UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 2003

Commission File Number 0-50271

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
             (Exact name of registrant as specified in its charter)

              New York                                   22-3644546
      (State or other jurisdiction of                  (I.R.S. Employer
      incorporation or organization)                  Identification No.)

                        c/o Citigroup Managed Futures LLC
                            399 Park Avenue - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (Registrant's telephone number, including area code)

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

Securities registered pursuant to Section 12(g) of the Act: Redeemable Units of
                                                            Limited Partnership
                                                            Interest
                                                            (Title of Class)

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

                                                    Yes  X       No
                                                        ---

Indicate by check mark if disclosure of delinquent  filers  pursuant to Item 405
of Regulation  S-K is not contained  herein,  and will not be contained,  to the
best of registrant's  knowledge,  in definitive proxy or information  statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
form 10-K [X]

Indicate  by check mark  whether  the  registrant  is an  accelerated  filer (as
defined in Rule 12b-2 of the Act).

                                                    Yes  X        No
                                                        ---

Limited Partnership Redeemable Units with an aggregate value of $78,017,925 were
outstanding  and  held by  non-affiliates  as of the  last  business  day of the
registrant's most recently completed second fiscal quarter.



As of February 29, 2004,  81,996.6937 Limited Partnership  Redeemable Units were
outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE



                                      None

<PAGE>




                                     PART I

Item 1.  Business.

     (a) General  development  of business.  Salomon  Smith Barney Orion Futures
Fund L.P. (the  "Partnership") is a limited  partnership  organized on March 22,
1999 under the  partnership  laws of the State of New York. The objective of the
Partnership is to achieve substantial capital  appreciation  through speculative
trading in U.S. and international markets for currencies,  interest rates, stock
indices,   agricultural,   energy  products,   precious  and  base  metals.  The
Partnership may employ  futures,  options on futures,  and forward  contracts in
those markets.  In addition,  the Partnership may also enter into swap contracts
on energy  related  products  (together  with other  traded  futures and options
contracts, the "Commodity Interests"). During the initial offering period (March
31, 1999 through June 10, 1999) the Partnership sold 10,499  redeemable units of
Limited Partnership Interest ("Redeemable Units") at $1,000 per Redeemable Unit.
The Partnership  commenced its Commodity Interest trading activities on June 10,
1999. No securities  which represent an equity interest or any other interest in
the  Partnership  trade on any public  market.  The  Partnership  privately  and
continuously offers up to 150,000 Redeemable Units to qualified investors. Sales
and  redemptions  of  Redeemable  Units and general  partner  contributions  and
redemptions for the years ended December 31, 2003, 2002 and 2001 are reported in
the  Statement  of  Partners'  Capital  on page F-9  under  "Item  8.  Financial
Statements and Supplementary Data."

     Citigroup  Managed  Futures LLC,  formerly  known as Smith  Barney  Futures
Management  LLC, a Delaware  limited  liability  company,  is the  Partnership's
general  partner and commodity  pool operator  (the "General  Partner").  At the
commencement  of  trading  the  Partnership's  General  Partner  was SFG  Global
Investments,   Inc.   ("SFG")  and  Citigroup   Managed   Futures  LLC  was  the
Partnership's trading manager.  Effective April 1, 2001, the limited partners of
the Partnership  elected Citigroup Managed Futures LLC as the General Partner of
the  Partnership  and  consented to the  withdrawal  of SFG as General  Partner.
Concurrent with this election as General Partner,  Citigroup Managed Futures LLC
withdrew as the Partnership's trading manager.

     Effective  September 1, 2001, the Partnership  allocated the portion of the
Partnership's  capital  that were  allocated  to AAA  Capital  Management,  Inc.
("AAA") for trading to the SB AAA Master Fund LLC, a New York Limited  Liability
Company (the  "Master").  With this cash, the Partnership  purchased  5,173.4381
Units of the  Master at a fair  value of  $5,173,438.  The  Master was formed in
order to permit  accounts  managed  now or in the future by AAA using the Energy
with Swaps  Program,  to invest  together  in one trading  vehicle.  The General
Partner is the  Managing  Member of the  Master.  Individual  and pool  accounts
currently managed by AAA, including the Partnership  (collectively,  the "Feeder
Funds") are  permitted  to be  non-managing  members of the Master.  The General
Partner and AAA believe that trading through this master/feeder structure should
promote efficiency and economy in the trading process.  Expenses to investors as
a  result  of the  investment  in the  Master  are  approximately  the  same and
redemption rights are not affected.

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

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<PAGE>

     At  December  31,  2003 and  2002,  the  Partnership  owns  13.1% and 7.3%,
respectively,  of the Master.  It is AAA's  intention  to continue to invest the
assets allocated to it by the Partnership in the Master.  The performance of the
Partnership is directly affected by the performance of the Master.

     The  Partnership's/Master's   trading  of  futures,  forwards  and  options
contracts,  if applicable,  on commodities is done primarily on United States of
America commodity exchanges and foreign commodity exchanges.  It engages in such
trading through a commodity brokerage account maintained with CGM.

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following: December 31, 2019; the net asset value of a Redeemable Unit decreases
to less than $400 as of a close of any  business  day;  a decline  in net assets
after  trading  commences  to  less  than  $1,000,000  or  under  certain  other
circumstances as defined in the Limited Partnership Agreement of the Partnership
(the "Limited Partnership Agreement").

     Under  the  amended  and  restated  limited  partnership  agreement  of the
Partnership (the "Limited Partnership Agreement"),  the General Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
Advisors.  The Partnership pays the General Partner a monthly administrative fee
equal to 1/24 of 1% (0.5% per  year) of  month-end  net  assets.  Month-end  Net
Assets,  for the purpose of calculating  administrative  fees are Net Assets, as
defined  in  the  Limited  Partnership  Agreement,  prior  to the  reduction  of
redemptions and incentive fees. Prior to April 1, 2001, the Partnership paid SFG
Global Investments, Inc. a monthly fee of $2,000.

     The  General  Partner,  on  behalf of the  Partnership,  has  entered  into
Management  Agreements with Winton Capital Management,  Willowbridge  Associates
Inc.,  and AAA  (collectively,  the  "Advisors"),  each of which are  registered
commodity trading Advisors.  Beacon Management  Corporation was terminated as an
Advisor to the  Partnership on April 30, 2003 and Winton Capital  Management was
added on the same date.  The Advisors are not affiliated  with one another,  are
not  affiliated  with  the  General  Partner  or CGM  except  AAA,  and  are not
responsible for the organization or operation of the Partnership. Mr. A. Anthony
Annunziato is the sole trading  principal of AAA and is also an employee of CGM.
The Partnership  will pay each Advisor a monthly  management fee equal to 1/6 of
1% (2% a year) of month-end Net Assets allocated to each Advisor.  Month-end Net
Assets,  for the  purpose of  calculating  management  fees are Net  Assets,  as
defined  in  the  Limited  Partnership  Agreement,  prior  to the  reduction  of
redemptions and incentive fees. In addition, the Partnership is obligated to pay
each Advisor an incentive fee payable  quarterly equal to 20% of the New Trading
Profits, as defined in the Management Agreements, earned by each Advisor for the
Partnership.

     The Partnership  has entered into a Customer  Agreement which provides that
the  Partnership  will pay CGM brokerage  commissions  at $18 per round turn for
futures and forward  transactions and $9 per side for options. The brokerage fee
was  inclusive  of floor  brokerage.  The  Partnership  will  also be  allocated
brokerage  commissions  through its investment in the Master. CGM pays a portion
of its brokerage  fees to its  financial  consultants  who have sold  Redeemable
Units in the Partnership. In addition, the Partnership paid for National Futures

                                       3
<PAGE>

Association  ("NFA") fees,  exchange and clearing  fees,  give-up and user fees.
Brokerage fees will be paid for the life of the  Partnership,  although the rate
at  which  such  fees  are  paid  may be  changed.  In  addition,  CGM  pays the
Partnership  interest on 100% of the average daily equity  maintained in cash in
its account  during each month at a 30-day U.S.  Treasury  bill rate  determined
weekly by CGM based on the non-competitive  yield on 3-month U.S. Treasury bills
maturing in 30 days from the date in which such weekly rate is  determined.  The
Customer  Agreement  between the  Partnership  and CGM gives the Partnership the
legal right to net unrealized  gains and losses.  The Customer  Agreement may be
terminated upon notice by either party.

     (b)  Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's net income (loss) from operations for the years ended December 31,
2003,  2001,  2000 and the period  from June 10, 1999  (commencement  of trading
operations) to December 31, 1999 are set forth under "Item 6. Selected Financial
Data." The Partnership's capital as of December 31, 2003, was $87,468,980.

     (c) Narrative description of business.

         See Paragraphs (a) and (b) above.

         (i) through (xii) - Not applicable.

         (xiii) - The Partnership has no employees.

     (d) Financial  Information About Geographic Areas. The Partnership does not
engage in sales of goods or services or own any long lived assets, and therefore
this item is not applicable.

     (e)  Available  Information.  The  Partnership  does not  have an  Internet
address.  The Partnership will provide paper copies of its annual report on Form
10-K,  quarterly  reports  on Form  10-Q,  current  reports  on Form 8-K and any
amendments to these reports free of charge upon request.

Item 2.  Properties.

     The Partnership  does not own or lease any properties.  The General Partner
operates out of facilities provided by its affiliate, CGM.

Item 3.  Legal Proceedings

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

     Citigroup  Managed Futures LLC.  ("CGM") is a New York corporation with its
principal place of business at 388 Greenwich  Street,  New York, New York 10013.

                                       4
<PAGE>

CGM is registered as a broker-dealer  and futures  commission  merchant ("FCM"),
and provides  futures  brokerage  and clearing  services for  institutional  and
retail participants in the futures markets.  CGM and its affiliates also provide
investment banking and other financial services for clients worldwide.

     There  have been no  material  administrative,  civil or  criminal  actions
within the past five years against CGM or any of its  individual  principals and
no such actions are currently pending, except as follows.

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
Salomon Smith Barney,  in the U.S.  Bankruptcy Court for the Central District of
California.  (County  of Orange et al. v. Bear  Stearns & Co.  Inc.  et al.) The
complaint alleged,  among other things, that the brokerage firms recommended and
sold  unsuitable  securities  to Orange  County.  Salomon  Smith  Barney and the
remaining  brokerage firms settled with Orange County in mid 1999. Salomon Smith
Barney paid $1,333,333 to settle this matter.

     In June  1998,  complaints  were filed in the U.S.  District  Court for the
Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc.  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.), in which the City of New Orleans sought a
determination   that  Smith  Barney  Inc.  and  another   underwriter  would  be
responsible  for any damages  that the City may incur in the event the  Internal
Revenue  Service  ("IRS")  denies  tax  exempt  status  to  the  City's  General
Obligation  Refunding  Bonds  Series  1991.  The  complaints  were  subsequently
amended.  Salomon  Smith  Barney  has  asked the court to  dismiss  the  amended
complaints.  The court denied the motion but stayed the case. Subsequently,  the
City withdrew its lawsuit.

     In November 1998, a class action  complaint was filed in the U.S.  District
Court for the Middle  District  of Florida  (Dwight  Brock as Clerk for  Collier
County v. Merrill  Lynch,  et al.).  The complaint  alleged that,  pursuant to a
nationwide  conspiracy,  17 broker-dealer  defendants,  including  Salomon Smith
Barney,  charged  excessive  mark-ups  in  connection  with  advanced  refunding
transactions.  Among other relief,  plaintiffs sought  compensatory and punitive
damages,  restitution  and/or rescission of the transactions and disgorgement of
alleged  excessive  profits.  In October  1999,  the  plaintiffs  filed a second
amended  complaint.  In November 1999, Salomon Smith Barney moved to dismiss the
amended complaint.  In May 2001, the parties reached and the court preliminarily
approved a tentative settlement.  Salomon Smith Barney paid $1,063,457 to settle
this matter and in September 2001, the court approved the settlement.

     In connection with the Louisiana and Florida  matters,  the IRS and the SEC
conducted an industry-wide investigation into the pricing of Treasury securities
in advanced  refunding  transactions.  In April 2000,  Salomon  Smith Barney and
several other broker-dealers entered into a settlement with the IRS and the SEC.
Thereafter, the plaintiffs filed voluntary discontinuances.

     In December  1998,  Salomon  Smith Barney was one of 28 market making firms
that  reached a  settlement  with the SEC in the matter  titled In the Matter of
Certain  Market Making  Activities on NASDAQ.  As part of the settlement of that
matter,   Salomon  Smith  Barney,  without  admitting  or  denying  the  factual
allegations, agreed to an order that required that it: (i) cease and desist from

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<PAGE>

committing  or  causing  any  violations  of  Sections  15(c)(1)  and (2) of the
Securities  Exchange  Act of  1934  and  SEC  Rules  15c1-2,  15c2-7  and  17a-3
thereunder,  (ii) pay penalties totaling approximately $760,000 and (iii) submit
certain policies and procedures to an independent consultant for review.


     In April 2002,  numerous class action complaints were filed against Salomon
Smith  Barney  and other  investment  banks in the U.S.  District  Court for the
Southern District of New York alleging  violations of certain federal securities
laws  (including  Section 11 of the  Securities Act of 1933 and Section 10(b) of
the  Securities  Exchange Act of 1934) with respect to the  allocation of shares
for certain initial public  offerings and related  aftermarket  transactions and
damage to investors  caused by allegedly  biased research  analyst  reports.  On
February 19, 2003, the court issued an opinion denying the defendants' motion to
dismiss the complaints.

     In April 2002,  Citigroup and, in one case, Salomon Smith Barney were named
as defendants  along with, among others,  commercial  and/or  investment  banks,
certain current and former Enron officers and directors, lawyers and accountants
in two alleged  consolidated class action complaints that were filed in the U.S.
District Court for the Southern District of Texas seeking  unspecified  damages.
One action,  brought on behalf of  individuals  who purchased  Enron  securities
(Newby, et al. v. Enron Corp., et al.), alleges violations of Sections 11 and 15
of the  Securities  Act of 1933 and Sections  10(b) and 20(a) of the  Securities
Exchange  Act of 1934 and the other  action,  brought on behalf of  current  and
former  Enron  employees  (Tittle,  et al.  v.  Enron  Corp.,  et al.),  alleges
violations of ERISA and the Racketeer Influenced and Corrupt  Organizations Act,
as well as  negligence  and civil  conspiracy.  On May 8,  2002,  Citigroup  and
Salomon  Smith Barney filed motions to dismiss the  complaints.  On December 19,
2002, the motions to dismiss the Newby  complaint were denied.  On September 30,
2003,  all  of the  claims  against  Citigroup  in the  Tittle  litigation  were
dismissed.

     Several additional actions,  previously identified,  have been consolidated
with the Newby action and are stayed,  except with respect to certain discovery,
until after the Court's decision on class certification.  In addition,  on April
17,  2003,  an action was brought by two  investment  firms in  connection  with
purchases  of Osprey  Trust  certificates  for  alleged  violations  of  federal
securities  laws and state  securities  and other laws.  Also,  in July 2003, an
action was  brought by  purchasers  in the  secondary  market of Enron bank debt
against  Citigroup,  Citibank,  Citigroup Global Markets,  and others,  alleging
claims for common law fraud, conspiracy, gross negligence, negligence and breach
of fiduciary duty.

     Since April 2002,  Salomon  Smith Barney and several  other broker  dealers
have  received   subpoenas   and/or  requests  for   information   from  various
governmental  and   self-regulatory   agencies  and  Congressional   committees,
including the NASD Inc.  which has raised  issues about  Salomon Smith  Barney's
internal e-mail retention practices and research on Winstar Communications, Inc.
With  respect to Winstar,  Salomon  Smith  Barney has entered  into a settlement
agreement.  Salomon  Smith  Barney  agreed to pay a penalty  in the amount of $5
million and did not admit to any wrongdoing. With respect to other such matters,
on December 20, 2002, Salomon Smith Barney and a number of other  broker/dealers
reached a  settlement-in-principle  with the SEC,  the NASD,  the New York Stock
Exchange (the "NYSE") and the Attorney  General of New York of all issues raised
in their  research,  initial public  offerings  allocation and  spinning-related
inquiries.  In addition, with respect to issues raised by the NASD, the NYSE and
the  SEC  about  Salomon  Smith  Barney's  and  other  firms'  e-mail  retention

                                       6
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practices,  Salomon Smith Barney and several other  broker/dealers and the NASD,
the NYSE and the SEC entered  into a  settlement  agreement  in  December  2002.
Salomon  Smith Barney agreed to pay a penalty in the amount of $1.65 million and
did not admit any wrongdoing.

     Since May 2002, Citigroup,  Salomon Smith Barney and certain principals and
current  and  former  employees  have been  named as  defendants  in a number of
alleged  class  action  complaints  filed by  purchasers  of various  securities
alleging they violated federal  securities law,  including Sections 10 and 20 of
the  Securities  Exchange  Act of  1934  by  issuing  research  reports  without
reasonable  basis and failing to disclose  conflicts  of interest in  connection
with published investment research,  including Global Crossing,  WorldCom, Inc.,
AT&T, Winstar, Rhythm Net Connections, Level 3 Communications,  MetroMedia Fiber
Network, XO Communications and Williams  Communications Group Inc. Nearly all of
these actions are pending  before a single judge in the U.S.  District Court for
the Southern  District of New York for  coordinated  proceedings.  The court has
consolidated  these actions into nine separate  categories  corresponding to the
companies named above.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  including  Salomon Smith  Barney,  and certain of their current and
former directors,  officers and employees, along with other parties,  including:
(1) three  alleged  class  actions  filed in state courts and federal  courts on
behalf of persons who maintained  accounts with Salomon Smith Barney  asserting,
among other things, common law claims,  claims under state statutes,  and claims
under the  Investment  Advisers Act of 1940,  for  allegedly  failing to provide
objective and unbiased investment research and investment  management,  seeking,
among other things,  return of fees and commissions;  (2) approximately  fifteen
actions filed in different  state courts by individuals  asserting,  among other
claims,  common law claims and claims under state securities laws, for allegedly
issuing  research  reports without a reasonable  basis in fact and for allegedly
failing to disclose  conflicts of interest  with  companies in  connection  with
published investment research, including Global Crossing and WorldCom, Inc.; (3)
approximately  five actions filed in different state courts by pension and other
funds  asserting  common law claims and  statutory  claims  under,  among  other
things,  state and federal  securities  laws,  for  allegedly  issuing  research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts of interest with  companies in connection  with  published  investment
research,  including WorldCom, Inc. and Qwest Communications International Inc.;
and (4) more than two  hundred  arbitrations  asserting  common  law  claims and
statutory claims under,  among other things,  state and federal securities laws,
for allegedly  issuing  research  reports without a reasonable basis in fact and
for  allegedly  failing to disclose  conflicts  of interest  with  companies  in
connection with published investment research.

     In July 2002, Citigroup, Salomon Smith Barney and various of its affiliates
and certain of their  officers  and other  employees  were named as  defendants,
along with, among others,  commercial and/or  investment banks,  certain current
and former Enron officers and directors,  lawyers and  accountants in an alleged
class action filed in the U.S.  District Court for the Southern  District of New
York on behalf  of  purchasers  of the  Yosemite  Notes and Enron  Credit-Linked
Notes,  among other  securities  (Hudson  Soft Co.,  Ltd v. Credit  Suisse First
Boston  Corporation,  et al.). The complaint  alleges  violations of RICO and of
Sections  10(b)  and  20(a) of the  Securities  Exchange  Act of 1934 and  seeks
unspecified damages.


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<PAGE>

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  along with other  parties,  including (i) three actions  brought in
state courts by state pension plans for alleged  violations of state  securities
law and  common law fraud and  unjust  enrichment;  (ii) an action by banks that
participated in two Enron revolving  credit  facilities,  alleging fraud,  gross
negligence  and  breach of implied  duties in  connection  with the  defendants'
administration  of a credit  facility  with  Enron;  (iii) an action  brought by
several funds in connection with secondary  market purchases of Enron Corp. debt
securities  alleging  violations of federal securities law, including Section 11
of the Securities Act of 1933, and claims for fraud and misrepresentation;  (iv)
a series of alleged class actions by  purchasers  of New Power  Holdings  common
stock alleging violations of federal securities law, including Section 11 of the
Securities Act of 1933 and Section 10(b) of the Securities Exchange Act of 1934;
(v) an action  brought by two investment  funds in connection  with purchases of
Enron-related  securities for alleged  violations of state securities and unfair
competition  statutes;  (vi) an action brought by several  investment  funds and
fund owners in connection  with purchases of notes of the Osprey I and Osprey II
Trusts for alleged violation of state and federal securities laws and claims for
common law fraud,  misrepresentation and conspiracy;  (vii) an action brought by
several  investment  funds and fund owners in connection with purchases of notes
of the Osprey I and Osprey II Trusts for alleged  violation of state and federal
securities  laws and state  unfair  competition  laws and  claims for common law
fraud and misrepresentation; (viii) an action brought by the Attorney General of
Connecticut  in  connection  with  various  commercial  and  investment  banking
services  provided to Enron;  (ix) an alleged class action brought by clients of
Salomon  Smith Barney in  connection  with research  reports  concerning  Enron,
alleging breach of contract;  (x) actions brought by several investment funds in
connection with the purchase of notes and/or  certificates of the Osprey Trusts,
the Marlin Trust,  and the Marlin Water trust,  as well as the purchase of other
Enron or  Enron-related  securities,  alleging  violation  of state and  federal
securities  laws,  and common  law civil  conspiracy  and fraud;  (xi) an action
brought by a retirement and health benefits plan in connection with the purchase
of certain Enron notes,  alleging violation of federal securities law, including
Section 11 of the  Securities  Act of 1933,  violations of state  securities and
unfair  competition  law, and common law fraud and breach of fiduciary duty; and
(xii) an action brought by two broker/dealers in connection with the purchase of
certain notes,  alleging violation of federal and state securities laws. Several
of these cases have been  consolidated  with the Newby action and stayed pending
the Court's  decision on the pending  motions of certain  defendants  to dismiss
Newby.  On April 17, 2003,  the motion to dismiss the complaints in the putative
class actions relating to the New Power Holdings common stock was denied.

     Additionally,  Citigroup and certain of its affiliates,  including  Salomon
Smith Barney,  have provided  substantial  information to, and have entered into
substantive  discussions with, the SEC regarding  certain of their  transactions
with Enron and a  transaction  with  Dynegy  Inc.  Citigroup  and certain of its
affiliates,  including  Salomon Smith Barney,  also have received  subpoenas and
requests for information from various other regulatory and governmental agencies
and Congressional  committees, as well as from the Special Examiner in the Enron
bankruptcy, regarding certain transactions and business relationships with Enron
and its  affiliates.  Citigroup  and its  affiliates,  including  Salomon  Smith
Barney, are cooperating fully with all such requests.

     On July 28, 2003,  Citigroup entered into a final settlement agreement with
the  SEC  to  resolve  the  SEC's  outstanding   investigations  into  Citigroup
transactions with Enron and Dynegy.  Pursuant to the settlement,  Citigroup has,
among other terms,  (1)  consented to the entry of an  administrative  cease and

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desist order,  which bars  Citigroup  from  committing or causing  violations of
provisions of the federal  securities  laws,  and (2) agreed to pay $120 million
($101.25  million  allocable to Enron and $18.75  million  allocable to Dynegy).
Citigroup  entered  into  this  settlement  without  admitting  or  denying  any
wrongdoing or liability,  and the  settlement  does not establish  wrongdoing or
liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A.
entered into an  agreement  with the Office of the  Comptroller  of the Currency
("OCC") and Citigroup entered into an agreement with the Federal Reserve Bank of
New York  ("FED")  to  resolve  their  inquiries  into  certain  of  Citigroup's
transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have
agreed to submit plans to the OCC and FED, respectively,  regarding the handling
of complex structured  finance  transactions.  Also on July 28, 2003,  Citigroup
entered into a  settlement  agreement  with the  Manhattan  District  Attorney's
Office to resolve its  investigation  into certain of  Citigroup's  transactions
with  Enron;  pursuant  to the  settlement,  Citigroup  has  agreed to pay $25.5
million and to abide by its agreements with the SEC, OCC and FED.

     Citigroup  and Salomon  Smith  Barney are  involved in a number of lawsuits
arising out of the  underwriting  of debt  securities  of WorldCom,  Inc.  These
lawsuits include alleged class actions filed in July 2002 by alleged  purchasers
of WorldCom debt securities in the United States District Court for the Southern
District of New York (Above Paradise Investments Ltd. V. Worldcom, Inc., et al.;
Municipal Police Employees Retirement System Of Louisiana V. Worldcom,  Inc., et
al.),  and in the United  States  District  Court for the  Southern  District of
Mississippi  (Longacre  Master Fund V.  Worldcom,  Inc., et al.).  These alleged
class action complaints assert violations of federal  securities law,  including
Sections 11 and 12 of the Securities Act of 1933, and seek  unspecified  damages
from the underwriters.

     On October 11, 2002,  the Above  Paradise and  Municipal  Police  Employees
lawsuits filed in the United States District Court for the Southern  District of
New York were  superseded by the filing of a  consolidated  alleged class action
complaint in the United States  District Court for the Southern  District of New
York  (In  Re  Worldcom,  Inc.  Securities  Litigation).   In  the  consolidated
complaint,  in addition to the claims of violations by the  underwriters  of the
federal  securities law,  including  Sections 11 and 12 of the Securities Act of
1933,  the  plaintiffs  allege  violations  of Section  10(b) of the  Securities
Exchange Act of 1934, and Rule 10b-5  promulgated  thereunder,  by Salomon Smith
Barney arising out of alleged  conflicts of interest of Salomon Smith Barney and
certain  of  its  principals.   The  plaintiffs  continue  to  seek  unspecified
compensatory  damages.  In addition to the consolidated  class action complaint,
the Southern  District of Mississippi  class action has been  transferred by the
Judicial Panel on MultiDistrict  Litigation to the Southern District of New York
for centralized  pre-trial proceedings with other  WorldCom-related  actions. On
May 19, 2003, the motion to dismiss the amended complaint in the WorldCom,  Inc.
Securities Litigation was denied.

     In addition to the several  alleged class actions that have been commenced,
certain  individual  actions have been filed in various federal and state courts
against Citigroup and Salomon Smith Barney, along with other parties, concerning
WorldCom debt  securities  including  individual  state court actions brought by
approximately 18 pension funds and other  institutional  investors in connection
with the  underwriting  of debt  securities of WorldCom  alleging  violations of
Section 11 of the Securities Act of 1933 and, in one case, violations of various
state  securities  laws and common law fraud.  Citigroup  and/or  Salomon  Smith
Barney  are now  named in  approximately  35 of  these  individual  state  court


                                       9
<PAGE>

actions.  Most of these actions have been removed to federal court and have been
transferred  to the  Southern  District  of New York for  centralized  pre-trial
proceedings with other WorldCom-related  actions. On October 24, 2003, the court
granted plaintiffs' motion to have this matter certified as a class action.

     An alleged  class action on behalf of  participants  in  WorldCom's  401(k)
salary savings plan and those  WorldCom  benefit plans covered by ERISA alleging
violations  of ERISA and  common law fraud,  which was  commenced  in the United
States District Court for the District of Columbia, also has been transferred by
the Judicial Panel on MultiDistrict  Litigation to the Southern  District of New
York for centralized pre-trial proceedings with other WorldCom-related  actions.
In  December  2002,  the  claims  against  Salomon  Smith  Barney  and the other
underwriters were dismissed without prejudice.

     On or about January 27, 2003, the lead plaintiff in a consolidated  alleged
class action in the United States  District Court for the District of New Jersey
(In Re AT&T Corporation  Securities  Litigation)  sought permission to amend its
complaint on behalf of purchasers of AT&T common stock asserting claims against,
among others, AT&T Corporation,  to add as named defendants  Citigroup,  Salomon
Smith Barney and certain  executive  officers and current and former  employees,
asserting  claims under federal  securities laws for allegedly  issuing research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts  of  interest  with  AT&T  in  connection  with  published  investment
research. By order dated March 27, 2003, the court denied plaintiffs' request to
amend their complaint to add as defendants  Citigroup,  Salomon Smith Barney and
certain of their executive officers and current and former employees.

     On or about January 28, 2003, the lead plaintiff in a consolidated  alleged
class action in the United States  District  Court for the Southern  District of
New  York  (In  Re  Global  Crossing,   Ltd.  Securities   Litigation)  filed  a
consolidated  complaint  on behalf of  purchasers  of the  securities  of Global
Crossing  and  its  subsidiaries,  which  names  as  defendants,  among  others,
Citigroup,  Salomon Smith Barney and certain executive  officers and current and
former employees,  asserting claims under federal  securities laws for allegedly
issuing  research  reports without a reasonable  basis in fact and for allegedly
failing to disclose  conflicts of interest  with Global  Crossing in  connection
with published investment research.

     On March 5, 2003, an action was brought on behalf of the  purchasers of the
Yosemite  Notes and Enron Credit  Linked  Notes,  alleging  violation of federal
securities laws.

     On April 9, 2003, an action was brought by a group of related  mutual funds
that purchased certain Yosemite Notes,  alleging  violations of state securities
laws and common law claims.

     On April 28, 2003,  Citigroup  Global  Markets  (formerly  known as Salomon
Smith Barney)  announced  final  agreements with the SEC, the NASD, the NYSE and
the New York Attorney  General (as lead state among the 50 states,  the District
of  Columbia  and  Puerto  Rico)  to  resolve  on a  civil  basis  all of  their
outstanding investigations into its research and IPO allocation and distribution
practices. As part of the settlements, Salomon Smith Barney has consented to the
entry of (1) an injunction  under the federal  securities  laws to be entered in
the United States District Court for the Southern District of New York,  barring
Salomon Smith Barney from violating  provisions of the federal  securities  laws
and related  NASD and NYSE rules  relating to research,  certain IPO  allocation


                                       10
<PAGE>

practices,   the  safeguarding  of  material   nonpublic   information  and  the
maintenance of required books and records, and requiring Salomon Smith Barney to
adopt and enforce new  restrictions  on the  operation of research;  (2) an NASD
Acceptance Waiver and Consent requiring Salomon Smith Barney to cease and desist
from violations of corresponding  NASD rules and requiring  Salomon Smith Barney
to adopt and  enforce the same new  restrictions;  (3) an NYSE  Stipulation  and
Consent  requiring  Salomon Smith Barney to cease and desist from  violations of
corresponding NYSE rules and requiring Salomon Smith Barney to adopt and enforce
the same new restrictions;  and (4) an Assurance of Discontinuance  with the New
York Attorney General containing substantially the same or similar restrictions.
As required  by the  settlements,  Salomon  Smith  Barney  expects to enter into
related  settlements with each of the other states, the District of Columbia and
Puerto Rico. Consistent with the  settlement-in-principle  announced in December
2002,  these  settlements  require  Salomon Smith Barney to pay $300 million for
retrospective  relief,  plus $25 million for investor  education,  and commit to
spend $75 million to provide independent  third-party research to its clients at
no charge.  Salomon  Smith  Barney  reached  these final  settlement  agreements
without admitting or denying any wrongdoing or liability. The settlements do not
establish wrongdoing or liability for purposes of any other proceeding. The $300
million was accrued during the fourth quarter of 2002.

     On June 23,  2003,  the West  Virginia  Attorney  General  filed an  action
against  Citigroup  Global Markets  Holdings Inc. and nine other firms that were
parties to the April 28, 2003  settlement  with the SEC, the NASD,  the NYSE and
the New York Attorney  General (the  "Research  Settlement").  The West Virginia
Attorney  General  alleges that the firms  violated the West  Virginia  Consumer
Credit and Protection Act in connection with their research activities and seeks
monetary penalties.

     In May 2003,  the SEC,  NYSE and NASD  issued a  subpoena  and  letters  to
Citigroup Global Markets Holdings Inc. requesting documents and information with
respect to their continuing  investigation of individuals in connection with the
supervision  of the research and  investment  banking  departments  of Citigroup
Global  Markets  Holdings  Inc.  Other parties to the Research  Settlement  have
received similar subpoena and letters.

     In April 2003,  to  effectuate  the  Research  Settlement,  the SEC filed a
Complaint  and  Final  Judgment  in the  United  States  District  Court for the
Southern  District of New York. Also in April 2003, the NASD accepted the Letter
of Acceptance,  Waiver and Consent  entered into with  Citigroup  Global Markets
Holdings Inc. in connection with the Research  Settlement;  and in May 2003, the
NYSE advised  Citigroup  Global Markets  Holdings Inc. that the Hearing  Panel's
Decision,  in which it  accepted  the  Research  Settlement,  had become  final.
Citigroup  Global Markets  Holdings Inc. is currently in discussion with various
of the states with respect to completion of the state components of the Research
Settlement.  Payment will be made in conformance with the payment  provisions of
the Final Judgment.  On October 31, 2003, the Final Judgment was entered against
Salomon Smith Barney and nine other investment banks. In addition, Salomon Smith
Barney has entered into separate settlement  agreements with numerous states and
certain U.S. territories.

     On June 6, 2003,  the  complaint in a  pre-existing  putative  class action
pending in the United States District Court for the Southern  District of Texas,
brought by purchasers of publicly  traded debt and equity  securities of Dynegy,
Inc.,  was amended to add  Citigroup,  Citibank  and  Citigroup  Global  Markets
Holdings  Inc., as well as other banks,  as defendants.  The  plaintiffs  allege
violations of the federal securities laws against the Citigroup defendants.

                                       11
<PAGE>

     On  July 6,  2003,  an  adversary  proceeding  was  filed  by the  Official
Committee of Unsecured  Creditors on behalf of Adelphia  against certain lenders
and  investment  banks,   including  Citigroup  Global  Markets  Holdings  Inc.,
Citibank,  N.A.,  Citicorp USA, Inc.,  and Citigroup  Financial  Products,  Inc.
(together,  the Citigroup  Parties).  The  Complaint  alleges that the Citigroup
Parties and numerous  other  defendants  committed acts in violation of the Bank
Company Holding Act and the common law. The complaint seeks equitable relief and
an unspecified amount of compensatory and punitive damages.

     In addition,  Salomon Smith Barney Inc.  (predecessor  of Citigroup  Global
Markets Inc.) is among the underwriters  named in numerous civil actions brought
to date by investors in Adelphia debt  securities  in  connection  with Adelphia
securities  offerings  between  September  1997 and October  2001.  Three of the
complaints also assert claims against  Citigroup Inc. and Citibank,  N.A. All of
the complaints allege violations of federal  securities laws, and certain of the
complaints also allege  violations of state  securities laws and the common law.
The complaints seek unspecified damages.

     On August 15, 2003, a purported  class action was brought by  purchasers of
Enron stock  alleging  state law claims of negligent  misrepresentation,  fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary duty.

     On August 29, 2003,  an investment  company  filed a lawsuit  alleging that
Citigroup,  Citigroup  Global Markets and several other  defendants  (including,
among others,  Enron's auditor,  financial  institutions,  outside law firms and
rating agencies) engaged in a conspiracy,  which purportedly caused plaintiff to
lose credit (in the form of a commodity  sales contract) it extended to an Enron
subsidiary in purported reliance on Enron's financial  statements.  On September
24, 2003,  Enron filed a  preferential  proceeding  in its Chapter 11 bankruptcy
proceedings to recover alleged  preferential  payments and fraudulent  transfers
involving  Citigroup,  Citigroup  Global  Markets  and  other  entities,  and to
disallow or to subordinate  bankruptcy  claims that Citigroup,  Citigroup Global
Markets and other entities have filed against Enron.

     In the course of its business, Citigroup Global Markets, as a major futures
commission merchant and broker-dealer,  is a party to various claims and routine
regulatory  investigations  and proceedings that the General Partner believes do
not have a material effect on the business of Citigroup Global Markets.

Item 4.  Submission of Matters to a Vote of Security Holders.

     There were no matters  submitted to the security  holders for a vote during
the last fiscal year covered by this report.

                                       12
<PAGE>

                                     PART II

Item 5.  Market for  Registrant's  Common  Equity and  Related  Security  Holder
         Matters.

     (a)  Market  Information.  The Partnership has issued no stock. There is no
          public  market  for  the  Redeemable  Units  of  Limited   Partnership
          Interest.

     (b)  Holders.  The  number of holders of  Redeemable  Units of  Partnership
          Interest as of December 31, 2003, was 971.

     (c)  Distribution.  The  Partnership did not declare a distribution in 2003
          or 2002.

     (d)  Use of Proceeds.  For the twelve months ended December 31, 2003, there
          were  additional  sales  of  49,916.3153   Redeemable  Units  totaling
          $57,164,000. For the twelve months ended December 31, 2002, there were
          additional sales of 38,299.1963  Redeemable Units totaling $39,261,000
          and  contributions by the General Partner  representing  281.8446 Unit
          equivalents  totaling  $282,000.  For the twelve months ended December
          31, 2001, there were additional sales of 11,161.1581  Redeemable Units
          totaling   $10,958,000  and   contributions  by  the  General  Partner
          representing 22.4146 Unit equivalents totaling $21,000.

          Proceeds from the sale of additional  Redeemable Units are used in the
          trading of commodity interests  including futures contracts,  options,
          swaps and forward contracts.
                                       13
<PAGE>

Item 6. Selected Financial Data. The Partnership commenced trading operations on
June 10, 1999.  Net realized and  unrealized  trading gains  (losses),  interest
income,  net  income  (loss)  and  increase  (decrease)  in Net Asset  Value per
Redeemable Unit for the years ended December 31, 2003,  2002, 2001, 2000 and the
period from June 10, 1999  (commencement of trading  operations) to December 31,
1999 and total assets at December 31, 2003,  2002,  2001,  2000 and 1999 were as
follows:

<TABLE>
<CAPTION>
<S>                                               <C>               <C>             <C>           <C>            <C>
                                                2003              2002           2001            2000            1999
                                              ----------        -----------     ----------      ----------     ------------

Net realized and unrealized trading
gains (losses) net of expenses
allocated from Master, brokerage
commissions including clearing fees of
$3,537,835, $2,636,618, $819,109,
$673,549 and $445,021, respectively          $(3,359,607)       $12,214,350     $1,023,270      $1,773,658    $(3,203,151)

Interest income                                   809,001           674,247        435,099         644,558         317,738
                                              ----------        -----------     ----------      ----------     ------------
                                             $(2,550,606)       $12,888,597     $1,458,369      $2,418,216    $(2,885,413)


Net income (loss)                            $(5,512,979)        $9,196,700       $355,163      $1,815,569    $(3,174,684)
                                              ----------        -----------     ----------      ----------     ------------

Increase (decrease) in Net Asset Value
per Redeemable Unit                              $(60.63)           $208.59         $57.30         $149.10       $(240.73)
                                              ----------        -----------     ----------      ----------     ------------

Total assets                                  $91,801,583       $63,262,447    $20,993,463     $12,590,859     $15,082,916
                                              ----------        -----------     ----------      ----------     ------------
</TABLE>

                                       14
<PAGE>





Item 7. Management's  Discussion and Analysis of Financial Condition and Results
        of Operations.

Overview

     The  Partnership/Master  aims to achieve substantial  capital  appreciation
through speculative trading,  directly or indirectly,  in U.S. and international
markets for currencies,  interest rates, stock indices,  agricultural and energy
products  and  precious  and base  metals.  The  Partnership/Master  may  employ
futures,  options on  futures,  and  forward  contracts  in those  markets.  The
Partnership may also enter into swap transactions relating to the value of crude
oil and other energy related products.

     The General  Partner manages all business of the  Partnership.  The General
Partner has delegated its responsibility for the investment of the Partnership's
assets to AAA Capital  Management,  Inc. ("AAA"),  Willowbridge  Associates Inc.
("Willowbridge"),  and Winton Capital Management ("Winton"),  (collectively, the
"Advisors").   The  General   Partner  employs  a  team  of   approximately   15
professionals  whose  primary  emphasis is on  attempting  to  maintain  quality
control  among the  Advisors  to the  Partnerships  operated  or  managed by the
General  Partner.   A  full-time  staff  of  due  diligence   professionals  use
state-of-the-art  technology and on-site evaluations to monitor new and existing
futures money managers.  The accounting and operations staff provide  processing
of  trading   activity  and  reporting  to  limited   partners  and   regulatory
authorities. In selecting the Advisors for the Partnership,  the General Partner
considered past performance, trading style, volatility of markets traded and fee
requirements.

     Responsibilities of the General Partner include:
     o    due diligence examinations of the Advisors;
     o    selection, appointment and termination of the Advisors;
     o    negotiation of the management agreements; and
     o    monitoring the activity of the Advisors.

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

     The General  Partner  shall seek the best prices and services  available in
its commodity  futures  brokerage  transactions.  The General Partner reviews at
least  annually,  the brokerage  rates charged to commodity pools similar to the
Partnership  to  determine  that  the  brokerage  fee  the  Partnership  pays is
competitive with other rates.

                                       15
<PAGE>

     The programs traded by each Advisor on behalf of the Partnership are: AAA -
Energy With Swaps Program;  Willowbridge - Argo and Vulcan Trading Systems;  and
Winton - Diversified  Program. As of December 31, 2003, the Partnership's assets
were  allocated  among  the  trading  Advisors  in  the  following   approximate
percentages: AAA, 38%, Willowbridge, 31%, and Winton 31%.

AAA Capital Management, Inc.

     The portion of the Partnership's assets that are currently allocated to AAA
for trading are not invested in commodity interests  directly.  AAA's allocation
of the Partnership's  assets is currently invested in the Master. AAA trades the
Master's,  and thereby the  Partnership's,  assets in accordance with its Energy
with Swaps Program.

     The Master currently trades energy futures  contracts and options on energy
futures  contracts  on  domestic  and  international  exchanges,  as well as the
Goldman  Sachs  Commodity  Index (an index future  comprised of energy and other
products) traded on the Chicago Mercantile  Exchange.  The Master also currently
engages  in swap  transactions  involving  crude  oil and other  energy  related
products. References herein to energy and energy related products include all of
the foregoing.

     AAA generally bases its trading decisions on "fundamental" factors,  namely
supply and demand for a particular  group or type of commodity.  AAA attempts to
buy  undervalued  commodities  and sell  overvalued  commodities,  often but not
always  simultaneously.  AAA uses options to attempt  either to reduce or define
risks.

     AAA is aware of price  trends  but does not trade  upon  trends.  AAA often
takes profits in positions with specific trends even though that trend may still
be intact or perhaps even strong.  AAA occasionally  establishes  positions that
are countertrend.

     Effective  risk  management is a crucial  aspect of AAA's trading  program.
Account  size,  expectation,  volatility  of the market traded and the nature of
other  positions  taken are all  factors  in  determining  the  amount of equity
committed to each trade. The Master is AAA's largest account.

Willowbridge Associates, Inc.

     Willowbridge trades the Partnership's  assets allocated to it in accordance
with its Select Investment  Program,  whereby the General Partner determined the
initial   allocation  of  the   Partnership's   assets  among  one  or  more  of
Willowbridge's  strategies and may determine subsequent  reallocations (if any).
Of the Partnership's  assets allocated to Willowbridge,  69% is currently traded
using the Vulcan  Trading  System  and 31% is  currently  traded  using the Argo
Trading System, each of which is described below.

     For each of these  systems,  risk is managed on a market by market level as
well as on an overall  portfolio  level.  On the market  level,  risk is managed
primarily by utilizing proprietary volatility filters. When these filters detect
a certain excessive level of volatility in the markets traded,  they will signal
that the systems should no longer be trading in the markets in which the filters
have detected excessive volatility.  In this way, the systems do not participate
in markets in which there are extremes in market action. On the portfolio level,

                                       16
<PAGE>

risk is  managed  by  utilizing  a  proprietary  portfolio  cutback  rule.  When
cumulative  profits  have reached a certain  level,  this rule  determines  that
positions  should be halved  across the entire  portfolio.  In this way, risk is
reduced while  allowing the systems to continue to  participate  in the markets,
albeit at a reduced  level.  After the  portfolio  has been traded at half,  the
portfolio  cutback rule will then determine when to increase  positions to again
trade at the full level.

     The  Vulcan  Trading  System,   which  commenced  trading  in  1988,  is  a
computerized  technical trading system. It is not a trend-following  system, but
does ride a trend when the  opportunity  arises.  Vulcan  uses the  concepts  of
pattern recognition,  support/resistance  levels, and counter-trend liquidations
in making  trading  decisions.  In effect,  Vulcan is more akin to a  systematic
technical  charting system,  as opposed to most computer systems which are based
on pure trend-following calculations.

     The Vulcan  System is based on general  technical  trading  principles.  It
applies  these  principles  to  a  diversified   portfolio  of  commodities  and
currencies.  Given that the system is based on  general  principles,  the system
parameters  used  are  the  same  for all  items  in the  portfolio  and are not
optimized.   In  this  manner,  the  Vulcan  System  minimizes  the  problem  of
data-fitting.

     The  Argo  Trading  System  commenced  trading  in 1988.  Argo  essentially
incorporates Vulcan's concepts of pattern recognition, support/resistance levels
and counter-trend  liquidations to trade a portfolio similar to Vulcan. However,
Argo has a  relatively  slower time  horizon than Vulcan and attempts to capture
longer-term price moves.

     Pattern   recognition,    support/resistance   levels   and   counter-trend
liquidations are defined as follows:

     Pattern recognition is the ability to identify patterns that appear to have
acted as precursors of price advances or declines in the past.

     A support level is a previous  low--a price level under the current  market
price at which point buying  interest is expected to be  sufficiently  strong to
overcome selling pressure.

     A  resistance  level is a previous  high--a  price  level over the  current
market  price at which point  selling  pressure  is expected to overcome  buying
pressure and a price advance is expected to be turned back.

     A  counter-trend  liquidation  is the  closing  out of a  position  after a
significant  price  move  on  the  assumption  that  the  market  is  due  for a
correction.

Winton Capital Management Limited

     Winton trades its  Diversified  Program on behalf of the  Partnership.  The
Diversified  Program trades  approximately  95 futures and forward  contracts on
United States and non-United States exchanges and markets.


                                       17
<PAGE>

     Winton employs a fully  computerized,  technical,  trend-following  trading
system developed by its principals. This system tracks the daily price movements
from these markets  around the world,  and carries out certain  computations  to
determine  each day how long or short the  portfolio  should be in an attempt to
maximize profit within a certain range of risk. If rising prices in a particular
market are anticipated,  a long position will be established in that market;  if
prices in a particular  market are  expected to fall,  a short  position in that
market will be established.

     Technical  analysis refers to analysis based on data intrinsic to a market,
such as price and volume.  In contrast,  fundamental  analysis relies on factors
external to a market,  such as supply and demand.  The Winton Program employs no
fundamental factors.

     A  trend-following  system is one that  attempts to take  advantage  of the
observable  tendency  of the markets to trend,  and to tend to make  exaggerated
movements  in both upward and  downward  directions  as a result of such trends.
These  exaggerated  movements are largely explained as a result of the influence
of crowd psychology or the "herd instinct" among market participants.

     A   trend-following   system  does  not   anticipate  a  trend.   In  fact,
trend-following  systems are frequently unprofitable for long periods of time in
particular  markets or market groups, and occasionally they are unprofitable for
periods  of more  than a year.  However,  the  principals  believe  that such an
approach will, in the long term, be profitable.

     Trade selection is not subject to  intervention by Winton's  principals and
therefore  is not  subject  to  the  influences  of  individual  judgment.  As a
mechanical  trading system,  the Winton model embodies all the expert  knowledge
required to analyze market data and direct trades,  thus eliminating the risk of
basing a trading program on one  indispensable  person.  Equally as important is
the fact that mechanical systems can be tested in simulation for long periods of
time and the model's empirical characteristics can be measured.

     The system's  output is rigorously  adhered to in trading the portfolio and
intentionally  no  importance is given to any external or  fundamental  factors.
While it may be seen as unwise to ignore  information of obvious value,  such as
that pertaining to political or economic developments,  Winton believes that the
disadvantage  of  this  approach  is  far  outweighed  by the  advantage  of the
discipline that rigorous  adherence to such a system  instills.  Winton believes
that  significant  profits may be realized by the Winton system by holding on to
positions  for much  longer  than  conventional  wisdom  would  dictate.  Winton
believes  that a  trader  who  pays  attention  to  day-to-day  events  could be
distracted from the chance of fully capitalizing on such trends.

     The Winton  system  trades in all liquid  U.S.  and  non-U.S.  futures  and
forward  contracts.  Forward markets  include major  currencies and precious and
base  metals,  the  latter  two  categories  being  traded on the  London  Metal
Exchange.  Winton seeks out new  opportunities to add additional  markets to the
portfolio, with the goal of increasing the portfolio's diversification.

     Winton  believes  that taking  positions in a variety of unrelated  markets
will, over time,  decrease system  volatility.  By employing a sophisticated and
systematic method for placing orders in a wide array of markets, Winton believes
that profits can be realized over time.

                                       18
<PAGE>

     No assurance is given that Winton's  trading  program will be profitable or
that it will not experience losses.

(a) Liquidity.

     The  Partnership  does not engage in sales of goods or  services.  Its only
assets are its (i) equity in its commodity  futures trading account,  consisting
of cash and cash equivalents, net unrealized appreciation (depreciation) on open
futures  positions,  unrealized  appreciation  on  open  forward  contracts  and
interest  receivable and (ii) its  investment in the Master.  Because of the low
margin deposits normally required in commodity futures trading, relatively small
price  movements  may  result in  substantial  losses to the  Partnership.  Such
substantial losses could lead to a material loss in liquidity.

     In the first quarter of 2003, the Master  experienced a cumulative  loss of
25%. This resulted in a cumulative loss to the Partnership of 10%. This loss was
primarily  attributable to extraordinary price activity during the first quarter
of 2003 in U.S.  natural  gas and crude oil  markets  which led to losses in the
Master's energy market positions.

     In  February,  the Master had a short  position  in the April  natural  gas
futures  contract as a partial  offset to an overall  long  position in delivery
months later in the year in the same contract.  During the last week of February
2003,  natural gas prices rose sharply  reflecting  relatively  high  short-term
demand in the eastern and  mid-continental  United  States  along with a reduced
ability of natural gas suppliers to deliver  natural gas from storage due to low
storage  inventories.  Volatility  in the natural  gas  markets was  exacerbated
during that period as the markets became  relatively  illiquid when many traders
stayed out of the market to wait for the volatility to pass. During this period,
the April natural gas futures  contract  experienced an upward increase in price
of over  50% in two days and  related  cash  market  prices  experienced  a 300%
increase in price.  Deferred delivery months in the natural gas futures contract
did not experience  comparable price increases.  The spread between the price of
the April  contract  and  those of the  deferred  months  changed  suddenly  and
unexpectedly.  Such extreme moves generally  happen only in  exceptionally  rare
circumstances and can lead to illiquid market conditions.

     In March 2003, volatility struck the crude oil market, and the Master again
experienced  losses as prices for crude oil dropped  over $8.00 per  barrel,  or
21%, in the course of a week. The Master's and the  Partnership's  liquidity was
not  hindered  as a result  of these  market  movements  as the  Master  and the
Partnership  each had adequate cash reserves to absorb market  volatility and to
meet redemption requests during that period.

     The  performance  for the year ended  December 31, 2003 is discussed in (c)
Results of Operations.

     To minimize  this risk  relating to low margin  deposits,  the  Partnership
follows certain trading policies, including:

     (i)  The Partnership invests its assets only in commodity interests that an
          Advisor  believes  are traded in  sufficient  volume to permit ease of
          taking and liquidating positions.  Sufficient volume, in this context,
          refers to a level of liquidity  that the Advisor  believes will permit
          it to enter and exit trades without noticeably moving the market.


                                       19
<PAGE>

     (ii) An Advisor will not initiate additional  positions in any commodity if
          these positions would result in aggregate positions requiring a margin
          of more than 66 2/3% of the Partnership's net assets allocated to that
          Advisor.

     (iii)The  Partnership  may  occasionally  accept  delivery of a  commodity.
          Unless such  delivery is  disposed  of  promptly  by  retendering  the
          warehouse  receipt   representing  the  delivery  to  the  appropriate
          clearinghouse, the physical commodity position is fully hedged.

     (iv) The Partnership does not employ the trading  technique  commonly known
          as  "pyramiding",  in which the speculator uses unrealized  profits on
          existing  positions as margin for the  purchases or sale of additional
          positions in the same or related commodities.

     (v)  The  Partnership  does  not  utilize   borrowings   except  short-term
          borrowings if the Partnership takes delivery of any cash commodities.

     (vi) The Advisors may, from time to time, employ trading strategies such as
          spreads or straddles on behalf of the  Partnership.  The term "spread"
          or "straddle" describes a commodity futures trading strategy involving
          the simultaneous  buying and selling of futures  contracts on the same
          commodity but  involving  different  delivery  dates or markets and in
          which the trader expects to earn a profit from a widening or narrowing
          of the difference between the prices of the two contracts.

     (vii)The Partnership will not permit the churning of its commodity  trading
          account.  The term  "churning"  refers to the practice of entering and
          exiting trades with a frequency  unwarranted by legitimate  efforts to
          profit  from the trades,  driven by the desire to generate  commission
          income.

     In the normal course of business, the Partnership directly, and through its
investment in the Master,  is party to financial  instruments  with  off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments.  These financial instruments include forwards, futures, options and
swaps, whose values are based upon an underlying asset, index or reference rate,
and generally represent future commitments to exchange currencies or cash flows,
or to  purchase  or sell  other  financial  instruments  at  specified  terms at
specified future dates, or, in the case of derivative  commodity  interests,  to
have a reasonable  possibility to be settled in cash,  through physical delivery
or with another  financial  instrument.  These  instruments  may be traded on an
exchange  or   over-the-counter   ("OTC").   Exchange  traded   instruments  are
standardized and include futures and certain option contracts. OTC contracts are
negotiated between contracting  parties and include forwards,  swaps and certain
options.  Each of these instruments is subject to various risks similar to those
relating to the underlying  financial  instruments  including  market and credit
risk. In general, the risks associated with OTC contracts are greater than those
associated  with  exchange  traded  instruments  because of the greater  risk of
default by the counterparty to an OTC contract.

     Market  risk is the  potential  for  changes in the value of the  financial
instruments traded by the  Partnership/Master  due to market changes,  including
interest and foreign  exchange rate movements and  fluctuations  in commodity or

                                       20
<PAGE>

security  prices.  Market  risk  is  directly  impacted  by the  volatility  and
liquidity in the markets in which the related underlying assets are traded.


     Credit risk is the possibility  that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or  clearing  organization  acts  as  counterparty  to  the  transactions.   The
Partnership's/Master's  risk of loss in the  event of  counterparty  default  is
typically  limited to the  amounts  recognized  in the  statement  of  financial
condition  and not  represented  by the  contract  or  notional  amounts  of the
instruments.  The  Partnership/Master  has credit  risk and  concentration  risk
because   the   sole    counterparty    or   broker   with    respect   to   the
Partnership's/Master's Fund's assets is CGM.

     The General Partner monitors and controls the  Partnership's  risk exposure
on a daily  basis  through  financial,  credit  and risk  management  monitoring
systems,   and  accordingly  believes  that  it  has  effective  procedures  for
evaluating and limiting the credit and market risks to which the  Partnership is
subject.  These  monitoring  systems allow the General Partner to  statistically
analyze actual  trading  results with risk adjusted  performance  indicators and
correlation statistics. In addition,  on-line monitoring systems provide account
analysis  of  futures,   forwards  and  options  positions  by  sector,   margin
requirements,  gain and loss  transactions and collateral  positions.  (See also
"Item 8. Financial Statements and Supplementary Data" for further information on
financial instrument risk included in the notes to financial statements.)

     Other than the risks inherent in commodity  futures and swaps trading,  the
Partnership knows of no trends,  demands,  commitments,  events or uncertainties
which  will  result  in  or  which  are  reasonably  likely  to  result  in  the
Partnership's  liquidity  increasing  or  decreasing  in any  material  way. The
Limited  Partnership  Agreement  provides  that the General  Partner may, in its
discretion,  cause the Partnership to cease trading operations and liquidate all
open  positions  under certain  circumstances  including a decrease in Net Asset
Value per  Redeemable  Unit to less than $400 as of the close of business on any
business day.

(b)  Capital Resources.

     (i)  The  Partnership   has  made  no  material   commitments  for  capital
          expenditures.

     (ii) The Partnership's capital consists of the capital contributions of the
partners  as  increased  or  decreased  by gains or  losses  on  trading  and by
expenses,  interest income, redemptions of Redeemable Units and distributions of
profits, if any. Gains or losses on trading cannot be predicted. Market moves in
commodities  are dependent  upon  fundamental  and  technical  factors which the
Advisors may or may not be able to identify,  such as changing supply and demand
relationships,  weather, government agricultural,  commercial and trade programs
and  policies,  national and  international  political  and economic  events and
changes in interest rates.  Partnership expenses consist of, among other things,
commissions,  advisory fees and administrative fees. The level of these expenses
is  dependent  upon the level of  trading  and the  ability of the  Advisors  to
identify and take  advantage of price  movements in the  commodity  markets,  in
addition  to the level of Net  Assets  maintained.  In  addition,  the amount of
interest  income  payable by CGM is dependent upon interest rates over which the
Partnership has no control.


                                       21
<PAGE>

     The Partnership  continues to offer Redeemable Units at the Net Asset Value
per Redeemable Unit as of the end of each month. For the year ended December 31,
2003,  there were  additional  sales of  49,916.3153  Redeemable  Units totaling
$57,164,000.  For the year ended December 31, 2002,  there were additional sales
of 38,299.1963  Redeemable Units totaling  $39,261,000 and  contributions by the
General Partner representing  281.8446 Unit equivalents  totaling $282,000.  For
the year ended  December 31, 2001,  there were  additional  sales of 11,161.1581
Redeemable Units totaling  $10,958,000 and  contributions by the General Partner
representing 22.4146 Unit equivalents totaling $21,000.

     No forecast can be made as to the level of redemptions in any given period.
A limited partner may require the Partnership to redeem their  Redeemable  Units
at their  Net  Asset  Value as of the  last day of a month on 10  business  days
notice to the General Partner. For the year ended December 31, 2003, 23,954.9557
Redeemable Units were redeemed totaling $26,334,840. For the year ended December
31, 2002, 6,833.7748 Redeemable Units were redeemed totaling $7,340,717. For the
year ended December 31, 2001, 1,990.1403 Redeemable Units were redeemed totaling
$1,949,369.

     Redeemable Units of Limited  Partnership  Interest were sold to persons and
entities who are accredited  investors as that term is defined in rule 501(a) of
Regulation D under the  Securities  Act of 1933, as well as to those persons who
are not accredited investors but who have either a net worth (exclusive of home,
furnishings and automobile)  either  individually or jointly with the investor's
spouse of at least three times their  investment in the Partnership (the minimum
investment for which was $25,000) or gross income for the two previous years and
projected  gross income for the current fiscal year of not less than three times
their investment in the Partnership for each year.

(c)  Results of Operations.

     For the year ended  December  31, 2003 the Net Asset  Value per  Redeemable
Unit decreased 5.2% from $1,160.82 to $1,100.19. For the year ended December 31,
2002 the Net Asset Value per  Redeemable  Unit  increased  21.9% from $952.23 to
$1,160.82.  For the year  ended  December  31,  2001,  the Net  Asset  Value per
Redeemable Unit increased 5.5% from $902.20 to $952.23.

     The   Partnership   experienced   net  trading  gains  of  $178,228  before
commissions  and  expenses in 2003.  Gains were  primarily  attributable  to the
trading of currencies,  grains,  metals and indices and were partially offset by
losses recognized in energy, softs, livestock, U.S. and non-U.S. interest rates.

     In 2003,  the markets  traded by the  Partnership's  Advisors  had periodic
strong trends and then just as strong reversals  resulting in a slight down year
for the Partnership's overall performance.

     As noted above,  the  Partnership  is designed as an aggressive  investment
seeking to achieve high rates of absolute return with  commensurate risk through
speculative trading by a team of experienced  trading Advisors.  In prior years,


                                       22
<PAGE>

the combination of Advisors in the  Partnership  has tended to have  performance
characteristics  distinct from the traditional  trend-following trading Advisors
in managed futures. The same characteristics that led to the Advisors being able
to excel in markets  typically not favorable to other  Advisors are the elements
that resulted in a difficult 2003.

     The most significant  market events for 2003 surrounded the onset and still
evolving  outcome of the Iraqi war. The energy and currency markets had the most
significant  impact on the  Partnership's  results  for the year while the other
financial and commodity markets tended to offset each other.

     Over the course of the year,  on a very broad  basis,  the year 2003 can be
divided into three periods:  the time  surrounding the Iraq War (January through
May),  the  transition  to higher world growth (June through  October),  and the
renewed dollar decline (November and December).

     The  first  two  months  of  the  year  represented  a  period  of  pre-war
uncertainty.  January's performance was strong and performance in February ended
flat in spite of  extraordinary  price  volatility in natural gas trading.  This
volatility  in  energy  markets  carried  over to March  when the price of crude
dropped  $10/barrel on the  expectation of a quick end to the war. This reversal
affected all the Partnership's  Advisors as well as did trend reversals in stock
indices, interest rates, and precious metals.

     With  this  volatility  and  losses,  the  Advisors  reduced  leverage  and
lightened positions until trends reasserted  themselves.  This began to occur in
April and May resulting in a substantial  recovery for  Partnership  performance
with profits  coming from short dollar,  long  interest rate and long  commodity
positions.  At the end of April,  the General  Partner  determined  to terminate
Beacon Capital  Management Inc. as an Advisor to the Partnership.  This was done
based  on the  assessment  that  Beacon's  trading  results  no  longer  met the
objectives of the Partnership.  A new Advisor,  Winton Capital Ltd. was added as
an  Advisor  to  the  Partnership  and  allocated   approximately   20%  of  the
Partnership's assets to trade.

     With the end of the  active  hostilities  in May,  interest  rates  trended
lower, and the major markets began to reflect  expectations of improved economic
growth. Unexpectedly,  the announcements of no further easing actions by the ECB
and the Federal  Reserve Board greatly  disrupted these trends and led to losses
for June and July. Additionally,  the dollar actually rallied on the positive US
economic news,  reversing the year-long  slide.  In both cases,  earlier profits
were  surrendered  as the markets  transitioned  to new trends.  Cushioning  the
losses in the financial  markets was  profitable  energy trading during June and
August.

     Regardless of the strong growth exhibited in the United States in the third
quarter, the dollar began a new significant slide against both the euro and yen.
This led to a profitable  October,  a weak  November,  when interest rates again
reversed course and trading in energy and agricultural markets was unprofitable.
The year ended mixed with strong trends favorable to the Advisors in currencies,
interest rates,  precious metals and agricultural markets being offset by losses
incurred in volatile energy markets.

     In the General Partner's  opinion,  the Partnership's  Advisors continue to
employ trading methods  consistent with the objectives of the  Partnership.  The

                                       23
<PAGE>

General Partner monitors the Advisors'  performance on a daily, weekly,  monthly
and annual basis to assure these objectives are met.

     The  Partnership  experienced  net  trading  gains  of  $14,850,968  before
commissions  and  expenses in 2002.  Gains were  primarily  attributable  to the
trading of currencies, U.S and non-U.S. interest rates, livestock and grains and
were partially offset by losses recognized in indices, metals, energy and softs.

     The  Partnership   experienced  net  trading  gains  of  $1,842,379  before
commissions  and  expenses in 2001.  Gains were  primarily  attributable  to the
trading of energy,  softs and U.S.  interest rates and were partially  offset by
losses recognized in currencies,  livestock, metals, non-U.S. interest rates and
indices.

     It should be noted that commodity markets are highly volatile.  Broad price
fluctuations  and rapid  inflation  increase  the risks  involved  in  commodity
trading,  but also increase the possibility of profit.  The profitability of the
Master and the Partnership  depends on the Advisors' ability to forecast changes
in energy and energy related commodities.  Such price changes are influenced by,
among  other  things,   changing  supply  and  demand  relationships,   weather,
governmental, agricultural, commercial and trade programs and policies, national
and  international  political and economic events and changes in interest rates.
To the extent that the Advisors  correctly make such  forecasts,  the Master and
the Partnership expect to increase capital through operations.

(d) Operational Risk.

     The Partnership is directly  exposed to market risk and credit risk,  which
arise in the normal course of its business activities. Slightly less direct, but
of critical  importance,  are risks  pertaining to  operational  and back office
support.  This is particularly  the case in a rapidly  changing and increasingly
global environment with increasing  transaction  volumes and an expansion in the
number and complexity of products in the marketplace.

Such risks include:

     Operational/Settlement  Risk - the risk of financial and  opportunity  loss
and legal  liability  attributable to operational  problems,  such as inaccurate
pricing of transactions,  untimely trade execution, clearance and/or settlement,
or the inability to process large volumes of  transactions.  The  Partnership is
subject to increased  risks with respect to its trading  activities  in emerging
market securities,  where clearance,  settlement,  and custodial risks are often
greater than in more established markets.

     Technological  Risk  - the  risk  of  loss  attributable  to  technological
limitations  or hardware  failure that  constrain the  Partnership's  ability to
gather, process, and communicate  information efficiently and securely,  without
interruption,  to customers, among Redeemable Units within the Partnership,  and
in the markets where the Partnership participates.

     Legal/Documentation Risk - the risk of loss attributable to deficiencies in
the  documentation of transactions  (such as trade  confirmations)  and customer

                                       24
<PAGE>

relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.

     Financial  Control Risk - the risk of loss  attributable  to limitations in
financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management and  communicated to external  parties,  including the  Partnership's
Redeemable Unit holders, creditors, and regulators, is free of material errors.

(e) Critical Accounting Policies.

     The  preparation  of financial  statements  in conformity  with  accounting
principles generally accepted in the United States of America requires estimates
and  assumptions  that affect the  reported  amounts of assets and  liabilities,
revenues  and  expenses,  and  related  disclosures  of  contingent  assets  and
liabilities in the financial statements and accompanying notes.

     All commodity interests  (including  derivative  financial  instruments and
derivative commodity  instruments) are used for trading purposes.  The commodity
interests  are  recorded on trade date and open  contracts  are  recorded in the
statement of financial  condition at fair value on the last  business day of the
period,  which represents  market value for those commodity  interests for which
market  quotations are readily  available or other measures of fair value deemed
appropriate by management of the General Partner for those  commodity  interests
and foreign  currencies for which market  quotations are not readily  available,
including dealer quotes for swaps and certain option  contracts.  Investments in
commodity  interests  denominated in foreign currencies are translated into U.S.
dollars at the exchange rates prevailing on the last business day of the period.
Realized gains (losses) and changes in unrealized values on commodity  interests
and foreign  currencies  are  recognized  in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.

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

     The General Partner believes that the accounting policies that will be most
critical to the  Partnership's  financial  condition  and results of  operations
relate to the  valuation  of the  Partnership's  positions.  The majority of the
Partnership's/Master's  positions  will be  exchange-traded  futures  contracts,
which will be valued daily at settlement prices published by the exchanges. Swap
contracts held by the Master  generally will be valued by reference to published
settlement  prices or dealers'  quotes in related  markets or other  measures of
fair value  deemed  appropriate  by the General  Partner.  The  General  Partner
expects that under normal  circumstances  substantially all of the Partnership's
assets will be valued by objective measures and without difficulty.


                                       25
<PAGE>

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

     The   Partnership/Master  is  a  speculative  commodity  pool.  The  market
sensitive   instruments  held  by  the   Partnership/Master   are  acquired  for
speculative   trading   purposes,   and   all  or   substantially   all  of  the
Partnership's/Master's assets are subject to the risk of trading loss. Unlike an
operating  company,  the risk of market sensitive  instruments is integral,  not
incidental, to the Partnership's/Master's main line of business.

     The risk to the  limited  partners  that have  purchased  interests  in the
Partnership  is  limited  to the amount of their  capital  contributions  to the
Partnership  and their share of Partnership  assets and  undistributed  profits.
This limited  liability is a consequence of the  organization of the Partnership
as a limited partnership under applicable law.

     Market movements result in frequent changes in the fair market value of the
Partnership's/Master's  open  positions and,  consequently,  in its earnings and
cash  flow.  The  Partnership's/Master's  market  risk is  influenced  by a wide
variety of factors.  These  primarily  include factors which affect energy price
levels, including supply factors and weather conditions,  but could also include
the level and volatility of interest rates, exchange rates, equity price levels,
the market value of financial  instruments  and contracts,  the  diversification
effects among the Partnership's/Master's open positions and the liquidity of the
markets in which it trades.

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

     Value  at  Risk  is  a   measure   of  the   maximum   amount   which   the
Partnership/Master  could  reasonably  be  expected  to lose  in a given  market
sector.   However,  the  inherent  uncertainty  of  the   Partnership's/Master's
speculative   trading  and  the   recurrence  in  the  markets   traded  by  the
Partnership/Master  of market movements far exceeding  expectations could result
in actual trading or non-trading  losses far beyond the indicated  Value at Risk
or the  Partnership's/Master's  experience  to date (i.e.,  "risk of ruin").  In
light of the foregoing as well as the risks and  uncertainties  intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation  that the
Partnership's/Master's  losses in any market  sector will be limited to Value at
Risk or by the Partnership's/Master's attempts to manage its market risk.

Quantifying the Partnership's/Master's Trading Value at Risk

     The following quantitative disclosures regarding the Partnership's/Master's
market risk exposures contain "forward-looking statements" within the meaning of
the safe harbor from civil liability provided for such statements by the Private
Securities  Litigation  Reform  Act of 1995  (set  forth in  Section  27A of the
Securities Act of 1933 and Section 21E of the Securities  Exchange Act of 1934).
All  quantitative  disclosures in this section are deemed to be  forward-looking

                                       26
<PAGE>

statements  for purposes of the safe harbor except for  statements of historical
fact (such as the terms of  particular  contracts  and the number of market risk
sensitive instruments held during or at the end of the reporting period).

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

     Exchange   maintenance   margin   requirements   have   been  used  by  the
Partnership/Master  as the  measure  of its  Value at Risk.  Maintenance  margin
requirements  are set by  exchanges  to  equal  or  exceed  the  maximum  losses
reasonably  expected to be  incurred in the fair value of any given  contract in
95%-99% of any one-day intervals.  The maintenance margin levels are established
by dealers and exchanges using historical price studies as well as an assessment
of current market volatility (including the implied volatility of the options on
a given futures  contract) and economic  fundamentals to provide a probabilistic
estimate  of  the  maximum  expected   near-term   one-day  price   fluctuation.
Maintenance  margin  has been  used  rather  than the more  generally  available
initial margin, because initial margin includes a credit risk component which is
not relevant to Value at Risk.

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

     The fair value of the Partnership's/Master's  futures and forward positions
does not  have any  optionality  component.  However,  the  Advisor  does  trade
commodity options. The Value at Risk associated with options is reflected in the
following  table  as the  margin  requirement  attributable  to  the  instrument
underlying each option. Where this instrument is a futures contract, the futures
margin,   and   where   this   instrument   is   a   physical   commodity,   the
futures-equivalent  maintenance  margin  has  been  used.  This  calculation  is
conservative in that it assumes that the fair value of an option will decline by
the same  amount as the fair value of the  underlying  instrument,  whereas,  in
fact, the fair values of the options traded by the  Partnership/Master in almost
all cases fluctuate to a lesser extent than those of the underlying instruments.

     In  quantifying  the  Partnership's/Master's  Value at Risk,  100% positive
correlation  in the  different  positions  held in each market risk category has
been  assumed.  Consequently,  the margin  requirements  applicable  to the open
contracts have simply been added to determine each trading category's  aggregate
Value at Risk.  The  diversification  effects  resulting  from the fact that the
Partnership's/Master's positions are rarely, if ever, 100% positively correlated
have not been reflected.

                                       27
<PAGE>


The Partnership's Trading Value at Risk in Different Market Sectors

     The following table indicates the trading Value at Risk associated with the
Partnership's  open positions by market category as of December 31, 2003 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Partnership  have been included in calculating the figures
set forth below. As of December 31, 2003, the Partnership's total capitalization
was $87,468,980.


                                December 31, 2003
<TABLE>
<CAPTION>
<S>                           <C>            <C>        <C>       <C>           <C>
                                                                Year to Date
                                                      ----------------------------------
                                         % of Total      High       Low         Average
Market Sector           Value at Risk  Capitalization    Value at Risk       Value at Risk*
-----------------------------------------------------------------------------------------
Currencies
- Exchange Traded
Contracts                 $ 1,890,015       2.16%    2,101,070    444,732     1,317,170
Energy                      2,830,950       3.24%    3,186,750    123,600     1,694,688
Grains                        708,686       0.81%    1,802,600    189,472       653,127
Interest rates U.S.           995,400       1.14%    1,104,750     54,370       579,512
Interest rates Non-U.S.     2,055,358       2.35%    3,261,061    148,412     1,380,092
Livestock                      63,250       0.07%      410,010     23,800       148,311
Metals
- Exchange Traded
Contracts                     689,900       0.79%    1,137,100    100,500       588,608
- OTC Contracts               522,060       0.60%    1,537,237     33,175       178,064
Softs                         244,631       0.28%      937,100    123,581       476,496
Indices                     1,356,529       1.55%    1,453,025     95,480       802,232
Lumber                          2,800       0.00%**    628,851      1,100         1,621
                           ----------      -----
Total                     $11,359,579      12.99%
                           ----------      -----
</TABLE>


*Monthly average based on month-end value at risk
**Due to rounding

                                       28
<PAGE>


As of December 31, 2002, the Partnership's total capitalization was $62,152,799.


                                December 31, 2002
<TABLE>
<CAPTION>
<S>                          <C>           <C>           <C>          <C>        <C>
                                                                     Year to Date
                                                      ----------------------------------
                                       % of Total       High         Low        Average
Market Sector           Value at Risk Capitalization     Value at Risk        Value at Risk*

Currencies
- Exchange Traded
Contracts                 $1,189,000      1.9%      $1,189,000   $  260,775      754,235
Energy                     1,541,000      2.5%       1,541,000       17,900      769,175
Grains                       567,908      0.9%         779,850      145,000      387,796
Interest rates U.S.          669,900      1.1%         718,200       64,700      454,444
Interest rates Non-U.S.      809,630      1.3%       1,195,778      141,881      724,320
Livestock                    343,900      0.5%         440,250       49,920      196,622
Metals
- Exchange Traded
Contracts                    624,800      1.0%         879,200      111,800      580,950
Softs                        540,850      0.9%         999,600      142,600      469,688
Indices                      444,993      0.7%         508,163      182,626      368,572
                         ----------      -----
Total                     $6,731,981     10.8%
                         ----------      -----
</TABLE>





*Quarterly average based on month-end value at risk




                                       29
<PAGE>





The Master's Trading Value at Risk in Different Market Sectors

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions  by market  category as of  December  31, 2003 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Master have been included in  calculating  the figures set
forth below.  As of December 31, 2003,  the Master's  total  capitalization  was
$255,057,637.


                                December 31, 2003

<TABLE>
<CAPTION>
<S>                          <C>                <C>                <C>              <C>                <C>

                                                                          Year to Date
                                                               ----------------- ---------------------------------
                                             % of Total           High              Low         Average Value at
 Market Sector             Value at Risk    Capitalization    Value at Risk     Value at Risk          Risk*
--------------------------------------------------------------------------------------------------------------
Energy                   $25,111,381             9.85%          $131,820,411      $12,880,254       $36,036,174
Energy Swaps               6,027,189             2.36%           $33,232,031         $900,000        $7,862,309
                         -----------            ------
Total                    $31,138,570            12.21%
                         -----------            ------
</TABLE>

*Monthly average based on month-end value at risk


                                       30
<PAGE>

As of December 31, 2002, the Master's total capitalization was $350,283,453.




                                December 31, 2002

<TABLE>
<CAPTION>
<S>                          <C>                <C>                <C>              <C>                <C>


                                                                          Year to Date
                                                               ----------------------------------- -------------------
                                              % of Total           High              Low         Average Value at
Market Sector              Value at Risk      Capitalization    Value at Risk     Value at Risk          Risk*
------------------------ ------------------- ----------------- ----------------- ----------------- ------------------
Energy                   $  47,253,146       13.49%              $64,130,606     $5,737,107        $32,002,122
Energy Swaps                 9,245,703        2.64%              $30,923,087     $1,395,629         $ 5,271,479
                           -----------       ------
Total                    $  56,498,849        16.13%
                            -----------      ------
</TABLE>


*Quarterly average based on month-end value at risk




                                       31
<PAGE>



Material Limitations on Value at Risk as an Assessment of Market Risk

     The   face   value  of  the   market   sector   instruments   held  by  the
Partnership/Master  is typically  many times the applicable  margin  requirement
(margin requirements  generally range between 2% and 15% of contract face value)
as  well  as  many  times  the  capitalization  of the  Partnership/Master.  The
magnitude of the Partnership's/Master's  open positions creates a "risk of ruin"
not typically found in most other  investment  vehicles.  Because of the size of
its positions,  certain market conditions -- unusual, but historically recurring
from time to time -- could cause the  Partnership/Master  to incur severe losses
over a short period of time. The foregoing Value at Risk table -- as well as the
past performance of the  Partnership/Master  -- give no indication of this "risk
of ruin."

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

     The following qualitative disclosures regarding the  Partnership's/Master's
market risk exposures - except for (i) those  disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership/Master  manages
its primary market risk exposures - constitute forward-looking statements within
the meaning of Section 27A of the  Securities Act of 1933 and Section 21E of the
Securities  Exchange  Act.  The   Partnership's/Master's   primary  market  risk
exposures as well as the strategies  used and to be used by the General  Partner
and  the  Advisor  for  managing   such   exposures   are  subject  to  numerous
uncertainties,  contingencies and risks, any one of which could cause the actual
results of the Partnership's/Master's risk control to differ materially from the
objectives  of  such   strategies.   Government   interventions,   defaults  and
expropriations, illiquid markets, the emergence of dominant fundamental factors,
political upheavals, changes in historical price relationships, an influx of new
market participants, increased regulation and many other factors could result in
material  losses as well as in material  changes to the risk  exposures  and the
management strategies of the Partnership/Master.  There can be no assurance that
the  Partnership's/Master's  current  market  exposure  and/or  risk  management
strategies  will not  change  materially  or that any  such  strategies  will be
effective in either the short or long term.  Investors  must be prepared to lose
all or substantially all of their investment in the Partnership/Master.

     The   following   were  the  primary   trading   risk   exposures   of  the
Partnership/Master as of December 31, 2003, by market sector.

     Interest  Rates.  Interest rate movements  directly affect the price of the
futures  positions held by the Partnership and indirectly the value of its stock
index and currency positions.  Interest rate movements in one country as well as
relative  interest  rate  movements  between  countries  materially  impact  the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate  fluctuations in the United States and the other G-8 countries.
However,  the Partnership also takes futures positions on the government debt of
smaller nations - e.g., Australia.

     Currencies.  The  Partnership's  currency  exposure  is  to  exchange  rate
fluctuations,  primarily  fluctuations  which  disrupt  the  historical  pricing
relationships   between   different   currencies  and  currency   pairs.   These
fluctuations  are  influenced  by interest rate changes as well as political and
general economic  Partnership's currency sector will change significantly in the
future.  The  currency  trading  Value at Risk figure  includes  foreign  margin
amounts  converted into U.S.  dollars with an incremental  adjustment to reflect
the exchange rate risk inherent to the  dollar-based  Partnership  in expressing
Value at Risk in functional currency other than dollars.

                                       32
<PAGE>

     Stock Indices. The Partnership's primary equity exposure is to equity price
risk in the G-8 countries. The stock index futures traded by the Partnership are
limited to futures on broadly  based  indices.  As of  December  31,  2003,  the
Partnership's primary exposures were in the Financial Times (England) and Nikkei
non-G-8  stock  indices.  The  Partnership  is primarily  exposed to the risk of
adverse price trends or static markets in the major U.S.,  European and Japanese
indices.  (Static markets would not cause major market changes but would make it
difficult for the  Partnership  to avoid being  "whipsawed"  into numerous small
losses.)

     Metals. The Partnership's  primary metal market exposure is to fluctuations
in the price of gold and silver. Although certain of the Advisors will from time
to time trade base metals such as aluminum  and  copper,  the  principal  market
exposures of the Partnership have consistently been in the precious metals, gold
and silver.

     Softs. The Partnership's  primary  commodities  exposure is to agricultural
price  movements  which  are often  directly  affected  by severe or  unexpected
weather conditions. Corn, cotton, sugar, soybeans, soybean meal, soybean oil and
wheat accounted for the substantial bulk of the Partnership's commodity exposure
as of December 31, 2003.

     Energy. The Partnership's/Master's primary energy market exposure is to gas
and oil price  movements,  often  resulting from political  developments  in the
Middle East. Oil prices can be volatile and substantial  profits and losses have
been are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The General Partner monitors and controls the  Partnership's/Master's  risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems and accordingly believes that it has effective procedures for
evaluating   and   limiting   the  credit   and   market   risks  to  which  the
Partnership/Master subject.

     The General Partner monitors the Partnership's/Master's performance and the
concentration  of its open positions,  and consults with the Advisor  concerning
the Partnership's/Master's  overall risk profile. If the General Partner felt it
necessary to do so, the General  Partner  could require the Advisor to close out
individual  positions  as  well  as  enter  programs  traded  on  behalf  of the
Partnership/Master.  However,  any such  intervention  would be a highly unusual
event.  The General Partner  primarily  relies on the Advisor's own risk control
policies   while   maintaining   a   general   supervisory   overview   of   the
Partnership's/Master's market risk exposures.

     The Advisor  applies its own risk management  policies to its trading.  The
Advisor often follows  diversification  guidelines,  margin limits and stop loss
points to exit a  position.  The  Advisor's  research of risk  management  often
suggests ongoing modifications to its trading programs.

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


                                       33
<PAGE>





Item 8.   Financial Statements and Supplementary Data.

                      SMITH BARNEY ORION FUTURES FUND L.P.
                          INDEX TO FINANCIAL STATEMENTS

                                                                   Page
                                                                  Number

       Oath or Affirmation.                                         F-2

       Independent Auditors' Report.                             F-3 - F-4

       Financial Statements:
       Statement of Financial Condition
       at December 31, 2003 and 2002.                               F-5

       Condensed Schedules of Investments
       at December 31, 2003 and 2002.                            F-6 - F-7

       Statement of Income and Expenses
       for the years ended December 31,
       2003, 2002 and 2001.                                         F-8

       Statement of Partners' Capital
       for the years ended December 31,
       2003, 2002 and 2001.                                         F-9

       Notes to Financial Statements.                           F-10 - F-14

       Selected Unaudited Quarterly Financial
       Data.                                                       F-15

       Financial Statements of the SB AAA
       Master Fund LLC
       Oath or Affirmation                                         F-16

       Independent Auditors' Report.                            F-17 - F-18

       Statement of Financial Condition at
       December 31, 2003 and 2002.                                 F-19

       Condensed Schedule of Investments at
       December 31, 2003 and 2002.                              F-20 - F-21

       Statement of Income and Expenses for
       the years ended December 31, 2003, 2002 and
       the period from September 1, 2001
       (commencement of trading operations)
       to December 31, 2001.                                       F-22

       Statement of Members' Capital for
       the years ended December 31, 2003 and 2002
       for the period from September 1, 2001
       (commencement of trading operations)
       to December 31, 2001.                                       F-23

       Notes to Financial Statements.                           F-24 - F-25

       Selected Unaudited Quarterly Financial
       Data.                                                       F-26

<PAGE>
                           To the Limited Partners of
                  Salomon Smith Barney Orion Futures Fund L.P.

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





By:/s/Daniel R. McAuliffe, Jr.
      Daniel R. McAuliffe, Jr.
      Chief Financial Officer and Director
      Citigroup Managed Futures LLC
      General Partner, Salomon Smith Barney
      Orion Futures Fund L.P.


Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011


                                      F-2






<PAGE>


                          Independent Auditors' Report

To the Partners of
   Salomon Smith Barney Orion Futures Fund L.P.:

We have audited the  accompanying  statements of financial  condition of Salomon
Smith Barney Orion Futures Fund L.P. (the Partnership),  including the condensed
schedules  of  investments,  as of December  31, 2003 and 2002,  and the related
statements  of income and  expenses,  and  partners'  capital for the years then
ended.  These financial  statements are the  responsibility of the Partnership's
management.  Our  responsibility  is to express  an  opinion on these  financial
statements  based on our  audits.  The  statements  of income and  expenses  and
partners'  capital of the  Partnership for the year ended December 31, 2001 were
audited by other  auditors  whose  report dated  February 28, 2002  expressed an
unqualified opinion on those statements.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the  financial  position of Salomon  Smith Barney Orion
Futures  Fund L.P.,  as of December  31,  2003 and 2002,  and the results of its
operations  and its  partners'  capital for the years then ended,  in conformity
with accounting principles generally accepted in the United States of America.

/s/ KPMG LLP
    KPMG LLP
    New York, New York
    February 27, 2004

                                      F-3
<PAGE>

                         Report of Independent Auditors

To the Partners of
   Salomon Smith Barney Orion Futures Fund L.P.:

In our opinion, the accompanying statements of income and expenses and partners'
capital present fairly, in all material  respects,  the results of Salomon Smith
Barney Orion  Futures  Fund L.P.'s  operations  for the year ended  December 31,
2001, in conformity with accounting  principles generally accepted in the United
States of America.  These  financial  statements are the  responsibility  of the
management of the General Partner;  our  responsibility is to express an opinion
on these  financial  statements  based on our audit.  We conducted  our audit of
these  financial  statements in accordance  with  auditing  standards  generally
accepted in the United States of America, which require that we plan and perform
the audit to obtain reasonable  assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence  supporting the amounts and  disclosures  in the financial  statements,
assessing the accounting  principles used and significant  estimates made by the
management  of  the  General  Partner,  and  evaluating  the  overall  financial
statement  presentation.  We believe that our audit provides a reasonable  basis
for our opinion.

/s/ PricewaterhouseCoopers LLP
    PricewaterhouseCoopers LLP
    New York, New York
    February 28, 2002

                                      F-4
<PAGE>

                                 Salomon Smith Barney
                                Orion Futures Fund L.P.
                           Statements of Financial Condition
                              December 31, 2003 and 2002

<TABLE>
<CAPTION>
<S>                                                                                     <C>                <C>
                                                                                       2003                2002
                                                                                  --------------      -------------

Assets:
Investment in Master, at fair value                                                 $33,531,892         $25,471,986
Cash (restricted $13,779,146 and $8,657,392 in 2003 and
   2002, respectively) in commodity futures trading account (Note 3c)                50,594,930          32,697,307
Net unrealized appreciation on open futures positions                                 5,706,691           5,057,217
Unrealized appreciation on open forward contracts                                     1,928,011                  --
                                                                                 --------------      -------------
                                                                                     91,761,524          63,226,510
Interest receivable (Note 3c)                                                            40,059              35,937
                                                                                 --------------      -------------
                                                                                    $91,801,583         $63,262,447
                                                                                  --------------      -------------

Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts                                 $     638,809       $          --
  Accrued expenses:
   Commissions (Note 3c)                                                                160,866             115,201
   Management fees (Note 3b)                                                            142,083             107,113
   Administrative fees (Note 3a)                                                         38,612              26,778
   Incentive fees (Note 3b)                                                             539,454             272,957
   Professional fees                                                                     68,739              81,265
   Other                                                                                  8,171               7,731
   Redemptions payable (Note 5)                                                       2,735,869             498,603
                                                                                 --------------      -------------
                                                                                      4,332,603           1,109,648
Partners' capital (Notes 1 and 5):
  General Partner, 499.8084 Unit equivalents outstanding in 2003 and 2002               549,884             580,188
  Limited Partners, 79,003.6728 and 53,042.3132 Redeemable Units of Limited
   Partnership Interest outstanding in 2003 and 2002, respectively                   86,919,096          61,572,611
                                                                                 --------------      -------------
                                                                                     87,468,980          62,152,799
                                                                                 --------------      -------------
                                                                                    $91,801,583         $63,262,447
                                                                                  --------------      -------------
</TABLE>


See accompanying notes to financial statements.

                                      F-5
<PAGE>


                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2003
<TABLE>
<CAPTION>
<S>                                                        <C>                                         <C>
Sector                                                   Contract                                  Fair Value
-------                                                  --------                                  -----------
Currencies                                     Futures contracts sold (0.04)%                         $(34,802)
                                               Futures contracts purchased 3.12%                      2,726,064
                                                                                                     ----------
   Total Currencies 3.08%                                                                             2,691,262
                                                                                                      ---------

Total Energy (0.05)%                           Futures contracts purchased (0.05)%                     (47,000)
                                                                                                      ---------

Grains                                         Futures contracts sold (0.12)%                         (107,275)
                                               Futures contracts purchased 1.70%                      1,487,795
                                                                                                     ----------
   Total Grains 1.58%                                                                                 1,380,520
                                                                                                      ---------

Total Interest Rates U.S. (0.15)%              Futures contracts purchased (0.15)%                    (129,958)
                                                                                                      ---------
Interest Rates Non-U.S.
                                               Futures contracts sold (0.00)%*                            (343)
                                               Futures contracts purchased 0.70%                       617,411
                                                                                                     ----------
   Total Interest Rates Non-U.S. 0.70%                                                                 617,068
                                                                                                      ---------
Total Lumber 0.01%                             Futures contracts purchased 0.01%                         6,402
                                                                                                     ---------
Livestock
                                               Futures contracts sold 0.01%                              5,570
                                               Futures contracts purchased (0.03)%                     (25,410)
                                                                                                     ----------
   Total Livestock (0.02)%                                                                             (19,840)
                                                                                                     ---------
Metals
                                               Futures contracts sold (0.00)%*                          (3,655)
                                               Futures contracts purchased 0.96%                       842,863
                                                                                                     ----------
                                                  Total futures contracts 0.96%                        839,208

                                               Unrealized depreciation on forward contracts (0.73)%   (638,809)
                                               Unrealized appreciation on forward contracts  2.20%    1,928,011
                                                                                                     ----------
                                                  Total forward contracts 1.47%                       1,289,202
                                                                                                      ---------
   Total Metals 2.43%                                                                                 2,128,410
                                                                                                     ----------
Softs                                          Futures contracts sold 0.06%                             56,990
                                               Futures contracts purchased (0.18)%                    (159,535)
                                                                                                     ----------
  Total Softs (0.12)%                                                                                 (102,545)
                                                                                                     ---------
Total Indices 0.54%                            Futures contracts purchased 0.54%                       471,574
                                                                                                     ----------
Total Fair Value 8.00%                                                                              $6,995,893
                                                                                                      ---------

Country Composition                    Investments at Fair             % of Investments at Fair
                                              Value                              Value

Australia                                    $141,159                               2.02%
Canada                                         83,342                               1.19
France                                         30,769                               0.44
Germany                                       309,378                               4.42
Hong Kong                                       7,903                               0.11
Italy                                         (20,955)                             (0.30)
Japan                                          44,926                               0.64
Spain                                          22,028                               0.32
United Kingdom                              1,802,208                              25.76
United States                               4,575,135                              65.40
                                           ----------                           -------
                                            $6,995,893                            100.00%
                                            ----------                           -------
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated.
* Due to rounding.
See accompanying notes to financial statements.

                                      F-6
<PAGE>

                              Salomon Smith Barney Orion
                                   Futures Fund L.P.
                           Condensed Schedule of Investments
                                   December 31, 2002

<TABLE>
<CAPTION>
<S>                                                       <C>                                           <C>
Sector                                                   Contract                                   Fair Value
------                                                   --------                                   ----------
Currencies                                     Futures contracts sold (0.13)%                         $(80,588)
                                               Futures contracts purchased 2.67%                      1,657,233
                                                                                                      ----------
   Total Currencies 2.54%                                                                             1,576,645
                                                                                                      ----------

Total Energy 1.48%                             Futures contracts purchased 1.48%                       919,154
                                                                                                      ----------
Grains                                         Futures contracts sold 0.38%                            232,822
                                               Futures contracts purchased (0.09)%                     (55,021)
                                                                                                      ----------
   Total Grains 0.29%                                                                                  177,801
                                                                                                      ----------

Total Interest Rates U.S. 1.42%                Futures contracts purchased 1.42%                       884,285
                                                                                                      ----------

Total Interest Rates Non-U.S. 1.07%            Futures contracts purchased 1.07%                       666,065
                                                                                                      ----------
Total Livestock 0.25%                          Futures contracts purchased 0.25%                       152,910
                                                                                                      ----------

Total Metals 0.90%                             Futures contracts purchased 0.90%                       562,580
                                                                                                      ----------
Softs                                          Futures contracts sold (0.01)%                           (9,135)
                                               Futures contracts purchased 0.31%                       195,779
                                                                                                      ----------
  Total Softs 0.30%                                                                                    186,644
                                                                                                      ----------

Total Indices (0.11)%                          Futures contracts purchased (0.11)%                     (68,867)
                                                                                                      ----------
Total Fair Value 8.14%                                                                                $5,057,217
                                                                                                      ---------

Country Composition                    Investments at Fair             % of Investments at Fair
                                              Value                              Value

Australia                                     $32,003                               0.63%
Canada                                         79,115                               1.56
France                                           (273)                              0.00 *
Germany                                       283,701                               5.61
United Kingdom                                244,964                               4.84
United States                               4,417,707                              87.36
                                            ----------                           -------
                                            $5,057,217                            100.00%
                                             ----------                           -------
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated.
* Due to rounding.
See accompanying notes to financial statements.

                                      F-7
<PAGE>


                                 Salomon Smith Barney
                                Orion Futures Fund L.P.
                           Statements of Income and Expenses
                 for the years ended December 31, 2003, 2002 and 2001

<TABLE>
<CAPTION>
<S>                                                                  <C>                 <C>                 <C>
                                                                     2003               2002                2001
                                                               -------------      -------------       -------------

Income:
Realized gains (losses) on closed positions from Master        $  (5,348,130)     $   6,322,866       $   1,085,086
Change in unrealized gains (losses) on open positions
   from Master                                                      (579,968)           896,865            (191,981)
Interest income allocated from Master                                329,660            259,735                 977
Expenses allocated from Master                                    (1,624,842)        (1,467,787)           (144,984)
Net gains (losses) on trading of commodity interests:
   Realized gains on closed positions                              4,167,650          3,569,924           3,215,948
   Change in unrealized gains (losses) on open positions           1,938,676          4,061,313          (2,266,674)
                                                               -------------      -------------       -------------
                                                                  (1,116,954)        13,642,916           1,698,372
Interest income (Note 3c)                                            479,341            414,512             434,122
                                                               -------------      -------------       -------------
                                                                    (637,613)        14,057,428           2,132,494
                                                               -------------      -------------       -------------
Expenses:
  Brokerage commissions including clearing fees of
    $374,550, $262,071 and $65,204,  respectively (Note 3c)        1,912,993          1,168,831             674,125
  Management fees (Note 3b)                                        1,547,397            864,165             294,230
  Administrative fees (Note 3a)                                      402,664            216,041              73,532
  Incentive fees (Note 3b)                                           837,878          2,447,070             541,028
  Professional fees                                                  155,297            134,166             181,485
  Other expenses                                                      19,137             30,455              12,931
                                                               -------------      -------------       -------------
                                                                   4,875,366          4,860,728           1,777,331
                                                               -------------      -------------       -------------
Net income (loss)                                              $  (5,512,979)     $   9,196,700       $     355,163
                                                               -------------      -------------       -------------
Net income (loss) per Redeemable Unit of Limited
  Partnership Interest and General Partner
  Unit equivalent (Notes 1 and 6)                                   $(60.63)            $208.59              $57.30
                                                               -------------      -------------       -------------
</TABLE>



See accompanying notes to financial statements.

                                      F-8
<PAGE>

                                 Salomon Smith Barney
                                Orion Futures Fund L.P.
                            Statements of Partners' Capital
                 for the years ended December 31, 2003, 2002 and 2001




<TABLE>
<CAPTION>
<S>                                                           <C>                  <C>               <C>
                                                            Limited             General
                                                           Partners             Partner            Total
                                                         --------------      -------------      -------------
     Partners' capital at December 31, 2000                $11,192,598            $176,424        $11,369,022
     Net income                                                345,035              10,128            355,163
     Sale of 11,161.1581 Redeemable Units of Limited
        Partnership Interest and General Partner's
        contribution representing 22.4146 Unit
        equivalents                                         10,958,000              21,000         10,979,000
     Redemption of 1,990.1403 Redeemable Units of
        Limited Partnership Interest                        (1,949,369)                  -         (1,949,369)
                                                         --------------      -------------      -------------
     Partners' capital at December 31, 2001                 20,546,264             207,552         20,753,816
     Net income                                              9,106,064              90,636          9,196,700
     Sale of 38,299.1963 Redeemable Units of Limited
        Partnership Interest and General Partner's
        contribution representing 281.8446 Unit
        equivalents                                         39,261,000             282,000         39,543,000
     Redemption of 6,833.7748 Redeemable Units of
        Limited Partnership Interest                        (7,340,717)                 --         (7,340,717)
                                                         --------------      -------------      -------------
     Partners' capital at December 31, 2002                 61,572,611             580,188         62,152,799
     Net loss                                               (5,482,675)            (30,304)        (5,512,979)
     Sale of 49,916.3153 Redeemable Units of
        Limited Partnership Interest                        57,164,000                  --         57,164,000
     Redemption of 23,954.9557 Redeemable
        Units of Limited Partnership Interest              (26,334,840)                 --        (26,334,840)
                                                         --------------      -------------      -------------
     Partners' capital at December 31, 2003              $  86,919,096       $     549,884      $  87,468,980
                                                         --------------      -------------      -------------
</TABLE>




      See accompanying notes to financial statements.

                                      F-9
<PAGE>

                              Salomon Smith Barney
                             Orion Futures Fund L.P.
                          Notes to Financial Statements


1.  Partnership Organization:

     Salomon  Smith Barney  Orion  Futures Fund L.P.  (the  "Partnership")  is a
     limited  partnership  which  was  organized  on March  22,  1999  under the
     partnership  laws  of the  State  of  New  York  to  engage,  directly  and
     indirectly,  in the  speculative  trading  of a  diversified  portfolio  of
     commodity  interests,  including  commodity options,  commodity futures and
     forward contracts on United States exchanges and certain foreign exchanges.
     The commodity interests that are traded by the Partnership are volatile and
     involve a high degree of market risk.

     Between March 31, 1999  (commencement  of the offering period) and June 10,
     1999, 10,499 redeemable units of Limited Partnership Interest  ("Redeemable
     Units")  were sold at $1,000  per  Redeemable  Unit.  The  proceeds  of the
     initial  offering  were held in an escrow  account  until June 10, 1999, at
     which  time they were  turned  over to the  Partnership  for  trading.  The
     Partnership continues to offer Redeemable Units.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
     LLC, a Delaware limited liability  company,  is the  Partnership's  general
     partner  and  commodity  pool  operator  (the  "General  Partner").  At the
     commencement of trading,  the Partnership's  general partner was SFG Global
     Investments,  Inc.  ("SFG")  and  Citigroup  Managed  Futures  LLC  was the
     Partnership's  trading  manager.  Effective  April  1,  2001,  the  limited
     partners of the Partnership  elected  Citigroup  Managed Futures LLC as the
     General  Partner of the  Partnership and consented to the withdrawal of SFG
     as general  partner.  Concurrent  with this  election  as General  Partner,
     Citigroup  Managed  Futures  LLC  withdrew  as  the  Partnership's  trading
     manager.

     Effective  September 1, 2001, the Partnership  allocated the portion of the
     Partnership's  capital that was allocated to AAA Capital  Management,  Inc.
     ("AAA")  for  trading  to the SB AAA Master  Fund LLC,  a New York  Limited
     Liability Company (the "Master"). With this cash, the Partnership purchased
     5,173.4381  Units of the Master at a fair value of  $5,173,438.  The Master
     was formed in order to permit accounts  managed now or in the future by AAA
     using the Energy  with Swaps  Program,  to invest  together  in one trading
     vehicle.  The  General  Partner  is the  managing  member  of  the  Master.
     Individual  and pooled  accounts  currently  managed by AAA,  including the
     Partnership  (collectively,  the  "Feeder  Funds"),  are  permitted  to  be
     non-managing  members of the Master.  The  General  Partner and AAA believe
     that trading through this master/feeder structure should promote efficiency
     and economy in the trading process. Expense to investors as a result of the
     investment in the Master are  approximately  the same and redemption rights
     are not affected.

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

     At  December  31,  2003 and  2002,  the  Partnership  owns  13.1% and 7.3%,
     respectively,  of the Master.  It is AAA's  intention to continue to invest
     the  assets  allocated  to  it  by  the  Partnership  in  the  Master.  The
     performance of the  Partnership is directly  affected by the performance of
     the Master.

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

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
     following:  December  31, 2019;  the net asset value of a  Redeemable  Unit
     decreases  to less  than  $400  per  Redeemable  Unit as of a close  of any
     business day; a decline in net assets after trading  commences to less than
     $1,000,000;  or under certain other circumstances as defined in the Limited
     Partnership Agreement.

                                      F-10
<PAGE>

2.  Accounting Policies:

     a.   All commodity interests (including  derivative  financial  instruments
          and derivative commodity  instruments) held by the Partnership and the
          Master are used for trading  purposes.  The  commodity  interests  are
          recorded  on  trade  date  and  open  contracts  are  recorded  in the
          statements  of financial  condition at fair value on the last business
          day of the year,  which  represents  market value for those  commodity
          interests  for  which  market   quotations   are  readily   available.
          Investments in commodity  interests  denominated in foreign currencies
          are translated into U.S.  dollars at the exchange rates  prevailing on
          the last business day of the year. Realized gains (losses) and changes
          in unrealized  gains  (losses) on open positions are recognized in the
          period in which the  contract is closed or the  changes  occur and are
          included in net gains (losses) on trading of commodity interests.

          The value of the  Partnership's  investment in the Master reflects the
          Partnership's  proportional  interest in the  members'  capital of the
          Master.  Profits and losses from trading in the Master, net of trading
          and give-up fees,  are  allocated  pro rata to the capital  account of
          each  Feeder  Fund  based on the net  assets  in the  capital  account
          compared to the aggregate net assets of all other capital  accounts in
          the Master.  Advisory fees and brokerage  commissions will continue to
          be charged at the level of each individual  Feeder Fund. Such fees and
          commissions may differ among the non-managing members.  Other expenses
          will be charged pro rata to the  accounts  of the Feeder  Funds in the
          Master.  The costs of organizing  the Master were borne by the General
          Partner.  Therefore,  there should be no material increase in expenses
          to limited partners as a result of an investment in the Master.

     b.   The Partnership may purchase and write (sell) options.  An option is a
          contract allowing, but not requiring, its holder to buy (call) or sell
          (put) a specific or standard  commodity or financial  instrument  at a
          specified price during a specified time period.  The option premium is
          the total price paid or  received  for the option  contract.  When the
          Partnership  writes an option,  the premium  received is recorded as a
          liability  in the  statements  of  financial  condition  and marked to
          market daily.  When the Partnership  purchases an option,  the premium
          paid is recorded as an asset in the  statement of financial  condition
          and marked to market daily.

     c.   Income taxes have not been  provided as each  partner is  individually
          liable  for the taxes,  if any,  on their  share of the  Partnership's
          income and expenses.

     d.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, disclosure of contingent assets and
          liabilities  at the date of the financial  statements and the reported
          amounts of revenues and expenses during the reporting  period.  Actual
          results could differ from these estimates.

     e.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3.  Agreements:

    a. Limited Partnership Agreement:

          The  General  Partner  administers  the  business  and  affairs of the
          Partnership  including  selecting one or more advisors to make trading
          decisions  for the  Partnership.  The  Partnership  pays  the  General
          Partner  a  monthly  administrative  fee equal to 1/24 of 1% (0.5% per
          year) of month-end net assets.  Month-end Net Assets,  for the purpose
          of calculating  administrative  fees are Net Assets, as defined in the
          Limited Partnership  Agreement,  prior to the reduction of redemptions
          and incentive fees.  Prior to April 1, 2001, the Partnership  paid SFG
          Global Investments, Inc. a monthly fee of $2,000.


                                      F-11
<PAGE>

  b. Management Agreement:

     The  General  Partner,  on  behalf of the  Partnership,  has  entered  into
     Management   Agreements  with  Winton  Capital   Management,   Willowbridge
     Associates Inc., and AAA (collectively,  the "Advisors"), each of which are
     registered  commodity trading advisors.  Beacon Management  Corporation was
     terminated  as an advisor to the  Partnership  on April 30, 2003 and Winton
     Capital  Management  was  added  on the same  date.  The  Advisors  are not
     affiliated with one another, are not affiliated with the General Partner or
     CGM except AAA, and are not responsible  for the  organization or operation
     of the Partnership. Mr. A. Anthony Annunziato is the sole trading principal
     of AAA and is also an  employee  of CGM.  The  Partnership  will  pay  each
     Advisor  a  monthly  management  fee  equal  to 1/6 of 1%  (2% a  year)  of
     month-end Net Assets allocated to each Advisor.  Month-end Net Assets,  for
     the purpose of calculating  management  fees are Net Assets,  as defined in
     the Limited  Partnership  Agreement,  prior to the reduction of redemptions
     and incentive fees.

     In addition,  the Partnership is obligated to pay each Advisor an incentive
     fee payable  quarterly equal to 20% of the New Trading Profits,  as defined
     in the Management Agreements, earned by each Advisor for the Partnership.

  c. Customer Agreement:

     The Partnership  has entered into a Customer  Agreement which provides that
     the  Partnership  will pay CGM brokerage  commissions at $18 per round turn
     for futures and forwards transactions and $9 per half turn for options. The
     brokerage fee is inclusive of applicable floor  brokerage.  The Partnership
     will also be allocated brokerage  commissions through its investment in the
     Master.  In  addition,  the  Partnership  will  pay  CGM  National  Futures
     Association fees, as well as exchange, clearing, user and give-up fees. CGM
     will pay a portion of brokerage fees to its financial  consultants who have
     sold  Redeemable  Units  in  this  Partnership.  Substantially  all  of the
     Partnership's assets are deposited in the Partnership's account at CGM. The
     Partnership's  assets are deposited by CGM in  segregated  bank accounts to
     the extent required by Commodity Futures Trading Commission regulations. At
     December 31, 2003 and 2002, the amount of cash held for margin requirements
     was  $13,779,146 and  $8,657,392,  respectively.  CGM has agreed to pay the
     Partnership interest on 100% of the average daily equity maintained in cash
     in its  account  during  each  month at a 30-day  U.S.  Treasury  bill rate
     determined  weekly  by CGM  based on the  average  noncompetitive  yield on
     3-month U.S. Treasury bills maturing in 30 days from the date on which such
     weekly rate is determined.  The Customer  Agreement between the Partnership
     and CGM gives the Partnership  the legal right to net unrealized  gains and
     losses.  The Customer  Agreement  may be  terminated  upon notice by either
     party.

4.  Trading Activities:

     The  Partnership  was formed for the  purpose  of  trading  contracts  in a
     variety of commodity interests,  including derivative financial instruments
     and    derivative    commodity    interests.    The    results    of    the
     Partnership's/Master's  trading  activities  are shown in the statements of
     income and expenses.

     All of the commodity interests owned by the Partnership/Master are held for
     trading purposes. The average fair value of the commodity interests held by
     the Partnership during the years ended December 31, 2003 and 2002, based on
     a monthly calculation, was $4,553,850 and $2,689,879, respectively.

5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the General  Partner  and at such times as the General  Partner may decide.
     Beginning  with the first full month ending at least three months after the
     commencement  of trading,  a limited partner may require the Partnership to
     redeem their Units at their  redemption value per Redeemable Unit as of the
     last day of a month  on 10 days  notice  to the  General  Partner.  For the
     purpose  of a  redemption,  any  accrued  liability  for  reimbursement  of
     offering and organization expenses for the initial offering period will not


                                      F-12
<PAGE>

     reduce  redemption  value per Redeemable  Unit.  There is no fee charged to
     limited partners in connection with redemptions.

     The  Partnership  is permitted to withdraw all or a portion of its interest
     in the Master as of each  month-end in order to meet its  obligations  with
     respect to the redemption rights of limited partners.



6.  Net Asset Value Per Unit:

     Changes in the Net Asset Value per Redeemable Unit of Partnership  interest
     for the years ended December 31, 2003, 2002 and 2001 were as follows:

<TABLE>
<CAPTION>
<S>                                                                          <C>                 <C>              <C>
                                                                              2003               2002              2001
                                                                          ----------        ----------         ----------
    Net realized and unrealized gains (losses) *                            $(27.22)           $283.72            $105.32
    Interest income                                                           11.42              16.93              31.56
    Expenses **                                                              (44.83)            (92.06)            (79.58)
                                                                          ----------        ----------         ----------
    Increase (decrease) for year                                             (60.63)            208.59              57.30
    Net asset value per Unit, beginning of year                            1,160.82             952.23             902.20
    Redemption/subscription value per Redeemable Unit
     versus net asset value per Unit                                             --                 --              (7.27)
                                                                          ----------        ----------         ----------
    Net asset value per Redeemable Unit, end of year                      $1,100.19          $1,160.82            $952.23
                                                                          ----------        ----------         ----------

                                                                          ----------        ----------         ----------
    Redemption/subscription net asset value per Redeemable Unit ***       $1,100.19          $1,160.82            $952.23
                                                                          ----------        ----------         ----------
</TABLE>

     *    Includes Partnership  brokerage  commissions and brokerage commissions
          allocated from Master.

     **   Excludes Partnership  brokerage  commissions and brokerage commissions
          allocated from Master.

     ***  For the purpose of a redemption/subscription,  any remaining liability
          for  reimbursement  of  offering  costs  will not  reduce  redemption/
          subscription net asset value per Redeemable Unit.
<TABLE>
<CAPTION>
<S>                                                                            <C>               <C>                 <C>
    Ratios to average net assets:
     Net investment loss before incentive fees ****                           (6.3)%             (8.0)%             (6.8)%
                                                                            ------             ------            -------

     Operating expenses                                                        7.4%               9.6%               9.8%
     Incentive fees                                                            1.1%               6.0%               3.8%

     Total expenses                                                            8.5%              15.6%              13.6%
                                                                            ------             ------            -------

     Total return:
     Total return before incentive fees                                       (4.3)%             26.7%              10.2%
     Incentive fees                                                           (0.9)%             (4.8)%             (4.6)%

     Total return after incentive fees                                        (5.2)%             21.9%               5.6%
                                                                              ------             ------            -------
</TABLE>

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


     The above ratios may vary for individual  investors  based on the timing of
     capital  transactions  during  the year.  Additionally,  these  ratios  are
     calculated for the Limited Partner class using the Limited  Partners' share
     of income, expenses and average net assets.

                                      F-13
<PAGE>

7.  Financial Instrument Risks:

     In the normal course of business, the Partnership directly, and through its
     investment  in  the  Master,   is  party  to  financial   instruments  with
     off-balance  sheet risk,  including  derivative  financial  instruments and
     derivative commodity  instruments.  These financial instruments may include
     forwards,  futures,  options  and  swaps,  whose  values  are based upon an
     underlying asset,  index, or reference rate, and generally represent future
     commitments  to exchange  currencies or cash flows,  or to purchase or sell
     other  financial  instruments at specific terms at specified  future dates,
     or, in the case of derivative commodity  instruments,  to have a reasonable
     possibility  to be  settled  in cash,  through  physical  delivery  or with
     another  financial  instrument.  These  instruments  may  be  traded  on an
     exchange or  over-the-counter  ("OTC").  Exchange  traded  instruments  are
     standardized  and  include  futures  and  certain  option  contracts.   OTC
     contracts are negotiated between  contracting parties and include forwards,
     swaps and certain options.  Each of these instruments is subject to various
     risks  similar to those  related to the  underlying  financial  instruments
     including market and credit risk. In general, the risks associated with OTC
     contracts  are  greater  than  those   associated   with  exchange   traded
     instruments  because of the greater risk of default by the  counterparty to
     an OTC contract. The Master's swaps contracts are OTC contracts.

     Market  risk is the  potential  for  changes in the value of the  financial
     instruments  traded  by  the  Partnership/Master  due  to  market  changes,
     including  interest and foreign exchange rate movements and fluctuations in
     commodity  or security  prices.  Market  risk is  directly  impacted by the
     volatility  and  liquidity  in the markets in which the related  underlying
     assets are traded.

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Partnership's/Master's  risk of loss  in the  event  of
     counterparty  default is typically limited to the amounts recognized in the
     statements of financial  condition and not  represented  by the contract or
     notional amounts of the instruments. The Partnership/Master has credit risk
     and  concentration  risk because a significant  counterparty or broker with
     respect to the Partnership's/Master's assets is CGM.

     The General Partner monitors and controls the  Partnership's/Master's  risk
     exposure on a daily basis  through  financial,  credit and risk  management
     monitoring  systems,   and  accordingly  believes  that  it  has  effective
     procedures for evaluating and limiting the credit and market risks to which
     the  Partnership/Master  is subject.  These  monitoring  systems  allow the
     General Partner to  statistically  analyze actual trading results with risk
     adjusted performance  indicators and correlation  statistics.  In addition,
     on-line  monitoring  systems provide account analysis of futures,  forwards
     and  options  positions  by  sector,  margin  requirements,  gain  and loss
     transactions and collateral positions.

     The majority of these  instruments  mature  within one year of December 31,
     2003. However,  due to the nature of the  Partnership's/Master's  business,
     these instruments may not be held to maturity.

                                      F-14
<PAGE>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:
<TABLE>
<CAPTION>
<S>                                                <C>                   <C>                     <C>                   <C>
                                          For the period from     For the period from     For the period from    For the period from
                                          October 1, 2003 to        July 1, 2003 to        April 1, 2003 to      January 1, 2003 to
                                           December 31, 2003      September 30, 2003        June 30, 2003          March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions, clearing fees and
 expenses allocated from Master
 including interest income                     $ 531,678               $ (209,295)           $ 3,496,086           $ (6,369,075)

Net Income (loss)                             $ (620,450)              $ (727,910)           $ 2,992,395           $ (7,157,014)

Increase (decrease) in Net Asset
 Value per Redeemable Unit                       $ (7.00)                 $ (5.93)               $ 42.77               $ (90.47)

                                          For the period from     For the period from     For the period from    For the period from
                                          October 1, 2002 to        July 1, 2002 to        April 1, 2002 to      January 1, 2002 to
                                           December 31, 2002       September 30, 2002        June 30, 2002          March 31, 2002

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions, clearing fees and
 expenses allocated from Master
 including interest income                  $ (1,304,391)             $ 5,988,669            $ 7,293,348              $ 910,971

Net Income (loss)                           $ (1,985,744)             $ 4,782,784            $ 6,019,944              $ 379,716

Increase (decrease) in Net Asset
 Value per Redeemable Unit                      $ (47.57)                $ 112.39               $ 154.59               $ (10.82)
</TABLE>

                                      F-15
<PAGE>

                                To the Members of
                             SB AAA Master Fund LLC

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






By:/s/ Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Citigroup Managed Futures LLC
       Managing Member, SB AAA Master Fund LLC

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011

                                      F-16

<PAGE>

                          Independent Auditors' Report

To the Members of
   SB AAA Master Fund LLC:

We have audited the  accompanying  statements  of financial  condition of SB AAA
Master Fund LLC (the Company), including the condensed schedules of investments,
as of December  31,  2003 and 2002,  and the  related  statements  of income and
expenses,  and  members'  capital  for the years  then  ended.  These  financial
statements   are  the   responsibility   of  the   Company's   management.   Our
responsibility  is to express an opinion on these financial  statements based on
our audits.  The  statements of income and expenses and members'  capital of the
Company  for  the  period  from  September  1,  2001  (commencement  of  trading
operations)  to December  31, 2001 were audited by other  auditors  whose report
dated February 28, 2002 expressed an unqualified opinion on those statements.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the financial  position of SB AAA Master Fund LLC as of
December 31, 2003 and 2002,  and the results of its  operations and its members'
capital for the years then  ended,  in  conformity  with  accounting  principles
generally accepted in the United States of America.

/s/ KPMG LLP
    KPMG LLP
    New York, New York
    February 27, 2004

                                      F-17

<PAGE>

                         Report of Independent Auditors

To the Members of
   SB AAA Master Fund LLC:

In our opinion, the accompanying  statements of income and expenses and members'
capital present fairly, in all material  respects,  the results of SB AAA Master
Fund LLC's  operations  for the period from September 1, 2001  (commencement  of
trading  operations)  to  December  31,  2001,  in  conformity  with  accounting
principles  generally accepted in the United States of America.  These financial
statements are the  responsibility of the management of the Managing Member; our
responsibility  is to express an opinion on these financial  statements based on
our audit.  We conducted our audit of these  financial  statements in accordance
with  auditing  standards  generally  accepted in the United  States of America,
which require that we plan and perform the audit to obtain reasonable  assurance
about whether the financial  statements  are free of material  misstatement.  An
audit includes examining,  on a test basis,  evidence supporting the amounts and
disclosures in the financial  statements,  assessing the  accounting  principles
used and  significant  estimates made by the management of the Managing  Member,
and evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.


/s/ PricewaterhouseCoopers LLP
    PricewaterhouseCoopers LLP
    New York, New York
    February 28, 2002


                                      F-18
<PAGE>

                                SB AAA Master Fund LLC
                           Statements of Financial Condition
                              December 31, 2003 and 2002


<TABLE>
<CAPTION>
<S>                                                                     <C>                 <C>
                                                                        2003                2002
                                                                  -------------       -------------
Assets:
  Equity in commodity futures trading account:
    Cash (restricted $48,471,997 and $53,522,255, respectively)    $231,361,103        $330,218,077
    Net unrealized appreciation on open futures positions             8,845,539           9,188,483
    Unrealized appreciation on open swaps positions                  50,093,912          38,011,771
    Commodity options owned, at fair value (cost $49,687,512
    and $63,879,907, respectively)                                   42,630,230          83,252,102
                                                                  --------------      -------------
                                                                    332,930,784         460,670,433
  Due from brokers                                                    2,148,690          12,595,792
  Interest receivable                                                   159,050             283,620
                                                                  --------------      -------------
                                                                   $335,238,524        $473,549,845
                                                                  --------------      -------------



Liabilities and Members' Capital:
  Liabilities:
   Unrealized depreciation on open swap positions                   $18,654,566         $48,470,222
   Commodity options written, at fair value
      (premium received $47,549,852 and $59,666,185, respectively)   57,804,597          67,724,777
   Accrued expenses:
      Commissions                                                     1,670,425           5,210,167
      Professional fees                                                  59,625              20,117
   Due to brokers                                                     1,815,015           1,541,223
   Due to CGM                                                            22,978              22,978
   Distribution payable                                                 153,681             276,908
                                                                  --------------      -------------
                                                                     80,180,887         123,266,392
  Members' Capital:
    Members' Capital, 211,023.7320 and 216,158.4103 Units
     outstanding in 2003 and 2002, respectively                     255,057,637         350,283,453
                                                                  --------------      -------------
                                                                   $335,238,524        $473,549,845
                                                                  -------------       -------------
</TABLE>


  See accompanying notes to financial statements.

                                      F-19
<PAGE>

                                SB AAA Master Fund LLC
                           Condensed Schedule of Investments
                                   December 31, 2003

<TABLE>
<CAPTION>
<S>             <C>                          <C>                                        <C>
              Number of
Sector        Contracts                    Contract                                  Fair Value
------        ---------                    --------                                   ----------
Energy                         Futures contracts purchased 5.35%                    $13,637,465
                               Futures contracts sold (1.88)%                        (4,791,926)
                                                                                    ------------
                                 Total futures contracts 3.47%                        8,845,539


                               Options owned 16.71%
                  6,488        NYMEX Natural Gas Put Feb. 04 - Oct 04  8.98%         22,900,060
                               Other 7.73%                                           19,730,170
                                                                                    ------------
                                                                                     42,630,230

                               Options written (22.66)%
                  7,335        NYMEX Natural Gas Call Feb. 04 - Dec 04 (16.04)%     (40,916,710)
                               Other (6.62)%                                        (16,887,887)
                                                                                    ------------
                                                                                    (57,804,597)

                               Unrealized appreciation on Swaps contracts 19.64%
                  1,000        HH Natural Gas Feb - 04  8.22%                        20,967,521
                               Other 11.42%                                          29,126,391
                                                                                    ------------
                                                                                     50,093,912

                               Unrealized depreciation on Swaps contracts (7.31)%   (18,654,566)
                                                                                    ------------
Total Energy Fair Value 9.85%                                                       $25,110,518
                                                                                   ------------

                                                      Investments at      % of Investments at
                    Country Composition                 Fair Value            Fair Value
                    --------------------             ---------------       --------------
                    United Kingdom                     $(113,943)              (0.45)%
                    United States                     25,224,461              100.45
                                                      -----------            -------
                                                     $25,110,518              100.00%
                                                     -----------             -------
</TABLE>





Percentages are based on Members' Capital unless otherwise indicated.
See accompanying  notes to financial statements.

                                      F-20
<PAGE>

                                SB AAA Master Fund LLC
                           Condensed Schedule of Investments
                                   December 31, 2002

<TABLE>
<CAPTION>
<S>                  <C>                          <C>                                                  <C>
                 Number of
Sector           Contracts                      Contract                                            Fair Value
------           ---------                      --------                                            ----------
Energy                            Futures contracts purchased 17.92%
                     6,228        IPE Gas Oil 5.45% Jan. - Feb. 2003                               $19,089,003
                                  Other 12.47%                                                      43,677,214
                                                                                                   ------------
                                                                                                    62,766,217

                                  Futures contracts sold (15.30)%
                    13,454        NYMEX Light Sweet Crude Oil (7.22)% Feb. 03 - June 04            (25,271,391)
                     7,578        NYMEX Natural Gas (6.05)% Feb. 03 - Feb. 04                      (21,203,640)
                                  Other (2.03)%                                                     (7,102,703)
                                                                                                   ------------
                                                                                                   (53,577,734)

                                  Options owned 23.77%
                     7,293        NYMEX Natural Gas Call 10.40% Feb. 03 - June 03                   36,430,400
                     5,325        NYMEX Natural Gas Put 5.37% Feb. 03 - June 03                     18,812,110
                                  Other 8.00%                                                       28,009,592
                                                                                                   ------------
                                                                                                    83,252,102

                                  Options written (19.33)%
                    12,086        NYMEX Light Sweet Crude Call (6.90)% Feb. 03 - June 03           (24,193,640)
                                  Other (12.43)%                                                   (43,531,137)
                                                                                                   ------------
                                                                                                   (67,724,777)

                                  Unrealized appreciation on Swaps contracts 10.85%
                     3,354        NYMEX Natural Gas 5.46%                                           19,130,237
                                  Other 5.39%                                                       18,881,534
                                                                                                   ------------
                                                                                                    38,011,771

                                  Unrealized depreciation on Swaps contracts (13.84)%
                     1,809        NYMEX Natural Gas (5.17)%                                        (18,107,814)
                                  Other (8.67)%                                                    (30,362,408)
                                                                                                   ------------
                                                                                                   (48,470,222)
                                                                                                   ------------
    Total Energy 4.07%                                                                              14,257,357
                                                                                                   ------------
Total Fair Value 4.07%                                                                             $14,257,357
                                                                                                  ------------
                                                      Investments at      % of Investments at
                    Country Composition                 Fair Value            Fair Value
                    -------------------               ------------          -----------
                    United Kingdom                      $25,728,485           180.46%
                    United States                       (11,471,128)          (80.46)
                                                       -----------            -------
                                                        $14,257,357          100.00%
                                                       -----------            -------
</TABLE>


Percentages are based on Members' Capital unless otherwise indicated.
See accompanying notes to financial statements.

                                      F-21
<PAGE>

                             SB AAA Master Fund LLC
                        Statements of Income and Expenses
                 for the years ended December 31, 2003 and 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                         <C>                  <C>                <C>
                                                            2003               2002                2001
                                                        ------------        ------------        ------------
Income:
  Net gains (losses) on trading
   of commodity interests:
   Realized gains (losses) on closed positions          $(89,228,388)        $96,247,547        $23,522,245
   Change in unrealized gains (losses) on
    open positions                                        12,929,224           7,940,877         (5,652,277)
                                                        ------------        ------------        ------------
                                                         (76,299,164)        104,188,424         17,869,968
  Interest income                                          2,459,477           3,255,591             21,054
                                                         ------------        ------------        ------------
                                                         (73,839,687)        107,444,015         17,891,022
                                                         ------------        ------------        ------------
Expenses:
  Brokerage commissions including clearing fees
   of $2,041,075, $2,515,609 and $361,342,
   respectively                                           13,877,538          21,769,166          2,992,446
  Other expenses                                             347,628              37,083             38,000
                                                         ------------        ------------        ------------
                                                          14,225,166          21,806,249          3,030,446
                                                        ------------        ------------        ------------
Net income (loss)                                       $(88,064,853)        $85,637,766        $14,860,576
                                                         ------------        ------------        ------------
Net income (loss) per Unit of Member Interest
(Notes 1 and 6)                                            $(400.99)             $525.84            $109.24
                                                        ------------        ------------        ------------
</TABLE>



 See accompanying notes to financial statements.


                                      F-22
<PAGE>

                             SB AAA Master Fund LLC
                         Statements of Members' Capital
                 for the years ended December 31, 2003 and 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                      <C>
                                                        Members'
                                                        Capital
                                                     -------------
Initial in-kind contribution from the Members
  representing 133,712.5867 Units                    $133,712,587
Net Income                                             14,860,576
Sale of 6,891.1523 Units of
  Member Interest                                       6,104,660
Redemptions of 3,379.4396 Units of
  Member Interest                                      (2,463,100)
                                                     -------------
Members' Capital at December 31, 2001                 152,214,723
Net Income                                             85,637,766
Sale of 103,668.6762 Units of
  Member Interest                                     149,182,059
Redemptions of 24,734.5653 Units of
  Member Interest                                     (33,598,368)
Distribution of Interest to feeder funds               (3,152,727)
                                                     -------------
Members' Capital at December 31, 2002                 350,283,453
Net Loss                                              (88,064,853)
Sale of 39,745.9253 Units of
  Member Interest                                      54,393,460
Redemptions of 44,880.6036 Units of
  Member Interest                                     (59,184,213)
Distribution of Interest to feeder funds               (2,370,210)
                                                     -------------
Members' Capital at December 31, 2003                $255,057,637
                                                     -------------
</TABLE>




See accompanying notes to financial statements.

                                      F-23
<PAGE>


                             SB AAA Master Fund LLC
                          Notes to Financial Statements


1.  General:

     SB AAA Master Fund LLC (the "Master") is a limited liability company formed
     under the New York Limited  Liability  Company Law. The Master's purpose is
     to  engage  in  the  speculative  trading  of a  diversified  portfolio  of
     commodity  interests  including  commodity  futures contracts and commodity
     options contracts on United States exchanges and certain foreign exchanges.
     The Master may trade commodity futures and option contracts of any kind but
     intends  initially to trade solely energy and energy related  products.  In
     addition,  the  Master  may  enter  into  swap  contracts.  The  Master  is
     authorized  to sell an  unlimited  number  of  units  ("Units")  of  member
     interest.

     On  September  1, 2001 (date Master  commenced  trading),  Smith Barney AAA
     Energy Fund L.P.  ("AAA")  allocated  substantially  all of its capital and
     Smith Barney Orion  Futures Fund L.P  ("Orion")  allocated a portion of its
     capital  to  the  Master.  With  this  cash,  the  Partnerships   purchased
     133,712.5867  Units  of  the  Master  with  a fair  value  of  $133,712,587
     (including unrealized appreciation of $7,755,035). On July 1, 2002, Salomon
     Smith Barney AAA Energy Fund L.P. II ("AAA II") allocated substantially all
     of its capital to the Master and  purchased  64,945.0387  Units with a fair
     value of  $94,925,000.  The  Master was  formed to permit  commodity  pools
     managed  now  or in  the  future  by  AAA  Capital  Management,  Inc.  (the
     "Advisor") using the Energy with Swaps Program,  the Advisor's  proprietary
     trading program, to invest together in one vehicle.

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors consist of AAA, AAA II, Orion and Pinnacle Natural Resources,  LP
     (each a "Member", collectively the "Feeder Funds") with 47.6%, 38.8%, 13.1%
     and 0.5% investments in the Master at December 31, 2003, respectively.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
     LLC, acts as the managing member (the "Managing Member") of the Master. The
     Master's  commodity  broker  is  Citigroup  Global  Markets  Inc.  ("CGM"),
     formerly  Salomon  Smith  Barney Inc.  CGM is an  affiliate of the Managing
     Member.  The Managing Member is  wholly-owned  by Citigroup  Global Markets
     Holdings Inc. ("CGMHI"), formerly Salomon Smith Barney Holdings Inc., which
     is the sole owner of CGM. CGMHI is a  wholly-owned  subsidiary of Citigroup
     Inc.  Effective  as of December  31, 2001,  all trading  decisions  for the
     Master are made by the Advisor.

2.  Accounting Policies:

     a.   All commodity interests (including  derivative  financial  instruments
          and derivative  commodity  instruments) are used for trading purposes.
          The commodity  interests are recorded on trade date and open contracts
          are recorded in the statements of financial condition at fair value on
          the last business day of the year, which  represents  market value for
          those  commodity  interests  for which market  quotations  are readily
          available  or other  measures  of fair  value  deemed  appropriate  by
          management of the Managing  Member for those  commodity  interests and
          foreign  currencies  for  which  market  quotations  are  not  readily
          available,  including  dealer  quotes  for  swaps and  certain  option
          contracts.  Investments in commodity interests  denominated in foreign
          currencies  are  translated  into U.S.  dollars at the exchange  rates
          prevailing  on the  last  business  day of the  year.  Realized  gains
          (losses) and changes in unrealized  gains  (losses) on open  positions
          are  recognized  in the period in which the  contract is closed or the
          changes  occur and are  included  in net gains  (losses) on trading of
          commodity interests.

     b.   The Master  may  purchase  and write  (sell)  options.  An option is a
          contract allowing, but not requiring, its holder to buy (call) or sell
          (put) a specific or standard  commodity or financial  instrument  at a
          specified price during a specified time period.  The option premium is
          the total price paid or received for the option contract.


                                      F-24
<PAGE>

          When the Master writes an option,  the premium received is recorded as
          a liability in the  statements  of financial  condition  and marked to
          market daily. When the Master purchases an option, the premium paid is
          recorded as an asset in the  statements  of  financial  condition  and
          marked to market daily.

     c.   All of the income and expenses and realized and  unrealized  gains and
          losses on  trading  of  commodity  interests  are  determined  on each
          valuation  day and  allocated  pro rata among the Feeder  Funds at the
          time of such determination.

     d.   Income  taxes have not been  provided  as each  partner of each of the
          members (the Feeder Funds) is  individually  liable for the taxes,  if
          any,  on their  share of the  Master's  income  and  expenses.

     e.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, and disclosure of contingent assets
          and  liabilities  at the  date  of the  financial  statements  and the
          reported amounts of revenues and expenses during the reporting period.
          Actual results could differ from these estimates.

     f.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3. Agreements:

     a.   Managing Member Agreement:

          The Managing Member administers the business affairs of the Master.

     b.   Management Agreement:

          The  Managing  Member,  on behalf of the  Master  has  entered  into a
          Management  Agreement with the Advisor, a registered commodity trading
          advisor.  The Advisor is affiliated  with the Managing  Member and CGM
          but is not  responsible  for  the  organization  or  operation  of the
          Master.  The Management  Agreement  provides that the Advisor has sole
          discretion in determining  the investment of the assets of the Master.
          All management fees in connection with the Management  Agreement shall
          be borne by the Feeder Funds.

     c.   Customer Agreement:

          The Master has entered into a Customer  Agreement with CGM whereby CGM
          provides services which include,  among other things, the execution of
          transactions for the Master's account in accordance with orders placed
          by the Advisor.  The Master will pay CGM brokerage  commissions at $18
          per  round  turn  for  futures,  options  and swap  transactions.  The
          brokerage  fee  is  inclusive  of  applicable  floor  brokerage.   All
          exchange,  clearing,  user,  give-up and National Futures  Association
          fees  are  borne by the  Master.  All  other  fees  (management  fees,
          administrative fees, incentive fees and offering costs) shall be borne
          by the Feeder  Funds.  All of the Master's cash is deposited by CGM in
          segregated bank accounts,  to the extent required by Commodity Futures
          Trading  Commission  regulations.  At December 31, 2003 and 2002,  the
          amount  of  cash  held  by the  Master  for  margin  requirements  was
          $48,471,997  and  $53,522,255,  respectively.  The Customer  Agreement
          between  the Master  and CGM gives the  Master the legal  right to net
          unrealized gains and losses.  The Customer Agreement may be terminated
          by either  party.  All  commissions  in  connection  with the Customer
          Agreement shall be borne by the Feeder Funds.

                                      F-25
<PAGE>

4.  Trading Activities:

     The Master was formed for the purpose of trading  contracts in a variety of
     commodity  interests,   including  derivative  financial   instruments  and
     derivative  commodity  instruments.  The  results of the  Master's  trading
     activities are shown in the statements of income and expenses.

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes. The average fair values for the years ended December 31, 2003 and
     2002 based on a monthly  calculation,  were  $39,703,607  and  $13,217,805,
     respectively.  The fair  values  of these  commodity  interests,  including
     options  thereon,  if  applicable,  at  December  31,  2003 and  2002  were
     $25,110,518 and $14,257,357, respectively.

5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the Managing Member and at such time as the Managing  Member may decide.  A
     member  may  require  the Master to redeem  their  Units at their Net Asset
     Value as of the last day of the month.  The  Managing  Member,  at its sole
     discretion,  may permit redemptions more frequently than monthly.  There is
     no fee charged to members in connection with redemptions.

6.  Financial Highlights:

     Changes in the Net Asset  Value per Unit of Member  interest  for the years
     ended  December 31, 2003 and 2002 and for the period from September 1, 2001
     (commencement of trading operations) to December 31, 2001 were as follows:

<TABLE>
<CAPTION>
<S>                                                           <C>          <C>         <C>
                                                             2003         2002         2001
                                                          ---------    -----------  ----------
     Net realized and unrealized gains (losses)*           $(410.62)     $510.93      $109.36
     Interest income                                          11.23        15.13         0.16
     Expenses **                                              (1.60)       (0.22)       (0.28)
                                                          ---------    -----------  ----------
     Increase (decrease) for year                           (400.99)      525.84       109.24
     Distributions                                           (10.84)      (14.59)          --
     Net asset value per Unit, beginning of year/period    1,620.49     1,109.24     1,000.00
                                                          ---------    -----------  ----------
     Net asset value per Unit, end of year/period         $1,208.66    $1,620.49    $1,109.24
                                                          ---------    -----------  ----------
     *    Includes brokerage commissions
     **   Excludes brokerage commissions

     Ratio to average net assets:
       Net investment loss ***                                (4.1)%       (8.9)%       (2.1)%****
       Operating expenses                                      5.0%         9.0%         6.5%****
     Total Return                                            (24.7)%       47.4%        10.9%
     ***  Interest income less total expenses
     **** Annualized
     The above ratios may vary for individual  investors  based on the timing of
     capital transactions during the year.
</TABLE>


                                      F-26
<PAGE>

7.  Financial Instrument Risks:

     In the normal  course of its  business,  the  Master is party to  financial
     instruments with off-balance  sheet risk,  including  derivative  financial
     instruments   and  derivative   commodity   instruments.   These  financial
     instruments  may include  forwards,  futures and options,  whose values are
     based upon an underlying  asset,  index,  or reference  rate, and generally
     represent  future  commitments  to exchange  currencies  or cash flows,  to
     purchase or sell other financial instruments at specific terms at specified
     future dates, or, in the case of derivative commodity instruments,  to have
     a reasonable  possibility to be settled in cash,  through physical delivery
     or with another financial instrument. These instruments may be traded on an
     exchange or  over-the-counter  ("OTC").  Exchange  traded  instruments  are
     standardized  and  include  futures  and  certain  option  contracts.   OTC
     contracts are negotiated between  contracting  parties and include forwards
     and certain options.  Each of these instruments is subject to various risks
     similar to those related to the underlying financial  instruments including
     market and credit risk. In general, the risks associated with OTC contracts
     are greater than those associated with exchange traded instruments  because
     of the greater risk of default by the counterparty to an OTC contract.

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

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Master's  risk  of loss in the  event  of  counterparty
     default is typically limited to the amounts recognized in the statements of
     financial condition and not represented by the contract or notional amounts
     of the instruments. The Master has concentration risk because a significant
     counterparty  or broker with respect to the  Master's  assets is CGM. As of
     December 31, 2003, the  counterparties  to the Master's swap contracts were
     Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital
     Group Inc., J. Aron & Company and Hess Trading Company, LLC.

     The Managing  Member  monitors and controls the Master's risk exposure on a
     daily  basis  through  financial,  credit  and risk  management  monitoring
     systems and,  accordingly  believes  that it has effective  procedures  for
     evaluating  and limiting the credit and market risks to which the Master is
     subject.   These   monitoring   systems   allow  the  Managing   Member  to
     statistically analyze actual trading results with risk adjusted performance
     indicators and  correlation  statistics.  In addition,  on-line  monitoring
     systems provide account analysis of futures, forwards and options positions
     by sector,  margin requirements,  gain and loss transactions and collateral
     positions.

     The majority of these  instruments  mature  within one year of December 31,
     2003.  However,  due  to  the  nature  of  the  Master's  business,   these
     instruments may not be held to maturity.

                                      F-27
<PAGE>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:

<TABLE>
<CAPTION>
<S>                                               <C>                   <C>                     <C>                    <C>
                                           For the period from    For the period from    For the period from     For the period from
                                           October 1, 2003 to        July 1, 2003 to       April 1, 2003 to       January 1, 2003 to
                                            December 31, 2003      September 30, 2003        June 30, 2003           March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                $ (19,076,349)              $ 5,417,949             $ 43,551,945         $ (117,610,770)

Net Income (loss)                         $ (19,209,758)              $ 5,222,221             $ 43,542,648         $ (117,619,964)

Increase (decrease) in Net Asset
 Value per Redeemable Unit                     $ (91.62)                  $ 24.17                 $ 196.92              $ (530.46)

                                           For the period from    For the period from    For the period from     For the period from
                                           October 1, 2002 to       July 1, 2002 to       April 1, 2002 to       January 1, 2002 to
                                            December 31, 2002     September 30, 2002       June 30, 2002           March 31, 2002

Net realized and unrealized trading
 gains net of brokerage
 commissions and clearing fees
 including interest income                 $ 24,053,583              $ 13,555,805             $ 21,669,451           $ 26,396,010

Net Income                                 $ 24,044,185              $ 13,546,406             $ 21,660,359           $ 26,386,816

Increase in Net Asset
 Value per Redeemable Unit                     $ 111.45                   $ 62.01                 $ 158.46               $ 193.92

</TABLE>


                                      F-28



<PAGE>

Item  9.  Changes  in and  Disagreements  with  Accountants  on  Accounting  and
          Financial Disclosure.

     PricewaterhouseCoopers  LLP was previously the principal accountant for the
Partnership.  On July 9, 2002,  that firm was dismissed as principal  accountant
and KPMG LLP was  engaged  as  principal  accountant.  The  decision  to  change
accountants was approved by the General Partner of the Partnership.

     In  connection  with the audit of the fiscal year ended  December 31, 2001,
and   through    July   9,   2002,    there   were   no    disagreements    with
PricewaterhouseCoopers  LLP on any matter of accounting principles or practices,
financial  statement  disclosure,   or  auditing  scope  or  procedures,   which
disagreements  if not resolved to their  satisfaction  would have caused them to
make reference thereto in their report on the financial statements for the year.

     The audit report of PricewaterhouseCoopers  LLP on the financial statements
of the  Partnership  as of and for the  year  ended  December  31,  2001 did not
contain any adverse  opinion or disclaimer  of opinion,  nor was it qualified or
modified as to uncertainty, audit scope, or accounting principle.

Item 9A. Control and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures  as of year end,  the Chief  Executive  Officer  and Chief  Financial
Officer have concluded that such controls and procedures are effective.

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation as of year end.

                                    PART III

Item 10. Directors and Executive Officers of the Registrant.

     The Partnership has no officers or directors and its affairs are managed by
its General  Partner,  Citigroup  Managed  Futures  Management  LLC.  Investment
decisions are made by the Advisors,  AAA Capital Management,  Inc.  Willowbridge
Associates Inc. and Winton Capital Management.

     The  Partnership  has not adopted a code of ethics that applies to officers
because it has no officers.

Item 11. Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Citigroup  Managed Futures  Management LLC, its General Partner,  which receives
compensation  for its services,  as set forth under "Item 1.  Business." CGM, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business."  During the year ended December 31, 2003, CGM earned $3,493,763 in
brokerage  commissions  and clearing fees from the  Partnership  and through the
Partnership's  investment  in the Master.  The  Advisors  earned  $1,547,397  in
management fees during 2003.

                                       34
<PAGE>


Item 12. Security Ownership of Certain Beneficial Owners and Management.

     (a) Security  ownership of certain  beneficial owners. As of March 1, 2004,
one beneficial  owner who is neither a director nor executive  officer owns more
than  five  percent  (5%) of the  outstanding  Redeemable  Units  issued  by the
Registrant as follows:


<TABLE>
<CAPTION>
<S>                                     <C>                                <C>                              <C>
                                Name and Address                         Amount and Nature of            Percent
Title of Class                  of Beneficial Owner                      Beneficial Ownership            of Class

Redeemable Units of Limited     Arthur S. Demoss Foundation Fixed Inc    5,839.4423 Redeemable Units     7.4%
Partnership Interest            Income- Private
                                Mr. Larry R. Nelson
                                777 South Flager Drive
                                West Tower
                                West Palm Beach, FL  33401
</TABLE>

     (b)  Security  ownership  of  management.  Under the  terms of the  Limited
Partnership  Agreement,  the  Partnerships  affairs  are  managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent  to  499.8084  Units of  Limited  Partnership  Interest  (0.6%) as of
December 31, 2003.

Principals who own Redeemable Units of the Partnership:
David J. Vogel 17.9921 Redeemable Units


     (c). Changes in control. None.

Item 13. Certain Relationships and Related Transactions.

     Citigroup  Global Markets Inc. and Citigroup  Managed  Futures LLC would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under  "Item 1.  Business.',  "Item 8.  Financial  Statements  and
Supplementary Data." and "Item 11. Executive Compensation."

Item 14. Principal Accountant Fees and Services

     (a) Audit Fees.  The aggregate  fees billed for each of the last two fiscal
years  for  professional  services  rendered  by  KPMG  for  the  audit  of  the
Partnership's  annual  financial  statements,  review  of  financial  statements
included in the Partnership's Forms 10-Q and other services normally provided in
connection with regulatory filings or engagements are as follows:

2002 $18,414
2003 $16,571

     (b) Audit-Related Fees. None

                                       35
<PAGE>

     (c) Tax Fees.  The  aggregate  fees  billed for each of the last two fiscal
years for  professional  services  rendered by KPMG for tax  compliance  and tax
advice  given  in  the  preparation  of  the  Partnership's  Schedule  K1s,  the
preparation  of the  Partnership's  Form 1065 and  preparation  of all State Tax
Returns are as follows:

2002 $4,809
2003 $4,809

     (d)  All Other Fees. None.

     (e)  Not Applicable.

     (f)  Not Applicable.


                                     PART IV

Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

          (a)  (1) Financial  Statements:  Statements of Financial  Condition at
                    December 31, 2003 and 2002.

                    Statements  of  Income  and  Expenses  for the  years  ended
                    December 31, 2003, 2002 and 2001.

                    Statements of Partners' Capital for the years ended December
                    31, 2003, 2002 and 2001.

                    Notes to Financial Statements

               (2)  Financial Statement  Schedules:  Financial Data Schedule for
                    year ended December 31, 2003.

               (3)  Exhibits:

               3.1- Certificate of Limited  Partnership (filed as Exhibit 3.1 to
                     the Partnership Form 10) (previously filed)

               3.2- Certificate  of  Amendment  to the  Certificate  of  Limited
                    Partnership  (filed as Exhibit 3.2 to the  Partnership  Form
                    10 (previously filed)

               3.3- Amended and Restated Limited Partnership Agreement (filed as
                    Exhibit 3.3 to the Partnership Form 10) (previously filed)

               10.1-Management  Agreement  among the  Partnership,  the  General
                    Partner,  SFG  Global  Investments,  Inc.  and  AAA  Capital
                    Management,  Inc.(filed  as Exhibit 10.1 to the  Partnership
                    Form 10) (previously filed)

               10.2-Management  Agreement  among the  Partnership,  the  General
                    Partner, SFG Global Investments,  Inc. and Beacon Management
                    Corporation  (filed as Exhibit 10.2 to the Partnership  Form
                    10) (previously filed)

               10.3-Management  Agreement  among the  Partnership,  the  General
                    Partner,  SFG  Global  Investments,  Inc.  and  Willowbridge
                    Associates  Inc.  (filed as Exhibit 10.3 to the  Partnership
                    Form 10) (previously filed)

               10.4-Amended  and  Restated   Customer   Agreement   between  the
                    Partnership  and Salomon Smith Barney Inc. (the  predecessor
                    to CGM) (filed as Exhibit 10.4 to the Partnership  Form
                    10) (previously filed)

               10.5-Amended   and   Restated   Agency   Agreement   between  the
                    Partnership  and Salomon Smith Barney Inc. (the  predecessor
                    to CGM) (filed as Exhibit 10.5 to the Partnership  Form 10)
                    (previously filed)

               10.6-Form of  Subscription  Agreement  (filed as Exhibit  10.6 to
                    the Partnership Form 10) (previously filed)

               10.7-Amendment to the Management Agreement among the Partnership,
                    the General Partner,  SFG Global  Investments,  Inc. and AAA
                    Capital  Management,  Inc.  (filed  as  Exhibit  10.7 to the
                    Partnership Form 10) (previously filed)

               10.8-Amendment to the Management Agreement among the Partnership,
                    the General Partner, SFG Global Investments, Inc. and Beacon
                    Management   Corporation  (filed  as  Exhibit  10.8  to  the
                    Partnership Form 10) (previously filed)

               10.9-Amendment to the Management Agreement among the Partnership,
                    the  General  Partner,  SFG  Global  Investment,   Inc.  and
                    Willowbridge  Associates  Inc. (filed as Exhibit 10.9 to the
                    Partnership Form 10) (previously filed)


                                36
<PAGE>

               10.10- Letter from the General Partner to AAA Capital Management,
                    Inc.  extending the  Management  Agreement for 2000(filed as
                    Exhibit 10.10 to the Partnership Form 10) (previously filed)

               10.11- Letter  from the  General  Partner  to  Beacon  Management
                    Corporation  extending  the  Management  Agreement  for 2000
                    (filed  as  Exhibit  10.11  to  the  Partnership   Form  10)
                    (previously filed)

               10.12- Letter from the General Partner to AAA Capital Management,
                    Inc.  extending the Management  Agreement for 2001 (filed as
                    Exhibit 10.12 to the Partnership Form 10) (previously filed)

               10.13- Letter  from the  General  Partner  to  Beacon  Management
                    Corporation  extending  the  Management  Agreement  for 2001
                    (filed  as  Exhibit  10.13  to  the   Partnership  Form  10)
                    (previously filed)

               10.14-  Letter   from  the   General   Partner  to   Willowbridge
                    Associates, Inc. extending the Management Agreement for 2001
                    (filed  as  Exhibit  10.14  to  the  Partnership   Form  10)
                    (previously filed)

               10.15- Letter from the General Partner to AAA Capital Management,
                    Inc.  extending the Management  Agreement for 2002 (filed as
                    Exhibit 10.15 to the Partnership Form 10) (previously filed)

               10.16- Letter  from the  General  Partner  to  Beacon  Management
                    Corporation  extending  the  Management  Agreement  for 2002
                    (filed  as  Exhibit  10.16  to  the  Partnership   Form  10)
                    (previously filed)

               10.17-  Letter   from  the   General   Partner  to   Willowbridge
                    Associates, Inc. extending the Management Agreement for 2002
                    (filed  as  Exhibit  10.17  to  the  Partnership   Form  10)
                    (previously filed)

               10.17-  Letter   from  the   General   Partner  to   Willowbridge
                    Associates, Inc., AAA Capital Management, Inc. extending the
                    Management Agreement for 2003 (file herein)

               10.18-Management  Agreement  among the  Partnership, the  General
                    Partner,  Winton Capital Management (file herein)

               10.19- Letter  from the  General  Partner  to  Beacon  Management
                    Corporation  terminating  the Management  Agreement.  (filed
                    herein)

                    The exhibits required to be filed by Item 601 of Regulations
                    S-K are incorporated herein by reference.

               16.1 - Letter from PricewaterhouseCoopers LLP (filed herein).

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

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

               32.1 - Section 1350 Certification (Certification of President and
                    Director).

               32.2 -  Section  1350   Certification   (Certification  of  Chief
                    Financial Officer and Director).





          (b)  Report on Form 8-K: None Filed.

                                       37
<PAGE>

     Supplemental  Information  To Be Furnished  With Reports Filed  Pursuant To
Section 15(d) Of The Act by  Registrants  Which Have Not  Registered  Securities
Pursuant To Section 12 Of the Act.













Annual Report to Limited Partners

No proxy material has been sent to Limited Partners.

                                       38
<PAGE>


                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K  authorized,  in the City of New York and State of New York on the 15th day
of March 2004.



SALOMON SMITH BARNEY ORION FUTURES FUND L.P.



By:      Citigroup Managed Futures LLC
         (General Partner)



By   /s/ David J. Vogel
     David J. Vogel, President & Director



     Pursuant to the  requirements of the Securities  Exchange Act of 1934, this
annual report on Form 10-K has been signed below by the following persons in the
capacities and on the date indicated.





/s/ David J. Vogel                     /s/ Shelley Ullman
    David J. Vogel                         Shelley Ullman
    Director, Principal Executive          Director
    Officer and President



/s/ Maureen O'Toole                    /s/ Steve J. Keltz
    Maureen O'Toole                        Steve J. Keltz
    Director                               Secretary and Director



/s/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Chief Financial Officer and
    Director
                                       39
<PAGE>

                                                                    Exhibit 31.1

                                  CERTIFICATION


I, David J. Vogel, certify that:

1. I have  reviewed this  quarterly  report on Form 10-K of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a)   designed such disclosure controls and procedures, or caused such disclosure
     controls and  procedures to be designed  under our  supervision,  to ensure
     that material information relating to the registrant is made known to us by
     others within those entities,  particularly during the period in which this
     report is being prepared;

b)   evaluated the  effectiveness  of the registrant's  disclosure  controls and
     procedures  and  presented  in  this  report  our  conclusions   about  the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

c)   disclosed in this report any change in the  registrant's  internal  control
     over financial  reporting that occurred during the registrant's most recent
     fiscal  quarter (the  registrant's  fourth fiscal quarter in the case of an
     annual report) that has  materially  affected,  or is reasonably  likely to
     materially  affect,  the  registrant's   internal  control  over  financial
     reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

a)   all  significant  deficiencies  and  material  weaknesses  in the design or
     operation of internal control over financial reporting which are reasonably
     likely to adversely  affect the  registrant's  ability to record,  process,
     summarize and report financial information; and

b)   any fraud,  whether or not  material,  that  involves  management  or other
     employees who have a significant role in the registrant's  internal control
     over financial reporting.


     Date: March 15, 2004
                                         /s/ David J. Vogel
                                             David J. Vogel
                                             Citigroup Managed Futures LLC
                                             President and Director
                                       40
<PAGE>

                                                                    Exhibit 31.2

                                  CERTIFICATION


I, Daniel R. McAuliffe, Jr., certify that:

1. I have  reviewed this  quarterly  report on Form 10-K of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a)   designed such disclosure controls and procedures, or caused such disclosure
     controls and  procedures to be designed  under our  supervision,  to ensure
     that material information relating to the registrant is made known to us by
     others within those entities,  particularly during the period in which this
     report is being prepared;

b)   evaluated the  effectiveness  of the registrant's  disclosure  controls and
     procedures  and  presented  in  this  report  our  conclusions   about  the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

c)   disclosed in this report any change in the  registrant's  internal  control
     over financial  reporting that occurred during the registrant's most recent
     fiscal  quarter (the  registrant's  fourth fiscal quarter in the case of an
     annual report) that has  materially  affected,  or is reasonably  likely to
     materially  affect,  the  registrant's   internal  control  over  financial
     reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

a)   all  significant  deficiencies  and  material  weaknesses  in the design or
     operation of internal control over financial reporting which are reasonably
     likely to adversely  affect the  registrant's  ability to record,  process,
     summarize and report financial information; and

b)   any fraud,  whether or not  material,  that  involves  management  or other
     employees who have a significant role in the registrant's  internal control
     over financial reporting.


     Date: March 15, 2004
                                 /s/  Daniel R. Mcauliffe, Jr.
                                      Daniel R. McAuliffe, Jr.
                                      Citigroup Managed Futures LLC
                                      Chief Financial Officer and Director

                                       41
<PAGE>

                                                                   Exhibit 32.1





                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002





In connection  with the Annual Report of Salomon Smith Barney Orion Futures Fund
L.P.  (the  "Partnership")  on Form 10-K  December  31,  2003 as filed  with the
Securities and Exchange  Commission on the date hereof (the "Report"),  I, David
J. Vogel,  President  and Director of Citigroup  Managed  Futures LLC,  certify,
pursuant  to 18  U.S.C.  ss.  1350,  as  adopted  pursuant  to  ss.  906  of the
Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.




/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director


Date: March 15, 2004

                                       42
<PAGE>



                                                                    Exhibit 32.2





                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002





In connection  with the Annual Report of Salomon Smith Barney Orion Futures Fund
L.P.  (the  "Partnership")  on Form 10-K  December  31,  2003 as filed  with the
Securities and Exchange Commission on the date hereof (the "Report"),  I, Daniel
R.  McAuliffe,  Jr., Chief Financial  Officer and Director of Citigroup  Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.





/s/ Daniel r. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Citigroup Managed Futures LLC
    Chief Financial Officer and Director


Date: March 15, 2004

<PAGE>

                                       43

                      Smith Barney Futures Management LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396

June 11, 2002



AAA Capital Management Inc.
5051 Westheimer - Suite 2100
Houston, Texas 77056

Attention:  Mr. Anthony Annunziato

         Re:      Management Agreement Renewals

Dear Mr. Annunziato:

We are  writing  with  respect  to your  management  agreements  concerning  the
commodity pools to which reference is made below (the "Management  Agreements").
We are extending the term of the Management Agreements through June 30, 2003 and
all other provisions of the Management Agreements will remain unchanged.

o        Smith Barney AAA Energy Fund L.P.
o        SB AAA Master Fund LLC
o        Salomon Smith Barney Orion Futures Fund L.P.
o        Aurora 2001

Please  acknowledge  receipt of this  modification  by signing  one copy of this
letter and returning it to the attention of Mr. Daniel  McAuliffe at the address
above or fax to  212-723-8985.  If you have any  questions  I can be  reached at
212-723-5435.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT LLC


By:  /s/ Daniel R. McAuliffe, Jr.
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer & Director

AGREED AND ACCEPTED
AAA Capital Management Inc.

<PAGE>

                       Smith Barney Futures Management LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396

June 11, 2002



Willowbridge Associates Inc.
101 Morgan Lane - Suite 180
Plainsboro, N.J. 08536

Attention:  Ms. Bonnie Huff / Ms. Janet Boyer

         Re:      Management Agreement Renewals

Dear Ms. Huff and Ms. Boyer:

We are  writing  with  respect  to your  management  agreements  concerning  the
commodity pools to which reference is made below (the "Management  Agreements").
We are extending the term of the Management Agreements through June 30, 2003 and
all other provisions of the Management Agreements will remain unchanged.

o        Salomon Smith Barney Orion Futures Fund L.P.
o        Smith Barney Principal Plus Futures Fund L.P. II
o        Smith Barney Diversified Futures Fund L.P.
o        Smith Barney Diversified Futures Fund L.P. II
o

Please  acknowledge  receipt of this  modification  by signing  one copy of this
letter and returning it to the attention of Mr. Daniel  McAuliffe at the address
above or fax to  212-723-8985.  If you have any  questions  I can be  reached at
212-723-5435.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT LLC


By:  /s/ Daniel R. Mcauliffe, Jr.
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer & Director

AGREED AND ACCEPTED
By:/s/ Bonnie Huff
<PAGE>
                          Citigroup Managed Futures LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396



April 29, 2003



Beacon Management Corporation
47 Hullfish Street
Princeton, N.J. 08542

Attn: Mr. Mark S. Stratton

Re:      Salomon Smith Barney Orion Futures Fund L.P.  - (Acct. #258-19000)
         Salomon Smith Barney Diversified 2000 Fund L.P.  - (Acct. #258-20001)

Dear Mr. Mark S. Stratton:

     Please  liquidate all of your positions in the above referenced funds in an
orderly fashion  beginning  immediately so that the amounts are flat as of April
30 close of business . This will effectively terminate your management agreement
with  these  funds.  Thank  you for  your  service  and we look  forward  to the
possibility of working together in the future.

     If you  have  any  questions,  please  call  myself  or  Jennifer  Magro at
(212)723-5413.

Very Truly Yours,


/s/ Daniel R. Mcauliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Chief Financial Officer


Agreed to and accepted
BEACON MANAGEMENT CORPORATION

By:  /s/ Mark S. Stratton