DRAFT

FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 or15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( )TRANSITION REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIESEXCHANGE ACT OF 1934

For the Quarter endedSeptember 30, 2004

Commission File Number0-28336

|                                                                                           |  |                                    |  |  |  |  |
|-------------------------------------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| **SMITHBARNEY MID-WEST FUTURES FUND L.P. II**                                             |
| (Exactname of registrant as specified in its charter)                                     |
| NewYork                                                                                   |  | 13-4224248                         |
| (State or other jurisdictionofincorporation or organization)                              |  | (I.R.S.EmployerIdentification No.) |
| c/oCitigroup Managed Futures LLC 399 Park Avenue. – 7th Fl.New York, New York 10022 |
| (Address and Zip Code ofprincipal executiveoffices)                                       |
| (212)559-2011                                                                             |
| (Registrant's telephonenumber, including area code)                                       |
|                                                                                           |

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

YesX     No     

Indicate bycheck mark whether the registrant is an accelerated filer (as definedin Rule 12b-2 of the Exchange Act).

Yes         NoX

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SMITH BARNEYMID-WEST FUTURES FUND L.P. II

FORM 10-Q

INDEX

|                                      |  |        |  |                                                                                                                                   |  |               |  |  |  |  |  |  |  |  |
|--------------------------------------|--|--------|--|-----------------------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|--|--|
|                                 |  |   |  |                                                                                                                              |  | PageNumber    |
| PART I — FinancialInformation: |  |
|                                 |  | Item1. |  | FinancialStatements:                                                                                                              |  |
|                                 |  |   |  | Statements ofFinancial Condition at September 30, 2004 and December 31, 2003(unaudited)                                           |  | 3             |
|                                 |  |   |  | Statements of Income and Expenses andPartners' Capital for the three and nine months ended September30, 2004 and 2003 (unaudited) |  | 4             |
|                                 |  |   |  | Statements of Cash Flows for the three andnine months ended September 30, 2004 and 2003 (unaudited)                               |  | 5             |
|                                 |  |   |  | Notes to FinancialStatements including the Financial Statements of JWH StrategicAllocation Master Fund LLC (unaudited)            |  | 6 – 15  |
|                                 |  | Item2. |  | Management's Discussion and Analysis of FinancialCondition and Results of Operations                                              |  | 16 – 18 |
|                                 |  | Item3. |  | Quantitative and Qualitative Disclosures about MarketRisk                                                                         |  | 19 – 20 |
|                                 |  | Item4. |  | Controls and Procedures                                                                                                           |  | 21            |
| PART II — OtherInformation     |  | 22     |
|                                      |

2

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PART I

Item 1.Financial Statements

Smith Barney Mid-West Futures Fund L.P.II Statements of FinancialCondition(Unaudited)

|                                                                                                                                        |  |                  |            |                  |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|------------------|------------|------------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | September30,2004 |            | December 31,2003 |
| **Assets:**                                                                                                                            |  |             |       |             |  |
| Investmentin Master, at fairvalue                                                                                                      |  | $                | 20,758,674 |             |  | $      | 26,278,490 |   |
| Cash                                                                                                                                   |  |             | 32,864     |             |  |   | 18,291     |   |
|                                                                                                                                   |  | $                | 20,791,538 |             |  | $      | 26,296,781 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |
| Liabilities:                                                                                                                           |  |             |       |             |  |
| Accruedexpenses:                                                                                                                       |  |             |       |             |  |
| Commissions                                                                                                                            |  | $                | 103,958    |             |  | $      | 131,484    |   |
| Managementfees                                                                                                                         |  |             | 34,421     |             |  |   | 43,570     |   |
| Administrativefees                                                                                                                     |  |             | 17,210     |             |  |   | 21,785     |   |
| Other                                                                                                                                  |  |             | 34,988     |             |  |   | 23,126     |   |
| Redemptionspayable                                                                                                                     |  |             | 3,048      |             |  |   | 222,481    |   |
|                                                                                                                                   |  |             | 193,625    |             |  |   | 442,446    |   |
| Partners'capital:                                                                                                                      |  |             |       |             |  |
| General Partner, 301.3070 and401.3070 Unit equivalents outstanding in 2004 and 2003,respectively                                       |  |             | 459,243    |             |  |   | 740,829    |   |
| LimitedPartners, 13,212.8631 and 13,603.9978 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |             | 20,138,670 |             |  |   | 25,113,506 |   |
|                                                                                                                                   |  |             | 20,597,913 |             |  |   | 25,854,335 |   |
|                                                                                                                                   |  | $                | 20,791,538 |             |  | $      | 26,296,781 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Unaudited Financial Statements

3

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**Smith Barney Mid-West Futures Fund L.P.IIStatements of Income and Expenses and Partners'Capital**(Unaudited)

|                                                                                                                                         |  |                                |            |                              |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------|------------|------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                    |  | ThreeMonths EndedSeptember 30, |            | Nine MonthsEndedSeptember30, |
|                                                                                                                                    |  | 2004                           |            | 2003                         |  | 2004   |            | 2003    |
| Income:                                                                                                                                 |  |
| Realizedgains (losses) on closed positions fromMaster                                                                                   |  | $                              | (2,769,119 | )                       |  | $      | (5,092,062 | )  |  | $      | (3,281,486 | )  |  | $      | 3,871,377  |    |
| Changein unrealized gains (losses) on open positions fromMaster                                                                         |  |                           | 4,423,222  |                         |  |   | 3,422,146  |    |  |   | 377,539    |    |  |   | (876,639   | )  |
| Expenses allocated fromMaster                                                                                                           |  |                           | (17,133    | )                       |  |   | (30,655    | )  |  |   | (62,452    | )  |  |   | (60,602    | )  |
|                                                                                                                                    |  |                           | 1,636,970  |                         |  |   | (1,700,571 | )  |  |   | (2,966,399 | )  |  |   | 2,934,136  |    |
| Interestincome received fromMaster                                                                                                      |  |                           | 55,950     |                         |  |   | 51,623     |    |  |   | 150,225    |    |  |   | 189,872    |    |
|                                                                                                                                    |  |                           | 1,692,920  |                         |  |   | (1,648,948 | )  |  |   | (2,816,174 | )  |  |   | 3,124,008  |    |
| Expenses:                                                                                                                               |  |
| Brokeragecommissions                                                                                                                    |  |                           | 293,936    |                         |  |   | 419,506    |    |  |   | 1,040,586  |    |  |   | 1,409,653  |    |
| Managementfees                                                                                                                          |  |                           | 97,319     |                         |  |   | 138,995    |    |  |   | 344,635    |    |  |   | 459,429    |    |
| Administrativefees                                                                                                                      |  |                           | 48,659     |                         |  |   | 69,497     |    |  |   | 172,316    |    |  |   | 229,714    |    |
| Otherexpenses                                                                                                                           |  |                           | 6,586      |                         |  |   | 11,432     |    |  |   | 27,136     |    |  |   | 31,058     |    |
| Incentivefees                                                                                                                           |  |                           | —    |                         |  |   | —    |    |  |   | —    |    |  |   | 178,139    |    |
|                                                                                                                                    |  |                           | 446,500    |                         |  |   | 639,430    |    |  |   | 1,584,673  |    |  |   | 2,307,993  |    |
| Net income(loss)                                                                                                                        |  |                           | 1,246,420  |                         |  |   | (2,288,378 | )  |  |   | (4,400,847 | )  |  |   | 816,015    |    |
| Redemptions – LimitedPartners                                                                                                     |  |                           | (31,230    | )                       |  |   | (229,744   | )  |  |   | (855,575   | )  |  |   | (2,606,300 | )  |
|          –GeneralPartner                                                             |  |                           | —    |                         |  |   | —    |    |  |   | —    |    |  |   | (102,821   | )  |
| Netincrease (decrease) in Partners'capital                                                                                              |  |                           | 1,215,190  |                         |  |   | (2,518,122 | )  |  |   | (5,256,422 | )  |  |   | (1,893,106 | )  |
| Partners' capital, beginningofperiod                                                                                                    |  |                           | 19,382,723 |                         |  |   | 28,446,686 |    |  |   | 25,854,335 |    |  |   | 27,821,670 |    |
| Partners'capital, end ofperiod                                                                                                          |  | $                              | 20,597,913 |                         |  | $      | 25,928,564 |    |  | $      | 20,597,913 |    |  | $      | 25,928,564 |    |
| Net asset valueper Redeemable Unit(13,514.1701 and 14,215.7957 Redeemable Unitsoutstanding at September 30, 2004 and 2003,respectively) |  | $                              | 1,524.17   |                         |  | $      | 1,823.93   |    |  | $      | 1,524.17   |    |  | $      | 1,823.93   |    |
| Net income (loss)per Redeemable Unit of Limited Partnership Interest and General PartnerUnitequivalent                                  |  | $                              | 92.28      |                         |  | $      | (161.12    | )  |  | $      | (321.87    | )  |  | $      | 30.75      |    |
|                                                                                                                                         |

SeeAccompanying Notes to Unaudited FinancialStatements.

4

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Smith Barney Mid-West Futures Fund L.P.II Statements of Cash Flows(Unaudited)

|                                                                                                  |  |                                |            |                              |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------------------------------|------------|------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedSeptember 30, |            | Nine MonthsEndedSeptember30, |
|                                                                                             |  | 2004                           |            | 2003                         |  | 2004   |            | 2003    |
| Cashflows from operating activities:                                                             |  |
| Net income(loss)                                                                                 |  | $                              | 1,246,420  |                         |  | $      | (2,288,378 | )  |  | $      | (4,400,847 | )  |  | $      | 816,015    |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |
| (Increase) decrease ininvestment in Master at fair value                                         |  |                           | (1,145,468 | )                       |  |   | 2,958,509  |    |  |   | 5,519,816  |    |  |   | 2,104,962  |    |
| Accruedexpenses:                                                                                 |  |
| Increase (decrease) incommissions                                                                |  |                           | 5,750      |                         |  |   | (14,942    | )  |  |   | (27,526    | )  |  |   | (10,564    | )  |
| Increase (decrease) in managementfees                                                            |  |                           | 1,901      |                         |  |   | (4,908     | )  |  |   | (9,149     | )  |  |   | (3,489     | )  |
| Increase (decrease) inadministrative fees                                                        |  |                           | 950        |                         |  |   | (2,455     | )  |  |   | (4,575     | )  |  |   | (1,745     | )  |
| Increase (decrease) inother                                                                      |  |                           | 3,458      |                         |  |   | (28,193    | )  |  |   | 11,862     |    |  |   | (8,566     | )  |
| Increase (decrease) inredemptions payable                                                        |  |                           | (77,329    | )                       |  |   | (419,702   | )  |  |   | (219,433   | )  |  |   | (195,333   | )  |
| Net cash provided by (usedin) operating activities                                               |  |                           | 35,682     |                         |  |   | 199,931    |    |  |   | 870,148    |    |  |   | 2,701,280  |    |
| Cash flows fromfinancing activities:                                                             |  |
| Payments for redemptions– Limited Partners                                                 |  |                           | (31,230    | )                       |  |   | (229,744   | )  |  |   | (855,575   | )  |  |   | (2,606,300 | )  |
| Paymentsfor redemptions – GeneralPartner                                                   |  |                           | —    |                         |  |   | —    |    |  |   | —    |    |  |   | (102,821   | )  |
| Netchange in cash                                                                                |  |                           | 4,452      |                         |  |   | (29,813    | )  |  |   | 14,573     |    |  |   | (7,841     | )  |
| Cash, at beginning ofperiod                                                                      |  |                           | 28,412     |                         |  |   | 41,854     |    |  |   | 18,291     |    |  |   | 19,882     |    |
| Cash, at end ofperiod                                                                            |  | $                              | 32,864     |                         |  | $      | 12,041     |    |  | $      | 32,864     |    |  | $      | 12,041     |    |
|                                                                                                  |

SeeAccompanying Notes to Unaudited FinancialStatements

5

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited)

1.    General:

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 speculative tradingof a diversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Partnership commencedtrading operations on September 1, 1994. From September 1, 1994 throughJanuary 25, 2001, the Partnership engaged directly in the speculativetrading of a diversified portfolio of commodity interests.

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 Redeemable Units of the Master with a fair valueof $42,510,508. The Master was formed in order to permit commoditypools managed now or in the future by John W. Henry & Company, Inc.(the "Advisor") using the StrategicAllocation Program, JWH's proprietary trading program, to investtogether in one trading vehicle. Citigroup Managed Futures LLC,formerly Smith Barney Futures Management LLC, acts as the generalpartner (the "General Partner") of thePartnership. The General Partner is the managing member of the Master.Individual and pooled accounts managed by JWH, including thePartnership (collectively, the "FeederFunds"), are permitted to be a non-managing member of theMaster. 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 the investment inthe Master are approximately the same and redemption rights are notaffected.

As of September 30, 2004, the Partnership owned13.2% of the Master. It is the Partnership's intention tocontinue to invest substantially all of its assets in the Master. Theperformance of the Partnership is directly affected by the performanceof the Master. The Master's Statements of Financial Condition,Statements of Income and Expenses and Members' Capital,Statements of Cash Flows and Condensed Schedules of Investments areincluded herein.

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

As of September 30,2004, all trading decisions for the Partnership are being made by theAdvisor.

The accompanying financial statements are unauditedbut, in the opinion of management, include all adjustments, consistingonly of normal recurring adjustments, necessary for a fair presentationof the Partnership's financial condition at September 30, 2004and December 31, 2003 and the results of its operations and cash flowsfor the three and nine months ended September 30, 2004 and 2003. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sannual report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2003.

Due to thenature of commodity trading, the results of operations for the interimperiods presented should not be considered indicative of the resultsthat may be expected for the entire year.

6

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments at September 30, 2004and December 31, 2003 and its Statements of Income and Expenses andMembers' Capital and Statements of Cash Flows for the three andnine months ended September 30, 2004 and 2003 were:

JWHStrategic Allocation Master Fund LLC Statements of FinancialCondition(Unaudited)

|                                                                                             |  |                   |             |                 |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------|--|-------------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                        |  | September30, 2004 |             | December31,2003 |
| **Assets:**                                                                                 |  |              |        |            |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                  |  |              |        |            |  |   |        |   |
| Cash (restricted$42,880,077 and $31,852,745 in 2004 and 2003,respectively)                  |  | $                 | 136,829,954 |            |  | $      | 131,979,502 |   |
| Netunrealized appreciation on open futurespositions                                         |  |              | 21,224,364  |            |  |   | 1,477,101   |   |
| Unrealizedappreciation on open forwardcontracts                                             |  |              | 7,396,003   |            |  |   | 13,496,013  |   |
|                                                                                        |  |              | 165,450,321 |            |  |   | 146,952,616 |   |
| Interestreceivable                                                                          |  |              | 186,618     |            |  |   | 80,717      |   |
|                                                                                        |  | $                 | 165,636,939 |            |  | $      | 147,033,333 |   |
| **Liabilitiesand members'capital:**                                                         |  |
| Liabilities:                                                                                |  |              |        |            |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts                                             |  | $                 | 7,882,049   |            |  | $      | 1,799,594   |   |
| Accruedexpenses:                                                                            |  |              |        |            |  |   |        |   |
| Professionalfees                                                                            |  |              | 100,553     |            |  |   | 76,405      |   |
| Distributionpayable                                                                         |  |              | 186,618     |            |  |   | 80,717      |   |
|                                                                                        |  |              | 8,169,220   |            |  |   | 1,956,716   |   |
| Members'capital:                                                                            |  |              |        |            |  |   |        |   |
| Members'capital 106,782.8891 and 86,435.1829 Units outstanding in 2004 and2003,respectively |  |              | 157,467,719 |            |  |   | 145,076,617 |   |
|                                                                                        |  | $                 | 165,636,939 |            |  | $      | 147,033,333 |   |
|                                                                                             |

7

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsSeptember 30,2004(Unaudited)

|                                    |  |                                                    |  |           |            |         |  |  |  |  |
|------------------------------------|--|----------------------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                             |  | Contract                                           |  | FairValue |
| Currencies                         |  |
|                               |  | Unrealizeddepreciation on forward contracts(2.91)% |  | $         | (4,587,209 | )  |
|                               |  | Unrealizedappreciation on forward contracts2.74%   |  |      | 4,314,006  |    |
| TotalCurrencies(0.17)%             |  |                                               |  |      | (273,203   | )  |
| TotalEnergy 5.41%                  |  | Futures contracts purchased5.41%                   |  |      | 8,512,543  |    |
| TotalGrains 2.04%                  |  | Futures contracts sold2.04%                        |  |      | 3,213,281  |    |
| TotalInterest Rates Non-U.S. 3.27% |  | Futures contractspurchased3.27%                    |  |      | 5,142,323  |    |
| TotalInterest Rates U.S. 1.39%     |  | Futures contracts purchased1.39%                   |  |      | 2,195,114  |    |
| Livestock                          |  |                                               |  |
|                               |  | Futurescontracts sold (0.01)%                      |  |      | (10,190    | )  |
|                               |  | Futures contracts purchased0.01%                   |  |      | 5,190      |    |
|                               |  |
| TotalLivestock(0.00)%*             |  |                                               |  |      | (5,000     | )  |
| Metals                             |  |
|                               |  | Futurescontracts sold(0.04)%                       |  |      | (70,020    | )  |
|                               |  | Futurescontracts purchased 1.13%                   |  |      | 1,786,666  |    |
|                               |  | Totalfutures contracts1.09%                        |  |      | 1,716,646  |    |
|                               |  |                                               |  |
|                               |  | Unrealizeddepreciation on forward contracts(2.09)% |  |      | (3,294,840 | )  |
|                               |  | Unrealizedappreciation on forward contracts1.96%   |  |      | 3,081,997  |    |
|                               |  | Totalforward contracts(0.13)%                      |  |      | (212,843   | )  |
| TotalMetals0.96%                   |  |                                               |  |      | 1,503,803  |    |
| Softs                              |  |
|                               |  | Futurescontracts sold(0.01)%                       |  |      | (7,552     | )  |
|                               |  | Futurescontracts purchased0.19%                    |  |      | 304,713    |    |
| TotalSofts0.18%                    |  |                                               |  |      | 297,161    |    |
| Indices                            |  |
|                               |  | Futurescontracts sold0.24%                         |  |      | 382,564    |    |
|                               |  | Futurescontracts purchased(0.15)%                  |  |      | (230,268   | )  |
| TotalIndices0.09%                  |  |                                               |  |      | 152,296    |    |
| TotalFair Value13.17%              |  |                                               |  | $         | 20,738,318 |    |
|                                    |

|                    |  |                           |            |                               |  |        |        |          |  |  |
|--------------------|--|---------------------------|------------|-------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at Fair Value |
| Australia          |  | $                         | (90,465    | )                        |  |   | (0.43  | )%  |
| Canada             |  |                      | 16,093     |                          |  |   | 0.08   |     |
| Germany            |  |                      | 666,514    |                          |  |   | 3.21   |     |
| Japan              |  |                      | 3,785,630  |                          |  |   | 18.25  |     |
| UnitedKingdom      |  |                      | 2,569,597  |                          |  |   | 12.39  |     |
| UnitedStates       |  |                      | 13,790,949 |                          |  |   | 66.50  |     |
|               |  | $                         | 20,738,318 |                          |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' capital unless otherwiseindicated

* Due to rounding

8

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsDecember 31,2003(Unaudited)

|                                     |  |                                                    |  |           |            |         |  |  |  |  |
|-------------------------------------|--|----------------------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                              |  | Contract                                           |  | FairValue |
| Currencies                          |  |
|                                |  | Unrealizedappreciation on forward contracts7.66%   |  | $         | 11,113,632 |    |
|                                |  | Unrealizeddepreciation on forward contracts(1.22)% |  |      | (1,771,985 | )  |
| TotalCurrencies6.44%                |  |                                               |  |      | 9,341,647  |    |
| TotalEnergy 0.90%                   |  | Futures contracts sold0.90%                        |  |      | 1,299,873  |    |
| TotalGrains 0.22%                   |  | Futures contracts purchased0.22%                   |  |      | 318,552    |    |
| InterestRates Non-U.S.              |  | Futures contracts sold(0.08)%                      |  |      | (121,386   | )  |
|                                |  | Futurescontracts purchased(0.01)%                  |  |      | (8,299     | )  |
| TotalInterest Rates Non-U.S.(0.09)% |  |                                               |  |      | (129,685   | )  |
| TotalInterest Rates U.S. 0.01%      |  | Futures contracts purchased0.01%                   |  |      | 19,950     |    |
| Livestock                           |  |
|                                |  | Futurescontracts sold0.02%                         |  |      | 27,750     |    |
|                                |  | Futurescontracts purchased(0.46)%                  |  |      | (671,770   | )  |
| TotalLivestock(0.44)%               |  |                                               |  |      | (644,020   | )  |
| Metals                              |  |                                               |  |      |       |    |
|                                |  | Futurescontracts purchased1.40%                    |  |      | 2,028,135  |    |
|                                |  | Unrealizeddepreciation on forward contracts(0.02)% |  |      | (27,609    | )  |
|                                |  | Unrealizedappreciation on forward contracts1.64%   |  |      | 2,382,381  |    |
|                                |  | Totalforward contracts1.62%                        |  |      | 2,354,772  |    |
| TotalMetals3.02%                    |  |                                               |  |      |       |    |
| Softs                               |  |                                               |  |      | 4,382,907  |    |
|                                |  | Futures contracts sold(0.15)%                      |  |      | (212,200   | )  |
|                                |  | Futurescontracts purchased(0.59)%                  |  |      | (854,280   | )  |
| TotalSofts(0.74)%                   |  |                                               |  |      |       |    |
| Indices                             |  |                                               |  |      | (1,066,480 | )  |
|                                |  | Futures contracts sold(0.85)%                      |  |      | (1,230,359 | )  |
|                                |  | Futurescontracts purchased0.61%                    |  |      | 881,135    |    |
| TotalIndices(0.24)%                 |  |                                               |  |      | (349,224   | )  |
| TotalFair Value9.08%                |  |                                               |  | $         | 13,173,520 |    |
|                                     |

|                    |  |                          |            |                             |  |        |        |          |  |  |
|--------------------|--|--------------------------|------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | % ofInvestmentsat FairValue |
| Australia          |  | $                        | (106,707   | )                      |  |   | (0.81  | )%  |
| Canada             |  |                     | 90,406     |                        |  |   | 0.69   |     |
| Germany            |  |                     | 468,304    |                        |  |   | 3.55   |     |
| Japan              |  |                     | (1,350,542 | )                      |  |   | (10.25 | )   |
| UnitedKingdom      |  |                     | 2,351,597  |                        |  |   | 17.85  |     |
| UnitedStates       |  |                     | 11,720,462 |                        |  |   | 88.97  |     |
|               |  | $                        | 13,173,520 |                        |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' capital unless otherwiseindicated

9

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

JWH Strategic AllocationMaster FundLLCStatements of Income and Expenses and Members'Capital(Unaudited)

|                                                                                                                      |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                 |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                                                 |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| Income:                                                                                                              |  |
| Netgains (losses) on trading of commodityinterests:                                                                  |  |
| Realized gains (losses) on closedpositions and foreigncurrencies                                                     |  | $                              | (20,744,051 | )                       |  | $      | (27,286,229 | )  |  | $      | (28,443,643 | )  |  | $      | 3,915,850   |    |
| Changein unrealized gains (losses) on openpositions                                                                  |  |                           | 33,392,528  |                         |  |   | 18,232,797  |    |  |   | 7,564,798   |    |  |   | (3,538,486  | )  |
|                                                                                                                 |  |                           | 12,648,477  |                         |  |   | (9,053,432  | )  |  |   | (20,878,845 | )  |  |   | 377,364     |    |
| Interestincome                                                                                                       |  |                           | 507,131     |                         |  |   | 323,025     |    |  |   | 1,233,925   |    |  |   | 898,864     |    |
|                                                                                                                 |  |                           | 13,155,608  |                         |  |   | (8,730,407  | )  |  |   | (19,644,920 | )  |  |   | 1,276,228   |    |
| Expenses:                                                                                                            |  |
| Clearingfees                                                                                                         |  |                           | 113,766     |                         |  |   | 149,099     |    |  |   | 377,010     |    |  |   | 322,005     |    |
| Otherexpenses                                                                                                        |  |                           | 15,000      |                         |  |   | 15,000      |    |  |   | 45,000      |    |  |   | 45,000      |    |
|                                                                                                                 |  |                           | 128,766     |                         |  |   | 164,099     |    |  |   | 422,010     |    |  |   | 367,005     |    |
| Netincome(loss)                                                                                                      |  |                           | 13,026,842  |                         |  |   | (8,894,506  | )  |  |   | (20,066,930 | )  |  |   | 909,223     |    |
| Additions                                                                                                            |  |                           | 5,082,000   |                         |  |   | 6,425,000   |    |  |   | 42,524,000  |    |  |   | 61,407,545  |    |
| Redemptions                                                                                                          |  |                           | (2,466,578  | )                       |  |   | (3,390,670  | )  |  |   | (8,832,043  | )  |  |   | (11,120,543 | )  |
| Distributionof interest to feederfunds                                                                               |  |                           | (507,131    | )                       |  |   | (323,025    | )  |  |   | (1,233,925  | )  |  |   | (898,864    | )  |
| Netincrease (decrease) in Members'capital                                                                            |  |                           | (15,135,133 | )                       |  |   | (6,183,201  | )  |  |   | 12,391,102  |    |  |   | 50,297,361  |    |
| Members'capital, beginning ofperiod                                                                                  |  |                           | 142,332,586 |                         |  |   | 146,939,977 |    |  |   | 145,076,617 |    |  |   | 90,459,415  |    |
| Members'capital, end ofperiod                                                                                        |  | $                              | 157,467,719 |                         |  | $      | 140,756,776 |    |  | $      | 157,467,719 |    |  | $      | 140,756,776 |    |
| Netasset value per Unit (106,782.8891 and 86,727.6842 Unitsoutstanding at September  30, 2004 and 2003,respectively) |  | $                              | 1,474.65    |                         |  | $      | 1,622.97    |    |  | $      | 1,474.65    |    |  | $      | 1,622.97    |    |
| Netincome (loss) per Unit of MemberInterest                                                                          |  | $                              | 121.55      |                         |  | $      | (102.73     | )  |  | $      | (191.47     | )  |  | $      | 144.20      |    |
|                                                                                                                      |

10

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

JWH Strategic AllocationMaster FundLLCStatements of Cash Flows(Unaudited)

|                                                                                                  |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                             |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| Cashflows from operating activities:                                                             |  |
| Net income(loss)                                                                                 |  | $                              | 13,026,842  |                         |  | $      | (8,894,506  | )  |  | $      | (20,066,930 | )  |  | $      | 909,223     |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |
| Changes inoperating assets and liabilities:                                                      |  |
| (Increase)decrease in net unrealized appreciation/ depreciation on open futurespositions         |  |                           | (26,493,272 | )                       |  |   | (5,252,049  | )  |  |   | (19,747,263 | )  |  |   | 4,844,445   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |                           | (4,457,361  | )                       |  |   | (15,799,168 | )  |  |   | 6,100,010   |    |  |   | (12,122,228 | )  |
| (Increase)decrease in interestreceivable                                                         |  |                           | (37,629     | )                       |  |   | 9,573       |    |  |   | (105,901    | )  |  |   | (1,823      | )  |
|                                                                                             |  |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |                           | (2,441,895  | )                       |  |   | 2,818,420   |    |  |   | 6,082,455   |    |  |   | 10,816,269  |    |
| Accruedexpenses:                                                                                 |  |
| Increase (decrease) in professionalfees                                                          |  |                           | 14,148      |                         |  |   | (11,800     | )  |  |   | 24,148      |    |  |   | 16,800      |    |
| Increase(decrease) in distributionpayable                                                        |  |                           | 37,629      |                         |  |   | (9,573      | )  |  |   | 105,901     |    |  |   | 1,823       |    |
| Netcash provided by (used in) operatingactivities                                                |  |                           | (20,351,538 | )                       |  |   | (27,139,103 | )  |  |   | (27,607,580 | )  |  |   | 4,464,509   |    |
| Cashflows from financing activities:                                                             |  |
| Proceedsfromadditions                                                                            |  |                           | 5,082,000   |                         |  |   | 6,425,000   |    |  |   | 42,524,000  |    |  |   | 61,407,545  |    |
| Paymentsforredemptions                                                                           |  |                           | (2,466,578  | )                       |  |   | (3,390,670  | )  |  |   | (8,832,043  | )  |  |   | (11,120,543 | )  |
| Distributionof interest to feederfunds                                                           |  |                           | (507,131    | )                       |  |   | (323,025    | )  |  |   | (1,233,925  | )  |  |   | (898,864    | )  |
| Netcash provided by (used in) financingactivities                                                |  |                           | 2,108,291   |                         |  |   | 2,711,305   |    |  |   | 32,458,032  |    |  |   | 49,388,138  |    |
| Netchange incash                                                                                 |  |                           | (18,243,247 | )                       |  |   | (24,427,798 | )  |  |   | 4,850,452   |    |  |   | 53,852,647  |    |
| Cash,at beginning ofperiod                                                                       |  |                           | 155,073,201 |                         |  |   | 159,392,728 |    |  |   | 131,979,502 |    |  |   | 81,112,283  |    |
| Cash,at end ofperiod                                                                             |  | $                              | 136,829,954 |                         |  | $      | 134,964,930 |    |  | $      | 136,829,954 |    |  | $      | 134,964,930 |    |
|                                                                                                  |

11

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three and nine months ended September 30,2004 and 2003 were asfollows:

|                                                        |  |                                |          |                              |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------------------------------|----------|------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedSeptember 30, |          | Nine MonthsEndedSeptember30, |
|                                                   |  | 2004                           |          | 2003                         |  | 2004   |          | 2003    |
| Netrealized and unrealized gains(losses)*              |  | $                              | 99.58    |                         |  | $      | (149.14  | )  |  | $      | (292.75  | )  |  | $      | 77.85    |    |
| Interestincome                                         |  |                           | 4.14     |                         |  |   | 3.62     |    |  |   | 10.96    |    |  |   | 12.80    |    |
| Expenses**                                             |  |                           | (11.44   | )                       |  |   | (15.60   | )  |  |   | (40.08   | )  |  |   | (59.90   | )  |
| Increase(decrease) for theperiod                       |  |                           | 92.28    |                         |  |   | (161.12  | )  |  |   | (321.87  | )  |  |   | 30.75    |    |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |                           | 1,431.89 |                         |  |   | 1,985.05 |    |  |   | 1,846.04 |    |  |   | 1,793.18 |    |
| NetAsset Value per Redeemable Unit, end ofperiod       |  | $                              | 1,524.17 |                         |  | $      | 1,823.93 |    |  | $      | 1,524.17 |    |  | $      | 1,823.93 |    |
|                                                        |

|                                             |  |                                |      |                              |  |        |      |          |  |        |       |          |  |        |      |          |  |  |
|---------------------------------------------|--|--------------------------------|------|------------------------------|--|--------|------|----------|--|--------|-------|----------|--|--------|------|----------|--|--|
|                                        |  | ThreeMonths EndedSeptember 30, |      | Nine MonthsEndedSeptember30, |
|                                        |  | 2004                           |      | 2003                         |  | 2004   |      | 2003     |
| Ratioto average net assets: ***             |  |
| Net investmentloss before incentivefees**** |  |                           | (8.4 | )%                      |  |   | (8.8 | )%  |  |   | (8.7  | )%  |  |   | (8.9 | )%  |
| Operatingexpenses                           |  |                           | 9.5  | %                       |  |   | 9.1  | %   |  |   | 9.5   | %   |  |   | 9.5  | %   |
| Incentivefees                               |  |                           | 0.0  | %                       |  |   | 0.0  | %   |  |   | 0.0   | %   |  |   | 0.8  | %   |
| Totalexpenses                               |  |                           | 9.5  | %                       |  |   | 9.1  | %   |  |   | 9.5   | %   |  |   | 10.3 | %   |
| Totalreturn:                                |  |
| Total return before incentivefees           |  |                           | 6.4  | %                       |  |   | (8.1 | )%  |  |   | (17.4 | )%  |  |   | 2.4  | %   |
| Incentivefees                               |  |                           | 0.0  | %                       |  |   | 0.0  | %   |  |   | 0.0   | %   |  |   | (0.7 | )%  |
| Totalreturn after incentivefees             |  |                           | 6.4  | %                       |  |   | (8.1 | )%  |  |   | (17.4 | )%  |  |   | 1.7  | %   |
|                                             |

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

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

|            |                                       |
|------------|---------------------------------------|
| ***   | Annualized (other than incentivefees) |

|            |                                                                  |
|------------|------------------------------------------------------------------|
| ****  | Interest income less totalexpenses (exclusive of incentive fees) |

The above ratiosmay vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average netassets.

12

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 30,2004(Unaudited) (Continued)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three and nine monthsended September 30, 2004 and 2003 were asfollows:

|                                                                        |  |                                |          |                              |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------------------------|--|--------------------------------|----------|------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                                   |  | ThreeMonths EndedSeptember 30, |          | Nine MonthsEndedSeptember30, |
|                                                                   |  | 2004                           |          | 2003                         |  | 2004   |          | 2003    |
| Netrealized and unrealized gains(losses)*                              |  | $                              | 116.92   |                         |  | $      | (106.28  | )  |  | $      | (203.34  | )  |  | $      | 132.48   |    |
| Interestincome                                                         |  |                           | 4.77     |                         |  |   | 3.72     |    |  |   | 12.32    |    |  |   | 12.38    |    |
| Expenses**                                                             |  |                           | (0.14    | )                       |  |   | (0.17    | )  |  |   | (0.45    | )  |  |   | (0.66    | )  |
| Increase(decrease) forperiod                                           |  |                           | 121.55   |                         |  |   | (102.73  | )  |  |   | (191.47  | )  |  |   | 144.20   |    |
| Distributions                                                          |  |                           | (4.77    | )                       |  |   | (3.72    | )  |  |   | (12.32   | )  |  |   | (12.38   | )  |
| NetAsset Value per Unit, beginning ofperiod                            |  |                           | 1,357.87 |                         |  |   | 1,729.42 |    |  |   | 1,678.44 |    |  |   | 1,491.15 |    |
| NetAsset Value per Unit, end ofperiod                                  |  | $                              | 1,474.65 |                         |  | $      | 1,622.97 |    |  | $      | 1,474.65 |    |  | $      | 1,622.97 |    |
| *        Includesclearing fees |  |
| **      Excludesclearingfees             |  |
|                                                                        |

|                                 |  |                                |     |                              |  |        |      |          |  |        |       |          |  |        |     |         |  |  |
|---------------------------------|--|--------------------------------|-----|------------------------------|--|--------|------|----------|--|--------|-------|----------|--|--------|-----|---------|--|--|
|                            |  | ThreeMonths EndedSeptember 30, |     | Nine MonthsEndedSeptember30, |
|                            |  | 2004                           |     | 2003                         |  | 2004   |      | 2003     |
| Ratioto average net assets: *** |  |
| Net investmentincome****        |  |                           | 1.0 | %                       |  |   | 0.4  | %   |  |   | 0.7   | %   |  |   | 0.6 | %  |
| Operatingexpenses               |  |                           | 0.3 | %                       |  |   | 0.5  | %   |  |   | 0.4   | %   |  |   | 0.4 | %  |
| Totalreturn                     |  |                           | 9.0 | %                       |  |   | (5.9 | )%  |  |   | (11.4 | )%  |  |   | 9.7 | %  |
|                                 |

***    Annualized

****   Interest income less total expenses

The above ratios may vary for individual investors based onthe timing of capital transactions during theyear.

13

----

SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsSeptember 30, 2004(Unaudited)(Continued)

3.    Trading Activities:

The Partnership was formed forthe purpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The Partnership invests the majority of its assets througha "master fund/feeder fund" structure. Theresults of the Partnership's investment in the Master are shownin the Statements of Income and Expenses and Members' Capital andare discussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The respectiveCustomer Agreements between the Partnership and CGM and the Master andCGM give the Partnership and the Master, respectively, the legal rightto net unrealized gains and losses on open futures positions.

All of the commodity interests owned by the Master are held fortrading purposes. The average fair values during the nine months endedSeptember 30, 2004 and the year ended December 31, 2003, based on amonthly calculation, were $270,013 and $7,057,885, respectively. Thefair value of these commodity interests, including options thereon, ifapplicable, at September 30, 2004 and December 31, 2003, were$20,738,318 and $13,173,520, respectively. Fair values for exchangetraded commodity futures and options are based on quoted market pricesfor those futures and options. Fair values for all other financialinstruments for which market quotations are not readily available arebased on calculations approved by the General Partner.

4.    Financial Instrument Risks:

In the normal course ofits business, the Partnership, through the Partnership'sinvestment in the Master, is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative 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 Partnership's/Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized asunrealized appreciation in the statements of financial condition andnot represented by the contract or notional amount of the instruments.The Partnership, through its investment in the Master, hasconcentration risk because the sole counterparty or broker with respectto the Master's assets is CGM.

14

----

SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsSeptember 30, 2004(Unaudited)(Continued)

The General Partner monitors and controlsthe Partnership's/Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which thePartnership/Master are subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of September 30,2004. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

15

----

Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its investment in theMaster and cash. The Master does not engage in the sale of goods orservices. Its only assets are its investments in commodity futures andcash. Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership/Master. While substantial lossescould lead to a decrease in liquidity, no such losses occurred in thethird quarter of 2004.

The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby its investment in the Master, expenses, interest income, redemptionsof Redeemable Units and distributions of profits, if any.

Forthe nine months ended September 30, 2004, Partnership capital decreased20.3% from $25,854,335 to $20,597,913. This decrease wasattributable to a net loss from operations of $4,400,847, coupled withthe redemption of 491.1347 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $855,575. Future redemptions canimpact the amount of funds available for investment in the Master insubsequent periods.

The Master's capital consists of thecapital contributions of its members as increased or decreased byrealized and/or unrealized gains or losses on commodity futurestrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

For the nine months endedSeptember 30, 2004 the Master's capital increased 8.5%from $145,076,617 to $157,467,719. This increase was attributable toadditional sales of 25,934.5226 Units resulting in an inflow of$42,524,000 which was partially offset by a net loss from operations of$20,066,930, coupled with redemptions of 5,586.8164 Units totaling$8,832,043 and the distribution of interest totaling $1,233,925 paid tothe feeder funds. Future redemptions can impact the amount of fundsavailable for investments in commodity contract positions in subsequentperiods.

Critical Accounting Policies

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, revenues and expenses, and relateddisclosures of contingent assets and liabilities at the date of thefinancial statements and accompanying notes. Actual results coulddiffer from these estimates.

All commodity interestsof 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 statements 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 General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable. 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 open positions arerecognized in the period in which the contract is closed or the changesoccur and are included in net gains (losses) on trading of commodityinterests.

Foreign currency contracts are those contracts wherethe Master agrees to receive or deliver a fixed quantity of foreigncurrency for an agreed-upon price on an agreed future date. Foreigncurrency contracts are valued daily, and the Master's net equitytherein, representing unrealized gain or loss on the contracts asmeasured by the difference between the forward foreign exchange ratesat the date of entry into the contracts and the forward rates at thereporting dates, is included in the statement of financial condition.Realized gains (losses) and changes in unrealized values on foreigncurrency contracts are recognized in the period in which the contractis closed or the changes occur and are included in the statements ofincome and expenses and partners' capital.

16

----

Results of Operations

During the Partnership's third quarter of 2004, the net assetvalue per Reedeemable unit increased 6.4% from $1,431.89 to$1,524.17 as compared to a decrease of 8.1% in the third quarterof 2003. The Partnership experienced a net trading gain beforebrokerage commissions and related fees in the third quarter of 2004 of$1,654,103. Gains were primarily attributable to the Master'strading of commodity futures in energy, grains, U.S. and non-U.S.interest rates and were partially offset by losses in currencies,metals, indices, livestock and softs. The Partnership experienced a nettrading loss before brokerage commissions and related fees in the thirdquarter of 2003 of $1,669,916. Losses were primarily attributable tothe Master's trading of commodity futures in currencies, energy,U.S. and non-U.S. interest rates and softs and were partially offset bygains in grains, livestock, metals and indices.

During thePartnership's nine months ended September 30, 2004 the net assetvalue per Redeemable unit decreased 17.4% from $1,846.04 to$1,524.17 as compared to an increase of 1.7% for the nine monthsended September 30, 2003. The Partnership experienced a net tradingloss before brokerage commissions and related fees during the ninemonths ended September 30, 2004 of $2,903,947. Losses were primarilyattributable to the trading of commodity futures in softs, livestock,currencies non-U.S. interest rates, metals and indices and werepartially offset by gains energy, grains and U.S. interest rates. ThePartnership experienced a net trading gain before brokerage commissionsand related fees for the nine months ended September 30, 2003 of$2,994,738. Gains were primarily attributable to the trading ofcommodity futures in currencies, energy, grains, livestock, U.S. andnon-U.S. interest rates, and indices, and were partially offset bylosses in metals and softs.

The third quarter of 2004 wascharacterized by difficult trading conditions for thePartnership's trend-following Advisor for the early part of thequarter and the resurgence of trends across several markets inSeptember. The most significant market for the Partnership'sAdvisor during the quarter was energy. Trading in crude oil, naturalgas and gas oil contributed profits notably in September to bring thePartnership to a profit for the quarter but still down year to date.Energy positions were profitable for all three months as crude oil hitsuccessive highs each month ending September at over $50 perbarrel.

The currency sector produced losses as the European andAsian currencies were unable to sustain any solid direction versus aweak U.S. dollar. These choppy market conditions carried over to theU.S. and non-U.S. interest rate markets. Trading nonetheless wasprofitable in both markets for the quarter. Trading in global stockmarket indices was unprofitable for the Partnership's Advisor asthe lack of direction caused trends to be initiated and only to bereversed a short time later. Trading in grains was profitable for theperiod while trading in metals and softs was negative for theperiod.

Overall, after a difficult second quarter and beginningof the third quarter, market trends emerged late in the quarter in bothcommodity and financial markets that were conducive to theAdvisor's trend-following approaches. While a decline in theprice of energy is possible in the fourth quarter that might lead to agive-back in open profits over the short term, the overall expectationis for continued directionless financial markets and potentiallyvolatile commodity markets until political, financial and economictrends become more evident.

Commodity futures markets are highlyvolatile. The potential for broad and rapid price fluctuationsincreases the risks involved in commodity trading, but also increasesthe possibility of profit. The profitability of the Partnership (andMaster) depends on the existence of major price trends and the abilityof the Advisor to correctly identify those price trends. Price trendsare influenced by, among other things, changing supply and demandrelationships, weather, governmental, agricultural, commercial andtrade programs and policies, national and international political andeconomic events and changes in interest rates. To the extent thatmarket trends exist and the Advisor is able to identify them, thePartnership (and Master) expect to increase capital throughoperations.

Interest income on 80% of thePartnership's average daily equity, allocated to it by theMaster, was earned at the monthly average 30 day U.S. Treasury billrate. CGM may continue to maintain the Master's assets in cashand/or place all of the Master's assets in 90-day Treasury billsand pay the Partnership its allocated share of 80% of theinterest earned on the Treasury bills purchased. CGM will retain20% of any interest earned on Treasury bills. Interest incomefor the three months ended September 30, 2004 

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increased by $4,327, as compared to thecorresponding period in 2003. The increase in interest income isprimarily due to an increase in interest rates during the three monthsended September 30, 2004 as compared to the corresponding period in2003. Interest income for the nine months ended September  30,2004 decreased by $39,647 as compared to the corresponding period in2003. The decrease in interest income is primarily due to lower netassets during the nine months ended September  30, 2004 ascompared to the corresponding period in 2003.

Brokeragecommissions are calculated on the Partnership's adjusted netasset value on the last day of each month and are affected by tradingperformance and redemptions. Accordingly, they must be analyzed inrelation to the fluctuations in the monthly net asset values.Commissions and fees for the three and nine months ended September 30,2004 decreased by $125,570 and $369,067, respectively, as compared tothe corresponding periods in 2003. The decrease in brokeragecommissions is due to lower net assets during the three and nine monthsended September 30, 2004 as compared to the corresponding periods in2003.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Management fees forthe three and nine months ended September 30, 2004 decreased by $41,676and $114,794, respectively, as compared to the corresponding periods in2003. The decrease in management fees is due to lower net assets duringthe three and nine months ended September 30, 2004 as compared to thecorresponding periods in 2003.

Administrative fees are paid tothe General Partner for administering the business and affairs of thePartnership. These fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Administrative feesfor the three and nine months ended September 30, 2004 decreased by$20,838 and $57,398, respectively, as compared to the correspondingperiods in 2003. The decrease in administrative fees is due to lowernet assets during the three and nine months ended September 30, 2004 ascompared to the corresponding periods in 2003.

Incentive feesare based on the new trading profits generated by the Advisor asdefined in the advisory agreement between the Partnership, the GeneralPartner and the Advisor. Trading performance for the three and ninemonths ended September 30, 2003 resulted in incentive fees of $0 and$178,139, respectively. There were no incentive fees earned for thethree and nine months ended September 30, 2004.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

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

The risk to thelimited partners that have purchased interests in the Partnership islimited to the amount of their capital contributions to the Partnershipand their share of the Partnership's assets and undistributedprofits. This limited liability is a consequence of the organization ofthe Partnership as a limited partnership under applicable law.

Market movements result in frequent changes in the fair value of theMaster's open positions and, consequently, in its earnings andcash flow. The Master's market risk is influenced by a widevariety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the value of financialinstruments and contracts, the diversification effects of theMaster's open positions and the liquidity of the markets in whichit trades.

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

Value at Risk is ameasure of the maximum amount which the Master could reasonably beexpected to lose in a given market sector. However, the inherentuncertainty of the Master's speculative trading and therecurrence in the markets traded by the Master of market movements farexceeding expectations could result in actual trading or non-tradinglosses far beyond the indicated Value at Risk or the Master'sexperience to date (i.e., "risk of ruin"). Inlight of the foregoing as well as the risks and uncertainties intrinsicto all future projections, the inclusion of the quantification in thissection should not be considered to constitute any assurance orrepresentation that the Master's losses in any market sector willbe limited to Value at Risk or by the Master's attempts to manageits market risk.

Exchange maintenance margin requirements havebeen used by the Master as the measure of its Value at Risk.Maintenance margin requirements are set by exchanges to equal or exceedthe maximum losses reasonably expected to be incurred in the fair valueof any given contract in 95%-99% of any one-day interval.Maintenance margin has been used rather than the more generallyavailable initial margin, because initial margin includes a credit riskcomponent, which is not relevant to Value at Risk.

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The following table indicates the tradingValue at Risk associated with the Master's open positions bymarket category as of September 30, 2004 and the highest, lowest andaverage values during the three months ended September 30, 2004. Allopen position trading risk exposures of the Master have been includedin calculating the figures set forth below. As of September 30, 2004,the Master's total capitalization was $157,467,719. There havebeen no material changes in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2003.

September 30,2004(Unaudited)

|                                 |  |              |            |                           |  |                                      |        |                  |  |          |            |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------|--|--------------|------------|---------------------------|--|--------------------------------------|--------|------------------|--|----------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                            |  |         |            |                      |  | ThreeMonths Ended September 30, 2004 |
| Market Sector                   |  | Value atRisk |            | % of Total Capitalization |  | HighValue at Risk                    |        | Low Value atRisk |  | Average* |
| Currencies:                     |  |
| – OTC                     |  | $            | 10,817,840 |                      |  |                                 | 6.87   | %           |  | $        | 12,721,847 |   |  | $      | 6,316,286 |   |  | $      | 9,008,705 |   |
| Energy                          |  |         | 7,910,835  |                      |  |                                 | 5.02   | %           |  |     | 7,910,835  |   |  |   | 4,509,445 |   |  |   | 5,895,006 |   |
| Grains                          |  |         | 708,200    |                      |  |                                 | 0.45   | %           |  |     | 1,044,250  |   |  |   | 427,438   |   |  |   | 809,000   |   |
| InterestRates U.S.              |  |         | 2,347,000  |                      |  |                                 | 1.49   | %           |  |     | 2,351,750  |   |  |   | 1,195,245 |   |  |   | 2,061,850 |   |
| InterestRates Non-U.S.          |  |         | 9,284,320  |                      |  |                                 | 5.90   | %           |  |     | 9,284,320  |   |  |   | 3,991,572 |   |  |   | 7,227,717 |   |
| Livestock                       |  |         | 140,670    |                      |  |                                 | 0.09   | %           |  |     | 193,200    |   |  |   | 23,100    |   |  |   | 161,690   |   |
| Metals                          |  |         |       |                      |  |                                 |   |             |  |     |       |   |  |   |      |   |  |   |      |   |
| –Exchange TradedContracts |  |         | 1,498,000  |                      |  |                                 | 0.95   | %           |  |     | 1,697,000  |   |  |   | 144,500   |   |  |   | 1,509,000 |   |
| –OTC                      |  |         | 1,434,675  |                      |  |                                 | 0.91   | %           |  |     | 1,879,835  |   |  |   | 939,150   |   |  |   | 1,454,897 |   |
| Softs                           |  |         | 1,112,717  |                      |  |                                 | 0.71   | %           |  |     | 1,172,315  |   |  |   | 687,381   |   |  |   | 935,858   |   |
| Indices                         |  |         | 3,351,639  |                      |  |                                 | 2.13   | %           |  |     | 4,858,730  |   |  |   | 1,829,401 |   |  |   | 3,825,630 |   |
| Total                           |  | $            | 38,605,896 |                      |  |                                 | 24.52  | %           |  |     |       |   |  |   |      |   |  |   |      |   |
|                                 |

*   Averageof the month-end Values at Risk

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Item 4.    Controls and Procedures

Based on their evaluation of the Partnership's disclosurecontrols and procedures as of September 30, 2004, the President andChief Financial Officer of the General Partner have concluded that suchcontrols and procedures are effective.

During thePartnership's last fiscal quarter, no changes occurred in thePartnership's internal control over financial reporting that havematerially affected, or are reasonably likely to materially affect, thePartnership's internal control over financialreporting.

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PART II. OTHER INFORMATION

Item1.    Legal Proceedings

The following information supplementsand amends our discussion set forth under Part I, Item 3"Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the fiscal yearended December 31, 2003 and under Part II, Item 1 "LegalProceedings" in the Partnership's Quarterly Reporton Form 10-Q for the quarters ended March 31, 2004 and June 30,2004.

Enron Corp.

 A Citigroup affiliate, alongwith other defendants, 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. OnSeptember  13, 2004, the United States District Court for theSouthern District of New York preliminarily approved thesettlement.

Dynegy  Inc.

 On October7, 2004, the United States District Court for the Southern District ofTexas granted the motion to dismiss all claims against the Citigroupdefendants in IN RE DYNEGY  INC. SECURITIES LITIGATION. TheDistrict Court also denied lead plaintiff's request for leave toreplead. The case was a putative class action brought on behalf ofpurchasers of publicly traded Dynegy debt and equity securities.

WorldCom,  Inc.

 The United States Court ofAppeals for the Second Circuit has affirmed the orders of the UnitedStates District Court for the Southern District of New York denyingplaintiffs' motions to remand to state court a large group ofWorldCom-related actions. On September  13, 2004, plaintiffsfiled a petition for a writ of certiorari to the United States SupremeCourt seeking review of the Second Circuit's ruling.

 On September  17, 2004, WEINSTEIN, ET AL. V. EBBERS, ETAL., a putative class action against CGM and others brought on behalfof holders of WorldCom securities asserting claims based on, amongother things, CGM's research reports concerning WorldCom, wasdismissed with prejudice in its entirety by the United States DistrictCourt for the Southern District of New York. Plaintiffs have noticed anappeal of the dismissal to the United States Court of Appeals for theSecond Circuit.

 Citigroup and CGM, along with a number ofother defendants, have settled RETIREMENT SYSTEMS OF ALABAMA, ET AL. V.J.P. MORGAN CHASE  & CO., ET AL., a WorldCom individualaction that had been remanded to the Circuit Court of MontgomeryCounty, Alabama. The settlement became final on September  30,2004.

 On June  28, 2004, the United States DistrictCourt for the Southern District of New York dismissed all claims underthe Securities Act of 1933 and certain claims under the SecuritiesExchange Act of 1934 in IN RE TARGETS SECURITIES LITIGATION, a putativeclass action against Citigroup and CGM and certain former employees,leaving only claims under the 1934 Act for purchases of Targeted GrowthEnhanced Terms Securities With Respect to the Common Stock of MCIWorldCom,  Inc. ("TARGETS") afterJuly  30, 1999. On October  20, 2004, the parties signed aMemorandum of Understanding setting forth the terms of a settlement ofall remaining claims in this action. The settlement must be approved bythe Court.

On November 5, 2004, the United States District Courtfor the Southern District of New York approved the class settlementbetween plaintiffs and the Citigroup-related defendants in IN REWORLDCOM,  INC. SECURITIES LITIGATION. The Court's approvalis subject to possible appeal by plaintiffs.

Research

 Several individual actions have been filed against Citigroupand CGM relating to, among other things, research on QwestCommunications International,  Inc. alleging violations of stateand federal securities laws.

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Other

 On October13, 2004, the United States District Court for the Southern District ofNew York certified a class in various representative cases with respectto the allocation of shares for certain initial public offerings andrelated aftermarket transactions.

 An appeal of thedismissal granted to CGM in November  2003 with respect to theantitrust case relating to the allocation of shares for certain initialpublic offerings is scheduled to be argued in December2004.

Item 2.    Unregistered Sales of Equity Securities andUse of Proceeds

The following chart sets forth the purchases ofRedeemable Units by the Partnership.

|                                           |  |                                               |         |                                           |  |                                                                                           |          |                                                                                                                    |  |        |     |        |  |        |     |        |  |  |
|-------------------------------------------|--|-----------------------------------------------|---------|-------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|--------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                                    |  | (a)Total Numberof Shares(or Units) Purchased* |         | (b)AveragePrice Paid perShare (or Unit)** |  | (c) TotalNumberof Shares (or Units)Purchased as Partof PubliclyAnnouncedPlans or Programs |          | (d) Maximum Number(orApproximateDollar Value) of Shares(or Units) thatMay YetBePurchased Under thePlans orPrograms |
| July 1, 2004–July 31,2004           |  |                                          | 16.2556 |                                      |  | $                                                                                         | 1,391.25 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| August1, 2004 –August 31,2004       |  |                                          | 4.0000  |                                      |  | $                                                                                         | 1,391.41 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| September1, 2004 –September 30,2004 |  |                                          | 2.0000  |                                      |  | $                                                                                         | 1,524.17 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| Total                                     |  |                                          | 22.2556 |                                      |  | $                                                                                         | 1,435.61 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
|                                           |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item4.    Submission of Matters to a Vote of Security Holders –None

Item 5.    Other Information

In thePartnership's Annual Report on Form 10-K for the fiscal yearended December 31, 2003 and Quarterly Reports on Form 10-Q for thequarters ended March 31, 2004 and June 30, 2004, the Partnershipinadvertently placed, on each of the cover pages to such filings, acheck mark next to "Yes" under the statement,"Indicate by check mark whether the Registrant is anaccelerated filer (as defined in Rule 12b-2 of the ExchangeAct)." The Partnership is not, and has never been, an"accelerated filer" (as defined in Rule 12b-2of the Exchange Act).

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Item 6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December 31, 2003. |

Exhibit – 31.1– Rule 13a-14(a)/15d-14(a) Certifications (Certifications ofPresident and Director)

Exhibit – 31.2 –Rule 13a-14(a)/15d-14(a) Certifications (Certifications of ChiefFinancial Officer and Director)

Exhibit – 32.1– Section 1350 Certifications(Certification of President andDirector).

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

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned thereunto duly authorized.

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

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged FuturesLLC                                  |
|   |  | (GeneralPartner)                                             |
| By:    |  | /s/David J. Vogel                                            |
|   |  | David J. Vogel Presidentand Director                         |
| Date:  |  | 11/12/04                                                     |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  | 11/12/04                                                     |
|        |

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