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 $ (445.46) $ (21.42) $ (313.02) $ 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 (279,241) (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 279,241 324,300 321,913 (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