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

FORM 10-K

Annual ReportPursuant to Section 13 or 15(d) of the Securities Exchange Act of1934

For the Year Ended December 31, 2005

Commission File Number 0-16526

HUTTONINVESTORS FUTURES FUND L.P.II

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(Exactname of registrant as specified in its charter)

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| Delaware                                                      |  | 13-3406160                          |
| (Stateor other jurisdiction of incorporation or organization) |  | (I.R.S. Employer IdentificationNo.) |
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c/o Citigroup Managed FuturesLLC731 Lexington Ave – 25th Fl.New York, New York10022

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(Address andZip 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 Section12(g) of the Act: Redeemable Units of Limited PartnershipInterest

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Indicate by check mark if the registrantis a well-known seasoned issuer, as defined in Rule 405 of theSecurities Act.

Yes             NoX

Indicated by check mark if the registrant isnot required to file reports pursuant to Section 13 or Section 15(d) ofthe Act.

Yes              NoX

Indicate by check mark whether the registrant(1) has filed all reports required to be filed by Section 13 or 15(d)of the Securities Exchange Act of 1934 during the preceding 12 months(or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe 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 theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of theAct).

Large accelerated filer             Acceleratedfiler             Non-accelerated filerX

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

Yes              NoX

Limited Partnership Redeemable Units with anaggregate value of $17,490,594 were outstanding and held bynon-affiliates as of the last business day of the registrants mostrecently completed second fiscal quarter.

As of February28, 2006, 1,972.0950 Limited Partnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BY REFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Hutton Investors Futures Fund L.P. II (the"Partnership") is a limited partnershiporganized on March 31, 1987, under the Delaware Revised Uniform LimitedPartnership Act and commenced trading on July 24, 1987. The Partnershipengages in speculative trading of commodity futures contracts and othercommodity interests, including futures contracts on United StatesTreasury bills and other financial instruments, foreign currencies andstock indices. Redemptions of redeemable units of Limited PartnershipInterest in the Partnership ("RedeemableUnits") for the years ended December 31, 2005, 2004 and2003 are reported in the Statements of Changes in Partners'Capital on page F-8 under "Item 8. FinancialStatements and Supplementary Data."

Thegeneral partner has agreed to make capital contributions, if necessary,so that its general partnership interest will be equal to the greaterof (i) an amount to entitle it to 1% of each material item ofPartnership income, loss, deduction or credit and (ii) the greater of(a) 1% of the partners' contributions to the Partnershipor (b) $25,000. The Partnership will be liquidated upon the first ofthe following to occur: December 31, 2007; the net asset value perRedeemable Unit falls below $500 as of the close of any business day;or under certain circumstances as defined in the limited partnershipagreement of the Partnership (the "Limited PartnershipAgreement").

Citigroup Managed Futures LLC acts asthe general partner (the "General Partner")of the Partnership. The Partnership's commodity broker isCitigroup Global Markets Inc. ("CGM"). CGM isan affiliate of the General Partner. The General Partner is whollyowned by Citigroup Global Markets Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

The Partnership tradesfutures, forwards and options contracts, if applicable, on UnitedStates and foreign commodity exchanges through a commodity brokerageaccount maintained with CGM.

Under the Limited PartnershipAgreement, the General Partner has sole responsibility for themanagement of the business and affairs of the Partnership, but maydelegate trading discretion to one or more trading advisors.

TheGeneral Partner has entered into a management agreement (the"Management Agreement") with John W. Henry& Company, Inc. ("JWH") (collectively,the "Advisor"). The Management Agreementprovides that the Advisor will have sole discretion in determining theinvestment of the assets of the Partnership but that the Advisor willhave no authority to select the commodity broker through whomtransactions will be executed.

The Management Agreement can beterminated by the General Partner at any time for any reasonwhatsoever. The Advisor may terminate the Management Agreement for anyreason upon 30 days' notice to the General Partner. The Advisormay also terminate the Management Agreement if the trading policies ofthe Partnership are changed in a manner that the Advisor reasonablybelieves will adversely affect the performance of its tradingstrategies.

Pursuant to the terms of the Management Agreement,the Partnership will pay the Advisor an incentive fee, payablequarterly, equal to 20% of each Advisor New Trading Profits (asdefined in the Management Agreement).

Under the terms of acustomer agreement between the Partnership and CGM, (the"Customer Agreement") the Partnership isobligated to pay commodity brokerage commissions at $50 per round-turnfutures transaction and $25 per option transaction (inclusive ofNational Futures Association ("NFA"), floorbrokerage, exchange and clearing fees). The Customer Agreement betweenthe Partnership and CGM gives the Partnership the legal right to netunrealized gains and losses. CGM has agreed to pay the Partnershipinterest on 80% of the average daily equity maintained in cashin its account during each month at the rate of the averagenon-competitive yield of 13-week U.S. Treasury bills as determined atthe weekly auctions thereof during the month.

(b)    Financial information about industry segments. ThePartnership's business consists of only one segment, speculativetrading of commodity interests. The Partnership does not engage insales of goods 

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or services. The Partnership's netincome (loss) from operations for the years ended December 31, 2005,2004, 2003, 2002 and 2001 are set forth under "Item 6.Selected Financial Data." The Partnership'scapital at December 31, 2005, was $16,488,038.

(c)    Narrative description of business.

         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 1A.    Risk Factors.

The trading ofcommodity interests is speculative, volatile and involves a high degreeof leverage. A small change in the market price of a commodity interestcontract can produce major losses for the Partnership.

Due tothe speculative nature of trading commodity interests, an investorcould lose all of its investment in the Partnership.

Regardlessof its trading performance, the Partnership will incur fees andexpenses, including brokerage and management fees. Fees will be paid tothe trading advisor even if the Partnership experiences a net loss forthe full year.

An investor's ability to redeem units islimited and no market exists for the units.

The Partnership issubject to numerous conflicts of interest including those that arisefrom the facts that:

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| 1.  | The General Partner andcommodity broker are affiliates; |

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| 2.  | The tradingadvisor, the commodity broker and their principals and affiliates maytrade in commodity interests for their own accounts;and |

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| 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisor's tradingstrategies may not perform as they have performed in the past. Theadvisor has from time to time incurred substantial losses in trading onbehalf of clients.

Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which CGMHI or its subsidiaries is a party or to whichany of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

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CGM is a New York corporation with itsprincipal place of business at 388 Greenwich St., New York, New York10013. CGM is registered as a broker-dealer and futures commissionmerchant ("FCM"), and provides futuresbrokerage 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 administrative, civil or criminalactions pending, on appeal or concluded against CGM or any of itsindividual principals within the past five years that managementbelieves may have a material impact on CGM's ability to act as anFCM.

Regulatory Matters

Both the Department of Laborand the Internal Revenue Service ("IRS") haveadvised Citigroup Global Markets that they were or are reviewingtransactions in which Ameritech Pension Trust purchased from CitigroupGlobal Markets 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, CitigroupGlobal Markets and certain affiliated entities have consented toextensions of time for the assessment of excise taxes that may beclaimed to be due with respect to the transactions for the years 1987,1988 and 1989.

IPO Regulatory Inquiries

Since April2002, Citigroup Global Markets and several other broker dealers havereceived subpoenas and/or requests for information from variousgovernmental and self-regulatory agencies and Congressional committeesas part of their research on IPO allocation inquiries. With respect toissues raised by the NASD, the NYSE and the SEC about Citigroup GlobalMarkets' and other firms' e-mail retention practices,Citigroup Global Markets and several other broker/dealers and the NASD,the NYSE and the SEC entered into a settlement agreement in December2002. Citigroup Global Markets agreed to pay a penalty in the amount of$1.65 million and did not admit any wrongdoing. No individuals fromCitigroup Global Markets have been charged in the IPO allocationproceedings.

IPO Civil Litigation

In April 2002,consolidated amended complaints were filed against Citigroup GlobalMarkets and other investment banks named in numerous alleged classactions filed in the United States District Court for the SouthernDistrict of New York, alleging violations of certain federal securitieslaws (including Section 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 the allocation of shares for certain initial publicofferings and related aftermarket transactions and damage to investorscaused by allegedly biased research analyst reports. On February 19,2003, the Court issued an opinion denying defendants' motion todismiss.

On October 13, 2004, the court granted in part themotion to certify class actions for six focus cases in the securitieslitigation. Citigroup Global Markets is not a defendant in any of thesix focus cases. The underwriter defendants in the focus cases havefiled a petition to the United States Court of Appeals for the SecondCircuit seeking review of this decision.

On June 30, 2005, theUnited States Court of Appeals for the Second Circuit entered an orderin In Re: Initial Public Offering Securities Litigation agreeingto review the district court's order granting plaintiffs'motion for class certification.

Also filed in the SouthernDistrict of New York against Citigroup Global Markets and otherinvestment 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 Citigroup Global Markets'motion to dismiss the consolidated amended complaint in the antitrustcase. On September 28, 2005, the United States Court of Appeals for theSecond Circuit in In Re: Initial Public Offering AntitrustLitigation vacated the district court's order dismissingthese actions and remanded for further proceedings.

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Research Settlement

On April 28,2003, Citigroup Global Markets announced final agreements with the SEC,the NASD, the NYSE and the New York Attorney General (as lead stateamong the 50 states, the District of Columbia and Puerto Rico) toresolve on a civil basis all of their outstanding investigations intoits research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and related NASD and NYSE rules relatingto research, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing Panel's Decision, inwhich it accepted the Research Settlement, had become final. Asrequired by the Research Settlement, Citigroup Global Markets also hasentered into separate settlement agreements with numerous states andcertain U.S. territories.

Several individual actions have beenfiled against Citigroup and Citigroup Global Markets relating to, amongother things, research on Qwest Communications International, Inc.alleging violations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith 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.

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Enron-Related Civil Actions

Citigroup Global Markets, Citigroup and various otherCitigroup-related entities have been named as defendants in over 20civil lawsuits pending in state and federal courts throughout theUnited States, alleging claims against Citigroup and Citigroup GlobalMarkets 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.

On June 13, 2005, Citigroup announced a settlement of the Enronclass action litigation (Newby, et al v. Enron Corp., et al.)currently pending in the United States District Court for the SouthernDistrict of Texas, Houston Division. This settlement resolves allclaims against Citigroup brought on behalf of the class of purchasersof publicly traded equity and debt securities issued by Enron andEnron-related entities between September 9, 1997 and December 2, 2001.The settlement, which involves a pre-tax payment of $2.0 billion to thesettlement class, is fully covered by Citigroup's existinglitigation reserves. It is subject to approval by the Board of Regentsof the University of California (the lead plaintiff), the CitigroupBoard and the District Court in Texas.

A Citigroup affiliate,along with other defendants, settled all claims against it in In Re:Newpower Holdings Securities Litigation, a class action brought onbehalf of certain investors in NewPower securities. Citigroup reachedthis settlement agreement without admitting any wrongdoing. OnSeptember 13, 2004, the United States District Court for the SouthernDistrict of New York preliminarily approved the settlement.

InApril 2005, Citigroup, along with other financial institutiondefendants, reached an agreement-in-principle to settle fourstate-court actions brought by various investment funds, which were notpreviously consolidated or coordinated with other actions. The fourcases are OCM Opportunities Fund III, L.P., et al. v. CitigroupInc., et al.; Pacific Investment Management Co. LLC, et al. v.Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al.and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas (Avenue Capital Management II, L.P., etal. v. J.P. Morgan-Chase & Co., et al.). The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets,and several J.P. Morgan entities and alleges fraud, breach of fiduciaryduty and breach of contract arising out of Enron bank debt incurredunder two syndicated revolving credit facilities and a syndicatedletter of credit facility.

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

The courthad also previously denied lead plaintiff's motion for leave toamend. No appeal was yet timely while the remainder of the caseremained pending. On April 15, 2005, as part of a global settlement

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involving all defendants, Citigroup enteredinto a memorandum of understanding to settle this case. The amount tobe paid in settlement is covered by existing litigation reserves.

WorldCom-Related Litigation

Citigroup, Citigroup GlobalMarkets and certain executive officers and current and former employeeshave been named as defendants — along with twenty-two otherinvestment banks, certain current and former WorldCom officers anddirectors, 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 In Re: Worldcom, Inc.Securities Litigation. The class action complaint asserts claimsagainst Citigroup Global Markets under (i) Sections 11 and 12(a)(2) ofthe Securities Act of 1933, as amended, in connection with certain bondofferings in which it served as underwriter, and (ii) Sections 10(b)and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule10b-5 promulgated under Section 10(b), alleging that it participated inthe preparation and/or issuance of misleading WorldCom registrationstatements and disseminated misleading research reports concerningWorldCom stock. In 2003, the district court denied Citigroup GlobalMarkets' motion to dismiss the consolidated class actioncomplaint and granted the plaintiffs' motion for classcertification.

Pursuant to an order entered May 28, 2003, theDistrict Court consolidated approximately seventy-eight individualactions with the class action for pretrial proceedings. The claimsasserted in these individual actions are substantially similar to theclaims alleged in the class action and assert state and federalsecurities law claims based on Citigroup Global Markets' researchreports concerning WorldCom and/or Citigroup Global Markets' roleas an underwriter in WorldCom offerings. Plaintiffs in certain of theseactions filed motions to remove their cases to state court. TheDistrict Court denied these motions and its rulings were upheld onappeal.

Numerous other actions asserting claims againstCitigroup Global Markets in connection with its research reports aboutWorldCom and/or its role as an investment banker for WorldCom arepending in other federal and state courts around the country. Theseactions have been remanded to various state courts, are pending inother federal courts, or have been conditionally transferred to theUnited States District Court for the Southern District of New York tobe consolidated with the class action. In addition to the court suits,actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

On May 10, 2004, Citigroup announced that it had agreedto pay $2.58 billion to settle the WorldCom class action suits. TheUnited States District Court for the Southern District of New Yorkgranted approval of the proposed settlement on November 10, 2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, et al.,an alleged class action against Citigroup Global Markets and othersbrought on behalf of holders of WorldCom securities asserting claimsbased on, among other things, Citigroup Global Markets' researchreports concerning WorldCom, was dismissed with prejudice in itsentirety by the United States District Court for the Southern Districtof New York. The plaintiffs noticed an appeal of the dismissal to theUnited States Court of Appeals for the Second Circuit on October 15,2004. The parties have reached an agreement in principle on the termsof a settlement of this action.

Citigroup and Citigroup GlobalMarkets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom,

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Inc. ("TARGETS")after July 30, 1999. On October 20, 2004, the parties signed aMemorandum of Understanding setting forth the terms of a settlement ofall remaining claims in this action. The settlement was preliminarilyapproved by the Court on January 11, 2005.

A fairness hearingwas held on November 5, 2004 in connection with the proposed classsettlement between plaintiffs and the Citigroup-related defendants inIn Re: Worldcom, Inc. Securities Litigation.

Citigroup,along with other financial institutions and other defendants, enteredinto settlements resolving certain claims against Citigroup-relateddefendants in a number of WorldCom-related actions. The settlementamounts are covered by existing litigation reserves.

GlobalCrossing

On or about January 28, 2003, the lead plaintiff in aconsolidated alleged class action in the United States District Courtfor the Southern District of New York (In Re: Global Crossing, Ltd.Securities Litigation) filed a consolidated complaint on behalf ofpurchasers of the securities of Global Crossing and Asia GlobalCrossing, which names as defendants, among others, Citigroup, CitigroupGlobal Markets, Citigroup Global Markets Holdings Inc. and certainexecutive officers and current and former employees. The alleged classaction complaint asserts claims under the federal securities lawsalleging that the defendants issued research reports without areasonable basis in fact and failed to disclose conflicts of interestwith Global Crossing in connection with published investment research.On March 22, 2004, the lead plaintiff amended its consolidatedcomplaint to add claims on behalf of purchasers of the securities ofAsia Global Crossing. The added claims assert causes of action underthe federal securities laws and common law in connection with CitigroupGlobal Markets' research reports about Global Crossing and AsiaGlobal Crossing and for Citigroup Global Markets' roles as aninvestment banker for Global Crossing and as an underwriter in theGlobal Crossing and Asia Global Crossing offerings. TheCitigroup-related defendants moved to dismiss all of the claims againstthem on July 2, 2004. In March 2005, the plaintiffs and theCitigroup-related defendants reached a settlement of all claims againstthe Citigroup-related defendants, including both research andunderwriting claims and claims concerning losses in both GlobalCrossing and Asia Global Crossing, for a total of $75 million. TheCourt granted preliminary approval of the settlement on March 8,2005.

In addition, on or about January 27, 2004, the GlobalCrossing Estate Representative filed in the United States BankruptcyCourt for the Southern District of New York (i) an adversary proceedingasserting claims against, among others, Citigroup, Citigroup GlobalMarkets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith Citigroup Global Markets' 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. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, including CitigroupGlobal Markets, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the "CitigroupParties"). The complaint alleges that the CitigroupParties and numerous other defendants committed acts in violation ofthe Bank Holding Company Act and the common law. The complaint seeksequitable relief and an unspecified amount of compensatory and

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punitive damages. In November 2003, a similaradversary proceeding was filed by the Equity Holders Committee ofAdelphia. In June 2004, motions to dismiss were filed with respect tothe complaints of the Official Committee of Unsecured Creditors and theEquity Holders Committee. The motions are currently pending.

Inaddition, Citigroup Global Markets 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 assertedclaims against Citigroup and Citibank, N.A. All of the complaintsalleged violations of federal securities laws, and certain of thecomplaints also alleged violations of state securities laws and thecommon law. The complaints sought unspecified damages. In December2003, a second amended complaint was filed and consolidated before thesame judge of the United States District Court for the SouthernDistrict of New York.

In May and July of 2005, the United StatesDistrict Court for the Southern District of New York dismissed severalclaims on statute of limitations grounds in the class and individualactions being coordinated under In Re: Adelphia CommunicationsCorporation Securities and Derivatives Litigation. With theexception of one individual action that was dismissed with prejudice,the court granted the class and individual plaintiffs leave to re-pleadcertain of those claims the court found to be time-barred. Additionalmotions to dismiss the class complaint and the remaining individualcomplaints on other grounds remain pending.

Mutual Funds

Citigroup and certain of its affiliates have been named in severalclass action litigations pending in various federal district courtsarising out of alleged violations of the federal securities laws, theInvestment Company Act and the 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 an amended complaint. In the casesconcerning revenue sharing, incentive payment and other issues, thelead plaintiff filed a consolidated and amended complaint on December15, 2004.

Several issues in the mutual fund industry have comeunder the scrutiny of federal and state regulators. Citigroup hasreceived subpoenas and other requests for information from variousgovernment regulators regarding market timing, financing, fees, salespractices and other mutual fund issues in connection with variousinvestigations. Citigroup is cooperating with all such reviews.Additionally, Citigroup Global Markets has entered into a settlementagreement with the SEC with respect to revenue sharing and sales ofclasses of funds.

On May 31, 2005, Citigroup announced thatSmith Barney Fund Management LLC and Citigroup Global Markets completeda settlement with the SEC resolving an investigation by the SEC intomatters relating to arrangements between certain Smith Barney mutualfunds, an affiliated transfer agent and an unaffiliated sub-transferagent. Under the terms of the settlement, Citigroup agreed to pay finestotaling $208.1 million. The settlement, in which Citigroup neitheradmitted nor denied any wrongdoing or liability, includes allegationsof willful misconduct by Smith Barney Fund Management LLC and CitigroupGlobal Markets in failing to disclose aspects of the transfer agentarrangements to certain mutual fund investors.

Research AnalystLitigation

Since May 2002, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants in numerous alleged class action complaints, individual

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actions, and arbitration demands by purchasersof various securities alleging that they violated federal securitieslaw, including Sections 10 and 20 of the Securities Exchange Act of1934, as amended, and certain state laws for allegedly issuing researchreports without a reasonable basis in fact and for allegedly failing todisclose conflicts of interest with companies in connection withpublished investment research, including Global Crossing, Ltd.,AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network,Inc., XO Communications, Inc., Williams Communications Group Inc., andFocal Communications, Inc. The alleged class actions relating toresearch of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

On September 27, 2005, Citigroup entered intoa memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations of theInvestment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney. The settlement amount is coveredby existing litigation reserves. The settlement is subject to judicialapproval.

On August 17, 2005, in Disher v. Citigroup GlobalMarkets Inc., the United States Court of Appeals for the SeventhCircuit reversed the district court's grant of plaintiffs'motion to remand the case to state court, and directed the districtcourt to dismiss the case as preempted under the Securities LitigationUniform Standards Act ("SLUSA"). The UnitedStates Supreme Court has granted review in another case involving SLUSAthat may affect the Seventh Circuit's dismissal of the Dishermatter.

In Sturm, et al. v. Citigroup, et al., an NASDarbitration seeking significant compensatory and punitive damages,claimants' asserted common law claims, including fraud, arisingout of alleged research analyst conflicts of interest related toCitigroup Global Markets research coverage of WorldCom.

Supervisory Investigation

In May 2003, the SEC, NYSE andNASD issued a subpoena and letters to Citigroup Global Marketsrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. 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 Citigroup Global Markets and nine other firms that were partiesto the Research Settlement. The West Virginia Attorney 

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General alleges that the firms violated theWest Virginia Consumer Credit and Protection Act in connection withtheir research activities and seeks monetary penalties.

Citigroup Shareholder Litigation

In July 2002, Citigroup,Citigroup Global Markets and certain officers were named as defendantsin an alleged class action filed in the United States District Courtfor the Southern District of New York, brought on behalf of purchasersof Citigroup common stock between July 24, 1999 and July 23, 2002. Thecomplaint seeks unspecified compensatory and punitive damages foralleged violations of Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, and for common law fraud. Fourteen virtuallyidentical complaints have been filed and consolidated. The complaintsallege that Citigroup misstated the extent of its Enron-relatedexposure, and that Citigroup's stock price fell once the trueextent of Citigroup's Enron involvements became known. Plaintiffsfiled an amended complaint on March 10, 2003, which incorporated theallegations in the 15 separate actions and added new material as well.The amended complaint focuses on certain transactions between Citigroupand Enron and alleged analyst conflicts of interest. The class periodfor the consolidated amended complaint is July 24, 1999 to December 11,2002. On June 2, 2003, Citigroup filed a motion to dismiss theconsolidated amended complaint. Plaintiffs' response was filed onJuly 30, and Citigroup's reply was filed on October 3, 2003. OnAugust 10, 2004, Judge Swain granted Citigroup's motion todismiss the consolidated amended complaint. The plaintiffs filed anotice of appeal in October 2004.

NASD Settlement

InNovember 2004, Citigroup Global Markets 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, Citigroup Global Markets accepted certain factual findings bythe NASD that it (i) sold units in two managed futures funds to 45customers for whom the investment was not suitable, (ii) failed tomaintain records disclosing the basis upon which its investorsuitability determinations were made and (iii) failed to adequatelydisclose the risks of investing in managed futures products on itswebsite. Citigroup Global Markets consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, Citigroup Global Markets, as a majorfutures commission merchant and broker-dealer, is a party to variousclaims and routine regulatory investigations and proceedings that theGeneral Partner believes do not have a material effect on the businessof Citigroup Global Markets.

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

There were nomatters submitted to the security holders for a vote during the yearended December 31, 2005.

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PART II

Item 5.    Marketfor Registrant's Common Equity and Related Security HolderMatters.

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

(b)    Holders. The number of holders of Redeemable Unitsof Limited Partnership Interest as of December 31, 2005 was 226.

(c)    Dividends. The Partnership did not declare adistribution in 2005 or 2004.

(d)    Use of Proceeds.There were no additional sales of Redeemable Units in the years endedDecember 31, 2005, 2004 and 2003.

(e)    CompensationPlans. None.

Item 6.    Selected FinancialData.

Net realized and unrealized trading gains (losses),interest income, net income, increase in Net Asset Value per RedeemableUnit for the years ended December 31, 2005, 2004, 2003, 2002 and 2001and total assets as of December 31, 2005, 2004, 2003, 2002 and 2001were asfollows:

|                                                                                                                                                                            |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                       |  | 2005   |            | 2004    |  | 2003   |            | 2002   |  | 2001   |
| Netrealized and unrealized trading gains (losses) net of brokeragecommissions (including clearing fees) of $927,363, $943,085, $950,659,$700,652 and $661,355,respectively |  | $      | (4,391,548 | )  |  | $      | 1,466,701  |   |  | $      | 3,206,193  |   |  | $      | 5,902,156  |   |  | $      | (49,114    | )  |
| Interestincome                                                                                                                                                             |  |   | 427,963    |    |  |   | 206,574    |   |  |   | 171,640    |   |  |   | 218,809    |   |  |   | 446,258    |    |
|                                                                                                                                                                       |  | $      | (3,963,585 | )  |  | $      | 1,673,275  |   |  | $      | 3,377,833  |   |  | $      | 6,120,965  |   |  | $      | 397,144    |    |
| Netincome(loss)                                                                                                                                                            |  | $      | (4,039,122 | )  |  | $      | 1,332,813  |   |  | $      | 3,049,340  |   |  | $      | 4,992,978  |   |  | $      | 276,352    |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                   |  | $      | (1,878.98  | )  |  | $      | 636.61     |   |  | $      | 1,281.06   |   |  | $      | 1,997.72   |   |  | $      | 88.23      |    |
| Totalassets                                                                                                                                                                |  | $      | 17,311,177 |    |  | $      | 22,817,523 |   |  | $      | 21,505,101 |   |  | $      | 20,316,806 |   |  | $      | 15,777,724 |    |
|                                                                                                                                                                            |

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

Overview

ThePartnership aims to achieve substantial capital appreciation throughspeculative trading 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, spot and swap contracts in those markets.

The General Partner manages all business of the Partnership. TheGeneral Partner has delegated its responsibility for the investment ofthe Partnership's assets to JWH. The General Partner employs ateam of approximately 20 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 Advisor for the Partnership, the GeneralPartner considered past performance, trading style, volatility ofmarkets traded and fee requirements.

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Responsibilities of the General Partnerinclude:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligence examinationsof the Advisor; |

|              |                                                      |
|--------------|------------------------------------------------------|
| •  | selection,appointment and termination of theAdvisor; |

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

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

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.

The General Partnershall seek the best prices and services available in its commodityfutures brokerage transactions. The General Partner reviews at leastannually, the brokerage rates charged to commodity pools similar to thePartnership to determine that the brokerage fee the Partnership pays iscompetitive with other rates.

The Advisor specializes inmanaging institutional and individual capital in the global futures,interest rate and foreign exchange markets. Since 1981, JWH hasdeveloped and implemented proprietary trend-following tradingtechniques that focus on long-term trends.

JWH trades itsFinancials and Metals Portfolio ("F&M")and Original Investment Program ("Original")on behalf of the Partnership. Of the Partnership's assetsallocated to JWH, 78% is currently traded using F&M and22% is currently traded using Original, each of which isdescribed below.

F&M seeks to identify and capitalize onintermediate-term price movements in four worldwide market sectors:currencies, interest rates, metals and global stock indicies. Theprogram uses the three-phase investment style. Beginning in August1992, the position size in relation to account equity in this programwas reduced 50%. Since the changes were implemented in 1992,F&M has experience lower volatility.

Original seeks tocapitalize on long-term trends in a broad spectrum of worldwidefinancial and non-financial futures markets including agricultural,currency, energy, interest rates, metals and global stock indexcontracts.

(a)    Liquidity.

The Partnershipdoes not engage in sales of goods or services. Its only assets are itsequity in its commodity futures trading account, consisting of cash,net unrealized appreciation (depreciation) on open futures contractsand interest receivable. Because of the low margin deposits normallyrequired in commodity futures trading, relatively small price movementsmay result in substantial losses to the Partnership. Such substantiallosses could lead to a material loss in liquidity.

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

|           |                                                                                                                                                                                                                                                                                                                                                    |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | ThePartnership invests its assets only in commodity interests that theAdvisor believes are traded in sufficient volume to permit ease oftaking and liquidating positions. Sufficient volume, in this context,refers to a level of liquidity that the Advisor believes will permit itto enter and exit trades without noticeably moving the market. |

|            |                                                                                                                                                                                                                          |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | The Advisor will not initiate additionalpositions in any commodity if these positions would result in aggregatepositions requiring a margin of more than66 2/3% of the Partnership's net assetsallocated to the Advisor. |

|             |                                                                                                                                                                                                                                                             |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | ThePartnership may occasionally accept delivery of a commodity. Unlesssuch delivery is disposed of promptly by retendering the warehousereceipt representing the delivery to the appropriate clearinghouse, thephysical commodity position is fully hedged. |

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|            |                                                                                                                                                                                                                                                         |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Partnershipdoes 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 related commodities. |

|           |                                                                                                                                   |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership does not utilize borrowingsexcept short-term borrowings if the Partnership takes delivery of anycash commodities. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisor may, fromtime to 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 is party to financial instruments with off-balancesheet risk, 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 statements 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 assets is CGM.

The General Partner monitors and controls the Partnership'srisk exposure on a daily basis through financial, credit and riskmanagement monitoring systems, and accordingly believes that it haseffective procedures for evaluating and limiting the credit and marketrisks to which the Partnership is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions. (Seealso "Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the notes to the financial statements.)

Otherthan the risks inherent in commodity trading, the Partnership knows ofno trends, demands, commitments, events or uncertainties which willresult in or which are reasonably likely to result in thePartnership's liquidity increasing or decreasing in any materialway. The Limited Partnership Agreement requires dissolution of thePartnership under certain circumstances as defined in the LimitedPartnership 

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Agreement including, but not limited to, adecrease in the net asset value of a Redeemable Unit to less than $500as of the close of business on any business day, or a decrease in theaggregate net assets of the Partnership to less than $1,000,000, or onDecember 31, 2007.

(b)    Capital resources.

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

(ii)    The Partnership's capitalconsists of the capital contributions of the partners as increased ordecreased by gains or losses on trading and by expenses, interestincome, 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.

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may redeem some or all of their RedeemableUnits at the Net Asset Value thereof as of the last day of any calendarquarter on 10 business days' notice to the General Partner. Forthe year ended December 31, 2005, 124 Redeemable Units were redeemedfor a total of $996,177. For the year ended December 31, 2004, 104Redeemable Units were redeemed for a total of $950,149. For the yearended December 31, 2003, 150 Redeemable Units were redeemed for a totalof $1,395,441.

(c)    Results of Operations.

For the year ended December 31, 2005, the Net Asset Value perRedeemable Unit decreased 18.7% from $10,057.19 to $8,178.21.For the year ended December 31, 2004, the Net Asset Value perRedeemable Unit increased 6.8% from $9,420.58 to $10,057.19. Forthe year ended December 31, 2003, the Net Asset Value per RedeemableUnit increased 15.7% from $8,139.52 to $9,420.58.

ThePartnership experienced net trading losses of $3,464,185 beforecommissions and expenses for the year ended December 31, 2005. Losseswere primarily attributable to the trading of commodity futures incurrencies, energy, grains and U.S. and non-U.S. interest rates andwere partially offset by gains in livestock, metals, softs andindices.

The year 2005 was characterized by several events thatmade it extraordinarily difficult for the Advisor's program totrade successfully and to retain profits when earned. While profitabletrading did occur in the stock index, metals, and softs sectors, theserelatively minor gains were offset by gains experienced in the othersectors.

In financial markets, foreign stock market indices werethe most profitable sector for the Partnership for the year as aresurging Japanese economy and positive political news in Europepropelled these markets out of long-term doldrums. More than offsettingthese gains were losses in US and non-US interest rate contracttrading.

Losses in currency trading absorbed the majority of thegains in the other market sectors. After a prolonged decline in 2004,the U.S. dollar defied expectations for further weakness and rallied inJanuary resulting in losses for the Advisor at the beginning of theyear. The dollar continued strengthening through the second quarter butencountered a prolonged period of volatility at the beginning of thethird quarter with the Chinese governments decision to revalue theChinese yuan. Losses were exacerbated at year-end with the reversal ofthe dollar against the yen.

Profitable trading over the lasthalf of the year in precious and base metals positions offset most butnot all of the losses incurred earlier in the year in the thesemarkets. Of particular note was the price of gold, which rose to over$500 an ounce by the end of the year. Base metals such as zinc, copperand aluminum also experienced substantial price increases as globaldemand and speculative trading spurred prices.

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The energy markets provided profitabletrading for much of the year with crude oil and natural gas pricesdramatically reaching their peaks after Hurricanes Katrina and Rita.Prices had risen so much, so quickly, however, that a not unexpectedreaction was for prices to trade in a wide range over the latter fourmonths of the year. These types of markets were not conducive toprofitable trading for the Advisor's trend-following strategiesand resulted in a loss for the full year.

Overall, it was aparticularly difficult year for the Partnership's Advisor withperiods of favorable market conditions abruptly dashed by single eventsand prolonged volatility.

The Partnership experienced net tradinggains of $2,409,786 before commissions and expenses for the year endedDecember 31, 2004. Gains were primarily attributable to the trading ofcommodity futures in energy, grains and U.S. and non-U.S. interestrates and were partially offset by losses in currencies, livestock,metals, softs and indices.

Trading results for the year 2004 canbe described in three distinct periods: the first two months of theyear produced positive results of 9% with trends carrying overfrom late 2003, the middle five months experienced extraordinarilydifficult conditions and losses of approximately 33% from recordhighs for the Partnership, and the third period, August throughDecember, saw a recovery of nearly 45% but from a lower base.Through all of this volatility the Partnership ended the year up6.76%. The results for the year were heavily influenced by twohistoric trends: the decline in the value of the U.S. dollar versusmajor currencies and the run-up in the price of crude oil to over $50 abarrel.

2004 started strongly with many of the trends from late2003 continuing into early 2004. Notably lower interest rates in theU.S. and other major countries fostered strong global economic growthand pressured commodity prices. These resulted in upward trends in manysectors, especially energy, metals and grains and provided profitabletrading opportunities for the Partnership's advisor. These trendspersisted into early March when economic indicators in the U.S. andChina suggested rising inflation and markets reversed with higherinterest rates, collapsing commodity prices and the dollarreversal.

This began a protracted period of tentative andconflicting trends across many sectors. As expected in the nature oftrend-following, the strength of profitable trends is often followed bytemporary but often severe periods of losses. Late March through July2004 was such a period for the Partnership's advisor as positionswere adjusted from what had been profitable, long-term trends tochoppy, directionless and volatile markets. Trading was treacherous andthus unprofitable in U.S. and Asian interest rates and global stockindices while energy, metals and grains provided some offsettingprofits. The fundamental economic concerns hanging over these marketswere further exacerbated by the uncertainty surrounding the tightlycontested U.S. presidential election.

With 2004 looking dismalgoing into the late summer, the price of crude oil resumed its climb to$50 a barrel brought on by a deteriorating security situation in Iraq,Saudi Arabia political turmoil, and renewed threats of terrorism. Longpositions in the energy sector continued to provide profits to thePartnership through the end of the third quarter and into the fourthquarter. In late August the U.S. dollar began a further slide toward$1.40 to the euro. These renewed trends in currency prices combinedwith declining interest rates and stronger global stock markets werefavorable to the Partnership's advisor and provided a solidlyprofitable August through December for the Partnership's advisor.In spite of an extremely difficult and challenging year, thePartnership had an overall increase in net asset value per unit for theyear.

The Partnership experienced net trading gains of$4,156,852 before commissions and expenses for the year ended December31, 2003. Gains were primarily attributable to the trading of commodityfutures in currencies, livestock, metals and indices and were partiallyoffset by losses in the trading of energy, grains, U.S. and non-U.S.interest rates 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 thePartnership depends on the existence of major price trends and theability of the Advisor to identify those price trends correctly. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest 

15

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rates. To the extent that market trendsexist and the Advisor is able to identify them, the Partnership expectsto increase capital through operations.

(d)    OperationalRisk.

The Partnership is directly exposed to market riskand credit risk, which arise in the normal course of its businessactivities. Slightly less direct, but of critical importance, are riskspertaining to operational and back office support. This is particularlythe case in a rapidly changing and increasingly global environment withincreasing transaction volumes and an expansion in the number andcomplexity of products in the marketplace.

Such risksinclude:

Operational/Settlement Risk — the risk offinancial and opportunity loss and legal liability attributable tooperational problems, such as inaccurate pricing of transactions,untimely trade execution, clearance and/or settlement, or the inabilityto process large volumes of transactions. The Partnership is subject toincreased risks with respect to its trading activities in emergingmarket securities, where clearance, settlement, and custodial risks areoften greater 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 andsecurely, without interruption, to customers, among Redeemable Unitswithin the Partnership, and in the markets where the Partnershipparticipates.

Legal/Documentation Risk — the riskof loss attributable to deficiencies in the documentation oftransactions (such as trade confirmations) and customer relationships(such as master netting agreements) or errors that result innoncompliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributableto limitations in financial systems and controls. Strong financialsystems and controls ensure that assets are safeguarded, thattransactions are executed in accordance with management'sauthorization, and that financial information utilized by managementand communicated to external parties, including the Partnership'slimited partners, creditors, and regulators, is free of materialerrors.

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity withaccounting principles generally accepted in the United States ofAmerica requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, revenues andexpenses, and related disclosures of contingent assets and liabilitiesin the financial statements and accompanying notes.

Allcommodity interests (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statements of financial condition at fair value on thelast business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

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

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The General Partner believes that theaccounting 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. If applicable, the Partnership's spotand forward foreign currency contracts will also be valued at publisheddaily settlement prices or at dealers' quotes. The GeneralPartner expects that under normal circumstances substantially all ofthe Partnership's assets will be valued by objective measures andwithout difficulty.

Item 7A.    Quantitative andQualitative Disclosures About Market Risk

Introduction

The Partnership is a speculative commoditypool. The market sensitive instruments held by it are acquired forspeculative trading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Partnership's main line ofbusiness.

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of Partnership assetsand undistributed profits. This limited liability is a consequence ofthe organization of the Partnership as a limited partnership underapplicable law.

Market movements result in frequent changes inthe fair market value of the Partnership's open positions and,consequently, in its earnings and cash flow. The Partnership'smarket risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity pricelevels, the market value of financial instruments and contracts, thediversification results among the Partnership's open positionsand the liquidity of the markets in which it trades.

ThePartnership rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership's past performance is notnecessarily indicative of its future results.

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherentuncertainty of the Partnership's speculative trading and therecurrence in the markets traded by the Partnership of market movementsfar exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or thePartnership's experience to date (i.e., "risk ofruin"). In light of the foregoing as well as the risks anduncertainties intrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Partnership's losses inany market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk.

Quantifying the Partnership's Trading Value at Risk

The following quantitative disclosures regarding thePartnership'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).

Exchange maintenance marginrequirements have been used by the Partnership as the measure of itsValue at Risk. Maintenance margin requirements are set by exchanges toequal or exceed the maximum 

17

----

losses reasonably expected to be incurred inthe fair value of any given contract in 95%–99% ofany one-day intervals. The maintenance margin levels are established bydealers and exchanges using historical price studies as well as anassessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component which is notrelevant to Value at Risk.

In the case of market sensitiveinstruments which are not exchange traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements forthe equivalent futures positions have been used as Value at Risk. Inthose rare cases in which a futures-equivalent margin is not available,dealers' margins have been used.

The fair value of thePartnership's futures and forward positions does not have anyoptionality component. However, the Advisor trades commodity options.The Value at Risk associated with options is reflected in the followingtable as the margin requirement attributable to the instrumentunderlying each option. Where this instrument is a futures contract,the futures margin, and where this instrument is a physical commodity,the futures-equivalent maintenance margin has been used. Thiscalculation is conservative in that it assumes that the fair value ofan option will decline by the same amount as the fair value of theunderlying instrument, whereas, in fact, the fair values of the optionstraded by the Partnership in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Partnership's Value at Risk, 100% positive correlationin the 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, 2005 and the highestand lowest value at any point during the year. All open positiontrading risk exposures of the Partnership have been included incalculating the figures set forth below. As of December 31, 2005, thePartnership's total capitalization was $16,488,038.

December 31,2005

|                                  |  |               |           |                          |  |                   |        |                  |  |                      |           |        |  |        |         |        |  |        |         |        |  |  |
|----------------------------------|--|---------------|-----------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|---------|--------|--|--|
| MarketSector                     |  | Value at Risk |           | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:                      |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —OTC                       |  | $             | 438,865   |                     |  |              | 2.66   | %           |  | $                    | 1,298,728 |   |  | $      | 253,182 |   |  | $      | 695,270 |   |
| Energy                           |  |          | 175,100   |                     |  |              | 1.06   | %           |  |                 | 464,270   |   |  |   | 26,250  |   |  |   | 257,002 |   |
| Grains                           |  |          | 11,164    |                     |  |              | 0.07   | %           |  |                 | 40,700    |   |  |   | 9,180   |   |  |   | 20,946  |   |
| Interest Rates U.S.              |  |          | 140,750   |                     |  |              | 0.85   | %           |  |                 | 234,150   |   |  |   | 16,314  |   |  |   | 136,826 |   |
| Interest RatesNon-U.S.           |  |          | 193,217   |                     |  |              | 1.17   | %           |  |                 | 1,455,759 |   |  |   | 193,217 |   |  |   | 580,651 |   |
| Livestock                        |  |          | 6,300     |                     |  |              | 0.04   | %           |  |                 | 16,800    |   |  |   | 6,300   |   |  |   | 9,175   |   |
| Metals                           |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —Exchange Traded Contracts |  |          | 92,500    |                     |  |              | 0.56   | %           |  |                 | 181,000   |   |  |   | 31,667  |   |  |   | 102,070 |   |
| — OTC                      |  |          | 199,894   |                     |  |              | 1.21   | %           |  |                 | 441,977   |   |  |   | 92,380  |   |  |   | 241,665 |   |
| Softs                            |  |          | 70,869    |                     |  |              | 0.43   | %           |  |                 | 134,958   |   |  |   | 42,913  |   |  |   | 81,930  |   |
| Indices                          |  |          | 714,983   |                     |  |              | 4.34   | %           |  |                 | 1,000,320 |   |  |   | 157,930 |   |  |   | 628,374 |   |
| Totals                           |  | $             | 2,043,642 |                     |  |              | 12.39  | %           |  |                 |      |   |  |   |    |   |  |   |    |   |
|                                  |

|  |
|--|
|  |  |
|  |

|  |                                                   |
|--|---------------------------------------------------|
|  | *monthly average based on month-end value atrisk. |

18

----

As of December 31, 2004, thePartnership's total capitalization was $21,523,337.

December 31,2004

|                                 |  |               |           |                          |  |                   |        |                  |  |                      |           |        |  |        |         |        |  |        |         |        |  |  |
|---------------------------------|--|---------------|-----------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|---------|--------|--|--|
| MarketSector                    |  | Value at Risk |           | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —OTCContracts             |  | $             | 1,319,651 |                     |  |              | 6.13   | %           |  | $                    | 1,349,143 |   |  | $      | 262,262 |   |  | $      | 813,466 |   |
| Energy                          |  |          | 476,270   |                     |  |              | 2.21   | %           |  |                 | 480,170   |   |  |   | 212,170 |   |  |   | 311,819 |   |
| Grains                          |  |          | 19,913    |                     |  |              | 0.09   | %           |  |                 | 62,825    |   |  |   | 9,625   |   |  |   | 43,269  |   |
| InterestratesU.S.               |  |          | 201,950   |                     |  |              | 0.94   | %           |  |                 | 365,200   |   |  |   | 43,760  |   |  |   | 322,003 |   |
| Interestrates Non-U.S.          |  |          | 1,183,588 |                     |  |              | 5.50   | %           |  |                 | 1,289,170 |   |  |   | 528,554 |   |  |   | 922,553 |   |
| Livestock                       |  |          | 16,800    |                     |  |              | 0.08   | %           |  |                 | 32,000    |   |  |   | 4,800   |   |  |   | 18,667  |   |
| Metals                          |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —Exchange TradedContracts |  |          | 139,500   |                     |  |              | 0.65   | %           |  |                 | 192,500   |   |  |   | 14,000  |   |  |   | 167,833 |   |
| —OTCContracts             |  |          | 354,241   |                     |  |              | 1.65   | %           |  |                 | 393,166   |   |  |   | 146,800 |   |  |   | 256,195 |   |
| Softs                           |  |          | 131,502   |                     |  |              | 0.61   | %           |  |                 | 131,625   |   |  |   | 72,467  |   |  |   | 109,721 |   |
| Indices                         |  |          | 828,709   |                     |  |              | 3.85   | %           |  |                 | 930,079   |   |  |   | 221,546 |   |  |   | 609,294 |   |
| Total                           |  | $             | 4,672,124 |                     |  |              | 21.71  | %           |  |                 |      |   |  |   |    |   |  |   |    |   |
|                                 |

|  |
|--|
|  |  |
|  |

|  |                                                    |
|--|----------------------------------------------------|
|  | *monthly average based on month-end value at risk. |

MaterialLimitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by thePartnership is typically many times the applicable maintenance marginrequirement (margin requirements generally range between 2% and15% of contract face value) as well as many times thecapitalization 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."

Non-TradingRisk

The Partnership has non-trading market risk on its foreigncash balances not needed for margin. However, these balances (as wellas any market risk they represent) are immaterial.

Materialityas used 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 and Section 21E of theSecurities Exchange Act. The Partnership's primary market riskexposures as well as the strategies used and to be used by the GeneralPartner and the Advisors for managing such exposures are subject tonumerous uncertainties, contingencies and risks, any one of which couldcause the actual results of the Partnership's risk controls todiffer 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 

19

----

of the Partnership. There can be noassurance that the Partnership's current market exposure and/orrisk management strategies will not change materially or that any suchstrategies will be effective in either the short or long term.Investors must be prepared to lose all or substantially all of theirinvestment in the Partnership.

The following were the primarytrading risk exposures of the Partnership as of December 31, 2005, bymarket sector.

Interest Rates. Interest rate movementsdirectly affect the price of the futures positions held by thePartnership and indirectly affect the value of its stock index andcurrency positions. Interest rate movements in one country as well asrelative interest rate movements between countries materially impactthe Partnership'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 conditions. The General Partner does notanticipate that the risk profile of the Partnership's currencysector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted intoU.S. dollars with an incremental adjustment to reflect the exchangerate risk inherent to the U.S. dollar-based Partnership in expressingValue at Risk in a functional currency other than U.S. dollars.

Stock Indices. The Partnership's primary equityexposure is to equity price risk in the G-8 countries. The stock indexfutures traded by the Partnership are limited to futures on broadlybased indices. As of December 31, 2005, the Partnership's primaryexposures were in the Chicago Mercantile Exchange E-MINI Nasdaq andEUREX (Germany) stock indices. The General Partner anticipates little,if any, trading in non-G-8 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. The Partnership'sprimary metal market exposure is to fluctuations in the price of goldand silver. Although the Advisors will, from time to time, trade basemetals such as aluminum and copper, the principal market exposures ofthe Partnership have consistently been in the precious metals, gold andsilver.

Softs. The Partnership's primarycommodities exposure is to agricultural price movements which are oftendirectly affected by severe or unexpected weather conditions. Cocoa,cotton, coffee and sugar accounted for the substantial bulk of thePartnership's commodity exposure as of December 31, 2005.

Energy. The Partnership's primary energy marketexposure is oil price movements, often resulting from politicaldevelopments in the Middle East. Oil prices can be volatile andsubstantial profits and losses have been and are expected to continueto be experienced in this market.

Qualitative DisclosuresRegarding Non-Trading Risk Exposure

The following were the onlynon-trading risk exposures of the Partnership as of December 31,2005.

Foreign Currency Balances. ThePartnership's primary foreign currency balances are in Japaneseyen, Euro dollars and Canadian dollars. The Advisor regularly convertsforeign currency balances to U.S. dollars in an attempt to control thePartnership's non-trading risk.

Qualitative DisclosuresRegarding Means of Managing Risk Exposure

The General Partnermonitors and controls the Partnership's risk exposure on a dailybasis through financial, credit and risk management monitoring systemsand accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which thePartnership is subject.

20

----

The General Partner monitors thePartnership's performance and the concentration of its openpositions, and consults with the Advisor concerning thePartnership's overall risk profile. If the General Partner feltit necessary to do so, the General Partner could require the Advisor toclose out individual positions as well as enter certain positionstraded on behalf of the Partnership. However, any such interventionwould be a highly unusual event. The General Partner primarily relieson the Advisors' 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 their trading programs.

As part of the GeneralPartner's risk management, the General Partner periodically meetswith the Advisor to discuss their 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 theirprograms.

21

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Item8.    Financial Statements and Supplementary Data.

HUTTON INVESTORS FUTURES FUND L.P. II

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | PageNumber        |
| Oath orAffirmation                                                                            |  | F-2               |
| Report of Independent Registered Public AccountingFirm                                        |  | F-3               |
| Statements of Financial Conditionat December 31, 2005 and 2004                                |  | F-4               |
| CondensedSchedules of Investments at December 31, 2005 and 2004                               |  | F-5– F-6    |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and2003          |  | F-7               |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004 and2003 |  | F-8               |
| Statements of Cash Flows for theyears ended December 31, 2005, 2004 and2003                   |  | F-9               |
| Notes to FinancialStatements                                                                  |  | F-10 – F-13 |
| SelectedUnaudited Quarterly FinancialData                                                     |  | F-14              |
|                                                                                               |

F-1

----

To theLimited Partners ofHutton Investors Futures Fund L.P. II

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

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.         Chief Financial Officer andDirector         Citigroup Managed FuturesLLC        General Partner, Hutton InvestorsFutures        Fund L.P. II |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the PartnersofHutton Investors Futures Fund L.P. II:

We have auditedthe accompanying statements of financial condition of Hutton InvestorsFutures Fund L.P. II (the "Partnership"),including the condensed schedules of investments, as of December 31,2005 and 2004, and the related statements of income and expenses,changes in partners' capital, and cash flows for each of theyears in the three-year period ended December 31, 2005. These financialstatements are the responsibility of the Partnership'smanagement. Our responsibility is to express an opinion on thesefinancial statements based on our audits.

We conducted ouraudits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards requirethat we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. Anaudit includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements. An audit alsoincludes assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, the financialstatements referred to above present fairly, in all material respects,the financial position of Hutton Investors Futures Fund L.P. II as ofDecember 31, 2005 and 2004, and the results of its operations, changesin its partners' capital, and its cash flows for each of theyears in the three-year period ended December 31, 2005, in conformitywith U.S. generally accepted accounting principles.

New York, New YorkMarch 13,2006

F-3

----

HuttonInvestorsFutures Fund L.P. IIStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                     |  |        |            |        |  |        |            |        |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                |  | 2005   |            | 2004   |
| Assets:                                                                                                                             |  |   |       |   |  |   |       |   |
| Equityin commodity futures trading account:                                                                                         |  |   |       |   |  |   |       |   |
| Cash(restricted $2,282,549 and $5,079,862 in 2005 and 2004,respectively) (Note3b)                                                   |  | $      | 16,265,128 |   |  | $      | 19,918,881 |   |
| Netunrealized appreciation on open futurespositions                                                                                 |  |   | —    |   |  |   | 208,808    |   |
| Unrealizedappreciation on open forwardcontracts                                                                                     |  |   | 1,003,185  |   |  |   | 2,661,296  |   |
|                                                                                                                                |  |   | 17,268,313 |   |  |   | 22,788,985 |   |
| Interestreceivable (Note3b)                                                                                                         |  |   | 42,864     |   |  |   | 28,538     |   |
|                                                                                                                                |  | $      | 17,311,177 |   |  | $      | 22,817,523 |   |
|                                                                                                                                |  |   |       |   |  |   |       |   |
| Liabilitiesand Partners'Capital:                                                                                                    |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                        |  |   |       |   |  |   |       |   |
| Netunrealized depreciation on open futurespositions                                                                                 |  | $      | 9,227      |   |  | $      | —    |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                     |  |   | 371,315    |   |  |   | 585,259    |   |
| Accruedexpenses:                                                                                                                    |  |   |       |   |  |   |       |   |
| Commissions (Note3b)                                                                                                                |  |   | 53,500     |   |  |   | 100,800    |   |
| Incentivefees (Note3a)                                                                                                              |  |   | —    |   |  |   | 80,260     |   |
| Professionalfees                                                                                                                    |  |   | 46,917     |   |  |   | 26,694     |   |
| Other                                                                                                                               |  |   | 15,052     |   |  |   | 18,428     |   |
| Redemptionspayable (Note5)                                                                                                          |  |   | 327,128    |   |  |   | 482,745    |   |
|                                                                                                                                |  |   | 823,139    |   |  |   | 1,294,186  |   |
| Partners'capital: (Notes 1 and5)                                                                                                    |  |   |       |   |  |   |       |   |
| General Partner, 44 Unitequivalents outstandingin 2005 and2004                                                                      |  |   | 359,841    |   |  |   | 442,516    |   |
| LimitedPartners 1,972.0950 and 2,096.0950 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 16,128,197 |   |  |   | 21,080,821 |   |
|                                                                                                                                |  |   | 16,488,038 |   |  |   | 21,523,337 |   |
|                                                                                                                                |  | $      | 17,311,177 |   |  | $      | 22,817,523 |   |
|                                                                                                                                     |

Seeaccompanying notes to financialstatements.

F-4

----

Hutton InvestorsFutures Fund L.P.IICondensed Schedule of InvestmentsDecember 31, 2005

|                                                  |  |           |           |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|-----------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |           | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |      |                 |  |   |   |     |
| Energy                                           |  | $         | (269,490  | )               |  |   | (1.63  | )%  |
| Grains                                           |  |      | 2,250     |                 |  |   | 0.01   |     |
| Indices                                          |  |      | 157,078   |                 |  |   | 0.95   |     |
| Livestock                                        |  |      | 8,590     |                 |  |   | 0.05   |     |
| Metals                                           |  |      | 158,115   |                 |  |   | 0.96   |     |
| Softs                                            |  |      | 121,569   |                 |  |   | 0.74   |     |
| Totalfutures contractspurchased                  |  |      | 178,112   |                 |  |   | 1.08   |     |
|                                             |  |      |      |                 |  |   |   |     |
| FuturesContractsSold                             |  |      |      |                 |  |   |   |     |
| Energy                                           |  |      | (10,330   | )               |  |   | (0.06  | )   |
| Grains                                           |  |      | (18,372   | )               |  |   | (0.11  | )   |
| InterestRates U.S.                               |  |      | (45,192   | )               |  |   | (0.27  | )   |
| InterestRates NonU.S.                            |  |      | (58,599   | )               |  |   | (0.36  | )   |
| Softs                                            |  |      | (54,846   | )               |  |   | (0.33  | )   |
| Totalfutures contractssold                       |  |      | (187,339  | )               |  |   | (1.13  | )   |
|                                             |  |      |      |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts       |  |      |      |                 |  |   |   |     |
| Currencies                                       |  |      | 356,902   |                 |  |   | 2.16   |     |
| Metals                                           |  |      | 646,283   |                 |  |   | 3.92   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 1,003,185 |                 |  |   | 6.08   |     |
|                                             |  |      |      |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |      |                 |  |   |   |     |
| Currencies                                       |  |      | (239,073  | )               |  |   | (1.45  | )   |
| Metals                                           |  |      | (132,242  | )               |  |   | (0.80  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (371,315  | )               |  |   | (2.25  | )   |
| Totalfairvalue                                   |  | $         | 622,643   |                 |  |   | 3.78   | %   |
|                                                  |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Partners' capital unless otherwiseindicated |

See accompanying notes to financialstatements.

F-5

----

Hutton InvestorsFutures FundL.P. IICondensed Schedule of InvestmentsDecember 31,2004

|                                                  |  |           |           |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|-----------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |           | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |      |                 |  |   |   |     |
| Grains                                           |  | $         | 275       |                 |  |   | 0.00   | %*  |
| InterestRates U.S.                               |  |      | (56,313   | )               |  |   | (0.26  | )   |
| InterestRatesNon-U.S.                            |  |      | (24,840   | )               |  |   | (0.12  | )   |
| Metals                                           |  |      | (76,785   | )               |  |   | (0.36  | )   |
| Softs                                            |  |      | 105,084   |                 |  |   | 0.49   |     |
| Indices                                          |  |      | 109,196   |                 |  |   | 0.51   |     |
| Totalfutures contractspurchased                  |  |      | 56,617    |                 |  |   | 0.26   |     |
|                                             |  |      |      |                 |  |   |   |     |
| FuturesContractsSold                             |  |      |      |                 |  |   |   |     |
| Energy                                           |  |      | 160,791   |                 |  |   | 0.75   |     |
| Grains                                           |  |      | 119,042   |                 |  |   | 0.55   |     |
| InterestRatesU.S.                                |  |      | (32,725   | )               |  |   | (0.15  | )   |
| Livestock                                        |  |      | 6,380     |                 |  |   | 0.03   |     |
| Metals                                           |  |      | 9,235     |                 |  |   | 0.04   |     |
| Softs                                            |  |      | (37,018   | )               |  |   | (0.17  | )   |
| Indices                                          |  |      | (73,514   | )               |  |   | (0.34  | )   |
| Totalfutures contractssold                       |  |      | 152,191   |                 |  |   | 0.71   |     |
|                                             |  |      |      |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts       |  |      |      |                 |  |   |   |     |
| Currencies                                       |  |      | 2,140,953 |                 |  |   | 9.95   |     |
| Metals                                           |  |      | 520,343   |                 |  |   | 2.42   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,661,296 |                 |  |   | 12.37  |     |
|                                             |  |      |      |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |      |                 |  |   |   |     |
| Currencies                                       |  |      | (257,916  | )               |  |   | (1.20  | )   |
| Metals                                           |  |      | (327,343  | )               |  |   | (1.52  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (585,259  | )               |  |   | (2.72  | )   |
| Totalfairvalue                                   |  | $         | 2,284,845 |                 |  |   | 10.62  | %   |
|                                                  |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Partners' capital unless otherwiseindicated |

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

See accompanying notes to financialstatements.

F-6

----

Hutton InvestorsFutures Fund L.P.IIStatements of Income and Expensesfor the yearsendedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |            |         |  |        |           |        |  |        |           |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|--------|--|--------|-----------|---------|--|--|
|                                                                                                                   |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |       |    |  |   |      |   |  |   |      |    |
| Netgains (losses) on trading of commodityinterests:                                                                    |  |   |       |    |  |   |      |   |  |   |      |    |
| Realizedgains (losses) on closed positions and foreigncurrencies                                                       |  | $      | (1,801,983 | )  |  | $      | 1,775,464 |   |  | $      | 4,357,083 |    |
| Changein unrealized gains (losses) on openpositions                                                                    |  |   | (1,662,202 | )  |  |   | 634,322   |   |  |   | (200,231  | )  |
|                                                                                                                   |  |   | (3,464,185 | )  |  |   | 2,409,786 |   |  |   | 4,156,852 |    |
| Interestincome (Note3b)                                                                                                |  |   | 427,963    |    |  |   | 206,574   |   |  |   | 171,640   |    |
|                                                                                                                   |  |   | (3,036,222 | )  |  |   | 2,616,360 |   |  |   | 4,328,492 |    |
| Expenses:                                                                                                              |  |   |       |    |  |   |      |   |  |   |      |    |
| Brokeragecommissions including clearing fees of $18,009, $19,648, and $26,176,respectively (Note3b)                    |  |   | 927,363    |    |  |   | 943,085   |   |  |   | 950,659   |    |
| Incentivefees (Note3a)                                                                                                 |  |   | —    |    |  |   | 287,869   |   |  |   | 286,455   |    |
| Professionalfees                                                                                                       |  |   | 51,394     |    |  |   | 33,068    |   |  |   | 35,694    |    |
| Otherexpenses                                                                                                          |  |   | 24,143     |    |  |   | 19,525    |   |  |   | 6,344     |    |
|                                                                                                                   |  |   | 1,002,900  |    |  |   | 1,283,547 |   |  |   | 1,279,152 |    |
| Netincome(loss)                                                                                                        |  | $      | (4,039,122 | )  |  | $      | 1,332,813 |   |  | $      | 3,049,340 |    |
|                                                                                                                   |  |   |       |    |  |   |      |   |  |   |      |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interestand General Partner Unit equivalent (Notes 1 and6) |  | $      | (1,878.98  | )  |  | $      | 636.61    |   |  | $      | 1,281.06  |    |
|                                                                                                                   |  |   |       |    |  |   |      |   |  |   |      |    |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-7

----

Hutton InvestorsFutures Fund L.P.IIStatements of Changes in Partners' Capitalfor theyears endedDecember 31, 2005, 2004 and2003

|                                                                        |  |                 |            |                |  |        |         |         |  |        |            |         |  |  |
|------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|---------|---------|--|--------|------------|---------|--|--|
|                                                                   |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners'capital at December  31,2002                                  |  | $               | 19,128,635 |           |  | $      | 358,139 |    |  | $      | 19,486,774 |    |
| Netincome                                                              |  |            | 2,992,974  |           |  |   | 56,366  |    |  |   | 3,049,340  |    |
| Redemptionof 150.0000 Redeemable Units of Limited PartnershipInterest  |  |            | (1,395,441 | )         |  |   | — |    |  |   | (1,395,441 | )  |
| Partners'capital at December  31,2003                                  |  |            | 20,726,168 |           |  |   | 414,505 |    |  |   | 21,140,673 |    |
| Netincome                                                              |  |            | 1,304,802  |           |  |   | 28,011  |    |  |   | 1,332,813  |    |
| Redemption of 104.0000 Redeemable Units of Limited PartnershipInterest |  |            | (950,149   | )         |  |   | — |    |  |   | (950,149   | )  |
| Partners' Capital at December 31,2004                                  |  |            | 21,080,821 |           |  |   | 442,516 |    |  |   | 21,523,337 |    |
| Netloss                                                                |  |            | (3,956,447 | )         |  |   | (82,675 | )  |  |   | (4,039,122 | )  |
| Redemptionof 124.0000 Redeemable Units of Limited PartnershipInterest  |  |            | (996,177   | )         |  |   | — |    |  |   | (996,177   | )  |
| Partners'capital at December 31,2005                                   |  | $               | 16,128,197 |           |  | $      | 359,841 |    |  | $      | 16,488,038 |    |
|                                                                        |

NetAsset Value per RedeemableUnit:

|      |  |   |           |        |  |  |
|------|--|---|-----------|--------|--|--|
| 2003 |  | $ | 9,420.58  |   |
| 2004 |  | $ | 10,057.19 |   |
| 2005 |  | $ | 8,178.21  |   |
|      |

Seeaccompanying notes to financial statements.

F-8

----

Hutton Investors Futures Fund L.P.IIStatements of Cash Flowsfor the years endedDecember31, 2005, 2004 and 2003

|                                                                                            |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                       |  | 2005   |            | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                       |  |   |       |    |  |   |       |    |  |   |       |    |
| Net income(loss)                                                                           |  | $      | (4,039,122 | )  |  | $      | 1,332,813  |    |  | $      | 3,049,340  |    |
| Adjustments to reconcile netincome to net cash provided by (used in) operating activities: |  |   |       |    |  |   |       |    |  |   |       |    |
| Changes in operating assets andliabilities:                                                |  |   |       |    |  |   |       |    |  |   |       |    |
| (Increase) decrease inrestricted cash                                                      |  |   | 2,797,313  |    |  |   | (1,486,062 | )  |  |   | (647,993   | )  |
| (Increase) decrease in net unrealized appreciation onopen futurespositions                 |  |   | 208,808    |    |  |   | (208,808   | )  |  |   | 1,170,056  |    |
| (Increase) decrease in unrealized appreciation on openforwardcontracts                     |  |   | 1,658,111  |    |  |   | (936,818   | )  |  |   | (505,328   | )  |
| (Increase) decrease in interestreceivable                                                  |  |   | (14,326    | )  |  |   | (17,391    | )  |  |   | 4,407      |    |
| Increase (decrease) in net unrealized depreciation onopen futures positions                |  |   | 9,227      |    |  |   | (9,154     | )  |  |   | 9,154      |    |
| Increase (decrease) in unrealizeddepreciation on open forward contracts                    |  |   | (213,944   | )  |  |   | 520,458    |    |  |   | (473,651   | )  |
| Accruedexpenses:                                                                           |  |   |       |    |  |   |       |    |  |   |       |    |
| Increase (decrease) incommissions                                                          |  |   | (47,300    | )  |  |   | 37,200     |    |  |   | (8,550     | )  |
| Increase (decrease) in incentivefees                                                       |  |   | (80,260    | )  |  |   | 80,260     |    |  |   | —    |    |
| Increase (decrease) in professionalfees                                                    |  |   | 20,223     |    |  |   | (8,886     | )  |  |   | (1,941     | )  |
| Increase (decrease) inother                                                                |  |   | (3,376     | )  |  |   | 15,547     |    |  |   | 41         |    |
| Net cash provided by (used in)operating activities                                         |  |   | 295,354    |    |  |   | (680,841   | )  |  |   | 2,595,535  |    |
| Cash flows from financingactivities:                                                       |  |   |       |    |  |   |       |    |  |   |       |    |
| Payments for redemptions –Limited Partners                                           |  |   | (1,151,794 | )  |  |   | (655,816   | )  |  |   | (1,386,098 | )  |
| Net change incash                                                                          |  |   | (856,440   | )  |  |   | (1,336,657 | )  |  |   | 1,209,437  |    |
| Unrestricted cash, atbeginning ofyear                                                      |  |   | 14,839,019 |    |  |   | 16,175,676 |    |  |   | 14,966,239 |    |
| Unrestricted cash, at end ofyear                                                           |  | $      | 13,982,579 |    |  | $      | 14,839,019 |    |  | $      | 16,175,676 |    |
|                                                                                            |

See accompanyingnotes to financialstatements.

F-9

----

HuttonInvestorsFutures Fund L.P. IINotes to FinancialStatements

1.    PartnershipOrganization:

Hutton Investors Futures Fund L.P. II (the"Partnership") is a limited partnership whichwas organized under the partnership laws of the State of Delaware onMarch 31, 1987 to engage in the speculative trading of a diversifiedportfolio of commodity interests including futures contracts, optionsand forward contracts. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk. ThePartnership was authorized to sell 30,000 redeemable units of LimitedPartnership Interest ("Redeemable Units")during its initial offering period.

Citigroup Managed FuturesLLC acts as the general partner (the "GeneralPartner") of the Partnership. The Partnership'scommodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of CitigroupInc.

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

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2007; the Net Asset Value of a Redeemable Unitdecreases to less than $500 per Redeemable Unit; the aggregate netassets of the Partnership decline to less than $1,000,000; or undercertain other circumstances as defined in the Limited PartnershipAgreement.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (including derivativefinancial instruments and derivative commodity instruments) are usedfor trading purposes. The commodity interests are recorded on tradedate and open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the year.Realized gains (losses) and changes in unrealized gains (losses) onopen positions are recognized in the period in which the contract isclosed or the changes occur and are included in net gains (losses) ontrading of commodity interests. |

|          |                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------|
| b.  | Commissioncharges to open and close futures contracts are expensed at the timethe positions are opened. |

|          |                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Income taxeshave not been provided as each partner is individually liable for thetaxes, if any, on their share of the Partnership's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

F-10

----

HuttonInvestorsFutures Fund L.P. IINotes to FinancialStatements

3.    Agreements:

|          |                        |
|----------|------------------------|
| a.  | Management Agreements: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner has entered into ManagementAgreement with John W. Henry & Company, Inc. (the"Advisor"). The Agreement provides that theAdvisor has sole discretion to determine the investment of the assetsof the Partnership, subject to the Partnership's trading policiesset forth in the Partnership's prospectus. Pursuant to themanagement agreement, the Advisor is entitled to an incentive fee,payable quarterly, equal to 20% of the New Trading Profits, asdefined in the Management Agreement, on the assets under theAdvisor's management. |

|          |                    |
|----------|--------------------|
| b.  | CustomerAgreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Partnership has entered intoa Customer Agreement, which has been assigned to CGM, from apredecessor company, whereby CGM provides services which include, amongother things, the execution of transactions for the Partnership'saccount in accordance with orders placed by the Advisor. ThePartnership is obligated to pay brokerage commissions to CGM at $50 perroundturn futures and forwards transaction and $25 per optiontransaction which includes floor brokerage, exchange, clearing andNational Futures Association fees. All of the Partnership'sassets are deposited in the Partnership's account at CGM. ThePartnership's cash is deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. At December  31, 2005 and 2004, the amount of cashheld for margin requirements was $2,282,549 and $5,079,862,respectively. CGM has agreed to pay the Partnership interest on80% of the average daily equity maintained in cash in itsaccount during each month at the rate of the average non-competitiveyield of 13 week U.S. Treasury Bills as determined at the weeklyauctions thereof during the month. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses. |

4.    Trading Activities:

The Partnership was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The results of thePartnership's trading activities are shown in the statements ofincome and expenses.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair valueduring the years ended December 31, 2005 and 2004, based on a monthlycalculation, was $1,023,246 and $1,235,080, respectively.

5.    Distributions and Redemptions:

Distributions ofprofits, if any, will be made at the sole discretion of the GeneralPartner; however, each limited partner may redeem some or all of theirRedeemable Units at the Net Asset Value thereof as of the last day ofany calendar quarter on ten business days notice to the GeneralPartner, provided that no redemption may result in the limited partnerholding fewer than three Redeemable Units after such redemption iseffected.

F-11

----

HuttonInvestorsFutures Fund L.P. IINotes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of LimitedPartnership Interest during the years ended December 31, 2005, 2004 and2003 are asfollows:

|                                                                                       |  |        |           |          |  |        |           |          |  |        |          |          |  |  |
|---------------------------------------------------------------------------------------|--|--------|-----------|----------|--|--------|-----------|----------|--|--------|----------|----------|--|--|
|                                                                                  |  | 2005   |           | 2004     |  | 2003   |
| Netrealized and unrealized gains(losses)*                                             |  | $      | (2,047.24 | )   |  | $      | 696.21    |     |  | $      | 1,345.26 |     |
| Interestincome                                                                        |  |   | 204.39    |     |  |   | 93.34     |     |  |   | 74.03    |     |
| Expenses**                                                                            |  |   | (36.13    | )   |  |   | (152.94   | )   |  |   | (138.23  | )   |
| Increase(decrease) for theyear                                                        |  |   | (1,878.98 | )   |  |   | 636.61    |     |  |   | 1,281.06 |     |
| Netasset value per Redeemable Unit, beginning ofyear                                  |  |   | 10,057.19 |     |  |   | 9,420.58  |     |  |   | 8,139.52 |     |
| Netasset value per Redeemable Unit, end ofyear                                        |  | $      | 8,178.21  |     |  | $      | 10,057.19 |     |  | $      | 9,420.58 |     |
| *   Includesbrokerage commissions** Excludes brokeragecommissions |  |   |      |     |  |   |      |     |  |   |     |     |
| Ratiosto Average Net Assets:                                                          |  |   |      |     |  |   |      |     |  |   |     |     |
| Netinvestment loss before incentivefees***                                            |  |   | (3.3      | )%  |  |   | (4.1      | )%  |  |   | (3.8     | )%  |
| Operatingexpenses                                                                     |  |   | 5.8       | %   |  |   | 5.1       | %   |  |   | 4.7      | %   |
| Incentivefees                                                                         |  |   | —   |     |  |   | 1.5       | %   |  |   | 1.3      | %   |
| Totalexpenses                                                                         |  |   | 5.8       | %   |  |   | 6.6       | %   |  |   | 6.0      | %   |
| Totalreturn:                                                                          |  |   |      |     |  |   |      |     |  |   |     |     |
| Total return beforeincentivefees                                                      |  |   | (18.7     | )%  |  |   | 8.2       | %   |  |   | 17.3     | %   |
| Incentivefees                                                                         |  |   | —   | %   |  |   | (1.4      | )%  |  |   | (1.6     | )%  |
| Totalreturn after incentivefees                                                       |  |   | (18.7     | )%  |  |   | 6.8       | %   |  |   | 15.7     | %   |
|                                                                                       |

|           |                                                                 |
|-----------|-----------------------------------------------------------------|
| ***  | Interestincome less total expenses (exclusive of incentivefees) |

The above ratios may vary for individual investorsbased on the timing of capital transactions during the year.Additionally, these ratios are calculated for the Limited Partner classusing the Limited Partners' share of income, expenses and averagenet assets.

7.    Financial Instrument Risks:

In thenormal course of its business, the Partnership is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures and options, whose values arebased upon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, topurchase 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 and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe 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 

F-12

----

HuttonInvestorsFutures Fund L.P. IINotes to FinancialStatements

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

Credit risk is the possibility that a loss may occur due to thefailure 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 a 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 the solecounterparty or broker with respect to the Partnership's assetsis CGM.

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. These monitoringsystems allow the General Partner to statistically analyze actualtrading results with risk 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, 2005. However, due to the nature of thePartnership's business, these instruments may not be held tomaturity.

F-13

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 are summarizedbelow:

|                                                                                                                      |  |                                                        |         |                                                       |  |                                                   |            |                                                      |  |        |           |        |  |        |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|---------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|--------|-----------|--------|--|--------|------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |         | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |            | For the period from January 1, 2005 to March31, 2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 921,659 |                                                  |  | $                                                 | (1,658,079 | )                                               |  | $      | 1,157,446 |   |  | $      | (4,384,611 | )  |
|                                                                                                                 |  |                                                   |    |                                                  |  |                                              |       |                                                 |  |   |      |   |  |   |       |    |
| NetIncome (loss)                                                                                                     |  | $                                                      | 892,954 |                                                  |  | $                                                 | (1,673,285 | )                                               |  | $      | 1,142,240 |   |  | $      | (4,401,031 | )  |
| Increase(decrease) in Net Asset Value per Unit                                                                       |  | $                                                      | 434.30  |                                                  |  | $                                                 | (800.19    | )                                               |  | $      | 543.38    |   |  | $      | (2,056.47  | )  |
|                                                                                                                      |

|                                                                                                                       |  |                                                         |           |                                                       |  |                                                   |          |                                                      |  |        |            |         |  |        |           |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------|--|---------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|----------|------------------------------------------------------|--|--------|------------|---------|--|--------|-----------|--------|--|--|
|                                                                                                                  |  | For the period from October1, 2004 to December 31, 2004 |           | For the period fromJuly 1, 2004 to September 30, 2004 |  | For the periodfrom April 1, 2004 to June 30, 2004 |          | For the periodfrom January 1, 2004 to March 31, 2004 |
| Net realized and unrealized trading gains (losses) net ofbrokerage commissions and clearing fees plus interest income |  | $                                                       | 5,838,285 |                                                  |  | $                                                 | (302,898 | )                                               |  | $      | (5,010,077 | )  |  | $      | 1,147,965 |   |
|                                                                                                                  |  |                                                    |      |                                                  |  |                                              |     |                                                 |  |   |       |    |  |   |      |   |
| Netincome (loss)                                                                                                      |  | $                                                       | 5,740,703 |                                                  |  | $                                                 | (314,535 | )                                               |  | $      | (5,021,713 | )  |  | $      | 928,358   |   |
|                                                                                                                  |  |                                                    |      |                                                  |  |                                              |     |                                                 |  |   |       |    |  |   |      |   |
| Increase(decrease) in Net Asset Value per Redeemable Unit                                                             |  | $                                                       | 2,623.61  |                                                  |  | $                                                 | (141.80  | )                                               |  | $      | (2,258.89  | )  |  | $      | 413.69    |   |
|                                                                                                                       |

F-14

----

PART III

Item9.    Changes in and Disagreements with Accountants on Accountingand Financial Disclosure.

None.

Item9A.    Controls and Procedures.

Based on theirevaluation of the Partnership's disclosure controls andprocedures as of year end the President and Chief Financial Officer ofthe General Partner have concluded that such controls and proceduresare effective.

There were no significant changes in thePartnership's internal controls over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of yearend.

22

----

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 Advisor.

ThePartnership has not adopted a code of ethics that applies to officersbecause it has no officers.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by the General Partner. See"Item 1. Business." CGM is thecommodity broker for the Partnership and receives brokerage commissionsfor its services at an amount equal to $50 per round-turn futurestransaction and $25 per option transaction (inclusive of NFA, exchangeand clearing fees) as described in "Item 1.Business." and "Item 8.Financial Statements and Supplementary Data." Forthe year ended December 31, 2005, CGM earned $927,363 in brokeragecommissions and clearing fees.

Item 12.    SecurityOwnership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.As of March 1, 2006, one beneficial owner who is neither director norexecutive officer owns more than five percent (5%) of theoutstanding Redeemable Units issued by the Registrant asfollows:

|                                                 |  |                                                                             |  |                                          |  |                 |  |  |  |  |  |  |  |  |
|-------------------------------------------------|--|-----------------------------------------------------------------------------|--|------------------------------------------|--|-----------------|--|--|--|--|--|--|--|--|
| Titleof Class                                   |  | Name and Address of BeneficialOwner                                         |  | Amount and Nature of BeneficialOwnership |  | Percent ofClass |
| RedeemableUnits of Limited Partnership Interest |  | Cheryl A.SchwartzFbo R. Schwartz Flint TrustP.O. Box 1312Page, AZ86040-1312 |  | 135 RedeemableUnits                      |  | 6.7%            |
|                                                 |

(b)    Securityownership of management. Under the terms of the LimitedPartnership Agreement, the Partnership's affairs are managed bythe General Partner. The General Partner owns Units of generalpartnership interest equivalent to 44 Unit equivalents (2.2%) asof December 31, 2005.

(c)    Changes in control.None.

Item 13.    Certain Relationships and RelatedTransactions.

Citigroup Global Markets Inc. and CitigroupManaged Futures LLC would be considered promoters for purposes of Item404(d) of Regulation S-K. The nature and the amount of compensationreceived by CGM and the General Partner from the Partnership are setforth under "Item 1. Business.","Item 8. Financial Statements and SupplementaryData.", Note 3b, and "Item 11.Executive Compensation."

Item14.    Principal Accountant Fees and Services

(1)    Audit Fees. The aggregate fees billed for each ofthe last two fiscal years for professional services rendered by KPMGLLP for the audit of the Partnership's annual financialstatements, review of financial statements included in thePartnership's Forms 10-Q and other services normally provided inconnection with regulatory filings or engagements are asfollows:

2005                $25,708

2004                $9,390

(2)    Audit-Related Fees. None

(3)    TaxFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for tax complianceand tax advice given in the preparation of the Partnership'sSchedule K1s, the preparation of the Partnership's Form 1065 andpreparation of all State Tax Returns are asfollows:

2005                $7,606

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2004                $5,136

(4)    AllOther Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

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PART IV

Item15.    Exhibits and Financial Statement Schedules.

|               |                       |
|---------------|-----------------------|
| (a)(1)   | Financial Statements: |

Statements of Financial Condition at December 31, 2005 and2004.

Condensed Schedules of Investments at December 31,2005 and 2004.

Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003.

Statementsof Changes in Partners' Capital for the years ended December 31,2005, 2004 and 2003.

Statments of Cash Flows for theyears ended December  31, 2005, 2004 and2003.

Notes to Financial Statements.

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

3. –Agreement of Limited Partnership of Hutton Investors Futures Fund L.P.II (the "Partnership") dated as of March 30,1987, as amended and restated as of June 1, 1987).

10.1– Form of Subscription Agreement (incorporated by reference fromExhibit E to the Prospectus contained in Amendment No. 1 to theRegistration Statement on Form S-1 (File No.33-13485) filed by thePartnership on June 5, 1987).

10.2 – Form ofRequest for Redemption (incorporated by reference from Exhibit B to theProspectus contained in Amendment No.1 to the Registration Statement onForm S-1 (File No. 33-13485) filed by the Partnership on June 5,1987).

10.3 – Escrow Agreement dated June 9, 1987,among the Partnership, Hutton Commodity Management Inc., E.F. Hutton& Company Inc. and Chemical Bank (previously filed).

10.4 – Brokerage Agreement dated as of July 23, 1987,between the Partnership and E.F. Hutton & Company Inc. (previouslyfiled).

10.5 – Advisory Agreement dated as ofMarch 31, 1987, among the Partnership, Hutton Commodity ManagementInc., Desai & Company and John W. Henry & Company, Inc.(previously filed).

10.6 – RepresentationAgreement concerning the Registration Statement and the Prospectusdated as of June 9, 1987, among the Partnership, Hutton & CompanyInc., Cresta Commodity Management Inc., Desai & Company and John W.Henry & Company, Inc. (previously filed).

10.7– Net Worth Agreement dated as of June 3, 1987, between HuttonCommodity Management Inc. and the E.F. Hutton Group Inc. (previouslyfiled).

10.8 – Copy of executed Promissory Notedated June 3, 1987, from The E.F. Hutton Group Inc. to Hutton CommodityManagement Inc. (previously filed).

10.9 – Letteramending and extending Management Agreement dated March 31, 1987 amongthe Partnership, Hutton Commodity Management, Inc., John W. Henry &Company, Inc. and Desai & Company as of September 26, 1989(previously filed).

10.10 – Letter dated August28, 1990 from the Partnership to John W. Henry & Company, Inc.extending Management Agreement (filed as Exhibit k to Form 10-K for thefiscal year ended December 31, 1990 and incorporated herein byreference).

10.11 – Letter dated August 28, 1990from Partnership to Desai & Company extending Management Agreement(filed as Exhibit l to Form 10-K for the fiscal year ended December 31,1990 and incorporated herein by reference).

10.12– Letter dated January 17, 1991 from the Partnership to Desai& Company terminating Management Agreement (filed as Exhibit m toForm 10-K for the fiscal year ended December 31, 1990 and incorporatedherein by reference).

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10.13 – Advisory Agreementdated January 30, 1991 among the Partnership, the General Partner andTrendLogic Associates, Inc. (filed as Exhibit n to Form 10-K for thefiscal year ended December 31, 1990 and incorporated herein byreference).

10.14 – Letter dated August 30, 1991from the General Partner to John W. Henry & Company, Inc. extendingAdvisory Agreement (filed as Exhibit o to Form 10-K for the fiscal yearended December 31, 1991 and incorporated herein by reference).

10.15 – Letter dated August 30, 1991 from the GeneralPartner to TrendLogic Associates, Inc. extending Advisory Agreement(filed as Exhibit p to Form 10-K for the fiscal year ended December 31,1991).

10.16 – Letter dated August 31, 1992 fromthe General Partner to John W. Henry & Company, Inc. (filed asExhibit q to Form 10-K for the fiscal year ended December 31,1991).

10.17 – Letter dated August 31, 1992 fromthe General Partner to TrendLogic Associates, Inc. extending AdvisoryAgreements (filed as Exhibit r to Form 10-K for the fiscal year endedDecember 31, 1992 and incorporated herein by reference).

10.18 – Letter dated August 31, 1993 from the GeneralPartner to John W. Henry & Company, Inc. extending AdvisoryAgreements (filed as Exhibit s to Form 10-K for the fiscal year endedDecember 31, 1993 and incorporated herein by reference).

10.19 – Letter dated August 31, 1993 from the GeneralPartner to TrendLogic Associates, Inc. (filed as Exhibit t to Form 10-Kfor the fiscal year ended December 31, 1993).

10.20– Letter dated February 16, 1995 from the General Partner toTrendLogic Associates, Inc. extending Advisory Agreement (filed asExhibit u to Form 10-K for the fiscal year ended December 31,1994).

10.21 – Letter dated February 16, 1995 fromthe General Partner to John W. Henry & Company, Inc. extendingAdvisory Agreement (filed as Exhibit v to Form 10-K for the fiscal yearended December 31, 1994).

10.22 – Letter extendingManagement Agreements with John W. Henry & Company, Inc. andTrendLogic Associates, Inc. for 1996 and 1997 (previously filed).

10.23 – Letters extending Management Agreements withJohn W. Henry & Company, Inc. and TrendLogic Associates, Inc. for1998 (previously filed).

10.24 – Letters extendingManagement Agreements with John W. Henry & Company, Inc. andTrendLogic Associates, Inc. for 1999 (previously filed).

10.25 – Letters extending Management Agreements withJohn W. Henry and Company, Inc. and TrendLogic Associates, Inc. for2000 (previously filed).

10.26 – Letters extendingManagement Agreements with John W. Henry and Company, Inc. andTrendlogic Associates, Inc. for 2001 (previously filed).

10.27 – Letters extending Management Agreements withJohn W. Henry and Company, Inc. and TrendLogic Associates, Inc. for2002 (previously filed).

10.28 – Letterterminating TrendLogic Associates, Inc. (previously filed).

10.29 – Letter extending the Management Agreement withJohn W. Henry and Company, Inc. for 2003 (previously filed).

10.30 – Letter extending the Management Agreement withJohn  W. Henry and Company, Inc. for 2004 (previouslyfiled).

10.31 – Letter extending the ManagementAgreement with John  W. Henry and Company, Inc. for 2005 (filedherein).

16.1 – Letter from PricewaterhouseCoopersLLP (previously filed).

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The exhibits required to be filedby Item 601 of regulation S-K are incorporated herein by reference

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

31.2 –Rule 13a-14(a)/15d-14(a) Certification (Certification of ChiefFinancial Officer and Director)

32.1 – Section1350 Certification (Certification of President and Director)

32.2 – Section 1350 Certification (Certification ofChief Financial Officer and Director)

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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 proxymaterial has been sent to LimitedPartners.

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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, in the City of New York andState of New York on the 29th day of March 2006.

HUTTONINVESTORS FUTURES FUND L.P. II

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

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

Pursuantto the requirements of the Securities Exchange Act of 1934, this annualreport on Form 10-K has been signed below by the following persons onbehalf of the Registrant and in the capacities and on the dateindicated.

|                                                             |  |                                    |  |  |  |  |
|-------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| /s/David J. Vogel                                           |  | /s/ ShelleyUllman                  |
| DavidJ. VogelPresident and Director                         |  | ShelleyUllmanDirector              |
| /s/Maureen O'Toole                                          |  | /s/ IhorRakowsky                   |
| MaureenO'TooleDirector                                      |  | Ihor RakowskySecretary andDirector |
| /s/Daniel R. McAuliffe, Jr.                                 |  | /s/ JenniferMagro                  |
| Daniel R. McAuliffe, Jr.Chief FinancialOfficer and Director |  | JenniferMagroDirector              |
|                                                        |  | /s/Jerry Pascucci                  |
|                                                        |  | JerryPascucciDirector              |
|                                                             |

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