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 endedJune 30, 2005

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 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

----

SMITH BARNEYMID-WEST FUTURES FUND L.P. II

FORM 10-Q

INDEX

|                                      |  |        |  |                                                                                                                             |  |               |  |  |  |  |  |  |  |  |
|--------------------------------------|--|--------|--|-----------------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|--|--|
|                                 |  |   |  |                                                                                                                        |  | PageNumber    |
| PART I — FinancialInformation: |  |
|                                 |  | Item1. |  | FinancialStatements:                                                                                                        |  |
|                                 |  |   |  | Statements ofFinancial Condition at June 30, 2005 and December 31, 2004(unaudited)                                          |  | 3             |
|                                 |  |   |  | Statements of Income and Expenses andPartners' Capital for the three and six months ended June 30,2005 and 2004 (unaudited) |  | 4             |
|                                 |  |   |  | Statements of Cash Flows for the three andsix months ended June 30, 2005 and 2004 (unaudited)                               |  | 5             |
|                                 |  |   |  | Notes to FinancialStatements including the Financial Statements of JWH StrategicAllocation Master Fund LLC (unaudited)      |  | 6 – 15  |
|                                 |  | Item2. |  | Management's Discussion and Analysis of FinancialCondition and Results of Operations                                        |  | 16 – 18 |
|                                 |  | Item3. |  | Quantitative and Qualitative Disclosures about MarketRisk                                                                   |  | 19 – 20 |
|                                 |  | Item4. |  | Controls and Procedures                                                                                                     |  | 21            |
| PART II — OtherInformation     |  | 22     |
|                                      |

2

----

PART I

Item 1.Financial Statements

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

|                                                                                                                                        |  |             |            |                  |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|-------------|------------|------------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | June30,2005 |            | December 31,2004 |
| **Assets:**                                                                                                                            |  |        |       |             |  |
| Investmentin Master, at fair value                                                                                                     |  | $           | 20,260,811 |             |  | $      | 26,911,329 |   |
| Cash                                                                                                                                   |  |        | 37,208     |             |  |   | 17,049     |   |
|                                                                                                                                   |  | $           | 20,298,019 |             |  | $      | 26,928,378 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |
| Liabilities:                                                                                                                           |  |        |       |             |  |
| Accruedexpenses:                                                                                                                       |  |        |       |             |  |
| Commissions                                                                                                                            |  | $           | 101,490    |             |  | $      | 134,642    |   |
| Managementfees                                                                                                                         |  |        | 33,590     |             |  |   | 44,590     |   |
| Administrativefees                                                                                                                     |  |        | 16,795     |             |  |   | 22,295     |   |
| Other                                                                                                                                  |  |        | 42,814     |             |  |   | 39,860     |   |
| Redemptionspayable                                                                                                                     |  |        | 140,538    |             |  |   | 306,107    |   |
|                                                                                                                                   |  |        | 335,227    |             |  |   | 547,494    |   |
| Partners'capital:                                                                                                                      |  |        |       |             |  |
| General Partner, 301.3070 Unitequivalents outstanding in 2005 and 2004                                                                 |  |        | 490,416    |             |  |   | 618,210    |   |
| Limited Partners, 11,963.6689 and12,556.3557 Redeemable Units of Limited Partnership Interestoutstanding in 2005 and 2004,respectively |  |        | 19,472,376 |             |  |   | 25,762,674 |   |
|                                                                                                                                   |  |        | 19,962,792 |             |  |   | 26,380,884 |   |
|                                                                                                                                   |  | $           | 20,298,019 |             |  | $      | 26,928,378 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Financial Statements.

3

----

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

|                                                                                                                                     |  |                           |            |                         |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|------------|-------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                |  | ThreeMonths EndedJune 30, |            | Six Months EndedJune30, |
|                                                                                                                                |  | 2005                      |            | 2004                    |  | 2005   |            | 2004    |
| Income:                                                                                                                             |  |
| Realizedlosses on closed positions and foreign currencies from Master                                                               |  | $                         | (319,677   | )                  |  | $      | (4,205,156 | )  |  | $      | (3,118,972 | )  |  | $      | (512,367   | )  |
| Change in unrealized gains(losses) on open positions from Master                                                                    |  |                      | 773,146    |                    |  |   | (2,357,546 | )  |  |   | (1,557,766 | )  |  |   | (4,045,683 | )  |
| Expenses allocated fromMaster                                                                                                       |  |                      | (13,710    | )                  |  |   | (22,993    | )  |  |   | (29,834    | )  |  |   | (44,778    | )  |
|                                                                                                                                |  |                      | 439,759    |                    |  |   | (6,585,695 | )  |  |   | (4,706,572 | )  |  |   | (4,602,828 | )  |
| Interest income received fromMaster                                                                                                 |  |                      | 103,367    |                    |  |   | 47,997     |    |  |   | 204,220    |    |  |   | 94,275     |    |
|                                                                                                                                |  |                      | 543,126    |                    |  |   | (6,537,698 | )  |  |   | (4,502,352 | )  |  |   | (4,508,553 | )  |
| Expenses:                                                                                                                           |  |
| Brokeragecommissions                                                                                                                |  |                      | 291,353    |                    |  |   | 332,768    |    |  |   | 611,383    |    |  |   | 747,192    |    |
| Managementfees                                                                                                                      |  |                      | 96,343     |                    |  |   | 110,012    |    |  |   | 202,233    |    |  |   | 247,316    |    |
| Administrativefees                                                                                                                  |  |                      | 48,171     |                    |  |   | 55,005     |    |  |   | 101,115    |    |  |   | 123,657    |    |
| Otherexpenses                                                                                                                       |  |                      | 17,189     |                    |  |   | 9,351      |    |  |   | 33,899     |    |  |   | 20,549     |    |
|                                                                                                                                |  |                      | 453,056    |                    |  |   | 507,136    |    |  |   | 948,630    |    |  |   | 1,138,714  |    |
| Net income(loss)                                                                                                                    |  |                      | 90,070     |                    |  |   | (7,044,834 | )  |  |   | (5,450,982 | )  |  |   | (5,647,267 | )  |
| Redemptions – LimitedPartners                                                                                                 |  |                      | (322,790   | )                  |  |   | (432,516   | )  |  |   | (967,110   | )  |  |   | (824,345   | )  |
| Net decrease in Partners'capital                                                                                                    |  |                      | (232,720   | )                  |  |   | (7,477,350 | )  |  |   | (6,418,092 | )  |  |   | (6,471,612 | )  |
| Partners' capital, beginning ofperiod                                                                                               |  |                      | 20,195,512 |                    |  |   | 26,860,073 |    |  |   | 26,380,884 |    |  |   | 25,854,335 |    |
| Partners'capital, end of period                                                                                                     |  | $                         | 19,962,792 |                    |  | $      | 19,382,723 |    |  | $      | 19,962,792 |    |  | $      | 19,382,723 |    |
| Net asset value per Redeemable Unit(12,264.9759 and13,536.4257 Redeemable Units outstanding at June 30, 2005 and 2004,respectively) |  | $                         | 1,627.63   |                    |  | $      | 1,431.89   |    |  | $      | 1,627.63   |    |  | $      | 1,431.89   |    |
| Net income (loss) per Redeemable Unit of Limited PartnershipInterest and General Partner Unitequivalent                             |  | $                         | 8.54       |                    |  | $      | (514.05    | )  |  | $      | (424.13    | )  |  | $      | (414.15    | )  |
|                                                                                                                                     |

See Accompanying Notes toFinancial Statements.

4

----

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

|                                                                                                  |  |                           |          |                         |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|----------|-------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedJune 30, |          | Six Months EndedJune30, |
|                                                                                             |  | 2005                      |          | 2004                    |  | 2005   |            | 2004    |
| Cashflows from operating activities:                                                             |  |
| Net income(loss)                                                                                 |  | $                         | 90,070   |                    |  | $      | (7,044,834 | )  |  | $      | (5,450,982 | )  |  | $      | (5,647,267 | )  |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |
| (Increase) decrease ininvestment in Master at fair value                                         |  |                      | 233,673  |                    |  |   | 7,591,490  |    |  |   | 6,650,518  |    |  |   | 6,665,284  |    |
| Accrued expenses:                                                                                |  |
| Increase(decrease) in commissions                                                                |  |                      | (1,236   | )                  |  |   | (37,961    | )  |  |   | (33,152    | )  |  |   | (33,276    | )  |
| Increase (decrease) in management fees                                                           |  |                      | (387     | )                  |  |   | (12,588    | )  |  |   | (11,000    | )  |  |   | (11,050    | )  |
| Increase (decrease) in administrative fees                                                       |  |                      | (193     | )                  |  |   | (6,294     | )  |  |   | (5,500     | )  |  |   | (5,525     | )  |
| Increase (decrease) in other                                                                     |  |                      | (13,756  | )                  |  |   | (1,394     | )  |  |   | 2,954      |    |  |   | 8,404      |    |
| Net cash provided by (usedin) operating activities                                               |  |                      | 308,171  |                    |  |   | 488,419    |    |  |   | 1,152,838  |    |  |   | 976,570    |    |
| Cash flows from financingactivities:                                                             |  |
| Payments for redemptions –Limited Partners                                                 |  |                      | (321,740 | )                  |  |   | (489,116   | )  |  |   | (1,132,679 | )  |  |   | (966,449   | )  |
| Net change in cash                                                                               |  |                      | (13,569  | )                  |  |   | (697       | )  |  |   | 20,159     |    |  |   | 10,121     |    |
| Cash, at beginning of period                                                                     |  |                      | 50,777   |                    |  |   | 29,109     |    |  |   | 17,049     |    |  |   | 18,291     |    |
| Cash, at end of period                                                                           |  | $                         | 37,208   |                    |  | $      | 28,412     |    |  | $      | 37,208     |    |  | $      | 28,412     |    |
|                                                                                                  |

See Accompanying Notes toFinancial Statements.

5

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(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, 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 (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 June 30, 2005, the Partnership owned10.7% 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"). 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 June 30, 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 June 30, 2005 andDecember 31, 2004 and the results of its operations and cash flows forthe three and six months ended June 30, 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

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments at June 30, 2005 andDecember 31, 2004 and its Statements of Income and Expenses andMembers' Capital and Statements of Cash Flows for the three andsix months ended June 30, 2005 and 2004 were:

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

|                                                                                               |  |              |             |                  |  |        |             |        |  |  |
|-----------------------------------------------------------------------------------------------|--|--------------|-------------|------------------|--|--------|-------------|--------|--|--|
|                                                                                          |  | June30, 2005 |             | December 31,2004 |
| **Assets:**                                                                                   |  |         |        |             |  |   |        |   |
| Equity incommodity futures trading account:                                                   |  |
| Cash(restricted $36,677,294 and $52,152,846 in 2005 and 2004,respectively)                    |  | $            | 174,548,947 |             |  | $      | 200,509,589 |   |
| Netunrealized appreciation on open futurespositions                                           |  |         | 2,690,328   |             |  |   | 2,816,587   |   |
| Unrealizedappreciation on open forwardcontracts                                               |  |         | 18,967,859  |             |  |   | 29,891,977  |   |
|                                                                                          |  |         | 196,207,134 |             |  |   | 233,218,153 |   |
| Interestreceivable                                                                            |  |         | 407,648     |             |  |   | 311,148     |   |
|                                                                                          |  | $            | 196,614,782 |             |  | $      | 233,529,301 |   |
| **Liabilitiesand Members'Capital:**                                                           |  |
| Liabilities:                                                                                  |  |         |        |             |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts                                               |  | $            | 6,497,908   |             |  | $      | 5,772,552   |   |
| Accruedexpenses:                                                                              |  |         |        |             |  |   |        |   |
| Professionalfees                                                                              |  |         | 132,578     |             |  |   | 115,552     |   |
| Distributionpayable                                                                           |  |         | 407,648     |             |  |   | 311,148     |   |
|                                                                                          |  |         | 7,038,134   |             |  |   | 6,199,252   |   |
| Members'Capital:                                                                              |  |         |        |             |  |   |        |   |
| Members'capital, 113,624.4150 and 112,131.2876 Units outstanding in 2005 and2004,respectively |  |         | 189,576,648 |             |  |   | 227,330,049 |   |
|                                                                                          |  | $            | 196,614,782 |             |  | $      | 233,529,301 |   |
|                                                                                               |

7

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

JWH Strategic AllocationMaster FundLLC Condensed Schedule of InvestmentsJune 30,2005(Unaudited)

|                                |  |                                                    |  |           |            |         |  |  |  |  |
|--------------------------------|--|----------------------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                         |  | Contract                                           |  | FairValue |
| Currencies                     |  |                                               |  |      |       |    |
|                           |  | Unrealizeddepreciation on forward contracts(1.85)% |  | $         | (3,515,148 | )  |
|                           |  | Unrealizedappreciation on forward contracts8.91%   |  |      | 16,896,491 |    |
| TotalCurrencies7.06%           |  |                                               |  |      | 13,381,343 |    |
|                           |  |                                               |  |      |       |    |
| TotalEnergy (1.45)%            |  | Futures contracts purchased(1.45)%                 |  |      | (2,744,648 | )  |
|                           |  |                                               |  |      |       |    |
| TotalGrains (0.41)%            |  | Futures contracts purchased(0.41)%                 |  |      | (770,345   | )  |
|                           |  |                                               |  |      |       |    |
| InterestRates Non-U.S. 2.51%   |  | Futures contracts purchased2.51%                   |  |      | 4,757,645  |    |
|                           |  |                                               |  |      |       |    |
| TotalInterest Rates U.S. 0.59% |  | Futures contracts purchased0.59%                   |  |      | 1,123,695  |    |
|                           |  |                                               |  |      |       |    |
| TotalLivestock 0.06%           |  | Futures contracts sold0.06%                        |  |      | 105,980    |    |
|                           |  |                                               |  |      |       |    |
| Metals                         |  |                                               |  |      |       |    |
|                           |  | Futurescontracts sold0.02%                         |  |      | 28,925     |    |
|                           |  | Futurescontracts purchased(0.20)%                  |  |      | (372,600   | )  |
|                           |  | Totalfutures contracts(0.18)%                      |  |      | (343,675   | )  |
|                           |  |                                               |  |      |       |    |
|                           |  | Unrealizeddepreciation on forward contracts(1.57)% |  |      | (2,982,760 | )  |
|                           |  | Unrealizedappreciation on forward contracts1.09%   |  |      | 2,071,368  |    |
|                           |  | Totalforward contracts(0.48)%                      |  |      | (911,392   | )  |
| TotalMetals(0.66)%             |  |                                               |  |      | (1,255,067 | )  |
|                           |  |                                               |  |      |       |    |
| Softs                          |  |                                               |  |      |       |    |
|                           |  | Futurescontracts sold0.22%                         |  |      | 411,547    |    |
|                           |  | Futurescontracts purchased0.04%                    |  |      | 73,895     |    |
| TotalSofts0.26%                |  |                                               |  |      | 485,442    |    |
|                           |  |                                               |  |      |       |    |
| TotalIndices 0.04%             |  | Futures contracts purchased0.04%                   |  |      | 76,234     |    |
|                           |  |                                               |  |      |       |    |
| TotalFair Value8.00%           |  |                                               |  | $         | 15,160,279 |    |
|                                |

|                    |  |                           |            |                               |  |        |        |          |  |  |
|--------------------|--|---------------------------|------------|-------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at Fair Value |
| Australia          |  | $                         | (15,055    | )                        |  |   | (0.10  | )%  |
| Canada             |  |                      | 121,948    |                          |  |   | 0.80   |     |
| Germany            |  |                      | 2,694,110  |                          |  |   | 17.77  |     |
| Japan              |  |                      | 1,440,214  |                          |  |   | 9.50   |     |
| UnitedKingdom      |  |                      | 44,911     |                          |  |   | 0.30   |     |
| UnitedStates       |  |                      | 10,874,151 |                          |  |   | 71.73  |     |
|               |  | $                         | 15,160,279 |                          |  |   | 100.00 | %   |
|                    |

Percentagesare based on Master's capital unless otherwise indicated.

8

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(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

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

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

|                                                                                                                 |  |                           |             |                          |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|--------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                            |  | ThreeMonths EndedJune 30, |             | Six Months Ended June30, |
|                                                                                                            |  | 2005                      |             | 2004                     |  | 2005   |             | 2004    |
| **Income:**                                                                                                     |  |                      |        |                     |  |   |        |    |  |
| Netgains (losses) on trading of commodityinterests:                                                             |  |                      |        |                     |  |   |        |    |  |
| Realized losseson closed positions and foreign currencies                                                       |  | $                         | (3,198,367  | )                   |  | $      | (30,580,263 | )  |  | $      | (27,597,053 | )  |  | $      | (7,699,592  | )  |
| Changein unrealized gains (losses) on openpositions                                                             |  |                      | 7,810,807   |                     |  |   | (14,418,038 | )  |  |   | (11,775,733 | )  |  |   | (25,827,730 | )  |
| Interestincome                                                                                                  |  |                      | 1,241,904   |                     |  |   | 402,630     |    |  |   | 2,326,336   |    |  |   | 726,794     |    |
|                                                                                                            |  |                      | 5,854,344   |                     |  |   | (44,595,671 | )  |  |   | (37,046,450 | )  |  |   | (32,800,528 | )  |
| **Expenses:**                                                                                                   |  |                      |        |                     |  |   |        |    |  |
| Clearingfees                                                                                                    |  |                      | 125,361     |                     |  |   | 146,544     |    |  |   | 256,467     |    |  |   | 263,244     |    |
| Otherexpenses                                                                                                   |  |                      | 7,583       |                     |  |   | 15,000      |    |  |   | 17,583      |    |  |   | 30,000      |    |
|                                                                                                            |  |                      | 132,944     |                     |  |   | 161,544     |    |  |   | 274,050     |    |  |   | 293,244     |    |
| **Netincome(loss)**                                                                                             |  |                      | 5,721,400   |                     |  |   | (44,757,215 | )  |  |   | (37,320,500 | )  |  |   | (33,093,772 | )  |
| Additions                                                                                                       |  |                      | 25,704,000  |                     |  |   | 20,545,500  |    |  |   | 41,539,292  |    |  |   | 37,442,000  |    |
| Redemptions                                                                                                     |  |                      | (23,673,249 | )                   |  |   | (2,874,512  | )  |  |   | (39,645,857 | )  |  |   | (6,365,465  | )  |
| Distributionof interest to feederfunds                                                                          |  |                      | (1,241,904  | )                   |  |   | (402,630    | )  |  |   | (2,326,336  | )  |  |   | (726,794    | )  |
| Netincrease (decrease) in Members'capital                                                                       |  |                      | 6,510,247   |                     |  |   | (27,488,857 | )  |  |   | (37,753,401 | )  |  |   | (2,744,031  | )  |
| Members'capital, beginning ofperiod                                                                             |  |                      | 183,066,401 |                     |  |   | 169,821,443 |    |  |   | 227,330,049 |    |  |   | 145,076,617 |    |
| Members'capital, end ofperiod                                                                                   |  | $                         | 189,576,648 |                     |  | $      | 142,332,586 |    |  | $      | 189,576,648 |    |  | $      | 142,332,586 |    |
| Netasset value per Unit (113,624.4150 and 104,820.3576 Unitsoutstanding at June 30, 2005 and 2004,respectively) |  | $                         | 1,668.44    |                     |  | $      | 1,357.87    |    |  | $      | 1,668.44    |    |  | $      | 1,357.87    |    |
| Netincome (loss) per Unit of MemberInterest                                                                     |  | $                         | 49.01       |                     |  | $      | (445.46     | )  |  | $      | (338.76     | )  |  | $      | (313.02     | )  |
|                                                                                                                 |

10

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

JWH Strategic Allocation Master FundLLCStatements of Cash Flows(Unaudited)

|                                                                                                  |  |                           |             |                         |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|-------------|-------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedJune 30, |             | Six Months EndedJune30, |
|                                                                                             |  | 2005                      |             | 2004                    |  | 2005   |             | 2004    |
| Cashflows from operatingactivities:                                                              |  |                      |        |                    |  |   |        |    |  |
| Net income(loss)                                                                                 |  | $                         | 5,721,400   |                    |  | $      | (44,757,215 | )  |  | $      | (37,320,500 | )  |  | $      | (33,093,772 | )  |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |                      |        |                    |  |   |        |    |  |
| Changesin operating assets andliabilities:                                                       |  |                      |        |                    |  |   |        |    |  |
| (Increase)decrease in restricted cash                                                            |  |                      | 7,566,964   |                    |  |   | 5,387,719   |    |  |   | 15,475,552  |    |  |   | 79,941      |    |
| (Increase)decrease in net unrealized appreciation on open futurespositions                       |  |                      | 9,472,516   |                    |  |   | 19,573,481  |    |  |   | 126,259     |    |  |   | 6,746,009   |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |                      | (7,421,225  | )                  |  |   | 7,294,771   |    |  |   | 10,924,118  |    |  |   | 10,557,371  |    |
| (Increase) decrease in interestreceivable                                                        |  |                      | 9,127       |                    |  |   | (279,241    | )  |  |   | (96,500     | )  |  |   | (321,913    | )  |
| Increase (decrease) inunrealized depreciation on open forwardcontracts                           |  |                      | (9,862,098  | )                  |  |   | (12,450,213 | )  |  |   | 725,356     |    |  |   | 8,524,350   |    |
| Accruedexpenses:                                                                                 |  |                      |        |                    |  |   |        |    |  |
| Increase(decrease) in professional fees                                                          |  |                      | 7,026       |                    |  |   | 12,944      |    |  |   | 17,026      |    |  |   | 10,000      |    |
| Net cash provided by (usedin)operatingactivities                                                 |  |                      | 5,493,710   |                    |  |   | (25,217,754 | )  |  |   | (10,148,689 | )  |  |   | (7,498,014  | )  |
| Cash flows from financingactivities:                                                             |  |                      |        |                    |  |   |        |    |  |
| Proceeds fromadditions                                                                           |  |                      | 25,704,000  |                    |  |   | 20,545,500  |    |  |   | 41,539,292  |    |  |   | 37,442,000  |    |
| Paymentsforredemptions                                                                           |  |                      | (23,673,249 | )                  |  |   | (2,874,512  | )  |  |   | (39,645,857 | )  |  |   | (6,365,465  | )  |
| Distribution of interest tofeeder funds                                                          |  |                      | (1,251,031  | )                  |  |   | (123,389    | )  |  |   | (2,229,836  | )  |  |   | (404,881    | )  |
| Net cash provided by (usedin)by financingactivities                                              |  |                      | 779,720     |                    |  |   | 17,547,599  |    |  |   | (336,401    | )  |  |   | 30,671,654  |    |
| Net change in cash                                                                               |  |                      | 6,273,430   |                    |  |   | (7,670,155  | )  |  |   | (10,485,090 | )  |  |   | 23,173,640  |    |
| Unrestricted cash, at beginning ofperiod                                                         |  |                      | 131,598,223 |                    |  |   | 130,970,552 |    |  |   | 148,356,743 |    |  |   | 100,126,757 |    |
| Unrestricted cash, at end ofperiod                                                               |  | $                         | 137,871,653 |                    |  | $      | 123,300,397 |    |  | $      | 137,871,653 |    |  | $      | 123,300,397 |    |
|                                                                                                  |

11

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three and six months ended June 30, 2005and 2004 were asfollows:

|                                                        |  |                           |          |                         |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|-------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedJune 30, |          | Six Months EndedJune30, |
|                                                   |  | 2005                      |          | 2004                    |  | 2005   |          | 2004    |
| Netrealized and unrealized gains(losses)*              |  | $                         | 13.31    |                    |  | $      | (504.67  | )  |  | $      | (413.41  | )  |  | $      | (392.33  | )  |
| Interestincome                                         |  |                      | 8.34     |                    |  |   | 3.50     |    |  |   | 16.29    |    |  |   | 6.82     |    |
| Expenses**                                             |  |                      | (13.11   | )                  |  |   | (12.88   | )  |  |   | (27.01   | )  |  |   | (28.64   | )  |
| Increase(decrease) for theperiod                       |  |                      | 8.54     |                    |  |   | (514.05  | )  |  |   | (424.13  | )  |  |   | (414.15  | )  |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |                      | 1,619.09 |                    |  |   | 1,945.94 |    |  |   | 2,051.76 |    |  |   | 1,846.04 |    |
| NetAsset Value per Redeemable Unit, end ofperiod       |  | $                         | 1,627.63 |                    |  | $      | 1,431.89 |    |  | $      | 1,627.63 |    |  | $      | 1,431.89 |    |
|                                                        |

|                                             |  |                           |         |                          |  |        |         |          |  |        |         |          |  |        |         |          |  |  |
|---------------------------------------------|--|---------------------------|---------|--------------------------|--|--------|---------|----------|--|--------|---------|----------|--|--------|---------|----------|--|--|
|                                        |  | ThreeMonths EndedJune 30, |         | Six Months Ended June30, |
|                                        |  | 2005                      |         | 2004                     |  | 2005   |         | 2004     |
| Ratioto average net assets: ***             |  |
| Net investmentloss before incentivefees**** |  |                      | (7.3    | )%                  |  |   | (8.1    | )%  |  |   | (7.2    | )%  |  |   | (8.4    | )%  |
| Operatingexpenses                           |  |                      | 9.4     | %                   |  |   | 9.6     | %   |  |   | 9.2     | %   |  |   | 9.2     | %   |
| Incentivefees                               |  |                      | — | %                   |  |   | — | %   |  |   | — | %   |  |   | — | %   |
| Totalexpenses                               |  |                      | 9.4     | %                   |  |   | 9.6     | %   |  |   | 9.2     | %   |  |   | 9.2     | %   |
| Totalreturn:                                |  |
| Total return before incentivefees           |  |                      | 0.5     | %                   |  |   | (26.4   | )%  |  |   | (20.7   | )%  |  |   | (22.4   | )%  |
| Incentivefees                               |  |                      | — | %                   |  |   | — | %   |  |   | — | %   |  |   | — | %   |
| Totalreturn after incentivefees             |  |                      | 0.5     | %                   |  |   | (26.4   | )%  |  |   | (20.7   | %)  |  |   | (22.4   | )%  |
|                                             |

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

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

|            |                                       |
|------------|---------------------------------------|
| ***   | 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

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2005(Unaudited)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three and six monthsended June 30, 2005 and 2004 were asfollows:

|                                             |  |                           |          |                         |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|---------------------------------------------|--|---------------------------|----------|-------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                        |  | ThreeMonths EndedJune 30, |          | Six Months EndedJune30, |
|                                        |  | 2005                      |          | 2004                    |  | 2005   |          | 2004    |
| Netrealized and unrealized gains(losses)*   |  | $                         | 38.64    |                    |  | $      | (449.32  | )  |  | $      | (358.75  | )  |  | $      | (320.26  | )  |
| Interestincome                              |  |                      | 10.44    |                    |  |   | 4.01     |    |  |   | 20.15    |    |  |   | 7.55     |    |
| Expenses**                                  |  |                      | (0.07    | )                  |  |   | (0.15    | )  |  |   | (0.16    | )  |  |   | (0.31    | )  |
| Increase(decrease) for theperiod            |  |                      | 49.01    |                    |  |   | (445.46  | )  |  |   | (338.76  | )  |  |   | (313.02  | )  |
| Distributions                               |  |                      | (10.44   | )                  |  |   | (4.01    | )  |  |   | (20.15   | )  |  |   | (7.55    | )  |
| NetAsset Value per Unit, beginning ofperiod |  |                      | 1,629.87 |                    |  |   | 1,807.34 |    |  |   | 2,027.35 |    |  |   | 1,678.44 |    |
| NetAsset Value per Unit, end ofperiod       |  | $                         | 1,668.44 |                    |  | $      | 1,357.87 |    |  | $      | 1,668.44 |    |  | $      | 1,357.87 |    |
|                                             |

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

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

|                               |  |                           |        |                         |  |        |        |          |  |        |       |          |  |        |       |          |  |  |
|-------------------------------|--|---------------------------|--------|-------------------------|--|--------|--------|----------|--|--------|-------|----------|--|--------|-------|----------|--|--|
|                          |  | ThreeMonths EndedJune 30, |        | Six Months EndedJune30, |
|                          |  | 2005                      |        | 2004                    |  | 2005   |        | 2004     |
| Ratioto average netassets:*** |  |                      |   |                    |  |   |   |     |  |
| Net investmentincome****      |  |                      | 2.4    | %                  |  |   | 0.6    | %   |  |   | 2.2   | %   |  |   | 0.5   | %   |
| Operatingexpenses             |  |                      | 0.3    | %                  |  |   | 0.4    | %   |  |   | 0.3   | %   |  |   | 0.4   | %   |
| Totalreturn                   |  |                      | 3.0    | %                  |  |   | (24.7  | )%  |  |   | (16.7 | )%  |  |   | (18.7 | )%  |
|                               |

***    Annualized

****   Interest income less total expenses

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

13

----

SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsJune 30, 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 six months endedJune 30, 2005 and the year ended December 31, 2004, based on a monthlycalculation, were $3,882,747 and $7,166,273, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at June 30, 2005 and December 31, 2004, were $15,160,279and $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

----

SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsJune 30, 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 June 30, 2005. However, due tothe nature of the Partnership's/Master's business, theseinstruments may not be held to maturity.

15

----

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

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its investment in theMaster and cash. The Master does not engage in the sale of goods orservices. Its only assets are its investments in commodity futures andcash. Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership/Master. While substantial lossescould lead to a decrease in liquidity, no such losses occurred in thesecond 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 six months ended June 30, 2005, Partnership capital decreased24.3% from $26,380,884 to $19,962,792. This decrease wasattributable to a net loss from operations of $5,450,982, coupled withthe redemption of 592.6868 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $967,110. 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 six months ended June30, 2005 the Master's capital decreased 16.6% from$227,330,049 to $189,576,648. This decrease was attributable to a netloss from operations of $37,320,500, coupled with redemptions of23,106.3151 Units totaling $39,645,857 and the distribution of interesttotaling $2,326,336 paid to the feeder funds, which was partiallyoffset by the additional sales of 24,599.4425 Units resulting in aninflow of $41,539,292. 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

----

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 second quarter of2005 the net asset value per Redeemable unit increased 0.5% from$1,619.09 to $1,627.63 as compared to a decrease of 26.4% in thesecond quarter of 2004. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the second quarter of2005 of $453,469. Gains were primarily attributable to theMaster's trading of commodity futures in currencies, U.S. andnon-U.S. interest rates and livestock and were partially offset bylosses in grains, metals, energy, softs and indices. The Partnershipexperienced a net trading loss before brokerage commissions and relatedfees in the second quarter of 2004 of $6,562,702. Losses were primarilyattributable to the Master's trading of commodity futures incurrencies, non-U.S. interest rates, metals and indices and werepartially offset by gains in energy, grains, U.S. interest rates,livestock, and softs.

Trading in the second quarter of 2005began with a continuation of the volatile and directionless marketsthat had characterized the first quarter. Through most of April,neither the financial nor commodity markets provided profitable tradingopportunities for the Partnership's Advisor. May was a transitionperiod as macro-economic trends emerged and continued into Juneproviding improved trading conditions for the trend-followingstrategies of the Advisor.

Lower interest rates in Europe andthe U.S. were the primary drivers of profitability for the quarter andhad a concomitant impact on strengthening the U.S. dollar to recenthighs versus the Euro, British pound and Swiss franc. Lower interestrates were favorable for the Advisor's positions as lowerinflation reports, weak European markets, and improved productivitycaused markets to shrug off another increase in short-term rates by theU.S. Federal Reserve Board. Trading in foreign currencies was thePartnership's most profitable sector while trading in globalstock indices was unprofitable.

Offsetting a portion of thesegains were losses in the commodity markets. A combination of lowerinflation expectations and increased supplies disrupted price trendsacross several markets. Trading in crude oil incurred the greatestlosses for the month while trading in grains, base and precious metalsand softs was likewise unprofitable. Despite these market conditionsand losses, the Partnership managed to end the quarter up approximately1.0%.

During the Partnership's six months endedJune 30, 2005, the Net Asset Value per Redeemable Unit decreased20.7% from $2,051.76 to $1,627.63 as compared to a decrease of22.4% during the six months ended June 30, 2004. The Partnershipexperienced a net trading loss before brokerage commissions and relatedfees during the six months ended June 30, 2005 of $4,676,738. Losseswere primarily attributable to the Master's trading of commodityfutures in currencies, metals, grains, energy, and indices and werepartially offset by gains in livestock, softs, U.S. and non-U.S.interest rates. The Partnership experienced a net trading loss beforebrokerage commissions and related fees during the six months ended June30, 2004 of $4,558,050. Losses were primarily attributable to theMaster's trading in currencies, non-U.S. interest rates, metalsand indices and were partially offset by gains in energy, grains, U.S.interest rates, livestock and softs.

Commodity futures marketsare highly volatile. The potential for broad and rapid pricefluctuations increases the risks involved in commodity trading, butalso 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 

17

----

assets in cash and/or place all of theMaster's assets in 90-day Treasury bills and pay the Partnershipits allocated share of 80% of the interest earned on theTreasury bills purchased. CGM will retain 20% of any interestearned on Treasury bills. Interest income for the three and six monthsended June 30, 2005 increased by $55,370 and $109,945, respectively, ascompared to the corresponding periods in 2004. The increase in interestincome is primarily due to higher interest rates during the three andsix months ended June 30, 2005 as compared to the corresponding periodsin 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 andsix months ended June 30, 2005 decreased by $41,415 and $135,809,respectively, as compared to the corresponding periods in 2004. Thedecrease in brokerage commissions is due to lower net assets during thethree and six months ended June  30, 2005 as compared to thecorresponding periods in 2004.

Management fees are calculated asa percentage of the Partnership's net asset value as of the endof each month and are affected by trading performance and redemptions.Management fees for the three and six months ended June 30, 2005decreased by $13,669 and $45,083, respectively, as compared to thecorresponding periods in 2004. The decrease in management fees is dueto lower net assets during the three and six months ended June 30, 2005as compared to the corresponding periods in 2004.

Administrativefees are paid to the General Partner for administering the business andaffairs of the Partnership. These fees are calculated as a percentageof the Partnership's net asset value as of the end of each monthand are affected by trading performance and redemptions. Administrativefees for the three and six months ended June 30, 2005 decreased by$6,834 and $22,542, respectively, as compared to the correspondingperiods in 2004. The decrease in administrative fees is due to lowernet assets during the three and six months ended June 30, 2005 ascompared to the corresponding periods in 2004.

Incentive feesare based on the new trading profits generated by the Advisor asdefined in the advisory agreement between the Partnership, the GeneralPartner and the Advisor. There were no incentive fees earned for thethree and six months ended June 30, 2005 or 2004.

18

----

Item 3.    Quantitative and QualitativeDisclosures about Market Risk

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

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

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

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

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

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

19

----

The following table indicates the tradingValue at Risk associated with the Master's open positions bymarket category as of June 30, 2005 and the highest, lowest and averagevalues during the three months ended June 30, 2005. All open positiontrading risk exposures of the Master have been included in calculatingthe figures set forth below. As of June 30, 2005, the Master'stotal capitalization was $189,576,648. There have been no materialchanges in the trading Value at Risk information previously disclosedin the Partnership's Annual Report on Form 10-K for the yearended December 31, 2004.

June 30,2005(Unaudited)

|                                                              |  |              |            |                           |  |                                 |        |                  |  |          |            |        |  |        |           |        |  |        |            |        |  |  |
|--------------------------------------------------------------|--|--------------|------------|---------------------------|--|---------------------------------|--------|------------------|--|----------|------------|--------|--|--------|-----------|--------|--|--------|------------|--------|--|--|
|                                                         |  |         |            |                      |  | ThreeMonths Ended June 30, 2005 |
| Market Sector                                                |  | Value atRisk |            | % of Total Capitalization |  | HighValue at Risk               |        | Low Value atRisk |  | Average* |
| Currencies:                                                  |  |
|     – OTC                     |  | $            | 13,306,702 |                      |  |                            | 7.02   | %           |  | $        | 13,947,295 |   |  | $      | 6,181,557 |   |  | $      | 11,325,660 |   |
| Energy                                                       |  |         | 6,728,050  |                      |  |                            | 3.55   | %           |  |     | 9,506,700  |   |  |   | 2,066,250 |   |  |   | 6,745,893  |   |
| Grains                                                       |  |         | 432,175    |                      |  |                            | 0.23   | %           |  |     | 568,200    |   |  |   | 131,727   |   |  |   | 267,897    |   |
| InterestRatesU.S.                                            |  |         | 1,980,000  |                      |  |                            | 1.04   | %           |  |     | 2,317,400  |   |  |   | 305,900   |   |  |   | 1,594,583  |   |
| InterestRates Non-U.S.                                       |  |         | 6,547,621  |                      |  |                            | 3.45   | %           |  |     | 7,295,491  |   |  |   | 5,114,692 |   |  |   | 6,769,184  |   |
| Livestock                                                    |  |         | 53,600     |                      |  |                            | 0.03   | %           |  |     | 129,600    |   |  |   | 3,200     |   |  |   | 54,933     |   |
| Metals                                                       |  |         |       |                      |  |                            |   |             |  |     |       |   |  |   |      |   |  |   |       |   |
|     – ExchangeTradedContracts |  |         | 660,667    |                      |  |                            | 0.35   | %           |  |     | 1,588,500  |   |  |   | 660,667   |   |  |   | 813,722    |   |
|     – OTC                     |  |         | 1,099,997  |                      |  |                            | 0.58   | %           |  |     | 2,427,602  |   |  |   | 840,847   |   |  |   | 1,164,413  |   |
| Softs                                                        |  |         | 706,368    |                      |  |                            | 0.37   | %           |  |     | 1,580,396  |   |  |   | 575,334   |   |  |   | 807,062    |   |
| Indices                                                      |  |         | 2,228,949  |                      |  |                            | 1.18   | %           |  |     | 4,518,109  |   |  |   | 1,793,099 |   |  |   | 2,617,503  |   |
| **Total**                                                    |  | $            | 33,744,129 |                      |  |                            | 17.80  | %           |  |
|                                                              |

|  |
|--|
|  |  |
|  |

*   Averageof the month-end Values at Risk

20

----

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 within 90 days of thefiling date of this quarterly report, and, based on this evaluation,has concluded that these disclosure controls and procedures areeffective. Additionally, there were no significant changes in thePartnership's internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of thisevaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

21

----

PART II. OTHER INFORMATION

Item1.    Legal Proceedings

The following information supplementsand amends our discussion set forth under Item 3, "LegalProceedings" in the Partnership's Annual Report onForm 10-K for the year ended December 31, 2004 and under Part II, Item1, "Legal Proceedings" in thePartnership's Quarterly Report on Form 10-Q for the quarter endedMarch 31, 2005.

Enron-Related Civil Actions

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

Mutual Funds

On May 31, 2005, Citigroupannounced that Smith Barney Fund Management LLC and Citigroup GlobalMarkets completed a settlement with the SEC resolving an investigationby the SEC into matters relating to arrangements between certain SmithBarney mutual funds, an affiliated transfer agent and an unaffiliatedsub-transfer agent. Under the terms of the settlement, Citigroup agreedto pay fines totaling $208.1 million. The settlement, in whichCitigroup neither admitted nor denied any wrongdoing or liability,includes allegations of willful misconduct by Smith Barney FundManagement LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Item 2.    Unregistered Sales of Equity Securitiesand Use of Proceeds

The following chart sets forth thepurchases 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 |
| April 1, 2005–April 30,2005 |  |                                          | 77.3336  |                                      |  | $                                                                                         | 1,444.66 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| May1, 2005 –May 31,2005     |  |                                          | 44.7489  |                                      |  | $                                                                                         | 1,576.14 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| June1, 2005 –June 30,2005   |  |                                          | 86.3449  |                                      |  | $                                                                                         | 1,627.63 |                                                                                                               |  |   | N/A |   |  |   | N/A |   |
| Total                             |  |                                          | 208.4274 |                                      |  | $                                                                                         | 1,549.48 |                                                                                                               |  |   | 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. |

22

----

Item 3.    Defaults Upon SeniorSecurities – None

Item 4.    Submission of Matters toa Vote of Security Holders – None

Item 5.    OtherInformation – 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).

23

----

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:  |  | August 15,2005                                               |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  | August 15,2005                                               |
|        |

24

----