an Assurance of Discontinuance  with the New
York Attorney General containing substantially the same or similar restrictions.
As required  by the  settlements,  Salomon  Smith  Barney  expects to enter into
related  settlements with each of the other states, the District of Columbia and
Puerto Rico. Consistent with the  settlement-in-principle  announced in December
2002,  these  settlements  require  Salomon Smith Barney to pay $300 million for
retrospective  relief,  plus $25 million for investor  education,  and commit to
spend $75 million to provide independent  third-party research to its clients at
no charge.  Salomon  Smith  Barney  reached  these final  settlement  agreements
without admitting or denying any wrongdoing or liability. The settlements do not
establish wrongdoing or liability for purposes of any other proceeding. The $300
million was accrued during the fourth quarter of 2002.

     On June 23,  2003,  the West  Virginia  Attorney  General  filed an  action
against  Citigroup  Global Markets  Holdings Inc. and nine other firms that were
parties to the April 28, 2003  settlement  with the SEC, the NASD,  the NYSE and
the New York Attorney  General (the  "Research  Settlement").  The West Virginia
Attorney  General  alleges that the firms  violated the West  Virginia  Consumer
Credit and Protection Act in connection with their research activities and seeks
monetary penalties.

     In May 2003,  the SEC,  NYSE and NASD  issued a  subpoena  and  letters  to
Citigroup Global Markets Holdings Inc. requesting documents and information with
respect to their continuing  investigation of individuals in connection with the
supervision  of the research and  investment  banking  departments  of Citigroup
Global  Markets  Holdings  Inc.  Other parties to the Research  Settlement  have
received similar subpoena and letters.

     In April 2003,  to  effectuate  the  Research  Settlement,  the SEC filed a
Complaint  and  Final  Judgment  in the  United  States  District  Court for the
Southern  District of New York. Also in April 2003, the NASD accepted the Letter
of Acceptance,  Waiver and Consent  entered into with  Citigroup  Global Markets
Holdings Inc. in connection with the Research  Settlement;  and in May 2003, the
NYSE advised  Citigroup  Global Markets  Holdings Inc. that the Hearing  Panel's
Decision,  in which it  accepted  the  Research  Settlement,  had become  final.
Citigroup  Global Markets  Holdings Inc. is currently in discussion with various
of the states with respect to completion of the state components of the Research
Settlement.  Payment will be made in conformance with the payment  provisions of
the Final Judgment.  On October 31, 2003, the Final Judgment was entered against
Salomon Smith Barney and nine other investment banks. In addition, Salomon Smith

                                       11
<PAGE>

Barney has entered into separate settlement  agreements with numerous states and
certain U.S. territories.

     On June 6, 2003,  the  complaint in a  pre-existing  putative  class action
pending in the United States District Court for the Southern  District of Texas,
brought by purchasers of publicly  traded debt and equity  securities of Dynegy,
Inc.,  was amended to add  Citigroup,  Citibank  and  Citigroup  Global  Markets
Holdings  Inc., as well as other banks,  as defendants.  The  plaintiffs  allege
violations of the federal securities laws against the Citigroup defendants.

     On  July 6,  2003,  an  adversary  proceeding  was  filed  by the  Official
Committee of Unsecured  Creditors on behalf of Adelphia  against certain lenders
and  investment  banks,   including  Citigroup  Global  Markets  Holdings  Inc.,
Citibank,  N.A.,  Citicorp USA, Inc.,  and Citigroup  Financial  Products,  Inc.
(together,  the Citigroup  Parties).  The  Complaint  alleges that the Citigroup
Parties and numerous  other  defendants  committed acts in violation of the Bank
Company Holding Act and the common law. The complaint seeks equitable relief and
an unspecified amount of compensatory and punitive damages.

     In addition,  Salomon Smith Barney Inc.  (predecessor  of Citigroup  Global
Markets Inc.) is among the underwriters  named in numerous civil actions brought
to date by investors in Adelphia debt  securities  in  connection  with Adelphia
securities  offerings  between  September  1997 and October  2001.  Three of the
complaints also assert claims against  Citigroup Inc. and Citibank,  N.A. All of
the complaints allege violations of federal  securities laws, and certain of the
complaints also allege  violations of state  securities laws and the common law.
The complaints seek unspecified damages.

     On August 15, 2003, a purported  class action was brought by  purchasers of
Enron stock  alleging  state law claims of negligent  misrepresentation,  fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary duty.

     On August 29, 2003,  an investment  company  filed a lawsuit  alleging that
Citigroup,  Citigroup  Global Markets and several other  defendants  (including,
among others,  Enron's auditor,  financial  institutions,  outside law firms and
rating agencies) engaged in a conspiracy,  which purportedly caused plaintiff to
lose credit (in the form of a commodity  sales contract) it extended to an Enron
subsidiary in purported reliance on Enron's financial  statements.  On September
24, 2003,  Enron filed a  preferential  proceeding  in its Chapter 11 bankruptcy
proceedings to recover alleged  preferential  payments and fraudulent  transfers
involving  Citigroup,  Citigroup  Global  Markets  and  other  entities,  and to
disallow or to subordinate  bankruptcy  claims that Citigroup,  Citigroup Global
Markets and other entities have filed against Enron.

     In the course of its business, Citigroup Global Markets, as a major futures
commission merchant and broker-dealer,  is a party to various claims and routine
regulatory  investigations  and proceedings that the General Partner believes do
not have a material effect on the business of Citigroup Global Markets.

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.

                                       12
<PAGE>

                                     PART II

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

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

          (b)  Holders. The number of holders of Redeemable Units of Partnership
               Interest as of December 31, 2003 was 355.

          (c)  Distribution.  The  Partnership did not declare a distribution in
               2003 or 2002.

          (d)  Use of Proceeds.  There were no  additional  sales of  Redeemable
               Units in the years ended December 31, 2003, 2002 and 2001.


                                       13
<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 Redeemable Unit for the years ended December 31, 2003, 2002, 2001, 2000, and
1999 and total assets at December 31, 2003,  2002,  2001, 2000, and 1999 were as
follows:



<TABLE>
<CAPTION>
<S>                                    <C>              <C>          <C>            <C>             <C>
                                     2003            2002           2001            2000            1999
                                    ----------     -----------    ----------     -----------     ------------

Realized and unrealized
trading gains (losses) net of
expenses allocated from
Master, brokerage commissions
and clearing fees of
$1,758,106, $1,874,426,
$2,506,228, $3,096,407, and
$5,296,707, respectively           $ 1,983,308     $ 8,791,282    $ (889,142)    $(4,945,018)   $(18,354,842)

Interest income                        229,309         377,817     1,122,566       2,193,751       2,923,960
                                    ----------     -----------    ----------     -----------     ------------
                                   $ 2,212,617     $ 9,169,099      $233,424     $(2,751,267)   $(15,430,882)


Net income (loss)                  $ 1,115,014     $ 8,196,531   $(1,014,999)    $(5,075,829)   $(19,681,820)
                                    ----------     -----------    ----------     -----------     ------------


Increase (decrease) in Net
Asset Value per Redeemable
Unit                                   $ 52.86         $431.46       $(43.77)         $(6.02)       $(376.78)
                                    ----------     -----------    ----------     -----------     ------------

Total assets                       $26,296,781     $28,253,989    $37,316,295    $45,323,728     $74,994,627
                                    ----------     -----------    ----------     -----------     ------------
</TABLE>

                                       14
<PAGE>


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

Overview

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

     The  General   Partner/Managing   Member   manages  all   business  of  the
Partnership/Master. The General Partner has delegated its responsibility for the
investment  of the  Partnership's  assets to JWH. The  Partnership  has invested
these assets in the Master.  The General Partner employs a team of approximately
15  professionals  whose primary  emphasis is on attempting to maintain  quality
control  among the  Advisors  to the  Partnerships  operated  or  managed by the
General  Partner.   A  full-time  staff  of  due  diligence   professionals  use
state-of-the-art  technology and on-site evaluations to monitor new and existing
futures money managers.  The accounting and operations staff provide  processing
of  trading   activity  and  reporting  to  limited   partners  and   regulatory
authorities.  In selecting the Advisor for the Partnership,  the General Partner
considered past performance, trading style, volatility of markets traded and fee
requirements.

     Responsibilities of the General Partner include:

          o    due diligence examinations of the Advisor;

          o    selection, appointment and termination of the Advisor;

          o    negotiation of the management agreement; and

          o    monitoring the activity of the Advisor.

     In addition,  the General  Partner/Managing  Member  prepares the books and
records  and  provides  the  administrative  and  compliance  services  that are
required by law or regulation  from time to time in connection with operation of
the Partnership/Master. These services include the preparation of required books
and records and reports to limited partners, government agencies and regulators;
computation of net asset value;  calculation of fees;  effecting  subscriptions,
redemptions  and limited  partner  communications;  and  preparation of offering
documents and sales literature.

     The General Partner/Managing Member shall seek the best prices and services
available  in  its  commodity  futures  brokerage   transactions.   The  General
Partner/Managing  Member reviews at least annually,  the brokerage rates charged
to commodity  pools  similar to the  Partnership/Master  to  determine  that the
brokerage fee the Partnership/Master pays is competitive with other rates.

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

                                       15
<PAGE>

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

     JWH currently operates 11 investment  programs including SAP. Any or all of
the other ten programs may be included in SAP from time to time. Each investment
program has distinctive style, timing, and market  characteristics.  SAP program
selection  and  allocations  are made at the  discretion  of the JWH  Investment
Policy Committee.

     As of December 31, 2003, the Master's  assets were allocated  among the JWH
programs as follows:

<TABLE>
<CAPTION>
<S>                                      <C>
                                    Percentage
                                 Allocation in the
                                   Master as of
                                 December 31, 2003
     Broadly Diversified
     Programs

     o   Original Investment
         Program                        17.5%

     o   Global Diversified
         Portfolio                        10%

     o   JWH
         GlobalAnalytics(R)               10%

      Family of Programs

     Financial Programs

     o   Financial and
         Metals Portfolio                 15%

     o   Global Financial &
         Energy Portfolio                 20%

     o   Worldwide Bond
         Program                           5%

         Multiple Style Programs

     o   Currency Strategic
         Allocation Program             22.5%
</TABLE>



                                       16
<PAGE>

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

     As  a  managed  futures  Partnership,   the  Partnership's  performance  is
dependent upon the successful trading of the  Partnership's/Master's  Advisor to
achieve the Partnership's/Master's objectives. It is the business of the General
Partner/Managing   Member  to  monitor  the  Advisor's   performance  to  assure
compliance with the Partnership's/Master's  trading policies and to determine if
the  Advisor's  performance  is meeting the  Partnership's/Master's  objectives.
Based on 2003 results,  the General Partner continues to believe the Advisor and
the trading of SAP have met the Partnership's objectives and expects to continue
to allocate  the  Partnership's/Master's  assets to the Advisor and this program
unless otherwise indicated.

(a) Liquidity.

     The  Partnership  does not engage in sales of goods or  services.  Its only
assets are its  investment  in the  Master  and cash.  Because of the low margin
deposits normally required in commodity futures trading,  relatively small price
movements  may result in  substantial  losses to the  Master.  Such  substantial
losses could lead to a material loss in liquidity.

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

     (i)  The Master  invests its assets  only in  commodity  interests  that an
          Advisor  believes  are traded in  sufficient  volume to permit ease of
          taking and liquidating positions.  Sufficient volume, in this context,
          refers to a level of liquidity  that the Advisor  believes will permit
          it to enter and exit trades without noticeably moving the market.

     (ii) An Advisor will not initiate additional  positions in any commodity if
          these positions would result in aggregate positions requiring a margin
          of more than 66 2/3% of the  Master's  net  assets  allocated  to that
          Advisor.

     (iii)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.

     (iv) The Master does not employ the  trading  technique  commonly  known as
          "pyramiding",  in which the  speculator  uses  unrealized  profits  on
          existing  positions as margin for the  purchases or sale of additional
          positions in the same or related commodities.

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

     (vi) The Advisors 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

                                       17
<PAGE>

          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.

     (vii)The Master  will not  permit the  churning  of its  commodity  trading
          account.  The term  "churning"  refers to the practice of entering and
          exiting trades with a frequency  unwarranted by legitimate  efforts to
          profit  from the trades,  driven by the desire to generate  commission
          income.

     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.

     In the  normal  course  of  business,  the  Master  is party  to  financial
instruments  with  off-balance  sheet  risk,   including   derivative  financial
instruments and derivative commodity  instruments.  These financial  instruments
include  forwards,  futures,  options and swaps,  whose values are based upon an
underlying  asset,  index or reference  rate,  and  generally  represent  future
commitments to exchange  currencies or cash flows,  or to purchase or sell other
financial  instruments at specified terms at specified  future dates, or, in the
case of derivative commodity interests,  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,  swaps and  certain  options.  Each of these  instruments  is
subject to various risks similar to those relating 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 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 credit
risk and concentration risk because the sole counterparty or broker with respect
to the Master's assets is CGM.

     The General Partner/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 General  Partner/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,

                                       18
<PAGE>

margin requirements,  gain and loss transactions and collateral positions.  (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  futures and swaps trading,  the
Master knows of no trends, demands,  commitments,  events or uncertainties which
will  result  in or which  are  reasonably  likely  to  result  in the  Master's
liquidity  increasing or decreasing in any material way. The Limited Partnership
Agreement  provides that the General Partner may, in its  discretion,  cause the
Partnership to cease trading  operations and liquidate all open positions  under
certain  circumstances  including a decrease  in Net Asset Value per  Redeemable
Unit to less than $350 as of the close of business on any business day.

(b)  Capital resources.

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

     (ii) The Partnership's capital consists of the capital contributions of the
partners  as  increased  or  decreased  by gains or  losses  on  trading  and by
expenses,  interest income, redemptions of Redeemable Units and distributions of
profits, if any. Gains or losses on trading cannot be predicted. Market moves in
commodities  are dependent  upon  fundamental  and  technical  factors which the
Advisor may or may not be able to identify,  such as changing  supply and demand
relationships,  weather, government agricultural,  commercial and trade programs
and  policies,  national and  international  political  and economic  events and
changes in interest rates.  Partnership expenses consist of, among other things,
commissions,  advisory fees and administrative fees. The level of these expenses
is  dependent  upon the level of  trading  and the  ability of the  Advisors  to
identify and take  advantage of price  movements in the  commodity  markets,  in
addition  to the level of Net  Assets  maintained.  In  addition,  the amount of
interest  income  payable by CGM is dependent upon interest rates over which the
Partnership has no control.

     No forecast can be made as to the level of redemptions in any given period.
A limited  partner  may  redeem all or some of his  Redeemable  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, 2003,  1,509.9888
Redeemable Units were redeemed totaling $3,082,349.  For the year ended December
31, 2002, 10,759.5577  Redeemable Units were redeemed totaling $16,153,831.  For
the year ended  December 31, 2001,  4,875.3133  Redeemable  Units were  redeemed
totaling $6,987,255.

     Redeemable 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
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.

                                       19
<PAGE>

(j) Results of Operations.

     For the year ended  December 31, 2003,  the Net Asset per  Redeemable  Unit
increased  2.9% from  $1,793.18 to  $1,846.04.  For the year ended  December 31,
2002, the Net Asset Value Per Redeemable  Unit increased 31.7% from $1,361.72 to
$1,793.18.  For the year  ended  December  31,  2001,  the Net  Asset  Value Per
Redeemable Unit decreased 3.1% from $1,405.49 to $1,361.72.

     The  Partnership,  through its investment in the Master,  experienced a net
trading gains of $3,848,959  before  commissions and expenses for the year ended
December  31,  2003.  Gains were  attributable  to the  trading  of  currencies,
livestock, metals and stock indices and were partially offset by losses incurred
in the trading of energy, grains, U.S. and non-U.S. interest rates and softs.

     In 2003,  the markets had  periodic  strong  trends and then just as strong
reversals resulting in a mixed year for the Partnership's overall performance.

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

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

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

     The Iraq war was the focus for much of the first half of the year. Like any
uncertain event,  there is the market reaction to the impending event, the event
itself when uncertainty is resolved and the response to the event. The first two
months  of the  year  represented  the  pre-war  uncertainty.  With  uncertainty
concerning when hostilities would begin and the possible impact of these events,
investors showed a desire to move to a defensive and conservative stance. Equity
markets sold-off,  the dollar sold-off,  gold prices rose, bond markets rallied,
and the energy  markets  exhibited a risk premium  concerning  potential  supply
disruptions.  This was a  continuation  of many of the trends  carried over from
2002. During the first two months of the year, the Advisor's  programs had solid
performance, up over 23%.

                                       20
<PAGE>

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

     In a transition to economic recovery and growth, the major markets began to
reflect  changed  expectations  in the  middle  of June.  The  announcements  of
consistent,  positive macroeconomic news led to the unexpected  pronouncement of
no further  easing  actions  by the ECB and the Fed.  News of  stronger  growth,
especially  in the U.S.,  suggested  that the  deflationary  story may have been
over-done;  consequently,  there was a trend change, interest rates moved up off
40 year lows.  Additionally,  the dollar  actually  rallied on the  positive  US
economic news,  reversing the slide from earlier in the year. In both cases, the
program saw a giveback in JWH trading  profits,  as the markets  transitioned to
new trends.

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

     The final period of 2003 was the renewed dollar  decline  beginning in late
November.  Regardless of the strong growth exhibited in the United States in the
third quarter,  the best in 20 years,  the dollar began a new significant  slide
against both the euro and yen. This led to significant  fourth quarter  profits,
which boosted performance for many of the JWH programs. It is notable how smooth
the  declining  trend in the dollar was  relative to many markets that ended the
year not much  differently  from where they  began.  During this  period,  other
market  sectors were unable to find very strong trends,  as the dollar  concerns
did not carry over to  equities  or fixed  income.  With  limited  news in other
markets, there were no changes in trading ranges.

     In the  General  Partner's  opinion,  the Advisor  continues  to employ its
trading  methods in a  consistent  and  disciplined  manner and its  results are
consistent  with the  objectives of the  Partnership  and  expectations  for the
Advisor's  programs.  The General  Partner  continues  to monitor the  Advisor's
performance  on a daily,  weekly,  monthly  and  annual  basis to  assure  these
objectives are met.

     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.

                                       21
<PAGE>

     The  Partnership,  through its  investment in the Master,  experienced  net
trading gains of $1,681,388  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 recognized in the trading of metals, energy and grains.

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

(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 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 Redeemable Units within
the Partnership and the Master, and in the markets where the Partnership and the
Master participate.

     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
unit holders, creditors, and regulators, is free of material errors.


                                       22
<PAGE>

(e)      Critical Accounting Policies.

     The  preparation  of financial  statements  in conformity  with  accounting
principles generally accepted in the United States of America requires estimates
and  assumptions  that affect the  reported  amounts of assets and  liabilities,
revenues  and  expenses,  and  related  disclosures  of  contingent  assets  and
liabilities in the financial statements and accompanying notes.

     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
period,  which represents  market value for those commodity  interests for which
market  quotations are readily  available or other measures of fair value deemed
appropriate by management of the General Partner for those  commodity  interests
and foreign  currencies for which market  quotations are not readily  available,
including dealer quotes for swaps and certain option  contracts.  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 period.
Realized gains (losses) and changes in unrealized values on commodity  interests
and foreign  currencies  are  recognized  in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.

     Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed  quantity of foreign  currency for an  agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the  Partnership's net equity therein,  representing  unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the dates of entry  into the  contracts  and the  forward  rates at the
reporting dates, is included in the statement of financial  condition.  Realized
gains (losses) and changes in unrealized  values on foreign  currency  contracts
are  recognized  in the period in which the  contract  is closed or the  changes
occur and are included in the  statement  of income and  expenses and  partners'
capital.

     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 Master's positions.  The majority of the Master'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/Managing  Member expects that under normal  circumstances  substantially
all of the  Partnership's/Master'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.

                                       23
<PAGE>


     The risk to the  limited  partners  that have  purchased  interests  in the
Partnership  is  limited  to the amount of their  capital  contributions  to the
Partnership and their share of the Partnership assets and undistributed profits.
This limited  liability is a consequence of the  organization of the Partnership
as a limited partnership under applicable law.

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

                                       24
<PAGE>

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

     In the case of market sensitive instruments,  which are not exchange traded
(almost  exclusively   currencies  in  the  case  of  the  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 optional 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.

                                       25
<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, 2003 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, 2003,  the Master's  total  capitalization  was
$145,076,617.

                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                 <C>           <C>                 <C>             <C>              <C>
                                                                           Year to Date
                                                             ---------------------------------------------
                                                 % of Total           High              Low
Market Sector                Value at Risk     Capitalization    Value at Risk  Value at Risk  Average*
------------                 -------------     --------------   --------------  ------------   ---------
Currencies
- OTC                         $ 9,075, 287          6.25%         $9,696,832    $1,910,405    $6,684,699
Energy                           5,468,850          3.77%          6,633,674     1,837,000     4,354,588
Grains                             578,400          0.40%            760,425       152,175       506,502
Interest rates U.S.              2,439,000          1.68%          2,557,100       419,700     1,519,918
Interest rates Non-U.S.          4,079,811          2.81%          6,547,640     1,288,573     4,018,251
Livestock                          150,000          0.10%            336,800         9,350        82,020

Metals
 - Exchange Traded Contracts     1,259,500          0.87%          2,120,000       198,000       917,917
 - OTC                             912,480          0.63%            935,700       175,800       603,845
Softs                              663,973          0.46%          1,227,182       295,046       685,656
Indices                          3,764,466          2.60%          3,871,103       709,998     2,379,432
                                 ----------        -------
Total                         $ 28,391,767         19.57%
                                ----------         ------
</TABLE>

* monthly average based on month-end value at risk

                                       26
<PAGE>

As of December 31, 2002, the Master's total capitalization was $90,459,415.

                                December 31, 2002
<TABLE>
<CAPTION>
<S>                                       <C>           <C>                 <C>             <C>              <C>
                                                                                     Year to Date
                                                                        ---------------------------------------------
                                                      % of Total           High              Low
Market Sector                      Value at Risk     Capitalization    Value at Risk    Value at Risk       Average*
------------                      --------------     --------------   --------------    ------------        ---------
Currencies
- OTC Contracts                        $ 4,189,488          4.63%         $7,032,293         $962,872       $3,609,073
Energy                                   3,346,400          3.70%          3,346,400          557,000        2,095,725
Grains                                     245,903          0.27%            450,900           86,150          256,876
Interest rates U.S.                        590,280          0.65%          1,302,100          180,800        1,014,145
Interest rates Non-U.S.                  3,100,649          3.43%          3,493,265          979,315        3,047,371
Livestock                                   13,500          0.02%             24,750           13,500           17,025

Metals
 - Exchange Traded Contracts               418,000          0.46%            464,000           76,500          394,875
 - OTC Contracts                           434,425          0.48%            550,250           48,000          367,250
Softs                                      385,842          0.43%            694,904          119,740          494,737
Indices                                    752,257          0.83%          1,931,347          641,735        1,337,731
                                       -----------        -------
Total                                  $13,476,744         14.90%
                                       -----------         -----
</TABLE>

* quarterly average based on month-end value at risk

                                       27
<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
-- gives 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 considered to be immaterial.

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

     The following  were the primary  trading risk exposures of the Master as of
December 31, 2003, by market sector.

                                       28
<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-8  countries.
However,  the Master also takes  futures  positions  on the  government  debt of
smaller nations -- e.g., Australia.

     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 U.S.  dollar-based  Master in expressing
Value at Risk in a functional currency other than U.S. dollars.

     Stock Indices. The Master's primary equity exposure is to equity price risk
in the G-8  countries.  The stock index futures traded by the Master are limited
to futures on broadly  based  indices.  As of December  31,  2003,  the Master's
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-8 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.

     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, 2003.

     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.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following were the only  non-trading risk exposures of the Master as of
December 31, 2003.

     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 U.S. dollars in an attempt to control the
Master's non-trading risk.

                                       29
<PAGE>

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
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.






                                       30
<PAGE>


Item 8.   Financial Statements and Supplementary Data.

                    SMITH BARNEY MIDWEST FUTURES FUND L.P. II

                          INDEX TO FINANCIAL STATEMENTS
                                                                  Page Number

Oath or Affirmation                                                   F-2

Independent Auditors' Report.                                      F-3 - F-4

Statements of Financial Condition at
December 31, 2003 and 2002.                                           F-5

Statements of Income and Expenses for
the years ended December 31,
2003, 2002 and 2001.                                                  F-6

Statements of Partners' Capital for the
years ended December 31, 2003,
2002 and 2001.                                                        F-7

Notes to Financial Statements.                                     F-8 - F-13

Selected Unaudited Quarterly Financial Data.                          F-14

Financial Statements of the Master:

Oath or Affirmation.                                                  F-15

Independent Auditors' Report.                                     F-16 - F-17

Statements of Financial Condition at
December 31, 2003 and 2002.                                           F-18

Condensed Schedules of Investments at
December 31, 2003 and 2002.                                       F-19 - F-20

Statements of Income and Expenses for the
years ended December 31, 2003, 2002 and for
the period January 26, 2001 (commencement of
trading operations) to December 31, 2001.                             F-21

Statements of Members' Capital for the years
ended December 31, 2003, 002 and for the period
January 26, 2001 (commencement of Trading
operations) to December 31, 2001.                                     F-22

Notes to Financial Statements.                                     F-23 - F-26

Selected Unaudited Quarterly Financial Data.                           F-27



<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.




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

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011



                                        F-2

<PAGE>


                             Independent Auditors' Report

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

We have audited the  accompanying  statements  of  financial  condition of Smith
Barney Mid-West Futures Fund L.P. II (the Partnership),  as of December 31, 2003
and 2002,  and the related  statements  of income and  expenses,  and  partners'
capital  for  the  years  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 audits. The statements of
income and expenses and partners'  capital of the Partnership for the year ended
December 31, 2001 were audited by other auditors whose report dated February 28,
2002 expressed an unqualified opinion on those statements.

We conducted our audits 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  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the financial position of Smith Barney Mid-West Futures
Fund L.P. II as of December 31, 2003 and 2002, and the results of its operations
and  its  partners'  capital  for the  years  then  ended,  in  conformity  with
accounting principles generally accepted in the United States of America.

 /s/ KPMG LLP
     KPMG LLP
     New York, New York
     February 27, 2004

                                        F-3
<PAGE>


                            Report of Independent Auditors

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

In our opinion, the accompanying statements of income and expenses and partners'
capital present fairly,  in all material  respects,  the results of Smith Barney
Mid-West Futures Fund L.P. II's operations for the year 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  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  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audit  provides a  reasonable  basis for our
opinion.

 /s/ PricewaterhouseCoopers LLP
     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, 2003 and 2002
<TABLE>
<CAPTION>
<S>                                                                                <C>           <C>
                                                                                   2003         2002
                                                                              -----------   -----------
Assets:
Investment in Master, at fair value                                           $26,278,490   $28,234,107
Cash                                                                               18,291        19,882
                                                                              -----------   -----------
                                                                              $26,296,781   $28,253,989
                                                                              -----------   -----------

Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions (Note 3c)                                                      $   131,484   $   141,270
   Management fees (Note 3b)                                                       43,570        46,812
   Administrative fees (Note 3a)                                                   21,785        23,406
   Professional fees                                                               19,261        21,578
   Other                                                                            3,865         3,920
  Redemptions payable (Note 5)                                                    222,481       195,333
                                                                              -----------   -----------
                                                                                  442,446       432,319
                                                                              -----------   -----------
Partners' capital (Notes 1 and 5):
  General Partner, 401.3070 and 451.3070 Unit equivalents
   outstanding in 2003 and 2002, respectively                                     740,829       809,275
  Limited Partners, 13,603.9978 and 15,063.9866 Redeemable Units of Limited
   Partnership Interest outstanding in 2003 and 2002, respectively             25,113,506    27,012,395
                                                                              -----------   -----------
                                                                               25,854,335    27,821,670
                                                                              -----------   -----------
                                                                              $26,296,781   $28,253,989
                                                                              -----------   -----------
</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, 2003, 2002 and 2001

<TABLE>
<CAPTION>
<S>                                                      <C>            <C>              <C>
                                                         2003           2002            2001
                                                   ------------    ------------    ------------
Income:
  Realized gains on closed positions and foreign
   currencies from Master                          $  3,369,625    $  9,359,691    $  3,950,697
  Change in unrealized gains (losses) on open
   positions from Master                                479,334       1,399,002      (1,000,510)
  Expenses allocated from Master                       (107,545)        (92,985)        (64,302)
  Interest income allocated from Master                 229,309         377,817            --
  Net gains (losses) on trading of commodity
   interests:
   Realized gains on closed positions                      --              --         1,696,703*
   Change in unrealized losses on
    open positions                                         --              --        (2,965,502)*
                                                   ------------    ------------    ------------
                                                      3,970,723      11,043,525       1,617,086
  Interest income (Note 3c)                                --              --         1,122,566
                                                   ------------    ------------    ------------
                                                      3,970,723      11,043,525       2,739,652
                                                   ------------    ------------    ------------
Expenses:
  Brokerage commissions including clearing fees
   of $53,530 in 2001 (Note 3c)                       1,758,106       1,874,426       2,506,228
  Management fees (Note 3b)                             582,488         620,986         809,363
  Administrative fees (Note 3a)                         291,243         310,492         404,680
  Incentive fees (Note 3b)                              178,139            --              --
  Professional fees                                      39,498          36,313          27,287
  Other expenses                                          6,235           4,777           7,093
                                                   ------------    ------------    ------------
                                                      2,855,709       2,846,994       3,754,651
                                                   ------------    ------------    ------------
Net income (loss)                                  $  1,115,014    $  8,196,531    $ (1,014,999)
                                                   ------------    ------------    ------------
Net income (loss) per Redeemable Unit of Limited
  Partnership Interest and General Partner Unit
  equivalent (Notes 1 and 6)                       $      52.86    $     431.46    $     (43.77)
                                                   ------------    ------------    ------------

</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, 2003, 2002 and 2001

<TABLE>
<CAPTION>
<S>                                                       <C>                 <C>                 <C>
                                                        Limited             General
                                                        Partners            Partner               Total
                                                     ------------        ------------        ------------
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 Redeemable 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 Redeemable Units of
  Limited Partnership Interest and 157.6086 Units
  of General Partnership equivalent                   (15,874,058)          (279,773)          (16,153,831)
                                                   --------------        -----------        --------------
Partners' capital at December 31, 2002                 27,012,395            809,275            27,821,670
Net income                                              1,080,639             34,375             1,115,014
Redemption of 1,459.9888 Redeemable Units
  of Limited Partnership Interest and 50.0000
  Units of General Partnership equivalent              (2,979,528)          (102,821)           (3,082,349)
                                                   --------------        -----------        --------------
Partners' capital at December 31, 2003                $25,113,506           $740,829           $25,854,335
                                                    -------------         -----------        -------------

</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 September 1, 1994.  From September 1, 1994 to January
     25, 2001, the Partnership  engaged directly in the speculative trading of a
     diversified portfolio of commodity interests.  The commodity interests that
     were traded by the  Partnership  are  volatile and involve a high degree of
     market risk. The Partnership was authorized to sell 75,000 redeemable units
     of Limited  Partnership  Interest  ("Redeemable  Units") during its initial
     offering period. As of June 7, 1999, the Partnership was authorized to sell
     an additional 25,000 Redeemable Units.

     Effective January 26, 2001, the Partnership allocated  substantially all of
     its  capital to the JWH  Strategic  Allocation  Master Fund LLC, a New York
     Limited Liability  Company (the "Master").  With this cash, the Partnership
     purchased  42,510.5077  Redeemable Units of the Master with 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. ("JWH") using
     the Strategic  Allocation  Program,  JWH's proprietary  trading program, to
     invest  together in one trading  vehicle.  Citigroup  Managed  Futures LLC,
     formerly Smith Barney Futures  Management  LLC, acts as the general partner
     (the  "General  Partner") of the  Partnership.  The General  Partner is the
     managing  member of the Master.  Individual and pooled  accounts  currently
     managed  by JWH,  including  the  Partnership  (collectively,  the  "Feeder
     Funds"),  are  permitted  to be a  non-managing  member of the Master.  The
     General  Partner and JWH believe  that trading  through this  master/feeder
     structure  should promote  efficiency  and economy in the trading  process.
     Expenses  to  investors  as a  result  of  investment  in  the  Master  are
     approximately the same and redemption rights are not affected.

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

     At December  31,  2003 and 2002,  the  Partnership  owns 18.11% and 31.19%,
     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.

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

     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 Redeemable Unit
     decreases to less than $350 per Redeemable Unit as of the close of business
     on any business day; or under certain other circumstances as defined in the
     Limited Partnership Agreement.

                                        F-8
<PAGE>

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  statements  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.

     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.
                                        F-9
<PAGE>

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.  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.
          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 is obligated to pay the Advisor 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,  of the
          Partnership.

     c.   Customer Agreement:

          Prior to January 26,  2001,  the  Partnership  entered into a Customer
          Agreement with CGM whereby CGM 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 CGM 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 accrued expenses and redemptions  payable.  A portion
          of this fee is paid to employees of CGM who have sold Redeemable 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  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

                                       F-10
<PAGE>

          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,  CGM 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 CGM 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, CGM pays 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.
          Interest income allocated from the Master in 2001 was not reclassified
          on the  statements  of income and  expenses.  The  Customer  Agreement
          between  the Master  and CGM 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 results of the Master's  trading  activities,  and prior to January 26,
     2001, the Partnership's  trading  activities are shown in the statements 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 Redeemable 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.

                                        F-11

<PAGE>



6. Financial Highlights:

     Changes in the Net Asset Value per Redeemable Unit of Partnership  interest
     for the years ended December 31, 2003, 2002 and 2001 were as follows:

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

                                                          2003          2002          2001
                                                       ---------      ---------     --------
Net realized and unrealized gains (losses)*        $     111.43  $     463.00  $     (38.33)
Interest income                                           15.58         19.08         38.33
Expenses**                                               (74.15)       (50.62)       (43.77)
                                                       ---------     ---------     ---------
Increase (decrease) for year                              52.86        431.46        (43.77)
Net asset value per Redeemable Unit,
 beginning of year                                     1,793.18      1,361.72      1,405.49
                                                       ---------     ---------     ---------
Net asset value per Redeemable Unit, end of year   $   1,846.04  $   1,793.18  $   1,361.72
                                                       ---------     ---------     ---------
Ratios to Average Net Assets :
 Net investment loss before incentive fees***             (8.9)%        (8.5)%        (6.1)%
                                                       ---------     ---------     ---------

 Operating expenses                                        9.7%          9.8%          8.8%
 Incentive fees                                            0.6%           --%           --%
                                                      ---------     ---------     ---------
 Total expenses                                           10.3%          9.8%          8.8%
                                                      ---------     ---------     ---------
Total return:
 Total return before incentive fees                        3.7%         31.7%         (3.1)%
 Incentive fees                                           (0.7)%          --%           --%
                                                      ---------     ---------     ---------
 Total return after incentive fees                         3.0%         31.7%         (3.1)%
                                                       ---------     ---------     ---------

</TABLE>

     *    Includes brokerage commissions
     **   Excludes brokerage commissions
     ***  Interest income less total expenses  (exclusive of incentive fees)
     The above ratios may vary for individual  investors  based on the timing of
     capital  transactions  during  the year.  Additionally,  these  ratios  are
     calculated for the Limited Partner class using the Limited  Partners' share
     of income, expenses and average net assets.

                                        F-12
<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
     statements 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 CGM.

     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,
     2003. However,  due to the nature of the  Partnership's/Master's  business,
     these instruments may not be held to maturity.

                                        F-13

<PAGE>

<TABLE>
<CAPTION>
     Selected  unaudited  quarterly  financial data for the years ended December
     31, 2003 and 2002 are summarized below:
<S>                                              <C>                  <C>                   <C>                   <C>
                                       For the period from    For the period from   For the period from    For the period from
                                       October 1, 2003 to       July 1, 2003 to      April 1, 2003 to       January 1, 2003 to
                                        December 31, 2003     September 30, 2003      June 30, 2003           March 31, 2003

Net realized and unrealized trading
 gains (losses) net of expenses allocated
 from Master, brokerage commissions
 and clearing fees including interest
 income                                          $ 498,262         $ (2,068,454)         $ (766,409)            $ 4,549,218

Net Income (loss)                                $ 298,999         $ (2,288,378)       $ (1,009,380)            $ 4,113,773

Increase (decrease) in Net Asset
 Value per Redeemable Unit                         $ 22.11            $ (161.12)           $ (71.37)               $ 263.24

                                       For the period from    For the period from  For the period from      For the period from
                                       October 1, 2002 to       July 1, 2002 to      April 1, 2002 to         January 1, 2002 to
                                        December 31, 2002     September 30, 2002      June 30, 2002             March 31, 2002

Net realized and unrealized trading
 gains (losses) net of expenses allocated
 from Master, brokerage commissions
 and clearing fees including interest
 income                                       $ (2,824,268)          $ 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 Redeemable Unit                       $ (190.28)            $ 345.91             $ 420.73              $ (144.90)



</TABLE>

                                        F-14


<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.





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

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011



                                        F-15

<PAGE>


                          Independent Auditors' Report

To the Members of
  JWH Strategic Allocation Master Fund LLC:

We have  audited the  accompanying  statements  of  financial  condition  of JWH
Strategic  Allocation  Master Fund LLC (the  Company),  including  the condensed
schedules  of  investments,  as of December  31, 2003 and 2002,  and the related
statements  of income and  expenses,  and  members'  capital  for the years then
ended.  These  financial  statements  are the  responsibility  of the  Company's
management.  Our  responsibility  is to express  an  opinion on these  financial
statements based on our audits. The financial  statements of the Company for the
period from January 26, 2001  (commencement  of trading  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 audits 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  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material respects, the financial position of JWH Strategic Allocation Master
Fund LLC as of December 31, 2003 and 2002, and the results of its operations and
its members'  capital for the years then ended,  in conformity  with  accounting
principles generally accepted in the United States of America.

 /s/ KPMG LLP
     KPMG LLP
     New York, New York
     February 27, 2004


                                        F-16
<PAGE>


                         Report of Independent Auditors

To the Members of
  JWH Strategic Allocation Master Fund LLC:

In our opinion, the accompanying  statements of income and expenses and members'
capital present fairly, in all material  respects,  the results of JWH Strategic
Allocation  Master Fund LLC's  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 General
Partner;  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  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audit  provides a  reasonable  basis for our
opinion.


 /s/ PricewaterhouseCoopers LLP
     PricewaterhouseCoopers LLP
     New York, New York
     February 28, 2002



                                        F-17
<PAGE>



                    JWH Strategic Allocation Master Fund LLC
                        Statements of Financial Condition
                           December 31, 2003 and 2002


<TABLE>
<CAPTION>
                                                                 2003          2002
                                                            ------------   ------------
<S>                                                              <C>            <C>
Assets:
   Equity in commodity futures trading account:
    Cash (restricted $31,852,745 and $15,044,312 in 2003    $131,979,502   $ 81,112,283
      and 2002, respectively) (Note 3c)
    Net unrealized appreciation on open futures positions      1,477,101      4,544,545
    Unrealized appreciation on open forward contracts         13,496,013      7,528,350
    Interest receivable                                           80,717         76,955
                                                            ------------   ------------
                                                            $147,033,333   $ 93,262,133
                                                            ------------   ------------
Liabilities and Members' Capital:
Liabilities:
Unrealized depreciation on open forward contracts           $  1,799,594   $  2,677,940
  Accrued expenses:
   Professional fees                                              76,405         47,823
   Distribution payable                                           80,717         76,955
                                                            ------------   ------------
                                                               1,956,716      2,802,718
                                                            ------------   ------------
Members' capital:
  Members' capital, 86,435.1829 and 60,664.1530 Units
   outstanding in 2003 and 2002, respectively                145,076,617     90,459,415
                                                            ------------   ------------
                                                            $147,033,333   $ 93,262,133
                                                            ------------   ------------

</TABLE>


See accompanying notes to financial statements.


                                        F-18


<PAGE>


                            JWH Strategic Allocation
                                 Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                                     <C>                                                      <C>
 Sector                                                Contract                                                Fair Value
 ------                                                --------                                                ----------
 Currencies                                     Unrealized appreciation on forward contracts 7.66%            $11,113,632
                                                Unrealized depreciation on forward contracts (1.22)%           (1,771,985)
                                                                                                                ----------
  Total Currencies 6.44%                                                                                        9,341,647
                                                                                                                ---------

 Total Energy 0.90%                             Futures contracts sold 0.90%                                    1,299,873
                                                                                                                ---------

 Total Grains 0.22%                             Futures contracts purchased 0.22%                                 318,552
                                                                                                                ---------

 Interest Rates Non-U.S.                        Futures contracts sold (0.08)%                                   (121,386)
                                                Futures contracts purchased (0.01)%                                (8,299)
                                                                                                                ---------
  Total Interest Rates Non-U.S.  (0.09)%                                                                         (129,685)
                                                                                                                ---------

 Total Interest Rates 0.01%                     Futures contracts purchased 0.01%                                  19,950
                                                                                                                ---------

 Livestock                                      Futures contracts sold 0.02%                                       27,750
                                                Futures contracts purchased (0.46)%                              (671,770)
                                                                                                                ---------
  Total Livestock (0.44)%                                                                                        (644,020)
                                                                                                                ---------

 Metals                                         Futures contracts purchased 1.40%                               2,028,135

                                                Unrealized depreciation on forward contracts (0.02)%              (27,609)
                                                Unrealized appreciation on forward contracts 1.64%              2,382,381
                                                                                                                ---------
                                                Total forward contracts 1.62%                                   2,354,772
                                                                                                                ---------
  Total Metals 3.02%                                                                                            4,382,907
                                                                                                                ---------

 Softs                                          Futures contracts sold (0.15)%                                   (212,200)
                                                Futures contracts purchased (0.59)%                              (854,280)
                                                                                                                ---------
  Total Softs (0.74)%                                                                                          (1,066,480)
                                                                                                                ----------

 Indices                                        Futures contracts sold (0.85)%                                 (1,230,359)
                                                Futures contracts purchased 0.61%                                 881,135
                                                                                                                ---------
  Total Indices (0.24)%                                                                                          (349,224)
                                                                                                                ---------

 Total Fair Value 9.08%                                                                                       $13,173,520
                                                                                                              ===========

                                                    Investments             % of Investments
Country Composition                                at Fair Value             at Fair Value
----------------------------------            -------------------------- ------------------------
Australia                                             $(106,707)                  (0.81)%
Canada                                                   90,406                    0.69
Germany                                                 468,304                    3.55
Japan                                                (1,350,542)                 (10.25)
United Kingdom                                        2,351,597                   17.85
United States                                        11,720,462                   88.97
                                              -------------------------- ------------------------
                                                    $13,173,520                  100.00%
                                              ========================== ========================

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

                                        F-19
<PAGE>


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

<TABLE>
<CAPTION>
<S>                                        <C>                      <C>                                           <C>
Sector                              Notional  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-20
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                        Statements of Income and Expenses
               for the years ended December 31, 2003 and 2002 and
                      for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001

<TABLE>
<CAPTION>
                                                   2003         2002            2001
                                               -----------   -----------   -----------
<S>                                                 <C>          <C>            <C>
Income:
  Net gains (losses) on trading of commodity
   interests:
   Realized gains on closed positions and
    foreign currencies                         $ 1,507,963   $29,185,102   $ 9,307,481
   Change in unrealized gains (losses)
    on open positions                            3,778,565     4,002,309    (2,710,941)
  Interest income                                1,160,948     1,213,624            --
                                               -----------   -----------   -----------
                                                 6,447,476    34,401,035     6,596,540
                                               -----------   -----------   -----------
Expenses:
  Clearing fees                                    438,351       220,446       230,343
  Professional fees                                 60,000        50,000        45,000
                                               -----------   -----------   -----------
                                                   498,351       270,446       275,343
                                               -----------   -----------   -----------
Net income                                     $ 5,949,125   $34,130,589   $ 6,321,197
                                               -----------   -----------   -----------
Net income per Unit
of Member Interest (Notes 1 and 6)             $    202.70   $    462.09   $     45.82
                                               -----------   -----------   -----------

</TABLE>


See accompanying notes to financial statements.

                                        F-21
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Statement of Members' Capital
                 for the years ended December 31, 2003 and 2002
                    and for the period from January 26, 2001
                      (commencement of trading operations)
                              to December 31, 2001



<TABLE>
<CAPTION>
                                                     Members'
                                                     Capital
                                                   -----------
<S>                                                   <C>
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                                         34,130,589
Sale of 3,545.8883 Units
  of Members' Interest                              4,638,927
Redemption of 32,455.5083 Units
  of Members' Interests                           (40,774,415)
Distribution of interest to feeder funds           (1,213,624)
                                                -------------
Members' capital at December 31, 2002              90,459,415
Net Income                                          5,949,125
Sale of 33,577.0811 Units
  of Members' Interest                             63,340,545
Redemption of 7,806.0512 Units
  of Members' Interests                           (13,511,520)
Distribution of interest to feeder funds           (1,160,948)
                                                -------------
Members' capital at December 31, 2003           $ 145,076,617
                                                -------------

</TABLE>


See accompanying notes to financial statements.

                                        F-22
<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.

     Effective January 26, 2001, Shearson Mid-West Futures Fund ("Mid-West") and
     Smith  Barney  Mid-West  Futures  Fund L.P. II  ("Mid-West  II")  allocated
     substantially all of their capital to the Master.  With this cash, Mid-West
     and Mid-West II purchased a total of 74,020.3930 Units of the Master with 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., JWH Global Strategies Limited and SSB Diversified 2000
     Fund L.P. (each a "Member",  collectively  the "Feeder Funds") with 17.84%,
     18.11%, 5.91%, 21.06%, 18.13% and 18.95% investments in the Master for 2003
     and with 29.68%,  31.19%,  6.17%, 30.76%,  2.20%, and 0% investments in the
     Master for 2002.

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

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 statements 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-23
<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.

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

3. Agreements:

     a.   Managing Member Agreement:

          The Managing Member administers the business affairs of 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 Managing Member or CGM
          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 CGM whereby CGM
          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  CGM'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  CGM.  The  Master's  cash is
          deposited by CGM in segregated bank accounts to the extent required by
          Commodity Futures Trading Commission regulations. At December 31, 2003
          and  2002,   the  amount  of  cash  held  by  the  Master  for  margin
          requirements  was  $31,852,745  and  $15,044,312,   respectively.  The
          Customer  Agreement  between  the  Master and CGM gives the Master the
          legal right to net unrealized gains and losses. The Customer Agreement
          may be terminated upon notice by either party.

                                        F-24

<PAGE>

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 statements of income and expenses.

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes.  The average fair value for the years ended December 31, 2003 and
     2002,  based on a  monthly  calculation,  was  $7,057,885  and  $9,163,093,
     respectively.

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 years
     ended  December  31, 2003 and 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>          <C>
                                                       2003         2002         2001
                                                    ---------    ---------    ---------
Net realized and unrealized gains*              $     188.13 $     446.04 $      46.32
Interest income                                        15.41        16.76          --
Expenses**                                             (0.84)       (0.71)       (0.50)
                                                   ---------    ---------    ---------
Increase for period                                   202.70       462.09        45.82
Distributions                                         (15.41)      (16.76)         --
Net asset value per Unit, beginning of period       1,491.15     1,045.82     1,000.00
                                                   ---------    ---------    ---------
Net asset value per Unit, end of period         $   1,678.44 $   1,491.15 $   1,045.82
                                                   ---------    ---------    ---------

    Ratio to average net assets***
    Net investment income****                         0.5%          0.3%          0.3%
    Operating expenses**                             (0.4)%        (0.3)%        (0.3)%
    Total return                                     13.6%         44.2%          4.6%
    *   Includes clearing fees.
    **  Excludes clearing fees.
    *** Annualized in 2001.
    ****Interest income less total expenses (exclusive of incentive fees).
</TABLE>

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

                                        F-25
<PAGE>

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
     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 statements 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 CGM.

     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,
     2003.  However,  due  to  the  nature  of  the  Master's  business,   these
     instruments may not be held to maturity.

                                        F-26
<PAGE>

<TABLE>
<CAPTION>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:
<S>                                              <C>                <C>                   <C>                  <C>

                                       For the period from    For the period from  For the period from     For the period from
                                       October 1, 2003 to       July 1, 2003 to      April 1, 2003 to      January 1, 2003 to
                                        December 31, 2003     September 30, 2003      June 30, 2003          March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                     $ 5,054,902             $ (8,879,506)      $ (6,518,834)        $ 16,352,563

Net Income (loss)                              $ 5,039,902             $ (8,894,506)      $ (6,533,834)        $ 16,337,563

Increase (decrease) in Net Asset
 Value per Unit                                    $ 67.20                $ (102.73)          $ (25.93)            $ 264.16

                                       For the period from    For the period from    For the period from    For the period from
                                       October 1, 2002 to       July 1, 2002 to      April 1, 2002 to        January 1, 2002 to
                                        December 31, 2002     September 30, 2002      June 30, 2002            March 31, 2002

Net realized and unrealized trading
 gains net (loss) 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)

</TABLE>



                                        F-27



<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 audit of the fiscal year 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 report on the financial statements for the year.

     The audit report of PricewaterhouseCoopers  LLP on the financial statements
of the  Partnership  as of and for the  year  ended  December  31,  2001 did not
contain any adverse  opinion or disclaimer  of opinion,  nor was it qualified or
modified as to uncertainty, audit scope, or accounting principle.

Item 9A.  Controls and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures  as of year end 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 as of year end.


                                    PART III

Item 10.  Directors and Executive Officers of the Registrant.

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

     The  Partnership  has not adopted a code of ethics that applies to officers
because it has no officers.

Item 11.  Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Citigroup Managed Futures LLC, its General Partner,  which receives compensation
for its services,  as set forth under "Item 1.  Business."  CGM, an affiliate of

                                       31
<PAGE>

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,  2003,  CGM earned  $1,758,106  in brokerage
commissions  and clearing fees. The Advisor earned  $582,488 in management  fees
during 2003. During the year ended December 31, 2003, the General Partner earned
$291,243 in administrative fees. The Advisor earned an incentive fee of $178,139
in the year ended December 31, 2003.

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  Redeemable  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 401.3070 (2.9%) Redeemable Units of Limited  Partnership  Interest
as of December 31, 2003.

     (c). Changes in control. None.

Item 13.  Certain Relationships and Related Transactions.

     Citigroup  Global Markets Inc. and Citigroup  Managed Futures 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. Principal Accountant Fees and Services

     (a) Audit Fees.  The aggregate  fees billed for each of the last two fiscal
years  for  professional  services  rendered  by  KPMG  for  the  audit  of  the
Partnership's  annual  financial  statements,  review  of  financial  statements
included in the Partnership's Forms 10-Q and other services normally provided in
connection with regulatory filings or engagements are as follows:

2002     $17,146
2003     $11,119

     (b)  Audit-Related Fees. None

     (c) Tax Fees.  The  aggregate  fees  billed for each of the last two fiscal
years for  professional  services  rendered by KPMG for tax  compliance  and tax
advice  given  in  the  preparation  of  the  Partnership's  Schedule  K1s,  the
preparation  of the  Partnership's  Form 1065 and  preparation  of all State Tax
Returns are as follows:

2002     $4,809
2003     $4,809

     (d)  All Other Fees. None.

     (e)  Not Applicable.

     (f)  Not Applicable.

                                       32
<PAGE>

                                     PART IV

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

     (a)  (1)  Financial  Statements:   Statements  of  Financial  Condition  at
          December 31, 2003 and 2002.

          Statements  of Income and  Expenses  for the years ended  December 31,
          2003, 2002 and 2001.

          Statements of Partners' Capital for the years ended December 31, 2003,
          2002 and 2001.

          Notes to Financial Statements

     (2)  Financial Statement Schedules:  Financial Data Schedule for year ended
          December 31, 2003.

     (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).

     10.7 - Letter  from the  General  Partner to John W. Henry & Company,  Inc.
          extending Management Agreement for 1998 (previously filed).

                                       33
<PAGE>


     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 (previously filed).

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

     16.1 - Letter from PricewaterhouseCoopers LLP (filed herein).

          The  exhibits  required to be filed by Item 601 of Regulations S-K are
          incorporated herin by reference.

     31.1 - Rule 13a-14(a)/15d-14(a)  Certification  (Certification of President
          and Director).

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

     32.1 -  Section  1350   Certification   (Certification   of  President  and
          Director).

     32.2 - Section 1350 Certification (Certification of Chief Financial Officer
          and Director)

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

                                       34
<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.

                                       35

<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 15th day of March 2004.


SMITH BARNEY MID WEST FUTURES FUND L.P. II


By:      Citigroup Managed Futures 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                                             Shelley Ullman
Director, Principal Executive                              Director
Officer and President


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

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

                                       36
<PAGE>

                                                                    Exhibit 31.1

                                  CERTIFICATION

I, David J. Vogel, certify that:

1. I have  reviewed  this Annual  report on Form 10-K of Smith  Barney  Mid-West
Futures Fund L.P. II (the "registrant");  2. Based on my knowledge,  this report
does not  contain  any untrue  statement  of a material  fact or omit to state a
material  fact  necessary  to  make  the  statements   made,  in  light  of  the
circumstances under which such statements were made, not misleading with respect
to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)   Designed  such  disclosure  controls  and  procedures,  or caused such
          disclosure   controls  and   procedures  to  be  designed   under  our
          supervision,  to ensure  that  material  information  relating  to the
          registrant  is made  known  to us by  others  within  those  entities,
          particularly during the period in which this report is being prepared;

     b)   Evaluated the  effectiveness of the registrant's  disclosure  controls
          and procedures and presented in this report our conclusions  about the
          effectiveness of the disclosure controls and procedures, as of the end
          of the period covered by this report based on such evaluation; and

     c)   Disclosed  in this  report  any  change in the  registrant's  internal
          control over financial reporting that occurred during the registrant's
          most recent fiscal quarter (the registrant's  fourth fiscal quarter in
          the case of an annual  report)  that has  materially  affected,  or is
          reasonably  likely to materially  affect,  the  registrant's  internal
          control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

     a)   All significant  deficiencies and material weaknesses in the design or
          operation  of internal  control  over  financial  reporting  which are
          reasonably  likely to  adversely  affect the  registrant's  ability to
          record, process, summarize and report financial information; and

     b)   Any fraud, whether or not material,  that involves management or other
          employees who have a  significant  role in the  registrant's  internal
          control over financial reporting.


Date: March 15, 2004
                                           /s/  David j. Vogel
                                                David J. Vogel
                                                Citigroup Managed Futures LLC
                                                President and Director
                                       37
<PAGE>

                                                          Exhibit 31.2

                                  CERTIFICATION


I, Daniel R. McAuliffe, Jr., certify that:
1. I have  reviewed  this Annual  report on Form 10-K of Smith  Barney  Mid-West
Futures Fund L.P. II (the "registrant");  2. Based on my knowledge,  this report
does not  contain  any untrue  statement  of a material  fact or omit to state a
material  fact  necessary  to  make  the  statements   made,  in  light  of  the
circumstances under which such statements were made, not misleading with respect
to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)   Designed  such  disclosure  controls  and  procedures,  or caused such
          disclosure   controls  and   procedures  to  be  designed   under  our
          supervision,  to ensure  that  material  information  relating  to the
          registrant  is made  known  to us by  others  within  those  entities,
          particularly during the period in which this report is being prepared;

     b)   Evaluated the  effectiveness of the registrant's  disclosure  controls
          and procedures and presented in this report our conclusions  about the
          effectiveness of the disclosure controls and procedures, as of the end
          of the period covered by this report based on such evaluation; and

     c)   Disclosed  in this  report  any  change in the  registrant's  internal
          control over financial reporting that occurred during the registrant's
          most recent fiscal quarter (the registrant's  fourth fiscal quarter in
          the case of an annual  report)  that has  materially  affected,  or is
          reasonably  likely to materially  affect,  the  registrant's  internal
          control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

     a)   All significant  deficiencies and material weaknesses in the design or
          operation  of internal  control  over  financial  reporting  which are
          reasonably  likely to  adversely  affect the  registrant's  ability to
          record, process, summarize and report financial information; and

     b)   Any fraud, whether or not material,  that involves management or other
          employees who have a  significant  role in the  registrant's  internal
          control over financial reporting.


Date: March 15, 2004

                                      /s/   Daniel R. McAuliffe, Jr.
                                            Daniel R. McAuliffe, Jr.
                                            Citigroup Managed Futures LLC
                                            Chief Financial Officer and Director

                                       38
<PAGE>


                                                          Exhibit 32.1





                            CERTIFICATION PURSUANT TO
                            18 U.S.C. SECTIONS 1350,
                             AS ADOPTED PURSUANT TO
                 SECTION 906 OF THE SARBANES-OXLEY ACT HAVE 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, 2003 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"),  I, David J.  Vogel,  President  and  Director of  Citigroup  Managed
Futures 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
Citigroup Managed Futures LLC
President and Director

March 15, 2004
Date


                                       39
<PAGE>

                                                          Exhibit 32.2





                            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, 2003 as
filed with the  Securities  and  Exchange  Commission  on the date  hereof  (the
"Report"),  I, David J.  Vogel,  President  and  Director of  Citigroup  Managed
Futures 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.
Citigroup Managed Futures LLC
Chief Financial Officer and Director

March 15, 2004
Date



                                       40
<PAGE>

                       Smith Barney Futures Management LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396



June 11, 2002



John W. Henry & Company, Inc.
301 Yamato Road, Suite 2200
Boca Raton, Fl. 33431-4931

Attn: Mr. Ken Webster

         Re:      Management Agreement Renewals

Dear Mr. Webster:

We are  writing  with  respect  to your  management  agreements  concerning  the
commodity pools to which reference is made below (the "Management  Agreements").
We are extending the term of the Management Agreements through June 30, 2003 and
all other provisions of the Management Agreements will remain unchanged.

o        Shearson Mid-West Futures Fund
o        Shearson Lehman Select Advisors Futures Fund L.P.
o        JWH Strategic Allocation Master FD LLC
o        Smith Barney Mid-West Futures Fund L.P. II
o        Smith Barney Westport Futures Fund L.P.
o        Hutton Investors Futures Fund, L.P. II  (HIFF II)
o        AURORA 2001

Please  acknowledge  receipt of this  modification  by signing  one copy of this
letter and returning it to the attention of Mr. Daniel  McAuliffe at the address
above or fax to  212-723-8985.  If you have any  questions  I can be  reached at
212-723-5435.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT LLC



By:      /s/ Daniel R. McAuliffe, Jr.
          -------------------------
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer & Director

JOHN W. HENRY & COMPANY, INC.

By:      /s/ Ken Webster
        -------------------------
Print Name:  Ken Webster