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 endedMarch 31, 2005

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 March 31, 2005 and December 31, 2004(unaudited)                                    |  | 3             |
|                                 |  |   |  | Statements of Income and Expenses andPartners' Capital for the three months ended March 31, 2005 and2004 (unaudited)   |  | 4             |
|                                 |  |   |  | Statements of Cash Flows for the threemonths ended March 31, 2005 and 2004 (unaudited)                                 |  | 5             |
|                                 |  |   |  | Notes to Financial Statements including theFinancial Statements of JWH Strategic Allocation 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)

|                                                                                                                                        |  |              |            |                  |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------------|------------|------------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | March31,2005 |            | December 31,2004 |
| **Assets:**                                                                                                                            |  |         |       |             |  |
| Investmentin Master, at fairvalue                                                                                                      |  | $            | 20,494,484 |             |  | $      | 26,911,329 |   |
| Cash                                                                                                                                   |  |         | 50,777     |             |  |   | 17,049     |   |
|                                                                                                                                   |  | $            | 20,545,261 |             |  | $      | 26,928,378 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |
| Liabilities:                                                                                                                           |  |         |       |             |  |
| Accruedexpenses:                                                                                                                       |  |         |       |             |  |
| Commissions                                                                                                                            |  | $            | 102,726    |             |  | $      | 134,642    |   |
| Managementfees                                                                                                                         |  |         | 33,977     |             |  |   | 44,590     |   |
| Administrativefees                                                                                                                     |  |         | 16,988     |             |  |   | 22,295     |   |
| Other                                                                                                                                  |  |         | 56,570     |             |  |   | 39,860     |   |
| Redemptionspayable                                                                                                                     |  |         | 139,488    |             |  |   | 306,107    |   |
|                                                                                                                                   |  |         | 349,749    |             |  |   | 547,494    |   |
| Partners'capital:                                                                                                                      |  |         |       |             |  |
| General Partner, 301.3070 Unitequivalents outstanding in 2005 and2004                                                                  |  |         | 487,843    |             |  |   | 618,210    |   |
| LimitedPartners, 12,172.0963 and 12,556.3557 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |         | 19,707,669 |             |  |   | 25,762,674 |   |
|                                                                                                                                   |  |         | 20,195,512 |             |  |   | 26,380,884 |   |
|                                                                                                                                   |  | $            | 20,545,261 |             |  | $      | 26,928,378 |   |
|                                                                                                                                        |

SeeAccompanying Notes to 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 EndedMarch31, |
|                                                                                                                                 |  | 2005                      |            | 2004    |
| Income:                                                                                                                              |  |
| Realizedgains (losses) on closed positions and foreign currencies fromMaster                                                         |  | $                         | (2,799,295 | )  |  | $      | 3,692,789  |    |
| Change in unrealized gains (losses) on openpositions fromMaster                                                                      |  |                      | (2,330,912 | )  |  |   | (1,688,137 | )  |
| Expenses allocated fromMaster                                                                                                        |  |                      | (16,123    | )  |  |   | (21,785    | )  |
|                                                                                                                                 |  |                      | (5,146,330 | )  |  |   | 1,982,867  |    |
| Interest income received fromMaster                                                                                                  |  |                      | 100,853    |    |  |   | 46,278     |    |
|                                                                                                                                 |  |                      | (5,045,477 | )  |  |   | 2,029,145  |    |
| Expenses:                                                                                                                            |  |
| Brokeragecommissions                                                                                                                 |  |                      | 320,031    |    |  |   | 414,424    |    |
| Managementfees                                                                                                                       |  |                      | 105,890    |    |  |   | 137,304    |    |
| Administrativefees                                                                                                                   |  |                      | 52,944     |    |  |   | 68,652     |    |
| Otherexpenses                                                                                                                        |  |                      | 16,710     |    |  |   | 11,198     |    |
|                                                                                                                                 |  |                      | 495,575    |    |  |   | 631,578    |    |
| Netincome (loss)                                                                                                                     |  |                      | (5,541,052 | )  |  |   | 1,397,567  |    |
| Redemptions – LimitedPartners                                                                                                  |  |                      | (644,320   | )  |  |   | (391,829   | )  |
| Net increase (decrease) in Partners'capital                                                                                          |  |                      | (6,185,372 | )  |  |   | 1,005,738  |    |
| Partners' capital, beginning ofperiod                                                                                                |  |                      | 26,380,884 |    |  |   | 25,854,335 |    |
| Partners' capital, end ofperiod                                                                                                      |  | $                         | 20,195,512 |    |  | $      | 26,860,073 |    |
| Net asset value per Redeemable Unit(12,473.4033 and13,803.1288 Redeemable Units outstanding at March 31, 2005 and 2004,respectively) |  | $                         | 1,619.09   |    |  | $      | 1,945.94   |    |
| Net income (loss) per Redeemable Unit of Limited PartnershipInterest and General Partner Unitequivalent                              |  | $                         | (432.67    | )  |  | $      | 99.90      |    |
|                                                                                                                                      |

SeeAccompanying Notes to Financial Statements.

4

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

|                                                                                                  |  |                           |            |         |  |        |           |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|-----------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  | 2005                      |            | 2004    |
| Cashflows from operating activities:                                                             |  |
| Net income(loss)                                                                                 |  | $                         | (5,541,052 | )  |  | $      | 1,397,567 |    |
| Adjustments to reconcile net income (loss) to net cashprovided by (used in) operatingactivities: |  |
| (Increase) decrease in investmentin Master at fair value                                         |  |                      | 6,416,845  |    |  |   | (926,206  | )  |
| Accrued expenses:                                                                                |  |
| Increase(decrease) in commissions                                                                |  |                      | (31,916    | )  |  |   | 4,685     |    |
| Increase (decrease) in managementfees                                                            |  |                      | (10,613    | )  |  |   | 1,538     |    |
| Increase(decrease) in administrative fees                                                        |  |                      | (5,307     | )  |  |   | 769       |    |
| Increase (decrease) inother                                                                      |  |                      | 16,710     |    |  |   | 9,798     |    |
| Increase(decrease) in redemptionspayable                                                         |  |                      | (166,619   | )  |  |   | (85,504   | )  |
| Net cash provided by (usedin) operating activities                                               |  |                      | 678,048    |    |  |   | 402,647   |    |
| Cash flows fromfinancing activities:                                                             |  |
| Payments for redemptions– LimitedPartners                                                  |  |                      | (644,320   | )  |  |   | (391,829  | )  |
| Netchange in cash                                                                                |  |                      | 33,728     |    |  |   | 10,818    |    |
| Cash, at beginning ofperiod                                                                      |  |                      | 17,049     |    |  |   | 18,291    |    |
| Cash, at end ofperiod                                                                            |  | $                         | 50,777     |    |  | $      | 29,109    |    |
|                                                                                                  |

See Accompanying Notes toFinancial Statements

5

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(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 March 31, 2005, the Partnership owned11.2% 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 March 31, 2005,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 March 31, 2005 andDecember 31, 2004 and the results of its operations and cash flows forthe three months ended March 31, 2005 and 2004. These financialstatements present the results of interim periods and do not includeall disclosures normally provided in annual financial statements. Youshould read these financial statements together with the financialstatements and notes included in the Partnership's annual reporton Form 10-K filed with the Securities and Exchange Commission for theyear ended December 31, 2004.

Due to the nature of commoditytrading, the results of operations for the interim periods presentedshould not be considered indicative of the results that may be expectedfor the entire year.

6

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments at March  31,2005 and December 31, 2004 and its Statements of Income and Expensesand Members' Capital and Statements of Cash Flows for the threemonths ended March 31, 2005 and 2004 were:

JWH StrategicAllocation Master Fund LLC Statements of Financial Condition(Unaudited)

|                                                                                               |  |               |             |                  |  |        |             |        |  |  |
|-----------------------------------------------------------------------------------------------|--|---------------|-------------|------------------|--|--------|-------------|--------|--|--|
|                                                                                          |  | March31, 2005 |             | December 31,2004 |
| **Assets:**                                                                                   |  |          |        |             |  |   |        |   |
| Equity incommodity futures trading account:                                                   |  |
| Cash(restricted $44,244,258 and $52,152,846 in 2005 and 2004,respectively)                    |  | $             | 175,842,481 |             |  | $      | 200,509,589 |   |
| Netunrealized appreciation on open futurespositions                                           |  |          | 12,162,844  |             |  |   | 2,816,587   |   |
| Unrealizedappreciation on open forwardcontracts                                               |  |          | 11,546,634  |             |  |   | 29,891,977  |   |
|                                                                                          |  |          | 199,551,959 |             |  |   | 233,218,153 |   |
| Interestreceivable                                                                            |  |          | 416,775     |             |  |   | 311,148     |   |
|                                                                                          |  | $             | 199,968,734 |             |  | $      | 233,529,301 |   |
| **Liabilitiesand Members'Capital:**                                                           |  |
| Liabilities:                                                                                  |  |          |        |             |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts                                               |  | $             | 16,360,006  |             |  | $      | 5,772,552   |   |
| Accruedexpenses:                                                                              |  |          |        |             |  |   |        |   |
| Professionalfees                                                                              |  |          | 125,552     |             |  |   | 115,552     |   |
| Distributionpayable                                                                           |  |          | 416,775     |             |  |   | 311,148     |   |
|                                                                                          |  |          | 16,902,333  |             |  |   | 6,199,252   |   |
| Members'Capital:                                                                              |  |          |        |             |  |   |        |   |
| Members'capital, 112,319.4953 and 112,131.2876 Units outstanding in 2005 and2004,respectively |  |          | 183,066,401 |             |  |   | 227,330,049 |   |
|                                                                                          |  | $             | 199,968,734 |             |  | $      | 233,529,301 |   |
|                                                                                               |

7

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsMarch 31,2005(Unaudited)

|                                     |  |                                                    |            |           |             |         |  |  |  |  |
|-------------------------------------|--|----------------------------------------------------|------------|-----------|-------------|---------|--|--|--|--|
| Sector                              |  | Contract                                           |            | FairValue |
| Currencies                          |  |
|                                |  | Unrealizeddepreciation on forward contracts(8.24)% |            | $         | (15,089,531 | )  |
|                                |  | Unrealizedappreciation on forward contracts4.42%   |            |      | 8,098,743   |    |
| TotalCurrencies(3.82)%              |  |                                               |            |      | (6,990,788  | )  |
|                                |  |                                               |            |      |        |    |
| Energy5.82%                         |  | Futures contracts purchased5.82%                   |            |      | 10,648,917  |    |
|                                |  |                                               |            |      |        |    |
| Grains0.14%                         |  | Futures contracts sold0.14%                        |            |      | 264,643     |    |
|                                |  |                                               |            |      |        |    |
| InterestRates Non-U.S. 0.72%        |  | Futures contracts purchased0.72%                   |            |      | 1,311,760   |    |
| InterestRates Non-U.S.              |  | Futures contracts purchased0.07%                   |            |      | 127,612     |    |
|                                |  | Futurescontracts sold(0.80)%                       |            |      | (1,458,873  | )  |
| TotalInterest Rates Non-U.S.(0.73)% |  |                                               | (1,331,261 | )    |
| TotalLivestock 0.04%                |  | Futures contracts purchased0.04%                   |            |      | 69,300      |    |
| Metals                              |  |
|                                |  | Futurescontracts purchased0.03%                    |            |      | 53,150      |    |
|                                |  |                                               |            |
|                                |  | Unrealizeddepreciation on forward contracts(0.69)% |            |      | (1,270,475  | )  |
|                                |  | Unrealizedappreciation on forward contracts1.88%   |            |      | 3,447,891   |    |
|                                |  | Totalforward contracts1.19%                        |            |      | 2,177,416   |    |
| TotalMetals1.22%                    |  |                                               |            |      | 2,230,566   |    |
| Softs                               |  |
|                                |  | Futurescontracts sold(0.02)%                       |            |      | 34,626      |    |
|                                |  | Futurescontracts purchased0.89%                    |            |      | 1,622,335   |    |
| TotalSofts0.91%                     |  |                                               |            |      | 1,656,961   |    |
| Indices                             |  |
|                                |  | Futurescontracts sold0.13%                         |            |      | 242,876     |    |
|                                |  | Futurescontracts purchased(0.41)%                  |            |      | (753,502    | )  |
| TotalIndices(0.28)%                 |  |                                               |            |      | (510,626    | )  |
| TotalFair Value4.02%                |  |                                               |            | $         | 7,349,472   |    |
|                                     |

|                    |  |                           |            |                               |  |        |        |         |  |  |
|--------------------|--|---------------------------|------------|-------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at Fair Value |
| Australia          |  | $                         | 57,871     |                          |  |   | 0.79   | %  |
| Canada             |  |                      | (64,188    | )                        |  |   | (0.87  | )  |
| Germany            |  |                      | (1,398,741 | )                        |  |   | (19.03 | )  |
| Japan              |  |                      | (414,805   | )                        |  |   | (5.64  | )  |
| UnitedKingdom      |  |                      | 5,226,648  |                          |  |   | 71.11  |    |
| UnitedStates       |  |                      | 3,942,687  |                          |  |   | 53.64  |    |
|               |  | $                         | 7,349,472  |                          |  |   | 100.00 | %  |
|                    |

Percentagesare based on Master's capital unless otherwise indicated.

8

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsDecember 31,2004(Unaudited)

|                                 |  |                                                    |  |           |                                                                                                                          |         |  |  |  |  |
|---------------------------------|--|----------------------------------------------------|--|-----------|--------------------------------------------------------------------------------------------------------------------------|---------|--|--|--|--|
| Sector                          |  | Contract                                           |  | FairValue |
| Currencies                      |  |                                               |  |      |                      |    |
|                            |  | Unrealizeddepreciation on forward contracts(1.41)% |  | $         | (3,208,972                                                                                                               | )  |
|                            |  | Unrealizedappreciation on forward contracts11.62%  |  |      | 26,407,028                                                                                                               |    |
| TotalCurrencies10.21%           |  |                                               |  |      | 23,198,056                                                                                                               |    |
| Energy1.23%                     |  | Futures contracts sold1.23%                        |  |      | 2,791,481                                                                                                                |    |
| Grains                          |  | Futurescontracts sold0.43%                         |  |      | 970,394                                                                                                                  |    |
|                            |  | Futurescontracts purchased0.00%*                   |  |      | 900                                                                                                                      |    |
| TotalGrains0.43%                |  |                                               |  |      | 971,294                                                                                                                  |    |
| InterestRates Non-U.S. (0.03)%  |  | Futures contracts purchased(0.03)%                 |  |      | (59,280                                                                                                                  | )  |
| InterestRates U.S.              |  | Futures contracts purchased(0.33)%                 |  |      | (757,875                                                                                                                 | )  |
|                            |  | Futurescontracts sold(0.10)%                       |  |      | (234,931                                                                                                                 | )  |
| TotalInterest Rates U.S.(0.43)% |  |                                               |  |      | (992,806                                                                                                                 | )  |
| Livestock0.02%                  |  | Futures contracts sold0.02%                        |  |      | 53,450                                                                                                                   |    |
| Metals                          |  |
|                            |  | Futurescontracts sold0.03%                         |  |      | 71,100                                                                                                                   |    |
|                            |  | Futurescontracts purchased(0.36)%                  |  |      | (825,978                                                                                                                 | )  |
|                            |  | Totalfutures contracts(0.33)%                      |  |      | (754,878                                                                                                                 | )  |
|                            |  | Unrealizeddepreciation on forward contracts(1.13)% |  |      | (2,563,580                                                                                                               | )  |
|                            |  | Unrealizedappreciation on forward contracts1.53%   |  |      | 3,484,949                                                                                                                |    |
|                            |  | Totalforward contracts0.40%                        |  |      | 921,369                                                                                                                  |    |
| TotalMetals0.07%                |  |                                               |  |      | 166,491                                                                                                                  |    |
| Softs                           |  |
|                            |  | Futurescontracts sold(0.24)%                       |  |      | (546,260                                                                                                                 | )  |
|                            |  | Futurescontracts purchased0.63%                    |  |      | 1,435,024                                                                                                                |    |
| TotalSofts0.39%                 |  |                                               |  |      | 888,764                                                                                                                  |    |
| Indices                         |  |
|                            |  | Futurescontracts sold(0.39)%                       |  |      | (876,403                                                                                                                 | )  |
|                            |  | Futurescontracts purchased0.35%                    |  |      | 794,965                                                                                                                  |    |
| TotalIndices(0.04)%             |  |                                               |  |      | (81,438                                                                                                                  | )  |
| TotalFair Value11.85%           |  |                                               |  | $         | 26,936,012                                                                                                               |    |
|                                 |

|                    |  |                           |            |                             |  |        |        |          |  |  |
|--------------------|--|---------------------------|------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestmentsat FairValue |
| Australia          |  | $                         | (919,196   | )                      |  |   | (3.41  | )%  |
| Canada             |  |                      | 20,533     |                        |  |   | 0.07   |     |
| Germany            |  |                      | 1,049,284  |                        |  |   | 3.90   |     |
| Japan              |  |                      | (740,310   | )                      |  |   | (2.75  | )   |
| UnitedKingdom      |  |                      | 787,111    |                        |  |   | 2.92   |     |
| UnitedStates       |  |                      | 26,738,590 |                        |  |   | 99.27  |     |
|               |  | $                         | 26,936,012 |                        |  |   | 100.00 | %   |
|                    |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Masters' capital unless otherwiseindicated. |

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

See accompanying notes tofinancial statements.

9

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

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

|                                                                                                                  |  |                           |             |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                                             |  |
|                                                                                                             |  | 2005                      |             | 2004    |
| Income:                                                                                                          |  |                      |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                              |  |                      |        |    |  |   |        |    |
| Realized gains(losses) on closed positions and foreign currencies                                                |  | $                         | (24,398,686 | )  |  | $      | 22,880,670  |    |
| Change inunrealized gains (losses) on openpositions                                                              |  |                      | (19,586,540 | )  |  |   | (11,409,691 | )  |
| Interestincome                                                                                                   |  |                      | 1,084,432   |    |  |   | 317,375     |    |
|                                                                                                             |  |                      | (42,900,794 | )  |  |   | 11,788,354  |    |
| Expenses:                                                                                                        |  |                      |        |    |  |   |        |    |
| Clearingfees                                                                                                     |  |                      | 131,106     |    |  |   | 116,700     |    |
| Otherexpenses                                                                                                    |  |                      | 10,000      |    |  |   | 15,000      |    |
|                                                                                                             |  |                      | 141,106     |    |  |   | 131,700     |    |
| Netincome(loss)                                                                                                  |  |                      | (43,041,900 | )  |  |   | 11,656,654  |    |
| Additions                                                                                                        |  |                      | 15,835,292  |    |  |   | 16,896,500  |    |
| Redemptions                                                                                                      |  |                      | (15,972,608 | )  |  |   | (3,490,953  | )  |
| Distributionof interest to feederfunds                                                                           |  |                      | (1,084,432  | )  |  |   | (317,375    | )  |
| Netincrease (decrease) in Members'capital                                                                        |  |                      | (44,263,648 | )  |  |   | 24,744,826  |    |
| Members'capital, beginning ofperiod                                                                              |  |                      | 227,330,049 |    |  |   | 145,076,617 |    |
| Members'capital, end ofperiod                                                                                    |  | $                         | 183,066,401 |    |  | $      | 169,821,443 |    |
| Netasset value per Unit (112,319.4953 and 93,962.1391 Unitsoutstanding at March  31, 2005 and 2004,respectively) |  | $                         | 1,629.87    |    |  | $      | 1,807.34    |    |
| Netincome (loss) per Unit of MemberInterest                                                                      |  | $                         | (387.77     | )  |  | $      | 132.36      |    |
|                                                                                                                  |

10

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

JWH Strategic AllocationMaster FundLLCStatements of Cash FlowsMarch 31, 2005(Unaudited)

|                                                                                                  |  |                           |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  |
|                                                                                             |  | 2005                      |             | 2004    |
| Cashflows from operatingactivities:                                                              |  |                      |        |    |  |   |        |    |
| Net income(loss)                                                                                 |  | $                         | (43,041,900 | )  |  | $      | 11,656,654  |    |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                      |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                       |  |                      |        |    |  |   |        |    |
| (Increase)decrease in restrictedcash                                                             |  |                      | 7,908,588   |    |  |   | (5,307,778  | )  |
| (Increase) decrease in net unrealized appreciation onopen futures positions                      |  |                      | (9,346,257  | )  |  |   | (12,827,472 | )  |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |                      | 18,345,343  |    |  |   | 3,262,600   |    |
| (Increase) decrease in interestreceivable                                                        |  |                      | (105,627    | )  |  |   | (42,672     | )  |
| Increase (decrease) in unrealized depreciation on openforward contracts                          |  |                      | 10,587,454  |    |  |   | 20,974,563  |    |
| Accruedexpenses:                                                                                 |  |                      |        |    |  |   |        |    |
| Increase(decrease) in professional fees                                                          |  |                      | 10,000      |    |  |   | (2,944      | )  |
| Increase (decrease) indistribution payable                                                       |  |                      | 105,627     |    |  |   | 42,672      |    |
| Net cash provided by (usedin)operatingactivities                                                 |  |                      | (15,536,772 | )  |  |   | 17,755,623  |    |
| Cash flows from financingactivities:                                                             |  |                      |        |    |  |   |        |    |
| Proceeds fromadditions                                                                           |  |                      | 15,835,292  |    |  |   | 16,896,500  |    |
| Payments for redemptions                                                                         |  |                      | (15,972,608 | )  |  |   | (3,490,953  | )  |
| Distribution of interest tofeeder funds                                                          |  |                      | (1,084,432  | )  |  |   | (317,375    | )  |
| Net cash provided by (usedin)by financingactivities                                              |  |                      | (1,221,748  | )  |  |   | 13,088,172  |    |
| Net change incash                                                                                |  |                      | (16,758,520 | )  |  |   | 30,843,795  |    |
| Unrestricted cash, at beginning ofperiod                                                         |  |                      | 148,356,743 |    |  |   | 100,126,757 |    |
| Unrestricted cash, at end ofperiod                                                               |  | $                         | 131,598,223 |    |  | $      | 130,970,552 |    |
|                                                                                                  |

11

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March 31,2005(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three months ended March 31, 2005 and 2004were asfollows:

|                                                        |  |                           |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedMarch31, |
|                                                   |  | 2005                      |          | 2004    |
| Netrealized and unrealized gains(losses)*              |  | $                         | (426.72  | )  |  | $      | 112.34   |    |
| Interestincome                                         |  |                      | 7.95     |    |  |   | 3.32     |    |
| Expenses**                                             |  |                      | (13.90   | )  |  |   | (15.76   | )  |
| Increase(decrease) for theperiod                       |  |                      | (432.67  | )  |  |   | 99.90    |    |
| Net AssetValue per Redeemable Unit, beginning ofperiod |  |                      | 2,051.76 |    |  |   | 1,846.04 |    |
| NetAsset Value per Redeemable Unit, end ofperiod       |  | $                         | 1,619.09 |    |  | $      | 1,945.94 |    |
|                                                        |

|                                             |  |                           |       |          |  |        |      |          |  |  |
|---------------------------------------------|--|---------------------------|-------|----------|--|--------|------|----------|--|--|
|                                        |  | ThreeMonths EndedMarch31, |
|                                        |  | 2005                      |       | 2004     |
| Ratioto average net assets: ***             |  |
| Net investmentloss before incentivefees**** |  |                      | (7.5  | )%  |  |   | (9.1 | )%  |
| Operatingexpenses                           |  |                      | 9.3   | %   |  |   | 9.8  | %   |
| Incentivefees                               |  |                      | 0.0   | %   |  |   | 0.0  | %   |
| Totalexpenses                               |  |                      | 9.3   | %   |  |   | 9.8  | %   |
| Totalreturn:                                |  |
| Total return before incentivefees           |  |                      | (21.1 | )%  |  |   | 5.4  | %   |
| Incentivefees                               |  |                      | 0.0   | %   |  |   | 0.0  | %   |
| Totalreturn after incentivefees             |  |                      | (21.1 | )%  |  |   | 5.4  | %   |
|                                             |

|         |                                |
|---------|--------------------------------|
| *  | 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 March 31,2005(Unaudited)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three months ended March31, 2005 and 2004 were asfollows:

|                                             |  |                           |          |         |  |        |          |         |  |  |
|---------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                        |  | ThreeMonths EndedMarch31, |
|                                        |  |
|                                        |  | 2005                      |          | 2004    |
| Netrealized and unrealized gains(losses)*   |  | $                         | (397.39  | )  |  | $      | 129.06   |    |
| Interestincome                              |  |                      | 9.71     |    |  |   | 3.46     |    |
| Expenses**                                  |  |                      | (0.09    | )  |  |   | (0.16    | )  |
| Increase(decrease) for theperiod            |  |                      | (387.77  | )  |  |   | 132.36   |    |
| Distributions                               |  |                      | (9.71    | )  |  |   | (3.46    | )  |
| NetAsset Value per Unit, beginning ofperiod |  |                      | 2,027.35 |    |  |   | 1,678.44 |    |
| NetAsset Value per Unit, end ofperiod       |  | $                         | 1,629.87 |    |  | $      | 1,807.34 |    |
|                                             |

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

|    |                        |
|----|------------------------|
| ** | Excludes clearingfees. |

|                               |  |                           |        |          |  |        |        |         |  |  |
|-------------------------------|--|---------------------------|--------|----------|--|--------|--------|---------|--|--|
|                          |  | ThreeMonths EndedMarch31, |
|                          |  |
|                          |  | 2005                      |        | 2004     |
| Ratioto average netassets:*** |  |                      |   |     |  |   |   |    |
| Net investmentincome****      |  |                      | 2.0    | %   |  |   | 0.5    | %  |
| Operatingexpenses             |  |                      | 0.3    | %   |  |   | 0.3    | %  |
| Totalreturn                   |  |                      | (19.1  | )%  |  |   | 7.9    | %  |
|                               |

***    Annualized

****   Interest income less total expenses

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

13

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsMarch 31, 2005 (Unaudited)

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 three months endedMarch 31, 2005 and the year ended December 31, 2004, based on a monthlycalculation, were $3,195,645 and $7,166,273, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at March 31, 2005 and December 31, 2004, were $7,349,472and $26,936,012, respectively. Fair values for exchange tradedcommodity futures and options are based on quoted market prices forthose 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.

The General Partnermonitors and controls the Partnership's/Master's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has 

14

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsMarch 31, 2005 (Unaudited)

effective procedures for evaluating andlimiting the credit and market risks to which the Partnership/Masterare subject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk-adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of March 31, 2005. However, due tothe nature of the Partnership's/Master's business, theseinstruments may not be held to maturity.

15

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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 thefirst quarter of 2005.

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 three months ended March 31, 2005, Partnership capital decreased23.4% from $26,380,884 to $20,195,512. This decrease wasattributable to a net loss from operations of $5,541,052, coupled withthe redemption of 384.2594 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $644,320. 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 three months endedMarch 31, 2005 the Master's capital decreased 19.5% from$227,330,049 to $183,066,401. This decrease was attributable to a netloss from operations of $43,041,900, coupled with redemptions of8,315.6875 Units totaling $15,972,608 and the distribution of interesttotaling $1,084,432 paid to the feeder funds, which was partiallyoffset by the additional sales of 8,503.8952 Units resulting in aninflow of $15,835,292. Future redemptions can impact the amount offunds available for investments in commodity contract positions insubsequent periods.

Critical AccountingPolicies

The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, revenuesand expenses, and related disclosures of contingent assets andliabilities at the date of the financial statements and accompanyingnotes. Actual results could differ from these estimates.

All commodity interests of the Master (including derivativefinancial instruments and derivative commodity instruments) are usedfor trading purposes. The commodity interests are recorded on tradedate and open contracts are recorded in the statements of financialcondition at fair value on the last business day of the period, whichrepresents market value for those commodity interests for which marketquotations are readily available or other measures of fair value deemedappropriate by management of the General Partner for those commodityinterests and foreign currencies for which market quotations are notreadily available. Investments in commodity interests denominated inforeign currencies are translated into U.S. dollars at the exchangerates prevailing 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.

The value of the Partnership's investment inthe Master reflects the Partnership's proportional interest inthe members' capital of the Master. All of the income andexpenses and unrealized and realized gains and losses from thecommodity transactions of the Master are allocated pro rata among theinvestors at the time of such determination.

Foreign currencycontracts are those contracts where the Master agrees to receive ordeliver a fixed quantity of foreign currency for an agreed-upon priceon an agreed future date. Foreign currency contracts are valued daily,and the Master's net equity therein, representing unrealized gainor loss on the 

16

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contracts as measured by the differencebetween the forward foreign exchange rates at the date of entry intothe contracts and the forward rates at the reporting dates, is includedin the statement of financial condition. Realized gains (losses) andchanges in unrealized values on foreign currency contracts arerecognized in the period in which the contract is closed or the changesoccur and are included in the statements of income and expenses andpartners' capital.

Results ofOperations

During the Partnership's first quarter of2005 the net asset value per Redeemable unit decreased 21.1%from $2,051.76 to $1,619.09 as compared to an increase of 5.4%in the first quarter of 2004. The Partnership experienced a net tradingloss before brokerage commissions and related fees in the first quarterof 2005 of $5,130,207. Losses were primarily attributable to theMaster's trading of commodity futures in currencies, U.S. andnon-U.S. interest rates, grains and metals and were partially offset bygains in livestock, U.S. interest rates, energy, softs and indices. ThePartnership experienced a net trading gain before brokerage commissionsand related fees in the first quarter of 2004 of $2,004,652. Gains wereprimarily attributable to the Master's trading of commodityfutures in energy, grains, U.S. and non-U.S. interest rates, metals andindices and were partially offset by losses in currencies, livestock,and softs.

Results for the first quarter were highlighted bydifficult trading conditions in volatile energy and financial marketsand resulted in effectively giving back much of the gains from thefourth quarter 2004.

First quarter performance was adverselyaffected by sharp trend-reversals and general choppy price patternsacross a number of markets. Energy price increases, particularly incrude oil and natural gas, that had produced profits through much ofthe last third of 2004, initially weakened against advisor'spositions, then later regained strength toward the end of March. As theadvisor's takes a long-term view to such trends, the net resultof rising energy prices was positive for the Partnership.

Conversely, the U.S. dollar, which had generated profitsconsistently in 2004, began to reverse its long-term decline and movedback to the low 130s in relation to the Euro. This move wasparticularly disruptive in January but continued through the quarter asthe markets produced no identifiable direction and was thePartnership's largest overall losing position. Trading innon-U.S. interest rate contracts produced losses while favorable trendsproduced slightly positive results in U.S. interest rate trading. Stockindices showed sufficient strength in February to offset losses inJanuary and March. Metals trading following patterns in the currencymarkets and was notably negative for the Partnership while trading insofts and livestock markets was slightly profitable.

Commodityfutures markets are highly volatile. The potential for broad and rapidprice fluctuations increases the risks involved in commodity trading,but also increases the possibility of profit. The profitability of thePartnership (and Master) depends on the existence of major price trendsand the ability of the Advisor to correctly identify those pricetrends. Price trends are influenced by, among other things, changingsupply and demand relationships, weather, governmental, agricultural,commercial and trade programs and policies, national and internationalpolitical and economic events and changes in interest rates. To theextent that market trends exist and the Advisor is able to identifythem, the Partnership (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 March 31, 2005 increased by $54,575, ascompared to the corresponding period in 2004. The increase in interestincome is primarily due to an increase in interest rates during thethree months ended March 31, 2005 as compared to the correspondingperiod in 2004.

Brokerage commissions are calculated on thePartnership's adjusted net asset value on the last day of eachmonth and are affected by trading performance and redemptions.Accordingly, they must be analyzed in relation to the fluctuations inthe monthly net asset values. Commissions and fees for the three monthsended March 31, 2005 decreased by $94,393, as compared to thecorresponding period in 2004. The decrease in brokerage commissions isdue to lower net assets during the three months ended March  31,2005 as compared to the corresponding periods in 2004.

17

----

Management fees are calculated as apercentage of the Partnership's net asset value as of the end ofeach month and are affected by trading performance and redemptions.Management fees for the three months ended March 31, 2005 decreased by$31,414, as compared to the corresponding period in 2004. The decreasein management fees is due to lower net assets during the three monthsended March  31, 2005 as compared to the corresponding periods in2004.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three monthsended March 31, 2005 decreased by $15,708, as compared to thecorresponding period in 2004. The decrease in administrative fees isdue to lower net assets during the three months ended March 31, 2005 ascompared to the corresponding period in 2004.

Incentive fees arebased on the new trading profits generated by the Advisor as defined inthe advisory agreement between the Partnership, the General Partner andthe Advisor. There were no incentive fees earned for the three monthsended March 31, 2005 or 2004.

18

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

All of the Partnership's assets are subject to the risk oftrading loss through its investment in the Master. The Master is aspeculative commodity pool. The market sensitive instruments held by itare acquired for speculative trading purposes, and all or substantiallyall of the Master's assets are subject to the risk of tradingloss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Master's mainline of business.

The risk to the limited partners that havepurchased interests in the Partnership is limited to the amount oftheir capital contributions to the Partnership and their share of thePartnership's assets and undistributed profits. This limitedliability is a consequence of the organization of the Partnership as alimited partnership under applicable law.

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

The Masterrapidly acquires and liquidates both long and short positions in a widerange of different markets. Consequently, it is not possible to predicthow a particular future market scenario will affect performance, andthe Master's past performance is not necessarily indicative ofits future results.

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

Exchangemaintenance margin requirements have been used by the Master as themeasure of its Value at Risk. Maintenance margin requirements are setby exchanges to equal or exceed the maximum losses reasonably expectedto be incurred in the fair value of any given contract in95%-99% of any one-day interval. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component, which is notrelevant to Value at Risk.

19

----

The following table indicates the tradingValue at Risk associated with the Master's open positions bymarket category as of March 31, 2005 and the highest, lowest andaverage values during the three months ended March 31, 2005. All openposition trading risk exposures of the Master have been included incalculating the figures set forth below. As of March 31, 2005, theMaster's total capitalization was $183,066,401. There have beenno material changes in the trading Value at Risk information previouslydisclosed in the Partnership's Annual Report on Form 10-K for theyear ended December 31, 2004.

March 31,2005(Unaudited)

|                                                              |  |              |            |                           |  |                                  |        |                  |  |          |            |        |  |        |           |        |  |        |           |        |  |  |
|--------------------------------------------------------------|--|--------------|------------|---------------------------|--|----------------------------------|--------|------------------|--|----------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                                                         |  |         |            |                      |  | ThreeMonths Ended March 31, 2005 |
| Market Sector                                                |  | Value atRisk |            | % of Total Capitalization |  | HighValue at Risk                |        | Low Value atRisk |  | Average* |
| Currencies:                                                  |  |
|     – OTC                     |  | $            | 11,670,056 |                      |  |                             | 6.37   | %           |  | $        | 17,193,806 |   |  | $      | 5,639,316 |   |  | $      | 8,585,012 |   |
| Energy                                                       |  |         | 9,517,110  |                      |  |                             | 5.20   | %           |  |     | 9,753,735  |   |  |   | 2,920,371 |   |  |   | 7,897,822 |   |
| Grains                                                       |  |         | 636,600    |                      |  |                             | 0.36   | %           |  |     | 647,750    |   |  |   | 311,225   |   |  |   | 498,258   |   |
| InterestRatesU.S.                                            |  |         | 2,373,400  |                      |  |                             | 1.30   | %           |  |     | 2,373,400  |   |  |   | 423,320   |   |  |   | 1,409,241 |   |
| InterestRates Non-U.S.                                       |  |         | 4,984,328  |                      |  |                             | 2.72   | %           |  |     | 8,280,125  |   |  |   | 2,995,673 |   |  |   | 4,934,541 |   |
| Livestock                                                    |  |         | 151,200    |                      |  |                             | 0.08   | %           |  |     | 151,200    |   |  |   | 136,500   |   |  |   | 142,100   |   |
| Metals                                                       |  |         |       |                      |  |                             |   |             |  |     |       |   |  |   |      |   |  |   |      |   |
|     – ExchangeTradedContracts |  |         | 1,588,500  |                      |  |                             | 0.87   | %           |  |     | 1,747,000  |   |  |   | 589,500   |   |  |   | 1,384,833 |   |
|     – OTC                     |  |         | 2,255,608  |                      |  |                             | 1.23   | %           |  |     | 2,260,564  |   |  |   | 1,462,922 |   |  |   | 2,126,701 |   |
| Softs                                                        |  |         | 1,580,442  |                      |  |                             | 0.86   | %           |  |     | 1,580,442  |   |  |   | 1,011,404 |   |  |   | 1,387,158 |   |
| Indices                                                      |  |         | 4,526,107  |                      |  |                             | 2.47   | %           |  |     | 4,526,107  |   |  |   | 3,441,550 |   |  |   | 3,996,640 |   |
| **Total**                                                    |  | $            | 39,283,351 |                      |  |                             | 21.46  | %           |  |
|                                                              |

|  |
|--|
|  |  |
|  |

*   Averageof the month-end Values at Risk

20

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Item 4.    Controls andProcedures

Based on theirevaluation of the Partnership's disclosure controls andprocedures as of March 31, 2005, the President and Chief FinancialOfficer of the General Partner have concluded that such controls andprocedures are effective.

During the Partnership's lastfiscal quarter, no changes occurred in the Partnership's internalcontrol over financial reporting that have materially affected, or arereasonably likely to materially affect, the Partnership'sinternal control over financial reporting.

21

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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, 2004.

Enron Corp.

 InApril  2005, Citigroup, along with other financial institutiondefendants, reached an agreement-in-principle to settle fourstate-court actions brought by various investment funds, which were notpreviously consolidated or coordinated with the NEWBY action. The fourcases are OCM OPPORTUNITIES FUND III, L.P., et al. v. CITIGROUPINC., et al.; PACIFIC INVESTMENT MANAGEMENT CO. LLC, et al. v.CITIGROUP  INC., et al.; AUSA LIFE INSURANCE v. CITIGROUPINC., et al. and PRINCIPAL GLOBAL INVESTORS v. CITIGROUP  INC.,et al. The amounts to be paid in settlement of these actions arecovered by existing litigation reserves.

DynegyInc.

 The court had previously denied leadplaintiff's motion for leave to amend; no appeal was yet timelywhile the remainder of the case remained pending. On April  15,2005, as part of a global settlement involving all defendants,Citigroup entered into a memorandum of understanding to settle thiscase. The amount to be paid in settlement is covered by existinglitigation reserves.

WorldCom,  Inc.

 TheDistrict Court approved the settlement of the IN RE TARGETS SECURITIESLITIGATION on April  22, 2005.

Global Crossing

 The plaintiffs and the Citigroup Related Defendants haveentered into a definitive settlement agreement in the IN RE GLOBALCROSSING,  LTD SECURITIES LITIGATION; the settlement waspreliminarily approved by the Court on March  8, 2005. The amountto be paid in settlement is covered by existing litigationreserves.

Research

 Two putative class actionsagainst CGMI asserting common law claims on behalf of CGMI customers inconnection with published investment research have been dismissed byUnited States District Courts, the dismissals of which were affirmed bythe United States Court of Appeals for the Third and Ninth Circuits,respectively. Plaintiffs in the Ninth Circuit case have sought reviewby the United States Supreme Court; their petition for a writ ofcertiorari, which CGMI opposed, is pending before that court.

Mutual Funds

 CGMHI entered into a settlement withthe SEC with respect to revenue sharing and sales of classes offunds.

Investigations of Euro Zone Government Bonds Trade

 The German prosecutors have declined to take any actionsagainst the employees in connection with this matter.

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Item 2.    Unregistered Sales of EquitySecurities and Use of Proceeds

The following chart sets forththe purchases of Redeemable 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 |
| January 1, 2005–January 31,2005   |  |                                          | 174.4186 |                                      |  | $                                                                                         | 1,735.72 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| February1, 2005 –February 28,2005 |  |                                          | 123.6884 |                                      |  | $                                                                                         | 1,633.86 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| March1, 2005 –March 31,2005       |  |                                          | 86.1524  |                                      |  | $                                                                                         | 1,619.09 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| Total                                   |  |                                          | 384.2594 |                                      |  | $                                                                                         | 1,662.89 |                                                                                                               |  |   | 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.    None

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, 2004. |

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:  |  | May 16,2005                                                  |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  | May 16,2005                                                  |
|        |

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