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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, 2006

Commission File Number0-28336

|                                                                                                 |  |                                    |  |  |  |  |
|-------------------------------------------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| SMITHBARNEY MID-WEST FUTURES FUND L.P. II                                                       |
| (Exactname of registrant as specified in its charter)                                           |
| NewYork                                                                                         |  | 13-3772374                         |
| (State or other jurisdictionofincorporation or organization)                                    |  | (I.R.S.EmployerIdentification No.) |
| c/oCitigroup Managed Futures LLC 731 Lexington Avenue. – 25thFl. 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 a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of"accelerated filer and large acceleratedfiler" in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer         Accelerated filer         Non-acceleratedfiler X

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

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, 2006 and December 31, 2005(unaudited)                                    |  | 3             |
|                                 |  |    |        | Statements of Income and Expenses andPartners' Capital for the three months ended March 31, 2006 and2005 (unaudited)   |  | 4             |
|                                 |  |    |        | Statements of Cash Flows for the threemonths ended March 31, 2006 and 2005 (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            |
|                                 |  | Item 4. |        | Controlsand Procedures                                                                                                 |  | 20            |
| PART II— OtherInformation      |  | 21      |
|                                      |

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PART I

Item 1.Financial Statements

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

|                                                                                                                                        |  |              |            |                  |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------------|------------|------------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | March31,2006 |            | December 31,2005 |
| Assets:                                                                                                                                |  |         |       |             |  |   |       |   |
| Investmentin Master, at fair value                                                                                                     |  | $            | 15,999,031 |             |  | $      | 18,019,796 |   |
| Cash                                                                                                                                   |  |         | 56,457     |             |  |   | 36,720     |   |
|                                                                                                                                   |  | $            | 16,055,488 |             |  | $      | 18,056,516 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |         |       |             |  |   |       |   |
| Liabilities:                                                                                                                           |  |         |       |             |  |   |       |   |
| Accruedexpenses:                                                                                                                       |  |         |       |             |  |   |       |   |
| Commissions                                                                                                                            |  | $            | 80,277     |             |  | $      | 90,283     |   |
| Managementfees                                                                                                                         |  |         | 26,520     |             |  |   | 29,869     |   |
| Administrativefees                                                                                                                     |  |         | 13,260     |             |  |   | 14,935     |   |
| Other                                                                                                                                  |  |         | 63,054     |             |  |   | 44,541     |   |
| Redemptionspayable                                                                                                                     |  |         | 436,711    |             |  |   | 139,248    |   |
|                                                                                                                                   |  |         | 619,822    |             |  |   | 318,876    |   |
| Partners'capital:                                                                                                                      |  |         |       |             |  |   |       |   |
| General Partner, 301.3070 Unitequivalents outstanding in 2006 and 2005                                                                 |  |         | 428,447    |             |  |   | 467,863    |   |
| Limited Partners, 10,553.8982 and11,121.8791 Redeemable Units of Limited Partnership Interestoutstanding in 2006 and 2005,respectively |  |         | 15,007,219 |             |  |   | 17,269,777 |   |
|                                                                                                                                   |  |         | 15,435,666 |             |  |   | 17,737,640 |   |
|                                                                                                                                   |  | $            | 16,055,488 |             |  | $      | 18,056,516 |   |
|                                                                                                                                        |

See Accompanying Notesto Financial Statements.

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

|                                                                                                                                       |  |                           |            |         |  |        |            |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                  |  | ThreeMonths EndedMarch31, |
|                                                                                                                                  |  | 2006                      |            | 2005    |
| Income:                                                                                                                               |  |                      |       |    |  |   |       |    |
| Realizedlosses on closed positions and foreign currencies allocated fromMaster                                                        |  | $                         | (2,306,652 | )  |  | $      | (2,799,295 | )  |
| Change in unrealized gains (losses) on open positionsallocated from Master                                                            |  |                      | 1,057,483  |    |  |   | (2,330,912 | )  |
| Expenses allocated fromMaster                                                                                                         |  |                      | (10,388    | )  |  |   | (16,123    | )  |
|                                                                                                                                  |  |                      | (1,259,557 | )  |  |   | (5,146,330 | )  |
| Interest income received fromMaster                                                                                                   |  |                      | 136,378    |    |  |   | 100,853    |    |
|                                                                                                                                  |  |                      | (1,123,179 | )  |  |   | (5,045,477 | )  |
|                                                                                                                                  |  |                      |       |    |  |   |       |    |
| Expenses:                                                                                                                             |  |                      |       |    |  |   |       |    |
| Brokeragecommissions                                                                                                                  |  |                      | 243,270    |    |  |   | 320,031    |    |
| Management fees                                                                                                                       |  |                      | 80,401     |    |  |   | 105,890    |    |
| Administrativefees                                                                                                                    |  |                      | 40,201     |    |  |   | 52,944     |    |
| Otherexpenses                                                                                                                         |  |                      | 18,513     |    |  |   | 16,710     |    |
|                                                                                                                                  |  |                      | 382,385    |    |  |   | 495,575    |    |
| Netloss                                                                                                                               |  |                      | (1,505,564 | )  |  |   | (5,541,052 | )  |
| Redemptions - LimitedPartners                                                                                                         |  |                      | (796,410   | )  |  |   | (644,320   | )  |
| Net decrease in Partners'capital                                                                                                      |  |                      | (2,301,974 | )  |  |   | (6,185,372 | )  |
| Partners' capital, beginning ofperiod                                                                                                 |  |                      | 17,737,640 |    |  |   | 26,380,884 |    |
| Partners' capital, end ofperiod                                                                                                       |  | $                         | 15,435,666 |    |  | $      | 20,195,512 |    |
| Net asset value per Redeemable Unit(10,855.2052 and 12,473.4033 Redeemable Units outstanding at March 31,2006 and 2005, respectively) |  | $                         | 1,421.96   |    |  | $      | 1,619.09   |    |
| Net loss per RedeemableUnit of Limited Partnership Interest and General Partner Unitequivalent                                        |  | $                         | (130.82    | )  |  | $      | (432.67    | )  |
|                                                                                                                                       |

See Accompanying Notes toFinancial Statements.

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

|                                                                                                  |  |                           |            |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  | 2006                      |            | 2005    |
| Cashflows from operating activities:                                                             |  |                      |       |    |  |   |       |    |
| Net loss                                                                                         |  | $                         | (1,505,564 | )  |  | $      | (5,541,052 | )  |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                      |       |    |  |   |       |    |
| Changes in operating assets andliabilities                                                       |  |                      |       |    |  |   |       |    |
| Proceeds fromsale of investment in Partnership                                                   |  |                      | 761,208    |    |  |   | 1,270,515  |    |
| Net unrealizedappreciation (depreciation) on investment in Partnerships                          |  |                      | 1,259,557  |    |  |   | 5,146,330  |    |
| Accruedexpenses:                                                                                 |  |                      |       |    |  |   |       |    |
| Increase (decrease) incommissions                                                                |  |                      | (10,006    | )  |  |   | (31,916    | )  |
| Increase (decrease) in management fees                                                           |  |                      | (3,349     | )  |  |   | (10,613    | )  |
| Increase(decrease) in administrative fees                                                        |  |                      | (1,675     | )  |  |   | (5,307     | )  |
| Increase(decrease) in other                                                                      |  |                      | 18,513     |    |  |   | 16,710     |    |
| Net cash provided by (usedin) operating activities                                               |  |                      | 518,684    |    |  |   | 844,667    |    |
| Cashflows from financing activities:                                                             |  |                      |       |    |  |   |       |    |
| Payments forredemptions – Limited Partners                                                 |  |                      | (498,947   | )  |  |   | (810,939   | )  |
| Net change in cash                                                                               |  |                      | 19,737     |    |  |   | 33,728     |    |
| Cash, at beginning of period                                                                     |  |                      | 36,720     |    |  |   | 17,049     |    |
| Cash, at end ofperiod                                                                            |  | $                         | 56,457     |    |  | $      | 50,777     |    |
|                                                                                                  |

See AccompanyingNotes to Financial Statements.

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(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, acts asthe general partner (the "General Partner")of the Partnership. The General Partner is the managing member of theMaster. Individual and pooled accounts managed by JWH, including thePartnership, are permitted to be a non-managing member of the Master.The General Partner and JWH believe that trading through this structureshould promote efficiency and economy in the trading process. Expensesto investors as a result of the investment in the Master areapproximately the same and redemption rights are not affected.

As of March  31, 2006, the Partnership owned 10.9% ofthe Master. It is the Partnership's intention to continue toinvest substantially all of its assets in the Master. The performanceof the Partnership is directly affected by the performance of theMaster. 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"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

As of March  31,2006, 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, 2006and December 31, 2005 and the results of its operations and cash flowsfor the three months ended March  31, 2006 and 2005. 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, 2005.

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.

Certain prior periodamounts have been reclassified to conform to current yearpresentation.

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments at March  31,2006 and December 31, 2005 and its Statements of Income and Expensesand Members' Capital and Statements of Cash Flows for the threemonths ended March  31, 2006 and 2005 were:

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

|                                                                                             |  |               |             |                  |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------|--|---------------|-------------|------------------|--|--------|-------------|--------|--|--|
|                                                                                        |  | March31, 2006 |             | December 31,2005 |
| Assets:                                                                                     |  |          |        |             |  |   |        |   |
| Equity incommodity futures trading account:                                                 |  |          |        |             |  |   |        |   |
| Cash(restricted $18,357,618 and $23,817,475 in 2006 and 2005,respectively)                  |  | $             | 137,078,099 |             |  | $      | 163,966,877 |   |
| Netunrealized appreciation on open futurespositions                                         |  |          | 11,118,996  |             |  |   | —     |   |
| Unrealizedappreciation on open forwardcontracts                                             |  |          | 4,387,247   |             |  |   | 7,440,156   |   |
|                                                                                        |  |          | 152,584,342 |             |  |   | 171,407,033 |   |
| Interestreceivable                                                                          |  |          | 509,212     |             |  |   | 485,811     |   |
|                                                                                        |  | $             | 153,093,554 |             |  | $      | 171,892,844 |   |
| Liabilitiesand Members'Capital:                                                             |  |          |        |             |  |   |        |   |
| Liabilities:                                                                                |  |          |        |             |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                         |  | $             | —     |             |  | $      | 3,646,687   |   |
| Unrealizeddepreciation on open forwardcontracts                                             |  |          | 5,663,758   |             |  |   | 3,896,303   |   |
| Accruedexpenses:                                                                            |  |          |        |             |  |   |        |   |
| Professionalfees                                                                            |  |          | 56,449      |             |  |   | 51,440      |   |
| Distributionpayable                                                                         |  |          | 509,212     |             |  |   | 485,811     |   |
|                                                                                        |  |          | 6,229,419   |             |  |   | 8,080,241   |   |
| Members'Capital:                                                                            |  |          |        |             |  |   |        |   |
| Members'capital, 95,878.5473 and 99,442.6187 Units outstanding in 2006 and2005,respectively |  |          | 146,864,135 |             |  |   | 163,812,603 |   |
|                                                                                        |  | $             | 153,093,554 |             |  | $      | 171,892,444 |   |
|                                                                                             |

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsMarch  31,2006(Unaudited)

|                                                  |  |           |            |                     |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|------------|---------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |            | % ofMembers'Capital |
| FuturesContractsPurchased                        |  |      |       |                |  |   |   |    |
| Energy                                           |  | $         | 47,213     |                |  |   | 0.03   | %  |
| Indices                                          |  |      | 1,963,026  |                |  |   | 1.34   |    |
| InterestRatesNon-U.S.                            |  |      | (4,682     | )              |  |   | (0.00) | *  |
| Metals                                           |  |      | 1,261,165  |                |  |   | 0.86   |    |
| Softs                                            |  |      | 127,083    |                |  |   | 0.08   |    |
| Totalfutures contractspurchased                  |  |      | 3,393,805  |                |  |   | 2.31   |    |
|                                             |  |      |       |                |  |   |   |    |
|                                             |  |      |       |                |  |   |   |    |
| FuturesContractsSold                             |  |      |       |                |  |   |   |    |
| Energy                                           |  |      | (27,120    | )              |  |   | (0.02  | )  |
| Grains                                           |  |      | 147,488    |                |  |   | 0.10   |    |
| InterestRates U.S.                               |  |      | 2,784,636  |                |  |   | 1.90   |    |
| InterestRatesNon-U.S.                            |  |      | 4,706,356  |                |  |   | 3.20   |    |
| Softs                                            |  |      | 113,831    |                |  |   | 0.08   |    |
| Totalfutures contractssold                       |  |      | 7,725,191  |                |  |   | 5.26   |    |
|                                             |  |      |       |                |  |   |   |    |
|                                             |  |      |       |                |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                |  |   |   |    |
| Currencies                                       |  |      | 1,622,657  |                |  |   | 1.11   |    |
| Metals                                           |  |      | 2,764,590  |                |  |   | 1.88   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 4,387,247  |                |  |   | 2.99   |    |
|                                             |  |      |       |                |  |   |   |    |
|                                             |  |      |       |                |  |   |   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                |  |   |   |    |
| Currencies                                       |  |      | (4,162,201 | )              |  |   | (2.84  | )  |
| Metals                                           |  |      | (1,501,557 | )              |  |   | (1.02  | )  |
| Totalunrealized depreciation on forwardcontracts |  |      | (5,663,758 | )              |  |   | (3.86  | )  |
| TotalFair Value                                  |  | $         | 9,842,485  |                |  |   | 6.70   | %  |
|                                                  |

Percentages are based onMembers' capital unless otherwiseindicated.

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

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

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

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

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

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

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

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

|                                                                                                                  |  |                           |             |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                                             |  | 2006                      |             | 2005    |
| Income:                                                                                                          |  |                      |        |    |  |   |        |    |
| Netlosses on trading of commodityinterests:                                                                      |  |                      |        |    |  |   |        |    |
| Realized losseson closed positions and foreigncurrencies                                                         |  | $                         | (21,283,278 | )  |  | $      | (24,398,686 | )  |
| Changein unrealized gains (losses) on openpositions                                                              |  |                      | 9,945,319   |    |  |   | (19,586,540 | )  |
| Interestincome                                                                                                   |  |                      | 1,474,109   |    |  |   | 1,084,432   |    |
|                                                                                                             |  |                      | (9,863,850  | )  |  |   | (42,900,794 | )  |
| Expenses:                                                                                                        |  |                      |        |    |  |   |        |    |
| Clearingfees                                                                                                     |  |                      | 90,691      |    |  |   | 131,106     |    |
| Otherexpenses                                                                                                    |  |                      | 5,009       |    |  |   | 10,000      |    |
|                                                                                                             |  |                      | 95,700      |    |  |   | 141,106     |    |
| Netloss                                                                                                          |  |                      | (9,959,550  | )  |  |   | (43,041,900 | )  |
| Additions                                                                                                        |  |                      | 3,172,857   |    |  |   | (15,835,292 | )  |
| Redemptions                                                                                                      |  |                      | (8,687,666  | )  |  |   | (15,972,608 | )  |
| Distributionof interest to feederfunds                                                                           |  |                      | (1,474,109  | )  |  |   | (1,084,432  | )  |
| Netdecrease in Members'capital                                                                                   |  |                      | (16,948,468 | )  |  |   | (44,263,648 | )  |
| Members'capital, beginning ofperiod                                                                              |  |                      | 163,812,603 |    |  |   | 227,330,049 |    |
| Members'capital, end ofperiod                                                                                    |  | $                         | 146,864,135 |    |  | $      | 183,066,401 |    |
| Netasset value per Unit (95,878.5473 and 112,319.4953 Unitsoutstanding at March  31, 2006 and 2005,respectively) |  | $                         | 1,531.77    |    |  | $      | 1,629.87    |    |
| Netloss per Unit of MemberInterest                                                                               |  | $                         | (100.42     | )  |  | $      | (387.77     | )  |
|                                                                                                                  |

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

JWH Strategic Allocation Master FundLLCStatements of Cash Flows (Unaudited)

|                                                                                                  |  |                           |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  | 2006                      |             | 2005    |
| Cashflows from operatingactivities:                                                              |  |                      |        |    |  |   |        |    |
| Netloss                                                                                          |  | $                         | (9,959,550  | )  |  | $      | (43,041,900 | )  |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                      |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                       |  |                      |        |    |  |   |        |    |
| (Increase)decrease in restricted cash                                                            |  |                      | 5,459,857   |    |  |   | 7,908,588   |    |
| (Increase) decrease in netunrealized appreciation on open futurespositions                       |  |                      | (11,118,996 | )  |  |   | (9,346,257  | )  |
| Increase (decrease) in unrealized appreciation on openforward contracts                          |  |                      | 3,052,909   |    |  |   | 18,345,343  |    |
| (Increase) decrease in interestreceivable                                                        |  |                      | (23,401     | )  |  |   | (105,627    | )  |
| Increase (decrease) in net unrealized depreciation onopen futurespositions                       |  |                      | (3,646,687  | )  |  |   | —     |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |                      | 1,767,455   |    |  |   | 10,587,454  |    |
| Accruedexpenses:                                                                                 |  |                      |        |    |  |   |        |    |
| Increase(decrease) in professional fees                                                          |  |                      | 5,009       |    |  |   | 10,000      |    |
| Net cash provided by (used in)operatingactivities                                                |  |                      | (14,463,404 | )  |  |   | (15,642,399 | )  |
| Cash flows fromfinancingactivities:                                                              |  |                      |        |    |  |   |        |    |
| Proceeds fromadditions                                                                           |  |                      | 3,172,857   |    |  |   | 15,835,292  |    |
| Payments forredemptions                                                                          |  |                      | (8,687,666  | )  |  |   | (15,972,608 | )  |
| Distribution of interest to feederfunds                                                          |  |                      | (1,450,708  | )  |  |   | (978,805    | )  |
| Net cash provided by (usedin)by financingactivities                                              |  |                      | (6,965,517  | )  |  |   | (1,116,121  | )  |
| Net change incash                                                                                |  |                      | (21,428,921 | )  |  |   | (16,758,520 | )  |
| Unrestricted cash, at beginning ofperiod                                                         |  |                      | 140,149,402 |    |  |   | 148,356,743 |    |
| Unrestricted cash, at end ofperiod                                                               |  | $                         | 118,720,481 |    |  | $      | 131,598,223 |    |
|                                                                                                  |

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three months ended March  31, 2006and 2005 were as follows:

|                                                        |  |                           |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedMarch31, |
|                                                   |  | 2006                      |          | 2005    |
| Netrealized and unrealizedlosses*                      |  | $                         | (130.54  | )  |  | $      | (426.72  | )  |
| Interestincome                                         |  |                      | 12.06    |    |  |   | 7.95     |    |
| Expenses**                                             |  |                      | (12.34   | )  |  |   | (13.90   | )  |
| Decreasefor the period                                 |  |                      | (130.82  | )  |  |   | (432.67  | )  |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |                      | 1,552.78 |    |  |   | 2,051.76 |    |
| NetAsset Value per Redeemable Unit, end ofperiod       |  | $                         | 1,421.96 |    |  | $      | 1,619.09 |    |
|                                                        |

|         |                                                                  |
|---------|------------------------------------------------------------------|
| *  | Includes brokerage commissions and expensesallocated from Master |

|          |                                                                  |
|----------|------------------------------------------------------------------|
| **  | Excludesbrokerage commissions and expenses allocated from Master |

|                                             |  |                           |         |          |  |        |         |          |  |  |
|---------------------------------------------|--|---------------------------|---------|----------|--|--------|---------|----------|--|--|
|                                        |  | ThreeMonths EndedMarch31, |
|                                        |  | 2006                      |         | 2005     |
| Ratioto average net assets: ***             |  |                      |    |     |  |   |    |     |
| Net investmentloss before incentivefees**** |  |                      | (6.1    | )%  |  |   | (7.5    | )%  |
| Operatingexpenses                           |  |                      | 9.5     | %   |  |   | 9.3     | %   |
| Incentivefees                               |  |                      | — | %   |  |   | — | %   |
| Totalexpenses                               |  |                      | 9.5     | %   |  |   | 9.3     | %   |
| Totalreturn:                                |  |                      |    |     |  |   |    |     |
| Total return before incentivefees           |  |                      | (8.4)   | %   |  |   | (21.1   | )%  |
| Incentivefees                               |  |                      | — | %   |  |   | — | %   |
| Totalreturn after incentivefees             |  |                      | (8.4)   | %   |  |   | (21.1   | )%  |
|                                             |

|           |                                        |
|-----------|----------------------------------------|
| ***  | Annualized (other than incentive fees) |

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

The above ratios may varyfor individual investors based on the timing of capital transactionsduring the period. Additionally, these ratios are calculated for theLimited Partner class using the Limited Partners' share ofincome, expenses and average net assets.

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements March  31,2006(Unaudited)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three months endedMarch  31, 2006 and 2005 were asfollows:

|                                             |  |                           |          |         |  |        |          |         |  |  |
|---------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                        |  | ThreeMonths EndedMarch31, |
|                                        |  | 2006                      |          | 2005    |
| Netrealized and unrealizedlosses*           |  | $                         | (115.48  | )  |  | $      | (397.39  | )  |
| Interestincome                              |  |                      | 15.12    |    |  |   | 9.71     |    |
| Expenses**                                  |  |                      | (0.06    | )  |  |   | (0.09    | )  |
| Decreasefor theperiod                       |  |                      | (100.42  | )  |  |   | (387.77  | )  |
| Distributions                               |  |                      | (15.12   | )  |  |   | (9.71    | )  |
| NetAsset Value per Unit, beginning ofperiod |  |                      | 1,647.31 |    |  |   | 2,027.35 |    |
| NetAsset Value per Unit, end ofperiod       |  | $                         | 1,531.77 |    |  | $      | 1,629.87 |    |
|                                             |

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

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

|                               |  |                           |        |          |  |        |        |          |  |  |
|-------------------------------|--|---------------------------|--------|----------|--|--------|--------|----------|--|--|
|                          |  | ThreeMonths EndedMarch31, |
|                          |  | 2006                      |        | 2005     |
| Ratioto average netassets:*** |  |                      |   |     |  |   |   |     |
| Net investmentincome****      |  |                      | 3.7    | %   |  |   | 2.0    | %   |
| Operatingexpenses             |  |                      | 0.3    | %   |  |   | 0.3    | %   |
| Totalreturn                   |  |                      | (6.1   | )%  |  |   | (19.1  | )%  |
|                               |

***    Annualized

****   Interest income less total expenses

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

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsMarch 31, 2006 (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, 2006 and the year ended December 31, 2005, based on a monthlycalculation, were $2,354,413 and $9,833,608, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at March 31, 2006 and December 31, 2005, were $9,842,485and $(102,834), respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Financial InstrumentRisks:

In the normal course of its business, the Partnership,through the Partnership's investment in the Master, is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments may include forwards, futures and options whosevalues are based upon an underlying asset, index, or reference rate,and generally represent future commitments to exchange currencies orcash flows, to purchase or sell other financial instruments at specificterms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange-tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange-traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Master due to market changes, including interest and foreignexchange rate movements and fluctuations in commodity or securityprices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. ThePartnership'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, has credit riskand concentration risk because the sole counterparty or broker withrespect to the Master's assets is CGM.

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsMarch 31, 2006 (Unaudited)

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 March 31, 2006.However, due to the nature of the Partnership's/Master'sbusiness, these instruments may not be held tomaturity.

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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 2006.

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, 2006, Partnership capital decreased13.0% from $17,737,640 to $15,435,666. This decrease wasattributable to a net loss from operations of $1,505,564, coupled withthe redemption of 567.9809 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $796,410. 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, 2006 the Master's capital decreased 10.3% from$163,812,603 to $146,864,135. This decrease was attributable to a netloss from operations of $9,959,550, coupled with redemptions of5,575.2111 Units totaling $8,687,666 and the distribution of interesttotaling $1,474,109 paid to the feeder funds, which was partiallyoffset by the additional sales of 2,011.1397 Units resulting in aninflow of $3,172,857. 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 interests of theMaster (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statements of financial condition at fair value on the lastbusiness day of the period, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theGeneral Partner for those commodity interests and foreign currenciesfor which market quotations are not readily available. Investments incommodity interests denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing on the last businessday of the period. Realized gains (losses) and changes in unrealizedvalues on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests.

The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the income and expenses and unrealized andrealized gains and losses from the commodity transactions of the Masterare allocated pro rata among the investors at the time of suchdetermination.

Foreign currency contracts are those contractswhere the Master agrees to receive or deliver a fixed quantity offoreign currency for an agreed-upon price on an agreed future date.Foreign currency contracts are valued daily, and the Master's netequity therein, representing unrealized gain or loss on the

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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 of2006 the net asset value per Redeemable Unit decreased 8.4% from$1,552.78 to $1,421.96 as compared to a decrease of 21.1% in thefirst quarter of 2005. The Partnership experienced a net trading lossbefore brokerage commissions and related fees allocated from the Masterin the first quarter of 2006 of $1,249,169. Losses were primarilyattributable to the Master's trading of commodity futures inenergy, grains, currencies and livestock and were partially offset bygains in metals, softs, indices, U.S. and non-U.S. interest rates. ThePartnership experienced a net trading loss before brokerage commissionsand related fees allocated from the Master in the first quarter of 2005of $5,130,207. Losses were primarily attributable to the Master'strading of commodity futures in currencies, grains, non-U.S. interestrates and metals and were partially offset by gains in energy, U.S.interest rates, indices, livestock, and softs.

The main driversof performance in the first quarter of 2006 were volatile currency andenergy markets which incurred substantial losses for the Partnership.Offsetting a portion of these losses were gains in metals, stock indexand interest rate trading.

The U. S. dollar remained in atrading pattern for most of the quarter with its value versus both theeuro and yen rising and falling within a range that resulted in lossesfor the Partnership's Advisor whose trading systems tend to belonger term in nature. Energy trading was likewise unprofitable withthe losses in all sectors of the market.

Global politicalinstability, rising energy prices and global interest rates fueledprecious metals, notably gold and silver to over 20 year highs. Basemetal, particularly copper and zinc, also reached prices not seen inover 25 years, also contributed positively. Rising commodity prices ledto higher interest rates in the U.S., Europe and Asia, producingprofits for the Advisor for the quarter. Counterintuitive totraditional market reaction to higher interest rates, global stockmarkets advanced as corporate earnings reports for full year 2005 metor exceeded expectations and consumer spending remained high despiteincreased energy prices and interest rates. The Partnership'sAdvisor was properly positioned to take advantage of these trends.

Commodity futures markets are highly volatile. The potential forbroad and rapid price fluctuations increases the risks involved incommodity trading, but also increases the possibility of profit. Theprofitability of the Partnership (and Master) depends on the existenceof major price trends and the ability of the Advisor to correctlyidentify those price trends. Price trends are influenced by, amongother things, changing supply and demand relationships, weather,governmental, agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. To the extent that market trends exist and the Advisoris able to identify them, the Partnership (and Master) expect toincrease capital through operations.

Interest income on80% of the Partnership's average daily equity, allocatedto it by the Master, was earned at the monthly average 30 day U.S.Treasury bill rate. CGM may continue to maintain the Master'sassets in cash and/or place all of the Master's assets in 90-dayTreasury bills and pay the Partnership its allocated share of80% of the interest earned on the Treasury bills purchased. CGMwill retain 20% of any interest earned on Treasury bills.Interest income for the three months ended March 31, 2006 increased by$35,525, as compared to the corresponding period in 2005. The increasein interest income is primarily due to higher interest rates during thethree months ended March 31, 2006 as compared to the correspondingperiod in 2005.

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, 2006 decreased by $76,761, as compared to thecorresponding period in 2005. 

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The decrease in brokerage commissions is dueto lower average net assets during the three months ended March 31,2006 as compared to the corresponding period in 2005.

Managementfees are calculated as a percentage of the Partnership's netasset value as of the end of each month and are affected by tradingperformance and redemptions. Management fees for the three months endedMarch 31, 2006 decreased by $25,489, as compared to the correspondingperiod in 2005. The decrease in management fees is due to lower averagenet assets during the three months ended March 31, 2006 as compared tothe corresponding period in 2005.

Administrative fees are paidto the General Partner for administering the business and affairs ofthe Partnership. 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 months ended March 31, 2006 decreased by $12,743, ascompared to the corresponding period in 2005. The decrease inadministrative fees is due to lower average net assets during the threemonths ended March 31, 2006 as compared to the corresponding period in2005.

Incentive fees are based on the new trading profitsgenerated by the Advisor as defined in the advisory agreement betweenthe Partnership, the General Partner and the Advisor. There were noincentive fees earned for the three months ended March 31, 2006 and2005.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

All of thePartnership's assets are subject to the risk of trading lossthrough its investment in the Master. The Master is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Master's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Master's main line ofbusiness.

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.

Marketmovements 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 liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Master's pastperformance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which theMaster could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Master's speculativetrading and the recurrence in the markets traded by the Master ofmarket movements far exceeding expectations could result in actualtrading or non-trading losses far beyond the indicated Value at Risk orthe Master's experience to date (i.e., "risk ofruin"). In light of the foregoing as well as the risks anduncertainties intrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Master's losses in anymarket sector will be limited to Value at Risk or by the Master'sattempts to manage its market risk.

Exchange maintenancemargin requirements have been used by the Master as the measure of itsValue at Risk. Maintenance margin requirements are set by exchanges toequal or exceed the maximum losses reasonably expected to be incurredin the fair value of any given contract in 95%-99% of anyone-day interval. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component, which is not relevant to Value at Risk.

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof March 31, 2006 and the highest, lowest and average values during thethree months ended March 31, 2006. All open position trading riskexposures of the Master have been included in calculating the figuresset forth below. As of March 31, 2006, the Master's totalcapitalization was $146,864,135. There have been no material changes inthe trading Value at Risk information previously disclosed in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

March 31,2006(Unaudited)

|                                                              |  |               |            |                          |  |                                  |        |                  |  |                       |            |        |  |        |           |        |  |        |           |        |  |  |
|--------------------------------------------------------------|--|---------------|------------|--------------------------|--|----------------------------------|--------|------------------|--|-----------------------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                                                         |  |          |            |                     |  | ThreeMonths Ended March 31, 2006 |
| MarketSector                                                 |  | Value at Risk |            | % of TotalCapitalization |  | High Value at Risk               |        | Low Valueat Risk |  | Average*Value at Risk |
| Currencies:                                                  |  |          |       |                     |  |                             |   |             |  |                  |       |   |  |   |      |   |  |   |      |   |
|     – OTCContracts            |  | $             | 5,349,653  |                     |  |                             | 3.64   | %           |  | $                     | 17,193,806 |   |  | $      | 4,596,484 |   |  | $      | 6,689,383 |   |
| Energy                                                       |  |          | 1,257,300  |                     |  |                             | 0.86   | %           |  |                  | 9,753,735  |   |  |   | 360,000   |   |  |   | 1,737,033 |   |
| Grains                                                       |  |          | 132,000    |                     |  |                             | 0.09   | %           |  |                  | 647,750    |   |  |   | 79,537    |   |  |   | 155,306   |   |
| Indices                                                      |  |          | 1,908,514  |                     |  |                             | 1.30   | %           |  |                  | 4,526,107  |   |  |   | 1,467,140 |   |  |   | 2,218,620 |   |
| InterestRatesU.S.                                            |  |          | 1,707,700  |                     |  |                             | 1.16   | %           |  |                  | 2,373,400  |   |  |   | 104,793   |   |  |   | 1,135,973 |   |
| InterestRatesNon-U.S.                                        |  |          | 5,025,161  |                     |  |                             | 3.42   | %           |  |                  | 8,280,125  |   |  |   | 1,855,853 |   |  |   | 3,234,159 |   |
| Metals                                                       |  |          |       |                     |  |                             |   |             |  |                  |       |   |  |   |      |   |  |   |      |   |
|     – ExchangeTradedContracts |  |          | 893,250    |                     |  |                             | 0.61   | %           |  |                  | 1,747,000  |   |  |   | 283,000   |   |  |   | 860,833   |   |
|     – OTCContracts            |  |          | 206,850    |                     |  |                             | 0.14   | %           |  |                  | 2,260,564  |   |  |   | 203,900   |   |  |   | 403,966   |   |
| Softs                                                        |  |          | 608,375    |                     |  |                             | 0.41   | %           |  |                  | 1,580,442  |   |  |   | 390,335   |   |  |   | 510,842   |   |
| Total                                                        |  | $             | 17,088,803 |                     |  |                             | 11.63  | %           |  |                  |       |   |  |   |      |   |  |   |      |   |
|                                                              |

|  |
|--|
|  |  |
|  |

*   Averageof the month-end Values at Risk

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Item 4.    Controls andProcedures

The General Partner ofthe Partnership, with the participation of the General Partner'sChief Executive Officer and the Chief Financial Officer, has evaluatedthe effectiveness of the design and operation of its disclosurecontrols and procedures (as defined in Rules 13a-15(e) and 15d-15(e) ofthe Exchange Act) with respect to the Partnership as of the end of theperiod covered by the report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.Additionally, there were no significant changes in thePartnership's internal controls or in other factors that couldsignificantly affect these controls during the registrant's lastfiscal quarter, including any corrective actions with regard tosignificant deficiencies and material weaknesses.

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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 year endedDecember 31, 2005.

WorldCom, Inc.

InMarch 2006, the class action settlement in IN RE WORLDCOM, INC.SECURITIES LITIGATION became final, and the settlement amount was paidpursuant to the terms of the settlement agreement.

Research

On March 29, 2006, the courtpreliminarily approved Citigroup's settlement of IN RE SALOMONANALYST AT&T LITIGATION. A final hearing on the settlement isscheduled for August 11, 2006.

IPO AntitrustLitigation

The underwriter defendants' motion in theSecond Circuit to stay the issuance of the mandate remanding the casesto the district court pending the filing of a petition for writ ofcertiorari to the United States Supreme Court was granted on March 9,2006, after the writ of certiorari was filed on March 8, 2006.

Item 1A.    Risk Factors

There are no material changesfrom the risk factors set forth under Part I, Item 1A."Risk Factors" in our Annual Report on Form10-K for the fiscal year ended December 31, 2005.

Item2.    Unregistered Sales of Equity Securities and Use ofProceeds

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 |
| January 1, 2006–January 31,2006   |  |                                          | 59.8518  |                                      |  | $                                                                                         | 1,481.85 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| February1, 2006 –February 28,2006 |  |                                          | 201.0103 |                                      |  | $                                                                                         | 1,348.23 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| March1, 2006 –March 31,2006       |  |                                          | 307.1188 |                                      |  | $                                                                                         | 1,421.96 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| Total                                   |  |                                          | 567.9809 |                                      |  | $                                                                                         | 1,417.35 |                                                                                                               |  |   | 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 ofRedeemable Units are effected as of the last day of each month at theNet Asset Value 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 –None

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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, 2005. |

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 12,2006                                                  |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  | May 12,2006                                                  |
|        |

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