SMITH BARNEY MID WEST FUTURES FUND LP II
2005  2004  2003  2002  2001   Realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions (including clearing fees) of $1,238,706, $1,513,848, $1,865,651, $1,967,411 and $2,506,228, respectively  $                (6,066,209 )   $ 3,205,518    $ 1,983,308    $ 8,791,282    $                (889,142 )    Interest income    456,273      228,372      229,309      377,817      1,122,566        $                (5,609,936 )   $ 3,433,890    $ 2,212,617    $ 9,169,099    $ 233,424     Net income (loss)  $                (6,279,604 )   $ 2,654,645    $ 1,115,014    $ 8,196,531    $                (1,014,999 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $                (498.98 )   $ 205.72    $ 52.86    $ 431.46    $                (43.77 )    Total assets  $ 18,056,516    $ 26,928,378    $ 26,296,781    $ 28,253,989    $ 37,316,295          Item 7.    Management's Discussion and Analysis of Financial Condition and Results of Operations. Overview The Partnership, through its investment in the Master, aims to achieve substantial capital appreciation through speculative trading in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals. The Partnership has invested all of its assets in the Master. The Master may employ futures, options on futures, and forward, spot and swap contracts in those markets. The General Partner/Managing Member manages all business of the Partnership/Master. The General Partner has delegated its responsibility for the investment of the Partnership's assets to JWH. The Partnership has invested these assets in the Master. The General Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to maintain quality control among the advisors to the Partnerships operated or managed by the General Partner. A full-time staff of due diligence professionals use state-of-the-art technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provide processing of trading activity and reporting to limited partners and regulatory authorities. In selecting the Advisor for the Partnership, the General Partner considered past performance, trading style, volatility of markets traded and fee requirements. 12     Responsibilities of the General Partner/Managing Member include:       •  due diligence examinations of the Advisor;         •  selection, appointment and termination of the Advisor;         •  negotiation of the management agreement; and         •  monitoring the activity of the Advisor.   In addition, the General Partner/Managing Member prepares the books and records and provides the administrative and compliance services that are required by law or regulation from time to time in connection with operation of the Partnership/Master. These services include the preparation of required books and records and reports to limited partners, government agencies and regulators; computation of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner communications; and preparation of offering documents and sales literature. The General Partner/Managing Member shall seek the best prices and services available in its commodity futures brokerage transactions. The General Partner/Managing Member reviews at least annually, the brokerage rates charged to commodity pools similar to the Partnership/Master to determine that the brokerage fee the Partnership/Master pays is competitive with other rates. The Advisor specializes in managing institutional and individual capital in the global futures, interest rate and foreign exchange markets. Since 1981, JWH has developed and implemented proprietary trend-following trading techniques that focus on long-term trends. JWH trades its Strategic Allocation Program ("SAP") on behalf of the Partnership, through its investment in the Master. SAP's objective is capital appreciation with the reduction of the volatility and risk of loss that typically would be associated with an investment in any one JWH investment program. JWH currently operates 11 investment programs including SAP. Any or all of the other ten programs may be included in SAP from time to time. Each investment program has distinctive style, timing, and market characteristics. SAP program selection and allocations are made at the discretion of the JWH Investment Policy Committee. As of December 31, 2005, the Master's assets were allocated among the JWH programs as follows:                     Percentage Allocation in the Master as ofDecember 31, 2005   Broadly Diversified Programs          •    Original Investment Program    15 %    •    JWH GlobalAnalytics® Family of Programs    10 %    Financial Programs          •    Financial and Metals Portfolio    15 %    •    Global Financial & Energy Portfolio    15 %    •    Worldwide Bond Program    15 %    Multiple Style Programs          •    Currency Strategic Allocation Program    20 %    Foreign Exchange Programs          •    Dollar Based Program    10 %         The allocation of SAP's assets among the investment programs, as well as the selection of the programs used for SAP, is dynamic. While JWH's individual investment programs are technical, trend-following programs, the selection of programs as well as the allocation of assets among the programs in SAP are entirely discretionary. 13     (a)    Liquidity.  The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Master. Such substantial losses could lead to a material loss in liquidity. To minimize this risk relating to low margin deposits, the Master follows certain trading policies, including:       (i)   The Master invests its assets only in commodity interests that an Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market.         (ii)  The Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66  2/3% of the Master's net assets allocated to that Advisor.         (iii)   The Master may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged.         (iv)   The Master does not employ the trading technique commonly known as "pyramiding", in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities.         (v)   The Master does not utilize borrowings except short-term borrowings if the Master takes delivery of any cash commodities.         (vi)   The Advisor may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Master. The term "spread" or "straddle" describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts.         (vii)   The Master will not permit the churning of its commodity trading account. The term "churning" refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income.   The Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments, through its investment in the Master. In the normal course of business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments include forwards, futures, options and swaps, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash flows, or to purchase or sell other financial instruments at specified terms at specified future dates, or, in the case of derivative commodity interests, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards, swaps and certain options. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in  14      commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of financial condition and not represented by the contract or notional amounts of the instruments. The Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner/Managing Member monitors and controls the Master's risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master is subject. These monitoring systems allow the General Partner/Managing Member to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. (See also "Item 8. Financial Statements and Supplementary Data" for further information on financial instrument risk included in the notes to the financial statements.) Other than the risks inherent in commodity futures and swaps trading, the Master knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Master's liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the General Partner may, in its discretion, cause the Partnership to cease trading operations and liquidate all open positions under certain circumstances including a decrease in Net Asset Value per Redeemable Unit to less than $350 as of the close of business on any business day. (b)    Capital resources.  (i)    The Partnership has made no material commitments for capital expenditures. (ii)    The Partnership's capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market moves in commodities are dependent upon fundamental and technical factors which the Advisor may or may not be able to identify, such as changing supply and demand relationships, weather, government agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, commissions, advisory fees and administrative fees. The level of these expenses is dependent upon the level of trading and the ability of the Advisors to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained in the Master. In addition, the amount of interest income payable by CGM is dependent upon interest rates over which the Partnership has no control. No forecast can be made as to the level of redemptions in any given period. A limited partner may redeem all or some of his Redeemable Units at the Net Asset Value thereof as of the last day of any month on fifteen days' written notice to the General Partner. For the year ended December 31, 2005, 1,434.4766 Redeemable Units were redeemed totaling $2,363,640. For the year ended December 31, 2004, 1,047.6421 Redeemable Units were redeemed totaling $1,943,492 and 100.00000 Units of General Partner equivalent totaling $184,604. For the year ended December 31, 2003, 1,459.9888 Redeemable Units were redeemed totaling $2,979,528 and 50.0000 Units of General Partner equivalent totaling $102,821. Redeemable Units of Limited Partnership Interest were sold to persons and entities who are accredited investors as that term is defined in rule 501(a) of Regulation D under the Securities Act of 1933 as well as to those persons who are not accredited investors but who have either a net worth (exclusive of home, furnishings and automobile) either individually or jointly with the investor's spouse of at least three times his investment in the Partnership (the minimum investment for which was $25,000) or gross income for the two previous years and projected gross income for the current fiscal year of not less than three times his investment in the Partnership for each year. 15     (c)    Results of Operations. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit decreased 24.3% from $2,051.76 to $1,552.78. For the year ended December 31, 2004, the Net Asset Value per Redeemable unit increased 11.1% from $1,846.04 to $2,051.76. For the year ended December 31, 2003, the Net Asset per Redeemable Unit increased 3.0% from $1,793.18 to $1,846.04. The Partnership, through its investment in the Master, experienced net trading losses of $4,827,503 before commissions and expenses for the year ended December 31, 2005. Losses were attributable to the Master's trading of currencies, energy, grains, metals, U.S. and non-U.S. interest rates and were partially offset by gains incurred in the trading of livestock, softs and indices.  Trading results for the year 2005 were characterized by several events that made it extraordinarily difficult for the advisor's program to trade successfully and to retain profits when earned. While profitable trading did occur in the stock index, and softs sectors, these relatively slight gains were offset by losses experienced in the other sectors. In financial markets, foreign stock market indices were the most profitable sector for the partnership for the year as a resurging Japanese economy and positive political news in Europe propelled these markets out of long-term doldrums. More than offsetting these gains were losses in U.S. and non-U.S. interest rate contract trading. Currency trading was also unprofitable with the focus being the U.S. dollar versus both European and Asian currencies. After a prolonged decline in 2004, the U.S. dollar defied expectations for further weakness and rallied in January resulting in losses for the advisor at the beginning of the year. The dollar continued strengthening through the second quarter but encountered a prolonged period of volatility at the beginning of the third quarter with the Chinese government's decision to revalue the Chinese yuan.  Profitable trading over the last half of the year in precious and base metals was able to offset most but not all of the losses incurred earlier in the year in the these markets. 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, copper and aluminum also experienced substantial price increases as global demand and speculative trading spurred prices. The energy markets provided profitable trading for much of the year with crude oil and natural gas prices dramatically reaching their peaks post Hurricanes Katrina and Rita. Prices had risen so much, so quickly, however, that a not unexpected reaction was for prices to trade in a wide range over the latter four months of the year. These types of markets were not conducive to profitable trading for the Advisor's trend-following strategies and resulted in a loss for the full year. Overall, it was a particularly difficult year for the Partnership's Advisor with periods of favorable market conditions abruptly dashed by single events and prolonged volatility. The Partnership, through its investment in the Master, experienced net trading gains of $4,719,366 before commissions and expenses for the year ended December 31, 2004. Gains were attributable to the Master's trading of currencies, energy, grains, U.S. and non-U.S. interest rates and were partially offset by losses incurred in the trading of livestock, metals, stock indices and softs. Trading results for the year 2004 can be described in four distinct periods: the first two months of the year produced positive results of over 12% with trends carrying over from late 2003, the middle five months experienced extraordinarily difficult conditions and losses of approximately 33% from the recent high for the Partnership, August through November witnesses a recovery period with an increase in net asset value per unit of over 49%. And December stands alone with the Partnership down approximately 1.4% for the month but finishing up 11.1% for the full year. The results for the year were heavily influenced by two historic trends: the decline in the value of the U.S. dollar versus major currencies and the run-up in the price of crude oil to over $50 a barrel. 2004 started strongly with many of the trends from late 2003 continuing into early 2004. Notably lower interest rates in the U.S. and other major countries fostered strong global economic growth and pressured commodity prices. These resulted in upward trends in many sectors, especially energy, metals  16      and grains and provided profitable trading opportunities for the Partnership's Advisor. These trends persisted into early March when economic indicators in the U.S. and China suggested rising inflation and markets reversed with higher interest rates, collapsing commodity prices and the dollar reversal. This began a protracted period of tentative and conflicting trends across many sectors. As expected in the nature of trend-following, the strength of profitable trends is often followed by temporary but often severe periods of losses. Late March through June 2004 was such a period for the Partnership's Advisor as positions were adjusted from what had been profitable, long-term trends to choppy, directionless and volatile markets. Trading was treacherous and thus unprofitable in U.S. and Asian interest rates and global stock indices while energy, metals and grains provided some offsetting profits. The fundamental economic concerns hanging over these markets were further exacerbated by the uncertainty surrounding the tightly contested U.S. presidential election. With 2004 looking dismal going 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. Long positions in the energy sector continued to provide profits to the Partnership through the end of the third quarter and into the fourth quarter. In late August the U.S. dollar began a precipitous slide toward $1.40 to the euro. These renewed trends in currency prices combined with declining interest rates and stronger global stock markets were favorable to the Partnership's Advisor and provided a solidly profitable September and November for the Partnership. Volatility across many markets especially currencies and energy in December resulted in slight loss for the month. In spite of an extremely difficult and challenging year, the Partnership had an overall increase in net asset value per unit for the year. The Partnership, through its investment in the Master, experienced net trading gains of $3,848,959 before commissions and expenses for the year ended December 31, 2003. Gains were attributable to the Master's trading of currencies, livestock, metals and stock indices and were partially offset by losses incurred in the trading of energy, grains, U.S. and non-U.S. interest rates and softs. (d)    Operational Risk  The Partnership, through its investment in the Master, is directly exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace. Such risks include:  Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership, through its investment in the Master, is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.  Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's and the Master's ability to gather, process, and communicate information efficiently and securely, without interruption, with customers, among Redeemable Units within the Partnership and the Master, and in the markets where the Partnership and the Master participate.  Legal/Documentation Risk — the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in noncompliance with applicable legal and regulatory requirements.  Financial Control Risk — the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with management's authorization, and that financial information utilized by management and communicated to external parties, including the Partnership's Redeemable Unit holders, creditors, and regulators, is free of material errors. 17     (e)    Critical Accounting Policies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statement of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the Managing Member for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests. Foreign currency contracts are those contracts where the Partnership/Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Master's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting dates, is included in the statement of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statement of income and expenses and members' capital. The General Partner believes that the accounting policies that will be most critical to the Partnership's financial condition and results of operations relate to the valuation of the Master's positions. The majority of the Master's positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. If applicable, the Masters' spot and forward foreign currency contracts will also be valued at published daily settlement prices or at dealers' quotes. The General Partner/Managing Member expects that under normal circumstances substantially all of the Partnership's/Master's assets will be valued by objective measures and without difficulty. Item 7A.    Quantitative and Qualitative Disclosures About Market Risk  The Master is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss, through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership's and the Master's main line of business. The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law. Market movements result in frequent changes in the fair market value of the Master's open positions and, consequently, in its earnings and cash flow. The Master's and the Partnership's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master's open positions and the liquidity of the markets in which it trades. The Master rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master's speculative trading and  18      the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Master's losses in any market sector will be limited to Value at Risk or by the Master's attempts to manage its market risk. Quantifying the Master's Trading Value at Risk The following quantitative disclosures regarding the Master's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period). The Master's risk exposure in the various market sectors traded by the Advisor is quantified below in terms of Value at Risk. Due to the Master's mark-to-market accounting, any loss in the fair value of the Master's open positions is directly reflected in the Master's earnings (realized or unrealized) and cash flow. Exchange maintenance margin requirements have been used by the Master as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%–99% of any one-day intervals. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk. In the case of market sensitive instruments, which are not exchange traded (almost exclusively currencies in the case of the Master), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers' margins have been used. The fair value of the Master's futures and forward positions does not have any optionality component. However, the Advisor trades commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures-equivalent maintenance margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Master in almost all cases fluctuate to a lesser extent than those of the underlying instruments. In quantifying the Master's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Master's positions are rarely, if ever, 100% positively correlated have not been reflected. 19     The Master's Trading Value at Risk in Different Market Sectors The following table indicates the trading Value at Risk associated with the Master's open positions by market category as of December 31, 2005 and the highest and lowest value at any point during the year. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of December 31, 2005, the Master's total capitalization was $163,812,603. December 31, 2005                               Market Sector  Value at Risk  % of Total Capitalization  High Value at Risk  LowValue at Risk  Average*Value at Risk   Currencies:                                      — OTC Contracts  $  7,825,928      4.78 %   $  17,193,806    $  5,084,096    $  10,343,780     Energy    3,968,100      2.42 %     9,753,735      2,066,250      6,559,403     Grains    213,380      0.13 %     686,681      137,727      367,680     Interest Rates U.S.    1,155,800      0.71 %     2,373,400      229,065      1,350,279     Interest Rates Non-U.S.    2,047,806      1.25 %     8,280,125      1,551,019      4,649,754     Livestock    45,500      0.03 %     151,200      3,200      74,367     Metals                                      — Exchange Traded Contracts    1,236,500      0.75 %     1,747,000      186,000      1,041,820     — OTC Contracts    935,698      0.57 %     2,427,602      511,160      1,235,947     Softs    891,475      0.54 %     1,580,442      515,760      960,763     Indices    3,088,372      1.89 %     4,526,107      1,482,358      3,013,924     Total  $  21,408,559      13.07 %                                                                                         * annual average based on month-end value at risk   As of December 31, 2004, the Master's total capitalization was $227,330,049. December 31, 2004                               Market Sector  Value at Risk  % of Total Capitalization  High Value at Risk  LowValue at Risk  Average*Value at Risk   Currencies                                      — OTC Contracts  $ 18,279,082      8.04 %   $ 19,488,397    $ 6,009,165    $ 11,416,523     Energy    8,464,810      3.72 %     10,739,025      4,281,150      6,625,471     Grains    374,560      0.17 %     1,167,650      324,855      792,869     Interest rates U.S.    1,593,745      0.70 %     2,728,400      562,510      2,080,827     Interest rates Non-U.S.    8,321,211      3.66 %     9,645,652      3,748,757      7,399,765     Livestock    129,150      0.06 %     234,000      23,100      170,236     Metals                                      — Exchange Traded Contracts    1,413,000      0.62 %     2,134,000      144,500      1,663,750     — OTC Contracts    2,260,564      0.99 %     2,737,391      939,150      1,573,962     Softs    1,548,954      0.68 %     1,735,047      560,686      1,175,096     Indices    5,266,285      2.32 %     6,506,354      1,807,427      4,124,850     Total  $ 47,651,361      20.96 %                                                  * annual average based on month-end value at risk   20     Material Limitations on Value at Risk as an Assessment of Market Risk The face value of the market sector instruments held by the Master is typically many times the applicable maintenance margin requirement (margin requirements generally range between 2% and 15% of contract face value) as well as many times the capitalization of the Master. The magnitude of the Master's open positions creates a "risk of ruin" not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Master to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Master — gives no indication of this "risk of ruin." Non-Trading Risk The Master has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are considered to be immaterial. Materiality as used in this section, "Qualitative and Quantitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Master's market sensitive instruments. Qualitative Disclosures Regarding Primary Trading Risk Exposures The following qualitative disclosures regarding the Master's market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Master manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. The Master's primary market risk exposures as well as the strategies used and to be used by the Managing Member and the Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Master's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Master. There can be no assurance that the Master's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short or long term. Investors must be prepared to lose all or substantially all of their investment in the Partnership. The following were the primary trading risk exposures of the Master as of December 31, 2005, by market sector.  Interest Rates. Interest rate movements directly affect the price of the futures positions held by the Master and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Master's profitability. The Master's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-8 countries. However, the Master also takes futures positions on the government debt of smaller nations — e.g., Australia.  Currencies. The Master's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Managing Member does not anticipate that the risk profile of the Master's currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S. dollar-based Master in expressing Value at Risk in a functional currency other than U.S. dollars.   Stock Indices. The Master's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Master are limited to futures on broadly based indices. As of  21      December  31, 2005, the Master's primary exposures were in the Eurex (Germany) and Chicago Mercantile Exchange (United States) stock indices. The Managing Member anticipates little, if any, trading in non-G-8 stock indices. The Master is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Master to avoid being "whipsawed" into numerous small losses.)  Metals. The Master's primary metal market exposure is to fluctuations in the price of gold and silver. Although the Advisor will from time to time trade base metals such as aluminum and copper, the principal market exposures of the Master have consistently been in the precious metals, gold and silver.  Softs. The Master's primary commodities exposure is to agricultural price movements, which are often directly affected by severe, or unexpected weather conditions. Coffee, cotton and sugar accounted for the substantial bulk of the Master's commodity exposure as of December 31, 2005.  Energy. The Master's primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Master as of December 31, 2005.  Foreign Currency Balances. The Master's primary foreign currency balances were in Japanese yen, Euro dollar and Swiss francs. The Advisor regularly converted foreign currency balances to U.S. dollars in an attempt to control the Master's non-trading risk. Qualitative Disclosures Regarding Means of Managing Risk Exposure The General Partner monitors and controls the Master's and the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master and the Partnership are subject. The General Partner monitors the Master's performance and the concentration of its open positions, and consults with the Advisor concerning the Master's overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require the Advisor to close out individual positions as well as enter certain positions traded on behalf of the Master. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisor's own risk control policies while maintaining a general supervisory overview of the Master's market risk exposures. The Advisor applies its own risk management policies to its trading. The Advisor often follows diversification guidelines, margin limits and stop loss points to exit a position. The Advisor's research of risk management often suggests ongoing modifications to its trading programs. As part of the General Partner's risk management, the General Partner periodically meets with the Advisor to discuss its risk management and to look for any material changes to the Advisor's portfolio balance and trading techniques. The Advisor is required to notify the General Partner of any material changes to its programs. 22     Item 8.    Financial Statements and Supplementary Data.  SMITH BARNEY MIDWEST FUTURES FUND L.P. II INDEX TO FINANCIAL STATEMENTS                  Page Number   Oath or Affirmation   F-2   Report of Independent Registered Public Accounting Firm  F-3   Statements of Financial Condition at December 31, 2005 and 2004   F-4   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003   F-5   Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003   F-6   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003   F-7   Notes to Financial Statements   F-8 – F-11   Selected Unaudited Quarterly Financial Data   F-12   Financial Statements of the Master:      Oath or Affirmation   F-13   Independent Auditors' Report   F-14   Statements of Financial Condition at December 31, 2005 and 2004   F-15   Condensed Schedules of Investments at December 31, 2005 and 2004   F-16 – F-17   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003   F-18   Statements of Changes in Members' Capital for the years ended December 31, 2005, 2004 and 2003   F-19   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003   F-20   Notes to Financial Statements   F-21 – F-24   Selected Unaudited Quarterly Financial Data   F-25        F-1     To the Limited Partners ofSmith Barney Mid-West 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:  Daniel R. McAuliffe, Jr.Chief Financial Officer and Director Citigroup Managed Futures LLCGeneral Partner, Smith Barney Mid-West Futures Fund L.P. II                Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011        F-2     Report of Independent Registered Public Accounting Firm To the Partners ofSmith Barney Mid-West Futures Fund L.P. II: We have audited the accompanying statements of financial condition of Smith Barney Mid-West Futures Fund L.P. II (the "Partnership"), 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 the years in the three-year period ended December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Smith Barney Mid-West Futures Fund L.P. II as of December 31, 2005 and 2004, and the results of its operations, changes in its partners' capital, and its cash flows for each of the years in the three-year period ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.     New York, New YorkMarch 13, 2006 F-3     Smith Barney Mid-West Futures Fund L.P. IIStatements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Investment in Master, at fair value  $ 18,019,796    $ 26,911,329     Cash    36,720      17,049        $ 18,056,516    $ 26,928,378     Liabilities and Partners' Capital:                 Liabilities:                 Accrued expenses:                 Commissions (Note 3c)  $ 90,283    $ 134,642     Management fees (Note 3b)    29,869      44,590     Administrative fees (Note 3a)    14,935      22,295     Professional fees    30,786      24,763     Other    13,755      15,097     Redemptions payable (Note 5)    139,248      306,107          318,876      547,494     Partners' capital (Notes 1 and 5):                 General Partner, 301.3070 Unit equivalents outstanding in 2005 and 2004    467,863      618,210     Limited Partners, 11,121.8791 and 12,556.3557 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    17,269,777      25,762,674          17,737,640      26,380,884        $ 18,056,516    $ 26,928,378           See accompanying notes to financial statements.  F-4     Smith Barney Mid-West Futures Fund L.P. IIStatements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Realized gains (losses) on closed positions and foreign currencies from Master  $                (1,693,921 )   $ 3,634,889    $ 3,369,625     Change in unrealized gains on open positions from Master    (3,133,582 )     1,084,477      479,334     Expenses allocated from Master    (39,922 )     (77,672 )     (107,545 )         (4,867,425 )     4,641,694      3,741,414     Interest income allocated from Master (Note 3c)    456,273      228,372      229,309          (4,411,152 )     4,870,066      3,970,723     Expenses:                        Brokerage commissions (Note 3c)    1,198,784      1,436,176      1,758,106     Management fees (Note 3b)    396,611      475,623      582,488     Administrative fees (Note 3a)    198,304      237,810      291,243     Incentive fees (Note 3b)    —      —      178,139     Professional fees    49,675      44,879      39,498     Other expenses    25,078      20,933      6,235          1,868,452      2,215,421      2,855,709     Net income (loss)  $                (6,279,604 )   $ 2,654,645    $ 1,115,014     Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 6)  $                (498.98 )   $ 205.72    $ 52.86           See accompanying notes to financial statements.  F-5     Smith Barney Mid-West Futures Fund L.P. IIStatements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003                          Limited Partners  General Partner  Total   Partners' capital at December 31, 2002  $ 27,012,395    $ 809,275    $ 27,821,670     Net income    1,080,639      34,375      1,115,014     Redemption of 1,459.9888 Redeemable Units of Limited Partnership Interest and 50.0000 Units of General Partnership equivalent    (2,979,528 )     (102,821 )     (3,082,349 )    Partners' capital at December 31, 2003    25,113,506      740,829      25,854,335     Net income    2,592,660      61,985      2,654,645     Redemption of 1,047.6421 Redeemable Units of Limited Partnership Interest and 100.0000 Units of General Partnership equivalent    (1,943,492 )     (184,604 )     (2,128,096 )    Partners' capital at December 31, 2004    25,762,674      618,210      26,380,884     Net loss    (6,129,257 )     (150,347 )     (6,279,604 )    Redemption of 1,434.4766 Redeemable Units of Limited Partnership Interest    (2,363,640 )     —      (2,363,640 )    Partners' capital at December 31, 2005  $ 17,269,777    $ 467,863    $ 17,737,640          Net asset value per Redeemable Unit:               2003  $ 1,846.04     2004  $ 2,051.76     2005  $ 1,552.78           See accompanying notes to financial statements.  F-6     Smith Barney Mid-West Futures Fund L.P. IIStatements of Cash Flowsfor the years endedDecember 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)  $                (6,279,604 )   $ 2,654,645    $ 1,115,014     Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities                        Proceeds from sale of investment in             Partnership    4,024,108      4,008,856      5,697,031     Net unrealized appreciation (depreciation) on             investment in Partnerships     4,867,425      (4,641,695 )     (3,741,414 )    Accrued expenses:                        Increase (decrease) in commissions    (44,359 )     3,158      (9,786 )    Increase (decrease) in management fees    (14,721 )     1,020      (3,242 )    Increase (decrease) in administrative fees    (7,360 )     510      (1,621 )    Increase (decrease) in professional fees    6,023      5,502      (2,317 )    Increase (decrease) in other    (1,342 )     11,232      (55 )    Net cash provided by (used in) operating activities    2,550,170      2,043,228      3,053,610                              Cash flows from financing activities:                        Payments for redemptions – Limited Partners    (2,530,499 )     (1,859,866 )     (2,952,380 )    Payments for redemptions – General Partner    —      (184,604 )     (102,821 )            Net cash provided by (used in)         financing activities    (2,530,499 )     (2,044,470 )     (3,055,201 )    Net change in cash    19,671      (1,242 )     (1,591 )    Cash, at beginning of year    17,049      18,291      19,882     Cash, at end of year  $ 36,720    $ 17,049    $ 18,291           See accompanying notes to financial statements.  F-7     Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements 1.    Partnership Organization: Smith Barney Mid-West Futures Fund L.P. II (the "Partnership") is a limited partnership which was organized on June 3, 1994 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The Partnership commenced trading on September  1, 1994. From September  1, 1994 to January 25, 2001, the Partnership engaged directly in the speculative trading of a diversified portfolio of commodity interests. The commodity interests that were traded by the Partnership are volatile and involved a high degree of market risk. The Partnership was authorized to sell 75,000 redeemable units of Limited Partnership Interest ("Redeemable Units") during its initial offering period. As of June 7, 1999, the Partnership was authorized to sell an additional 25,000 Redeemable Units. Effective January 26, 2001, the Partnership allocated substantially all of its capital to the JWH Strategic Allocation Master Fund LLC, a New York Limited Liability Company (the "Master"). With this cash, the Partnership purchased 42,510.5077 Units of the Master with a fair value of $42,510,508. The Master was formed in order to permit commodity pools managed now or in the future by John W. Henry & Company, Inc. ("JWH") using the Strategic Allocation Program, JWH's proprietary trading program, to invest together in one trading vehicle. Citigroup Managed Futures LLC acts as the general partner (the "General Partner") of the Partnership. The General Partner is the managing member of the Master. Individual and pooled accounts currently managed by JWH, including the Partnership are permitted to be a non-managing member of the Master. The General Partner and JWH believe that trading through this master/feeder structure should promote efficiency and economy in the trading process. Expenses to investors as a result of investment in the Master are approximately the same and redemption rights are not affected. The financial statements of the Master, including the condensed schedules of investments, are contained elsewhere in this report and should be read together with the Partnership's financial statements. At December 31, 2005 and 2004, the Partnership owns 10.97% and 11.82%, respectively of the Master. It is the Partnership's intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Partnership's and Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner and the Managing Member. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup"). The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of their initial capital contribution and profits, if any, net of distributions. The Partnership will be liquidated upon the first to occur of the following: December 31, 2014; when the Net Asset Value of a Redeemable Unit decreases to less than $350 per Redeemable Unit as of the close of business on any business day; or under certain other circumstances as defined in the Limited Partnership Agreement. 2.    Accounting Policies:       a.  The value of the Partnership's investment in the Master reflects the Partnership's proportional interest in the members' capital of the Master. All of the income and expenses and unrealized and realized gains and losses from the commodity transactions of the Master are allocated pro rata among the investors at the time of such determination. All commodity interests (including    F-8     Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements          derivative financial instruments and derivative commodity instruments) held by the Master are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the year. Realized gains (losses) and changes in unrealized gains (losses) on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.         b.  Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership's income and expenses.         c.  The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.         d.  Certain prior period amounts have been reclassified to conform to current year presentation.   3.    Agreements:       a.  Limited Partnership Agreement:   The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership. The Partnership will pay the General Partner a monthly administrative fee in return for its services to the Partnership equal to  1/12 of 1% (1% per year) of month-end Net Assets of the Partnership. Month-end Net Assets, for the purpose of calculating administrative fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees. This fee may be increased or decreased at the discretion of the General Partner.       b.  Management Agreement:   The Management Agreement that the General Partner, on behalf of the Partnership, entered into with the Advisor, provides that the Advisor has sole discretion in determining the allocation of the assets of the Partnership. The Partnership is obligated to pay the Advisor a monthly management fee equal to  1/6 of 1% (2% per year) of month-end Net Assets allocated pro-rata by the Master. Month-end Net Assets, for the purpose of calculating management fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees. In addition, the Partnership is obligated to pay the Advisor an incentive fee, payable quarterly, equal to 20% of the New Trading Profits allocated pro-rata by the Master, as defined in the Management Agreement of the Partnership.       c.  Customer Agreement:   The Partnership is obligated to pay a brokerage fee equal to ½% of 1% (6% per year) on month-end Net Assets allocated pro-rata from the Master. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees will be borne by the Master and allocated pro-rata to the Partnership through its investment in Master. CGM pays a portion of its brokerage fees to its financial consultants who have sold Redeemable Units of the Partnership. CGM pays the Partnership interest on 80% of the average daily equity allocated pro-rata to the Partnership by the Master during each month at the rate of the average non-competitive yield of 13-week U.S. Treasury bills as determined at the weekly auctions thereof during the month.  F-9     Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements  The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party. 4.    Trading Activities: The results of the Master's trading activities are shown in the statements of income and expenses. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner; however, a limited partner may redeem all or some of their Redeemable Units at the Net Asset Value thereof as of the last day of any month beginning with the first full month ending at least three months after trading commenced on fifteen days written notice to the General Partner. The Partnership is permitted to withdraw all or a portion of its interest in the Master as of each month-end in order to meet its obligations with respect to the redemption rights of limited partners. 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the years ended December 31, 2005, 2004 and 2003 are as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $                (482.16 )   $ 246.85    $ 111.43     Interest income    37.67      16.88      15.58     Expenses**    (54.49 )     (58.01 )     (74.15 )    Increase (decrease) for year    (498.98 )     205.72      52.86     Net Asset Value per Redeemable Unit, beginning of year    2,051.76      1,846.04      1,793.18     Net Asset Value per Redeemable Unit, end of year  $ 1,552.78    $ 2,051.76    $ 1,846.04     Ratios to Average Net Assets:                        Net investment loss before incentive fees***    (7.0 )%     (8.7 )%     (8.9 )%    Operating expenses    9.3 %     9.7 %     9.7 %    Incentive fees    — %     — %     0.6 %    Total expenses    9.3 %     9.7 %     10.3 %    Total return:                        Total return before incentive fees    (24.3 )%     11.1 %     3.7 %    Incentive fees    — %     — %     (0.7 )%    Total return after incentive fees    (24.3 )%     11.1 %     3.0 %               * Includes brokerage commissions         ** Excludes brokerage commissions         *** Interest income less total expenses (exclusive of incentive fees)   The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the limited partner class using the limited partners' share of income, expenses and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, the Partnership, through the Partnership's investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial  F-10     Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements  instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership's/Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership, through the Partnership's investment in the Master has concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the Partnership's/Master's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master are subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Partnership's/Master's business, these instruments may not be held to maturity. F-11     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and 2004 are summarized below:                              For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromJuly 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions plus interest income  $                (694,870 )   $  198,669    $  251,773    $                (5,365,508 )    Net Income (loss)  $                (858,881 )   $  30,259    $  90,070    $                (5,541,052 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $                (77.07 )   $  2.22    $  8.54    $                (432.67 )                                      For the period fromOctober 1, 2004 toDecember 31, 2004  For the period fromJuly 1, 2004 toSeptember 30, 2004  For the period fromApril 1, 2004 toJune 30, 2004  For the period fromJanuary 1, 2004 toMarch 31, 2004   Net realized and unrealized trading gains (losses) net of expenses allocated from Master and brokerage commissions plus interest income  $  7,290,651    $  1,398,984    $                (6,870,466 )   $  1,614,721     Net Income (loss)  $  7,055,492    $  1,246,420    $                (7,044,834 )   $  1,397,567     Increase (decrease) in Net Asset Value per Redeemable Unit  $  527.59    $  92.28    $                (514.05 )   $  99.90          F-12     To the Members ofJWH Strategic Allocation Master Fund LLC To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                                                                                                  By:    Daniel R. McAuliffe, Jr.        Chief Financial Officer and Director Citigroup Managed Futures LLCManaging Member, JWH Strategic AllocationMaster Fund LLC        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-13     Independent Auditors' Report To the Members of    JWH Strategic Allocation Master Fund LLC: We have audited the accompanying statements of financial condition of JWH Strategic Allocation Master Fund LLC (the "Company"), including the condensed schedules of investments, as of December  31, 2005 and 2004, and the related statements of income and expenses, changes in members' capital, and cash flows for each of the years in the three-year period ended December 31, 2005. These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of JWH Strategic Allocation Master Fund LLC as of December  31, 2005 and 2004, and the results of its operations, changes in its members' capital, and its cash flows for each of the years in the three-year period ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.                                                New York, New York March 13, 2006 F-14     JWH Strategic Allocation Master Fund LLCStatements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:Cash (restricted $23,817,475 and $52,152,846 in 2005 and 2004,     respectively) (Note 3c)  $ 163,966,877    $ 200,509,589     Net unrealized appreciation on open futures positions    —      2,816,587     Unrealized appreciation on open forward contracts    7,440,156      29,891,977          171,407,033      233,218,153     Interest receivable    485,811      311,148        $ 171,892,844    $ 233,529,301     Liabilities and Members' Capital:                 Liabilities:                 Net unrealized depreciation on open futures positions  $ 3,646,687    $ —     Unrealized depreciation on open forward contracts    3,896,303      5,772,552     Accrued expenses:                 Professional fees    51,440      115,552     Distribution payable    485,811      311,148          8,080,241      6,199,252     Members' capital:                 Members' capital, 99,442.6187 and 112,131.2876 Units outstanding in 2005 and 2004, respectively    163,812,603      227,330,049        $ 171,892,844    $ 233,529,301          See accompanying notes to financial statements. F-15     JWH Strategic Allocation Master Fund LLCCondensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Energy  $                (5,388,180 )     (3.29 )%    Grains    4,425      0.00 *    Indices    887,362      0.54     Interest Rates Non-U.S.    2,450      0.00 *    Livestock    61,790      0.04     Metals    2,121,145      1.30     Softs    1,449,421      0.89     Total futures contracts purchased    (861,587 )     (0.52 )                                        Futures Contracts Sold                 Energy    (406,499 )     (0.25 )    Grains    (198,697 )     (0.12 )    Interest Rates U.S.    (553,540 )     (0.34 )    Interest Rates Non-U.S.    (925,603 )     (0.56 )    Softs    (700,761 )     (0.43 )    Total futures contracts sold    (2,785,100 )     (1.70 )                                        Unrealized Appreciation on Forward Contracts                 Currencies    4,917,155      3.00     Metals    2,523,001      1.54     Total unrealized appreciation on forward contracts    7,440,156      4.54                                         Unrealized Depreciation on Forward Contracts                 Currencies    (3,172,504 )     (1.94 )    Metals    (723,799 )     (0.44 )         (3,896,303 )     (2.38 )    Total Fair Value  $                (102,834 )     (0.06 )%         Percentages are based on Members' capital unless otherwise indicated       * Due to rounding   See accompanying notes to financial statements. F-16     JWH Strategic AllocationMaster Fund LLCCondensed Schedule of InvestmentsDecember 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Grains  $  900      0.00 %*    Indices    794,965      0.35     Interest Rates - U.S.    (757,875 )     (0.33 )    Interest Rates Non-U.S.    (59,280 )     (0.03 )    Metals    (825,978 )     (0.36 )    Softs    1,435,024      0.63     Total futures contracts purchased    587,756      0.26                       Futures Contracts Sold                 Energy    2,791,481      1.23     Grains    970,394      0.43     Indices    (876,403 )     (0.39 )    Interest Rates - U.S.    (234,931 )     (0.10 )    Livestock    53,450      0.02     Metals    71,100      0.03     Softs    (546,260 )     (0.24 )    Total futures contracts sold    2,228,831      0.98                       Unrealized Appreciation on Forward Contracts                 Currencies    26,407,028      11.62     Metals    3,484,949      1.53     Total unrealized appreciation on forward contracts    29,891,977      13.15                       Unrealized Depreciation on Forward Contracts                 Currencies    (3,208,972 )     (1.41 )    Metals    (2,563,580 )     (1.13 )    Total unrealized depreciation on forward contracts    (5,772,552 )     (2.54 )                      Total fair value  $  26,936,012      11.85  %                Percentages are based on Members' capital unless otherwise indicated.         * Due to rounding   See accompanying notes to financial statements. F-17     JWH Strategic Allocation Master Fund LLCStatements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions and foreign currencies  $                (13,743,649 )   $ 30,114,264    $ 1,507,963     Change in unrealized gains (losses) on open positions    (27,038,846 )     13,762,492      3,778,565          (40,782,495 )     43,876,756      5,286,528     Interest income    5,162,509      2,057,684      1,160,948          (35,619,986 )     45,934,440      6,447,476                              Expenses:                        Clearing fees    426,530      491,209      438,351     Professional fees    (54,074 )     60,000      60,000          372,456      551,209      498,351     Net income (loss)  $                (35,992,442 )   $ 45,383,231    $ 5,949,125                              Net income (loss) per Unit of Member Interest (Notes 1 and 6)  $                (333.20 )   $ 368.39    $ 202.70          See accompanying notes to financial statements. F-18     JWH Strategic Allocation Master Fund LLCStatement of Changes in Members' Capitalfor the years ended December 31, 2005, 2004 and 2003                  Members'Capital   Members' capital at December 31, 2002  $ 90,459,415     Net Income    5,949,125     Sale of 33,577.0811 Units of Members' Interest    63,340,545     Redemption of 7,806.0512 Units of Members' Interests    (13,511,520 )    Distribution of interest to feeder funds    (1,160,948 )    Members' capital at December 31, 2003    145,076,617     Net Income    45,383,231     Sale of 40,227.5910 Units of Members' Interest    64,674,000     Redemption of 14,531.4863 Units of Members' Interests    (25,746,115 )    Distribution of interest to feeder funds    (2,057,684 )    Members' capital at December 31, 2004    227,330,049     Net loss    (35,992,442 )    Sale of 30,875.5707 Units of Members' Interests    52,052,292     Redemption of 43,564.2396 Units of Members' Interests    (74,414,787 )    Distribution of interest to feeder funds    (5,162,509 )    Members' capital at December 31, 2005  $ 163,812,603                        Net Asset Value per Unit:              2003  $ 1,678.44     2004  $ 2,027.35     2005  $ 1,647.31          See accompanying notes to financial statements. F-19     JWH Strategic Allocation Master Fund LLCStatements of Cash Flowsfor the years endedDecember 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)  $                (35,992,442 )   $ 45,383,231    $ 5,949,125     Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        (Increase) decrease in restricted cash    28,335,371      (20,300,101 )     (16,808,433 )    (Increase) decrease in unrealized appreciation on open futures positions    2,816,587      (1,339,486 )     3,067,444     (Increase) decrease in unrealized appreciation on open forward contracts    22,451,821      (16,395,964 )     (5,967,663 )    (Increase) decrease in interest receivable    (174,663 )     (230,431 )     3,762     Increase (decrease) in unrealized depreciation on open futures positions    3,646,687      —      —     Increase (decrease) in unrealized depreciation on open forward contracts    (1,876,249 )     3,972,958      (878,346 )    Accrued expenses:                        Increase (decrease) in professional fees    (64,112 )     39,147      28,582     Net cash provided by (used in) operating activities    19,143,000      11,129,354      (14,605,529 )    Cash flows from financing activities:                        Proceeds from additions    52,052,292      64,674,000      63,340,545     Payment for redemptions    (74,414,787 )     (25,746,115 )     (13,511,520 )    Distribution of interest to feeder funds    (4,987,846 )     (1,827,253 )     (1,164,710 )    Net cash provided by (used in) financing activities    (27,350,341 )     37,100,632      48,664,315     Net change in cash    (8,207,341 )     48,229,986      34,058,786     Unrestricted cash, at beginning of year    148,356,743      100,126,757      66,067,971     Unrestricted cash, at end of year  $ 140,149,402    $ 148,356,743    $ 100,126,757                                    See accompanying notes to financial statements. F-20     JWH Strategic Allocation Master Fund LLCNotes to Financial Statements 1.    General: JWH Strategic Allocation Master Fund LLC (the "Master") is a limited liability company formed under the New York Limited Liability Company Law. The Master's purpose is to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The Master is authorized to sell an unlimited number of member interests. Effective January 26, 2001, Shearson Mid-West Futures Fund ("Mid-West") and Smith Barney Mid-West Futures Fund L.P. II ("Mid-West II") allocated substantially all of their capital to the Master. With this cash, Mid-West and Mid-West II purchased a total of 74,020.3930 Units of the Master with a fair value of $74,020,393. On March 1, 2001, The Saugatuck Fund L.P. ("Saugatuck") allocated substantially all of their capital to the Master and purchased a total of 20,750.0000 Units of the Master with cash equal to $20,750,000. On December 1, 2001, The Aspetuck Fund L.P. ("Aspetuck") allocated substantially all of their capital to the Master and purchased a total of 3,184.5305 Units of the Master with cash equal to $3,050,000. On November 1, 2002, JWH Global Strategies Limited Series ("JWH Global Strategies") allocated substantially all of their capital to the Master and purchased a total of 1,338.2964 Units of the Master with cash equal to $2,000,000. On May 22, 2003, SSB Diversified 2000 Futures Fund L.P. ("Diversified 2000") allocated a portion of their capital to the Master and purchased a total of 14,370.0894 Units of the Master with a fair value of $27,367,545. On July 1, 2005, CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of its capital to the Master and purchased 4,195.5111 Units of the Master with cash equal to $7,000,000. The Master was formed to permit commodity pools managed now or in the future by John W. Henry & Company, Inc. (the "Advisor") using the Strategic Allocation Program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master's investors consist of Mid-West, Mid-West II, Aspetuck, Saugatuck, JWH Global Strategies, Diversified 2000 and CMF Institutional (each a "Member", collectively the "Feeder Funds") with 10.87%, 10.97%, 5.47%, 14.95%, 40.49%, 14.42% and 2.83% ownerships of the Master at December 31, 2005, respectively. Mid-West, Mid-West II, Aspetuck, Saugatuck, JWH Global Strategies and Diversified 2000 owned 11.69%, 11.82%, 4.79%, 13.40%, 46.09% and 12.21% ownerships of the Master at December 31, 2004, respectively, and with 17.84%, 18.11%, 5.91%, 21.06%, 18.13% and 18.95% ownership of the Master at December 31, 2003, respectively. Citigroup Managed Futures LLC acts as the managing member (the "Managing Member") of the Master. The Managing Member administers the business affairs of the Master including selecting one or more advisors to make trading decisions for the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the Managing Member. The Managing Member is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup"). 2.    Accounting Policies:       a.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the year. Realized gains (losses) and changes in unrealized values on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.   F-21     JWH Strategic Allocation Master Fund LLCNotes to Financial Statements       b.  All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the Feeder Funds at the time of such determination. Income taxes have not been provided as each member is individually liable for the taxes, if any, on their share of the Master's income and expenses.         c.  The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.         d.  Certain prior period amounts have been reclassified to conform to current year presentation.   3.    Agreements:       a.  Managing Member Agreement:   The Managing Member administers the business affairs of the Master.       b.  Management Agreement:           The Managing Member, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the Managing Member or CGM and is not responsible for the organization or operation of the Master. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master allocated to it by the Managing Member. All management fees in connection with the Management Agreement are borne by the Feeder Funds.         c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among the other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held by the Master for margin requirements was $23,817,475 and $52,152,846, respectively. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Master's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value for the years ended December 31, 2005 and 2004, based on a monthly calculation, was $9,833,608 and $7,166,273, respectively. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the Managing Member and at such time as the Managing Member may decide. A Member may require the Master to redeem their Units  F-22     JWH Strategic Allocation Master Fund LLCNotes to Financial Statements  at their Net Asset Value as of the last day of each month. The Managing Member, in its sole discretion, may permit redemptions more frequently than monthly. 6.    Financial Highlights: Changes in the Net Asset Value per Unit of Member interest for the years ended December 31, 2005, 2004 and 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $                (380.61 )   $ 349.49    $ 188.13     Interest income    46.84      19.48      15.41     Expenses**    0.57      (0.58 )     (0.84 )    Increase (decrease) for period    (333.20 )     368.39      202.70     Distributions    (46.84 )     (19.48 )     (15.41 )    Net Asset Value per Unit, beginning of year    2,027.35      1,678.44      1,491.15     Net Asset Value per Unit, end of year  $ 1,647.31    $ 2,027.35    $ 1,678.44     Ratio to average net assets***                        Net investment income****    2.5 %     0.9 %     0.5 %    Operating expenses    (0.2 )%     (0.3 )%     (0.4 )%    Total return    (16.4 )%     21.9 %     13.6 %               * Includes clearing fees.         ** Excludes clearing fees.         *** Interest income less total expenses (exclusive of incentive fees).   The above ratios may vary for individual investors based on the timing of capital transactions during the year. 7.    Financial Instrument Risks: In the normal course of its business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in  F-23     JWH Strategic Allocation Master Fund LLCNotes to Financial Statements  the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Master has concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The Managing Member monitors and controls the Master's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master is subject. These monitoring systems allow the Managing Member to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-24     Selected unaudited quarterly financial data for JWH Master for the years ended December 31, 2005 and 2004 are summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $                (3,798,063 )   $ 5,054,464    $ 5,728,983    $                (43,031,900 )    Net Income (loss)  $                (3,718,740 )   $ 5,046,798    $ 5,721,400    $                (43,041,900 )    Increase (decrease) in Net Asset Value per Unit  $                (38.83 )   $ 44.39    $ 49.01    $                (387.77 )       For the period from October 1, 2004 to December 31, 2004  For the period from July 1, 2004 toSeptember 30, 2004  For the period fromApril 1, 2004 toJune 30, 2004  For the period fromJanuary 1, 2004 toMarch 31, 2004   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $ 65,465,161    $ 13,041,842    $                (44,742,215 )   $ 11,678,443     Net Income (loss)  $ 65,450,161    $ 13,026,842    $                (44,757,215 )   $ 11,663,443     Increase (decrease) in Net Asset Value per Unit  $ 559.94    $ 121.55    $                (445.46 )   $ 132.36          F-25
(a)(1)  Financial Statements: Statements of Financial Condition at December 31, 2005 and 2004.   Condensed Schedules of Investments at December 31, 2005 and 2004. Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003. Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003. Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003. Notes to Financial Statements.       (2)  Exhibits:   3.1 – Certificate of Limited Partnership (previously filed). 3.2 – Limited Partnership Agreement (previously filed). 10.1 – Management Agreement among the Partnership, the General Partner and John W. Henry & Company, Inc. (previously filed). 10.2 – Customer Agreement between Registrant and Smith Barney Shearson Inc. (previously filed). 10.3 – Form of Subscription Agreement (previously filed). 10.4 – Letter dated February 16, 1995 from the General Partner to John W. Henry & Co., Inc. extending Management Agreement (previously filed). 10.5 – Letter dated January 25, 1996 from the General Partner to John W. Henry & Co., Inc. extending Management Agreement to June 30, 1996 (previously filed). 10.6 – Letters extending Management Agreements with John W. Henry & Company, Inc. for 1996 and 1997 (filed as Exhibit 10.6 to the Form 10-K for the fiscal year ended December 31, 1997 and incorporated herein by reference). 24     10.7 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 1998 (previously filed). 10.8 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 1999 (previously filed). 10.9 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2000 (previously filed). 10.10 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2001 (previously filed). 10.11 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2002 (previously filed). 10.12 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2003 (previously filed). 10.13 – Letter from the General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2004 (previously filed). 10.14 – Letter from General Partner to John W. Henry & Company, Inc. extending Management Agreement for 2005 (filed herein). 16.1 – Letter from PricewaterhouseCoopers LLP (previously filed). The exhibits required to be filed by Item 601 of Regulations S-K are incorporated herein by reference. 31.1 – Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). 31.2 – Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director). 32.1 – Section 1350 Certification (Certification of President and Director). 32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director) Supplemental Information To Be Furnished With Reports Filed Pursuant To Section 15(d) Of The Act by Registrants Which Have Not Registered Securities Pursuant To Section 12 Of the Act. Annual Report to Limited Partners No proxy material has been sent to Limited Partners. 25     SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this annual report on Form 10-K to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of New York and State of New York on the 30th day of March 2006. Smith Barney Mid West Futures Fund L.P. II By:    /s/ Citigroup Managed Futures LLC            (General Partner) By:    /s/ David J. Vogel             David J. Vogel           President and Director Pursuant to the requirements of the Securities Exchange Act of 1934, this annual report on Form 10-K has been signed below by the following persons on behalf of the Registrant and in the capacities and on the date indicated.               /s/ David J. Vogel  /s/ Shelley Ullman   David J. Vogel  Shelley Ullman   President and Director  Director          /s/ Daniel R. McAuliffe, Jr.  /s/ Jerry Pascucci   Daniel R. McAuliffe, Jr.  Jerry Pascucci   Chief Financial Officer andDirector  Director          /s/ Maureen O'Toole  /s/ Jennifer Magro   Maureen O'Toole  Jennifer Magro   Director  Director             /s/ Ihor Rakowsky      Ihor Rakowsky      Secretary and Director                                    26         GRAPHIC 2 html_02016daniel.jpg GRAPHIC  begin 644 html_02016daniel.jpg M_]C_X``02D9)1@`!`0$!(`$@``#__@`V($EM86=E(&=E;F5R871E9"!B>2!' 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M/S\ZUKW]?UKY?=3R].M?=)_=92G_`!_EK3]*V]JT_;MY>7IUM;9;;]FVE.]> 1]>U/O]/[=;='1T='1T=?_]D_ ` end    GRAPHIC 6 spacer.gif GRAPHIC  begin 644 spacer.gif K1TE&.#EA`0`!`(```````````"'Y!`$`````+``````!``$```("1`$`.S\_ ` end    EX-10.14 7 file002.htm LETTER EXTENDING MANAGEMENT AGREEMENT FOR 2005         June 15, 2005 John W. Henry & Company, Inc. 301 Yamato Road, Suite 2200 Boca Raton, Fl. 33431-4931 Attn: Mr. Ken Webster Re:    Management Agreement Renewals Dear Mr. Webster: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Shearson Mid-West Futures Fund           •  Shearson Lehman Select Advisors Futures Fund L.P.           •  Smith Barney Mid-West Futures Fund L.P. II           •  Smith Barney Westport Futures Fund L.P.           •  Hutton Investors Futures Fund, L.P. II (HIFF II)           •  AURORA 2001           •  AURORA III           •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.           •  Alera 100           •  JWH Strategic Allocation Master Fund LLC       Page 2 June 15, 2005         •  Citigroup Diversified Futures Fund   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC               By:  /s/ Daniel R. McAuliffe, Jr. Daniel R. McAuliffe, Jr. Chief Financial Officer & Director   JOHN W. HENRY & COMPANY, INC.   By:  /s/ Ken Webster   Print Name:   Ken Webster        DRMcA/sr         EX-31.1 8 file003.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this annual report on Form 10-K of Smith Barney Mid-West Futures Fund L.P. II (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:         a)  designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;         b)  evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and         c)  disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):         a)  All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and         b)  Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 30, 2006  /s/ David J. Vogel         David J. Vogel Citigroup Managed Futures LLC President and Director                EX-31.2 9 file004.htm CERTIFICATION         Exhibit 31.2 CERTIFICATION I, Daniel R. McAuliffe, Jr., certify that:       1.  I have reviewed this annual report on Form 10-K of Smith Barney Mid-West Futures Fund L.P. II (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:            a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries is made known to us by others within those entities, particularly during the period in which this report is being prepared;            b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and            c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):            a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and            b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 30, 2006  /s/ Daniel R. McAuliffe, Jr.         Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLCChief Financial Officer and Director                 EX-32.1 10 file005.htm CERTIFICATION         Exhibit 32.1 CERTIFICATION PURSUANT TO 18 U.S.C. SECTIONS 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT HAVE 2002 In connection with the Annual Report of Smith Barney Mid-West Futures Fund L.P. II (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, David J. Vogel, President and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that: (1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. /s/ David J. Vogel             David J. Vogel Citigroup Managed Futures LLC President and Director March 30, 2006             Date         EX-32.2 11 file006.htm CERTIFICATION         Exhibit 32.2 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Annual Report of Salomon Smith Barney Mid-West Futures Fund L.P. II (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that: (1)   The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2)   The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. /s/ Daniel R. McAuliffe, Jr.             Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director March 30, 2006             Date         -----END PRIVACY-ENHANCED MESSAGE-----