UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934

For theFiscal Year Ended December 31, 2005

CommissionFile Number 0-28336

SMITH BARNEY MID-WEST FUTURES FUNDL.P. II

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(Exactname of registrant as specified in its charter)

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| NewYork                                                      |  | 13-3772374                         |
| (State or otherjurisdiction of incorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
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c/o Citigroup Managed FuturesLLC731 Lexington Avenue. – 25th Fl. New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

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

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Indicate by check mark if the registrant is awell-known seasoned issuer, as defined in Rule 405 of the SecuritiesAct.

Yes              NoX

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

Yes             NoX

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

YesX        No     

Indicate by check mark if disclosure of delinquentfilers 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 referencein Part III of this Form 10-K or any amendment to this form 10-K[X]

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of the Act).

Large acceleratedfiler             Acceleratedfiler               Non-accelerated filerX

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

Yes             No  X

Limited Partnership Redeemable Units with anaggregate value of $19,472,376 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

As of February 28, 2006, 10,861.0170 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Smith Barney Mid-West Futures Fund L.P. II, (the"Partnership") is a limited partnershiporganized on June 3, 1994 under the partnership laws of the State ofNew York. The Partnership commenced trading operations on September 1,1994. Between July 7, 1994 and August 31, 1994, 9,421 redeemable unitsof Limited Partnership Interest ("RedeemableUnits") were sold at $1,000 per Redeemable Unit. Theproceeds of the initial offering were held in an escrow account untilSeptember 1, 1994, at which time they were turned over to thePartnership for trading. From September 1, 1994 to January 25, 2001,the Partnership engaged directly in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Partnership has investedall of its assets in the JWH Strategic Allocation Master Fund LLC, aNew York Limited Liability Company (the"Master"). Partnership Redeemable Units werebeing continuously offered monthly during the continuous offeringperiod through April 1997. The Partnership was authorized to sell75,000 Redeemable Units. As of June 7, 1999, the Partnership wasauthorized to sell an additional 25,000 Redeemable Units. Sales andredemptions of Redeemable Units and general partner contributions andredemptions for the years ended December 31, 2005, 2004, and 2003 arereported in the Statements of Changes in Partners' Capital onpage F-6 under "Item 8. Financial Statements andSupplementary Data."

Effective January 26,2001, the Partnership allocated substantially all of its capital to theMaster. With this cash, the Partnership purchased 42,510.5077 Units ofthe Master with a fair value of $42,510,508. The Master was formed inorder to permit commodity pools managed now or in the future by John W.Henry & Company, Inc. ("JWH") (the"Advisor") using the Strategic AllocationProgram, JWH's proprietary trading program, to invest together inone trading vehicle. The commodity interests traded by the Master arevolatile and involve a high degree of market risk. Citigroup ManagedFutures LLC acts as the general partner (the "GeneralPartner") of the Partnership. The General Partner is themanaging member (the "Managing Member") ofthe Master. Individual and pooled accounts currently managed by JWH,including the Partnership, are permitted to be a non-managing member ofthe Master. The General Partner and JWH believe that trading throughthis structure should promote efficiency and economy in the tradingprocess. Expenses to investors as a result of investment in the Masterare approximately the same and redemption rights are not affected.

At December 31, 2005 and 2004, the Partnership owns 10.97%and 11.82%, respectively of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

ThePartnership's and Master's commodity broker is CitigroupGlobal Markets Inc. ("CGM"). CGM is anaffiliate of the General Partner/Managing Member. The General Partneris wholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

The Master'strading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchanges and foreign commodity exchanges. It engages in such tradingthrough a commodity brokerage account maintained with CGM.

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

Under the Limited PartnershipAgreement, the General Partner has sole responsibility for theadministration of the business and affairs of the Partnership, but maydelegate trading discretion to one or more trading Advisors. ThePartnership pays the General Partner a monthly administrative fee inreturn for its services to the Partnership equal to 1/12 of 1%(1% per year) of month-end Net Assets of the Partnership.Month-end Net Assets, for the purpose of calculating administrativefees are Net Assets, as defined in the Limited Partnership Agreement,prior to the reduction of redemptions and incentive fees. This fee maybe increased or decreased at the discretion of the General Partner.

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The General Partner has entered into amanagement agreement (the "ManagementAgreement") with the Advisor, who will make all commoditytrading decisions for the Partnership. The Advisor is not affiliatedwith the General Partner or CGM. The Advisor is not responsible for theorganization or operation of the Partnership.

Pursuant to theterms of the Management Agreement the Partnership is obligated to paythe Advisor a monthly management fee equal to 1/6 of 1%(2% per year) of month-end Net Assets allocated pro-rata by theMaster. Month-end Net Assets, for the purpose of calculating managementfees are Net Assets, as defined in the Limited Partnership Agreement,prior to the reduction of redemptions and incentive fees. In addition,the Partnership is obligated to pay the Advisor an incentive fee,payable quarterly, equal to 20% of the New Trading Profitsallocated pro-rata by the Master, as defined in the managementagreement.

The Partnership is obligated to pay a brokerage feeequal to 1⁄2 of 1% (6% per year) onmonth-end Net Assets allocated pro-rata from the Master. CGM pays aportion of its Brokerage Fees to its financial consultants who havesold Redeemable Units of the Partnership. All exchange, clearing, user,give-up, floor brokerage and National Futures Association fees will beborne by the Master and allocated pro-rata to the Partnership throughits investment in the Master. The Customer Agreement between the Masterand CGM gives the Master the legal right to net unrealized gains andlosses. Brokerage Fees will be paid for the life of the Partnership,although the rate at which such fees are paid may be changed.

CGM will pay the Partnership interest on 80% of the averagedaily equity allocated pro-rata to the Partnership by the Master duringeach month at a 30 day U.S. Treasury bill rate determined weekly by CGMbased on the non-competitive yield on 3 month U.S. Treasury billsmaturing in 30 days from the date in which such weekly rate isdetermined. The Customer Agreement may be terminated upon notice byeither party.

(b)    Financial information about industrysegments. The Partnership's business consists of only onesegment, speculative trading of commodity interests. The Partnershipdoes not engage in sales of goods or services. The Partnership'snet income from operations for the years ended December 31, 2005, 2004,2003, 2002 and 2001 are set forth under "Item 6.Selected Financial Data." The Partnership'scapital as of December 31, 2005 was $17,737,640.

(c)    Narrative description of business.

See Paragraphs (a) and (b) above.

(i) through(xii) - Not applicable.

(xiii) - The Partnership has noemployees.

(d)    Financial information about geographicareas. The Partnership does not engage in sales of goods orservices or own any long lived assets, and therefore this item is notapplicable.

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

Item 1A. RiskFactors

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

Due to the speculative nature of tradingcommodity interests, an investor could lose all of its investment inthe Partnership.

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

Aninvestor's ability to redeem units is limited and no marketexists for the units.

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The Partnership is subject to numerousconflicts of interest including those that arise from the factsthat:

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| 1.  | The General Partner and commoditybroker are affiliates; |

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| 2.  | The trading advisor,the commodity broker and their principals and affiliates may trade incommodity interests for their own accounts;and |

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| 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisor's tradingstrategies may not perform as they have performed in the past. Theadvisor has from time to time incurred substantial losses in trading onbehalf of clients.

Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which Citigroup Global Markets Holdings Inc.("CGMHI") or its subsidiaries is a party orto which any of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

Citigroup Managed Futures LLC. ("CGM") isa New York corporation with its principal place of business at 388Greenwich Street, New York, New York 10013. CGM is registered as abroker-dealer and futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against CGM or any of its individual principals and nosuch actions are currently pending, except asfollows.

Regulatory Matters

Both the Department of Laborand the Internal Revenue Service ("IRS") haveadvised Citigroup Global Markets that they were or are reviewingtransactions in which Ameritech Pension Trust purchased from CitigroupGlobal Markets and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CitigroupGlobal Markets and certain affiliated entities have consented toextensions of time for the assessment of excise taxes that may beclaimed to be due with respect to the transactions for the years 1987,1988 and 1989.

IPO Regulatory Inquiries

Since April2002, Citigroup Global Markets and several other broker dealers havereceived subpoenas and/or requests for information from variousgovernmental and self-regulatory agencies and Congressional committeesas part of their research on IPO allocation inquiries. With respect toissues raised by the NASD, the NYSE and the SEC about Citigroup GlobalMarkets' and other firms' e-mail retention practices,Citigroup Global Markets and several other broker/dealers and the NASD,the NYSE and the SEC entered into a settlement agreement in December2002. Citigroup Global Markets agreed to pay a penalty in the amount of$1.65 million and did not admit any wrongdoing. No individuals fromCitigroup Global Markets have been charged in the IPO allocationproceedings.

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IPO Civil Litigation

In April2002, consolidated amended complaints were filed against CitigroupGlobal Markets and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. Citigroup Global Markets is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

On June 30, 2005, the United States Court of Appeals for the SecondCircuit entered an order in In Re: Initial Public OfferingSecurities Litigation agreeing to review the district court'sorder granting plaintiffs' motion for class certification.

Also filed in the Southern District of New York against CitigroupGlobal Markets and other investment banks were several alleged classactions that were consolidated into a single class action allegingviolations of certain federal and state antitrust laws in connectionwith the allocation of shares in initial public offerings when actingas underwriters. On November 3, 2003, the court granted CitigroupGlobal Markets' motion to dismiss the consolidated amendedcomplaint in the antitrust case. On September 28, 2005, the UnitedStates Court of Appeals for the Second Circuit in In Re: InitialPublic Offering Antitrust Litigation vacated the districtcourt's order dismissing these actions and remanded for furtherproceedings.

Research Settlement

On April 28, 2003,Citigroup Global Markets announced final agreements with the SEC, theNASD, the NYSE and the New York Attorney General (as lead state amongthe 50 states, the District of Columbia and Puerto Rico) to resolve ona civil basis all of their outstanding investigations into its researchand IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and related NASD and NYSE rules relatingto research, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing 

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Panel's Decision, in which it acceptedthe Research Settlement, had become final. As required by the ResearchSettlement, Citigroup Global Markets also has entered into separatesettlement agreements with numerous states and certain U.S.territories.

Several individual actions have been filed againstCitigroup and Citigroup Global Markets relating to, among other things,research on Qwest Communications International, Inc. allegingviolations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup' stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CitigroupGlobal Markets, Citigroup and various other Citigroup-related entitieshave been named as defendants in over 20 civil lawsuits pending instate and federal courts throughout the United States, alleging claimsagainst Citigroup and Citigroup Global Markets based on their dealingswith Enron. The majority of these cases have been brought by purchasersand sellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup and/orits affiliates and subsidiaries, among other things, federal securitiesfraud, state law claims of negligent misrepresentation, fraud, breachof fiduciary duty, aiding and abetting a breach of fiduciary duty andrelated claims. In most of these lawsuits, Citigroup is named as aco-defendant along with other investment banks alleged to have haddealings with Enron. The majority of cases pending in the federalcourts have been, or are in the process of being, consolidated before asingle judge in the United States District Court for the SouthernDistrict of Texas. In addition, in five adversary proceedings in theEnron Chapter 11 bankruptcy, Enron and, in one case, its co-debtoraffiliates and subsidiaries, and the Official Committee of UnsecuredCreditors of Enron Corp., et al., have named Citigroup and/or itsaffiliates or subsidiaries as defendants.

On June 13, 2005,Citigroup announced a settlement of the Enron class action litigation(Newby, et al v. Enron Corp., et al.) currently pending in theUnited States District Court for the Southern District of Texas,Houston Division. This settlement resolves all claims against Citigroupbrought on behalf of the class of purchasers of publicly traded equityand debt securities issued by Enron and Enron-related entities betweenSeptember 9, 1997 and December 2, 2001. The settlement, which involvesa pre-tax payment of $2.0 billion to the settlement class, is fullycovered by Citigroup's existing litigation reserves. It issubject to approval by the Board of Regents of the University ofCalifornia (the lead plaintiff), the Citigroup Board and the DistrictCourt in Texas.

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

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In April 2005, Citigroup, along with otherfinancial institution defendants, reached an agreement-in-principle tosettle four state-court actions brought by various investment funds,which were not previously consolidated or coordinated with otheractions. The four cases are OCM Opportunities Fund III, L.P., et al.v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, etal. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc.,et al. and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas (Avenue Capital Management II, L.P., etal. v. J.P. Morgan-Chase & Co., et al.). The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets,and several J.P. Morgan entities and alleges fraud, breach of fiduciaryduty and breach of contract arising out of Enron bank debt incurredunder two syndicated revolving credit facilities and a syndicatedletter of credit facility.

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

The courthad also previously denied lead plaintiff's motion for leave toamend. No appeal was yet timely while the remainder of the caseremained pending. On April 15, 2005, as part of a global settlementinvolving all defendants, Citigroup entered into a memorandum ofunderstanding to settle this case. The amount to be paid in settlementis covered by existing litigation reserves.

WorldCom-RelatedLitigation

Citigroup, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants -- along with twenty-two other investment banks, certaincurrent and former WorldCom officers and directors, andWorldCom's former auditors -- in a consolidated class actionbrought on behalf of individuals and entities who purchased or acquiredpublicly traded securities of WorldCom between April 29, 1999 and June25, 2002 in In Re: Worldcom, Inc. Securities Litigation. Theclass action complaint asserts claims against Citigroup Global Marketsunder (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, asamended, in connection with certain bond offerings in which it servedas underwriter, and (ii) Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, and Rule 10b-5 promulgated underSection 10(b), alleging that it participated in the preparation and/orissuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied Citigroup Global Markets' motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

Pursuant to anorder entered May 28, 2003, the District Court consolidatedapproximately seventy-eight individual actions with the class actionfor pretrial proceedings. The claims asserted in these individualactions are substantially similar to the claims alleged in the classaction and assert state and federal securities law claims based onCitigroup Global Markets' research reports concerning WorldComand/or Citigroup Global Markets' role as an underwriter inWorldCom offerings. Plaintiffs in certain of these actions filedmotions to remove their cases to state court. The District Court deniedthese motions and its rulings were upheld on appeal.

Numerousother actions asserting claims against Citigroup Global Markets inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States District Court for theSouthern District of New York to be consolidated with the class action.In addition 

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to the court suits, actions asserting claimsagainst Citigroup and certain of its affiliates relating to itsWorldCom research reports are pending in numerous arbitrations aroundthe country. These actions assert claims that are substantially similarto the claims asserted in the class action.

On May 10, 2004,Citigroup announced that it had agreed to pay $2.58 billion to settlethe WorldCom class action suits. The United States District Court forthe Southern District of New York granted approval of the proposedsettlement on November 10, 2004.

On September 17, 2004,Weinstein, et al. v. Ebbers, et al., an alleged class actionagainst Citigroup Global Markets and others brought on behalf ofholders of WorldCom securities asserting claims based on, among otherthings, Citigroup Global Markets' research reports concerningWorldCom, was dismissed with prejudice in its entirety by the UnitedStates District Court for the Southern District of New York. Theplaintiffs noticed an appeal of the dismissal to the United StatesCourt of Appeals for the Second Circuit on October 15, 2004. Theparties have reached an agreement in principle on the terms of asettlement of this action.

Citigroup and Citigroup GlobalMarkets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Citigroup, along with other financialinstitutions and other defendants, entered into settlements resolvingcertain claims against Citigroup-related defendants in a number ofWorldCom-related actions. The settlement amounts are covered byexisting litigation reserves.

Global Crossing

On orabout January 28, 2003, the lead plaintiff in a consolidated allegedclass action in the United States District Court for the SouthernDistrict of New York (In Re: Global Crossing, Ltd. SecuritiesLitigation) filed a consolidated complaint on behalf of purchasersof the securities of Global Crossing and Asia Global Crossing, whichnames as defendants, among others, Citigroup, Citigroup Global Markets,Citigroup Global Markets Holdings Inc. and certain executive officersand current and former employees. The alleged class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add claims onbehalf of purchasers of the securities of Asia Global Crossing. Theadded claims assert causes of action under the federal securities lawsand common law in connection with Citigroup Global Markets'research reports about Global Crossing and Asia Global Crossing and forCitigroup Global Markets' roles as an investment banker forGlobal Crossing and as an underwriter in the Global Crossing and AsiaGlobal Crossing offerings. The Citigroup-related defendants moved todismiss all of the claims against them on July 2, 2004. In March 2005,the plaintiffs and the Citigroup-related defendants reached asettlement of all claims against the Citigroup-related defendants,including both research and underwriting claims and claims concerninglosses in both Global Crossing and Asia Global Crossing, for a total of$75 million. The Court granted preliminary approval of the settlementon March 8, 2005.

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding 

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asserting claims against, among others,Citigroup, Citigroup Global Markets and certain executive officers andcurrent and former employees, under federal bankruptcy law and commonlaw in connection with Citigroup Global Markets' research reportsabout Global Crossing and for its role as an underwriter in GlobalCrossing offerings, and (ii) an adversary proceeding against Citigroupand several other financial institutions seeking to rescind the paymentof a $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, including CitigroupGlobal Markets, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the "CitigroupParties"). The complaint alleges that the CitigroupParties and numerous other defendants committed acts in violation ofthe Bank Holding Company Act and the common law. The complaint seeksequitable relief and an unspecified amount of compensatory and punitivedamages. In November 2003, a similar adversary proceeding was filed bythe Equity Holders Committee of Adelphia. In June 2004, motions todismiss were filed with respect to the complaints of the OfficialCommittee of Unsecured Creditors and the Equity Holders Committee. Themotions are currently pending.

In addition, Citigroup GlobalMarkets is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also asserted claims against Citigroupand Citibank, N.A. All of the complaints alleged violations of federalsecurities laws, and certain of the complaints also alleged violationsof state securities laws and the common law. The complaints soughtunspecified damages. In December 2003, a second amended complaint wasfiled and consolidated before the same judge of the United StatesDistrict Court for the Southern District of New York.

In May andJuly of 2005, the United States District Court for the SouthernDistrict of New York dismissed several claims on statute of limitationsgrounds in the class and individual actions being coordinated underIn Re: Adelphia Communications Corporation Securities andDerivatives Litigation. With the exception of one individual actionthat was dismissed with prejudice, the court granted the class andindividual plaintiffs leave to re-plead certain of those claims thecourt found to be time-barred. Additional motions to dismiss the classcomplaint and the remaining individual complaints on other groundsremain pending.

Mutual Funds

Citigroup and certain ofits affiliates have been named in several class action litigationspending in various federal district courts arising out of allegedviolations of the federal securities laws, the Investment Company Actand the common law (including breach of fiduciary duty and unjustenrichment). The claims concern practices in connection with the saleof mutual funds, including allegations involving market timing, revenuesharing, incentive payments for the sale of proprietary funds,undisclosed breakpoint discounts for the sale of certain classes offunds, inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally 

8

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seek unspecified compensatory damages,rescissionary damages, injunctive relief, costs and fees. In theprincipal market timing cases that name Citigroup, a lead plaintiff hasbeen appointed but that plaintiff has not yet filed an amendedcomplaint. In the cases concerning revenue sharing, incentive paymentand other issues, the lead plaintiff filed a consolidated and amendedcomplaint on December 15, 2004.

Several issues in the mutualfund industry have come under the scrutiny of federal and stateregulators. Citigroup has received subpoenas and other requests forinformation from various government regulators regarding market timing,financing, fees, sales practices and other mutual fund issues inconnection with various investigations. Citigroup is cooperating withall such reviews. Additionally, Citigroup Global Markets has enteredinto a settlement agreement with the SEC with respect to revenuesharing and sales of classes of funds.

On May 31, 2005,Citigroup announced that Smith Barney Fund Management LLC and CitigroupGlobal Markets completed a settlement with the SEC resolving aninvestigation by the SEC into matters relating to arrangements betweencertain Smith Barney mutual funds, an affiliated transfer agent and anunaffiliated sub-transfer agent. Under the terms of the settlement,Citigroup agreed to pay fines totaling $208.1 million. The settlement,in which Citigroup neither admitted nor denied any wrongdoing orliability, includes allegations of willful misconduct by Smith BarneyFund Management LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Research Analyst Litigation

Since May 2002,Citigroup Global Markets and certain executive officers and current andformer employees have been named as defendants in numerous allegedclass action complaints, individual actions, and arbitration demands bypurchasers of various securities alleging that they violated federalsecurities law, including Sections 10 and 20 of the Securities ExchangeAct of 1934, as amended, and certain state laws for allegedly issuingresearch reports without a reasonable basis in fact and for allegedlyfailing to disclose conflicts of interest with companies in connectionwith published investment research, including Global Crossing, Ltd.,AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network,Inc., XO Communications, Inc., Williams Communications Group Inc., andFocal Communications, Inc. The alleged class actions relating toresearch of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

On September 27, 2005, Citigroup entered intoa memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations 

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of the Investment Advisers Act of 1940 andvarious common law claims in connection with certain investors whomaintained guided portfolio management accounts at Smith Barney. Thesettlement amount is covered by existing litigation reserves. Thesettlement is subject to judicial approval.

On August 17, 2005,in Disher v. Citigroup Global Markets Inc., the United StatesCourt of Appeals for the Seventh Circuit reversed the districtcourt's grant of plaintiffs' motion to remand the case tostate court, and directed the district court to dismiss the case aspreempted under the Securities Litigation Uniform Standards Act("SLUSA"). The United States Supreme Courthas granted review in another case involving SLUSA that may affect theSeventh Circuit's dismissal of the Disher matter.

InSturm, et al. v. Citigroup, et al., an NASD arbitration seekingsignificant compensatory and punitive damages, claimants'asserted common law claims, including fraud, arising out of allegedresearch analyst conflicts of interest related to Citigroup GlobalMarkets research coverage of WorldCom.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to Citigroup Global Markets requesting documentsand information with respect to their continuing investigation ofindividuals in connection with the supervision of the research andinvestment banking departments of Citigroup Global Markets. Otherparties to the Research Settlement have received similar subpoenas andletters.

West Virginia Attorney General Suit

On June23, 2003, the West Virginia Attorney General filed an action againstCitigroup Global Markets and nine other firms that were parties to theResearch Settlement. The West Virginia Attorney General alleges thatthe firms violated the West Virginia Consumer Credit and Protection Actin connection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, Citigroup Global Markets and certain officers werenamed as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

In November 2004, Citigroup Global Markets entered into a finalagreement with the NASD to resolve the NASD's investigation intocertain of its selling practices. Without admitting or denying anyallegations or findings, Citigroup Global Markets accepted certainfactual findings by the NASD that it (i) sold units in two managedfutures funds to 45 customers for whom the investment was not suitable,(ii) failed to maintain records disclosing the basis upon which itsinvestor suitability determinations were made and (iii) failed toadequately disclose the risks of investing in managed futures productson its website. Citigroup Global Markets consented to a censure and afine of $275,000 and offered to redeem the investment of the customersfor whom investment in the two managed futures funds was found notsuitable.

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In the course of its business, CGM, as amajor futures commission merchant and broker-dealer is a party tovarious claims and routine regulatory investigations and proceedingsthat the general partner believes do not have a material adverse effecton the business of CGM.

Item 4.    Submission of Mattersto a Vote of Security Holders.

There were no matterssubmitted to the security holders for a vote during the last fiscalyear covered by this report.

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PART II

Item 5.    Marketfor Registrant's Common Equity and Related Security HolderMatters.

|  |           |                                                                                                                                           |
|--|-----------|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | (a)  | MarketInformation. The Partnership has issued no stock. There is nopublic market for the Redeemable Units of Limited PartnershipInterest. |

|  |           |                                                                                                           |
|--|-----------|-----------------------------------------------------------------------------------------------------------|
|  | (b)  | Holders. Thenumber of holders of Redeemable Units of Partnership Interest as ofDecember 31, 2005 was 301. |

|  |           |                                                                           |
|--|-----------|---------------------------------------------------------------------------|
|  | (c)  | Dividends. The Partnershipdid not declare a distribution in 2005 or 2004. |

|  |           |                                                                                                                       |
|--|-----------|-----------------------------------------------------------------------------------------------------------------------|
|  | (d)  | Use of Proceeds. Therewere no additional sales of Redeemable Units in the years endedDecember 31, 2005, 2004 and2003. |

|  |           |                          |
|--|-----------|--------------------------|
|  | (e)  | CompensationPlans. None. |

Item 6.    Selected FinancialData.

Realized and unrealized trading gains (losses),interest income, net income (loss) and increase (decrease) in Net AssetValue per Redeemable Unit for the years ended December 31, 2005, 2004,2003, 2002 and 2001 and total assets at December 31, 2005, 2004, 2003,2002 and 2001, were asfollows:

|                                                                                                                                                                                                                     |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                                                                |  | 2005   |            | 2004    |  | 2003   |            | 2002   |  | 2001   |
| Realizedand unrealized trading gains (losses) net of expenses allocated fromMaster and brokerage commissions (including clearing fees) of$1,238,706, $1,513,848, $1,865,651, $1,967,411 and $2,506,228,respectively |  | $      | (6,066,209 | )  |  | $      | 3,205,518  |   |  | $      | 1,983,308  |   |  | $      | 8,791,282  |   |  | $      | (889,142   | )  |
| Interestincome                                                                                                                                                                                                      |  |   | 456,273    |    |  |   | 228,372    |   |  |   | 229,309    |   |  |   | 377,817    |   |  |   | 1,122,566  |    |
|                                                                                                                                                                                                                |  | $      | (5,609,936 | )  |  | $      | 3,433,890  |   |  | $      | 2,212,617  |   |  | $      | 9,169,099  |   |  | $      | 233,424    |    |
| Netincome(loss)                                                                                                                                                                                                     |  | $      | (6,279,604 | )  |  | $      | 2,654,645  |   |  | $      | 1,115,014  |   |  | $      | 8,196,531  |   |  | $      | (1,014,999 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                            |  | $      | (498.98    | )  |  | $      | 205.72     |   |  | $      | 52.86      |   |  | $      | 431.46     |   |  | $      | (43.77     | )  |
| Totalassets                                                                                                                                                                                                         |  | $      | 18,056,516 |    |  | $      | 26,928,378 |   |  | $      | 26,296,781 |   |  | $      | 28,253,989 |   |  | $      | 37,316,295 |    |
|                                                                                                                                                                                                                     |

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

Overview

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

The General Partner/ManagingMember manages all business of the Partnership/Master. The GeneralPartner has delegated its responsibility for the investment of thePartnership's assets to JWH. The Partnership has invested theseassets in the Master. The General Partner employs a team ofapproximately 20 professionals whose primary emphasis is on attemptingto maintain quality control among the advisors to the Partnershipsoperated or managed by the General Partner. A full-time staff of duediligence professionals use state-of-the-art technology and on-siteevaluations to monitor new and existing futures money managers. Theaccounting and operations staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the Advisor for the Partnership, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

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Responsibilities of the GeneralPartner/Managing Memberinclude:

|              |                                          |
|--------------|------------------------------------------|
| •  | due diligenceexaminations of theAdvisor; |

|              |                                                      |
|--------------|------------------------------------------------------|
| •  | selection,appointment and termination of theAdvisor; |

|              |                                            |
|--------------|--------------------------------------------|
| •  | negotiation of themanagement agreement;and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activity ofthe Advisor. |

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

The General Partner/Managing Member shall seek the bestprices and services available in its commodity futures brokeragetransactions. The General Partner/Managing Member reviews at leastannually, the brokerage rates charged to commodity pools similar to thePartnership/Master to determine that the brokerage fee thePartnership/Master pays is competitive with other rates.

The Advisor specializes in managing institutional andindividual capital in the global futures, interest rate and foreignexchange markets. Since 1981, JWH has developed and implementedproprietary trend-following trading techniques that focus on long-termtrends.

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

JWH currently operates 11 investmentprograms including SAP. Any or all of the other ten programs may beincluded in SAP from time to time. Each investment program hasdistinctive style, timing, and market characteristics. SAP programselection and allocations are made at the discretion of the JWHInvestment Policy Committee.

As of December 31, 2005,the Master's assets were allocated among the JWH programs asfollows:

|                                                                         |
|-------------------------------------------------------------------------|
|                                                                         |  |  |  |  |  |  |
|                                                                    |  | PercentageAllocation in the Master as ofDecember 31,2005 |
| Broadly DiversifiedPrograms                                             |  |   |   |   |
| •    Original InvestmentProgram                |  |   | 15 | %  |
| •    JWHGlobalAnalytics® Family ofPrograms |  |   | 10 | %  |
| FinancialPrograms                                                       |  |   |   |   |
| •    Financialand MetalsPortfolio              |  |   | 15 | %  |
| •    GlobalFinancial & EnergyPortfolio     |  |   | 15 | %  |
| •    WorldwideBondProgram                      |  |   | 15 | %  |
| MultipleStylePrograms                                                   |  |   |   |   |
| •    CurrencyStrategic AllocationProgram       |  |   | 20 | %  |
| ForeignExchangePrograms                                                 |  |   |   |   |
| •    DollarBased Program                       |  |   | 10 | %  |
|                                                                         |

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

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(a)    Liquidity.

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

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

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

|            |                                                                                                                                                                                                                       |
|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | TheAdvisor will not initiate additional positions in any commodity ifthese positions would result in aggregate positions requiring a marginof more than 66  2/3% of the Master's net assetsallocated to that Advisor. |

|              |                                                                                                                                                                                                                                                        |
|--------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)   | The Mastermay occasionally accept delivery of a commodity. Unless such deliveryis disposed of promptly by retendering the warehouse receiptrepresenting the delivery to the appropriate clearinghouse, thephysical commodity position is fully hedged. |

|            |                                                                                                                                                                                                                                                    |
|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master does not employ the trading techniquecommonly known as "pyramiding", in which thespeculator uses unrealized profits on existing positions as margin forthe purchases or sale of additional positions in the same or relatedcommodities. |

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

|             |                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)   | The Advisor may,from time to time, employ trading strategies such as spreads orstraddles on behalf of the Master. The term"spread" or"straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

|              |                                                                                                                                                                                                                                                                                  |
|--------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)   | TheMaster will not permit the churning of its commodity trading account.The term "churning" refers to the practice ofentering and exiting trades with a frequency unwarranted by legitimateefforts to profit from the trades, driven by the desire to generatecommission income. |

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

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

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

14

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

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

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

Otherthan the risks inherent in commodity futures and swaps trading, theMaster knows of no trends, demands, commitments, events oruncertainties which will result in or which are reasonably likely toresult in the Master's liquidity increasing or decreasing in anymaterial way. The Limited Partnership Agreement provides that theGeneral Partner may, in its discretion, cause the Partnership to ceasetrading operations and liquidate all open positions under certaincircumstances including a decrease in Net Asset Value per RedeemableUnit to less than $350 as of the close of business on any businessday.

(b)    Capital resources.

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

(ii)    The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby gains or losses on trading and by expenses, interest income,redemptions of Redeemable Units and distributions of profits, if any.Gains or losses on trading cannot be predicted. Market moves incommodities are dependent upon fundamental and technical factors whichthe Advisor may or may not be able to identify, such as changing supplyand demand relationships, weather, government agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. Partnership expensesconsist of, among other things, commissions, advisory fees andadministrative fees. The level of these expenses is dependent upon thelevel of trading and the ability of the Advisors to identify and takeadvantage of price movements in the commodity markets, in addition tothe level of Net Assets maintained in the Master. In addition, theamount of interest income payable by CGM is dependent upon interestrates over which the Partnership has no control.

No forecast canbe made as to the level of redemptions in any given period. A limitedpartner may redeem all or some of his Redeemable Units at the Net AssetValue thereof as of the last day of any month on fifteen days'written notice to the General Partner. For the year ended December 31,2005, 1,434.4766 Redeemable Units were redeemed totaling $2,363,640.For the year ended December 31, 2004, 1,047.6421 Redeemable Units wereredeemed totaling $1,943,492 and 100.00000 Units of General Partnerequivalent totaling $184,604. For the year ended December 31, 2003,1,459.9888 Redeemable Units were redeemed totaling $2,979,528 and50.0000 Units of General Partner equivalent totaling $102,821.

Redeemable Units of Limited Partnership Interest were sold topersons and entities who are accredited investors as that term isdefined in rule 501(a) of Regulation D under the Securities Act of 1933as well as to those persons who are not accredited investors but whohave either a net worth (exclusive of home, furnishings and automobile)either individually or jointly with the investor's spouse of atleast three times his investment in the Partnership (the minimuminvestment for which was $25,000) or gross income for the two previousyears and projected gross income for the current fiscal year of notless than three times his investment in the Partnership for eachyear.

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(c)    Results ofOperations.

For the year ended December 31, 2005, the NetAsset Value per Redeemable Unit decreased 24.3% from $2,051.76to $1,552.78. For the year ended December 31, 2004, the Net Asset Valueper Redeemable unit increased 11.1% from $1,846.04 to $2,051.76.For the year ended December 31, 2003, the Net Asset per Redeemable Unitincreased 3.0% from $1,793.18 to $1,846.04.

ThePartnership, through its investment in the Master, experienced nettrading losses of $4,827,503 before commissions and expenses for theyear ended December 31, 2005. Losses were attributable to theMaster's trading of currencies, energy, grains, metals, U.S. andnon-U.S. interest rates and were partially offset by gains incurred inthe trading of livestock, softs and indices.

Tradingresults for the year 2005 were characterized by several events thatmade it extraordinarily difficult for the advisor's program totrade successfully and to retain profits when earned. While profitabletrading did occur in the stock index, and softs sectors, theserelatively slight gains were offset by losses experienced in the othersectors.

In financial markets, foreign stock market indices werethe most profitable sector for the partnership for the year as aresurging Japanese economy and positive political news in Europepropelled these markets out of long-term doldrums. More than offsettingthese gains were losses in U.S. and non-U.S. interest rate contracttrading.

Currency trading was also unprofitable with the focusbeing the U.S. dollar versus both European and Asian currencies. Aftera prolonged decline in 2004, the U.S. dollar defied expectations forfurther weakness and rallied in January resulting in losses for theadvisor at the beginning of the year. The dollar continuedstrengthening through the second quarter but encountered a prolongedperiod of volatility at the beginning of the third quarter with theChinese government's decision to revalue the Chinese yuan.

Profitable trading over the last half of the year in preciousand base metals was able to offset most but not all of the lossesincurred earlier in the year in the these markets. Of particular notewas the price of gold which rose to over $500 an ounce by the end ofthe year. Base metals such as zinc, copper and aluminum alsoexperienced substantial price increases as global demand andspeculative trading spurred prices.

The energy markets providedprofitable trading for much of the year with crude oil and natural gasprices dramatically reaching their peaks post Hurricanes Katrina andRita. Prices had risen so much, so quickly, however, that a notunexpected reaction was for prices to trade in a wide range over thelatter four months of the year. These types of markets were notconducive to profitable trading for the Advisor's trend-followingstrategies and resulted in a loss for the full year.

Overall, itwas a particularly difficult year for the Partnership's Advisorwith periods of favorable market conditions abruptly dashed by singleevents and prolonged volatility.

The Partnership, through itsinvestment in the Master, experienced net trading gains of $4,719,366before commissions and expenses for the year ended December 31, 2004.Gains were attributable to the Master's trading of currencies,energy, grains, U.S. and non-U.S. interest rates and were partiallyoffset by losses incurred in the trading of livestock, metals, stockindices and softs.

Trading results for the year 2004 can bedescribed in four distinct periods: the first two months of the yearproduced positive results of over 12% with trends carrying overfrom late 2003, the middle five months experienced extraordinarilydifficult conditions and losses of approximately 33% from therecent high for the Partnership, August through November witnesses arecovery period with an increase in net asset value per unit of over49%. And December stands alone with the Partnership downapproximately 1.4% for the month but finishing up 11.1%for the full year. The results for the year were heavily influenced bytwo historic trends: the decline in the value of the U.S. dollar versusmajor currencies and the run-up in the price of crude oil to over $50 abarrel.

2004 started strongly with many of the trends from late2003 continuing into early 2004. Notably lower interest rates in theU.S. and other major countries fostered strong global economic growthand pressured commodity prices. These resulted in upward trends in manysectors, especially energy, metals 

16

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and grains and provided profitable tradingopportunities for the Partnership's Advisor. These trendspersisted into early March when economic indicators in the U.S. andChina suggested rising inflation and markets reversed with higherinterest rates, collapsing commodity prices and the dollarreversal.

This began a protracted period of tentative andconflicting trends across many sectors. As expected in the nature oftrend-following, the strength of profitable trends is often followed bytemporary but often severe periods of losses. Late March through June2004 was such a period for the Partnership's Advisor as positionswere adjusted from what had been profitable, long-term trends tochoppy, directionless and volatile markets. Trading was treacherous andthus unprofitable in U.S. and Asian interest rates and global stockindices while energy, metals and grains provided some offsettingprofits. The fundamental economic concerns hanging over these marketswere further exacerbated by the uncertainty surrounding the tightlycontested U.S. presidential election.

With 2004 looking dismalgoing into the late summer, the price of crude oil resumed its climb to$50 a barrel brought on by a deteriorating security situation in Iraq,Saudi Arabia political turmoil, and renewed threats of terrorism. Longpositions in the energy sector continued to provide profits to thePartnership through the end of the third quarter and into the fourthquarter. In late August the U.S. dollar began a precipitous slidetoward $1.40 to the euro. These renewed trends in currency pricescombined with declining interest rates and stronger global stockmarkets were favorable to the Partnership's Advisor and provideda solidly profitable September and November for the Partnership.Volatility across many markets especially currencies and energy inDecember resulted in slight loss for the month. In spite of anextremely difficult and challenging year, the Partnership had anoverall increase in net asset value per unit for the year.

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

(d)    Operational Risk

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

Such risksinclude:

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

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

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

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

17

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(e)    Critical AccountingPolicies.

The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires estimates and assumptions that affect thereported amounts of assets and liabilities, revenues and expenses, andrelated disclosures of contingent assets and liabilities in thefinancial statements and accompanying notes.

All commodityinterests of the Master (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statement of financial condition at fair value on thelast business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the Managing Member for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

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

The General Partner believes that the accountingpolicies that will be most critical to the Partnership'sfinancial condition and results of operations relate to the valuationof the Master's positions. The majority of the Master'spositions will be exchange-traded futures contracts, which will bevalued daily at settlement prices published by the exchanges. Ifapplicable, the Masters' spot and forward foreign currencycontracts will also be valued at published daily settlement prices orat dealers' quotes. The General Partner/Managing Member expectsthat under normal circumstances substantially all of thePartnership's/Master's assets will be valued by objectivemeasures and without difficulty.

Item 7A.    Quantitativeand Qualitative Disclosures About Market Risk

The Masteris a speculative commodity pool. The market sensitive instruments heldby it are acquired for speculative trading purposes, and all orsubstantially all of the Partnership's assets are subject to therisk of trading loss, through its investment in the Master. Unlike anoperating company, the risk of market sensitive instruments isintegral, not incidental, to the Partnership's and theMaster's main line of business.

The risk to the limitedpartners that have purchased interests in the Partnership is limited tothe amount of their capital contributions to the Partnership and theirshare of the Partnership assets and undistributed profits. This limitedliability is a consequence of the organization of the Partnership as alimited partnership under applicable law.

Market movementsresult in frequent changes in the fair market value of theMaster's open positions and, consequently, in its earnings andcash flow. The Master's and the Partnership's market riskis influenced by a wide variety of factors, including the level andvolatility of interest rates, exchange rates, equity price levels, themarket value of financial instruments and contracts, thediversification effects among the Master's open positions and theliquidity of the markets in which it trades.

The Master rapidlyacquires and liquidates both long and short positions in a wide rangeof different markets. Consequently, it is not possible to predict how aparticular future market scenario will affect performance, and theMaster's past performance is not necessarily indicative of itsfuture results.

Value at Risk is a measure of the maximum amountwhich the Master could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Master'sspeculative trading and 

18

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the recurrence in the markets traded by theMaster of market movements far exceeding expectations could result inactual trading or non-trading losses far beyond the indicated Value atRisk or the Master's experience to date (i.e., "riskof ruin"). In light of the foregoing as well as the risksand uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered toconstitute any assurance or representation that the Master'slosses in any market sector will be limited to Value at Risk or by theMaster's attempts to manage its market risk.

Quantifyingthe Master's Trading Value at Risk

The followingquantitative disclosures regarding the Master's market riskexposures contain "forward-lookingstatements" within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor except forstatements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

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

Exchange maintenance margin requirements have been used by theMaster as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%–99% of any one-day intervals. Themaintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of currentmarket volatility (including the implied volatility of the options on agiven futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component, which is not relevant to Value at Risk.

In the case of market sensitive instruments, which are not exchangetraded (almost exclusively currencies in the case of the Master), themargin requirements for the equivalent futures positions have been usedas Value at Risk. In those rare cases in which a futures-equivalentmargin is not available, dealers' margins have been used.

The fair value of the Master's futures and forward positionsdoes not have any optionality component. However, the Advisor tradescommodity options. The Value at Risk associated with options isreflected in the following table as the margin requirement attributableto the instrument underlying each option. Where this instrument is afutures contract, the futures margin, and where this instrument is aphysical commodity, the futures-equivalent maintenance margin has beenused. This calculation is conservative in that it assumes that the fairvalue of an option will decline by the same amount as the fair value ofthe underlying instrument, whereas, in fact, the fair values of theoptions traded by the Master in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Master's Value at Risk, 100% positive correlation inthe different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Master's positions are rarely,if ever, 100% positively correlated have not beenreflected.

19

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The Master's Trading Value at Riskin Different Market Sectors

The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of December 31, 2005 and the highest and lowestvalue at any point during the year. All open position trading riskexposures of the Master have been included in calculating the figuresset forth below. As of December 31, 2005, the Master's totalcapitalization was $163,812,603.

December 31,2005

|                                  |  |               |            |                          |  |                   |        |                  |  |                      |            |        |  |        |           |        |  |        |            |        |  |  |
|----------------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|------------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
| MarketSector                     |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies:                      |  |          |       |                     |  |              |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —OTC Contracts             |  | $             | 7,825,928  |                     |  |              | 4.78   | %           |  | $                    | 17,193,806 |   |  | $      | 5,084,096 |   |  | $      | 10,343,780 |   |
| Energy                           |  |          | 3,968,100  |                     |  |              | 2.42   | %           |  |                 | 9,753,735  |   |  |   | 2,066,250 |   |  |   | 6,559,403  |   |
| Grains                           |  |          | 213,380    |                     |  |              | 0.13   | %           |  |                 | 686,681    |   |  |   | 137,727   |   |  |   | 367,680    |   |
| Interest RatesU.S.               |  |          | 1,155,800  |                     |  |              | 0.71   | %           |  |                 | 2,373,400  |   |  |   | 229,065   |   |  |   | 1,350,279  |   |
| Interest RatesNon-U.S.           |  |          | 2,047,806  |                     |  |              | 1.25   | %           |  |                 | 8,280,125  |   |  |   | 1,551,019 |   |  |   | 4,649,754  |   |
| Livestock                        |  |          | 45,500     |                     |  |              | 0.03   | %           |  |                 | 151,200    |   |  |   | 3,200     |   |  |   | 74,367     |   |
| Metals                           |  |          |       |                     |  |              |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —Exchange Traded Contracts |  |          | 1,236,500  |                     |  |              | 0.75   | %           |  |                 | 1,747,000  |   |  |   | 186,000   |   |  |   | 1,041,820  |   |
| — OTCContracts             |  |          | 935,698    |                     |  |              | 0.57   | %           |  |                 | 2,427,602  |   |  |   | 511,160   |   |  |   | 1,235,947  |   |
| Softs                            |  |          | 891,475    |                     |  |              | 0.54   | %           |  |                 | 1,580,442  |   |  |   | 515,760   |   |  |   | 960,763    |   |
| Indices                          |  |          | 3,088,372  |                     |  |              | 1.89   | %           |  |                 | 4,526,107  |   |  |   | 1,482,358 |   |  |   | 3,013,924  |   |
| Total                            |  | $             | 21,408,559 |                     |  |              | 13.07  | %           |  |                 |       |   |  |   |      |   |  |   |       |   |
|                             |  |          |       |                     |  |              |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
|                                  |

|  |
|--|
|  |  |
|  |

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

As ofDecember 31, 2004, the Master's total capitalization was$227,330,049.

December 31,2004

|                                 |  |               |            |                          |  |                   |        |                  |  |                      |            |        |  |        |           |        |  |        |            |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|------------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies                      |  |          |       |                     |  |              |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —OTCContracts             |  | $             | 18,279,082 |                     |  |              | 8.04   | %           |  | $                    | 19,488,397 |   |  | $      | 6,009,165 |   |  | $      | 11,416,523 |   |
| Energy                          |  |          | 8,464,810  |                     |  |              | 3.72   | %           |  |                 | 10,739,025 |   |  |   | 4,281,150 |   |  |   | 6,625,471  |   |
| Grains                          |  |          | 374,560    |                     |  |              | 0.17   | %           |  |                 | 1,167,650  |   |  |   | 324,855   |   |  |   | 792,869    |   |
| InterestratesU.S.               |  |          | 1,593,745  |                     |  |              | 0.70   | %           |  |                 | 2,728,400  |   |  |   | 562,510   |   |  |   | 2,080,827  |   |
| InterestratesNon-U.S.           |  |          | 8,321,211  |                     |  |              | 3.66   | %           |  |                 | 9,645,652  |   |  |   | 3,748,757 |   |  |   | 7,399,765  |   |
| Livestock                       |  |          | 129,150    |                     |  |              | 0.06   | %           |  |                 | 234,000    |   |  |   | 23,100    |   |  |   | 170,236    |   |
| Metals                          |  |          |       |                     |  |              |   |             |  |                 |       |   |  |   |      |   |  |   |       |   |
| —Exchange TradedContracts |  |          | 1,413,000  |                     |  |              | 0.62   | %           |  |                 | 2,134,000  |   |  |   | 144,500   |   |  |   | 1,663,750  |   |
| —OTCContracts             |  |          | 2,260,564  |                     |  |              | 0.99   | %           |  |                 | 2,737,391  |   |  |   | 939,150   |   |  |   | 1,573,962  |   |
| Softs                           |  |          | 1,548,954  |                     |  |              | 0.68   | %           |  |                 | 1,735,047  |   |  |   | 560,686   |   |  |   | 1,175,096  |   |
| Indices                         |  |          | 5,266,285  |                     |  |              | 2.32   | %           |  |                 | 6,506,354  |   |  |   | 1,807,427 |   |  |   | 4,124,850  |   |
| Total                           |  | $             | 47,651,361 |                     |  |              | 20.96  | %           |  |                 |       |   |  |   |      |   |  |   |       |   |
|                                 |

|  |
|--|
|  |  |
|  |

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

20

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Material Limitations on Value at Risk asan Assessment of Market Risk

The face value of the marketsector instruments held by the Master is typically many times theapplicable maintenance margin requirement (margin requirementsgenerally range between 2% and 15% of contract facevalue) as well as many times the capitalization of the Master. Themagnitude of the Master's open positions creates a"risk of ruin" not typically found in mostother investment vehicles. Because of the size of its positions,certain market conditions — unusual, but historically recurringfrom time to time — could cause the Master to incur severe lossesover a short period of time. The foregoing Value at Risk table —as well as the past performance of the Master — gives noindication of this "risk of ruin."

Non-Trading Risk

The Master has non-trading market risk onits foreign cash balances not needed for margin. However, thesebalances (as well as any market risk they represent) are considered tobe immaterial.

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

QualitativeDisclosures Regarding Primary Trading Risk Exposures

Thefollowing qualitative disclosures regarding the Master's marketrisk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how theMaster manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934. The Master's primary market risk exposures as well asthe strategies used and to be used by the Managing Member and theAdvisor for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could causethe actual results of the Master's risk controls to differmaterially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Master. There can be no assurancethat the Master's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Master as of December 31, 2005, by market sector.

Interest Rates. Interest rate movements directly affect theprice of the futures positions held by the Master and indirectly thevalue of its stock index and currency positions. Interest ratemovements in one country as well as relative interest rate movementsbetween countries materially impact the Master's profitability.The Master's primary interest rate exposure is to interest ratefluctuations in the United States and the other G-8 countries. However,the Master also takes futures positions on the government debt ofsmaller nations — e.g., Australia.

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

Stock Indices. The Master's primaryequity exposure is to equity price risk in the G-8 countries. The stockindex futures traded by the Master are limited to futures on broadlybased indices. As of 

21

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December  31, 2005, the Master'sprimary exposures were in the Eurex (Germany) and Chicago MercantileExchange (United States) stock indices. The Managing Member anticipateslittle, if any, trading in non-G-8 stock indices. The Master isprimarily exposed to the risk of adverse price trends or static marketsin the major U.S., European and Japanese indices. (Static markets wouldnot cause major market changes but would make it difficult for theMaster to avoid being "whipsawed" intonumerous small losses.)

Metals. The Master'sprimary metal market exposure is to fluctuations in the price of goldand silver. Although the Advisor will from time to time trade basemetals such as aluminum and copper, the principal market exposures ofthe Master have consistently been in the precious metals, gold andsilver.

Softs. The Master's primary commoditiesexposure is to agricultural price movements, which are often directlyaffected by severe, or unexpected weather conditions. Coffee, cottonand sugar accounted for the substantial bulk of the Master'scommodity exposure as of December 31, 2005.

Energy. TheMaster's primary energy market exposure is to gas and oil pricemovements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losseshave been and are expected to continue to be experienced in thismarket.

Qualitative Disclosures Regarding Non-Trading RiskExposure

The following were the only non-trading risk exposuresof the Master as of December 31, 2005.

Foreign CurrencyBalances. The Master's primary foreign currency balanceswere in Japanese yen, Euro dollar and Swiss francs. The Advisorregularly converted foreign currency balances to U.S. dollars in anattempt to control the Master's non-trading risk.

Qualitative Disclosures Regarding Means of Managing RiskExposure

The General Partner monitors and controls theMaster's and the Partnership's risk exposure on a dailybasis through financial, credit and risk management monitoring systemsand accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masterand the Partnership are subject.

The General Partner monitorsthe Master's performance and the concentration of its openpositions, and consults with the Advisor concerning the Master'soverall risk profile. If the General Partner felt it necessary to doso, the General Partner could require the Advisor to close outindividual positions as well as enter certain positions traded onbehalf of the Master. However, any such intervention would be a highlyunusual event. The General Partner primarily relies on theAdvisor's own risk control policies while maintaining a generalsupervisory 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 andstop loss points to exit a position. The Advisor's research ofrisk management often suggests ongoing modifications to its tradingprograms.

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

22

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Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY MIDWEST FUTURES FUND L.P. II

INDEX TOFINANCIALSTATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | PageNumber        |
| Oath or Affirmation                                                                           |  | F-2               |
| Reportof Independent Registered Public AccountingFirm                                         |  | F-3               |
| Statements of Financial Conditionat December 31, 2005 and 2004                                |  | F-4               |
| Statementsof Income and Expenses for the years ended December 31, 2005, 2004 and2003          |  | F-5               |
| Statementsof Changes in Partners' Capital for the years ended December 31,2005, 2004 and 2003 |  | F-6               |
| Statements of CashFlows for the years ended December 31, 2005, 2004 and 2003                  |  | F-7               |
| Notes to Financial Statements                                                                 |  | F-8 – F-11  |
| Selected UnauditedQuarterly Financial Data                                                    |  | F-12              |
| Financial Statements of theMaster:                                                            |  |              |
| Oath or Affirmation                                                                           |  | F-13              |
| Independent Auditors' Report                                                                  |  | F-14              |
| Statements of Financial Condition atDecember 31, 2005 and 2004                                |  | F-15              |
| CondensedSchedules of Investments at December 31, 2005 and 2004                               |  | F-16– F-17  |
| Statementsof Income and Expenses for the years ended December 31, 2005, 2004 and2003          |  | F-18              |
| Statementsof Changes in Members' Capital for the years ended December 31,2005, 2004 and 2003  |  | F-19              |
| Statements of CashFlows for the years ended December 31, 2005, 2004 and 2003                  |  | F-20              |
| Notes to Financial Statements                                                                 |  | F-21 – F-24 |
| Selected UnauditedQuarterly Financial Data                                                    |  | F-25              |
|                                                                                               |

F-1

----

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

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

|        |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |  |                                                                                                                                                   |  |  |  |  |  |  |
|--------|--|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------------------------------------------------------------------------------------------------------------------------------|--|--|--|--|--|--|
|   |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|   |  |                                                                                          |
|   |  | By:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |  | DanielR. McAuliffe, Jr.Chief Financial Officer and DirectorCitigroup Managed Futures LLCGeneral Partner, Smith BarneyMid-West Futures Fund L.P.II |
|   |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |  |                                                                                                                                              |
|   |  | CitigroupManaged Futures LLC731 Lexington Avenue25th FloorNewYork, N.Y. 10022212-559-2011                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|        |

F-2

----

Report of Independent Registered PublicAccounting Firm

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

We haveaudited the accompanying statements of financial condition of SmithBarney Mid-West Futures Fund L.P. II (the"Partnership"), as of December 31, 2005 and2004, and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principlesused and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believethat our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of Smith BarneyMid-West Futures Fund L.P. II as of December 31, 2005 and 2004, and theresults of its operations, changes in its partners' capital, andits cash flows for each of the years in the three-year period endedDecember 31, 2005, in conformity with U.S. generally acceptedaccounting principles.

New York, NewYorkMarch 13, 2006

F-3

----

SmithBarney Mid-West Futures Fund L.P. IIStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2005   |            | 2004   |
| Assets:                                                                                                                                |  |   |       |   |  |   |       |   |
| Investmentin Master, at fairvalue                                                                                                      |  | $      | 18,019,796 |   |  | $      | 26,911,329 |   |
| Cash                                                                                                                                   |  |   | 36,720     |   |  |   | 17,049     |   |
|                                                                                                                                   |  | $      | 18,056,516 |   |  | $      | 26,928,378 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                           |  |   |       |   |  |   |       |   |
| Accruedexpenses:                                                                                                                       |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                   |  | $      | 90,283     |   |  | $      | 134,642    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 29,869     |   |  |   | 44,590     |   |
| Administrativefees (Note3a)                                                                                                            |  |   | 14,935     |   |  |   | 22,295     |   |
| Professionalfees                                                                                                                       |  |   | 30,786     |   |  |   | 24,763     |   |
| Other                                                                                                                                  |  |   | 13,755     |   |  |   | 15,097     |   |
| Redemptionspayable (Note5)                                                                                                             |  |   | 139,248    |   |  |   | 306,107    |   |
|                                                                                                                                   |  |   | 318,876    |   |  |   | 547,494    |   |
| Partners'capital (Notes 1 and 5):                                                                                                      |  |   |       |   |  |   |       |   |
| General Partner,301.3070 Unit equivalents outstanding in 2005 and2004                                                                  |  |   | 467,863    |   |  |   | 618,210    |   |
| LimitedPartners, 11,121.8791 and 12,556.3557 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 17,269,777 |   |  |   | 25,762,674 |   |
|                                                                                                                                   |  |   | 17,737,640 |   |  |   | 26,380,884 |   |
|                                                                                                                                   |  | $      | 18,056,516 |   |  | $      | 26,928,378 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-4

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Smith Barney Mid-West Futures Fund L.P.IIStatements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |            |         |  |        |           |         |  |        |           |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|---------|--|--------|-----------|---------|--|--|
|                                                                                                                   |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |       |    |  |   |      |    |  |   |      |    |
| Realizedgains (losses) on closed positions and foreign currencies fromMaster                                           |  | $      | (1,693,921 | )  |  | $      | 3,634,889 |    |  | $      | 3,369,625 |    |
| Changein unrealized gains on open positions fromMaster                                                                 |  |   | (3,133,582 | )  |  |   | 1,084,477 |    |  |   | 479,334   |    |
| Expensesallocated fromMaster                                                                                           |  |   | (39,922    | )  |  |   | (77,672   | )  |  |   | (107,545  | )  |
|                                                                                                                   |  |   | (4,867,425 | )  |  |   | 4,641,694 |    |  |   | 3,741,414 |    |
| Interestincome allocated from Master (Note3c)                                                                          |  |   | 456,273    |    |  |   | 228,372   |    |  |   | 229,309   |    |
|                                                                                                                   |  |   | (4,411,152 | )  |  |   | 4,870,066 |    |  |   | 3,970,723 |    |
| Expenses:                                                                                                              |  |   |       |    |  |   |      |    |  |   |      |    |
| Brokeragecommissions (Note3c)                                                                                          |  |   | 1,198,784  |    |  |   | 1,436,176 |    |  |   | 1,758,106 |    |
| Managementfees (Note3b)                                                                                                |  |   | 396,611    |    |  |   | 475,623   |    |  |   | 582,488   |    |
| Administrativefees (Note3a)                                                                                            |  |   | 198,304    |    |  |   | 237,810   |    |  |   | 291,243   |    |
| Incentivefees (Note3b)                                                                                                 |  |   | —    |    |  |   | —   |    |  |   | 178,139   |    |
| Professionalfees                                                                                                       |  |   | 49,675     |    |  |   | 44,879    |    |  |   | 39,498    |    |
| Otherexpenses                                                                                                          |  |   | 25,078     |    |  |   | 20,933    |    |  |   | 6,235     |    |
|                                                                                                                   |  |   | 1,868,452  |    |  |   | 2,215,421 |    |  |   | 2,855,709 |    |
| Netincome(loss)                                                                                                        |  | $      | (6,279,604 | )  |  | $      | 2,654,645 |    |  | $      | 1,115,014 |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | (498.98    | )  |  | $      | 205.72    |    |  | $      | 52.86     |    |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-5

----

Smith Barney Mid-West Futures Fund L.P.IIStatements of Changes in Partners' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                                                                                             |  |                 |            |                 |  |        |          |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------|--|-----------------|------------|-----------------|--|--------|----------|---------|--|--------|------------|---------|--|--|
|                                                                                                                        |  | LimitedPartners |            | General Partner |  | Total  |
| Partners' capital at December 31,2002                                                                                       |  | $               | 27,012,395 |            |  | $      | 809,275  |    |  | $      | 27,821,670 |    |
| Netincome                                                                                                                   |  |            | 1,080,639  |            |  |   | 34,375   |    |  |   | 1,115,014  |    |
| Redemptionof 1,459.9888 Redeemable Units of Limited Partnership Interest and50.0000 Units of General Partnershipequivalent  |  |            | (2,979,528 | )          |  |   | (102,821 | )  |  |   | (3,082,349 | )  |
| Partners'capital at December 31,2003                                                                                        |  |            | 25,113,506 |            |  |   | 740,829  |    |  |   | 25,854,335 |    |
| Netincome                                                                                                                   |  |            | 2,592,660  |            |  |   | 61,985   |    |  |   | 2,654,645  |    |
| Redemptionof 1,047.6421 Redeemable Units of Limited Partnership Interest and100.0000 Units of General Partnershipequivalent |  |            | (1,943,492 | )          |  |   | (184,604 | )  |  |   | (2,128,096 | )  |
| Partners'capital at December 31,2004                                                                                        |  |            | 25,762,674 |            |  |   | 618,210  |    |  |   | 26,380,884 |    |
| Netloss                                                                                                                     |  |            | (6,129,257 | )          |  |   | (150,347 | )  |  |   | (6,279,604 | )  |
| Redemptionof 1,434.4766 Redeemable Units of Limited PartnershipInterest                                                     |  |            | (2,363,640 | )          |  |   | —  |    |  |   | (2,363,640 | )  |
| Partners'capital at December 31,2005                                                                                        |  | $               | 17,269,777 |            |  | $      | 467,863  |    |  | $      | 17,737,640 |    |
|                                                                                                                             |

Netasset value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2003 |  | $ | 1,846.04 |   |
| 2004 |  | $ | 2,051.76 |   |
| 2005 |  | $ | 1,552.78 |   |
|      |

Seeaccompanying notes to financial statements.

F-6

----

Smith Barney Mid-West Futures Fund L.P.IIStatements of Cash Flowsfor the years endedDecember31, 2005, 2004 and2003

|                                                                                                                                                   |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                              |  | 2005   |            | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                                                                              |  |   |       |    |  |   |       |    |  |   |       |    |
| Net income(loss)                                                                                                                                  |  | $      | (6,279,604 | )  |  | $      | 2,654,645  |    |  | $      | 1,115,014  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by(used in) operatingactivities:                                                   |  |   |       |    |  |   |       |    |  |   |       |    |
| Changes inoperating assets andliabilities                                                                                                         |  |   |       |    |  |   |       |    |  |   |       |    |
| Proceeds from sale ofinvestment in            Partnership                             |  |   | 4,024,108  |    |  |   | 4,008,856  |    |  |   | 5,697,031  |    |
| Netunrealized appreciation (depreciation) on             investmentin Partnerships    |  |   | 4,867,425  |    |  |   | (4,641,695 | )  |  |   | (3,741,414 | )  |
| Accruedexpenses:                                                                                                                                  |  |   |       |    |  |   |       |    |  |   |       |    |
| Increase (decrease) incommissions                                                                                                                 |  |   | (44,359    | )  |  |   | 3,158      |    |  |   | (9,786     | )  |
| Increase(decrease) in managementfees                                                                                                              |  |   | (14,721    | )  |  |   | 1,020      |    |  |   | (3,242     | )  |
| Increase(decrease) in administrativefees                                                                                                          |  |   | (7,360     | )  |  |   | 510        |    |  |   | (1,621     | )  |
| Increase(decrease) in professionalfees                                                                                                            |  |   | 6,023      |    |  |   | 5,502      |    |  |   | (2,317     | )  |
| Increase(decrease) inother                                                                                                                        |  |   | (1,342     | )  |  |   | 11,232     |    |  |   | (55        | )  |
| Netcash provided by (used in) operatingactivities                                                                                                 |  |   | 2,550,170  |    |  |   | 2,043,228  |    |  |   | 3,053,610  |    |
|                                                                                                                                              |  |   |       |    |  |   |       |    |  |   |       |    |
| Cashflows from financing activities:                                                                                                              |  |   |       |    |  |   |       |    |  |   |       |    |
| Payments forredemptions – LimitedPartners                                                                                                   |  |   | (2,530,499 | )  |  |   | (1,859,866 | )  |  |   | (2,952,380 | )  |
| Paymentsfor redemptions – GeneralPartner                                                                                                    |  |   | —    |    |  |   | (184,604   | )  |  |   | (102,821   | )  |
|         Netcash provided by (used in)         financingactivities |  |   | (2,530,499 | )  |  |   | (2,044,470 | )  |  |   | (3,055,201 | )  |
| Netchange incash                                                                                                                                  |  |   | 19,671     |    |  |   | (1,242     | )  |  |   | (1,591     | )  |
| Cash,at beginning ofyear                                                                                                                          |  |   | 17,049     |    |  |   | 18,291     |    |  |   | 19,882     |    |
| Cash,at end ofyear                                                                                                                                |  | $      | 36,720     |    |  | $      | 17,049     |    |  | $      | 18,291     |    |
|                                                                                                                                                   |

Seeaccompanying notes to financialstatements.

F-7

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

1.    PartnershipOrganization:

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

Effective January 26, 2001, the Partnership allocated substantiallyall of its capital to the JWH Strategic Allocation Master Fund LLC, aNew York Limited Liability Company (the"Master"). With this cash, the Partnershippurchased 42,510.5077 Units of the Master with a fair value of$42,510,508. The Master was formed in order to permit commodity poolsmanaged now or in the future by John W. Henry & Company, Inc.("JWH") using the Strategic AllocationProgram, JWH's proprietary trading program, to invest together inone trading vehicle. Citigroup Managed Futures LLC acts as the generalpartner (the "General Partner") of thePartnership. The General Partner is the managing member of the Master.Individual and pooled accounts currently managed by JWH, including thePartnership are permitted to be a non-managing member of the Master.The General Partner and JWH believe that trading through thismaster/feeder structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment in theMaster are approximately the same and redemption rights are notaffected.

The financial statements of the Master, including thecondensed schedules of investments, are contained elsewhere in thisreport and should be read together with the Partnership'sfinancial statements.

At December 31, 2005 and 2004, thePartnership owns 10.97% and 11.82%, respectively of theMaster. It is the Partnership's intention to continue to investsubstantially all of its assets in the Master. The performance of thePartnership is directly affected by the performance of the Master.

The Partnership's and Master's commodity broker isCitigroup Global Markets Inc. ("CGM"). CGM isan affiliate of the General Partner and the Managing Member. TheGeneral Partner is wholly owned by Citigroup Global Markets HoldingsInc. ("CGMHI"), which is the sole owner ofCGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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

The Partnership will beliquidated upon the first to occur of the following: December 31, 2014;when the Net Asset Value of a Redeemable Unit decreases to less than$350 per Redeemable Unit as of the close of business on any businessday; or under certain other circumstances as defined in the LimitedPartnership Agreement.

2.    Accounting Policies:

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

F-8

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | derivative financial instruments andderivative commodity instruments) held by the Master are used fortrading purposes. The commodity interests are recorded on trade dateand open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the year.Realized gains (losses) and changes in unrealized gains (losses) onopen positions are recognized in the period in which the contract isclosed or the changes occur and are included in net gains (losses) ontrading of commodity interests. |

|          |                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Incometaxes have not been provided as each partner is individually liable forthe taxes, if any, on their share of the Partnership's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, and disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| d.  | Certain prior periodamounts have been reclassified to conform to current yearpresentation. |

3.    Agreements:

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

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

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

TheManagement Agreement that the General Partner, on behalf of thePartnership, entered into with the Advisor, provides that the Advisorhas sole discretion in determining the allocation of the assets of thePartnership. The Partnership is obligated to pay the Advisor a monthlymanagement fee equal to  1/6 of 1% (2% peryear) of month-end Net Assets allocated pro-rata by the Master.Month-end Net Assets, for the purpose of calculating management feesare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of redemptions and incentive fees. In addition, thePartnership is obligated to pay the Advisor an incentive fee, payablequarterly, equal to 20% of the New Trading Profits allocatedpro-rata by the Master, as defined in the Management Agreement of thePartnership.

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

The Partnership is obligated to pay a brokerage fee equalto 1⁄2% of 1% (6% per year) onmonth-end Net Assets allocated pro-rata from the Master. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees will be borne by the Master and allocated pro-rata tothe Partnership through its investment in Master. CGM pays a portion ofits brokerage fees to its financial consultants who have soldRedeemable Units of the Partnership. CGM pays the Partnership intereston 80% of the average daily equity allocated pro-rata to thePartnership by the Master during each month at the rate of the averagenon-competitive yield of 13-week U.S. Treasury bills as determined atthe weekly auctions thereof during the month. 

F-9

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

The Customer Agreement between the Master andCGM gives the Master the legal right to net unrealized gains andlosses. The Customer Agreement may be terminated upon notice by eitherparty.

4.    Trading Activities:

The results of theMaster's trading activities are shown in the statements of incomeand expenses.

5.    Distributions and Redemptions:

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

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

6.    FinancialHighlights:

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December 31, 2005, 2004 and2003 are asfollows:

|                                                      |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|------------------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                                 |  | 2005   |          | 2004     |  | 2003   |
| Net realized and unrealizedgains (losses)*           |  | $      | (482.16  | )   |  | $      | 246.85   |     |  | $      | 111.43   |     |
| Interestincome                                       |  |   | 37.67    |     |  |   | 16.88    |     |  |   | 15.58    |     |
| Expenses**                                           |  |   | (54.49   | )   |  |   | (58.01   | )   |  |   | (74.15   | )   |
| Increase (decrease) foryear                          |  |   | (498.98  | )   |  |   | 205.72   |     |  |   | 52.86    |     |
| Net Asset Value perRedeemable Unit, beginning ofyear |  |   | 2,051.76 |     |  |   | 1,846.04 |     |  |   | 1,793.18 |     |
| Net Asset Value perRedeemable Unit, end ofyear       |  | $      | 1,552.78 |     |  | $      | 2,051.76 |     |  | $      | 1,846.04 |     |
| Ratios toAverage Net Assets:                         |  |   |     |     |  |   |     |     |  |   |     |     |
| Net investmentloss before incentivefees***           |  |   | (7.0     | )%  |  |   | (8.7     | )%  |  |   | (8.9     | )%  |
| Operatingexpenses                                    |  |   | 9.3      | %   |  |   | 9.7      | %   |  |   | 9.7      | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | —  | %   |  |   | 0.6      | %   |
| Totalexpenses                                        |  |   | 9.3      | %   |  |   | 9.7      | %   |  |   | 10.3     | %   |
| Totalreturn:                                         |  |   |     |     |  |   |     |     |  |   |     |     |
| Total return beforeincentive fees                    |  |   | (24.3    | )%  |  |   | 11.1     | %   |  |   | 3.7      | %   |
| Incentivefees                                        |  |   | —  | %   |  |   | —  | %   |  |   | (0.7     | )%  |
| Totalreturn after incentivefees                      |  |   | (24.3    | )%  |  |   | 11.1     | %   |  |   | 3.0      | %   |
|                                                      |

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

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

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

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

7.    Financial Instrument Risks:

In thenormal course of its business, the Partnership, through thePartnership's investment in the Master, is party to financialinstruments with off-balance sheet risk, including derivative financial

F-10

----

SmithBarney Mid-West Futures Fund L.P. II

Notes toFinancial Statements

instruments and derivative commodityinstruments. These financial instruments may include forwards, futuresand options, whose values are based upon an underlying asset, index, orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, to purchase or sell other financialinstruments at specific terms at specified future dates, or, in thecase of derivative commodity instruments, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange-traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Partnership's/Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership,through the Partnership's investment in the Master hasconcentration risk because the sole counterparty or broker with respectto the Master's assets is CGM.

The General Partnermonitors and controls the Partnership's/Master's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Partnership/Master are subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of December31, 2005. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

F-11

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 are summarizedbelow:

|                                                                                                                                       |  |                                                      |          |                                                     |  |                                                 |         |                                                    |  |   |         |        |  |   |            |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|----------|-----------------------------------------------------|--|-------------------------------------------------|---------|----------------------------------------------------|--|---|---------|--------|--|---|------------|---------|--|--|
|                                                                                                                                  |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |          | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |         | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of expenses allocated from Master and brokeragecommissions plus interest income |  | $                                                    | (694,870 | )                                              |  | $                                               | 198,669 |                                               |  | $ | 251,773 |   |  | $ | (5,365,508 | )  |
| Net Income (loss)                                                                                                                     |  | $                                                    | (858,881 | )                                              |  | $                                               | 30,259  |                                               |  | $ | 90,070  |   |  | $ | (5,541,052 | )  |
| Increase(decrease) in Net Asset Value per Redeemable Unit                                                                             |  | $                                                    | (77.07   | )                                              |  | $                                               | 2.22    |                                               |  | $ | 8.54    |   |  | $ | (432.67    | )  |
|                                                                                                                                       |

|                                                                                                                                       |  |                                                      |           |                                                     |  |                                                 |           |                                                    |  |   |            |         |  |   |           |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|-----------|----------------------------------------------------|--|---|------------|---------|--|---|-----------|--------|--|--|
|                                                                                                                                  |  | Forthe period fromOctober 1, 2004 toDecember 31,2004 |           | For the period fromJuly 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |           | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized trading gains(losses) net of expenses allocated from Master and brokeragecommissions plus interest income |  | $                                                    | 7,290,651 |                                                |  | $                                               | 1,398,984 |                                               |  | $ | (6,870,466 | )  |  | $ | 1,614,721 |   |
| Net Income (loss)                                                                                                                     |  | $                                                    | 7,055,492 |                                                |  | $                                               | 1,246,420 |                                               |  | $ | (7,044,834 | )  |  | $ | 1,397,567 |   |
| Increase(decrease) in Net Asset Value per Redeemable Unit                                                                             |  | $                                                    | 527.59    |                                                |  | $                                               | 92.28     |                                               |  | $ | (514.05    | )  |  | $ | 99.90     |   |
|                                                                                                                                       |

F-12

----

To theMembers ofJWH Strategic Allocation Master Fund LLC

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

|  |                                                                                         By:   Daniel R. McAuliffe, Jr. |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Chief FinancialOfficer and Director Citigroup Managed Futures LLCManaging Member,JWH Strategic AllocationMaster Fund LLC |
|--|--------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|------------------------------------------------------------------------------------------------|

F-13

----

Independent Auditors'Report

To the Membersof    JWH Strategic Allocation Master Fund LLC:

We haveaudited the accompanying statements of financial condition of JWHStrategic Allocation Master Fund LLC (the"Company"), including the condensed schedulesof investments, as of December  31, 2005 and 2004, and therelated statements of income and expenses, changes in members'capital, and cash flows for each of the years in the three-year periodended December 31, 2005. These financial statements are theresponsibility of the Company's management. Our responsibility isto express an opinion on these financial statements based on ouraudits.

We conducted our audits in accordance with generallyaccepted auditing standards as established by the Auditing StandardsBoard (United States) and in accordance with the auditing standards ofthe Public Company Accounting Oversight Board (United States). Thosestandards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. The Company is not required to have, nor were weengaged to perform, an audit of its internal control over financialreporting. Our audit included consideration of internal control overfinancial reporting as a basis for designing audit procedures that areappropriate in the circumstances, but not for the purpose of expressingan opinion on the effectiveness of the Company's internal controlover financial reporting. Accordingly, we express no such opinion. Anaudit also includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements, assessing theaccounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of JWH Strategic Allocation Master Fund LLC as ofDecember  31, 2005 and 2004, and the results of its operations,changes in its members' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

                                        New York, New York March 13,2006

F-14

----

JWHStrategic Allocation Master Fund LLCStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                                    |  | 2005   |             | 2004   |
| Assets:                                                                                                                                                 |  |   |        |   |  |   |        |   |
| Equityin commodity futures trading account:Cash (restricted $23,817,475and $52,152,846 in 2005 and 2004,     respectively) (Note3c) |  | $      | 163,966,877 |   |  | $      | 200,509,589 |   |
| Netunrealized appreciation on open futurespositions                                                                                                     |  |   | —     |   |  |   | 2,816,587   |   |
| Unrealizedappreciation on open forwardcontracts                                                                                                         |  |   | 7,440,156   |   |  |   | 29,891,977  |   |
|                                                                                                                                                    |  |   | 171,407,033 |   |  |   | 233,218,153 |   |
| Interestreceivable                                                                                                                                      |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
| Liabilitiesand Members'Capital:                                                                                                                         |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                                            |  |   |        |   |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                                                                                     |  | $      | 3,646,687   |   |  | $      | —     |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                                         |  |   | 3,896,303   |   |  |   | 5,772,552   |   |
| Accruedexpenses:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                                                                        |  |   | 51,440      |   |  |   | 115,552     |   |
| Distributionpayable                                                                                                                                     |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  |   | 8,080,241   |   |  |   | 6,199,252   |   |
| Members'capital:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Members'capital, 99,442.6187 and 112,131.2876 Units outstanding in 2005 and2004,respectively                                                            |  |   | 163,812,603 |   |  |   | 227,330,049 |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
|                                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-15

----

JWH Strategic Allocation Master FundLLCCondensed Schedule of InvestmentsDecember 31, 2005

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Energy                                            |  | $         | (5,388,180 | )               |  |   | (3.29  | )%  |
| Grains                                            |  |      | 4,425      |                 |  |   | 0.00   | *   |
| Indices                                           |  |      | 887,362    |                 |  |   | 0.54   |     |
| Interest Rates Non-U.S.                           |  |      | 2,450      |                 |  |   | 0.00   | *   |
| Livestock                                         |  |      | 61,790     |                 |  |   | 0.04   |     |
| Metals                                            |  |      | 2,121,145  |                 |  |   | 1.30   |     |
| Softs                                             |  |      | 1,449,421  |                 |  |   | 0.89   |     |
| Total futures contractspurchased                  |  |      | (861,587   | )               |  |   | (0.52  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | (406,499   | )               |  |   | (0.25  | )   |
| Grains                                            |  |      | (198,697   | )               |  |   | (0.12  | )   |
| InterestRates U.S.                                |  |      | (553,540   | )               |  |   | (0.34  | )   |
| InterestRatesNon-U.S.                             |  |      | (925,603   | )               |  |   | (0.56  | )   |
| Softs                                             |  |      | (700,761   | )               |  |   | (0.43  | )   |
| Totalfutures contractssold                        |  |      | (2,785,100 | )               |  |   | (1.70  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 4,917,155  |                 |  |   | 3.00   |     |
| Metals                                            |  |      | 2,523,001  |                 |  |   | 1.54   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 7,440,156  |                 |  |   | 4.54   |     |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,172,504 | )               |  |   | (1.94  | )   |
| Metals                                            |  |      | (723,799   | )               |  |   | (0.44  | )   |
|                                              |  |      | (3,896,303 | )               |  |   | (2.38  | )   |
| TotalFair Value                                   |  | $         | (102,834   | )               |  |   | (0.06  | )%  |
|                                                   |

Percentagesare based on Members' capital unless otherwiseindicated

|   |                |
|---|----------------|
| * | Due torounding |

See accompanying notes tofinancial statements.

F-16

----

JWH Strategic AllocationMaster FundLLCCondensed Schedule of InvestmentsDecember 31, 2004

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Grains                                            |  | $         | 900        |                 |  |   | 0.00   | %*  |
| Indices                                           |  |      | 794,965    |                 |  |   | 0.35   |     |
| Interest Rates -U.S.                              |  |      | (757,875   | )               |  |   | (0.33  | )   |
| Interest RatesNon-U.S.                            |  |      | (59,280    | )               |  |   | (0.03  | )   |
| Metals                                            |  |      | (825,978   | )               |  |   | (0.36  | )   |
| Softs                                             |  |      | 1,435,024  |                 |  |   | 0.63   |     |
| Total futures contractspurchased                  |  |      | 587,756    |                 |  |   | 0.26   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | 2,791,481  |                 |  |   | 1.23   |     |
| Grains                                            |  |      | 970,394    |                 |  |   | 0.43   |     |
| Indices                                           |  |      | (876,403   | )               |  |   | (0.39  | )   |
| InterestRates -U.S.                               |  |      | (234,931   | )               |  |   | (0.10  | )   |
| Livestock                                         |  |      | 53,450     |                 |  |   | 0.02   |     |
| Metals                                            |  |      | 71,100     |                 |  |   | 0.03   |     |
| Softs                                             |  |      | (546,260   | )               |  |   | (0.24  | )   |
| Totalfutures contracts sold                       |  |      | 2,228,831  |                 |  |   | 0.98   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 26,407,028 |                 |  |   | 11.62  |     |
| Metals                                            |  |      | 3,484,949  |                 |  |   | 1.53   |     |
| Total unrealized appreciation onforward contracts |  |      | 29,891,977 |                 |  |   | 13.15  |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,208,972 | )               |  |   | (1.41  | )   |
| Metals                                            |  |      | (2,563,580 | )               |  |   | (1.13  | )   |
| Totalunrealized depreciation on forwardcontracts  |  |      | (5,772,552 | )               |  |   | (2.54  | )   |
|                                              |  |      |       |                 |  |   |   |     |
| Totalfair value                                   |  | $         | 26,936,012 |                 |  |   | 11.85  | %   |
|                                                   |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages are based onMembers' capital unless otherwise indicated. |

|   |                 |
|---|-----------------|
| * | Due to rounding |

Seeaccompanying notes to financial statements.

F-17

----

JWH Strategic Allocation Master FundLLCStatements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                  |  |        |             |         |  |        |            |        |  |        |           |        |  |  |
|------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|--------|--|--------|-----------|--------|--|--|
|                                                             |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                          |  |   |        |    |  |   |       |   |  |   |      |   |
| Netgains (losses) on trading of commodityinterests:              |  |   |        |    |  |   |       |   |  |   |      |   |
| Realizedgains (losses) on closed positions and foreigncurrencies |  | $      | (13,743,649 | )  |  | $      | 30,114,264 |   |  | $      | 1,507,963 |   |
| Changein unrealized gains (losses) on openpositions              |  |   | (27,038,846 | )  |  |   | 13,762,492 |   |  |   | 3,778,565 |   |
|                                                             |  |   | (40,782,495 | )  |  |   | 43,876,756 |   |  |   | 5,286,528 |   |
| Interestincome                                                   |  |   | 5,162,509   |    |  |   | 2,057,684  |   |  |   | 1,160,948 |   |
|                                                             |  |   | (35,619,986 | )  |  |   | 45,934,440 |   |  |   | 6,447,476 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Expenses:                                                        |  |   |        |    |  |   |       |   |  |   |      |   |
| Clearingfees                                                     |  |   | 426,530     |    |  |   | 491,209    |   |  |   | 438,351   |   |
| Professionalfees                                                 |  |   | (54,074     | )  |  |   | 60,000     |   |  |   | 60,000    |   |
|                                                             |  |   | 372,456     |    |  |   | 551,209    |   |  |   | 498,351   |   |
| Netincome(loss)                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231 |   |  | $      | 5,949,125 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Netincome (loss) per Unit of Member Interest (Notes 1 and6)      |  | $      | (333.20     | )  |  | $      | 368.39     |   |  | $      | 202.70    |   |
|                                                                  |

Seeaccompanying notes to financial statements.

F-18

----

JWH Strategic Allocation Master FundLLCStatement of Changes in Members' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                     |  |                 |             |         |  |  |
|-----------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                                |  | Members'Capital |
| Members'capital at December 31, 2002                |  | $               | 90,459,415  |    |
| NetIncome                                           |  |            | 5,949,125   |    |
| Sale of 33,577.0811 Unitsof Members'Interest        |  |            | 63,340,545  |    |
| Redemption of 7,806.0512Units of Members'Interests  |  |            | (13,511,520 | )  |
| Distribution ofinterest to feederfunds              |  |            | (1,160,948  | )  |
| Members'capital at December 31, 2003                |  |            | 145,076,617 |    |
| NetIncome                                           |  |            | 45,383,231  |    |
| Sale of 40,227.5910 Unitsof Members'Interest        |  |            | 64,674,000  |    |
| Redemption of14,531.4863 Units of Members'Interests |  |            | (25,746,115 | )  |
| Distribution ofinterest to feederfunds              |  |            | (2,057,684  | )  |
| Members'capital at December 31, 2004                |  |            | 227,330,049 |    |
| Netloss                                             |  |            | (35,992,442 | )  |
| Sale of 30,875.5707 Unitsof Members'Interests       |  |            | 52,052,292  |    |
| Redemption of43,564.2396 Units of Members'Interests |  |            | (74,414,787 | )  |
| Distribution ofinterest to feederfunds              |  |            | (5,162,509  | )  |
| Members'capital at December 31,2005                 |  | $               | 163,812,603 |    |
|                                                     |

|                         |  |        |          |        |  |  |
|-------------------------|--|--------|----------|--------|--|--|
| NetAsset Value perUnit: |
|                    |  |   |     |   |
| 2003                    |  | $      | 1,678.44 |   |
| 2004                    |  | $      | 2,027.35 |   |
| 2005                    |  | $      | 1,647.31 |   |
|                         |

Seeaccompanying notes to financial statements.

F-19

----

JWH Strategic Allocation Master FundLLCStatements of Cash Flowsfor the years endedDecember31, 2005, 2004 and 2003

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operating activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Netincome(loss)                                                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231  |    |  | $      | 5,949,125   |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |   |        |    |  |   |        |    |  |   |        |    |
| Changes inoperating assets and liabilities:                                                      |  |   |        |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in restrictedcash                                                             |  |   | 28,335,371  |    |  |   | (20,300,101 | )  |  |   | (16,808,433 | )  |
| (Increase)decrease in unrealized appreciation on open futurespositions                           |  |   | 2,816,587   |    |  |   | (1,339,486  | )  |  |   | 3,067,444   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |   | 22,451,821  |    |  |   | (16,395,964 | )  |  |   | (5,967,663  | )  |
| (Increase)decrease in interest receivable                                                        |  |   | (174,663    | )  |  |   | (230,431    | )  |  |   | 3,762       |    |
| Increase(decrease) in unrealized depreciation on open futurespositions                           |  |   | 3,646,687   |    |  |   | —     |    |  |   | —     |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | (1,876,249  | )  |  |   | 3,972,958   |    |  |   | (878,346    | )  |
| Accruedexpenses:                                                                                 |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase (decrease) in professionalfees                                                          |  |   | (64,112     | )  |  |   | 39,147      |    |  |   | 28,582      |    |
| Netcash provided by (used in) operatingactivities                                                |  |   | 19,143,000  |    |  |   | 11,129,354  |    |  |   | (14,605,529 | )  |
| Cashflows from financing activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceedsfromadditions                                                                            |  |   | 52,052,292  |    |  |   | 64,674,000  |    |  |   | 63,340,545  |    |
| Paymentforredemptions                                                                            |  |   | (74,414,787 | )  |  |   | (25,746,115 | )  |  |   | (13,511,520 | )  |
| Distributionof interest to feederfunds                                                           |  |   | (4,987,846  | )  |  |   | (1,827,253  | )  |  |   | (1,164,710  | )  |
| Netcash provided by (used in) financingactivities                                                |  |   | (27,350,341 | )  |  |   | 37,100,632  |    |  |   | 48,664,315  |    |
| Netchange incash                                                                                 |  |   | (8,207,341  | )  |  |   | 48,229,986  |    |  |   | 34,058,786  |    |
| Unrestrictedcash, at beginning ofyear                                                            |  |   | 148,356,743 |    |  |   | 100,126,757 |    |  |   | 66,067,971  |    |
| Unrestrictedcash, at end ofyear                                                                  |  | $      | 140,149,402 |    |  | $      | 148,356,743 |    |  | $      | 100,126,757 |    |
|                                                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-20

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

1.    General:

JWHStrategic Allocation Master Fund LLC (the"Master") is a limited liability companyformed under the New York Limited Liability Company Law. TheMaster's purpose is to engage in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Master is authorized tosell an unlimited number of member interests.

Effective January26, 2001, Shearson Mid-West Futures Fund("Mid-West") and Smith Barney Mid-WestFutures Fund L.P. II ("Mid-West II")allocated substantially all of their capital to the Master. With thiscash, Mid-West and Mid-West II purchased a total of 74,020.3930 Unitsof the Master with a fair value of $74,020,393. On March 1, 2001, TheSaugatuck Fund L.P. ("Saugatuck") allocatedsubstantially all of their capital to the Master and purchased a totalof 20,750.0000 Units of the Master with cash equal to $20,750,000. OnDecember 1, 2001, The Aspetuck Fund L.P.("Aspetuck") allocated substantially all oftheir capital to the Master and purchased a total of 3,184.5305 Unitsof the Master with cash equal to $3,050,000. On November 1, 2002, JWHGlobal Strategies Limited Series ("JWH GlobalStrategies") allocated substantially all of their capitalto the Master and purchased a total of 1,338.2964 Units of the Masterwith cash equal to $2,000,000. On May 22, 2003, SSB Diversified 2000Futures Fund L.P. ("Diversified 2000")allocated a portion of their capital to the Master and purchased atotal of 14,370.0894 Units of the Master with a fair value of$27,367,545. On July 1, 2005, CMF Institutional Futures Portfolio L.P.("CMF Institutional") allocated a portion ofits capital to the Master and purchased 4,195.5111 Units of the Masterwith cash equal to $7,000,000. The Master was formed to permitcommodity pools managed now or in the future by John W. Henry &Company, Inc. (the "Advisor") using theStrategic Allocation Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master'sinvestors consist of Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies, Diversified 2000 and CMF Institutional (each a"Member", collectively the"Feeder Funds") with 10.87%,10.97%, 5.47%, 14.95%, 40.49%,14.42% and 2.83% ownerships of the Master at December 31,2005, respectively. Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies and Diversified 2000 owned 11.69%,11.82%, 4.79%, 13.40%, 46.09% and12.21% ownerships of the Master at December 31, 2004,respectively, and with 17.84%, 18.11%, 5.91%,21.06%, 18.13% and 18.95% ownership of the Masterat December 31, 2003, respectively.

Citigroup Managed FuturesLLC acts as the managing member (the "ManagingMember") of the Master. The Managing Member administersthe business affairs of the Master including selecting one or moreadvisors to make trading decisions for the Master. The Master'scommodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember. The Managing Member is wholly owned by Citigroup Global MarketsHoldings Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

2.    AccountingPolicies:

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

F-21

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income andexpenses and realized and unrealized gains and losses on trading ofcommodity interests are determined on each valuation day and areallocated pro rata among the Feeder Funds at the time of suchdetermination. Income taxes have not been provided as each member isindividually liable for the taxes, if any, on their share of theMaster's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, disclosure of contingent assets andliabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period. Actualresults could differ from these estimates. |

|          |                                                                                             |
|----------|---------------------------------------------------------------------------------------------|
| d.  | Certain prior period amounts have beenreclassified to conform to current year presentation. |

3.    Agreements:

|          |                           |
|----------|---------------------------|
| a.  | Managing MemberAgreement: |

The Managing Member administers the businessaffairs of the Master.

|          |                      |
|----------|----------------------|
| b.  | ManagementAgreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Managing Member, on behalf ofthe Master, has entered into a Management Agreement with the Advisor, aregistered commodity trading advisor. The Advisor is not affiliatedwith the Managing Member or CGM and is not responsible for theorganization or operation of the Master. The Management Agreementprovides that the Advisor has sole discretion in determining theinvestment of the assets of the Master allocated to it by the ManagingMember. All management fees in connection with the Management Agreementare borne by the Feeder Funds. |

|          |                    |
|----------|--------------------|
| c.  | CustomerAgreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into aCustomer Agreement with CGM whereby CGM provides services whichinclude, among the other things, the execution of transactions for theMaster's account in accordance with orders placed by the Advisor.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master. All other feesincluding CGM direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005 and 2004,the amount of cash held by the Master for margin requirements was$23,817,475 and $52,152,846, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party. |

4.    Trading Activities:

The Master was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The results of theMaster's trading activities are shown in the statements of incomeand expenses.

All of the commodity interests owned by the Masterare held for trading purposes. The average fair value for the yearsended December 31, 2005 and 2004, based on a monthly calculation, was$9,833,608 and $7,166,273, respectively.

5.    Distributionsand Redemptions:

Distributions of profits, if any, will be madeat the sole discretion of the Managing Member and at such time as theManaging Member may decide. A Member may require the Master to redeemtheir Units 

F-22

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

at their Net Asset Value as of the last dayof each month. The Managing Member, in its sole discretion, may permitredemptions more frequently than monthly.

6.    FinancialHighlights:

Changes in the Net Asset Value per Unit of Memberinterest for the years ended December 31, 2005, 2004 and 2003 were asfollows:

|                                           |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|-------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                      |  | 2005   |          | 2004     |  | 2003   |
| Netrealized and unrealized gains(losses)* |  | $      | (380.61  | )   |  | $      | 349.49   |     |  | $      | 188.13   |     |
| Interestincome                            |  |   | 46.84    |     |  |   | 19.48    |     |  |   | 15.41    |     |
| Expenses**                                |  |   | 0.57     |     |  |   | (0.58    | )   |  |   | (0.84    | )   |
| Increase(decrease) forperiod              |  |   | (333.20  | )   |  |   | 368.39   |     |  |   | 202.70   |     |
| Distributions                             |  |   | (46.84   | )   |  |   | (19.48   | )   |  |   | (15.41   | )   |
| NetAsset Value per Unit, beginning ofyear |  |   | 2,027.35 |     |  |   | 1,678.44 |     |  |   | 1,491.15 |     |
| NetAsset Value per Unit, end ofyear       |  | $      | 1,647.31 |     |  | $      | 2,027.35 |     |  | $      | 1,678.44 |     |
| Ratioto average net assets***             |  |   |     |     |  |   |     |     |  |   |     |     |
| Netinvestmentincome****                   |  |   | 2.5      | %   |  |   | 0.9      | %   |  |   | 0.5      | %   |
| Operatingexpenses                         |  |   | (0.2     | )%  |  |   | (0.3     | )%  |  |   | (0.4     | )%  |
| Totalreturn                               |  |   | (16.4    | )%  |  |   | 21.9     | %   |  |   | 13.6     | %   |
|                                           |

|   |                        |
|---|------------------------|
| * | Includesclearing fees. |

|    |                        |
|----|------------------------|
| ** | Excludesclearing fees. |

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

The above ratios may vary for individualinvestors based on the timing of capital transactions during theyear.

7.    Financial Instrument Risks:

In the normalcourse of its business, the Master is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Master's risk of loss in the event of counterparty default istypically limited to the amounts recognized in 

F-23

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. TheMaster has concentration risk because the sole counterparty or brokerwith respect to the Master's assets is CGM.

The ManagingMember monitors and controls the Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masteris subject. These monitoring systems allow the Managing Member tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-24

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Selectedunaudited quarterly financial data for JWH Master for the years endedDecember 31, 2005 and 2004 are summarizedbelow:

|                                                                                                                      |  |                                                        |            |                                                      |  |                                                 |            |                                                    |  |   |             |         |  |   |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|------------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-------------|---------|--|---|-------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |            | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | (3,798,063 | )                                               |  | $                                               | 5,054,464  |                                               |  | $ | 5,728,983   |    |  | $ | (43,031,900 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | (3,718,740 | )                                               |  | $                                               | 5,046,798  |                                               |  | $ | 5,721,400   |    |  | $ | (43,041,900 | )  |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | (38.83     | )                                               |  | $                                               | 44.39      |                                               |  | $ | 49.01       |    |  | $ | (387.77     | )  |
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |            | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 65,465,161 |                                                 |  | $                                               | 13,041,842 |                                               |  | $ | (44,742,215 | )  |  | $ | 11,678,443  |    |
| NetIncome(loss)                                                                                                      |  | $                                                      | 65,450,161 |                                                 |  | $                                               | 13,026,842 |                                               |  | $ | (44,757,215 | )  |  | $ | 11,663,443  |    |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 559.94     |                                                 |  | $                                               | 121.55     |                                               |  | $ | (445.46     | )  |  | $ | 132.36      |    |
|                                                                                                                      |

F-25

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Item 9.    Changesin and Disagreements with Accountants on Accounting and FinancialDisclosure.

None.

Item 9A.    Controls andProcedures.

The General Partner of the Partnership, withthe participation of the General Partner's Chief ExecutiveOfficer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controlsand procedures (as defined in Rules 13a-15(e) and 15d-15(e) of theExchange Act) with respect to the Partnership as of the end of theperiod covered by the report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures areeffective.

There were no significant changes in thePartnership's internal controls over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

PART III

Item 10.    Directors and Officers of theRegistrant.

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

The Partnershiphas not adopted a code of ethics that applies to officers because ithas no officers.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner, which receives compensation for its services, as setforth under "Item 1. Business." CGM,an affiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."During the year ended December 31, 2005, CGM earned $1,198,784 inbrokerage commissions and clearing fees. The Advisor earned $396,611 inmanagement fees during 2005. During the year ended December 31, 2005,the General Partner earned $198,304 in administrative fees.

Item 12.    Security Ownership of Certain Beneficial Ownersand Management.

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

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 301.3070 Redeemable Units (2.6%) of partnership interest asof December 31, 2005.

(c)    Changes in control.None.

Item 13.    Certain Relationships and RelatedTransactions.

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

23

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Item 14.    Principal Accountant Feesand Services

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

2005            $19,000

2004            $19,890

(2)    Audit-Related Fees. None

(3)    TaxFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for tax complianceand tax advice given in the preparation of the Partnership'sSchedule K1s, the preparation of the Partnership's Form 1065 andpreparation of all State Tax Returns are asfollows:

2005            $7,606

2004            $5,136

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

PART IV

Item 15.    Exhibits and Financial StatementSchedules.

|              |                                                                                      |
|--------------|--------------------------------------------------------------------------------------|
| (a)(1)  | FinancialStatements: Statements of Financial Condition at December 31, 2005 and2004. |

Condensed Schedules of Investments at December 31,2005 and 2004.

Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003.

Statementsof Changes in Partners' Capital for the years ended December 31,2005, 2004 and 2003.

Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003.

Notes toFinancial Statements.

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

3.1 –Certificate of Limited Partnership (previously filed).

3.2 – Limited Partnership Agreement (previouslyfiled).

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

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

10.3 – Form of Subscription Agreement(previously filed).

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

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

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

24

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

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

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

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

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

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

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

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

16.1 – Letter from PricewaterhouseCoopersLLP (previously filed).

The exhibits required to befiled by Item 601 of Regulations S-K are incorporated herein byreference.

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

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

32.1 – Section 1350 Certification (Certification ofPresident and Director).

32.2 – Section 1350Certification (Certification of Chief Financial Officer andDirector)

Supplemental Information To Be Furnished WithReports Filed Pursuant To Section 15(d) Of The Act by Registrants WhichHave Not Registered Securities Pursuant To Section 12 Of the Act.

Annual Report to Limited Partners

No proxymaterial has been sent to LimitedPartners.

25

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 30th day of March 2006.

SmithBarney Mid West Futures Fund L.P. II

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

By:    /s/ David J. Vogel           David J. Vogel           President andDirector

Pursuant to the requirements of the Securities ExchangeAct of 1934, this annual report on Form 10-K has been signed below bythe following persons on behalf of the Registrant and in the capacitiesand on the date indicated.

|                                    |  |                        |  |  |  |  |
|------------------------------------|--|------------------------|--|--|--|--|
| /s/ David J. Vogel                 |  | /s/ ShelleyUllman      |
| David J. Vogel                     |  | ShelleyUllman          |
| President andDirector              |  | Director               |
|                               |  |                   |
| /s/ Daniel R. McAuliffe,Jr.        |  | /s/ Jerry Pascucci     |
| DanielR. McAuliffe, Jr.            |  | Jerry Pascucci         |
| ChiefFinancial Officer andDirector |  | Director               |
|                               |  |                   |
| /s/ MaureenO'Toole                 |  | /s/ JenniferMagro      |
| Maureen O'Toole                    |  | JenniferMagro          |
| Director                           |  | Director               |
|                               |  |                   |
|                               |  | /s/Ihor Rakowsky       |
|                               |  | IhorRakowsky           |
|                               |  | Secretary and Director |
|                               |  |                   |
|                               |  |                   |
|                               |  |                   |
|                               |  |                   |
|                                    |

26

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