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, 2001

Commission File Number 0-28336
                       -------

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

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

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

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

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

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

                                                          Yes   X    No
                                                              -----     ----

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

As of February 28, 2002,  Limited  Partnership  Units with an aggregate value of
$31,685,476 were outstanding and held by non-affiliates.


                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None

<PAGE>




                                     PART I

Item 1. Business.

     (a) General  development of business.  Smith Barney  Mid-West  Futures Fund
L.P. II, (the "Partnership") is a limited partnership  organized on June 3, 1994
under the partnership  laws of the State of New York. The Partnership  commenced
trading  operations  on  September  1,  1994.  The  Partnership  engages  in the
speculative trading of a diversified  portfolio of commodity interests including
futures  contracts,  options and  forward  contracts.  Between  July 7, 1994 and
August 31, 1994, 9,421 Units of Limited Partnership Interest ("Units") were sold
at $1,000 per Unit. The proceeds of the initial  offering were held in an escrow
account  until  September  1, 1994,  at which time they were  turned over to the
Partnership  for trading.  Sales and  redemptions  of Units and general  partner
contributions  and  redemptions for the years ending December 31, 2001, 2000 and
1999 are reported in the Statement of Partners'  Capital on page F-6 under "Item
8. Financial Statements and Supplementary Data."

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

                                       2
<PAGE>

As of June 7, 1999, the Partnership was authorized to sell an additional  25,000
Units.

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

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

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

     The  Master's  trading of  futures,  forwards  and  options  contracts,  if
applicable,  on  commodities  is done  primarily  on United  States  of  America



                                       3
<PAGE>

commodity exchanges and foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with SSB.

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

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

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


                                       4
<PAGE>

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

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



                                       5
<PAGE>

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

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

     (b)  Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's  net income from operations for the years ended December 31, 2001,
2000, 1999, 1998 and 1997 are set forth under "Item 6. Selected Financial Data."
The Partnership's capital as of December 31, 2001 was $35,778,970.


     (c)  Narrative description of business.
          ---------------------------------
          See Paragraphs (a) and (b) above.
          (i) through (x) - Not applicable.
          (xi) through (xii) - Not applicable.
          (xiii) - The Partnership has no employees.



                                       6
<PAGE>

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

Item 2. Properties.

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

Item 3.  Legal Proceedings.

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

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

     There have been no  administrative,  civil or criminal actions pending,  on
appeal or concluded against SSB or any  of its individual  principals within the



                                       7
<PAGE>

past five years that  management  believes  may have a material  impact on SSB's
ability to act as an FCM. In the ordinary course of its business, SSB is a party
to various claims and regulatory  inquiries.  Proceedings  deemed to be material
for  purposes  of  Commodity  Futures  Trading  Commission  ("CFTC")  disclosure
requirements are:

     In September 1992,  Harris Trust and Savings Bank (as trustee for Ameritech
Pension Trust ("APT"), Ameritech Corporation,  and an officer of Ameritech filed
suit  against  Salomon   Brothers  Inc.  ("SBI")  and  Salomon  Brothers  Realty
Corporation  ("SBRC") in the U.S.  District  Court for the Northern  District of
Illinois  (Harris Trust Savings Bank, not individually but solely as trustee for
the Ameritech  Pension  Trust,  Ameritech  Corporation  and John A. Edwardson v.
Salomon  Brothers Inc and Salomon  Brothers  Realty  Corp.).  The second amended
complaint  alleges that three purchases by APT from defendants of  participation
interests  in net cash flow or resale  proceeds  of three  portfolios  of motels
owned by Motels of America, Inc. ("MOA"), as well as a fourth purchase by APT of
a similar  participation  interest in a portfolio  of motels owned by Best Inns,
Inc. ("Best"),  violated the Employee  Retirement Income Security Act ("ERISA"),
and  that  APT's  purchase  of the  participation  interests  in the  third  MOA
portfolio  and in the Best  portfolio  violated  the  Racketeer  Influenced  and
Corrupt  Organization Act ("RICO") and the Illinois Consumer Fraud and Deceptive




                                       8
<PAGE>
Practices  Act  ("Consumer  Fraud  Act"),  and  constituted   fraud,   negligent
misrepresentation,  breach of contract and unjust  enrichment.  SBI had acquired
the participation interests when it purchased principal mortgage notes issued by
MOA and Best to finance  purchases  of motel  portfolios;  95% of three of those
interests  and 100% of the fourth were sold to APT for a total of  approximately
$20.9 million.  Plaintiffs'  second amended  complaint seeks judgment (a) on the
ERISA claims for the approximately  $20.9 million purchase price, for rescission
and for  disgorgement of profits,  as well as other relief,  and (b) on the RICO
and state law claims in the amount of $12.3 million, with damages trebled to $37
million on the RICO  claims  and  punitive  damages in excess of $37  million on
certain of the state law claims as well as other  relief.  Following  motions by
defendants,  the court dismissed the RICO, Consumer Fraud Act, fraud,  negligent
misrepresentation,  breach of contract,  and unjust enrichment claims. The court
also found that defendants  were not ERISA  fiduciaries and dismissed two of the
three claims based on that allegation.  Defendants moved for summary judgment on
plaintiffs' only remaining claim,  which alleged an ERISA violation.  The motion
was denied, and defendants appealed to the U.S. Court of Appeals for the Seventh
Circuit.  In July  1999,  the U. S.  Court of Appeals  for the  Seventh  Circuit
reversed the denial of defendants' motion for summary judgment and dismissed the
sole remaining ERISA claim against the Company.  Plaintiffs filed a petition for
certiorari  with the U. S. Supreme Court  seeking  review of the decision of the
Court of  Appeals,  which was  granted  in  January  2000.  After  hearing  oral
argument, on June 12, 2000, the U.S. Supreme Court  reversed the  U.S.  Court of


                                       9
<PAGE>

Appeals for the Seventh Circuit's  judgment,  which had overturned the denial of
defendants'  motion for summary  judgment and dismissed the sole remaining ERISA
claim  against the Company,  and  remanded  the matter to the circuit  court for
further proceedings.  Subsequently, the circuit court remanded the matter to the
U.S.   District  Court  for  the  Northern  District  of  Illinois  for  further
proceedings.

     Both the Department of Labor and the Internal  Revenue Service ("IRS") have
advised SBI that they were or are reviewing the  underlying  transactions.  With
respect to the IRS,  SSBH, SBI and SBRC have consented to extensions of time for
the  assessment  of  excise  taxes  that  may be  claimed  with  respect  to the
transactions  for the years 1987,  1988 and 1989.  In August 1996,  the IRS sent
SSBH,  SBI and SBRC what appeared to be draft  "30-day  letters" with respect to
the  transactions and SSBH, SBI and SBRC were given an opportunity to comment on
whether the IRS should issue 30-day letters,  which would actually  commence the
assessment  process.  In October 1996, SSBH, SBI and SBRC submitted a memorandum
setting  forth reasons why the IRS should not issue such 30-day  letters.  Since
that time, the IRS has not issued such 30-day letters to SSBH, SBI or SBRC.

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
SSB,  in the U.S.  Bankruptcy  Court for the  Central  District  of  California.
(County  of Orange  et al v.  Bear  Stearns  & Co.  Inc.  et al.) The  complaint
alleged,  among  other  things,  that  the brokerage firms recommended  and sold



                                       10
<PAGE>

unsuitable  securities to Orange Count.  SSB and the remaining  brokerage  firms
settled with Orange County in mid 1999.

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

     In November  1998, a class action  complaint was filed in the United States
District  Court for the Middle  District of Florida  (Dwight  Brock as Clerk for
Collier County v. Merrill Lynch, et al.). The Complaint  alleged that,  pursuant
to a nationwide conspiracy, 17 broker-dealer defendants,  including SSB, Charged
excessive  mark-ups in connection with advanced  refunding  transactions.  Among
other relief,  plaintiffs sought compensatory and punitive damages,  restitution
and/or  rescission of the  transactions  and  disgorgement of alleged  excessive
profits.  In October 1999, the plaintiff filed a second amended  complaint.  SSB
has asked the court to dismiss the amended  complaint.  In  November  1999,  SSB
moved to dismiss the  amended complaint. In  May 2001, the parties reached,  and



                                       11
<PAGE>

the court preliminarily approved, a tentative settlement. In September 2001, the
court approved the settlement.

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

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

     In March 1999, a complaint seeking in excess of $250 million was filed by a
hedge fund and its  investment  advisor  against SSB in the Supreme Court of the
State of New York,  County of New York (MKP Master  Fund,  LDC et al. v. Salomon
Smith Barney  Inc.).  Plaintiffs  allege that while acting as their prime broker
SSB breached its contracts with  plaintiffs,  converted  plaintiffs'  monies and
engaged in tortious  conduct,  including  breaching  its  fiduciary  duties.  In
October 1999, the court dismissed plaintiffs' tort claims, including the  breach



                                       12
<PAGE>

of  fiduciary  duty claims,  but allowed the breach of contract  and  conversion
claims  to  stand.   In  December   1999,  SSB  filed  an  answer  and  asserted
counterclaims  against the investment advisor. In response to plaintiffs' motion
to strike the  counterclaims,  in January  2000,  SSB amended its  counterclaims
against  the  investment  advisor  to  seek  indemnification  and  contribution.
Plaintiffs  moved to strike SSB's  amended  counterclaims  in February  2000. In
September   2000,  the  court  denied   plaintiffs'   motion  to  dismiss  SSB's
counterclaims based on indemnification and contribution. Discovery is ongoing.

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



                                       13
<PAGE>



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

        Therewere  no matters  submitted  to the  security  holders  for  a vote
during the last fiscal year covered by this report. PART II

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

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

     (b)  Holders.  The number of holders of Units of Partnership Interest as of
          December 31, 2001 was 516.

     (c)  Distribution.  The  Partnership did not declare a distribution in 2001
          or 2000.

     (d)  Use of Proceeds.  There were no additional  sales of Units in the year
          ended  December 31,  2001.  For the twelve  months ended  December 31,
          2000, there were additional sales of 591.5651 Units totaling $835,000.
          For the twelve months ended December 31, 1999,  there were  additional
          sales of 8,073.7298 Units totaling $13,256,000.


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




                                       14
<PAGE>



Item 6. Selected Financial Data. Realized and unrealized trading gains (losses),
interest  income,  net income (loss) and increase  (decrease) in Net Asset Value
per Unit for the years ended December 31, 2001,  2000,  1999,  1998 and 1997 and
total assets at December 31, 2001, 2000, 1999, 1998 and 1997 were as follows:


<TABLE>
<CAPTION>
                                        2001           2000            1999           1998            1997
                                    ------------   ------------   -------------   -------------   -------------
<S>                                     <C>               <C>            <C>            <C>           <C>
Realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 of $2,506,228, $3,096,407,
 $5,296,707, $5,793,730 and
 $5,672,628, respectively          $   (889,142)   $ (4,945,018)   $(18,354,842)   $  4,233,828   $ 13,762,069
Interest income                       1,122,566       2,193,751       2,923,960       3,300,032      3,513,989
                                   ------------    ------------    ------------    ------------   ------------
                                   $    233,424    $ (2,751,267)   $(15,430,882)   $  7,533,860   $ 17,276,058
                                   ============    ============    ============    ============   ============
Net income (loss)                  $ (1,014,999)   $ (5,075,829)   $(19,681,820)   $  2,107,683   $ 11,255,193
                                   ============    ============    ============    ============   ============
Increase (decrease) in
 Net Asset Value per Unit          $     (43.77)   $      (6.02)   $    (376.78)   $      54.16   $     196.20
                                   ============    ============    ============    ============   ============
Total assets                       $ 37,316,295    $ 45,323,728    $ 74,994,627    $ 96,893,196   $103,999,164
                                   ============    ============    ============    ============   ============
</TABLE>



                                       15
<PAGE>



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

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

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

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

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

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


                                       16
<PAGE>

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

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

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

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


                                       17
<PAGE>

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

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


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



                                       18
<PAGE>

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

     For the year  ended  December  31,  2000,  there were  additional  sales of
591.5651 Units totaling $835,000.  The Partnership ceased to offer Units between
April  1997 and June 1999.  For the year ended  December  31,  1999,  there were
additional sales of 8,073.7298 Units totaling $13,256,000.

     No forecast can be made as to the level of redemptions in any given period.
A limited  partner  may redeem  all or some of his Units at the Net Asset  Value
thereof as of the last day of any month on fifteen  days  written  notice to the
General  Partner.  For the year ended December 31, 2001,  4,875.3133  Units were
redeemed totaling $6,987,255.  For the year ended December 31, 2000, 20,951.5320
Units were redeemed totaling $24,685,129.  For the year ended December 31, 1999,
9,225.3414 Units were redeemed totaling $15,041,437.

     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


                                       19
<PAGE>

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, 2001, the Net
Asset Value Per Unit decreased  3.1% from  $1,405.49 to $1,361.72.  For the year
ended December 31, 2000, the Net Asset per Unit decreased 0.4% from $1,411.51 to
$1,405.49.  For the year ended  December 31, 1999,  the Net Asset Value Per Unit
decreased 21.1% from $1,788.29 to $1,411.51.

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

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

     The  Partnership  experienced  net  trading  losses of  $13,058,135  before
commissions  and  expenses for the year ended  December  31,  1999.  Losses were
primarily  attributable  to the trading of U.S.  and  non-U.S.  interest  rates,
indices and metals and were partially offset by gains incurred in the trading of
currencies.



                                       20
<PAGE>



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

     (d) Operational Risk

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

Such risks include:

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


                                       21
<PAGE>

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

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

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

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

                                       22
<PAGE>

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

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

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

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

     Value at Risk is a measure of the  maximum  amount  which the Master  could
reasonably be expected to lose in a given market sector.  However,  the inherent
uncertainty  of the  Master's  speculative  trading  and the  recurrence  in the
markets traded  by the Master  of market  movements far  exceeding  expectations


                                       23
<PAGE>

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

     Exchange maintenance margin requirements  have been used  by  the Master as


                                       24
<PAGE>

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

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

                                       25
<PAGE>


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.



                                       26
<PAGE>



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

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions by market  category as of December 31, 2001.  All open
position  trading risk exposures of the Master have been included in calculating
the figures set forth  below.  As of  December  31,  2001,  the  Master's  total
capitalization was $93,677,938.

                                December 31, 2001
<TABLE>
<CAPTION>
<S>                                  <C>         <C>             <C>            <C>
                                                                       Year to Date
                                              % of Total             High         Low
Market Sector              Value at Risk    Capitalization    Value at Risk  Value at Risk
--------------------------------------------------------------------------------------------
Currencies
- OTC Contract                 $ 5,033,147      5.37%         $5,602,634      $ 27,500
Energy                           1,883,100      2.01%          2,347,700       475,900
Grains                             255,000      0.27%            426,150       135,000
Interest Rates U.S.              1,017,700      1.09%          1,505,450       406,740
Interest Rates Non-U.S.          2,418,605      2.58%          4,042,034     1,021,936
Livestock                           14,400      0.02%             14,400         7,000
Metals
- Exchange Traded Contracts        394,000      0.42%            479,000       122,000
- OTC Contracts                     78,000      0.08%            292,900        77,500
Softs                              318,264      0.34%            469,764       137,945
Indices                          1,077,669      1.15%          1,883,559       943,944
                              -----------      ------
Total                          $12,489,885     13.33%
                               ===========     =====
</TABLE>



                                       27
<PAGE>



As of December 31, 2000, the Partnership's total capitalization was $43,781,224.


                                December 31, 2000
<TABLE>
<CAPTION>
<S>                                 <C>              <C>             <C>             <C>
                                                                          Year to Date
                                                  % of Total         High            Low
Market Sector                  Value at Risk    Capitalization   Value at Risk   Value at Risk
--------------------------------------------------------------------------------------------
Currencies
- Exchange Traded Contracts     $   98,352          0.23%        $  620,600      $   45,148
- OTC Contracts                  1,284,434          2.93%         4,227,270         524,928
Energy                             960,200          2.19%         1,577,200         466,400
Grains                             296,850          0.68%           960,300          73,700
Interest Rates U.S.                512,350          1.17%         1,497,400         203,740
Interest Rates Non-U.S.          2,008,777          4.59%         5,317,015         745,674
Livestock                            2,800          0.01%             3,500           2,800
Metals (Exchange Traded and
 OTC Contracts)                    225,000          0.51%         1,642,000          54,000
Softs                              148,683          0.34%           366,821          63,763
Indices                            712,585          1.63%         1,587,303         410,355
                                 ----------        ------
Total                           $6,250,031         14.28%
                                ==========         ======
</TABLE>


                                       28
<PAGE>



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

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

Non-Trading Risk

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

     The following qualitative  disclosures regarding the  Master's market risk


                                       29
<PAGE>

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

     The following  were the primary  trading risk exposures of the Master as of
December 31, 2001, by market sector.



                                       30
<PAGE>



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

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

     Stock Indices. The Master's primary equity exposure is to equity price risk
in the G-7  countries.  The stock index futures  traded by the Master are by law
limited  to  futures  on  broadly based  indices. As  of  December 31, 2001, the


                                       31
<PAGE>


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

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

     Softs. The Master's primary  commodities  exposure is to agricultural price
movements  which are often  directly  affected by severe or  unexpected  weather
conditions.  Cocoa,  cotton and sugar accounted for the substantial  bulk of the
Master's commodity exposure as of December 31, 2001.

     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.



                                       32
<PAGE>

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following were the only  non-trading risk exposures of the Master as of
December 31, 2001.

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

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



                                       33
<PAGE>

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

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





                                       34
<PAGE>





Item 8.    Financial Statements and Supplementary Data.



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


                                                            Page
                                                           Number


   Oath or Affirmation                                      F-2

   Report of Independent Accountants.                       F-3

   Financial Statements:
   Statement of Financial Condition at
   December 31, 2001 and 2000.                              F-4

   Statement of Income and Expenses for
   the years ended December 31, 2001, 2000
   and 1999.                                                F-5

   Statement of Partners' Capital for the
   years ended December 31, 2001, 2000 and
   1999.                                                    F-6

   Notes to Financial Statements.                        F-7 - F-11

   Financial Statements of JWH Strategic Allocation
   Master Fund LLC
   Oath or Affirmation.                                     F-12

   Report of Independent Accountants.                       F-13

   Statement of Financial Condition at
   December 31, 2001.                                       F-14

   Condensed Schedule of Investments at
   December 31, 2001                                        F-15

   Statement of Income and Expenses for the
   period January 26, 2001 (commencement of
   trading operations) to December 31, 2001                 F-16

   Statement of Members' Capital for the
   period January 26, 2001 (commencement of
   trading operations) to December 31, 2001                 F-17

   Notes to Financial Statements.                       F-18 - F-21



                                       F-1


<PAGE>



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

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





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

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




                                       F-2
<PAGE>


                        Report of Independent Accountants

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

In our opinion,  the  accompanying  statement of  financial  condition,  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly,  in all  material  respects,  the  financial  position  of Smith  Barney
Mid-West  Futures Fund L.P. II at December 31, 2001 and 2000, and the results of
its  operations  for each of the three years in the period  ended  December  31,
2001, in conformity with accounting  principles generally accepted in the United
States of America.  These  financial  statements are the  responsibility  of the
management of the General Partner;  our  responsibility is to express an opinion
on these financial  statements  based on our audits.  We conducted our audits of
these  financial  statements in accordance  with  auditing  standards  generally
accepted in the United States of America, which require that we plan and perform
the audit to obtain reasonable  assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence  supporting the amounts and  disclosures  in the financial  statements,
assessing the accounting  principles used and significant  estimates made by the
management  of  the  General  Partner,  and  evaluating  the  overall  financial
statement  presentation.  We believe that our audits provide a reasonable  basis
for our opinion.


PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                       F-3
<PAGE>



                   Smith Barney Mid-West Futures Fund L.P. II
                        Statement of Financial Condition
                           December 31, 2001 and 2000
<TABLE>
<CAPTION>

                                                                              2001                 2000
<S>                                                                           <C>                  <C>
Assets:
Investment in Master, at fair value                                       $37,231,806         $         --
Cash, in commodity futures trading account (Note 3c)                           42,242           37,561,240
Net unrealized appreciation on open positions, in commodity
  futures trading account                                                          --            7,601,505
                                                                         ------------         ------------
                                                                           37,274,048           45,162,745
Interest receivable                                                            42,247              160,983
                                                                         ------------         ------------
                                                                          $37,316,295          $45,323,728
                                                                           ==========           ==========



Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Commissions                                                               $186,581             $226,619
   Management fees                                                             61,844               75,079
   Administrative fees                                                         30,922               37,539
   Professional fees                                                           19,605               45,589
   Other                                                                        3,952                4,251
  Redemptions payable (Note 5)                                              1,234,421            1,153,427
                                                                         ------------         ------------
                                                                            1,537,325            1,542,504
                                                                         ------------         ------------
Partners' capital (Notes 1, 5 and 6):
  General Partner, 608.9156 Unit equivalents outstanding
   in 2001 and 2000                                                           829,173              855,825
  Limited Partners, 25,665.9357 and 30,541.2490 Units of Limited
   Partnership Interest outstanding in 2001 and 2000, respectively         34,949,797           42,925,399
                                                                         ------------         ------------
                                                                           35,778,970           43,781,224
                                                                         ------------         ------------
                                                                          $37,316,295          $45,323,728
                                                                          ===========           ==========
</TABLE>




See notes to financial statements.

                                       F-4
<PAGE>


                   Smith Barney Mid-West Futures Fund L.P. II
                        Statement of Income and Expenses
                               for the years ended
                        December 31, 2001, 2000 and 1999

<TABLE>
<CAPTION>

                                                             2001               2000               1999
<S>                                                          <C>                <C>                 <C>
Income:
  Realized gains on closed positions from Master          $3,950,697        $         --      $          --
  Change in unrealized losses on open positions
   from Master                                            (1,000,510)                 --                 --
  Expenses allocated from Master                             (64,302)
  Net gains (losses) on trading of commodity
   interests:
   Realized gains (losses) on closed positions             1,696,703*         (9,558,900)        (3,345,588)
   Change in unrealized gains (losses) on
    open positions                                        (2,965,502)*         7,710,289         (9,712,547)
                                                        ------------        ------------       -------------
                                                           1,617,086          (1,848,611)       (13,058,135)
  Less, Brokerage commissions including clearing
   fees of $53,530 and $77,945 in 2000 and 1999,
   respectively (Note 3c)                                 (2,506,228)         (3,096,407)        (5,296,707)
                                                        ------------        ------------       -------------
  Net realized and unrealized losses                        (889,142)         (4,945,018)       (18,354,842)
  Interest income (Note 3c)                                1,122,566           2,193,751          2,923,960
                                                        ------------        ------------       ------------
                                                             233,424          (2,751,267)       (15,430,882)
                                                        ------------        ------------       -------------
Expenses:
  Management fees (Note 3b)                                  809,363           1,764,892          3,304,594
  Administrative fees (Note 3a)                              404,680             491,529            826,149
  Professional fees                                           27,287              54,693            106,666
  Other expenses                                               7,093              13,448             13,529
                                                        ------------        ------------       ------------
                                                           1,248,423           2,324,562          4,250,938
                                                        ------------        ------------       ------------
Net loss                                                 $(1,014,999)        $(5,075,829)      $(19,681,820)
                                                           =========           =========         ==========


Net loss per Unit of Limited Partnership
  Interest and General Partner Unit equivalent
  (Notes 1 and 6)                                           $(43.77)             $(6.02)          $(376.78)
                                                          ==========              ======           ========
</TABLE>



* For the period from January 1, 2001 to January 25, 2001 (Note 1)


See notes to financial statements.

                                       F-5
<PAGE>


                   Smith Barney Mid-West Futures Fund L.P. II
                         Statement of Partners' Capital
                               for the years ended
                        December 31, 2001, 2000 and 1999

<TABLE>
<CAPTION>

                                                      Limited              General
                                                     Partners              Partner              Total

<S>                                                      <C>                  <C>                 <C>

Partners' capital at December 31, 1998                $93,085,521         $1,088,918           $94,174,439
Net loss                                              (19,452,392)          (229,428)          (19,681,820)
Sale of 8,073.7298 Units of Limited
  Partnership Interest                                 13,256,000                 --            13,256,000
Redemption of 9,225.3414 Units of Limited
  Partnership Interest                                (15,041,437)                --           (15,041,437)
                                                       -----------        -----------           -----------
Partners' capital at December 31, 1999                 71,847,692            859,490            72,707,182
Net loss                                               (5,072,164)            (3,665)           (5,075,829)
Sale of 591.5651 Units of Limited
  Partnership Interest                                    835,000                 --               835,000
Redemption of 20,951.5320 Units of Limited
  Partnership Interest                                (24,685,129)                --           (24,685,129)
                                                       ----------          ---------             -----------
Partners' capital at December 31, 2000                 42,925,399            855,825            43,781,224
Net loss                                                 (988,347)           (26,652)           (1,014,999)
Redemption of 4,875.3133 Units of Limited
  Partnership Interest                                 (6,987,255)                --            (6,987,255)
                                                       ----------           ---------           -----------
Partners' capital at December 31, 2001                $34,949,797           $829,173           $35,778,970
                                                       ==========            ========           ==========
</TABLE>


See notes to financial statements.



                                       F-6
<PAGE>


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


1.  Partnership Organization:

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

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

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

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

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

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

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

2.  Accounting Policies:

  a. The  value  of  the  Partnership's  investment  in the Master  reflects the
     Partnership's  proportional interest in the member's capital of the Master.
     All of the income and expenses and unrealized and realized gains and losses
     from the commodity  transactions of the Master are allocated pro rata among
     the investors at the time of such determination.  All  commodity  interests


                                       F-7
<PAGE>

     (including   derivative  financial  instruments   andderivative   commodity
     instruments)  held by the  Master  and  prior to  January  26,  2001 by the
     Partnership  are used for trading  purposes.  The  commodity  interests are
     recorded on trade date and open  contracts are recorded in the statement of
     financial  condition  at fair value on the last  business  day of the year,
     which  represents  market  value for those  commodity  interests  for which
     market quotations are readily available. Investments in commodity interests
     denominated in foreign  currencies are translated into U.S.  dollars at the
     exchange  rates  prevailing on the last business day of the year.  Realized
     gains (losses) and changes in unrealized values on commodity  interests and
     foreign  currencies  are  recognized in the period in which the contract is
     closed or the  changes  occur and are  included  in net gains  (losses)  on
     trading of commodity interests.

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

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

3.  Agreements:

    a. Limited Partnership Agreement:

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

    b. Management Agreement:

     The  Management  Agreement  that the  General  Partner,  on  behalf  of the
     Partnership,  entered into with the Advisor,  provides that the Advisor has
     sole  discretion  in  determining  the  allocation  of  the  assets  of the
     Partnership by the General Partner.  For the period January 1, 2000 through
     September  30, 2000,  the  Partnership  was  obligated to pay the Advisor a
     monthly  management  fee of 1/3 of 1% (4% per year) of month-end Net Assets
     allocated to the Advisor and an incentive fee payable  quarterly,  equal to
     15% of the New Trading Profits, as defined in the Management Agreement. For
     the  period  October 1, 2000 to  January  25,  2001,  the  Partnership  was
     obligated  to pay the Advisor a monthly  management  fee equal to 1/6 of 1%
     (2% per  year) of  month-end  Net  Assets  managed  by the  Advisor  and an
     incentive fee, payable quarterly,  equal to 20% of the New Trading Profits,
     as defined  in the  Management  Agreement,  of the  Partnership.  Effective
     January 26, 2001, the Partnership is obligated to pay the Advisor a monthly
     management  fee equal to 1/6 of 1% (2% per year) of  month-end  Net  Assets
     allocated  pro-rata by the Master and an incentive fee, payable  quarterly,
     equal to 20% of the New Trading Profits  allocated  pro-rata by the Master,
     as defined in the Management Agreement.


                                       F-8
<PAGE>



  c. Customer Agreement

     Prior to January 26, 2001, the  Partnership  had a Customer  Agreement with
     SSB whereby SSB provide  services which included,  among other things,  the
     execution of transactions for the Partnership's  account in accordance with
     orders  placed by the  Advisor.  The  Partnership  was  obligated  to pay a
     monthly  brokerage  fee to SSB equal to 1/2 of 1 % of month-end  Net Assets
     (6% per year) in lieu of  brokerage  commissions  on a per trade basis (the
     "Brokerage  Fee").  A portion of this fee is paid to  employees  of SSB who
     have sold  Units of the  Partnership.  This fee did not  include  exchange,
     clearing,  floor brokerage,  user, give-up and NFA fees which were borne by
     the Partnership.  Effective  January 26, 2001, the Partnership is obligated
     to pay the Brokerage Fee based on month-end Net Assets  allocated  pro-rata
     from the Master. Effective January 26, 2001, all exchange,  clearing, user,
     give-up,  floor  brokerage  and NFA fees  will be borne by the  Master  and
     allocated to the Partnership  through its investment in Master. At December
     31,  2000,  the  amount  of  cash  held  by  the   Partnership  for  margin
     requirements  was  $6,985,417.  Effective  January  26,  2001,  cash margin
     requirements  are maintained by the Master.  For the period from January 1,
     2001 to January 25, 2001, SSB paid the  Partnership  interest on 80% of the
     average daily equity maintained in cash in its account during each month at
     a  30-day  Treasury  bill  rate  determined  weekly  by  SSB  based  on the
     non-competitive  yield on 3-month U.S.  Treasury  bills maturing in 30 days
     from the date on which such weekly rate is  determined.  Effective  January
     26, 2001, SSB will pay the Partnership interest on 80% of the average daily
     equity  allocated  pro-rata to the  Partnership  by the Master  during each
     month at the rate of the average  non-competitive  yield of 13-week T-Bills
     as determined at the weekly auctions thereof during the month. The Customer
     Agreement  between the  Partnership and SSB gives the Partnership the legal
     right to net  unrealized  gains and losses.  The Customer  Agreement may be
     terminated upon notice by either party.

4.  Trading Activities:

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


                                       F-9
<PAGE>



     The average fair value of the Partnership's  commodity interests during the
     year  ended  December  31,  2000,  based  on  a  monthly  calculation,  was
     $1,479,528. The fair value of these commodity interests,  including options
     thereon,  if applicable,  at December 31, 2000 was $7,601,505,  as detailed
     below.
<TABLE>
<CAPTION>
                                       Fair Value
                                      December 31,
                                         2000
<S>                                      <C>

    Currencies:
        -Exchange Traded Contracts     $207,188
        -OTC Contracts                2,621,875
    Energy                            1,274,209
    Grains                              133,604
    Interest Rates U.S.               1,617,516
    Interest Rates Non-U.S.           1,330,610
    Livestock                             8,960
    Metals
        -Exchange Traded Contracts       (7,055)
        -OTC Contracts                  (62,921)
    Softs                              (133,324)
    Indices                             610,843
                                      ----------
    Total                            $7,601,505
                                      =========
</TABLE>



5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the General Partner;  however,  a limited partner may redeem all or some of
     his Units 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.

6.  Financial Highlights:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended December 31, 2001, 2000 and 1999 were as follows:



<TABLE>
<CAPTION>

                                                     2001             2000              1999

<S>                                                    <C>             <C>               <C>
    Net realized and unrealized losses              $(38.33)          $(4.51)         $(350.11)
    Interest income                                   38.33            53.49             58.67
    Expenses                                         (43.77)          (55.00)           (85.34)
                                                 ----------       ----------        ----------
    Decrease for year                                (43.77)           (6.02)          (376.78)
    Net asset value per Unit, beginning of year    1,405.49         1,411.51          1,788.29
                                                 ----------       ----------        ----------
    Net asset value per Unit, end of year         $1,361.72        $1,405.49         $1,411.51
                                                   ========         ========          ========


    Total return                                                     (3.1)%
    Ratio of expenses, including brokerage commissions, to
     average net assets                                                8.8%
    Ratio of net loss to average net assets                           (2.3)%
</TABLE>


                                      F-10
<PAGE>

7.   Financial Instrument Risks:

     The Partnership and through the Partnership's  investment in the Master, is
     party to  financial  instruments  with  off-balance  sheet risk,  including
     derivative financial  instruments and derivative  commodity  instruments in
     the normal course of its business.  These financial instruments may include
     forwards,  futures and  options,  whose  value is based upon an  underlying
     asset, index, or reference rate, and generally represent future commitments
     to exchange  currencies or cash flows,  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  Partnership/Master  due  to  market  changes,
     including  interest and foreign exchange rate movements and fluctuations in
     commodity  or security  prices.  Market  risk is  directly  impacted by the
     volatility  and  liquidity  in the markets in which the related  underlying
     assets are traded.

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

     The General Partner monitors and controls the  Partnership's/Master's  risk
     exposure on a daily basis  through  financial,  credit and risk  management
     monitoring  systems  and,   accordingly  believes  that  it  has  effective
     procedures for evaluating and limiting the credit and market risks to which
     the  Partnership/Master  are subject.  These  monitoring  systems allow the
     General Partner to  statistically  analyze actual trading results with risk
     adjusted performance  indicators and correlation  statistics.  In addition,
     on-line  monitoring  systems provide account analysis of futures,  forwards
     and  options  positions  by  sector,  margin  requirements,  gain  and loss
     transactions and collateral positions.  The notional or contractual amounts
     of these  instruments,  while  appropriately  not recorded in the financial
     statements, reflect the extent of the Partnership's/Master's involvement in
     these instruments. The majority of these instruments mature within one year
     of   December   31,   2001.   However,   due   to   the   nature   of   the
     Partnership's/Master's  business,  these  instruments  may  not be  held to
     maturity.

8.   Subsequent Events:

     On  January  31,  2002,  there  were  additional  redemptions  representing
     539.8155 Units of Limited Partnership Interest totaling $726,311.

                                      F-11
<PAGE>






                                To The Members of
                    JWH Strategic Allocation Master Fund LLC

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





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

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




                                      F-12
<PAGE>


                        Report of Independent Accountants

To the Members of
   JWH Strategic Allocation Master Fund LLC:

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


PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                      F-13
<PAGE>



                    JWH Strategic Allocation Master Fund LLC
                        Statement of Financial Condition
                                December 31, 2001



<TABLE>
<CAPTION>

                                                                              2001
<S>                                                                            <C>
Assets:
   Equity in commodity futures trading account:
    Cash                                                                  $88,330,292
    Net unrealized appreciation on open futures positions                   5,392,646
                                                                         ------------
                                                                          $93,722,938
                                                                           ==========


Liabilities and Partners' Capital:
Liabilities:
  Accrued expenses:
   Professional fees                                                          $45,000
                                                                              -------
                                                                               45,000
Members' capital:
  Members' capital, 89,573.7730 Units outstanding in 2001                  93,677,938
                                                                           ----------
                                                                          $93,722,938
                                                                           ==========
</TABLE>




See notes to financial statements.




                                      F-14

<PAGE>


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

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

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

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

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

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

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


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

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

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

Total Indices - 0.11%                                        Futures contracts purchased - 0.11%                 105,783
                                                                                                               ---------

Total Fair Value - 5.76%                                                                                      $5,392,646
                                                                                                              ==========
</TABLE>

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

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

                                      F-15
<PAGE>


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


<TABLE>
<CAPTION>

                                                              2001
<S>                                                           <C>
Income:
  Net gains on trading of commodity interests:
   Realized gains on closed positions                     $9,307,481
   Change in unrealized losses
    on open positions                                     (2,710,941)
                                                          ----------
                                                           6,596,540
  Less, clearing fees                                       (230,343)
                                                          ----------
  Net realized and unrealized gains                        6,366,197
                                                          ----------

Expenses:
  Professional fees                                           45,000
                                                           ---------
                                                              45,000
Net income                                                $6,321,197
                                                           =========
Net income per Unit of Member Interest                        $45.82
                                                            ========
</TABLE>


See notes to financial statements.

                                      F-16
<PAGE>


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




<TABLE>
<CAPTION>

                                                        Members'
                                                         Capital
<S>                                                        <C>
Initial capital contribution from the Members
  representing 74,020.3930 Units                      $74,020,393
Net Income                                              6,321,197
Sale of 29,596.7052 Units of
  Members' Interest                                    28,929,324
Redemption of 14,043.3252 Units of
  Members' Interest                                   (15,592,976)
                                                       -----------
Members' capital at December 31, 2001                 $93,677,938
                                                       ==========
</TABLE>


See notes to financial statements.


                                      F-17
<PAGE>


                    JWH Strategic Allocation Master Fund LLC
                          Notes to Financial Statements



1.  General:

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

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

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors consist of Mid-West,  Mid-West II, The Aspetuck Fund L.P. and The
     Saugatuck Fund L.P., (collectively the "Feeder Funds") with 30.12%, 39.74%,
     3.56% and 26.58% investments in the Master, respectively.

     Smith Barney Futures  Management LLC is the managing  member (the "Managing
     Member") of the Master.  The  Master's  commodity  broker is Salomon  Smith
     Barney Inc.  ("SSB").  SSB is an  affiliate  of the  Managing  Member.  The
     Managing  Member is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc. As of December 31, 2001, all trading decisions
     for the Partnership are made by the Advisor.

2.  Accounting Policies:

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

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


                                      F-18

<PAGE>

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

3.a. Managing Member Agreement:

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

  b. Management Agreement:

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

  c. Customer Agreement:

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

4.  Trading Activities:

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

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes.  The average  fair value  during the period from January 26, 2001
     (commencement  of trading  operations)  to December  31,  2001,  based on a
     monthly  calculation,  was  $5,146,554.  The fair value of these  commodity
     interests,  including options thereon, if applicable,  at December 31, 2001
     was $5,392,646.


                                      F-19

<PAGE>

5.   Distributions and Redemptions:

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

6.  Financial Highlights:

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


<TABLE>
<CAPTION>
                                                                        2001
<S>                                                                     <C>
    Net realized and unrealized gains (losses)                         $46.32
    Expenses                                                            (0.50)
                                                                      -------
    Increase for period                                                 45.82
    Net asset value per Unit, beginning of period                    1,000.00
                                                                     --------
    Net asset value per Unit, end of period                         $1,045.82
                                                                     ========

    Total return                                                         4.58%
    Ratio of expenses to average net assets *                            0.32%
    Ratio of net income to average net assets *                          7.41%
</TABLE>

    *Annualized

7.  Financial Instrument Risks:

     The Master is party to financial  instruments with off-balance  sheet risk,
     including  derivative   financial   instruments  and  derivative  commodity
     instruments  in  the  normal  course  of  its  business.   These  financial
     instruments may include forwards, futures and options, whose value is based
     upon an underlying asset, index, or reference rate, and generally represent
     future  commitments  to exchange  currencies or cash flows,  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

                                      F-20
<PAGE>

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

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

     The  notional  or  contractual  amounts  of these  instruments,  while  not
     recorded in the  financial  statements,  reflect the extent of the Master's
     involvement in these instruments.  The majority of these instruments mature
     within one year of December  31,  2001.  However,  due to the nature of the
     Master's business, these instruments may not be held to maturity.

8.  Subsequent Event:

     On January 1, 2002,  there were additional  sales  representing  1,469.6693
     Units of Member interest totaling $1,537,008 and on January 31, 2002, there
     were  additional  redemptions   representing  1,815.3637  Units  of  Member
     Interest totaling $1,898,541.


                                      F-21




<PAGE>


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

        During  the  last two fiscal years and any subsequent interim period, no
independent  accountant who was engaged as the principal accountant to audit the
Partnership's financial statements has resigned or was dismissed.

                                    PART III

Item 10. Directors and Executive Officers of the Registrant.

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

Item 11. Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Smith  Barney  Futures  Management  LLC,  its General  Partner,  which  receives
compensation  for its services,  as set forth under "Item 1.  Business." SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business."  During the year ended December 31, 2001, SSB earned $2,506,228 in
brokerage  commissions  and  clearing  fees.  The  Advisor  earned  $809,363  in
management  fees during  2001.  During the year ended  December  31,  2001,  the
General Partner earned $404,680 in administrative fees. The Advisor did not earn
an incentive fee in the year ended December 31, 2001.



                                       35
<PAGE>

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

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

          (b). Security ownership of management.  Under the terms of the Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent to 608.9156  (2.3%) Units of partnership  interest as of December 31,
2001.

          (c). Changes in control. None.

Item 13. Certain Relationships and Related Transactions.

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

                                     PART IV

Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

          (a)  (1)  Financial  Statements:  Statement of Financial  Condition at
                    December 31, 2001 and 2000.


                                       36
<PAGE>

               Statement of Income and Expenses for the years ended December 31,
               2001, 2000 and 1999.

               Statement of Partners'  Capital for the years ended  December 31,
               2001, 2000 and 1999.

          (2)  Financial Statement  Schedules:  Financial Data Schedule for year
               ended December 31, 2001.

          (3)  Exhibits:

          3.1  - Certificate of Limited Partnership (previously filed).

          3.2  - Limited Partnership Agreement (previously filed).

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

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

          10.3 - Form of Subscription Agreement (previously filed).

          10.4 - Letter dated February 16, 1995 from the General Partner to John
                 W. Henry & Co., Inc. extending Management Agreement (previously
                 filed).

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


                                       37
<PAGE>

          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 (filed herein).

(b) Report on Form 8-K: None Filed



                                       38
<PAGE>



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




Annual Report to Limited Partners



                                       39
<PAGE>

                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K to be signed on its behalf by the  undersigned,  thereunto duly authorized,
in the City of New York and State of New York on the 29th day of March 2002.


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


By:       Smith Barney Futures Management LLC
          (General Partner)



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


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


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



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



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





                                       40