Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
The Master's Statements of Financial Condition and Condensed Schedules of
Investments at June 30, 2004 and December 31, 2003 and its Statements of Income
and Expenses and Members' Capital and Statements of Cash Flows for the three and
six months ended June 30, 2004 and 2003 were:
JWH Strategic Allocation Master Fund LLC
Statements of Financial Condition
(Unaudited)
June 30, December 31,
2004 2003
------------ ------------
Assets:
Equity in commodity futures trading account:
Cash (restricted $31,772,804 and $31,852,745 in 2004
and 2003, respectively) $155,073,201 $131,979,502
Net unrealized appreciation on open futures positions -- 1,477,101
Unrealized appreciation on open forward contracts 2,938,642 13,496,013
Interest receivable 148,989 80,717
------------ ------------
$158,160,832 $147,033,333
============ ============
Liabilities and Members' Capital:
Liabilities:
Net unrealized depreciation on open futures positions $ 5,268,908 $ --
Unrealized depreciation on open forward contracts 10,323,944 1,799,594
Accrued Expenses:
Professional fees 86,405 76,405
Distribution payable 148,989 80,717
------------ ------------
15,828,246 1,956,716
------------ ------------
Members' Capital:
Members' capital, 104,820.3576 and 86,435.1829 Units
outstanding in 2004 and 2003, respectively 142,332,586 145,076,617
------------ ------------
$158,160,832 $147,033,333
============ ============
8
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation Master Fund LLC
Statements of Income and Expenses and Members' Capital
(Unaudited)
Three Months Ended Six Months Ended
June 30, JUNE 30,
------------------------------ -----------------------------
2004 2003 2004 2003
------------------------------ -----------------------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions
and foreign currencies $ (30,580,263) $ 1,863,361 $ (7,699,592) $ 31,202,079
Change in unrealized gains (losses) on open
positions (14,418,038) (8,596,738) (25,827,730) (21,771,283)
Interest income 402,630 324,300 726,794 575,839
------------- ------------- ------------- -------------
(44,595,671) (6,409,077) (32,800,528) 10,006,635
------------- ------------- ------------- -------------
Expenses:
Clearing fees 146,544 109,757 263,244 172,906
Other expenses 15,000 15,000 30,000 30,000
------------- ------------- ------------- -------------
161,544 124,757 293,244 202,906
------------- ------------- ------------- -------------
Net income (loss) (44,757,215) (6,533,834) (33,093,772) 9,803,729
Additions 20,545,500 53,282,545 37,442,000 54,982,545
Redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873)
Distribution of Interest to feeder funds (402,630) (324,300) (726,794) (575,839)
------------- ------------- ------------- -------------
Net (decrease) increase in Members' capital (27,488,857) 41,605,808 (2,744,031) 56,480,562
Members' capital, beginning of period 169,821,443 105,334,169 145,076,617 90,459,415
------------- ------------- ------------- -------------
Members' capital, end of period $ 142,332,586 $ 146,939,977 $ 142,332,586 $ 146,939,977
============= ============= ============= =============
Net asset value per Redeemable Unit
(104,820.3576 and 84,964.7936 Units
outstanding at June 30, 2004 and
2003, respectively) $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42
============= ============= ============= =============
Net income (loss) per Unit of Member Interest $ (449.47) $ (21.42) $ (320.57) $ 246.93
============= ============= ============= =============
11
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation
Master Fund LLC
Statements of Cash Flows
June 30, 2004
(Unaudited)
Three Months Ended Six Months Ended
June 30, June 30,
---------------------------- ----------------------------
2004 2003 2004 2003
--------------- ------------ ---------------------------
Cash flows from operating activities:
Net income (loss) $(44,757,215) $ (6,533,834) $ (33,093,772) $ 9,803,729
Adjustments to reconcile net income (loss) to net cash
provided by (used in) operating activities:
Changes in operating assets and liabilities:
Net unrealized appreciation on open futures
positions 19,573,481 4,815,978 6,746,009 10,096,495
Unrealized appreciation (depreciation) on open
forward contracts 7,294,771 (872,819) 10,557,371 3,676,940
(Increase) decrease in interest receivable (272,452) (324,300) (321,913) 637,785
Unrealized appreciation (depreciation) on open
forward contracts (12,450,213) 4,653,580 8,524,350 7,997,848
Accrued expenses:
Increase in professional fees 12,944 13,600 10,000 28,600
Increase (decrease) in distribution payable 272,452 324,300 321,913 (637,785)
------------ ---------- ---------- ----------
Net cash provided (used in) by operating
activities (30,326,232) 2,076,505 (7,256,042) 31,603,612
------------ ---------- ----------- ----------
Cash flows from financing activities:
Proceeds from additions 20,545,500 53,282,545 37,442,000 54,982,545
Payments for redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873)
Distribution of Interest to Feeder Funds (402,630) (324,300) (726,794) (575,839)
------------ ------------ ----------- -----------
Net cash provided by (used in) by financing
activities 17,268,358 48,139,642 30,349,741 46,676,833
----------- ----------- ----------- ----------
Net change in cash (13,057,874) 50,216,147 23,093,699 78,280,445
Cash, at beginning of period 168,131,075 109,176,581 131,979,502 81,112,283
----------- ----------- ----------- -----------
Cash, at end of period $ 155,073,201 $ 159,392,728 $ 155,073,201 $ 159,392,728
=========== =========== =========== ===========
12
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
Financial Highlights of the Master:
Changes in net asset value per Unit for the three months and six months
ended June 30, 2004 and 2003 were as follows:
Three Months Ended Six Months Ended
June 30, June 30,
---------------------- ----------------------
2004 2003 2004 2003
----------------------- ---------------------
Net realized and unrealized gains (losses)* $ (449.32) $ (25.68) $ (320.26) $ 238.76
Interest income 4.01 4.50 7.55 8.66
Expenses** (0.15) (0.24) (0.31) (0.49)
-------- ------- --------- ---------
Increase (decrease) for the period (445.46) (21.42) (313.02) 246.93
Distributions (4.01) (4.50) (7.55) (8.66)
Net Asset Value per Unit, beginning of period 1,807.34 1,755.34 1,678.44 1,491.15
-------- ------- --------- ---------
Net Asset Value per Unit, end of period $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42
========= ========= ======== =========
* Includes clearing fees.
** Excludes clearing fees.
Three Months Ended Six Months Ended
June 30, June 30,
---------------------- ----------------------
2004 2003 2004 2003
----------------------- ---------------------
Ratio to average net assets:***
Net investment income 0.6% 0.6% 0.5% 0.6%
======= ====== ======= ======
Operating expenses **** 0.4% 0.1% 0.4% 0.1%
======= ====== ======= ======
Total return: (24.7)% (1.2)% (18.7)% 16.6%
======= ====== ======= ======
*** Annualized
**** Excludes clearing fees
The above ratios may vary for individual investors based on the timing of
capital transactions during the period.
14
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only
assets are its investment in the Master and cash. The Master does not engage in
the sale of goods or services. Its only assets are its investments in commodity
futures 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. While substantial losses could lead to a
decrease in liquidity, no such losses occurred in the second quarter of 2004.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by its investment in the Master, expenses,
interest income, redemptions of Redeemable Units and distributions of profits,
if any.
For the six months ended June 30, 2004, Partnership capital decreased 25.0%
from $25,854,335 to $19,382,723. This decrease was attributable to net loss from
operations of $5,647,267, coupled with the redemption of 468.8800 Redeemable
Units of Limited Partnership Interest resulting in an outflow of $824,345.
Future redemptions can impact the amount of funds available for investment in
the Master in subsequent periods.
The Master's capital consists of the capital contributions of its members
as increased or decreased by realized and/or unrealized gains or losses on
commodity futures trading, expenses, interest income, redemptions of Redeemable
Units and distributions of profits, if any.
For the six months ended June 30, 2004 the Master's capital decreased 1.9%
from $145,076,617 to $142,332,586. This decrease was attributable to net loss
from operations of $33,093,772, coupled with the redemption of 3,751.7998
Redeemable Units totaling $6,365,465 and the distribution of interest paid to
the feeders of $726,794 which was partially offset by the additional sales of
22,136.9745 Redeemable Units resulting in an inflow of $37,442,000. Future
redemptions can impact the amount of funds available for investments in
commodity contract positions in subsequent periods.
Critical Accounting Policies
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, revenues and expenses, and related disclosures of
contingent assets and liabilities at the date of the financial statements and
accompanying notes. Actual results could differ from these estimates.
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
period, which represents market value for those commodity interests for which
17