UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934

For theyear ended December 31, 2004

Commission FileNumber 0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in itscharter)

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| NewYork                                                     |  | 22-3644546                          |
| (State orother jurisdiction ofincorporation ororganization) |  | (I.R.S. Employer IdentificationNo.) |
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c/o Citigroup Managed Futures LLC 399Park Ave. – 7th Fl.New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

Securities registered pursuant to Section 12(g) of theAct:   Redeemable Units of Limited Partnership Interest

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

YesX        No     

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

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

Yes X        No     

Limited Partnership Redeemable Units with an aggregate valueof $96,290,669 were outstanding and held by non-affiliates as of thelast business day of the registrants most recently completed secondfiscal quarter.

As of February 28, 2005, 88,204.3086Limited Partnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on March 22, 1999 under the partnership laws of the State ofNew York. The objective of the Partnership is to achieve substantialcapital appreciation through speculative trading in U.S. andinternational markets for currencies, interest rates, stock indices,agricultural, energy products, precious and base metals. ThePartnership may employ futures, options on futures, and forwardcontracts in those markets. In addition, the Partnership may also enterinto swap contracts on energy related products (together with othertraded futures and options contracts, the "CommodityInterests"). During the initial offering period (March 31,1999 through June 10, 1999) the Partnership sold 10,499 redeemableunits of Limited Partnership Interest ("RedeemableUnits") at $1,000 per Redeemable Unit. The Partnershipcommenced its Commodity Interest trading activities on June 10, 1999.No securities which represent an equity interest or any other interestin the Partnership trade on any public market. The Partnershipprivately and continuously offers up to 250,000 Redeemable Units toqualified investors. Sales and redemptions of Redeemable Units andgeneral partner contributions and redemptions for the years endedDecember 31, 2004, 2003 and 2002 are reported in the Statement ofChanges in Partners' Capital on page F-11 under"Item 8. Financial Statements and SupplementaryData."

Citigroup Managed Futures LLC, formerlyknown as Smith Barney Futures Management LLC, a Delaware limitedliability company, is the Partnership's general partner andcommodity pool operator (the "GeneralPartner"). At the commencement of trading thePartnership's General Partner was SFG Global Investments, Inc.("SFG") and Citigroup Managed Futures LLC wasthe Partnership's trading manager. Effective April 1, 2001, thelimited partners of the Partnership elected Citigroup Managed FuturesLLC as the General Partner of the Partnership and consented to thewithdrawal of SFG as General Partner. Concurrent with this election asGeneral Partner, Citigroup Managed Futures LLC withdrew as thePartnership's trading manager.

Effective September 1,2001, the Partnership allocated the portion of the Partnership'scapital that was allocated to AAA Capital Management, Inc.("AAA") for trading to the SB AAA Master FundLLC, a New York Limited Liability Company (the "AAAMaster"). With this cash, the Partnership purchased5,173.4381 Units of the Master at a fair value of $5,173,438. The AAAMaster was formed in order to permit accounts managed now or in thefuture by AAA using the Energy with Swaps Program, to invest togetherin one trading vehicle. The General Partner is the managing member ofthe AAA Master. Individual and pooled accounts currently managed byAAA, including the Partnership (collectively, the "FeederFunds"), are permitted to be non-managing members of theAAA Master. The General Partner and AAA believe that trading throughthis master/feeder structure should promote efficiency and economy inthe trading process. Expense to investors as a result of the investmentin the AAA Master are approximately the same and redemption rights arenot affected.

On November 1, 2004, the assets allocated toWinton for trading were invested in CMF Winton Master Fund L.P.("Winton Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 35,389.8399 Units of the Winton Master with cashequal to $33,594,083 and a contribution of open commodity futures andforwards positions with a value of $1,795,757. The Winton Master wasformed in order to permit accounts managed now or in the future byWinton using the Diversified Program, to invest together in one tradingvehicle. The General Partner of the Partnership is the General Partnerof the Winton Master. Individual and pooled accounts currently managedby Winton, including the Partnership (collectively, the"Feeder Funds") are permitted to be limitedpartners of the Winton Master. The General Partner and Winton believethat trading through this master/feeder structure should promoteefficiency and economy in the trading process. Expenses to investors asa result of investment in the Winton Master are approximately the sameand redemption rights are not affected.

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The AAA Master's and the WintonMaster's trading of futures, forwards and options contracts, ifapplicable, on commodities is done primarily on United States ofAmerica commodity exchanges and foreign commodity exchanges. Bothengage in such trading through commodity brokerage accounts maintainedwith CGM.

A non-managing member/limited partner may withdraw allor part of his capital contribution and undistributed profits, if any,from the AAA Master or the Winton Master in multiples of the net assetvalue per unit of limited partnership interest as of the last day of amonth after a request for redemption has been made to the ManagingMember/General Partner at least 3 days in advance of month-end.

Management and incentive fees are charged at the Partnership level.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the AAA Master and the WintonMaster. All other fees including CGM's direct brokeragecommission are charged at the Partnership level.

At December 31,2004 and 2003, the Partnership owns 13.7% and 13.1%,respectively, of the AAA Master. At December 31, 2004, the Partnershipowns 33.4% of the Winton Master. It is AAA's andWinton's intention to continue to invest the assets allocated toeach by the Partnership in the AAA Master and Winton Master,respectively. The performance of the Partnership is directly affectedby the performance of the AAA Master and the Winton Master.

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

Under the amended andrestated limited partnership agreement of the Partnership (the"Limited Partnership Agreement"), the GeneralPartner has sole responsibility for the administration of the businessand affairs of the Partnership, but may delegate trading discretion toone or more trading Advisors. The Partnership pays the General Partnera monthly administrative fee equal to 1/24 of 1% (0.5%per year) of month-end net assets. Month-end Net Assets, for thepurpose of calculating administrative fees are Net Assets, as definedin the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees.

The General Partner, on behalfof the Partnership, has entered into Management Agreements with WintonCapital Management, Willowbridge Associates Inc., and AAA(collectively, the "Advisors"), each of whichare registered commodity trading Advisors. The Advisors are notaffiliated with one another, are not affiliated with the GeneralPartner or CGM except AAA, and are not responsible for the organizationor operation of the Partnership. Mr. A. Anthony Annunziato is thepresident of AAA. He and the other four trading principals of AAA arealso employees of CGM. The Partnership will pay each Advisor a monthlymanagement fee equal to 1/6 of 1% (2% a year) ofmonth-end Net Assets allocated to each Advisor, except for Winton,which will receive a monthly management fee equal to 1/8 of 1 %(1.5% a year) of month-end Net Assets allocated to the Advisor.Month-end Net Assets, for the purpose of calculating management feesare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of redemptions and incentive fees. In addition, thePartnership is obligated to pay each Advisor an incentive fee payablequarterly equal to 20% of the New Trading Profits, as defined inthe Management Agreements, earned by each Advisor for thePartnership.

The Partnership has entered into a CustomerAgreement which provides that the Partnership will pay CGM brokeragecommissions at $18 per round turn for futures and forward transactionsand $9 per side for options. The brokerage fee was inclusive of floorbrokerage. The Partnership will also be allocated brokerage commissionsthrough its investment in the Master. CGM pays a portion of itsbrokerage fees to its financial consultants who have sold RedeemableUnits in the Partnership. In addition, the Partnership paid forNational Futures Association ("NFA") fees,exchange and clearing fees, give-up and user fees. Brokerage fees willbe paid for the life of the Partnership, although the rate at whichsuch fees are paid may be changed. In addition, CGM pays thePartnership interest on 100% of the average daily equitymaintained in cash in its account during each month at a 30-day U.S.Treasury bill rate determined 

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weekly by CGM based on the non-competitiveyield on 3-month U.S. Treasury bills maturing in 30 days from the datein which such weekly rate is determined. The Customer Agreement betweenthe Partnership and CGM gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

(b)    Financial informationabout industry segments. The Partnership's business consistsof only one segment, speculative trading of commodity interests. ThePartnership does not engage in sales of goods or services. ThePartnership's net income (loss) from operations for the yearsended December 31, 2004, 2003 and 2002 are set forth under"Item 6. Selected Financial Data."The Partnership's capital as of December 31, 2004, was$118,783,824.

(c)    Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    FinancialInformation About Geographic Areas. The Partnership does notengage in sales of goods or services or own any long lived assets, andtherefore this item is not applicable.

(e) AvailableInformation. The Partnership does not have an Internet address.The Partnership will provide paper copies of its annual report on Form10-K, quarterly reports on Form 10-Q, current reports on Form 8-K andany amendments to these reports free of charge upon request.

Item 2.    Properties.

The Partnership does notown or lease any properties. The General Partner operates out offacilities provided by its affiliate, CGM.

Item3.    Legal Proceedings.

This section describes themajor pending legal proceedings, other than ordinary routine litigationincidental to the business, to which Citigroup Global Markets HoldingsInc. ("CGMHI") or its subsidiaries is a partyor to which any of their property is subject. There are no materiallegal proceedings pending against the Partnership or the GeneralPartner.

Citigroup Managed Futures LLC.("CGM") is a New York corporation with itsprincipal place of business at 399 Park Avenue, 7th Floor, New York,New York 10022. CGM is registered as a broker-dealer and futurescommission merchant ("FCM"), and providesfutures brokerage and clearing services for institutional and retailparticipants in the futures markets. CGM and its affiliates alsoprovide investment banking and other financial services for clientsworldwide.

There have been no material administrative, civil orcriminal actions within the past five years against CGM or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised CGM that they were orare reviewing transactions in which Ameritech Pension Trust purchasedfrom CGM and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

In April 2000, CGM and several other broker-dealersentered into a settlement with the IRS and the SEC, concluding anindustry-wide investigation into the pricing of Treasury securities inadvanced refunding transactions.

IPO Regulatory Inquiries

Since April 2002, CGM and several other broker dealers have receivedsubpoenas and/or requests for information from various governmental andself-regulatory agencies and Congressional committees as 

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part of their research on IPO'sallocation inquiries. With respect to issues raised by the NASD, theNYSE and the SEC about CGM's and other firms' e-mailretention practices, CGM and several other broker/dealers and the NASD,the NYSE and the SEC entered into a settlement agreement in December2002. CGM agreed to pay a penalty in the amount of $1.65 million anddid not admit any wrongdoing.

IPO Civil Litigation

InApril 2002, consolidated amended complaints were filed against CGM andother investment banks named in numerous alleged class actions filed inthe United States District Court for the Southern District of New York,alleging violations of certain federal securities laws (includingSection 11 of the Securities Act of 1933, as amended, and Section 10(b)of the Securities Exchange Act of 1934, as amended) with respect to theallocation of shares for certain initial public offerings and relatedaftermarket transactions and damage to investors caused by allegedlybiased research analyst reports. On February 19, 2003, the Court issuedan opinion denying defendants' motion to dismiss.

OnOctober 13, 2004, the court granted in part the motion to certify classactions for six focus cases in the securities litigation. CGM is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

Also filed in the Southern District of New York against CGM andother investment banks were several alleged class actions that wereconsolidated into a single class action alleging violations of certainfederal and state antitrust laws in connection with the allocation ofshares in initial public offerings when acting as underwriters. OnNovember 3, 2003, the court granted CGM's motion to dismiss theconsolidated amended complaint in the antitrust case. An appeal to theSecond Circuit of the dismissal granted to CGM in November 2003 withrespect to the antitrust case relating to the allocation of shares forcertain initial public offerings is pending.

ResearchSettlement

On April 28, 2003, CGM announced final agreementswith the SEC, the NASD, the NYSE and the New York Attorney General (aslead state among the 50 states, the District Columbia and Puerto Rico)to resolve on a civil basis all of their outstanding investigationsinto its research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, CGM has consented to the entry of (1) aninjunction under the federal securities laws to be entered in theUnited States District Court for the Southern District of New York,barring CGM from violating provisions of the federal securities lawsand related NASD and NYSE rules relating to research, certain IPOallocation practices, the safeguarding of material nonpublicinformation, and the maintenance of required books and records andrequiring CGM to adopt and enforce new restrictions on the operation ofresearch; (2) an NASD Acceptance Waiver and Consent requiring CGM tocease and desist from violations of corresponding NASD rules andrequiring CGM to adopt and enforce the same new restrictions; (3) anNYSE Stipulation and Consent requiring CGM to cease and desist fromviolations of corresponding NYSE rules and requiring CGM to adopt andenforce the same new restrictions; and (4) an Assurance ofDiscontinuance with the New York Attorney General containingsubstantially the same or similar restrictions. The Research Settlementrequires CGM to pay $300 million for retrospective relief, plus $25million for investor education, and commit to spend $75 million toprovide independent third-party research to its clients at no charge.CGM reached these final settlement agreements without admitting ordenying any wrongdoing or liability. The Research Settlement does notestablish wrongdoing or liability for purposes of any other proceeding.The $300 million was accrued during the 2002 fourth quarter.

Toeffectuate the Research Settlement, the SEC filed a Complaint and FinalJudgment in the United States District Court for the Southern Districtof New York. On October 31, 2003, final judgment was entered againstCGM and nine other investment banks. The NASD has accepted the Letterof Acceptance, Waiver and Consent entered into with CGM in connectionwith the Research Settlement. In May 2003, the NYSE advised CGM thatthe Hearing Panel's Decision, in which it accepted the ResearchSettlement, had become final. As required by the Research Settlement,CGM also has entered into separate settlement agreements with numerousstates and certain U.S. territories.

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Several individual actions have been filedagainst Citigroup and CGM relating to, among other things, research onQwest Communications International, Inc. alleging violations of stateand federal securities laws.

Enron Regulatory Settlement

On July 28, 2003, Citigroup (CGM's ultimate parent)entered into a final settlement agreement with the SEC to resolve theSEC's outstanding investigations into Citigroup transactions withEnron Corp. and Dynegy Inc. Pursuant to the settlement, Citigroup has,among other terms, (1) consented to the entry of an administrativecease and desist order, which bars Citigroup from committing or causingviolations of provisions of the federal securities laws, and (2) agreedto pay $120 million ($101.25 million allocable to Enron and $18.75million allocable to Dynegy). Citigroup entered into this settlementwithout admitting or denying any wrongdoing or liability, and thesettlement does not establish wrongdoing or liability for purposes ofany other proceeding. On July 28, 2003, Citibank, N.A. entered into anagreement with the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CGM,Citigroup and various other Citigroup-related entities have been namedas defendants in over 20 civil lawsuits pending in state and federalcourts throughout the United States, alleging claims against Citigroupand CGM based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked holdings. The lawsuits collectively allege as againstCitigroup and/or its affiliates and subsidiaries, among other things,federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of fiduciary duty, aiding and abettinga breach of fiduciary duty and related claims. In most of theselawsuits, Citigroup is named as a co-defendant along with otherinvestment banks alleged to have had dealings with Enron. The majorityof cases pending in the federal courts have been, or are in the processof being, consolidated before a single judge in the United StatesDistrict Court for the Southern District of Texas. In addition, in fiveadversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, inone case, its co-debtor affiliates and subsidiaries, and the OfficialCommittee of Unsecured Creditors of Enron Corp., et al., have namedCitigroup and/or its affiliates or subsidiaries as defendants.

ACitigroup affiliate, along with other defendants, settled all claimsagainst it in In Re: Newpower Holdings Securities Litigation, aclass action brought on behalf of certain investors in NewPowersecurities. Citigroup reached this settlement agreement withoutadmitting any wrongdoing. On September 13, 2004, the United StatesDistrict Court for the Southern District of New York preliminarilyapproved the settlement.

Worldcom-Related Litigation

Citigroup, CGM and certain executive officers and current and formeremployees have been named as defendants — along with twenty-twoother investment banks, certain current and former WorldCom officersand directors, and WorldCom's former auditors — in aconsolidated class action brought on behalf of individuals and entitieswho purchased or acquired publicly traded securities of WorldCombetween April 29, 1999 and June 25, 2002 In Re: Worldcom, Inc.Securities Litigation. The class action complaint asserts claimsagainst CGM under (i) Sections 11 and 12(a)(2) of the Securities Act of1933, as amended, in connection with certain bond offerings in which itserved as underwriter, and (ii) Sections 10(b) and 20(a) of theSecurities Exchange Act of 1934, as amended, and Rule 10b-5 promulgatedunder Section 

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10(b), alleging that it participated in thepreparation and/or issuance of misleading WorldCom registrationstatements and disseminated misleading research reports concerningWorldCom stock. In 2003, the district court denied CGM's motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

Pursuant to anorder entered May 28, 2003, the District Court consolidatedapproximately seventy-eight individual actions with the class actionfor pretrial proceedings. The claims asserted in these individualactions are substantially similar to the claims alleged in the classaction and assert state and federal securities law claims based onCGM's research reports concerning WorldCom and/or CGM'srole as an underwriter in WorldCom offerings. Plaintiffs in certain ofthese actions filed motions to remand their cases to state court. TheDistrict Court denied these motions and its rulings were upheld onappeal.

Numerous other actions asserting claims against CGM inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States District Court for theSouthern District of New York to be consolidated with the class action.In addition to the court suits, actions asserting claims againstCitigroup and certain of its affiliates relating to its WorldComresearch reports are pending in numerous arbitrations around thecountry. These actions assert claims that are substantially similar tothe claims asserted in the class action.

On May 10, 2004,Citigroup announced that it had agreed to pay $2.58 billion to settlethe WorldCom class action suits. The United States District Court forthe Southern District of New York granted approval to the proposedsettlement on November 10, 2004.

On September 17, 2004,Weinstein, et al. v. Ebbers, et al., an alleged class actionagainst CGM and others brought on behalf of holders of WorldComsecurities asserting claims based on, among other things, CGM'sresearch reports concerning WorldCom, was dismissed with prejudice inits entirety by the United States District Court for the SouthernDistrict of New York. The plaintiffs noticed an appeal of the dismissalto the United States Court of Appeals for the Second Circuit on October15, 2004. The parties have reached an agreement in principle on theterms of a settlement of this action.

Citigroup and CGM, alongwith a number of other defendants, have settled Retirement Systemsof Alabama, et al. v. J.P. Morgan Chase & Co., et al., aWorldCom individual action that had been remanded to the Circuit Courtof Montgomery County, Alabama. The settlement became final on September30, 2004.

On June 28, 2004, the United States District Court forthe Southern District of New York dismissed all claims under theSecurities Act of 1933, as amended, and certain claims under theSecurities Exchange Act of 1934 in In Re: Targets SecuritiesLitigation, an alleged class action against Citigroup and CGM andcertain former employees, leaving only claims under the 1934 Act forpurchases of Targeted Growth Enhanced Terms Securities With Respect tothe Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Global Crossing

On or about January 28,2003, lead plaintiff in a consolidated alleged class action in theUnited States District Court for the Southern District of New York(In Re: Global Crossing, Ltd. Securities Litigation) filed aconsolidated complaint on behalf of purchasers of the securities ofGlobal Crossing and Asia Global Crossing, which names as defendants,among others, Citigroup, CGM, CGMH and certain executive officers andcurrent and former employees. The purported class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add 

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claims on behalf of purchasers of thesecurities of Asia Global Crossing. The added claims assert causes ofaction under the federal securities laws and common law in connectionwith CGM's research reports about Global Crossing and Asia GlobalCrossing and for CGM's roles as an investment banker for GlobalCrossing and as an underwriter in the Global Crossing and Asia GlobalCrossing offerings. The Citigroup related defendants moved to dismissall of the claims against them on July 2, 2004. The plaintiffs and theCitigroup related defendants have reached an agreement in principle onthe terms of a settlement of this action.

In addition, on orabout January 27, 2004, the Global Crossing Estate Representative filedin the United States Bankruptcy Court for the Southern District of NewYork (i) an adversary proceeding asserting claims against, amongothers, Citigroup, CGM and certain executive officers and current andformer employees, asserting claims under federal bankruptcy law andcommon law in connection with CGM's research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004.

In addition, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its Global Crossing research reports are pending innumerous arbitrations around the country. These arbitration proceedingsassert claims that are substantially similar to the claims asserted inthe alleged class action.

Adelphia CommunicationsCorporation

On July 6, 2003, an adversary proceeding was filedby the Official Committee of Unsecured Creditors on behalf of AdelphiaCommunications Corporation against certain lenders and investmentbanks, including CGM, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the Citigroup Parties). Thecomplaint alleges that the Citigroup Parties and numerous otherdefendants committed acts in violation of the Bank Holding Company Actand the common law. The complaint seeks equitable relief and anunspecified amount of compensatory and punitive damages. In November2003, a similar adversary proceeding was filed by the Equity HoldersCommittee of Adelphia. In June 2004, motions to dismiss were filed withrespect to the complaints of the Official Committee of UnsecuredCreditors and the Equity Holders Committee. The motions are currentlypending.

In addition, CGM is among the underwriters named innumerous civil actions brought to date by investors in Adelphia debtsecurities in connection with Adelphia securities offerings betweenSeptember 1997 and October 2001. Three of the complaints also assertclaims against Citigroup Inc. and Citibank, N.A. All of the complaintsallege violations of federal securities laws, and certain of thecomplaints also allege violations of state securities laws and thecommon law. The complaint seeks unspecified damages. In December 2003,a second amended complaint was filed and consolidated before the samejudge of the United States District Court for the Southern District ofNew York. In February 2004, motions to dismiss the class and individualactions pending in the United States District Court for the SouthernDistrict were filed. The motions are currently pending.

MutualFunds

Citigroup and certain of its affiliates have been namedin several class action litigations pending in various federal districtcourts arising out of alleged violations of the federal securitieslaws, the Investment Company Act and common law (including breach offiduciary duty and unjust enrichment). The claims concern practices inconnection with the sale of mutual funds, including allegationsinvolving market timing, revenue sharing, incentive payments for thesale of proprietary funds, undisclosed breakpoint discounts for thesale of certain classes of funds, inappropriate share classrecommendations and inappropriate fund investments. The litigationsinvolving market timing have been consolidated under the MDL rules inthe United States District Court for the District of Maryland, and thelitigations involving revenue sharing, incentive payment and otherissues have been consolidated in the United States District Court forthe Southern District of New York. The plaintiffs in these litigationsgenerally seek unspecified compensatory damages, rescissionary damages,injunctive relief, costs and fees. In the principal market timing casesthat name Citigroup, a lead plaintiff has been appointed but thatplaintiff has not yet filed 

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an amended complaint. In the cases concerningrevenue sharing, incentive payment and other issues, the lead plaintifffiled a consolidated and amended complaint on December 15, 2004.

Several issues in the mutual fund industry have come under scrutinyof federal and state regulators. Citigroup has received subpoenas andother requests for information from various government regulatorsregarding market timing, financing, fees, sales practices and othermutual fund issues in connection with various investigations. Citigroupis cooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

In addition to the alleged researchclass actions, several individual actions have been filed againstCitigroup and CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGM assertingcommon law claims in connection with published investment research onbehalf of CGM customers have been dismissed by United States DistrictCourts, one of which was affirmed by the United States Court of Appealsfor the Ninth Circuit, and one of which is pending on appeal to theUnited States Courts of Appeals for the Third Circuit. Two moreputative class actions raising similar claims are pending against CGM,one in the United States District Court for the Southern District ofNew York (Norman v. Salomon Smith Barney, et al.) and the otherin Illinois state court (Disher v. CGM Inc.). On June 9, 2004,the District Court denied CGMI's motion to dismiss Norman v.Salomon Smith Barney, et al., a case which asserts violations ofthe Investment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to CGM requesting documents and information withrespect to their continuing investigation of individuals in connectionwith the supervision of the research and investment banking departmentsof CGM. Other parties to the Research Settlement have received similarsubpoenas and letters.

West Virginia Attorney General Suit

On June 23, 2003, the West Virginia Attorney General filed an actionagainst CGM and nine other firms that were parties to the ResearchSettlement. The West Virginia Attorney General alleges that the firmsviolated the West Virginia Consumer Credit and Protection Act inconnection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, CGM and certain officers were named as defendants inan alleged class action filed in the United States District Court forthe Southern District of New York, brought on behalf of 

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purchasers of Citigroup common stock betweenJuly 24, 1999 and July 23, 2002. The complaint seeks unspecifiedcompensatory and punitive damages for alleged violations of Sections10(b) and 20(a) of the Securities Exchange Act of 1934, and for commonlaw fraud. Fourteen virtually identical complaints have been filed andconsolidated. The complaints allege that Citigroup misstated the extentof its Enron-related exposure, and that Citigroup's stock pricefell once the true extent of Citigroup's Enron involvementsbecame known. Plaintiffs filed an amended complaint on March 10, 2003,which incorporated the allegations in the 15 separate actions and addednew material as well. The amended complaint focuses on certaintransactions between Citigroup and Enron and alleged analyst conflictsof interest. The class period for the consolidated amended complaint isJuly 24, 1999 to December 11, 2002. On June 2, 2003, Citigroup filed amotion to dismiss the consolidated amended complaint. Plaintiffs'response was filed on July 30, and Citigroup's reply was filed onOctober 3, 2003. On August 10, 2004, Judge Swain grantedCitigroup's motion to dismiss the consolidated amended complaint.The plaintiffs filed a notice of appeal in October 2004.

NASDSettlement

In November 2004, CGM entered into a final agreementwith the NASD to resolve the NASD's investigation into certain ofits selling practices. Without admitting or denying any allegations orfindings, CGM accepted certain factual findings by the NASD that it (i)sold units in two managed futures funds to 45 customers for whom theinvestment was not suitable, (ii) failed to maintain records disclosingthe basis upon which its investor suitability determinations were madeand (iii) failed to adequately disclose the risks of investing inmanaged futures products on its website. CGM consented to a censure anda fine of $275,000 and offered to redeem the investment of thecustomers for whom investment in the two managed futures funds wasfound not suitable.

In the course of its business, CGM, as amajor futures commission merchant and broker-dealer is a party tovarious claims and routine regulatory investigations and proceedingsthat the general partner believes do not have a material adverse effecton the business of CGM.

Item 4.    Submission of Mattersto a Vote of Security Holders.

There were no matterssubmitted to the security holders for a vote during the last fiscalyear covered by this report.

PART II

Item5.    Market for Registrant's Common Equity and RelatedSecurity Holder Matters.

(a)    MarketInformation. The Partnership has issued no stock. There is nopublic market for the Redeemable Units of Limited PartnershipInterest.

(b)    Holders. The number of holders ofRedeemable Units of Partnership Interest as of December 31, 2004, was1,074.

(c)    Distribution. The Partnership did notdeclare a distribution in 2004 or 2003.

(d)    Use ofProceeds. For the twelve months ended December 31, 2004, therewere additional sales of 24,093.3313 Redeemable Units totaling$28,750,000 and contributions by the General Partner representing365.5458 Unit equivalents totaling $440,051. For the twelve monthsended December 31, 2003, there were additional sales of 49,916.3153Redeemable Units totaling $57,164,000. For the twelve months endedDecember 31, 2002, there were additional sales of 38,299.1963Redeemable Units totaling $39,261,000 and contributions by the GeneralPartner representing 281.8846 Unit equivalents totaling $282,000.

Proceeds from the sale of additional Redeemable Units areused in the trading of commodity interests including futures contracts,options, swaps and forward contracts.

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Item 6.    Selected FinancialData.

Net realized and unrealized trading gains (losses),interest income, net income (loss) and increase (decrease) in Net AssetValue per Redeemable Unit for the years ended December 31, 2004, 2003,2002, 2001 and 2000 and total assets at December 31, 2004, 2003, 2002,2001 and 2000 were asfollows:

|                                                                                                                                                                                                                  |  |        |             |        |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                                                                                             |  | 2004   |             | 2003   |  | 2002   |            | 2001    |  | 2000   |
| Netrealized and unrealized trading gains (losses) and investments inPartnerships net of brokerage commissions (including clearing fees) of$2,178,028, $1,912,993, $1,168,831, $674,125 and $760,546,respectively |  | $      | 29,415,064  |   |  | $      | (3,029,947 | )  |  | $      | 12,474,085 |   |  | $      | 1,024,247  |   |  | $      | 1,773,658  |   |
| Interestincome                                                                                                                                                                                                   |  |   | 693,186     |   |  |   | 479,341    |    |  |   | 414,512    |   |  |   | 434,122    |   |  |   | 644,558    |   |
|                                                                                                                                                                                                             |  | $      | 30,108,250  |   |  | $      | (2,550,606 | )  |  | $      | 12,888,597 |   |  | $      | 1,458,369  |   |  | $      | 2,418,216  |   |
| Netincome(loss)                                                                                                                                                                                                  |  | $      | 23,775,680  |   |  | $      | (5,512,979 | )  |  | $      | 9,916,700  |   |  | $      | 355,163    |   |  | $      | 1,815,569  |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                         |  | $      | 268.14      |   |  | $      | (60.63     | )  |  | $      | 208.59     |   |  | $      | 57.30      |   |  | $      | 149.10     |   |
| Totalassets                                                                                                                                                                                                      |  | $      | 123,302,029 |   |  | $      | 91,801,583 |    |  | $      | 63,262,447 |   |  | $      | 20,993,463 |   |  | $      | 12,590,859 |   |
|                                                                                                                                                                                                                  |

Item7.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

    Overview

The Partnership aims to achievesubstantial capital appreciation through speculative trading, directlyor indirectly, in U.S. and international markets for currencies,interest rates, stock indices, agricultural and energy products andprecious and base metals. The Partnership may employ futures, optionson futures, and forward contracts in those markets. The Partnership mayalso enter into swap transactions relating to the value of crude oiland other energy related products.

The General Partner managesall business of the Partnership. The General Partner has delegated itsresponsibility for the investment of the Partnership's assets toAAA Capital Management, Inc. ("AAA"),Willowbridge Associates Inc.("Willowbridge"), and Winton CapitalManagement ("Winton"), (collectively, the"Advisors"). The General Partner employs ateam of approximately 15 professionals whose primary emphasis is onattempting to maintain quality control among the Advisors to thePartnerships operated or managed by the General Partner. A full-timestaff of due diligence professionals use state-of-the-art technologyand on-site evaluations to monitor new and existing futures moneymanagers. The accounting and operations staff provide processing oftrading activity and reporting to limited partners and regulatoryauthorities. In selecting the Advisors for the Partnership, the GeneralPartner considered past performance, trading style, volatility ofmarkets traded and fee requirements.

Responsibilities of theGeneral Partner include:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligenceexaminations of theAdvisors; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointment andtermination of theAdvisors; |

|              |                                              |
|--------------|----------------------------------------------|
| •  | negotiation of themanagement agreements; and |

|              |                                         |
|--------------|-----------------------------------------|
| •  | monitoringthe activity of the Advisors. |

In addition, the General Partnerprepares the books and records and provides the administrative andcompliance services that are required by law or regulation from time totime in connection with operation of the Partnership. These servicesinclude the preparation of required books and records and reports tolimited partners, government agencies and regulators; computation ofnet asset value; calculation of fees; effecting subscriptions,redemptions and limited partner communications; and preparation ofoffering documents and sales literature.

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The General Partner shall seek the bestprices and services available in its commodity futures brokeragetransactions. The General Partner reviews at least annually, thebrokerage rates charged to commodity pools similar to the Partnershipto determine that the brokerage fee the Partnership pays is competitivewith other rates.

The programs traded by each Advisor on behalfof the Partnership are: AAA – Energy With Swaps Program;Willowbridge – Argo and Vulcan Trading Systems; and Winton– Diversified Program. As of December 31, 2004, thePartnership's assets were allocated among the trading Advisors inthe following approximate percentages: AAA, 36%, Willowbridge,32%, and Winton 32%.

AAA Capital Management,Inc.

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

AAA Mastercurrently trades energy futures contracts and options on energy futurescontracts on domestic and international exchanges, as well as theGoldman Sachs Commodity Index (an index future comprised of energy andother products) traded on the Chicago Mercantile Exchange. AAA Masteralso currently engages in swap transactions involving crude oil andother energy related products. References herein to energy and energyrelated products include all of the foregoing.

AAA generallybases its trading decisions on "fundamental"factors, namely supply and demand for a particular group or type ofcommodity. AAA attempts to buy undervalued commodities and sellovervalued commodities, often but not always simultaneously. AAA usesoptions to attempt either to reduce or define risks.

AAA isaware of price trends but does not trade upon trends. AAA often takesprofits in positions with specific trends even though that trend maystill be intact or perhaps even strong. AAA occasionally establishespositions that are countertrend.

Effective risk management is acrucial aspect of AAA's trading program. Account size,expectation, volatility of the market traded and the nature of otherpositions taken are all factors in determining the amount of equitycommitted to each trade. AAA Master is AAA's largest account.

Willowbridge Associates, Inc.

Willowbridge tradesthe Partnership's assets allocated to it in accordance with itsSelect Investment Program, whereby the General Partner determined theinitial allocation of the Partnership's assets among one or moreof Willowbridge's strategies and may determine subsequentreallocations (if any). Of the Partnership's assets allocated toWillowbridge, 21% is currently traded using the Vulcan TradingSystem and 79% is currently traded using the Argo TradingSystem, each of which is described below.

For each of thesesystems, risk is managed on a market by market level as well as on anoverall portfolio level. On the market level, risk is managed primarilyby utilizing proprietary volatility filters. When these filters detecta certain excessive level of volatility in the markets traded, theywill signal that the systems should no longer be trading in the marketsin which the filters have detected excessive volatility. In this way,the systems do not participate in markets in which there are extremesin market action. On the portfolio level, risk is managed by utilizinga proprietary portfolio cutback rule. When cumulative profits havereached a certain level, this rule determines that positions should behalved across the entire portfolio. In this way, risk is reduced whileallowing the systems to continue to participate in the markets, albeitat a reduced level. After the portfolio has been traded at half, theportfolio cutback rule will then determine when to increase positionsto again trade at the full level.

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

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

The Argo Trading System commenced trading in 1988. Argo essentiallyincorporates Vulcan's concepts of pattern recognition,support/resistance levels and counter-trend liquidations to trade aportfolio similar to Vulcan. However, Argo has a relatively slower timehorizon than Vulcan and attempts to capture longer-term pricemoves.

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

Patternrecognition is the ability to identify patterns that appear to haveacted as precursors of price advances or declines in the past.

Asupport level is a previous low--a price level under the current marketprice at which point buying interest is expected to be sufficientlystrong to overcome selling pressure.

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

A counter-trendliquidation is the closing out of a position after a significant pricemove on the assumption that the market is due for a correction.

Winton Capital Management Limited

The portion of thePartnership's assets that are currently allocated to Winton fortrading are not invested in commodity interests directly.Winton's allocation of the Partnership's assets iscurrently invested in the Winton Master. Winton trades its DiversifiedProgram on behalf of the Winton Master. The Diversified Program tradesapproximately 95 futures and forward contracts on United States andnon-United States exchanges and markets.

Winton employs a fullycomputerized, technical, trend-following trading system developed byits principals. This system tracks the daily price movements from thesemarkets around the world, and carries out certain computations todetermine each day how long or short the portfolio should be in anattempt to maximize profit within a certain range of risk. If risingprices in a particular market are anticipated, a long position will beestablished in that market; if prices in a particular market areexpected to fall, a short position in that market will beestablished.

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

A trend-following system is one that attempts to takeadvantage of the observable tendency of the markets to trend, and totend to make exaggerated movements in both upward and downwarddirections as a result of such trends. These exaggerated movements arelargely explained as a result of the influence of crowd psychology orthe "herd instinct" among marketparticipants.

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

Trade selection is not subject tointervention by Winton's principals and therefore is not subjectto the influences of individual judgment. As a mechanical tradingsystem, the Winton model embodies all the expert knowledge required toanalyze market data and direct trades, thus eliminating the risk ofbasing a trading program on one indispensable person. Equally asimportant is the fact that mechanical systems can be tested insimulation for long periods of time and the model's empiricalcharacteristics can be measured.

The system's output isrigorously adhered to in trading the portfolio and intentionally noimportance is given to any external or fundamental factors. While itmay be seen as unwise to ignore information of 

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obvious value, such as that pertaining topolitical or economic developments, Winton believes that thedisadvantage of this approach is far outweighed by the advantage of thediscipline that rigorous adherence to such a system instills. Wintonbelieves that significant profits may be realized by the Winton systemby holding on to positions for much longer than conventional wisdomwould dictate. Winton believes that a trader who pays attention today-to-day events could be distracted from the chance of fullycapitalizing on such trends.

The Winton system trades in allliquid U.S. and non-U.S. futures and forward contracts. Forward marketsinclude major currencies and precious and base metals, the latter twocategories being traded on the London Metal Exchange. Winton seeks outnew opportunities to add additional markets to the portfolio, with thegoal of increasing the portfolio's diversification.

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

No assurance isgiven that Winton's trading program will be profitable or that itwill not experience losses.

(a)    Liquidity.

The Partnership does not engage in sales of goods or services. Itsonly assets are its (i) equity in its commodity futures tradingaccount, consisting of cash and cash equivalents, net unrealizedappreciation (depreciation) on open futures positions, unrealizedappreciation on open forward contracts and interest receivable and (ii)its investments in other partnerships. Because of the low margindeposits normally required in commodity futures trading, relativelysmall price movements may result in substantial losses to thePartnership. Such substantial losses could lead to a material loss inliquidity.

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

In February, AAA Masterhad a short position in the April natural gas futures contract as apartial offset to an overall long position in delivery months later inthe year in the same contract. During the last week of February 2003,natural gas prices rose sharply reflecting relatively high short-termdemand in the eastern and mid-continental United States along with areduced ability of natural gas suppliers to deliver natural gas fromstorage due to low storage inventories. Volatility in the natural gasmarkets was exacerbated during that period as the markets becamerelatively illiquid when many traders stayed out of the market to waitfor the volatility to pass. During this period, the April natural gasfutures contract experienced an upward increase in price of over50% in two days and related cash market prices experienced a300% increase in price. Deferred delivery months in the naturalgas futures contract did not experience comparable price increases. Thespread between the price of the April contract and those of thedeferred months changed suddenly and unexpectedly. Such extreme movesgenerally happen only in exceptionally rare circumstances and can leadto illiquid market conditions.

In March 2003, volatility struckthe crude oil market, and AAA Master again experienced losses as pricesfor crude oil dropped over $8.00 per barrel, or 21%, in thecourse of a week. AAA Master's and the Partnership'sliquidity was not hindered as a result of these market movements as AAAMaster and the Partnership each had adequate cash reserves to absorbmarket volatility and to meet redemption requests during thatperiod.

The performance for the years ended December 31, 2004and 2003 is discussed in (c) Results of Operations

To minimizethis risk relating to low margin deposits, the Partnership followscertain trading policies, including:

|           |                                                                                                                                                                                             |
|-----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | ThePartnership invests its assets only in commodity interests that anAdvisor believes are traded in sufficient volume to permit ease oftaking and liquidating positions. Sufficient volume, |

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|        |                                                                                                                                                      |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | in this context, refers to a level ofliquidity that the Advisor believes will permit it to enter and exittrades without noticeably moving themarket. |

|            |                                                                                                                                                                                                                          |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | An Advisor will not initiateadditional positions in any commodity if these positions would resultin aggregate positions requiring a margin of more than 662/3% of the Partnership's net assets allocated to thatAdvisor. |

|             |                                                                                                                                                                                                                                                             |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Partnership mayoccasionally accept delivery of a commodity. Unless such delivery isdisposed of promptly by retendering the warehouse receipt representingthe delivery to the appropriate clearinghouse, the physical commodityposition is fully hedged. |

|            |                                                                                                                                                                                                                                                        |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | ThePartnership does not employ the trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or relatedcommodities. |

|           |                                                                                                                                  |
|-----------|----------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership does notutilize borrowings except short-term borrowings if the Partnershiptakes delivery of any cashcommodities. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisors may, from timeto time, employ trading strategies such as spreads or straddles onbehalf of the Partnership. The term "spread"or "straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

|             |                                                                                                                                                                                                                                                                                       |
|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | ThePartnership will not permit the churning of its commodity tradingaccount. The term "churning" refers to thepractice of entering and exiting trades with a frequency unwarranted bylegitimate efforts to profit from the trades, driven by the desire togenerate commission income. |

In the normal course of business,the Partnership directly, and through its investments in otherpartnerships, is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments include forwards,futures, options and swaps, whose values are based upon an underlyingasset, index or reference rate, and generally represent futurecommitments to exchange currencies or cash flows, or to purchase orsell other financial instruments at specified terms at specified futuredates, or, in the case of derivative commodity interests, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Partnership due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Partnership's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statement of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's Fund's assets isCGM.

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

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These monitoring systems allow the GeneralPartner to statistically analyze actual trading results with riskadjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions. (See also"Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the notes to financial statements.)

Other thanthe risks inherent in commodity futures and swaps trading, thePartnership knows of no trends, demands, commitments, events oruncertainties which will result in or which are reasonably likely toresult in the Partnership's liquidity increasing or decreasing inany material way. The Limited Partnership Agreement provides that theGeneral Partner may, in its discretion, cause the Partnership to ceasetrading operations and liquidate all open positions under certaincircumstances including a decrease in Net Asset Value per RedeemableUnit to less than $400 as of the close of business on any businessday.

(b)    Capital Resources.

(i)    ThePartnership has made no material commitments for capitalexpenditures.

(ii)    The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby 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 incommodities are dependent upon fundamental and technical factors whichthe Advisors may or may not be able to identify, such as changingsupply and demand relationships, weather, government agricultural,commercial and trade programs and policies, national and internationalpolitical 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 isdependent upon the level of trading and the ability of the Advisors toidentify and take advantage of price movements in the commoditymarkets, in addition to the level of Net Assets maintained. Inaddition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

The Partnership continues to offer Redeemable Units at the Net AssetValue per Redeemable Unit as of the end of each month. For the yearended December 31, 2004, there were additional sales of 24,093.3313Redeemable Units totaling $28,750,000 and contributions by the GeneralPartner representing 365.5458 Unit equivalents totaling $440,051. Forthe year ended December 31, 2003, there were additional sales of49,916.3153 Redeemable Units totaling $57,164,000. For the year endedDecember 31, 2002, there were additional sales of 38,299.1963Redeemable Units totaling $39,261,000 and contributions by the GeneralPartner representing 281.8446 Unit equivalents totaling $282,000.

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may require the Partnership to redeem theirRedeemable Units at their Net Asset Value as of the last day of a monthon 10 business days notice to the General Partner. For the year endedDecember 31, 2004, 17,153.2638 Redeemable Units were redeemed totaling$21,650,887. For the year ended December 31, 2003, 23,954.9557Redeemable Units were redeemed totaling $26,334,840. For the year endedDecember 31, 2002, 6,833.7748 Redeemable Units were redeemed totaling$7,340,717.

Redeemable Units of Limited Partnership Interestwere sold to persons and entities who are accredited investors as thatterm is defined in rule 501(a) of Regulation D under the Securities Actof 1933, as well as to those persons who are not accredited investorsbut who have either a net worth (exclusive of home, furnishings andautomobile) either individually or jointly with the investor'sspouse of at least three times their investment in the Partnership (theminimum investment for which was $25,000) or gross income for the twoprevious years and projected gross income for the current fiscal yearof not less than three times their investment in the Partnership foreach year.

(c)    Results of Operations.

Forthe year ended December 31, 2004 the Net Asset Value per RedeemableUnit increased 24.4% from $1,100.19 to $1,368.33. For the yearended December 31, 2003 the Net Asset Value per Redeemable Unitdecreased 5.2% from $1,160.82 to $1,100.19. For the year endedDecember 31, 2002, the Net Asset Value per Redeemable Unit increased21.9% from $952.23 to $1,160.82.

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The Partnership experienced net tradinggains of $31,593,092 before commissions and expenses in 2004. Gainswere primarily attributable to the trading of currencies, grains,metals and indices and were partially offset by losses recognized inenergy, softs, livestock, U.S. and non-U.S. interest rates.

Trading results for the year 2004 were positive as strong trends andmarket volatility across most commodity sectors provided profitabletrading opportunities for the Partnership's advisors. The resultsfor the year were primarily influenced by two historic trends and oneadeptly traded volatile market: the trending markets were decliningvalue of the U.S. dollar and the price of crude oil rising to over $50a barrel while natural gas prices had wide swings three or four timesthroughout the year and required astute and agile trading. ThePartnership's advisors capitalized on these events withtrend-following systematic approaches as well as with discretionary andfundamental strategies.

The year started strongly with many ofthe trends from late 2003 continuing into early 2004. Rising globaleconomic growth, particularly in Asia, spurred increased demand foragricultural, industrial metals and energy leading to rising prices forcopper, aluminum, grains and crude oil. Offsetting profitable tradingin these commodity markets were losses in the financial sectors,notably foreign currency trading as the U.S. dollar ralliedprecipitously from its prolonged down trend. The second quarter washighlighted by several opposing fundamental economic and financialevents which reduced the trading opportunities for thePartnership's advisors as profitable trading became more narrowlyfocused on natural gas and soybeans while other markets, especiallycrude oil and precious metals contributed to losses.

Theseforces became further refined in the third quarter as numerousgeo-political events provided numerous trading opportunities in theenergy complex. Such events included the recall election in Venezuela,hurricane weather in the Caribbean, and supply threats as a result ofpolitical turmoil in Russia, Iran, and Iraq. Trading in the foreigncurrencies and stock indices was unprofitable and mixed in the interestrate markets.

The end of the third quarter and beginning of thefourth quarter saw excellent trading markets particularly again inenergy but also in foreign currencies, especially the euro. Theresurging price of crude oil and volatile natural gas prices were theprimary engines of profitability in October and November. As the yearcame to a close, the commodity markets exhibited price fatigue and thefinancial markets reflected lower inflationary expectations. The U.S.dollar began a precipitous slide toward $1.40 to the euro, stockmarkets gained around the world, and interest rates declined. Althoughthe Partnership was down slightly in December, overall for the fourthquarter the Partnership was up nearly 12% and closed the year up24%.

The Partnership experienced net trading losses of$1,116,954 before commissions and expenses in 2003. Losses wereprimarily attributable to the trading of energy, softs, livestock, U.S.and non-U.S. interest rates and were partially offset by gainsrecognized in currencies, grains, metals, and indices.

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

Asnoted above, the Partnership is designed as an aggressive investmentseeking to achieve high rates of absolute return with commensurate riskthrough speculative trading by a team of experienced trading Advisors.In prior years, the combination of Advisors in the Partnership hastended to have performance characteristics distinct from thetraditional trend-following trading Advisors in managed futures. Thesame characteristics that led to the Advisors being able to excel inmarkets typically not favorable to other Advisors are the elements thatresulted in a difficult 2003.

The most significant market eventsfor 2003 surrounded the onset and still evolving outcome of the Iraqiwar. The energy and currency markets had the most significant impact onthe Partnership's results for the year while the other financialand commodity markets tended to offset each other.

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

The firsttwo months of the year represented a period of pre-war uncertainty.January's performance was strong and performance in Februaryended flat in spite of extraordinary price volatility in natural gas

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trading. This volatility in energy marketscarried over to March when the price of crude dropped $10/barrel on theexpectation of a quick end to the war. This reversal affected all thePartnership's Advisors as well as did trend reversals in stockindices, interest rates, and precious metals.

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

With the end of the activehostilities in May, interest rates trended lower, and the major marketsbegan to reflect expectations of improved economic growth.Unexpectedly, the announcements of no further easing actions by the ECBand the Federal Reserve Board greatly disrupted these trends and led tolosses for June and July. Additionally, the dollar actually rallied onthe positive US economic news, reversing the year-long slide. In bothcases, earlier profits were surrendered as the markets transitioned tonew trends. Cushioning the losses in the  financial markets wasprofitable energy trading during June and August.

Regardless ofthe 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 ratesagain reversed course and trading in energy and agricultural marketswas unprofitable. The year ended mixed with strong trends favorable tothe Advisors in currencies, interest rates, precious metals andagricultural markets being offset by losses incurred in volatile energymarkets.

In the General Partner's opinion, thePartnership's Advisors continue to employ trading methodsconsistent with the objectives of the Partnership. The General Partnermonitors the Advisors' performance on a daily, weekly, monthlyand annual basis to assure these objectives are met.

ThePartnership experienced net trading gains of $13,642,916 beforecommissions and expenses in 2002. Gains were primarily attributable tothe trading of currencies, U.S and non-U.S. interest rates, livestockand grains and were partially offset by losses recognized in indices,metals, energy and softs.

It should be noted that commoditymarkets are highly volatile. Broad price fluctuations and rapidinflation increase the risks involved in commodity trading, but alsoincrease the possibility of profit. The profitability of AAA Master andthe Partnership depends on the Advisors' ability to forecastchanges in energy and energy related commodities. Such price changesare influenced by, among other things, changing supply and demandrelationships, weather, governmental, agricultural, commercial andtrade programs and policies, national and international political andeconomic events and changes in interest rates. To the extent that theAdvisors correctly make such forecasts, the Master and the Partnershipexpect to increase capital through operations.

(d)    Operational Risk.

The Partnership isdirectly exposed to market risk and credit risk, which arise in thenormal course of its business activities. Slightly less direct, but ofcritical importance, are risks pertaining to operational and backoffice support. This is particularly the case in a rapidly changing andincreasingly global environment with increasing transaction volumes andan expansion in the number and complexity of products in themarketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial andopportunity loss and legal liability attributable to operationalproblems, such as inaccurate pricing of transactions, untimely tradeexecution, clearance and/or settlement, or the inability to processlarge volumes of transactions. The Partnership is subject to increasedrisks with respect to its trading activities in emerging marketsecurities, where clearance, settlement, and custodial risks are oftengreater than in more established markets.

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain the Partnership'sability to gather, process, and communicate information efficiently and

17

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securely, without interruption, tocustomers, among Redeemable Units within the Partnership, and in themarkets where the Partnership participates.

Legal/Documentation Risk — the risk of lossattributable to deficiencies in the documentation of transactions (suchas trade confirmations) and customer relationships (such as masternetting agreements) or errors that result in noncompliance withapplicable legal and regulatory requirements.

FinancialControl Risk — the risk of loss attributable to limitationsin financial systems and controls. Strong financial systems andcontrols ensure that assets are safeguarded, that transactions areexecuted in accordance with management's authorization, and thatfinancial information utilized by management and communicated toexternal parties, including the Partnership's Redeemable Unitholders, creditors, and regulators, is free of material errors.

(e)    Critical Accounting Policies.

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresestimates and assumptions that affect the reported amounts of assetsand liabilities, revenues and expenses, and related disclosures ofcontingent assets and liabilities in the financial statements andaccompanying notes.

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

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statement of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statement of income andexpenses and partners' capital.

The General Partnerbelieves that the accounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Partnership's positions. Themajority of the Partnership's positions will be exchange-tradedfutures contracts, which will be valued daily at settlement pricespublished by the exchanges. Swap contracts held by AAA Master generallywill be valued by reference to published settlement prices ordealers' quotes in related markets or other measures of fairvalue deemed appropriate by the General Partner. The General Partnerexpects that under normal circumstances substantially all of thePartnership's assets will be valued by objective measures andwithout difficulty.

Item 7A.    Quantitative andQualitative Disclosures About Market Risk

The Partnershipis a speculative commodity pool. The market sensitive instruments heldby the Partnership are acquired for speculative trading purposes, andall or substantially all of the Partnership's assets are subjectto the risk of trading loss. Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to thePartnership's main line of business.

The risk to thelimited partners that have purchased interests in the Partnership islimited to the amount of their capital contributions to the Partnershipand their share of Partnership assets and 

18

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undistributed profits. This limitedliability is a consequence of the organization of the Partnership as alimited partnership under applicable law.

Market movementsresult in frequent changes in the fair market value of thePartnership's open positions and, consequently, in its earningsand cash flow. The Partnership's market risk is influenced by awide variety of factors. These primarily include factors which affectenergy 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 financialinstruments and contracts, the diversification effects among thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing aswell as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification included in thissection should not be considered to constitute any assurance orrepresentation that the Partnership's losses in any market sectorwill be limited to Value at Risk or by the Partnership's attemptsto manage its market risk.

Quantifying the Partnership'sTrading Value at Risk

The following quantitative disclosuresregarding the Partnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative disclosures inthis section are deemed to be forward-looking statements for purposesof the safe harbor except for statements of historical fact (such asthe terms of particular contracts and the number of market risksensitive instruments held during or at the end of the reportingperiod).

The Partnership's risk exposure in the variousmarket sectors traded by the Advisor is quantified below in terms ofValue at Risk. Due to the Partnership's mark-to-marketaccounting, any loss in the fair value of the Partnership's openpositions is directly reflected in the Partnership's earnings(realized or unrealized) and cash flow.

Exchange maintenancemargin requirements have been used by the Partnership as the measure ofits Value at Risk. Maintenance margin requirements are set by exchangesto equal or exceed the maximum losses reasonably expected to beincurred in the fair value of any given contract in95%–99% of any one-day intervals. The maintenancemargin levels are established by dealers and exchanges using historicalprice studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futurescontract) and economic fundamentals to provide a probabilistic estimateof the maximum expected near-term one-day price fluctuation.Maintenance margin has been used rather than the more generallyavailable initial margin, because initial margin includes a credit riskcomponent which is not relevant to Value at Risk.

In the case ofmarket sensitive instruments which are not exchange traded (almostexclusively currencies in the case of the Partnership), the marginrequirements for the equivalent futures positions have been used asValue at Risk. In those rare cases in which a futures-equivalent marginis not available, dealers' margins have been used.

Thefair value of the Partnership's futures and forward positionsdoes not have any optionality component. However, the Advisor doestrade commodity options. The Value at Risk associated with options isreflected in the following table as the margin requirement attributableto the instrument underlying each option. Where this instrument is afutures contract, the futures margin, and where this 

19

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instrument is a physical commodity, thefutures-equivalent maintenance margin has been used. This calculationis conservative in that it assumes that the fair value of an optionwill decline by the same amount as the fair value of the underlyinginstrument, whereas, in fact, the fair values of the options traded bythe Partnership in almost all cases fluctuate to a lesser extent thanthose of the underlying instruments.

In quantifying thePartnership's Value at Risk, 100% positive correlation inthe different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Partnership's positions arerarely, if ever, 100% positively correlated have not beenreflected.

The Partnership's Trading Value at Risk inDifferent Market Sectors

The following table indicates thetrading Value at Risk associated with the Partnership's openpositions by market category as of December 31, 2004, and the highest,lowest and average value at any point during the year. All openposition trading risk exposures of the Partnership have been includedin calculating the figures set forth below. As of December 31, 2004,the Partnership's total capitalization was $118,783,824.

December 31,2004

|                                 |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |           |                    |  | Yearto Date      |
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  | $             | 1,602,965 |                    |  |             | 1.35   | %           |  | $                    | 2,483,422 |   |  | $      | 658,832 |   |  | $      | 1,316,239 |   |
| Energy                          |  |          | 870,000   |                    |  |             | 0.73   | %           |  |                 | 3,586,630 |   |  |   | 172,500 |   |  |   | 1,841,732 |   |
| Grains                          |  |          | 34,200    |                    |  |             | 0.03   | %           |  |                 | 1,266,731 |   |  |   | 34,200  |   |  |   | 446,505   |   |
| InterestratesU.S.               |  |          | 105,700   |                    |  |             | 0.09   | %           |  |                 | 1,478,500 |   |  |   | 84,000  |   |  |   | 800,194   |   |
| InterestratesNon-U.S.           |  |          | 665,058   |                    |  |             | 0.56   | %           |  |                 | 3,926,181 |   |  |   | 663,464 |   |  |   | 2,098,350 |   |
| Livestock                       |  |          | 20,800    |                    |  |             | 0.02   | %           |  |                 | 298,100   |   |  |   | 20,800  |   |  |   | 160,440   |   |
| Metals                          |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  |          | 453,500   |                    |  |             | 0.38   | %           |  |                 | 1,242,000 |   |  |   | 190,000 |   |  |   | 550,746   |   |
| Softs                           |  |          | 449,300   |                    |  |             | 0.38   | %           |  |                 | 697,544   |   |  |   | 23,000  |   |  |   | 366,509   |   |
| **Total**                       |  | $             | 4,201,523 |                    |  |             | 3.54   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

*  annualaverage based on month-end value at risk

20

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As of December 31, 2003, thePartnership's total capitalization was$87,468,980.

December 31,2003

|                                 |  |               |            |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |            |                    |  | Yearto Date      |
| MarketSector                    |  | Value at Risk |            | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |          |       |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  | $             | 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   |   |
| InterestratesU.S.               |  |          | 995,400    |                    |  |             | 1.14   | %           |  |                 | 1,104,750 |   |  |   | 54,370  |   |  |   | 579,512   |   |
| InterestratesNon-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 TradedContracts |  |          | 689,900    |                    |  |             | 0.79   | %           |  |                 | 1,137,100 |   |  |   | 100,500 |   |  |   | 588,608   |   |
| —OTCContracts             |  |          | 522,060    |                    |  |             | 0.60   | %           |  |                 | 1,573,237 |   |  |   | 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  | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

*  annual average based on month-end value at risk

**Due to rounding

Material Limitations on Value at Risk as anAssessment of Market Risk

The face value of the market sectorinstruments held by the Partnership is typically many times theapplicable margin requirement (margin requirements generally rangebetween 2% and 15% of contract face value) as well asmany times the capitalization of the Partnership. The magnitude of thePartnership's open positions creates a "risk ofruin" not typically found in most other investmentvehicles. Because of the size of its positions, certain marketconditions — unusual, but historically recurring from time totime — could cause the Partnership to incur severe losses over ashort period of time. The foregoing Value at Risk table — as wellas the past performance of the Partnership — give no indicationof this "risk of ruin."

Materiality asused in this section, "Qualitative and QuantitativeDisclosures About Market Risk," is based on an assessmentof reasonably possible market movements and the potential losses causedby such movements, taking into account the leverage, optionality andmultiplier features of the Partnership's market sensitiveinstruments.

Qualitative Disclosures Regarding Primary TradingRisk Exposures

The following qualitative disclosures regardingthe Partnership's market risk exposures – except for (i)those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market riskexposures – constitute forward-looking statements within themeaning of Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act. The Partnership's primary marketrisk exposures as well as the strategies used and to be used by theGeneral Partner and the Advisor for managing such exposures are subjectto numerous uncertainties, contingencies and risks, any one of whichcould cause the actual results of the Partnership's risk controlto differ materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Partnership. There can be noassurance that the Partnership's current 

21

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market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Partnership as of December 31, 2004, by marketsector.

Interest Rates.    Interest rate movementsdirectly affect the price of the futures positions held by thePartnership and indirectly the value of its stock index and currencypositions. Interest rate movements in one country as well as relativeinterest rate movements between countries materially impact thePartnership's profitability. The Partnership's primaryinterest rate exposure is to interest rate fluctuations in the UnitedStates and the other G-8 countries. However, the Partnership also takesfutures positions on the government debt of smaller nations –e.g., Australia.

Currencies.    ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic Partnership's currency sector willchange significantly in the future. The currency trading Value at Riskfigure includes foreign margin amounts converted into U.S. dollars withan incremental adjustment to reflect the exchange rate risk inherent tothe dollar-based Partnership in expressing Value at Risk in functionalcurrency other than dollars.

Stock Indices.    ThePartnership's primary equity exposure is to equity price risk inthe G-8 countries. The stock index futures traded by the Partnershipare limited to futures on broadly based indices. As of December 31,2004, the Partnership's primary exposures were in the FinancialTimes (England) and EUREX stock indices. The Partnership is primarilyexposed to the risk of adverse price trends or static markets in themajor U.S., European and Japanese indices. (Static markets would notcause major market changes but would make it difficult for thePartnership to avoid being "whipsawed" intonumerous small losses.)

Metals.    ThePartnership's primary metal market exposure is to fluctuations inthe price of gold. Although certain of the Advisors will from time totime trade base metals such as copper, the principal market exposuresof the Partnership have consistently been in the precious metals,gold.

Softs.    The Partnership's primarycommodities exposure is to agricultural price movements which are oftendirectly affected by severe or unexpected weather conditions. Cocoa,cotton, sugar and coffee accounted for the substantial bulk of thePartnership's commodity exposure as of December 31, 2004.

Energy.    The Partnership's/Master's primaryenergy market exposure is to gas and oil price movements, oftenresulting from political developments in the Middle East. Oil pricescan be volatile and substantial profits and losses have been areexpected to continue to be experienced in this market.

Qualitative Disclosures Regarding Means of Managing RiskExposure

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

The GeneralPartner monitors the Partnership's performance and theconcentration of its open positions, and consults with the Advisorconcerning the Partnership's overall risk profile. If the GeneralPartner felt it necessary to do so, the General Partner could requirethe Advisor to close out individual positions as well as enter programstraded on behalf of the Partnership. However, any such interventionwould be a highly unusual event. The General Partner primarily relieson the Advisor's own risk control policies while maintaining ageneral supervisory overview of the Partnership's market riskexposures.

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

As part of the GeneralPartner's risk management, the General Partner periodically meetswith the Advisor to discuss its risk management and to look for anymaterial changes to the Advisor's portfolio balance and tradingtechniques. The Advisor is required to notify the General Partner ofany material changes to itsprograms.

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Item8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

INDEX TOFINANCIAL STATEMENTS

|                                                                                                 |  |                  |  |  |  |  |
|-------------------------------------------------------------------------------------------------|--|------------------|--|--|--|--|
|                                                                                            |  | PageNumber       |
| Oath orAffirmation.                                                                             |  | F-2              |
| Management'sReport on Internal Control over FinancialReporting                                  |  | F-3              |
| Report of IndependentRegistered Public Accounting Firm                                          |  | F-4 – F-6  |
| Financial Statements:                                                                           |  |
| Statementsof Financial Condition at December 31, 2004 and2003.                                  |  | F-7              |
| Condensed Schedules ofInvestments at December 31, 2004 and 2003.                                |  | F-8 –F-9   |
| Statements of Income and Expenses for the yearsended December 31, 2004, 2003 and 2002.          |  | F-10             |
| Statements of Changes in Partners' Capital for the yearsended December 31, 2004, 2003 and 2002. |  | F-11             |
| Statements of Cash Flows for the Year EndedDecember 31, 2004, 2003 and 2002                     |  | F-12             |
| Notes to Financial Statements                                                                   |  | F-13 –F-19 |
| Selected Unaudited Quarterly FinancialData.                                                     |  | F-20             |
|                                                                                                 |

F-1

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Tothe Limited Partners ofSalomon Smith Barney Orion Futures FundL.P.

To the best of the knowledge and belief of theundersigned, the information contained herein is accurate andcomplete.

|  | /s/ D.R. McAuliffe,Jr. |
|--|------------------------|

|  | By:   Daniel R. McAuliffe,Jr.          Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Salomon SmithBarney          Orion Futures Fund L.P. |
|--|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup Managed Futures LLC**399 ParkAvenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

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Management'sReport on Internal Control overFinancial Reporting

Themanagement of Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership"), Citigroup Managed FuturesLLC, is responsible for establishing and maintaining adequate internalcontrol over financial reporting. The Partnership's internalcontrol system was designed to provide reasonable assurance to thePartnership's management and Board of Directors regarding thepreparation and fair presentation of published financial statements inaccordance with U.S. generally accepted accounting principles. Allinternal control systems, no matter how well designed, have inherentlimitations. Therefore, even those systems determined to be effectivecan provide only reasonable assurance with respect to financialstatement preparation and presentation.

 Managementmaintains a comprehensive system of controls intended to ensure thattransactions are executed in accordance with management'sauthorization, assets are safeguarded, and financial records arereliable. Management also takes steps to see that information andcommunication flows are effective and to monitor performance, includingperformance of internal control procedures.

 ThePartnership's management assessed the effectiveness of thePartnership's internal control over financial reporting as ofDecember  31, 2004 based on the criteria set forth by theCommittee of Sponsoring Organizations of the Treadway Commission (COSO)in Internal Control-Integrated Framework. Based on this assessment,management believes that, as of December  31, 2004, thePartnership's internal control over financial reporting iseffective.

 Management's assessment of theeffectiveness of the Company's internal control over financialreporting as of December  31, 2004 has been audited by KPMG LLP,the Partnership's independent registered public accounting firm,as stated in their reports appearing on the following pages, whichexpress unqualified opinions on management's assessment and onthe effectiveness of the Partnership's internal control overfinancial reporting as of December  31,2004.

F-3

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Report ofIndependent Registered Public Accounting Firm

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

We have audited management's assessment, included inthe accompanying Management's Report on Internal Control OverFinancial Reporting, that Salomon Smith Barney Orion Futures FundL.P. (the "Partnership") maintained effectiveinternal control over financial reporting as of December 31, 2004,based on criteria established in Internal Control—IntegratedFramework issued by the Committee of Sponsoring Organizations ofthe Treadway Commission ("COSO"). ThePartnership's management is responsible for maintaining effectiveinternal control over financial reporting and for its assessment of theeffectiveness of internal control over financial reporting. Ourresponsibility is to express an opinion on management'sassessment and an opinion on the effectiveness of thePartnership's internal control over financial reporting based onour audit.

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether effective internal controlover financial reporting was maintained in all material respects. Ouraudit included obtaining an understanding of internal control overfinancial reporting, evaluating management's assessment, testingand evaluating the design and operating effectiveness of internalcontrol, and performing such other procedures as we considerednecessary in the circumstances. We believe that our audit provides areasonable basis for our opinion.

A partnership'sinternal control over financial reporting is a process designed toprovide reasonable assurance regarding the reliability of financialreporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles. Apartnership's internal control over financial reporting includesthose policies and procedures that (1) pertain to the maintenance ofrecords that, in reasonable detail, accurately and fairly reflect thetransactions and dispositions of the assets of the partnership; (2)provide reasonable assurance that transactions are recorded asnecessary to permit preparation of financial statements in accordancewith generally accepted accounting principles, and that receipts andexpenditures of the partnership are being made only in accordance withauthorizations of management of the partnership; and (3) providereasonable assurance regarding prevention or timely detection ofunauthorized acquisition, use, or disposition of thepartnership's assets that could have a material effect on thefinancial statements.

Because of its inherentlimitations, internal control over financial reporting may not preventor detect misstatements. Also, projections of any evaluation ofeffectiveness to future periods are subject to the risk that controlsmay become inadequate because of changes in conditions, or that thedegree of compliance with the policies or procedures maydeteriorate.

In our opinion, management'sassessment that Salomon Smith Barney Orion Futures Fund L.P. maintainedeffective internal control over financial reporting as of December 31,2004, is fairly stated, in all material respects, based on criteriaestablished in Internal Control—Integrated Frameworkissued by COSO. Also, in our opinion, the Partnershipmaintained, in all material respects, effective internal control overfinancial reporting as of December 31, 2004, based on criteriaestablished in Internal Control—Integrated Frameworkissued by COSO.

F-4

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We also have audited, in accordancewith the standards of the Public Company Accounting Oversight Board(United States), the statements of financial condition of thePartnership, including the condensed schedules of investments, as ofDecember 31, 2004 and 2003, and the related statements of income andexpenses, changes in partners' capital, and cash flows for eachof the years in the three-year period ended December 31, 2004, and ourreport dated March 14, 2005 expressed an unqualified opinion on thosefinancial statements.

/s/ KPMGLLPNew York, New York March 14, 2005

F-5

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Report of Independent Registered PublicAccounting Firm

To the Partners ofSalomon SmithBarney Orion Futures Fund L.P.:

We have audited theaccompanying statements of financial condition of Salomon Smith BarneyOrion Futures Fund L.P. (the Partnership), including the condensedschedules of investments, as of December 31, 2004 and 2003, and therelated statements of income and expenses, changes in partners'capital, and cash flows for each of the years in the three-year periodended December 31, 2004. These financial statements are theresponsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits inaccordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we planand perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An auditincludes examining, on a test basis, evidence supporting the amountsand disclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates madeby management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of Salomon Smith Barney Orion Futures Fund L.P. asof December 31, 2004 and 2003, and the results of its operations,changes in its partners' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2004, inconformity with U. S. generally accepted accounting principles.

We have also audited, in accordance with standards of thePublic Company Accounting Oversight Board (United States), theeffectiveness of the Partnership's internal control overfinancial reporting as of December 31, 2004, based on criteriaestablished in Internal Control—Integrated Frameworkissued by the Committee of Sponsoring Organizations of the TreadwayCommission ("COSO"), and our report datedMarch 14, 2005 expressed an unqualified opinion on management'sassessment of, and the effective operation of, internal control overfinancial reporting.

/s/ KPMG LLPNew York,New YorkMarch 14, 2005

F-6

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Financial ConditionDecember 31, 2004and2003

|                                                                                                                                        |  |        |             |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2004   |             | 2003   |
| **Assets:**                                                                                                                            |  |
| Investmentin Partnerships, at fair value (Note5)                                                                                       |  | $      | 84,542,782  |   |  | $      | 33,531,892 |   |
| Cash(restricted $5,271,154 and $13,779,146 in 2004 and 2003, respectively)in commodity futures trading account (Note3c)                |  |   | 36,084,976  |   |  |   | 50,594,930 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |   | 2,612,228   |   |  |   | 5,706,691  |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |   | —     |   |  |   | 1,928,011  |   |
|                                                                                                                                   |  |   | 123,239,986 |   |  |   | 91,761,524 |   |
| Interestreceivable (Note3c)                                                                                                            |  |   | 62,043      |   |  |   | 40,059     |   |
|                                                                                                                                   |  | $      | 123,302,029 |   |  | $      | 91,801,583 |   |
|                                                                                                                                   |  |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |
| Liabilities:                                                                                                                           |  |   |        |   |  |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  | $      | —     |   |  | $      | 638,809    |   |
| Accruedexpenses:                                                                                                                       |  |   |        |   |  |
| Commissions (Note3c)                                                                                                                   |  |   | 162,453     |   |  |   | 160,866    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 192,180     |   |  |   | 142,083    |   |
| Administrativefees (Note3a)                                                                                                            |  |   | 52,089      |   |  |   | 38,612     |   |
| Incentivefees (Note3b)                                                                                                                 |  |   | 849,874     |   |  |   | 539,454    |   |
| Professionalfees                                                                                                                       |  |   | 120,711     |   |  |   | 68,739     |   |
| Other                                                                                                                                  |  |   | 21,796      |   |  |   | 8,171      |   |
| Redemptionspayable (Note6)                                                                                                             |  |   | 3,119,102   |   |  |   | 2,735,869  |   |
|                                                                                                                                   |  |   | 4,518,205   |   |  |   | 4,332,603  |   |
| Partners'Capital (Notes 1 and 6):                                                                                                      |  |   |        |   |  |
| GeneralPartner, 865.3542 and 499.8084 Unit equivalents outstanding in 2004 and2003,respectively                                        |  |   | 1,184,090   |   |  |   | 549,884    |   |
| LimitedPartners, 85,943.7403 and 79,003.6728 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 117,599,734 |   |  |   | 86,919,096 |   |
|                                                                                                                                   |  |   | 118,783,824 |   |  |   | 87,468,980 |   |
|                                                                                                                                   |  | $      | 123,302,029 |   |  | $      | 91,801,583 |   |
|                                                                                                                                   |  |   |        |   |  |
|                                                                                                                                        |

Seeaccompanying notes to financialstatements.

F-7

----

SalomonSmith BarneyOrion Futures Fund L.P.Condensed Schedule ofInvestments December 31,2004

|                                       |  |                                    |  |           |            |         |  |  |  |  |
|---------------------------------------|--|------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                                |  | Contract                           |  | FairValue |
| Currencies                            |  |
|                                  |  | Futurescontracts purchased0.84%    |  | $         | 994,089    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | (606       | )  |
| TotalCurrencies0.84%                  |  |                               |  |      | 993,483    |    |
| Energy0.61%                           |  | Futures contracts sold0.61%*       |  |      | 724,990    |    |
| Grains                                |  |
|                                  |  | Futurescontracts purchased0.00%*   |  |      | (313       | )  |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (20,275    | )  |
| TotalGrains(0.02)%                    |  |                               |  |      | (20,588    | )  |
|                                  |  |                               |  |      |       |    |
| InterestRates U.S. 0.04%              |  | Futures contracts sold0.04%        |  |      | 44,813     |    |
|                                  |  |                               |  |      |       |    |
| InterestRates Non-U.S.                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.22%    |  |      | 266,606    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | 3,001      |    |
| TotalInterest Rates Non-U.S.0.22%     |  |                               |  |      | 269,607    |    |
|                                  |  |                               |  |      |       |    |
| Livestock0.04%                        |  | Futures contracts purchased0.04%   |  |      | 40,990     |    |
| Metals(0.01)%                         |  | Futures contracts purchased(0.01)% |  |      | (7,003     | )  |
|                                  |  |
| Softs                                 |  |
|                                  |  | Futurescontracts purchased0.50%    |  |      | 597,196    |    |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (31,260    | )  |
| TotalSofts0.48%                       |  |                               |  |      | 565,936    |    |
| Investmentin Partnerships             |  |
|                                  |  | SB AAA Master Fund LLC38.91%       |  |      | 46,220,533 |    |
|                                  |  | CMF WintonMaster Fund LP32.26%     |  |      | 38,322,249 |    |
| TotalInvestment in Partnerships71.17% |  |                               |  |      | 84,542,782 |    |
| TotalFair Value73.37%                 |  |                               |  | $         | 87,155,010 |    |
|                                       |

|                    |  |                           |            |                              |  |        |        |         |  |  |
|--------------------|--|---------------------------|------------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at FairValue |
| Germany            |  | $                         | 121,341    |                         |  |   | 0.14   | %  |
| UnitedKingdom      |  |                      | 148,266    |                         |  |   | 0.17   | %  |
| UnitedStates       |  |                      | 86,885,403 |                         |  |   | 99.69  | %  |
|               |  | $                         | 87,155,010 |                         |  |   | 100.00 | %  |
|                    |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentagesare based on Partners' Capital unless otherwiseindicated. |

|  |                    |
|--|--------------------|
|  | * Due to rounding. |

See accompanying notes to financialstatements.

F-8

----

Salomon Smith Barney Orion FuturesFund L.P. Condensed Schedule of Investments December 31,2003

|                                   |  |                                                    |  |           |            |         |  |  |  |  |
|-----------------------------------|--|----------------------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                            |  | Contract                                           |  | FairValue |
| Currencies                        |  |
|                              |  | Futurescontracts sold(0.04)%                       |  | $         | (34,802    | )  |
|                              |  | Futurescontracts purchased3.12%                    |  |      | 2,726,064  |    |
| TotalCurrencies3.08%              |  |                                               |  |      | 2,691,262  |    |
| Energy(0.05)%                     |  | Futures contracts purchased(0.05)%                 |  |      | (47,000    | )  |
| Grains                            |  |
|                              |  | Futurescontracts sold(0.12)%                       |  |      | (107,275   | )  |
|                              |  | Futurescontracts purchased1.70%                    |  |      | 1,487,795  |    |
| TotalGrains1.58%                  |  |                                               |  |      | 1,380,520  |    |
| InterestRates U.S. (0.15)%        |  | Futures contracts purchased(0.15)%                 |  |      | (129,958   | )  |
| InterestRates Non-U.S.            |  |                                               |  |      |       |    |
|                              |  | Futurescontracts sold(0.00)%*                      |  |      | (343       | )  |
|                              |  | Futurescontracts purchased0.70%                    |  |      | 617,411    |    |
| TotalInterest Rates Non-U.S.0.70% |  |                                               |  |      | 617,068    |    |
|                              |  |                                               |  |      |       |    |
| Lumber0.01%                       |  | Futures contracts purchased0.01%                   |  |      | 6,402      |    |
|                              |  |                                               |  |      |       |    |
| Livestock                         |  |                                               |  |      |       |    |
|                              |  | Futurescontracts sold0.01%                         |  |      | 5,570      |    |
|                              |  | Futurescontracts purchased(0.03)%                  |  |      | (25,410    | )  |
| TotalLivestock(0.02)%             |  |                                               |  |      | (19,840    | )  |
| Metals                            |  |                                               |  |      |       |    |
|                              |  | Futurescontracts sold(0.00)%*                      |  |      | (3,655     | )  |
|                              |  | Futurescontracts purchased0.96%                    |  |      | 842,863    |    |
|                              |  | Totalfutures contracts0.96%                        |  |      | 839,208    |    |
|                              |  | Unrealizeddepreciation on forward contracts(0.73)% |  |      | (638,809   | )  |
|                              |  | Unrealizedappreciation on forward contracts2.20%   |  |      | 1,928,011  |    |
|                              |  | Totalforward contracts1.47%                        |  |      | 1,289,202  |    |
| TotalMetals2.43%                  |  |                                               |  |      | 2,128,410  |    |
| Softs                             |  |
|                              |  | Futurescontracts sold0.06%                         |  |      | 56,990     |    |
|                              |  | Futurescontracts purchased(0.18)%                  |  |      | (159,535   | )  |
| TotalSofts(0.12)%                 |  |                                               |  |      | (102,545   | )  |
| Indices0.54%                      |  | Futures contracts purchased0.54%                   |  |      | 471,574    |    |
| Investmentin Partnership 38.33%   |  | SB AAA Master Fund LLC38.33%                       |  |      | 33,531,892 |    |
| TotalFair Value46.33%             |  |                                               |  | $         | 40,527,785 |    |
|                                   |

|                    |  |                           |            |                              |  |        |        |         |  |  |
|--------------------|--|---------------------------|------------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at FairValue |
| Australia          |  | $                         | 141,159    |                         |  |   | 0.35   | %  |
| Canada             |  |                      | 83,342     |                         |  |   | 0.21   |    |
| France             |  |                      | 30,769     |                         |  |   | 0.08   |    |
| Germany            |  |                      | 309,378    |                         |  |   | 0.76   |    |
| HongKong           |  |                      | 7,903      |                         |  |   | 0.02   |    |
| Italy              |  |                      | (20,955    | )                       |  |   | (0.05  | )  |
| Japan              |  |                      | 44,926     |                         |  |   | 0.11   |    |
| Spain              |  |                      | 22,028     |                         |  |   | 0.05   |    |
| UnitedKingdom      |  |                      | 1,802,208  |                         |  |   | 4.45   |    |
| UnitedStates       |  |                      | 38,107,027 |                         |  |   | 94.02  |    |
|               |  | $                         | 40,527,785 |                         |  |   | 100.00 | %  |
|                    |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentagesare based on Partners' Capital unless otherwiseindicated. |

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

See accompanying notes tofinancial statements.

F-9

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Income and Expensesfor the years endedDecember 31, 2004, 2003 and2002

|                                                                                                                        |  |        |            |        |  |        |            |         |  |        |            |        |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                   |  | 2004   |            | 2003   |  | 2002   |
| Income:                                                                                                                |  |   |       |   |  |   |       |    |  |   |       |   |
| Netgains (losses) on trading of commodityinterests:                                                                    |  |   |       |   |  |   |       |    |  |   |       |   |
| Realizedgains on closed positions                                                                                      |  | $      | 13,215,866 |   |  | $      | 4,167,650  |    |  | $      | 3,569,924  |   |
| Changein unrealized gains (losses) on open positions and investments inPartnerships                                    |  |   | 18,377,226 |   |  |   | (5,284,604 | )  |  |   | 10,072,992 |   |
|                                                                                                                   |  |   | 31,593,092 |   |  |   | (1,116,954 | )  |  |   | 13,642,916 |   |
| Interestincome (Note3c)                                                                                                |  |   | 693,186    |   |  |   | 479,341    |    |  |   | 414,512    |   |
|                                                                                                                   |  |   | 32,286,278 |   |  |   | (637,613   | )  |  |   | 14,057,428 |   |
| Expenses:                                                                                                              |  |   |       |   |  |   |       |    |  |   |       |   |
| Brokeragecommissions including clearing fees of $383,817, $374,550 and $262,071,respectively (Note3c)                  |  |   | 2,178,028  |   |  |   | 1,912,993  |    |  |   | 1,168,831  |   |
| Managementfees (Note3b)                                                                                                |  |   | 1,992,944  |   |  |   | 1,547,397  |    |  |   | 864,165    |   |
| Administrativefees (Note3a)                                                                                            |  |   | 539,668    |   |  |   | 402,664    |    |  |   | 216,041    |   |
| Incentivefees (Note3b)                                                                                                 |  |   | 3,538,910  |   |  |   | 837,878    |    |  |   | 2,447,070  |   |
| Professionalfees                                                                                                       |  |   | 240,111    |   |  |   | 155,297    |    |  |   | 134,166    |   |
| Otherexpenses                                                                                                          |  |   | 20,937     |   |  |   | 19,137     |    |  |   | 30,455     |   |
|                                                                                                                   |  |   | 8,510,598  |   |  |   | 4,875,366  |    |  |   | 4,860,728  |   |
| Netincome(loss)                                                                                                        |  | $      | 23,775,680 |   |  | $      | (5,512,979 | )  |  | $      | 9,196,700  |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | 268.14     |   |  | $      | (60.63     | )  |  | $      | 208.59     |   |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-10

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Changes in Partners' Capitalforthe years ended December 31, 2004, 2003 and2002

|                                                                                                                                             |  |                 |             |                |  |        |           |         |  |        |             |         |  |  |  |  |  |  |  |  |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------|--|-----------------|-------------|----------------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|--|--|--|--|--|--|--|--|
|                                                                                                                                        |  | LimitedPartners |             | GeneralPartner |  | Total  |           |
| Partners'capital at December 31,2001                                                                                                        |  | $               | 20,546,264  |           |  | $      | 207,552   |    |  | $      | 20,753,816  |    |  |
| Netincome                                                                                                                                   |  |            | 9,106,064   |           |  |   | 90,636    |    |  |   | 9,196,700   |    |  |
| Saleof 38,299.1963 Redeemable Units of Limited Partnership Interest andGeneral Partner's contribution representing 281.8446 Unitequivalents |  |            | 39,261,000  |           |  |   | 282,000   |    |  |   | 39,543,000  |    |  |
| Redemptionof 6,833.7748 Redeemable Units of Limited PartnershipInterest                                                                     |  |            | (7,340,717  | )         |  |   | —   |    |  |   | (7,340,717  | )  |  |
| Partners'capital at December 31,2002                                                                                                        |  |            | 61,572,611  |           |  |   | 580,188   |    |  |   | 62,152,799  |    |  |
| Netloss                                                                                                                                     |  |            | (5,482,675  | )         |  |   | (30,304   | )  |  |   | (5,512,979  | )  |  |
| Saleof 49,916.3153 Redeemable Units of Limited PartnershipInterest                                                                          |  |            | 57,164,000  |           |  |   | —   |    |  |   | 57,164,000  |    |  |
| Redemptionof 23,954.9557 Redeemable Units of Limited PartnershipInterest                                                                    |  |            | (26,334,840 | )         |  |   | —   |    |  |   | (26,334,840 | )  |  |
| Partners'capital at December 31,2003                                                                                                        |  |            | 86,919,096  |           |  |   | 549,884   |    |  |   | 87,468,980  |    |  |
| Netincome                                                                                                                                   |  |            | 23,581,525  |           |  |   | 194,155   |    |  |   | 23,775,680  |    |  |
| Saleof 24,093.3313 Redeemable Units of Limited Partnership Interest andGeneral Partner's contribution representing 365.5458 Unitequivalents |  |            | 28,750,000  |           |  |   | 440,051   |    |  |   | 29,190,051  |    |  |
| Redemptionof 17,153.2638 Redeemable Units of Limited PartnershipInterest                                                                    |  |            | (21,650,887 | )         |  |   | —   |    |  |   | (21,650,887 | )  |  |
| Partners'capital at December 31,2004                                                                                                        |  | $               | 117,599,734 |           |  | $      | 1,184,090 |    |  | $      | 118,783,824 |    |  |
| Netasset value per RedeemableUnit:                                                                                                          |  |
|                                                                                                                                             |

|       |  |   |          |        |  |  |
|-------|--|---|----------|--------|--|--|
| 2002: |  | $ | 1,160.82 |   |
| 2003: |  | $ | 1,100.19 |   |
| 2004: |  | $ | 1,368.33 |   |
|       |

Seeaccompanying notes to financial statements.

F-11

----

Salomon Smith Barney Orion FuturesFund L.P. Statements of Cash Flows for the years endedDecember 31, 2004, 2003 and2002

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2004   |             | 2003    |  | 2002   |
| Cash flows from operatingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Net income(loss)                                                                                 |  | $      | 23,775,680  |    |  | $      | (5,512,979  | )  |  | $      | 9,196,700   |    |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |   |        |    |  |   |        |    |  |
| Changesin operating assets andliabilities:                                                       |  |
| (Increase) decrease inrestrictedcash                                                             |  |   | 8,507,992   |    |  |   | (5,121,754  | )  |  |   | (5,727,071  | )  |
| (Increase)decrease in investment in Partnerships, at fairvalue                                   |  |   | (51,010,890 | )  |  |   | (8,059,906  | )  |  |   | (17,092,992 | )  |
| (Increase) decrease in netunrealized appreciation/depreciation on open futurespositions          |  |   | 3,094,463   |    |  |   | (649,474    | )  |  |   | (4,061,313  | )  |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |   | 1,928,011   |    |  |   | (1,928,011  | )  |  |   | —     |    |
| (Increase) decrease in interestreceivable                                                        |  |   | (21,984     | )  |  |   | (4,122      | )  |  |   | (5,870      | )  |
|                                                                                             |  |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | (638,809    | )  |  |   | 638,809     |    |  |   | —     |    |
| Accruedexpenses:                                                                                 |  |   |        |    |  |   |        |    |  |
| Increase(decrease) in commissions                                                                |  |   | 1,587       |    |  |   | 45,665      |    |  |   | 48,702      |    |
| Increase (decrease) in managementfees                                                            |  |   | 50,097      |    |  |   | 34,970      |    |  |   | 71,646      |    |
| Increase (decrease) inadministrative fees                                                        |  |   | 13,477      |    |  |   | 11,834      |    |  |   | 17,911      |    |
| Increase (decrease) in incentivefees                                                             |  |   | 310,420     |    |  |   | 266,497     |    |  |   | 191,518     |    |
| Increase (decrease) inprofessional fees                                                          |  |   | 51,972      |    |  |   | (12,526     | )  |  |   | 37,183      |    |
| Increase (decrease) inother                                                                      |  |   | 13,625      |    |  |   | 440         |    |  |   | 4,438       |    |
| Increase (decrease) in redemptionspayable                                                        |  |   | 383,233     |    |  |   | 2,237,266   |    |  |   | 498,603     |    |
| Net cash provided by (usedin)    operatingactivities                         |  |   | (13,541,126 | )  |  |   | (18,053,291 | )  |  |   | (16,820,545 | )  |
| Cash flows from financingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Proceeds fromadditions — LimitedPartners                                                   |  |   | 28,750,000  |    |  |   | 57,164,000  |    |  |   | 39,261,000  |    |
| Proceeds from additions— General Partner                                                   |  |   | 440,051     |    |  |   | —     |    |  |   | 282,000     |    |
| Payments for redemptions —LimitedPartners                                                  |  |   | (21,650,887 | )  |  |   | (26,334,840 | )  |  |   | (7,340,717  | )  |
| Net cash provided by (usedin) financingactivities                                                |  |   | 7,539,164   |    |  |   | 30,829,160  |    |  |   | 32,202,283  |    |
| Net change incash                                                                                |  |   | (6,001,962  | )  |  |   | 12,775,869  |    |  |   | 15,381,738  |    |
| Unrestricted cash, atbeginning ofyear                                                            |  |   | 36,815,784  |    |  |   | 24,039,915  |    |  |   | 8,658,177   |    |
| Unrestricted cash, at end ofyear                                                                 |  | $      | 30,813,822  |    |  | $      | 36,815,784  |    |  | $      | 24,039,915  |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-12

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|           |                          |
|-----------|--------------------------|
| 1.   | PartnershipOrganization: |

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

Between March  31, 1999(commencement of the offering period) and June  10, 1999, 10,499redeemable units of Limited Partnership Interest("Redeemable Units") were sold at $1,000 perRedeemable Unit. The proceeds of the initial offering were held in anescrow account until June  10, 1999, at which time they wereturned over to the Partnership for trading. The Partnership privatelyoffers up to 250,000 Redeemable Units to qualified investors. ThePartnership continues to offer Redeemable Units.

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

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

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

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

|           |                      |
|-----------|----------------------|
| 2.   | Accounting Policies: |

|  |          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|--|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | a.  | All commodity interests (including derivative financialinstruments and derivative commodity instruments) held by thePartnership are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized gains (losses) on open positions are recognized in theperiod in which the contract is closed or the changes occur and areincluded in net gains (losses) on trading of commodity interests. |

The value of the Partnership's investments in otherpartnerships reflects the Partnership's proportional interest inthe other partnerships.

F-13

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SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|  |           |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|--|-----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | b.   | The Partnership maypurchase and write (sell) options. An option is a contract allowing,but not requiring, its holder to buy (call) or sell (put) a specific orstandard commodity or financial instrument at a specified price duringa specified time period. The option premium is the total price paid orreceived for the option contract. When the Partnership writes anoption, the premium received is recorded as a liability in thestatements of financial condition and marked to market daily. When thePartnership purchases an option, the premium paid is recorded as anasset in the statement of financial condition and marked to marketdaily. |

|  |           |                                                                                                                                                          |
|--|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | c.   | Income taxes have not been providedas each partner is individually liable for the taxes, if any, on theirshare of the Partnership's income and expenses. |

|  |           |                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|--|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | d.   | The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, disclosureof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates. |

|  |           |                                                                                             |
|--|-----------|---------------------------------------------------------------------------------------------|
|  | e.   | Certain prior period amounts have beenreclassified to conform to current year presentation. |

|          |             |
|----------|-------------|
| 3.  | Agreements: |

|  |           |                               |
|--|-----------|-------------------------------|
|  | a.   | Limited PartnershipAgreement: |

The General Partner administers the businessand affairs of the Partnership including selecting one or more advisorsto make trading decisions for the Partnership. The Partnership pays theGeneral Partner a monthly administrative fee equal to 1/24 of 1% (0.5% per year) of month-endnet assets. Month-end Net Assets, for the purpose of calculatingadministrative fees are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees.

|  |           |                       |
|--|-----------|-----------------------|
|  | b.   | Management Agreement: |

The General Partner, on behalf of the Partnership, hasentered into Management Agreements with Winton Capital Management("Winton"), Willowbridge Associates Inc., andAAA Capital Management ("AAA") (collectively,the "Advisors"), each of which are registeredcommodity trading advisors. Beacon Management Corporation wasterminated as an advisor to the Partnership on April 30, 2003 andWinton Capital Management was added on the same date. The Advisors arenot affiliated with one another, are not affiliated with the GeneralPartner or CGM except AAA, and are not responsible for the organizationor operation of the Partnership. Mr. A. Anthony Annunziato is thepresident of AAA. He and the other four trading principals of AAA arealso employees of CGM. The Partnership will pay each Advisor (exceptfor Winton which is paid 1.5% of month-end Net Assets) a monthlymanagement fee equal to  1/6 of 1% (2% ayear) of month-end Net Assets allocated to each Advisor. Month-end NetAssets, for the purpose of calculating management fees are Net Assets,as defined in the Limited Partnership Agreement, prior to the reductionof redemptions and incentive fees.

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

|  |           |                     |
|--|-----------|---------------------|
|  | c.   | Customer Agreement: |

The Partnership has entered into a Customer Agreement whichprovides that the Partnership will pay CGM brokerage commissions at $18per round turn for futures and forwards transactions and $9 per halfturn for options. The brokerage fee is inclusive of applicable floorbrokerage. In addition, the Partnership will pay CGM National FuturesAssociation fees, as well as exchange, 

F-14

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SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

clearing, user and give-up fees. CGM will paya portion of brokerage fees to its financial consultants who have soldRedeemable Units in this Partnership. Substantially all of thePartnership's assets are deposited in the Partnership'saccount at CGM. The Partnership's assets are deposited by CGM insegregated bank accounts to the extent required by Commodity FuturesTrading Commission regulations. At December 31, 2004 and 2003, theamount of cash held for margin requirements was $5,271,154 and$13,779,146, respectively. CGM has agreed to pay the Partnershipinterest on 100% of the average daily equity maintained in cashin its account during each month at a 30-day U.S. Treasury bill ratedetermined weekly by CGM based on the average noncompetitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on whichsuch weekly rate is determined. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

|           |                    |
|-----------|--------------------|
| 4.   | TradingActivities: |

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

All of the commodityinterests owned by the Partnership are held for trading purposes. Theaverage fair value of the commodity interests held by the Partnershipduring the years ended December 31, 2004 and 2003, based on a monthlycalculation, was $4,419,977 and $4,553,850, respectively.

|          |                             |
|----------|-----------------------------|
| 5.  | Investment in Partnerships: |

Effective September 1,2001, the Partnership allocated the portion of the Partnership'scapital that was allocated to AAA for trading to the SB AAA Master FundLLC, a New York Limited Liability Company (the "AAAMaster"). With this cash, the Partnership purchased5,173.4381 Units of the Master at a fair value of $5,173,438. AAAMaster was formed in order to permit accounts managed now or in thefuture by AAA using the Energy with Swaps Program, to invest togetherin one trading vehicle. The General Partner is the managing member ofAAA Master. Individual and pooled accounts currently managed by AAA,including the Partnership (collectively, the "FeederFunds"), are permitted to be non-managing members of AAAMaster. The General Partner and AAA believe that trading through thismaster/feeder structure should promote efficiency and economy in thetrading process. Expense to investors as a result of the investment inAAA Master are approximately the same and redemption rights are notaffected.

On November 1, 2004, the assets allocated to Wintonfor trading were invested in the CMF Winton Master Fund L.P.("Winton Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 35,389.8399 Units of Winton Master with cashequal to $33,594,083 and a contribution of open commodity futures andforward positions with a value of $1,795,757. Winton Master was formedin order to permit accounts managed now or in the future by Wintonusing the Diversified Program, to invest together in one tradingvehicle. The General Partner of the Partnership is the General Partnerof Winton Master. Individual and pooled accounts currently managed byWinton, including the Partnership (collectively, the"Feeder Funds") are permitted to be limitedpartners of Winton Master. The General Partner and Winton believe thattrading through this master/feeder structure should promote efficiencyand economy in the trading process. Expenses to investors as a resultof investment in Winton Master are approximately the same andredemption rights are not affected.

AAA Master's andWinton Master's trading of futures, forwards and optionscontracts, if applicable, on commodities is done primarily on UnitedStates of America commodity exchanges and foreign commodity exchanges.Both engage in such trading through commodity brokerage accountsmaintained with CGM.

F-15

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SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

A non-managing member/limited partner maywithdraw all or part of their capital contribution and undistributedprofits, if any, from AAA Master or Winton Master in multiples of thenet asset value per unit of limited partnership interest as of the lastday of a month after a request for redemption has been made to theManaging Member/General Partner at least 3 days in advance ofmonth-end.

Management and incentive fees are not directlycharged to the investments presented below. These fees are charged atthe Partnership level as discussed in Note 3.

All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by AAA Master and Winton Master. All otherfees including CGM's direct brokerage commission are charged atthe Partnership level.

At December 31, 2004 and 2003, thePartnership owns 13.7% and 13.1%, respectively, of AAAMaster. At December 31, 2004, the Partnership owns 33.4% ofWinton Master. It is AAA's and Winton's intention tocontinue to invest the assets allocated to each by the Partnership inAAA Master and Winton Master, respectively. The performance of thePartnership is directly affected by the performance of AAA Master andWinton Master.

F-16

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

Summarized information reflecting thePartnership's investments in, and the operations of, the AAAMaster and the Winton Master are as shown in the followingtable.

|                                     |  |                           |        |           |  |              |            |          |  |                 |            |                     |  |                      |           |        |  |        |        |        |  |        |            |         |  |                    |  |         |  |  |  |  |  |  |
|-------------------------------------|--|---------------------------|--------|-----------|--|--------------|------------|----------|--|-----------------|------------|---------------------|--|----------------------|-----------|--------|--|--------|--------|--------|--|--------|------------|---------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                          |  | %ofPartnership'sNetAssets |        | FairValue |  | Income(Loss) |            | Expenses |  | NetIncome(Loss) |            | InvestmentObjective |  | RedemptionsPermitted |
| Commissions                         |  | Other                     |        |
| Forthe year ended December 31, 2004 |  |
| SB AAAMasterFundLLC                 |  |                      | 38.91  | %    |  | $            | 46,220,533 |     |  | $               | 19,632,229 |                |  | $                    | 1,431,471 |   |  | $      | 35,065 |   |  | $      | 18,165,693 |    |  | EnergyMarkets      |  | Monthly |
| CMFWinton MasterFundLLC             |  |                      | 32.26  | %    |  |         | 38,322,249 |     |  |            | 2,863,003  |                |  |                 | 59,557    |   |  |   | 4,005  |   |  |   | 2,799,441  |    |  | CommodityPortfolio |  | Monthly |
| Total                               |  |                      |   |      |  | $            | 84,542,782 |     |  | $               | 22,495,232 |                |  | $                    | 1,491,028 |   |  | $      | 39,070 |   |  | $      | 20,965,134 |    |  |
| Forthe year ended December 31, 2003 |  |
| SB AAAMasterFundLLC                 |  |                      | 38.33  | %    |  | $            | 33,531,892 |     |  | $               | (5,598,438 | )              |  | $                    | 1,580,770 |   |  | $      | 44,072 |   |  | $      | (7,223,280 | )  |  | EnergyMarkets      |  | Monthly |
|                                     |

|          |                                |
|----------|--------------------------------|
| 6.  | Distributions and Redemptions: |

Distributions ofprofits, if any, will be made at the sole discretion of the GeneralPartner and at such times as the General Partner may decide. Beginningwith the first full month ending at least three months after thecommencement of trading, a limited partner may require the Partnershipto redeem their Units at their redemption value per Redeemable Unit asof the last day of a month on 10 days notice to the General Partner.For the purpose of a redemption, any accrued liability forreimbursement of offering and organization expenses for the initialoffering period will not reduce redemption value per Redeemable Unit.There is no fee charged to limited partners in connection withredemptions.

The Partnership is permitted to withdraw all or aportion of its interest in the Master as of each month-end in order tomeet its obligations with respect to the redemption rights of limitedpartners.

|           |                           |
|-----------|---------------------------|
| 7.   | Net Asset Value Per Unit: |

Changesin the Net Asset Value per Redeemable Unit of Partnership interest forthe years ended December  31, 2004, 2003 and 2002 were asfollows:

|                                                |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                           |  | 2004   |          | 2003    |  | 2002   |
| Netrealized and unrealized gains(losses)*      |  | $      | 332.84   |    |  | $      | (27.22   | )  |  | $      | 283.72   |    |
| Interestincome                                 |  |   | 7.93     |    |  |   | 11.42    |    |  |   | 16.93    |    |
| Expenses**                                     |  |   | (72.63   | )  |  |   | (44.83   | )  |  |   | (92.06   | )  |
| Increase(decrease) foryear                     |  |   | 268.14   |    |  |   | (60.63   | )  |  |   | 208.59   |    |
| Netasset value per Unit, beginning ofyear      |  |   | 1,100.19 |    |  |   | 1,160.82 |    |  |   | 952.23   |    |
| Netasset value per Redeemable Unit, end ofyear |  | $      | 1,368.33 |    |  | $      | 1,100.19 |    |  | $      | 1,160.82 |    |
|                                                |

|  |
|--|
|  |  |
|  |

|   |                                                                                           |
|---|-------------------------------------------------------------------------------------------|
| * | IncludesPartnership brokerage commissions and brokerage commissions allocatedfrom Master. |

|    |                                                                                           |
|----|-------------------------------------------------------------------------------------------|
| ** | ExcludesPartnership brokerage commissions and brokerage commissions allocatedfrom Master. |

F-17

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SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|                                            |  |        |      |          |  |        |      |          |  |        |      |          |  |  |
|--------------------------------------------|--|--------|------|----------|--|--------|------|----------|--|--------|------|----------|--|--|
|                                       |  | 2004   |      | 2003     |  | 2002   |
| Ratiosto average net assets:               |  |
| Netinvestment loss before incentivefees*** |  |   | (4.1 | )%  |  |   | (4.6 | )%  |  |   | (4.9 | )%  |
| Operatingexpenses                          |  |   | 4.8  | %   |  |   | 5.2  | %   |  |   | 6.0  | %   |
| Incentivefees                              |  |   | 3.4  | %   |  |   | 1.1  | %   |  |   | 6.0  | %   |
| Totalexpenses                              |  |   | 8.2  | %   |  |   | 6.3  | %   |  |   | 12.0 | %   |
| Totalreturn:                               |  |
| Total return before incentivefees          |  |   | 28.1 | %   |  |   | (4.3 | )%  |  |   | 26.7 | %   |
| Incentivefees                              |  |   | (3.7 | )%  |  |   | (0.9 | )%  |  |   | (4.8 | )%  |
| Totalreturn after incentivefees            |  |   | 24.4 | %   |  |   | (5.2 | )%  |  |   | 21.9 | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                   |
|-----|-------------------------------------------------------------------|
| *** | Interestincome less total expenses (exclusive of incentive fees). |

The above ratios may vary for individual investors based on thetiming of capital transactions during the year. Additionally, theseratios are calculated for the limited partner class using the limitedpartners' share of income, expenses and average net assets.

8.    Financial Instrument Risks:

In the normal course ofbusiness, the Partnership is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures, options and swaps, whose values are basedupon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards, swaps and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized in the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. ThePartnership has credit risk and concentration risk because asignificant counterparty or broker with respect to thePartnership's assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk 

F-18

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions.

The majority of these instruments mature within oneyear of December 31, 2004. However, due to the nature of thePartnership's business, these instruments may not be held tomaturity.

F-19

----

Selectedunaudited quarterly financial data for the years ended December 31,2004 and December 31, 2003 is summarized below:

|                                                                                                                           |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |        |            |         |  |        |            |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                      |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees includinginterest income |  |                                                   | 13,941,288 |                                                  |  |                                              | 10,629,017 |                                                 |  |   | (8,408,857 | )  |  |   | 13,946,802 |   |
|                                                                                                                      |  |                                                   |       |                                                  |  |                                              |       |                                                 |  |   |       |    |  |   |       |   |
| NetIncome (loss)                                                                                                          |  |                                                   | 12,238,511 |                                                  |  |                                              | 8,816,656  |                                                 |  |   | (9,030,686 | )  |  |   | 11,751,199 |   |
|                                                                                                                      |  |                                                   |       |                                                  |  |                                              |       |                                                 |  |   |       |    |  |   |       |   |
| Increase(decrease) in Net Asset Value per Unit                                                                            |  | $                                                      | 134.55     |                                                  |  | $                                                 | 99.58      |                                                 |  | $      | (106.08    | )  |  | $      | 140.09     |   |
|                                                                                                                           |

|                                                                                                                           |  |                                                        |          |                                                       |  |                                                   |          |                                                      |  |        |           |        |  |        |            |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|----------|-------------------------------------------------------|--|---------------------------------------------------|----------|------------------------------------------------------|--|--------|-----------|--------|--|--------|------------|---------|--|--|
|                                                                                                                      |  | Forthe period from October 1, 2003 to December 31,2003 |          | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |          | For the period from January 1, 2003 to March31, 2003 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees includinginterest income |  | $                                                      | 531,678  |                                                  |  | $                                                 | (209,295 | )                                               |  | $      | 3,496,086 |   |  | $      | (6,369,075 | )  |
|                                                                                                                      |  |                                                   |     |                                                  |  |                                              |     |                                                 |  |   |      |   |  |   |       |    |
| NetIncome (loss)                                                                                                          |  | $                                                      | (620,450 | )                                                |  | $                                                 | (727,910 | )                                               |  | $      | 2,992,395 |   |  | $      | (7,157,014 | )  |
|                                                                                                                      |  |                                                   |     |                                                  |  |                                              |     |                                                 |  |   |      |   |  |   |       |    |
| Increase(decrease) in Net Asset Value perUnit                                                                             |  | $                                                      | (7.00    | )                                                |  | $                                                 | (5.93    | )                                               |  | $      | 42.77     |   |  | $      | (90.47     | )  |
|                                                                                                                           |

F-20

----

Item 9.    Changesin and Disagreements with Accountants on Accounting and FinancialDisclosure.

None

Item 9A.    Controls andProcedures.

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

There were nosignificant changes in the Partnership's internal controls or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

Management's report on internal control over financialreporting and KPMG LLP's related opinion are included in thePartnership's annual financial statements under"Item 8. Financial Statements and SupplementaryData."

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by the Advisors, AAA CapitalManagement, Inc. Willowbridge Associates Inc. and Winton CapitalManagement.

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

Item11.    Executive Compensation.

The Partnership hasno directors or officers. Its affairs are managed by Citigroup ManagedFutures Management LLC, its General Partner, which receivescompensation for its services, as set forth under "Item 1.Business." CGM, an affiliate of the GeneralPartner, is the commodity broker for the Partnership and receivesbrokerage commissions for such services, as described under"Item 1. Business." During the yearended December 31, 2004, CGM earned $2,178,028 in brokerage commissionsand clearing fees from the Partnership. The Advisors earned $1,992,944in management fees during 2004.

Item 12.    SecurityOwnership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.As of March 1, 2005, one beneficial owner who is neither a director norexecutive officer owns more than five percent (5%) of theoutstanding Redeemable Units issued by the Registrant asfollows:

|                                                 |  |                                                                                                                                     |  |                                          |  |                 |  |  |  |  |  |  |  |  |
|-------------------------------------------------|--|-------------------------------------------------------------------------------------------------------------------------------------|--|------------------------------------------|--|-----------------|--|--|--|--|--|--|--|--|
| Titleof Class                                   |  | Name and Addressof BeneficialOwner                                                                                                  |  | Amount and Nature of BeneficialOwnership |  | Percent ofClass |
| Redeemable Unitsof Limited Partnership Interest |  | Arthur S.Demoss Foundation Fixed Income – PrivateMr. Larry R.Nelson777 South Flager Drive West Tower West Palm Beach, FL33401 |  | 4,582.7770 RedeemableUnits               |  | 5.1%            |
|                                                 |

23

----

(b)    Security ownership ofmanagement. Under the terms of the Limited Partnership Agreement,the Partnerships affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 865.3542 Units of Limited Partnership Interest (0.6%) as ofDecember 31, 2004.

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

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLCwould be considered promoters for purposes of item 404(d) of RegulationS-K. The nature and the amounts of compensation each promoter willreceive from the Partnership are set forth under "Item 1.Business.", "Item 8. FinancialStatements and Supplementary Data." and"Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

(1)    Audit Fees.The aggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of financialstatements included in the Partnership's Forms 10-Q and 10-K andother services normally provided in connection with regulatory filingsor engagements are as follows:

2004            $44,560

2003            $16,571

(2)    Audit-RelatedFees. None

(3)    Tax Fees. The aggregate feesbilled for each of the last two fiscal years for professional servicesrendered by KPMG LLP for tax compliance and tax advice given in thepreparation of the Partnership's Schedule K1s, the preparation ofthe Partnership's Form 1065 and preparation of all State TaxReturns are as follows:

2004            $5,136

2003            $4,809

(4)    All OtherFees. None.

(5)    Not Applicable.

(6)    NotApplicable.

24

----

PART IV

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

|               |                                                                                       |
|---------------|---------------------------------------------------------------------------------------|
| (a) (1)  | Financial Statements: Statementsof Financial Condition at December 31, 2004 and 2003. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses for theyears ended December 31, 2004, 2003 and 2002. |

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners'Capital for the years ended December 31, 2004, 2003 and2002. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for theyears ended December 31, 2004, 2003 and 2002. |

|        |                               |
|--------|-------------------------------|
|   | Notes to Financial Statements |

|                       |           |
|-----------------------|-----------|
|   (2)  | Exhibits: |

|        |                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------|
|   | 3.1 – Certificate of Limited Partnership(filed as Exhibit 3.1 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                   |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.2 – Certificate of Amendmentto the Certificate of Limited Partnership (filed as Exhibit 3.2 to thePartnership Form10) (previously filed). |

|        |                                                                                                                                    |
|--------|------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.3– Amended and Restated Limited Partnership Agreement (filed asExhibit 3.3 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.1 – Management Agreement among thePartnership, the General Partner, SFG Global Investments, Inc. and AAACapital Management, Inc. (filed as Exhibit 10.1 to the Partnership Form10) (previously filed). |

|        |                                                                                                                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.2 –Management Agreement among the Partnership, the General Partner, SFGGlobal Investments, Inc. and Beacon Management Corporation (filed asExhibit 10.2 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.3 – Management Agreement among thePartnership, the General Partner, SFG Global Investments, Inc. andWillowbridge Associates Inc. (filed as Exhibit 10.3 to the PartnershipForm 10) (previously filed). |

|        |                                                                                                                                                                                                         |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4 –Amended and Restated Customer Agreement between the Partnership andSalomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit10.4 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.5 – Amended and Restated AgencyAgreement between the Partnership and Salomon Smith Barney Inc. (thepredecessor to CGM) (filed as Exhibit 10.5 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------|
|   | 10.6 – Form ofSubscription Agreement (filed as Exhibit 10.6 to the Partnership Form10) (previously filed). |

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

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

|        |                                                                                                                                                                                                                                  |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.9 – Amendment to the ManagementAgreement among the Partnership, the General Partner, SFG GlobalInvestments, Inc. and Willowbridge Associates Inc. (filed as Exhibit10.9 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.10 – Letter from General Partner to AAACapital Management, Inc. extending Management Agreement for 2000 (filedas Exhibit 10.10 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.11 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2000(filed as Exhibit 10.11 to the Partnership Form 10) (previouslyfiled). |

25

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|        |                                                                                                                                                                                        |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.12 – Letterfrom General Partner to AAA Capital Management, Inc. extendingManagement Agreement for 2001 (filed as Exhibit 10.12 to thePartnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.13 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2001(filed as Exhibit 10.13 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.14 – Letter from GeneralPartner to Willowbridge Associates, Inc. extending Management Agreementfor 2001 (filed as Exhibit 10.14 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                                                                                        |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.15 – Letterfrom General Partner to AAA Capital Management, Inc. extendingManagement Agreement for 2002 (filed as Exhibit 10.15 to thePartnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.16 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2002(filed as Exhibit 10.16 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.17 – Letter from GeneralPartner to Willowbridge Associates, Inc. extending Management Agreementfor 2002 (filed as Exhibit 10.17 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                                                                                |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.18 – Lettersfrom the General Partner to Willowbridge Associates, Inc., and AAACapital Management, Inc. extending the Management Agreement for 2003(previously filed). |

|        |                                                                                                                                       |
|--------|---------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.19 – ManagementAgreement among the Partnership, the General Partner and Winton CapitalManagement Limited (previously filed). |

|        |                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.20– Letter from the General Partner to Beacon ManagementCorporation terminating the Management Agreement (previouslyfiled). |

|        |                                                                                                                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.21 – Letters from theGeneral Partner to Willowbridge Associates, Inc., AAA CapitalManagement Inc. and Winton Capital Management Limited extending theManagement Agreement for 2004 (filedherein). |

|        |                                                                        |
|--------|------------------------------------------------------------------------|
|   | 16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed). |

Theexhibits required to be filed by Item 601 of Regulations S-K areincorporated herein by reference.

|        |                                                                                              |
|--------|----------------------------------------------------------------------------------------------|
|   | 31.1– Rule 13a-14(a)/15d-14(a) Certification (Certification ofPresident and Director). |

|        |                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------|
|   | 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director). |

|        |                                                                                   |
|--------|-----------------------------------------------------------------------------------|
|   | 32.1 – Section1350 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.

26

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Supplemental Information To Be FurnishedWith Reports Filed Pursuant To Section 15(d) Of The Act by RegistrantsWhich Have Not Registered Securities Pursuant To Section 12 Of theAct.

Annual Report to Limited Partners

No proxy material has been sent to LimitedPartners.

27

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized on the 14th day of March2005.

Salomon Smith Barney Orion Futures FundL.P.

By:    /s/ Citigroup Managed Futures LLC           (General Partner)

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

Pursuant to the requirements of the SecuritiesExchange Act of 1934, this annual report on Form 10-K has been signedbelow by the following persons on behalf of the Registrant in thecapacities and on the dateindicated.

|                              |  |                       |  |  |  |  |
|------------------------------|--|-----------------------|--|--|--|--|
| /s/ David J. Vogel           |  | /s/ ShelleyUllman     |
| David J. Vogel               |  | ShelleyUllman         |
| Director, PrincipalExecutive |  | Director              |
| Officer andPresident         |  |                  |
| /s/Maureen O'Toole           |  | /s/ Steve J.Keltz     |
| Maureen O'Toole              |  | Steve J.Keltz         |
| Director                     |  | Secretary andDirector |
| /s/ Daniel R.McAuliffe, Jr.  |  |                  |
| Daniel R. McAuliffe,Jr.      |  |                  |
| Chief Financial Officerand   |  |                  |
| Director                     |  |                  |
|                              |

28

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