SHEARSON MID WEST FUTURES FUND - 10-Q Quarterly Report

(State or other jurisdiction of
incorporation or organization)

(I.R.S. Employer
Identification No.)

FORM 10-Q

SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarter ended March 31, 2005

Commission File Number 0-24280

SHEARSON MID-WEST FUTURES FUND

(Exact name of registrant as specified in its charter)

c/o Citigroup Managed Futures LLC
399 Park Avenue. – 7th Fl.
New York, New York 10022

(Address and Zip Code of principal executive offices)

(212) 559-2011

(Registrant's telephone number, including area code)

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

Yes X No

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

Yes No X

SHEARSON MID-WEST FUTURES FUND

FORM 10-Q

INDEX

Page
Number

PART I - Financial Information:

Item 1.

Financial Statements:

Statements of Financial Condition at March 31, 2005 and December 31, 2004 (Unaudited)

Statements of Income and Expenses and Partners' Capital for the three months ended March 31, 2005 and 2004 (Unaudited)

Statements of Cash Flows for the three months ended March 31, 2005 and 2004 (Unaudited)

Notes to Financial Statements including the Financial Statements of JWH Strategic Allocation Master Fund LLC (unaudited).

6 – 14

Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations

15 – 17

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

18 – 19

Item 4.

Controls and Procedures

PART II - Other Information

PART I

Item 1. Financial Statements

Shearson Mid-West Futures Fund
Statements of Financial Condition
(Unaudited)


	March 31, 2005		December 31, 2004
Assets:
Investment in Master, at fair value	$	20,587,314	$	26,615,586
Cash		45,344		8,995
	$	20,632,658	$	26,624,581
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions	$	103,163	$	133,123
Management fees		34,130		44,096
Administrative fees		17,065		22,048
Other		51,363		33,999
Redemptions payable		234,072		304,065
		439,793		537,331
Partners' Capital:
General Partner, 40.4850 Unit equivalents outstanding in 2005 and 2004		100,044		126,724
Limited Partners, 8,130.9849 and 8,293.7071 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively		20,092,821		25,960,526
		20,192,865		26,087,250
	$	20,632,658	$	26,624,581

See Accompanying Notes to Financial Statements

Shearson Mid-West Futures Fund
Statements of Income and Expenses and Partners' Capital
(Unaudited)


	Three Months Ended March 31,
	2005			2004
Income:
Realized gains (losses) on closed positions and foreign currencies from Master	$	(2,788,683	)	$	3,699,519
Change in unrealized gains (losses) on open positions from Master		(2,295,460	)		(1,703,806	)
Expenses allocated from Master		(16,049	)		(21,763	)
		(5,100,192	)		1,973,950
Interest income received from Master		110,633			47,869
		(4,989,559	)		2,021,819
Expenses:
Brokerage commissions		318,984			413,793
Management fees		105,558			137,123
Administrative fees		52,779			68,562
Other expenses		17,364			10,198
		494,685			629,676
Net income (loss)		(5,484,244	)		1,392,143
Redemptions		(410,141	)		(66,626	)
Net increase (decrease) in Partners' capital		(5,894,385	)		1,325,517
Partners' capital, beginning of period		26,087,250			25,688,421
Partners' capital, end of period	$	20,192,865		$	27,013,938
Net asset value per Redeemable Unit (8,171.4699 and 9,105.4799 Redeemable Units outstanding at March 31, 2005 and 2004, respectively)	$	2,471.14		$	2,966.78
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent	$	(659.01	)	$	152.58

See Accompanying Notes to Financial Statements

Shearson Mid-West Futures Fund
Statements of Cash Flows
(Unaudited)


	Three Months Ended March 31,
	2005			2004
Cash flows from operating activities:
Net income (loss)	$	(5,484,244	)	$	1,392,143
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Increase) decrease in investment in Master, at fair value		6,028,272			(1,374,474	)
Accrued expenses:
Increase (decrease) in commissions		(29,960	)		6,921
Increase (decrease) in management fees		(9,966	)		2,281
Increase (decrease) in administrative fees		(4,983	)		1,141
Increase (decrease) in other		17,364			8,774
Increase (decrease) in redemptions payable		(69,993	)		39,672
Net cash provided by (used in) operating activities		446,490			76,458
Cash flows from financing activities: