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, 2007

OR (    ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period fromto

Commission File Number000-28336

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
incorporation or organization)


(I.R.S. Employer
Identification No.)


c/o Citigroup Managed Futures LLC
731 Lexington Avenue. – 25th 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 if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

YesNoX

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.

YesNoX

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.

YesXNo

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 a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of ‘‘large accelerated filer,’’ ‘‘accelerated filer’’ and ‘‘smaller reporting company’’ in Rule 12b-2 of the Exchange Act.

Large accelerated filerAccelerated filerNon-accelerated filerXSmaller reporting company

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

YesNoX

Limited Partnership Redeemable Units with an aggregate value of $7,893,865 were outstanding and held by non-affiliates as of the last business day of the registrant’s most recently completed second fiscal quarter.

DOCUMENTS INCORPORATED BY REFERENCE

List hereunder the following documents if incorporated by reference and the Part of the Form 10-K (e.g., Part I, Part II, etc.) into which the document is incorporated: (1) Any annual report to security holders; (2) Any proxy or information statement; and (3) Any prospectus filed pursuant to Rule 424(b) or (c) under the Securities Act of 1933. The listed documents should be clearly described for identification purposes (e.g., annual report to security holders for fiscal year ended December 24, 1980).

---



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. Effective January 26, 2001 the Partnership has invested all of its assets in the JWH Strategic Allocation Master Fund LLC, a New York limited liability company (the ‘‘Master’’). 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 ended December 31, 2007, 2006, and 2005 are reported in the Statements of Changes in Partners’ Capital on page F-7 under ‘‘Item 8.Financial Statements and Supplementary Data.’’ The Partnership, pursuant to the General Partner’s decision to withdraw as the Partnership’s general partner, terminated on December 31, 2007. As a result, the Partnership changed the basis of accounting with effect from January 1, 2007 from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Partnership to record assets and liabilities at values to be received in liquidation.

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’’ or the ‘‘Advisor’’) using the Strategic Allocation Program, JWH’s proprietary trading program, to invest together in one trading vehicles. Effective December 31, 2007 (termination of Partnership operations), the Partnership redeemed its entire investment in the Master with a fair value of $4,666,879.

Prior to its redemeption on December 31, 2007 the Partnership owned 25.72% of the Master. At December 31, 2006, the Partnership owned 11.19% of the Master. The performance of the Partnership was directly affected by the performance of the Master.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the ‘‘General Partner’’) of the Partnership. The General Partner is also the managing member (the ‘‘Managing Member’’) of the Master. The Partnership’s and Master’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner/Managing Member. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. (‘‘Citigroup’’).

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.

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.

1

---



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 adjusted 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. The Management Agreement was in effect until December 31, 2007, when the Partnership terminated operations.

The Partnership is obligated to pay a brokerage fee equal to 1⁄2 of 1% (6% per year) on month-end Net Assets allocated pro-rata from the Master. CGM pays a portion of its Brokerage Fees to its financial advisors who have sold Redeemable Units of the Partnership. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees were borne by the Master and allocated pro-rata 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.

CGM paid the Partnership interest on 80% of the average daily equity maintained in cash allocated pro-rata to the Partnership by the Master 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. The Customer Agreement was in effect untilDecember 31, 2007, when the Partnership terminated operations.

(b)Financial information about industry segments. The Partnership’s business consists of only one segment, speculative trading of commodity interests. The Partnership does not engage in sales of goods or services. The Partnership’s net income (loss) from operations for the years ended December 31, 2007, 2006, 2005, 2004 and 2003 are set forth under ‘‘Item 6.Selected Financial Data.’’

(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.

(f)Reports to Security Holders.Not applicable.

(g)Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.

(h)Smaller Reporting Companies. Not applicable.

Item 1A. Risk Factors

As a result of leverage, small changes in the price of the Partnership’s positions may result in major losses.

The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership.

An investor may lose all of their investment.

Due to the speculative nature of trading commodity interests, an investor could lose all of their investment in the Partnership, through its investment in the Master.

2

---



The Partnership will pay substantial fees and expenses regardless of profitability.

Regardless of its trading performance, the Partnership will incur fees and expenses, including brokerage and management fees. Fees will be paid to the Advisor even if the Partnership experiences a net loss for the full year.

An investor’s ability to redeem or transfer units is limited.

An investor’s ability to redeem units is limited and no market exists for the units.

Conflicts of interest exist.

The Partnership is subject to numerous conflicts of interest including those that arise from the facts that:

|   |                                                         
|-- | --------------------------------------------------------
|1. | The General Partner and commodity broker are affiliates;

|   |                                                                                                                                          
|-- | -----------------------------------------------------------------------------------------------------------------------------------------
|2. | The Advisor, the commodity broker and their principals and affiliates may trade in Master commodity interests for their own accounts; and

|   |                                                                                                                   
|-- | ------------------------------------------------------------------------------------------------------------------
|3. | Smith Barney financial advisors will receive ongoing compensation for providing services to an investor’s account.

Investing in units might not provide the desired diversification of an investor’s overall portfolio.

The Partnership will not provide any benefit of diversification of an investor’s overall portfolio unless it is profitable and produces returns that are independent from stock and bond market returns.

Past performance is no assurance of future results.

The Advisor’s trading strategies may not perform as they have performed in the past. The Advisor has from time to time incurred substantial losses in trading on behalf of clients.

An investor’s tax liability may exceed cash distributions.

Investors are taxed on their share of the Partnership’s income, even though the Partnership does not intend to make any distributions.

Item 2.Properties.

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

Item 3.Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which Citigroup Managed Futures, LLC (‘‘CGM’’) 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.

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 within the past five years that management believes may have a material impact on CGM’s ability to act as an FCM.

Enron

In April 2002, Citigroup and CGM 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 a putative consolidated class action complaint that was filed in the United States District Court for the

3

---



Southern District of Texas seeking unspecified damages. The action, brought on behalf of individuals who purchased Enron securities (Newby, et al. v. Enron Corp., et al.(‘‘Newby’’)), alleges violations of Sections 11 and 15 of the Securities Act of 1933, as amended, and Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended. Citigroup’s motion to dismiss the complaint was denied in December 2002, and Citigroup filed an answer in January 2003. In May 2003, plaintiffs filed an amended consolidated class action complaint, and Citigroup filed a motion to dismiss in June 2003, which was denied in April 2004.

On June 10, 2005, CGM (along with Citigroup and certain of its subsidiaries) agreed to a settlement inNewby. Under the terms of the settlement, Citigroup will make a pretax payment of $2.01 billion to the settlement class (consisting of all purchasers of all publicly traded equity and debt securities issued by Enron and certain Enron-related entities between September 9, 1997 and December 2, 2001. The Regents of the University of California (theNewbylead plaintiff) approved the settlement on July 20. The Court gave final approval to the settlement on May 24, 2006. The amount to be paid in settlement of this action is covered by existing Citigroup litigation reserves.

In September 2003, CGM (and Citigroup and various Citigroup-affiliates) were named as defendants in an adversary proceeding,Enron v. Citigroup, et al. (In re Enron Corp., et al.), filed by Enron in its chapter 11 bankruptcy proceedings against entities that purchased Enron bankruptcy claims from Citigroup, seeking to disallow or to subordinate those claims. The case is scheduled for trial beginning April 28, 2008. Additionally, in November 2003, Enron filed an additional adversary action against CGM (and Citibank, N.A.) seeking to recover fees paid to CGM in connection with the proposed Enron-Dynegy merger. Discovery is proceeding in that action.

Additional Actions

Several additional actions, previously identified, had been consolidated or coordinated with theNewbyaction and stayed (except with respect to certain discovery) until the Court’s decision on class certification on July 5, 2006.

Certain entities that had previously filed separate lawsuits against CGM (along with other Citigroup entities) did not opt out of theNewbysettlement. As a result, the following coordinated/consolidated cases that relate to the purchase of Enron-related securities have been dismissed:California Public Employees’ Retirement Systemv.Bank of America Securities LLC, et al.,Variable Annuity Life Ins. Co. v.Credit Suisse First Boston Corp., et al., andConseco Annuity Assurance Co. v. Citigroup, Inc.

On February 18, 2005, Judge Harmon granted the motion to dismiss of various financial institution defendants (including CGM) inWashington State Investment Board v. Lay, et al.The action had been brought on behalf of purchasers of Enron’s publicly traded debt and equity securities between September 9, 1997 and October 18, 1998.

On April 19, 2005, CGM (along with Citigroup and certain of its subsidiaries) and various financial institution defendants reached an agreement to settle four state court actions brought by various investment funds that had purchased Enron and/or Enron-linked securities. The four cases areOCM Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.;Pacific Investment Management Co. LLC, et al. v. Citigroup Inc., et al.;AUSA Life Insurance v. Citigroup Inc., et al.; andPrincipal Global Investors v. Citigroup Inc., et al.The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

On June 3, 2005, CGM (along with Citigroup) and various financial institution defendants reached an agreement in principle to settle a state court action (subsequently consolidated withNewby),Retirement Systems of Alabama v. Merrill Lynch, et al., brought by an Alabama public corporation comprising various state employee pension funds that had purchased Enron securities from (among others) CGM. The District Court approved the settlement on July 5, 2005. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On December 7, 2005, Judge Harmon dismissedCity of Montgomery, Alabama Employees’ Retirement System v. Lay, et al.in light of a settlement between plaintiff and CGM (along with Citigroup and certain Credit Suisse First Boston-entities). The action was originally filed in Alabama state court and subsequently coordinated withNewby. The case arose out of plaintiff’s purchase of certain Enron-linked securities allegedly in reliance on CGM and other analyst reports concerning Enron. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

4

---



On November 4, 2005,Sierra Pacific Resources and Nevada Power v. Citigroup, et al., a federal court case (subsequently coordinated withNewby) naming as defendants CGM (along with Citigroup and Citibank, N.A., and various financial institution defendants) was voluntarily dismissed with prejudice by the plaintiffs. The case had been brought by purchasers of electricity from Enron.

On December 14, 2005,Aksamit, et al. v. UBS PaineWebber, et al., a state court action (subsequently coordinated withNewby) naming CGM and various other financial institutions as defendants, was voluntarily dismissed with prejudice by the plaintiff. The case had been brought on behalf of CGM clients who had purchased Enron securities at various times up until the filing of Enron’s bankruptcy, in reliance on CGM and other analyst reports concerning Enron.

On September 29, 2006, CGM (along with Citigroup and a third-party defendant) filed a partial motion to dismiss inVanguard Balanced Index Fund, et al. v. Citigroup, et al.. The action was filed in Pennsylvania state court in 2003 by certain investment funds, and asserts claims under state securities and common law, arising out of plaintiffs’ purchase of certain Enron-related securities. Vanguard filed opposition papers on November 14, 2006, and the defendants filed their reply on December 1, 2006. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification.

On January 2, 2007, Judge Harmon entered final judgment terminatingRavenswood I, L.L.C., et al. v. Citigroup, Inc., et al.in light of a settlement between plaintiffs and Citigroup (including CGM). The action, asserting state statutory and common law claims, had been filed in federal court in Texas on behalf of successors in interest to certain Enron securities owned by Prudential, and subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On January 18, 2007, Judge Harmon dismissedAmerican National Insurance Co., et al.v. Citigroup Inc., et al.in light of a settlement between plaintiffs and Citigroup (including CGM). The action, asserting state securities and common law claims, had been filed in Texas state court and subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On January 23, 2007, Judge Harmon granted plaintiffs’ motion for leave to amend the complaint inSilvercreek Management Inc. v. Salomon Smith Barney, Inc., a federal securities law and fraud action against CGM (and other defendants) on behalf of several funds that allegedly sustained losses arising out of their investments in Enron securities. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification, and is currently stayed (along with other actions that implicate the scope of liability of secondary actors under Section 10(b)of the 1934 Act) in light of the Fifth Circuit’s reversal of Judge Harmon’s class certification decision.

On January 25, 2007, Judge Harmon entered final judgment terminatingPublic Employees Retirement Systems of Ohio v. Fastow, et al.in light of a settlement between plaintiffs and certain financial institution defendants (including CGM). The action, asserting state securities and common law fraud claims, had been filed in Ohio state court on behalf of four Ohio pension funds that purchased Enron securities, and was subsequently coordinated withNewby. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

On August 15, 2007, CGM (along with other Citigroup entities and various other financial institutions) filed motions to dismissConnecticut Resources Recovery Authority v. Lay, et al., an action sounding in fraud and breach of fiduciary duty, and arising out of an Enron transaction with a Connecticut state agency. The case had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. Plaintiff filed its opposition on November 9, 2007; Citigroup partially joined a reply submitted by other financial institutions on January 30, 2008, and Citigroup’s individual reply was due on February 29, 2008.

On December 27, 2007, plaintiff moved for leave to amend its complaint inPublic Utility District No. 1 of Snohomish County, Washington v. Citigroup, et al.The case, originally filed in Washington federal court in 2004, arises out of alleged losses caused by Enron’s electricity overcharges to a public utility. It alleges three causes of action sounding in tort against CGM (along with various Citigroup entities and other financial institutions). The action had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. CGM and other defendants filed an opposition on January 28, 2008.

On January 28, 2008, the Fifth Circuit heard oral argument on plaintiffs’ appeal against Judge Harmon’s dismissal of various third-party petitions filed by certain Enron outside directors and Arthur Andersen

5

---



against CGM (and various other financial institution defendants). The petitions, collectively referred to as theFleming Cases, assert fraud and negligence claims; they were filed in Texas state court and subsequently coordinated withNewby.

CGM (along with Citigroup, Citibank N.A., and various J.P. Morgan Chase-entities) has been named in multiple actions brought by certain bank participants in, as well as ‘‘vulture funds’’ who purchased certain banks’ interests in, two revolving Enron credit facilities and a syndicated letter of credit facility. The cases,Avenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al., andDK Acquisition, et al. v. J.P. Morgan Chase, et al., had been coordinated withNewbyuntil Judge Harmon’s decision on class certification. The actions were conditionally transferred to the Southern District of New York on December 10, 2007, and were assigned to Judge Rakoff on February 4, 2008. Defendants filed partial summary judgment motions in all three cases on December 6, 2007. A fourth action,Bayerische Landesbank, et al. v. J.P. Morgan Chase Bank, et al., brought by certain bank participants in the Enron facilities and subsequently coordinated withNewby, was settled on July 31, 2007, and the district court approved the settlement on August 22, 2007. The amount paid in settlement was covered by existing Citigroup litigation reserves.

On March 26, 2008, Citigroup Inc. issued a press release announcing that it has reached settlement agreements resolving the two largest remaining claims against Citigroup arising out of the collapse of Enron in 2001. Both settlements are fully covered by Citigroup’s existing litigation reserves.

Under the terms of one of the settlement agreements, Citigroup will pay $1.66 billion to Enron and withdraw certain claims in the Enron bankruptcy proceeding. Enron will release all of its claims against Citigroup and certain other parties. Enron will also allow specified Citigroup-related claims in the bankruptcy proceeding, including all of the bankruptcy claims of parties holding approximately $2.4 billion of Enron credit-linked notes (‘‘CLNs’’). Citigroup reached a separate settlement agreement resolving all disputes with the holders of the CLNs, including a suit against Citigroup pending in the Federal District Court in Houston.

The settlements provide that Citigroup denies any wrongdoing and has agreed to the settlements solely to eliminate the uncertainties, burden and expense of further protracted litigation. The Enron settlement agreements must be approved by the bankruptcy court.

Research

On December 23, 2003, Citigroup and CGM moved to dismiss several consolidated putative class actions alleging violations of Sections 10 and 20 of the Securities Act of 1934, as amended, for purportedly issuing research reports without a reasonable basis in fact and allegedly failing to disclose conflicts of interest with companies in connection with CGM’s published investment research regarding AT&T Corp., Winstar Communications, Inc., Rhythms NetConnections, Inc., Level 3 Communications, Inc., XO Communications, Inc. and Williams Communications Group, Inc. On December 30, 2003, Citigroup and CGM filed a motion to dismiss similar claims in connection with CGM’s published investment research regarding Metromedia Fiber Network, Inc. (‘‘MFN’’).

On January 30, 2004, plaintiffs in the Rhythm NetConnections, Inc. action voluntarily dismissed their complaint with prejudice. In December 2004, Judge Lynch granted in part and denied in part Citigroup’s motions to dismiss the Level 3, XO and Williams Actions. Specifically, he dismissed claims arising out of research published before April 18, 2001, all claims related to Level 3 and XO bondholders, and all claims in the Williams Action on behalf of Guided Portfolio Management accountholders. He denied in part Citigroup’s motion to dismiss the AT&T litigation, although he dismissed claims related to AT&T Wireless, AT&T’s wireless affiliate, in their entirety.

Winstar:On January 5, 2005, the Court dismissed the Winstar action in its entirety with prejudice. Plaintiffs have moved for reconsideration, which motion has been denied. The dismissal with prejudice of the Winstar class action is now final.

Metromedia Fiber Networks:On January 6, 2005, the Court granted in part and denied in part the Citigroup-Related Defendants’ motion to dismiss the claims against it in the MFN action. On June 20, 2006, the Court granted plaintiffs’ motion for class certification. On October 6, 2006, the United States Court of

6

---



Appeals for the Second Circuit accepted an appeal of the class certification order, which appeal was argued on January 30, 2008, and remains pending. Fact discovery has concluded, and expert discovery has been stayed, by agreement of the parties, pending resolution of the appeal.

AT&T, Level 3 Communications, XO Communications and Williams Communications Group:On January 25, 2005, the Citigroup-Related Defendants renewed their motions to dismiss the remaining portions of the AT&T, XO, Level 3 and Williams cases in light of recent Second Circuit authority on loss causation. On February 24, 2005, the judge stayed all discovery in those cases during the pendency of the motion. On May 24, 2005, Citigroup and CGM reached agreements settling all claims in the Level 3 and XO actions for $10.25 million and $9.125 million respectively; on June 8, 2005, the parties reached an agreement to settle all claims in Williams action for $12.5 million. Finally, on September 27, 2005, the Citigroup-Related Defendants agreed to settle all claims in the AT&T action for $74.75 million. The AT&T settlement was finally approved on August 17, 2006. The XO, Level 3 and Williams settlements were finally approved on September 29, 2006. All of the settlements are final and no longer subject to appeal. The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

Focal Communications Corp.:On July 28, 2004, a putative class action by purchasers of Focal Communications Corporation common stock was filed in the United States District Court for the Southern District of New York, asserting claims under Section 10 and Section 20 of the Securities Exchange Act of 1934 against Citigroup, CGM and Jack Grubman. On March 15, 2005, the plaintiffs in the Focal action filed a consolidated amended class action complaint; we have moved to dismiss the complaint, and that motion to dismiss was fully briefed on August 10, 2005. The parties have reached an agreement to settle all claims in the Focal class action for $14 million. The settlement was finally approved on March 23, 2007, and is no longer subject to appeal. The amounts paid in settlement of this action were covered by existing Citigroup litigation reserves.

Customer Class Actions:In addition, four putative class actions were filed against Citigroup and certain of its affiliates, including CGM, and certain of their current and former directors, officers and employees, along with other parties, on behalf of persons who maintained accounts with CGM. These actions assert, 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. These four cases wereNorman v. Salomon Smith Barney, Inc.,Rowinski v. Salomon Smith Barney, Inc.,Politzer v. Salomon Smith Barney, Inc.andDisher, et al. v. Citigroup Global Markets, Inc.InNorman, the judge denied our motion to dismiss, class certification was briefed by the parties, and the action was subsequently settled for $50 million, an amount covered by existing litigation reserves. The settlement was finally approved on May 18, 2006, and is no longer subject to appellate review. InRowinski, the judge granted our motion to dismiss. The plaintiff appealed to the Court of Appeals for the Third Circuit, which affirmed the decision. ThePolitzercase was dismissed by the judge – a decision that was affirmed by the Ninth Circuit Court of Appeals, and that the United States Supreme Court declined to review.

InDisher, the Seventh Circuit Court of Appeals reversed the district court’s decision to remand the case to state court, and directed the district court to dismiss the case as preempted. The United States Supreme Court vacated the Seventh Circuit’s decision, and remanded the case to the Seventh Circuit in light of the Supreme Court’s decision inKircherv.Putnam Funds Trust. On January 22, 2007, the Seventh Circuit dismissed Citigroup’s appeal. On February 1, 2007, plaintiffs secured an order reopening this case in Illinois state court, and on February 16, Citigroup removed the reopened action to federal court. On May 3, 2007, the District Court remanded the action to Illinois state court, and on June 13, 2007, Citigroup moved in state court to dismiss the action. That motion remains pending.

WorldCom

On May 10, 2004, the Company, through its parent, Citigroup, announced that it had agreed to settle all claims against it inIn Re WorldCom, Inc. Securities Litigation, a class action brought on behalf of certain investors in WorldCom Securities. Under the terms of the settlement, Citigroup will make a payment of $2.575 billion to the settlement class. Citigroup reached this settlement agreement without admitting any wrongdoing or liability, and the agreement reflects that Citigroup denies that it or its subsidiaries committed

7

---



any act or omission giving rise to any liability and/or violation of the law. On November 7, 2004, the United States District Court for the Southern District of New York approved the class settlement. The settlement became final in March 2006 and settlement funds have been released to the plaintiffs.

Pursuant to an order dated May 28, 2003, more than 110 individual actions asserting claims against Citigroup and/or CGM based on its research and/or underwriting of WorldCom securities have been consolidated withIn re WorldCom, Inc. Securities Litigation. The United States Court of Appeals for the Second Circuit has affirmed the orders of the United States District Court for the Southern District of New York denying plaintiffs’ motions to remand to state court a large group of these WorldCom-related actions. On September 13, 2004, plaintiffs filed a petition for a writ of certiorari to the United States Supreme Court seeking review of the Second Circuit’s ruling, which was denied.

Numerous other actions asserting claims against CGM in connection with its research reports about WorldCom and/or its role as an investment banker for WorldCom are pending in other federal and state courts. These actions have been remanded to various state courts, are pending in other federal courts, or have been conditionally transferred to the United States District Court for the Southern District of New York to be consolidated with the class action. As of December 31, 2007, one WorldCom individual action remains pending, in Texas state court. The balance of the individual actions have been settled or dismissed by court order. The settlements of those actions, some of which are discussed below, are covered by existing litigation reserves. Plaintiffs have appealed the dismissal of one of those actions, which appeal has been fully briefed in the United States Court of Appeals for the Second Circuit.

On September 17, 2004,Weinstein, et al.v.Ebbers, et al., a putative class action against CGM and others brought on behalf of holders of WorldCom securities asserting claims based on, among other things, CGM’s research reports concerning WorldCom, was dismissed with prejudice in its entirety by the United States District Court for the Southern District of New York. The plaintiffs noticed an appeal of the dismissal to the United States Court of Appeals for the Second Circuit on October 15, 2004. The parties have reached an agreement in principle on the terms of a settlement of this action, and the appeal has been dismissed.

On September 30, 2004, Citigroup and CGM, along with a number of other defendants, settledRetirement Systems of Alabama, et al.v.J.P. Morgan Chase, et al., a WorldCom individual action that had been remanded to the Circuit Court of Montgomery County, Alabama. On June 22, 2005, Citigroup and CGM, along with other financial institution defendants, entered into a settlement agreement inPublic Employees’ Retirement System of Ohiov.Ebbers, et al. Citigroup’s share of the settlement was $40 million. On August 5, 2005, Citigroup and CGM, along with other financial institution defendants, entered into a settlement agreement in one of these actions,New York City Employees’ Retirement Systemv.Ebbers, et al., Citigroup’s share of the settlement was $35.557 million. The amounts paid in settlement of these actions were covered by existing Citigroup litigation reserves.

On October 27, 2005, Citigroup and CGM, along with all other defendants, including financial institution defendants, entered into a settlement agreement resolving all claims against the Citigroup-related defendants in 32 individual actions filed on behalf of 70 institutional plaintiffs that have opted out of the WorldCom class action settlement, all of which were brought by Lerach, Coughlin, Stoia, Geller, Rudman & Robbins LLP. Plaintiffs in these actions asserted claims under federal and state law in connection with the Citigroup-related defendants’ research coverage and underwriting of WorldCom securities. Citigroup’s share of the settlement was $249.9 million. The amount paid in settlement of these actions was covered by existing Citigroup litigation reserves.

A FINRA (formerly NASD) arbitration hearing was held inSturm, et al.v.Citigroup, et al., from September 12 through October 3, 2005. Claimants alleged research analyst conflicts of interest related to SSB research coverage of WorldCom, and brought common law claims, including fraud claims, against Citigroup and CGM. Claimants sought $901 million in compensatory damages, in addition to punitive damages. On November 28, 2005, the arbitration panel denied all of claimants’ claims in their entirety, with prejudice. On February 21, 2006, Claimants filed a motion to vacate the arbitration result. On April 14, 2006, the same Claimants filed another FINRA arbitration proceeding arising out of their investments in Level 3 Communications, Inc. On September 20, 2006, the Citigroup-related Respondents executed an agreement with the Sturms to settle all outstanding matters.

8

---



In addition to the court suits, actions asserting claims against CGM relating to its WorldCom research reports are pending in numerous arbitrations around the country. These actions assert claims that are substantially similar to the claims asserted in the class action.

On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933 and certain claims under the Securities Exchange Act of 1934 inIn Re TARGETS Securities Litigation, a putative class action against Citigroup and CGM and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities (‘‘TARGETS’’) with respect to the common stock of MCI WorldCom, Inc. after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth the terms of a settlement of all remaining claims in this action. The settlement was preliminarily approved by the Court on January 11, 2005, and finally approved on April 22, 2005. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves.

Global Crossing

On or about January 28, 2003, lead plaintiff in a consolidated putative class action in the United States District Court for the Southern District of New York (In re Global Crossing Ltd. Securities Litigation) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and Asia Global Crossing, which names as defendants, among others, Citigroup, CGM, CGMHI and certain executive officers and current and former employees. The putative class action complaint asserts claims against these Citigroup defendants under (i) Sections 11, 12(a)(2) and 15 of the Securities Act of 1933, as amended, and Section 14(a) of the Securities Exchange Act of 1934, as amended and Rule 14A-9A promulgated thereunder, in connection with certain offerings in which CGM served as underwriter and in connection with certain transactions in which CGM issued fairness opinions, and (ii) Section 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule 10b-5 promulgated hereunder, alleging that they disseminated misleading research reports concerning Global Crossing and Asia Global Crossing. The Citigroup-related defendants have moved to dismiss these claims. Judge Lynch largely denied the motion to dismiss the Section 11 claims against the underwriters.

In March 2005, while the motion to dismiss was pending, the plaintiffs and the Citigroup-related defendants reached a settlement of all claims against the Citigroup-related defendants, including both research and underwriting claims, and including claims concerning losses in both Global Crossing and Asia Global Crossing, for a total of $75 million. The Court granted preliminary approval of the settlement on March 8, 2005, and on July 8, 2005, granted final approval and rejected all objections to the settlement.

Citigroup has also been named as a defendant in two proceedings brought by the Global Crossing Estate Representative on or about January 27, 2004 in the United States Bankruptcy Court for the Southern District of New York. First the Estate Representative filed an adversary proceeding asserting claims against, among others, Citigroup, CGM and certain executive officers and current and former employees, asserting claims under federal bankruptcy law and common law in connection with CGM’s research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings. . The Citigroup-Related Defendants moved to dismiss the former action on June 26, 2004, and settled it on September 12, 2005 for $27.5 million. The amount paid in settlement of this action was covered by existing Citigroup litigation reserves. The Estate Representative also filed an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-related defendants moved to dismiss the latter on May 28, 2004, which motion is still pending.

Adelphia Communications Corporation

On July 6, 2003, the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation filed an adversary proceeding against certain lenders and investment banks, including CGM, 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 Holding Company Act and the common law. The complaints seek equitable relief and an unspecified amount of compensatory and punitive damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia. In June 2004, motions to dismiss were

9

---



filed with respect to the complaints of the two committees. Those motions were decided by the bankruptcy court, and were granted in part and denied in part. The bankruptcy court’s ruling was, in part, reviewed by the district court. The Adelphia Recovery Trust, which has replaced the committees as the plaintiff in the action, has filed an amended complaint on behalf of the Adelphia Estate, consolidating the two prior complaints; motions to dismiss the amended complaint and answers have been filed.

In addition, CGM was among the underwriters named in civil actions brought by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Following settlements of the class action (which is pending appeal) and other individual actions, two cases remain outstanding. The Second Circuit is considering whether the plaintiff in one has proper standing to sue. In September 2007, motions to dismiss in the other case were granted in part and denied in part.

IPO Allocation Cases

On November 3, 2003, the United States District Court for the Southern District of New York granted CGM’s motion to dismiss the consolidated amended complaint asserting violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. Plaintiffs appealed that decision to the Court of Appeals for the Second Circuit. On September 28, 2005, the Court of Appeals vacated the district court’s order dismissing these actions and remanded for further proceedings. On December 7, 2006, the United States Supreme Court granted ceriorari review of the Second Circuit’s opinion. On June 18, 2007, the United States Supreme Court ruled that the securities law precludes application of the antitrust laws to the claims asserted by plaintiffs, effectively terminating the litigation.

In the securities cases, which are pending before Judge Scheindlin of the Southern District, plaintiffs seek damages against numerous underwriters for alleged violations of the Securities and Exchange Acts of 1933 and 1934 in connection with more than 300 initial public offerings. Plaintiffs allege that the underwriters had a practice to allocate shares in IPOs only to those persons or entities that agreed to purchase shares in the aftermarket at increasing prices, which, they claim, led to inflated secondary market pricing. They further make allegations about analyst conflicts of interest and allege that, because of the aforementioned practice, the underwriters received compensation that was not disclosed in the relevant offering memoranda. Judge Scheindlin recently certified a class and discovery on the merits is ongoing. On June 30, 2005, the United States Court of Appeals for the Second Circuit entered an order agreeing to review the district court’s order granting plaintiffs’ motion for class certification. On December 5, 2006, the Second Circuit reversed Judge Scheindlin’s class certification order. The plaintiffs filed a petition for rehearing in January 2007. On April 6, 2007, the Second Circuit panel that reversed the district court’s class certification decision denied plaintiff’s petition for rehearing, and on May 18, 2007, the Second Circuit denied plaintiffs’ petition for rehearing en banc. On August 14, 2007, plaintiffs filed amended complaints in the six focus cases as well as amended master allegations for all cases in the coordinated proceedings. On September 27, 2007, plaintiffs filed a motion to certify new classes in the six focus cases. Defendants moved to dismiss the amended pleadings in November 2007 and filed an opposition to the new motion for class certification in December 2007.

Mutual Funds

CGM has been named in several class actions and derivative litigations pending in various Federal District Courts arising out of alleged violations of the federal securities laws, including the Investment Company Act, and common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the Multi District rules in the United States District Court for the District of Maryland (the ‘‘MDL action’’), and the litigations involving revenue sharing, incentive payment and other issues are pending in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, recessionary damages, injunctive relief, costs and fees. In the principal cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Citi moved to dismiss the claims and the motion was granted.

10

---



An appeal is pending and will be fully briefed by April 15, 2008. Several derivative actions and class actions were also dismissed against Citigroup defendants in the MDL action (and we expect that additional actions will be dismissed on similar grounds).

In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

Subprime-Mortgage-Related Litigation

Citigroup, along with numerous others, has also been named as a defendant in several lawsuits by shareholders of entities that originated subprime mortgages, and for which CGM underwrote securities offerings. These actions assert that CGM violated Sections 11, 12, and 15 of the Securities Act of 1933, as amended, arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with those offerings. Specifically, CGM has been named as a defendant in (i) two putative class action lawsuits brought by shareholders of American Home Mortgage Investment Corp., pending in the United States District Court for the Eastern District of New York; and (ii) three putative class action lawsuits brought by shareholders of Countrywide Financial Corp. and its affiliates, pending in the United States District Court for the Central District of California. Citigroup has not yet responded to the complaints in these actions. A motion to remand to California state court has been filed in one of the Countrywide-related actions.

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 year ended December 31, 2007.

11

---



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, 2007 was 87.

| |     |                                                                           
| | --- | --------------------------------------------------------------------------
| | (c) | Dividends. The Partnership did not declare a distribution in 2007 or 2006.

| |     |                                                                                                                         
| | --- | ------------------------------------------------------------------------------------------------------------------------
| | (d) | Use of Proceeds. There were no additional sales of Redeemable Units in the years ended December 31, 2007, 2006 and 2005.

| |     |                                                                          
| | --- | -------------------------------------------------------------------------
| | (e) | Securities Authorized for Issuance Under Equity Compensation Plans. None.

Item 6.Selected Financial Data.

Net realized and unrealized trading gains (losses), interest income allocated from Master, net income (loss) and increase (decrease) in Net Asset Value per Unit for the years ended December 31, 2007, 2006, 2005, 2004 and 2003 and total assets at December 31, 2007, 2006, 2005, 2004 and 2003, were as follows:

2007


2006


2005


2004


2003Net realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions of $497,311, $905,265, $1,238,706, $1,513,848 and 1,865,651, respectively.



$
(1,044,402
)



$
(3,123,310
)



$
(6,066,209
)



$
3,205,518




$
1,983,308Interest income allocated from Master




289,747





543,213





456,273





228,372





229,309$
(754,655
)



$
(2,580,097
)



$
(5,609,936
)



$
3,433,890




$
2,212,617Net income (loss)



$
(1,061,273
)



$
(3,075,058
)



$
(6,279,604
)



$
2,654,645




$
1,115,014Increase (decrease) in Net Asset Value per Unit



$
(121.34
)



$
(301.56
)



$
(498.98
)



$
205.72




$
52.86Total assets



$
4,698,940




$
11,693,956




$
18,056,516




$
26,928,378




$
26,296,781


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

Overview

The Partnership, through its investment in the Master, aimed 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 had invested all of its assets in the Master. The Master employed 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 had delegated its responsibility for the investment of the Partnership’s assets to JWH. The Partnership had invested these assets in the Master. The General Partner employs a team of approximately 20 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.

12

---



Responsibilities of the General Partner/Managing Member include:

|  |                                           
|- | ------------------------------------------
|• | due diligence examinations of the Advisor;

|  |                                                       
|- | ------------------------------------------------------
|• | selection, appointment and termination of the Advisor;

|  |                                             
|- | --------------------------------------------
|• | negotiation of the management agreement; and

|  |                                        
|- | ---------------------------------------
|• | 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 sought out the best prices and services available in its commodity futures brokerage transactions. The General Partner/Managing Member reviewed at least annually, the brokerage rates charged to commodity pools similar to the Partnership/Master to determine that the brokerage fee the Partnership/Master paid was 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.

JWH traded 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.

(a)Liquidity.

The Partnership does not engage in sales of goods or services. Its only assets were 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) | The 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 Advisor may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Master. The term ‘‘spread’’ or ‘‘straddle’’ describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts.

13

---



|      |                                                                                                                                                                                                                                                                                        
|----- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|(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 was 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 Statements 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, 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 the 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. The Partnership terminated on December 31, 2007.

(b)Capital resources.

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

(ii)    The Partnership’s capital consisted of the capital contributions of the partners as increased or decreased by gains or losses allocated from Master and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market

14

---



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 Advisor to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained in the Master during the year. In addition, the amount of interest income payable by CGM was 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 was able to 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, 2007, 4,688.2231 Redeemable Units were redeemed totaling $5,339,498 and General Partner equivalent units of 225.0558 were redeemed totaling $244,397. For the year ended December 31, 2006, 2,409.0436 Redeemable Units were redeemed totaling $3,383,920. For the year ended December 31, 2005, 1,434.4766 Redeemable Units were redeemed totaling $2,363,640.

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.

(c)Results of Operations.

For the year ended December 31, 2007 the Net Asset Value per Redeemable Unit decreased 9.7% from $1,251.22 to $1,129.88. For the year ended December 31, 2006, the Net Asset Value per Redeemable Unit decreased 19.4% from $1,552.78 to $1,251.22. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit decreased 24.3% from $2,051.76 to $1,552.78.

The Partnership, through its investment in the Master, experienced a net trading loss of $547,091 before brokerage commissions and related expenses for the year ended December 31, 2007. Losses were primarily attributable to the Master’s trading of currencies, U.S. and non-U.S. interest rates, livestock, metals, softs, woods and indices and were partially offset by the gains incurred in the trading of grains.

In 2007, the Master profited from macro-economic developments that stimulated volatility and asset price trends of a favorable duration to the underlying Advisor’s trading strategies. Negative developments in the U.S. mortgage markets and the increasing probability of recession resonated throughout the capital and commodity markets. A surge in volatility in the global equity markets in February was driven by a tumble in Chinese stock valuations that curbed sentiment for global risk assets and sparked a material sell-off in global stock prices. The year would go on to be highlighted by two additional measurable equity market corrections in the summer and fall. By mid-summer, dislocations in U.S. asset-backed and mortgage-backed credit markets emerged as the central focal point of global capital markets shifted. The ensuing re-pricing of credit risk resulted in a flight-to-quality driven rally in prices of sovereign debt, especially in the U.S. Treasury markets as the Federal Open Market Committee acted rapidly to stem the negative implications for growth. As a result of the series of rate cuts and negative economic data, the U.S. dollar became less attractive and weakened materially against most major currencies during the latter part of the year. Commodity markets continued to signal inflation, further clouding the economic landscape, as global demand for most food and raw materials continued to be robust. Prices moved rather erratically at times. The Partnership was profitable in grains and recorded losses in currencies, U.S. and non-U.S. interest rates, metals, agricultural softs and stock indices.

In the energy sector, crude oil continued the long-term upward trend while breaching a psychological resistance level of $100, although there were brief corrections, midway through the year. The Master was positioned to benefit from this strong trend across the petroleum complex. The Master realized profits in the grains sector as wheat, corn and soybeans reached record level prices while consistently displaying a strong

15

---



long-term trend. Ethanol based alternative fuel usage coupled the corn price to crude oil price as these two products demonstrated strong correlation through the year, although the individual demand-supply characteristics of these two distinct products continued to affect the respective prices in the interim. The sub prime issue demonstrated that redistribution of risk through securitization of mortgages might not entirely shield investors from pricing risk inherent to the valuation of these securities. By shifting away from riskier assets and by buying U.S. Treasury notes as collateral for the riskier assets, the markets effectively lowered the yields on the U.S. Treasury notes while establishing a strong trend.

Trading in currencies was extremely challenging as the major currencies demonstrated highnon-directionalvolatility. Several factors including the unwinding of the Japanese Yen carry trade and the changing views on global growth and inflation contributed to interruptions in several established long-term trends. Non-U.S. interest rates also presented challenges as the central banks around the world juxtaposed the impact of a slowing U.S. economy against domestic inflationary pressures. Trading in metals also contributed to losses. While precious metals like gold reached record prices, industrial metals like copper, zinc and aluminum experienced several price corrections, synchronous with the conflicting views on global growth and inflation. In the agricultural softs sector, coffee, cotton and sugar demonstrated strong long-term trends constantly punctuated by short-term price reversals. Equity indices also contributed to losses as global equity markets experienced major corrections with high volatility levels previously seen during the technology bubble earlier in the decade.

The Partnership, through its investment in the Master, experienced net trading losses of $2,218,045 before commissions and expenses for the year ended December 31, 2006. Losses were attributable to the Master’s trading of livestock, US interest rates, non-US interest rates, grains, energy, currencies, and commodity index and were partially offset by gains incurred in the trading of metals, softs, stock index and wood.

The Partnership’s performance in 2006 was characterized by several price trend reversals in the financial and commodity markets. Although some directional trends emerged in the early part of the year, the trends did not last and major price corrections occurred during the summer months, especially in currencies, metals and equity indices. Gains were made in equity indices and metals while losses were realized in currencies, interest rates, energy and agricultural sectors.

Gains were made in the metals sector as the trading advisor was able to capture the uptrend in the prices earlier in the year while minimizing losses during a correction in the later part. Modest gains were made in equity indices as rising global equity valuations were supported by increased optimism over economic growth and lower energy prices towards the later part of the year.

The losses mainly stemmed from currency trading. The currency market remained difficult as economic data and inflationary concerns perplexed directional trading. Losses were realized in the domestic and global fixed income markets as inflationary pressure remained high and markets speculated about the future changes in interest rates. The Partnership also suffered losses in the agricultural sector as alternating meteorological conditions between drought and rainfall contributed to irregular price developments. The energy sector was also not profitable as imbalances in supply and demand and geopolitical uncertainties produced unfavorable trading conditions.

The Partnership, through its investment in the Master, experienced net trading losses of $4,827,503 before commissions and expenses for the year ended December 31, 2005. Losses were attributable to the Master’s trading of currencies, energy, grains, metals, U.S. and non-U.S. interest rates and were partially offset by gains incurred in the trading of livestock, softs and indices.

(d)Operational Risk

The Partnership, through its investment in the Master, was directly exposed to market risk and credit risk, which arose 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.

16

---



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, was 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 constrained 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 participated.

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 Redeemable Unit holders, creditors, and regulators, is free of material errors.

(e)Critical Accounting Policies.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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. Actual results could differ from these estimates.

The liquidation basis of accounting requires the Partnership to record assets and liabilities at values expected to be achieved in liquidation. The change in basis of accounting from a going-concern basis to a liquidation basis did not have a material effect on the Partnership’s carrying value of assets and liabilities nor its results of operations. All carrying values, whether market or fair values, are expected to be achieved by management during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to partners or changes in net assets available to partners. The Statements of Changes in Partners’ Capital (included herein) present the same information and thus a statement of net assets available to partners or changes in net assets available to partners has not been presented for the 12 months ended December 31, 2007.

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 Masters’ 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.

All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Master 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 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 Managing Member 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 gains (losses) on open positions are recognized in the period in which the contract is closed or the changes occur

17

---



and are included in net gains (losses) on trading of commodity interests. All of the income and expenses and unrealized and realized gains and losses from the commodity transactions of the Master were allocable pro rata among the investors at the time of such determination.

Foreign currency contracts are those contracts where the Partnership/Master 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 Master’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 Statements of Income and Expenses.

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.

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 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 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 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

18

---



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

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

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

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

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

The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of December 31, 2007 and 2006 and the highest and lowest value at any point during the years. All open position-trading risk exposures of the Master have been included in calculating the figures set forth below. As of December 31, 2007, the Master’s total capitalization was $5,392,162.

December 31, 2007

Market Sector


Value at Risk


% of Total
Capitalization


High
Value at Risk


Low
Value at Risk


Average
Value at Risk*Currencies:— OTC Contracts



$
7,965





0.15
%



$
6,458,430




$
1,875




$
1,476,266Interest Rates U.S.




650





0.01
%




1,011,400





650





229,054Total



$
8,615





0.16
%


|
|
|
|

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

19

---



As of December 31, 2006, the Master’s total capitalization was $103,849,912.

December 31, 2006

Market Sector


Value at Risk


% of Total
Capitalization


High
Value at Risk


Low
Value at Risk


Average
Value at Risk*Currencies:— OTC Contracts



$
7,357,145





7.08
%



$
11,860,235




$
3,092,251




$
6,584,208Energy




879,900





0.85
%




3,840,025





97,500





1,177,283Grains




122,400





0.11
%




538,600





58,860





216,495Interest Rates U.S.




1,021,600





0.99
%




1,774,500





52,500





1,336,713Interest Rates Non-U.S.




2,754,048





2.66
%




5,828,484





739,139





1,021,600Metals— Exchange Traded Contracts




372,000





0.35
%




1,743,000





42,000





690,039— OTC Contracts




348,317





0.33
%




935,698





101,300





272,374Softs




491,680





0.47
%




1,043,585





305,120





478,101Indices




1,809,072





1.75
%




3,165,120





940,786





1,869,368Total



$
15,156,162





14.59
%


|
|
|
|

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

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 Managing Member 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.

20

---



The following were the primary trading risk exposures of the Master as of December 31, 2007, by market sector.

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 Managing Member 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, 2007, the Master’s primary exposures were in the Eurex (Germany) and Chicago Mercantile Exchange (United States) stock indices. TheManaging Member 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, 2007.

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, 2007.

Foreign Currency Balances. The Master’s primary foreign currency balances were in Japanese yen and Euro dollar. The Advisor regularly converted foreign currency balances to U.S. dollars in an attempt to control the Master’s non-trading risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

21

---



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.

22

---



Item 8.Financial Statements and Supplementary Data.

SMITH BARNEY MIDWEST FUTURES FUND L.P. II

INDEX TO FINANCIAL STATEMENTS

Page
NumberOath or Affirmation


F-2Management’s Report on Internal Control over Financial Reporting


F-3Report of Independent Registered Public Accounting Firm


F-4Statements of Financial Condition at December 31, 2007 and 2006


F-5Statements of Income and Expenses for the years ended December 31, 2007, 2006 and 2005


F-6Statements of Changes in Partners’ Capital for the years ended December 31, 2007, 2006 and 2005


F-7Statements of Cash Flows for the years ended December 31, 2007, 2006 and 2005


F-8Notes to Financial Statements


F-9 – F-13Selected Unaudited Quarterly Financial Data


F-14Financial Statements of the Master:Oath or Affirmation


F-15Report of Independent Registered Public Accounting Firm


F-16Statements of Financial Condition at December 31, 2007 and 2006


F-17Schedules of Investments at December 31, 2007 and 2006


F-18 – F-19Statements of Income and Expenses for the years ended December 31, 2007, 2006 and 2005


F-20Statements of Changes in Members’ Capital for the years ended December 31, 2007, 2006 and 2005


F-21Statements of Cash Flows for the years ended December 31, 2007, 2006 and 2005


F-22Notes to Financial Statements


F-23 – F-27Selected Unaudited Quarterly Financial Data


F-28


F-1

---



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

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




|
|
|
|

By:   Jennifer Magro


Chief Financial Officer and Director
Citigroup Managed Futures LLC
General Partner
Smith Barney Mid-West Futures Fund L.P. II


Citigroup Managed Futures LLC
731 Lexington Avenue
25th Floor
New York, N.Y. 10022
212-559-2011


F-2

---



Management’s Report on Internal Control over
Financial Reporting

The management of Smith Barney Mid-West Futures Fund L.P. II (the ‘‘Partnership’’), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership’s internal control system was designed to provide reasonable assurance to the Partnership’s management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management’s authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.

The Partnership’s management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2007 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December 31, 2007, the Partnership’s internal control over financial reporting is effective.

This annual report does not include an attestation report of the Partnership’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Partnership’s registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit a company to provide only management’s report in this annual report.

F-3

---



Report of Independent Registered Public Accounting Firm

The Partners
Smith Barney Mid-West Futures Fund L.P. II:

We have audited the accompanying statement of financial condition in liquidation of Smith Barney Mid-West Futures Fund L.P. II (the ‘‘Partnership’’) as of December 31, 2007, and the related statements of income and expenses in liquidation, changes in partners’ capital in liquidation, and cash flows in liquidation for the year then ended. In addition, we have audited the statement of financial condition of Smith Barney Mid-West Futures Fund L.P. II, as of December 31, 2006, and the related statements of income and expenses, changes in partners’ capital, and cash flows for each of the years in the two year period ended December 31, 2006. 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.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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, 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.

As described in Note 1 to the financial statements, the General Partner withdrew as the Partnership’s general partner on December 31, 2007, and the Partnership commenced liquidation shortly thereafter. As a result, the Partnership has changed its basis of accounting, with effect from January 1, 2007, from the going-concern basis to a liquidation basis.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position in liquidation of Smith Barney Mid-West Futures Fund L.P. II as of December 31, 2007, the results of its operations in liquidation, changes in partners’ capital in liquidation and its cash flows in liquidation for the year ended December 31, 2007 and the financial position as of December 31, 2006, and the results of its operations, changes in partners’ capital, and cash flows for each of the years in the two year period ended December 31, 2006, in conformity with U.S. generally accepted accounting principles applied on the basis described in the preceding paragraph.




New York, New York
March 24, 2008

F-4

---



Smith Barney Mid-West Futures Fund L.P. II
Statements of Financial Condition
December 31, 2007 (termination of operations) and 2006

2007*


2006Assets:Redemption receivable



$
4,666,879




$
—Investment in the Master, at fair value




—





11,662,088Cash




22,844





31,868Distribution receivable




9,217





—$
4,698,940




$
11,693,956Liabilities and Partners’ Capital:Liabilities:Accrued expenses:Brokerage commissions (Note 3c)



$
23,495




$
58,470Management fees (Note 3b)




7,742





19,349Administrative fees (Note 3a)




3,871





9,674Professional fees




20,478





16,379Other




9,860





9,766Redemptions payable (Note 5)




—





301,65665,446





415,294Partners’ capital (Notes 1 and 5):General Partner, 76.2512 and 301.3070 Unit equivalents outstanding in 2007 and 2006




86,155





377,001Limited Partners, 4,024.6124 and 8,712.8355 Redeemable Units of Limited Partnership Interest outstanding in 2007 and 2006, respectively




4,547,339





10,901,6614,633,494





11,278,662$
4,698,940




$
11,693,956


|
|
|
|

|* | Presented on a liquidation basis of accounting
|- | ----------------------------------------------

See accompanying notes to financial statements.

F-5

---



Smith Barney Mid-West Futures Fund L.P. II
Statements of Income and Expenses
for the years ended
December 31, 2007 (termination of operations), 2006 and 2005

2007*


2006


2005Income:Realized losses on closed positions and foreign currencies allocated from the Master



$
(244,656
)



$
(2,300,915
)



$
(1,693,921
)Change in unrealized gains (losses) on open positions allocated from the Master




(302,435
)




82,870





(3,133,582
)Expenses allocated from the Master




(17,227
)




(29,511
)




(39,922
)(564,318
)




(2,247,556
)




(4,867,425
)Interest income allocated from the Master (Note 3c)




289,747





543,213





456,273(274,571
)




(1,704,343
)




(4,411,152
)Expenses:Brokerage commissions (Note 3c)




480,084





875,754





1,198,784Management fees (Note 3b)




158,676





289,331





396,611Administrative fees (Note 3a)




79,339





144,665





198,304Professional fees




29,532





46,365





49,675Other expenses




39,071





14,600





25,078786,702





1,370,715





1,868,452Net loss



$
(1,061,273
)



$
(3,075,058
)



$
(6,279,604
)Net loss per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 6)



$
(121.34
)



$
(301.56
)



$
(498.98
)


|
|
|
|

|* | Presented on a liquidation basis of accounting
|- | ----------------------------------------------

See accompanying notes to financial statements.

F-6

---



Smith Barney Mid-West Futures Fund L.P. II
Statements of Changes in Partners’ Capital
for the years ended
December 31, 2007* (termination of operations), 2006 and 2005

Limited
Partners


General
Partner


TotalPartners’ Capital at December 31, 2004



$
25,762,674




$
618,210




$
26,380,884Net loss




(6,129,257
)




(150,347
)




(6,279,604
)Redemption of 1,434.4766 Redeemable Units of Limited Partnership Interest




(2,363,640
)




—





(2,363,640
)Partners’ Capital at December 31, 2005




17,269,777





467,863





17,737,640Net loss




(2,984,196
)




(90,862
)




(3,075,058
)Redemption of 2,409.0436 Redeemable Units of Limited Partnership Interest




(3,383,920
)




—





(3,383,920
)Partners’ Capital at December 31, 2006




10,901,661





377,001





11,278,662Net loss*




(1,014,824
)




(46,449
)




(1,061,273
)Redemption of 4,688.2231 Redeemable Units of Limited Partnership Interest and 225.0558 Units of General Partnership equivalent




(5,339,498
)




(244,397
)




(5,583,895
)Partners’ Capital at December 31, 2007*



$
4,547,339




$
86,155




$
4,633,494


Net Asset Value per Unit:

2005



$
1,552.782006



$
1,251.222007*



$
1,129.88


|
|
|
|

|* | Presented on a liquidation basis of accounting
|- | ----------------------------------------------

See accompanying notes to financial statements.

F-7

---



Smith Barney Mid-West Futures Fund L.P. II
Statements of Cash Flows
for the years ended
December 31, 2007 (termination of operations), 2006 and 2005

2007*


2006


2005Cash flows from operating activities:Net loss



$
(1,061,273
)



$
(3,075,058
)



$
(6,279,604
)Adjustments to reconcile net loss to netcash provided by (used in) operating activities:Changes in operating assets and liabilitiesProceeds from sale of investment in the Master




6,711,421





4,110,152





4,024,108Net unrealized (appreciation) depreciation on             investment in the Master




274,571





2,247,556





4,867,425Accrued expenses:Increase (decrease) in brokerage commissions




(34,975
)




(31,813
)




(44,359
)Increase (decrease) in management fees




(11,607
)




(10,520
)




(14,721
)Increase (decrease) in administrative fees




(5,803
)




(5,261
)




(7,360
)Increase (decrease) in professional fees




4,099





(14,407
)




6,023Increase (decrease) in other




94





(3,989
)




(1,342
)Net cash provided by operating activities




5,876,527





3,216,660





2,550,170Cash flows from financing activities:Payments for redemptions – Limited Partners




(5,641,154
)




(3,221,512
)




(2,530,499
)Payments for redemptions – General Partner




(244,397
)




—





—Net cash provided by (used in)
financing activities




(5,885,551
)




(3,221,512
)




(2,530,499
)Net change in cash




(9,024
)




(4,852
)




19,671Cash, at beginning of year




31,868





36,720





17,049Cash, at end of year



$
22,844




$
31,868




$
36,720Supplemental disclosure of non-cash operating activities:Sale of investment in the Master at fair value



$
4,676,096




$
—




$
—


|
|
|
|

|* | Presented on a liquidation basis of accounting
|- | ----------------------------------------------

See accompanying notes to financial statements.

F-8

---



Smith Barney Mid-West Futures Fund L.P. II
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

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 involved 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. The Partnership, pursuant to the General Partner’s decision, terminated on December 31, 2007. As a result, the Partnership changed the basis of accounting with effect from January 1, 2007 from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Partnership to record assets and liabilities at values to be received in liquidation (see note 8).

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 its 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’’) using the Strategic Allocation Program, JWH’s proprietary trading program, to invest together in one trading vehicle. Effective December 31, 2007, the Partnership redeemed its entire investment in the Master with a fair value of $4,666,879.

The financial statements of the Master, including the Schedules of Investments, are contained elsewhere in this report and should be read together with the Partnership’s financial statements.

Prior to its redemption on December 31, 2007, the Partnership owned 25.72% of the Master. At December 31, 2006, the Partnership owned 11.19% of the Master. The performance of the Partnership was directly affected by the performance of the Master.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the ‘‘General Partner’’) of the Partnership. The Partnership’s and Master’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), 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.

2.    Accounting Policies:

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       
|-- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|a. | All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Master 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.

F-9

---



Smith Barney Mid-West Futures Fund L.P. II
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

All of the income and expenses and unrealized and realized gains and losses from the commodity transactions of the Master were allocated pro rata among the investors at the time of such determination.

|   |                                                                                                                                                           
|-- | ----------------------------------------------------------------------------------------------------------------------------------------------------------
|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.

| |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         
| | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | During the current year, the Partnership adopted FASB Interpretation No. 48 ‘‘Accounting for Uncertainty in Income Taxes’’ (‘‘FIN 48’’). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the ‘‘more-likely-than-not’’ threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the year ended December 31, 2007 and that no provision for income tax is required in the Partnership’s financial statements.

The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States – 2004.

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|-- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|c. | The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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.

The liquidation basis of accounting requires the Partnership to record assets and liabilities at values expected to be achieved in liquidation. The change in basis of accounting from a going-concern basis to a liquidation basis did not have a material effect on the Partnership’s carrying value of assets and liabilities nor its results of operations. All carrying values, whether market or fair values, are expected to be achieved by management during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to partners or changes in net assets available to partners. The Statements of Changes in Partners’ Capital (included herein) present the same information and thus a statement of net assets available to partners or changes in net assets available to partners has not been presented for the 12 months ended December 31, 2007.

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 to1/12of 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.

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

The 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

F-10

---



Smith Barney Mid-West Futures Fund L.P. II
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

determining the allocation of the assets of the Partnership. The Partnership is obligated to pay the Advisor a monthly management fee equal to1/6of 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.

The Management Agreement was in effect until December 31, 2007, when the Partnership terminated operations.

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

The Partnership is obligated to pay a brokerage fee equal to 1⁄2% of 1% (6% per year) on month-end Net Assets allocated pro-rata from the Master. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees were borne by the Master and allocated pro-rata to the Partnership through its investment in the Master. CGM pays a portion of its brokerage fees to its financial advisors who have sold Redeemable Units of the Partnership.

CGM paid 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 (the ‘‘Customer Agreement’’) between the Master and CGM gave the Master the legal right to net unrealized gains and losses.

The Customer Agreement was in effect until December 31, 2007, when the Partnership terminated operations.

4.    Trading Activities:

The results of the Master’s trading activities are shown through its allocation 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

---



Smith Barney Mid-West Futures Fund L.P. II
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the years ended December 31, 2007 (termination of operations), 2006 and 2005 are as follows:

2007


2006


2005Net realized and unrealized gains (losses)*



$
(115.49
)



$
(306.54
)



$
(482.16
)Interest income




40.20





52.64





37.67Expenses**




(46.05
)




(47.66
)




(54.49
)Increase (decrease) for the year




(121.34
)




(301.56
)




(498.98
)Net Asset Value per Redeemable Unit,
beginning of year




1,251.22





1,552.78





2,051.76Net Asset Value per Redeemable Unit, end of year



$
1,129.88




$
1,251.22




$
1,552.78Ratios to Average Net Assets:Net investment loss before incentive fees***




(6.6
)%




(5.7
)%




(7.0
)%Operating expenses




10.4
%




9.5
%




9.3
%Incentive fees




—





—
%




—
%Total expenses




10.4
%




9.5
%




9.3
%Total return:Total return before incentive fees




(9.7
)%




(19.4
)%




(24.3
)%Incentive fees




—





—
%




—
%Total return after incentive fees




(9.7
)%




(19.4
)%




(24.3
)%


|* | Includes brokerage commissions
|- | ------------------------------

|** | Excludes brokerage commissions
|-- | ------------------------------

|*** | Interest income less total expenses
|--- | -----------------------------------

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.

7.    Financial Instrument Risks:

In the normal course of its business, the Partnership, through the Partnership’s investment in the Master, was 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

F-12

---



Smith Barney Mid-West Futures Fund L.P. II
(Partnership in Liquidation)
Notes to Financial Statements
December 31, 2007

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

8.    Liquidation of Partnership

In light of the decline in the Partnership’s assets and the costs of continuing to operate the Partnership, the General Partner withdrew as the Partnership’s general partner on December 31, 2007. Pursuant to the Limited Partnership Agreement, as limited partners owning more than 50% of the Partnership’s outstanding units did not elect a new general partner prior to December 31, 2007, the Partnership terminated operations on that date. As a result of the liquidation, the Partnership changed the basis of accounting effective January 1, 2007 from the going concern basis to a liquidation basis.

Distribution of the Partnership’s capital to the limited partners was made on January 15, 2008, subsequent to the termination of operations. Until the point of distribution of Partnership Capital on January 15, 2008, the liability of the Limited Partners was limited to their share of the Partnership’s capital and any undistributed profits.

F-13

---



Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2007 and 2006 are summarized below:

For the period from
October 1, 2007 to
December 31, 2007


For the period from
July 1, 2007 to
September 30, 2007


For the period from
April 1, 2007 to
June 30, 2007


For the period from
January 1, 2007 to
March 31, 2007Net realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions plus interest income allocated from Master



$
183,927




$
(135,996
)



$
513,819




$
(1,316,405
)Net income (loss)



$
117,309




$
(206,241
)



$
431,689




$
(1,404,030
)Increase (decrease) in Net Asset Value per Unit



$
15.11




$
(28.09
)



$
56.92




$
(165.28
)


For the period from
October 1, 2006 to
December 31, 2006


For the period from
July 1, 2006 to
September 30, 2006


For the period from
April 1, 2006 to
June 30, 2006


For the period from
January 1, 2006 to
March 31, 2006Net realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions plus interest income allocated from Master



$
(1,099,757
)



$
51,807




$
(165,698
)



$
(1,366,449
)Net income (loss)



$
(1,193,073
)



$
(70,595
)



$
(305,826
)



$
(1,505,564
)Increase (decrease) in Net Asset Value per Unit



$
(125.66
)



$
(6.17
)



$
(38.91
)



$
(130.82
)


F-14

---



To the Members of
JWH Strategic Allocation Master Fund LLC

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




|
|
|
|

By:    Jennifer Magro


Chief Financial Officer and Director
Citigroup Managed Futures LLC
Managing Member
JWH Strategic Allocation Master Fund LLC


Citigroup ManagedFutures LLC
731 Lexington Avenue
25th Floor
New York, N.Y. 10022
212-559-2011


F-15

---



Report of Independent Registered Public Accounting Firm

The Members
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 schedules of investments, as of December 31, 2007 and 2006, and the related statements of income and expenses, changes in members’ capital, and cash flows for each of the years in the three-year period ended December 31, 2007. 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.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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 consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also 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 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, 2007 and 2006, and the results of its operations, changes in members’ capital, and its cash flows for each of the years in the three-year period ended December 31, 2007, in conformity with U.S. generally accepted accounting principles.




New York, New York
March 24, 2008

F-16

---



JWH Strategic Allocation Master Fund LLC
Statements of Financial Condition
December 31, 2007 and 2006

2007


2006Assets:Equity in commodity futures trading account:
Cash (restricted $8,843 and $16,056,194 in 2007 and 2006,
respectively) (Note 3c)



$
18,165,348




$
103,139,993Unrealized appreciation on open forward contracts




36,083





2,039,41518,201,431





105,179,408Interest receivable




41,264





403,670$
18,242,695




$
105,583,078Liabilities and Members’ Capital:Liabilities:Net unrealized depreciation on open futures contracts



$
500




$
695,449Unrealized depreciation on open forward contracts




29,107





619,980Accrued expenses:Professional fees




26,001





14,067Distribution payable (Note 5)




41,264





403,670Redemption payable (Note 5)




12,753,661





—12,850,533





1,733,166Members’ Capital:Members’ Capital, 3,983.2769 and 73,923.1510 Units outstanding in 2007 and 2006, respectively




5,392,162





103,849,912$
18,242,695




$
105,583,078


See accompanying notes to financial statements.

F-17

---



JWH Strategic Allocation Master Fund LLC
Schedule of Investments
December 31, 2007

Fair Value


% of Members’
CapitalFutures Contracts SoldInterest Rates U.S.



$
(500
)




(0.01
)%Total futures contracts sold




(500
)




(0.01
)Unrealized Appreciation on Open Forward ContractsMetals




36,083





0.67Total unrealized appreciation on open forward contracts




36,083





0.67Unrealized Depreciation on Open Forward ContractsMetals




(29,107
)




(0.54
)Total unrealized depreciation on open forward contracts




(29,107
)




(0.54
)Total fair value



$
6,476





0.12
%


See accompanying notes to financial statements.

F-18

---



JWH Strategic Allocation Master Fund LLC
Schedule of Investments
December 31, 2006

Fair Value


% of Members’
CapitalFutures Contracts PurchasedGrains



$
135,670





0.13
%Indices




209,153





0.20Interest Rates Non-U.S.




(861,664
)




(0.83
)Interest Rates U.S.




(1,725,558
)




(1.66
)Softs




212,995





0.21Total futures contracts purchased




(2,029,404
)




(1.95
)Futures Contracts SoldEnergy




902,837





0.87Interest Rates Non-U.S.




604,335





0.58Metals




(211,035
)




(0.20
)Softs




37,818





0.03Total futures contracts sold




1,333,955





1.28Unrealized Appreciation on Open Forward ContractsMetals




228,550





0.22Currencies




1,810,865





1.74Total unrealized appreciation on open forward contracts




2,039,415





1.96Unrealized Depreciation on Open Forward ContractsMetals




(116,770
)




(0.11
)Currencies




(503,210
)




(0.48
)Total unrealized depreciation on open forward contracts




(619,980
)




(0.59
)Total fair value



$
723,986





0.70
%


See accompanying notes to financial statements.

F-19

---



JWH Strategic Allocation Master Fund LLC
Statements of Income and Expenses
for the years ended December 31, 2007, 2006 and 2005

2007


2006


2005Income:Net gains (losses) on trading of commodity interests:Net realized losses on closed positions and
foreign currencies



$
(6,047,998
)



$
(20,394,749
)



$
(13,743,649
)Change in net unrealized gains (losses) on open positions




(717,510
)




826,820





(27,038,846
)(6,765,508
)




(19,567,929
)




(40,782,495
)Interest income




2,787,294





5,759,326





5,162,509(3,978,214
)




(13,808,603
)




(35,619,986
)Expenses:Clearing fees




97,052





263,325





426,530Professional fees




37,506





6,417





(54,074
)134,558





269,742





372,456Net loss



$
(4,112,772
)



$
(14,078,345
)



$
(35,992,442
)Net income (loss) per Unit of Member Interest
(Notes 1 and 6)



$
3.78
*



$
(175.82
)



$
(333.20
)


|* | The amount shown per Unit does not correspond with the net loss presented above because of the timing of additions/redemption of the Master‘s Units in relation to the fluctuatiing values of the Master‘s commodity interest.
|- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

See accompanying notes to financial statements.

F-20

---



JWH Strategic Allocation Master Fund LLC
Statements of Changes in Members’ Capital
for the years ended December 31, 2007, 2006 and 2005

Members’
CapitalMembers’ Capital at December 31, 2004



$
227,330,049Net loss




(35,992,442
)Sale of 30,875.5707 Units of Members’ Interests




52,052,292Redemption of 43,564.2396 Units of Members’ Interests




(74,414,787
)Distribution of interest income to feeder funds




(5,162,509
)Members’ Capital at December 31, 2005




163,812,603Net loss




(14,078,345
)Sale of 4,409.5377 Units of Members’ Interest




6,844,857Redemption of 29,929.0054 Units of Members’ Interest




(46,969,877
)Distribution of interest income to feeder funds




(5,759,326
)Members’ Capital at December 31, 2006




103,849,912Net loss




(4,112,772
)Sale of 4,733.7680 Units of Members’ Interest




6,163,757Redemption of 74,673.6421 Units of Members’ Interest




(97,721,441
)Distribution of interest income to feeder funds




(2,787,294
)Members’ Capital at December 31, 2007



$
5,392,162


Net Asset Value per Unit of Member Interest:2005



$
1,647.312006



$
1,404.842007



$
1,353.70


See accompanying notes to financial statements.

F-21

---



JWH Strategic Allocation Master Fund LLC
Statements of Cash Flows
for the years ended
December 31, 2007, 2006 and 2005

2007


2006


2005Cash flows from operating activities:Net loss



$
(4,112,772
)



$
(14,078,345
)



$
(35,992,442
)Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:Changes in operating assets and liabilities:(Increase) decrease in restricted cash




16,047,351





7,761,281





28,335,371(Increase) decrease in net unrealized appreciation on open futures contracts




—





—





2,816,587(Increase) decrease in unrealized appreciation on open forward contracts




2,003,332





5,400,741





22,451,821(Increase) decrease in interest receivable




362,406





82,141





(174,663
)Increase (decrease) in net unrealized depreciation on open futures contracts




(694,949
)




(2,951,238
)




3,646,687Increase (decrease) in unrealized depreciation on open forward contracts




(590,873
)




(3,276,323
)




(1,876,249
)Accrued expenses:Increase (decrease) in professional fees




11,934





(37,373
)




(64,112
)Net cash provided by (used in) operating activities




13,026,429





(7,099,116
)




19,143,000Cash flows from financing activities:Proceeds from additions




6,163,757





6,844,857





52,052,292Payments for redemptions




(84,967,780
)




(46,969,877
)




(74,414,787
)Distribution of interest income to feeder funds




(3,149,700
)




(5,841,467
)




(4,987,846
)Net cash provided by (used in) financing activities




(81,953,723
)




(45,966,487
)




(27,350,341
)Net change in unrestricted cash




(68,927,294
)




(53,065,603
)




(8,207,341
)Unrestricted cash, at beginning of year




87,083,799





140,149,402





148,356,743Unrestricted cash, at end of year



$
18,156,505




$
87,083,799




$
140,149,402Non-cash financing activities:Increase in redemption payable



$
12,753,661




$
—




$
—


See accompanying notes to financial statements.

F-22

---



JWH Strategic Allocation Master Fund LLC
Notes to Financial Statements
December 31, 2007

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 units of Member Interest (‘‘Units’’).

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. On March 1, 2001, The Saugatuck Fund L.P. (‘‘Saugatuck’’) allocated substantially all of its capital to the Master and purchased a total of 20,750.0000 Units of the Master with cash equal to $20,750,000. On December 1, 2001, The Aspetuck Fund L.P. (‘‘Aspetuck’’) allocated substantially all of its capital to the Master and purchased a total of 3,184.5305 Units of the Master with cash equal to $3,050,000. On November 1, 2002, JWH Global Strategies Limited Series (‘‘JWH Global Strategies’’) allocated substantially all of its capital to the Master and purchased a total of 1,338.2964 Units of the Master with cash equal to $2,000,000. On May 22, 2003, SSB Diversified 2000 Futures Fund L.P. (‘‘Diversified 2000’’) allocated a portion of its capital to the Master and purchased a total of 14,370.0894 Units of the Master with a fair value of $27,367,545. On July 1, 2005, CMF Institutional Futures Portfolio L.P. (‘‘CMF Institutional’’) allocated a portion of its capital to the Master and purchased 4,195.5111 Units of the Master with cash equal to $7,000,000. On March 31, 2007, Diversified 2000 redeemed its entire investment in the Master. This amounted to 9,843.6945 Units with a fair value of $12,209,977, which includes interest income of $44,692. On December 31, 2007, Mid-West, Mid-West II, Aspetuck, Saugatuck and JWH Global Strategies redeemed their entire investment in the Master. This amounted to 2,573.5510, 3,447.4985, 490.4174, 593.8311 and 2,316.0354 Units with a fair value of $3,490,986, $4,676,096, $665,546, $805,889 and $3,143,096, which includes interest income of $7,170, $9,217, $1,668, $2,019 and $7,878, respectively, that is included as part of distribution payable in the Statements of Financial Condition. 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.

Prior to their redemption on December 31, 2007, the Master’s investors consisted of Mid-West, Mid-West II, Aspetuck, Saugatuck, JWH Global Strategies, and CMF Institutional (each a ‘‘Member’’ or a ‘‘Feeder’’, collectively the ‘‘Funds’’) with 19.2%, 25.7%, 3.7%, 4.4%, 17.3%, and 29.7% investments in the Master at December 31, 2007, respectively. As of December 31, 2007, CMF Institutional was the sole Member of the Master. Mid-West, Mid-West II, Aspetuck, Saugatuck, JWH Global Strategies, Diversified 2000 and CMF Institutional had 11.1%, 11.2%, 1.8%, 19.6%, 33.9%, 16.8% and 5.6% investments in the Master at December 31, 2006, respectively.

Citigroup Managed Futures 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’’). CGM is an affiliate of the Managing Member. The Managing Member is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. As of December 31, 2007, all trading decisions for the Master are made by the Advisor.

2.    Accounting Policies:

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|a. | All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the 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

F-23

---



JWH Strategic Allocation Master Fund LLC
Notes to Financial Statements
December 31, 2007

| |                                                                                                                                                                                                                                                                                                                                                                  
| | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | 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 Funds at the time of such determination.

|   |                                                                                                                                                           
|-- | ----------------------------------------------------------------------------------------------------------------------------------------------------------
|c. | 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.

| |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         
| | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | During the current year, the Partnership adopted FASB Interpretation No. 48 ‘‘Accounting for Uncertainty in Income Taxes’’ (‘‘FIN 48’’). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the ‘‘more-likely-than-not’’ threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the year ended December 31, 2007 and that no provision for income tax is required in the Partnership’s financial statements.

The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States – 2004.

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
|-- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|d. | In September 2006, the FASB issued Statement of Financial Accounting Standards (‘‘SFAS’’) No. 157, ‘‘Fair Value Measurements.’’ This accounting standard establishes a singleauthoritativedefinition of fair value and sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and the interim periods within those fiscal years. The Partnership adopted SFAS No. 157 on January 1, 2008 and the application of this standard did not impact the financial statements; however, additional disclosures will be required about the inputs used to develop the measurements.

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

3.    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 Funds.

F-24

---



JWH Strategic Allocation Master Fund LLC
Notes to Financial Statements
December 31, 2007

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

| |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            
| | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| | The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among 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 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, 2007 and 2006, the amount of cash held by the Master for margin requirements was $8,843 and $16,056,194, 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.

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, 2007 and 2006, based on a monthly calculation, was $436,466 and $3,331,757, 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 its Units at their Net Asset Value as of the end of any day. The Managing Member, in its sole discretion, may permit redemptions more frequently than monthly.

F-25

---



JWH Strategic Allocation Master Fund LLC
Notes to Financial Statements
December 31, 2007

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member Interest for the years ended December 31, 2007, 2006 and 2005 were as follows:

2007


2006


2005Net realized and unrealized losses*



$
(50.21
)



$
(242.40
)



$
(380.61
)Interest income




54.92





66.65





46.84Expenses**




(0.93
)




(0.07
)




0.57Increase (decrease) for period




3.78





(175.82
)




(333.20
)Distribution of interest income to feeder funds




(54.92
)




(66.65
)




(46.84
)Net Asset Value per Unit of Member Interest, beginning of year




1,404.84





1,647.31





2,027.35Net Asset Value per Unit of Member Interest, end of year



$
1,353.70




$
1,404.84




$
1,647.31Ratio to average net assets:Net investment income***




4.1
%




4.1
%




2.5
%Operating expenses




(0.2
)%




(0.2
)%




(0.2
)%Total return




0.3
%




(10.7
)%




(16.4
)%


|* | Includes clearing fees.
|- | -----------------------

|** | Excludes clearing fees.
|-- | -----------------------

|*** | Interest income less total expenses.
|--- | ------------------------------------

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

7.    Financial Instrument Risks:

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

F-26

---



JWH Strategic Allocation Master Fund LLC
Notes to Financial Statements
December 31, 2007

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 the inception date. However, due to the nature of the Master’s business, these instruments may not be held to maturity.

8.    Subsequent Event

On January 2, 2008, Smith Barney Westport Futures Fund L.P. (‘‘Westport’’) allocated a portion of its capital to the Master and purchased a total of 29,209.3894 Units of the Master with cash equal to $39,540,753.

Effective January 14, 2008, the Master changed its name to JWH Master Fund LLC.

9.    Recent Accounting Pronouncement:

On March 19, 2008, Financial Accounting Standards Board released Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (FAS 161). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 161 and its impact on the financial statements has not yet been determined.

F-27

---



Selected unaudited quarterly financial data for JWH Master for the years ended December 31, 2007 and 2006 are summarized below:

For the period from
October 1, 2007 to
December 31, 2007


For the period from
July 1, 2007 to
September 30, 2007


For the period from
April 1, 2007 to
June 30, 2007


For the period from
January 1, 2007 to
March 31, 2007Net realized and unrealized trading gain (losses) net of brokerage commissions and clearing fees plus interest income



$
1,484,923




$
66,015




$
5,108,295




$
(10,734,499
)Net income (loss)



$
1,476,553




$
56,094




$
5,098,523




$
(10,743,942
)Increase (decrease) in Net Asset Value per Unit



$
55.84




$
2.11




$
99.22




$
(153.39
)


For the period from
October 1, 2006 to
December 31, 2006


For the period from
July 1, 2006 to
September 30, 2006


For the period from
April 1, 2006 to
June 30, 2006


For the period from
January 1, 2006 to
March 31, 2006Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income



$
(7,952,641
)



$
2,634,040




$
1,201,214




$
(9,954,541
)Net income (loss)



$
(7,951,169
)



$
2,632,593




$
1,199,781




$
(9,959,550
)Increase (decrease) in Net Asset Value per Unit



$
(105.05
)



$
32.04




$
(2.39
)*



$
(100.42
)


|
|
|
|

|* | The amount shown per Unit does not correspond with the income presented above because of the timing of additions/redemptions of the Master’s Units in relation to the fluctuating values of the Master’s commodity interest.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

F-28

---



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

None.

Item 9A.Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Exchange Act is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2007 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with generally accepted accounting principles. These controls include policies and procedures that:

|  |                                                                                                                                                                  
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------
|• | pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

|  |                                                                                                                                                                                                                                                                                                                              
|- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|• | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

|  |                                                                                                                                                                                                                 
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|• | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

This annual report does not include an attestation report of the Partnership’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Partnership’s registered public accounting firm pursuant to temporary rules of the Securities Exchange Commission that permit the Partnership to provide only management’s report in this annual report.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended December 31, 2007 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

Management’s Report on internal control over reporting is included in the Partnership’s annual financial statements under ‘‘Item 8.Financial Statements and Supplementary Data.’’

PART III

Item 10.Directors, Executive officers, promoters and control persons.

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.’’

23

---



CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under ‘‘Item 1.Business.’’ During the year ended December 31, 2007, CGM earned $480,084 in brokerage commissions and clearing fees. The Advisor earned $158,676 in management fees during 2007. During the year ended December 31, 2007, the General Partner earned $79,339 in administrative fees.

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)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(c) 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

(1)Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP 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:

2007            $10,000

2006            $15,000

(2)Audit-Related Fees. None

(3)Tax Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP 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:

2007            $2,606

2006            $7,606

(4)All Other Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

PART IV

Item 15.Exhibits and Financial Statement Schedules.

|       |                                                                                       
|------ | --------------------------------------------------------------------------------------
|(a)(1) | Financial Statements: Statements of Financial Condition at December 31, 2007 and 2006.

Statements of Income and Expenses for the years ended December 31, 2007, 2006 and 2005.

Statements of Changes in Partners’ Capital for the years ended December 31, 2007, 2006 and 2005.

Statements of Cash Flows for the years ended December 31, 2007, 2006 and 2005.

Notes to Financial Statements.

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

3.1 – Certificate of Limited Partnership (previously filed).

24

---



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).

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 (previously filed).

10.13 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2004 (previously filed).

10.14 – Letter from General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2005 (previously filed).

10.15 – Letter from General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2006 (previously filed).

10.16 – Letter from General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2007 (filed herein).

16.1 – Letter from PricewaterhouseCoopers LLP (previously filed).

The exhibits required to be filed by Item 601 of Regulations S-K are incorporated herein 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)

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.

25

---



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 31st day of March 2008.

Smith Barney Mid West Futures Fund L.P. II

By:/s/ Citigroup Managed Futures LLC
(General Partner)

By:/s/ Jerry Pascucci
Jerry Pascucci
President and 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 on behalf of the Registrant and in the capacities and on the date indicated.

/s/ Jerry Pascucci


/s/ Shelley UllmanJerry Pascucci


Shelley UllmanPresident and Director


Director/s/ Jennifer Magro


/s/ Ihor RakowskyJennifer Magro


Ihor RakowskyChief Financial Officer and
Director


Secretary and Director/s/ Steve Ciampi


/s/ Daryl DewbreySteve Ciampi


Daryl DewbreyDirector


Director/s/ Raymond NolteRaymond NolteDirector


26

---