The Partnership experienced net trading gains of $31,593,092 before commissions and expenses in 2004. Gains were primarily attributable to the trading of currencies, grains, metals and indices and were partially offset by losses recognized in energy, softs, livestock, U.S. and non-U.S. interest rates.

Trading results for the year 2004 were positive as strong trends and market volatility across most commodity sectors provided profitable trading opportunities for the Partnership's advisors. The results for the year were primarily influenced by two historic trends and one adeptly traded volatile market: the trending markets were declining value of the U.S. dollar and the price of crude oil rising to over $50 a barrel while natural gas prices had wide swings three or four times throughout the year and required astute and agile trading. The Partnership's advisors capitalized on these events with trend-following systematic approaches as well as with discretionary and fundamental strategies.

The year started strongly with many of the trends from late 2003 continuing into early 2004. Rising global economic growth, particularly in Asia, spurred increased demand for agricultural, industrial metals and energy leading to rising prices for copper, aluminum, grains and crude oil. Offsetting profitable trading in these commodity markets were losses in the financial sectors, notably foreign currency trading as the U.S. dollar rallied precipitously from its prolonged down trend. The second quarter was highlighted by several opposing fundamental economic and financial events which reduced the trading opportunities for the Partnership's advisors as profitable trading became more narrowly focused on natural gas and soybeans while other markets, especially crude oil and precious metals contributed to losses.

These forces became further refined in the third quarter as numerous geo-political events provided numerous trading opportunities in the energy complex. Such events included the recall election in Venezuela, hurricane weather in the Caribbean, and supply threats as a result of political turmoil in Russia, Iran, and Iraq. Trading in the foreign currencies and stock indices was unprofitable and mixed in the interest rate markets.

The end of the third quarter and beginning of the fourth quarter saw excellent trading markets particularly again in energy but also in foreign currencies, especially the euro. The resurging price of crude oil and volatile natural gas prices were the primary engines of profitability in October and November. As the year came to a close, the commodity markets exhibited price fatigue and the financial markets reflected lower inflationary expectations. The U.S. dollar began a precipitous slide toward $1.40 to the euro, stock markets gained around the world, and interest rates declined. Although the Partnership was down slightly in December, overall for the fourth quarter the Partnership was up nearly 12% and closed the year up 24%.

The Partnership experienced net trading losses of $1,116,954 before commissions and expenses in 2003. Losses were primarily attributable to the trading of energy, softs, livestock, U.S. and non-U.S. interest rates and were partially offset by gains recognized in currencies, grains, metals, and indices.

In 2003, the markets traded by the Partnership's Advisors had periodic strong trends and then just as strong reversals resulting in a slight down year for the Partnership's overall performance.

As noted above, the Partnership is designed as an aggressive investment seeking to achieve high rates of absolute return with commensurate risk through speculative trading by a team of experienced trading Advisors. In prior years, the combination of Advisors in the Partnership has tended to have performance characteristics distinct from the traditional trend-following trading Advisors in managed futures. The same characteristics that led to the Advisors being able to excel in markets typically not favorable to other Advisors are the elements that resulted in a difficult 2003.

The most significant market events for 2003 surrounded the onset and still evolving outcome of the Iraqi war. The energy and currency markets had the most significant impact on the Partnership's results for the year while the other financial and commodity markets tended to offset each other.

Over the course of the year, on a very broad basis, the year 2003 can be divided into three periods: the time surrounding the Iraq War (January through May), the transition to higher world growth (June through October), and the renewed dollar decline (November and December).

The first two months of the year represented a period of pre-war uncertainty. January's performance was strong and performance in February ended flat in spite of extraordinary price volatility in natural gas

16

trading. This volatility in energy markets carried over to March when the price of crude dropped $10/barrel on the expectation of a quick end to the war. This reversal affected all the Partnership's Advisors as well as did trend reversals in stock indices, interest rates, and precious metals.

With this volatility and losses, the Advisors reduced leverage and lightened positions until trends reasserted themselves. This began to occur in April and May resulting in a substantial recovery for Partnership performance with profits coming from short dollar, long interest rate and long commodity positions. At the end of April, the General Partner determined to terminate Beacon Capital Management Inc. as an Advisor to the Partnership. This was done based on the assessment that Beacon's trading results no longer met the objectives of the Partnership. A new Advisor, Winton Capital Ltd. was added as an Advisor to the Partnership and allocated approximately 20% of the Partnership's assets to trade.

With the end of the active hostilities in May, interest rates trended lower, and the major markets began to reflect expectations of improved economic growth. Unexpectedly, the announcements of no further easing actions by the ECB and the Federal Reserve Board greatly disrupted these trends and led to losses for June and July. Additionally, the dollar actually rallied on the positive US economic news, reversing the year-long slide. In both cases, earlier profits were surrendered as the markets transitioned to new trends. Cushioning the losses in the financial markets was profitable energy trading during June and August.

Regardless of the strong growth exhibited in the United States in the third quarter, the dollar began a new significant slide against both the euro and yen. This led to a profitable October, a weak November, when interest rates again reversed course and trading in energy and agricultural markets was unprofitable. The year ended mixed with strong trends favorable to the Advisors in currencies, interest rates, precious metals and agricultural markets being offset by losses incurred in volatile energy markets.

In the General Partner's opinion, the Partnership's Advisors continue to employ trading methods consistent with the objectives of the Partnership. The General Partner monitors the Advisors' performance on a daily, weekly, monthly and annual basis to assure these objectives are met.

The Partnership experienced net trading gains of $13,642,916 before commissions and expenses in 2002. Gains were primarily attributable to the trading of currencies, U.S and non-U.S. interest rates, livestock and grains and were partially offset by losses recognized in indices, metals, energy and softs.

It should be noted that commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of AAA Master and the Partnership depends on the Advisors' ability to forecast changes in energy and energy related commodities. Such price changes are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that the Advisors correctly make such forecasts, the Master and the Partnership expect to increase capital through operations.

(d)    Operational Risk.

The Partnership 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 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 ability to gather, process, and communicate information efficiently and

17

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securely, without interruption, to customers, among Redeemable Units within the Partnership, and in the markets where the Partnership participates.

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.

(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 (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 General Partner 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 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 Partnership'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 partners' 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 Partnership's positions. The majority of the Partnership's positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Swap contracts held by AAA Master generally will be valued by reference to published settlement prices or dealers' quotes in related markets or other measures of fair value deemed appropriate by the General Partner. The General Partner expects that under normal circumstances substantially all of the Partnership's assets will be valued by objective measures and without difficulty.

Item 7A.    Quantitative and Qualitative Disclosures About Market Risk

The Partnership is a speculative commodity pool. The market sensitive instruments held by the Partnership are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership'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 Partnership assets and

18

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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 Partnership's open positions and, consequently, in its earnings and cash flow. The Partnership's market risk is influenced by a wide variety of factors. These primarily include factors which affect energy price levels, including supply factors and weather conditions, but could also include 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 Partnership's open positions and the liquidity of the markets in which it trades.

The Partnership 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 Partnership's past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership'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 included in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk.

Quantifying the Partnership's Trading Value at Risk

The following quantitative disclosures regarding the Partnership'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 Partnership's risk exposure in the various market sectors traded by the Advisor is quantified below in terms of Value at Risk. Due to the Partnership's mark-to-market accounting, any loss in the fair value of the Partnership's open positions is directly reflected in the Partnership's earnings (realized or unrealized) and cash flow.

Exchange maintenance margin requirements have been used by the Partnership 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 Partnership), 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 Partnership's futures and forward positions does not have any optionality component. However, the Advisor does trade 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

19

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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 Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments.

In quantifying the Partnership'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 Partnership's positions are rarely, if ever, 100% positively correlated have not been reflected.

The Partnership's Trading Value at Risk in Different Market Sectors

The following table indicates the trading Value at Risk associated with the Partnership's open positions by market category as of December 31, 2004, and the highest, lowest and average value at any point during the year. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2004, the Partnership's total capitalization was $118,783,824.

December 31, 2004

												Year to Date
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average Value at Risk*
Currencies
— Exchange Traded Contracts				$	1,602,965				1.35	%		$	2,483,422			$	658,832			$	1,316,239
Energy					870,000				0.73	%			3,586,630				172,500				1,841,732
Grains					34,200				0.03	%			1,266,731				34,200				446,505
Interest rates U.S.					105,700				0.09	%			1,478,500				84,000				800,194
Interest rates Non-U.S.					665,058				0.56	%			3,926,181				663,464				2,098,350
Livestock					20,800				0.02	%			298,100				20,800				160,440
Metals
— Exchange Traded Contracts					453,500				0.38	%			1,242,000				190,000				550,746
Softs					449,300				0.38	%			697,544				23,000				366,509
Total				$	4,201,523				3.54	%

*  annual average based on month-end value at risk

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As of December 31, 2003, the Partnership's total capitalization was $87,468,980.

December 31, 2003

												Year to Date
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average Value at Risk*
Currencies
— Exchange Traded Contracts				$	1,890,015				2.16	%		$	2,101,070			$	444,732				1,317,170
Energy					2,830,950				3.24	%			3,186,750				123,600				1,694,688
Grains					708,686				0.81	%			1,802,600				189,472				653,127
Interest rates U.S.					995,400				1.14	%			1,104,750				54,370				579,512
Interest rates Non-U.S.					2,055,358				2.35	%			3,261,061				148,412				1,380,092
Livestock					63,250				0.07	%			410,010				23,800				148,311
Metals
— Exchange Traded Contracts					689,900				0.79	%			1,137,100				100,500				588,608
— OTC Contracts					522,060				0.60	%			1,573,237				33,175				178,064
Softs					244,631				0.28	%			937,100				123,581				476,496
Indices					1,356,529				1.55	%			1,453,025				95,480				802,232
Lumber					2,800				0.00	%**			628,851				1,100				1,621
Total				$	11,359,579				12.99	%

*   annual average based on month-end value at risk

** Due to rounding

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirement (margin requirements generally range between 2% and 15% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the Partnership'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 Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Partnership — give no indication of this "risk of ruin."

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 Partnership's market sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership's market risk exposures – except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership 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. The Partnership's primary market risk exposures as well as the strategies used and to be used by the General Partner 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 Partnership's risk control 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 Partnership. There can be no assurance that the Partnership's current

21

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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 Partnership as of December 31, 2004, by market sector.

Interest Rates.    Interest rate movements directly affect the price of the futures positions held by the Partnership 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 Partnership's profitability. The Partnership's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-8 countries. However, the Partnership also takes futures positions on the government debt of smaller nations – e.g., Australia.

Currencies.    The Partnership'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 Partnership'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 dollar-based Partnership in expressing Value at Risk in functional currency other than dollars.

Stock Indices.    The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2004, the Partnership's primary exposures were in the Financial Times (England) and EUREX stock indices. The Partnership 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 Partnership to avoid being "whipsawed" into numerous small losses.)

Metals.    The Partnership's primary metal market exposure is to fluctuations in the price of gold. Although certain of the Advisors will from time to time trade base metals such as copper, the principal market exposures of the Partnership have consistently been in the precious metals, gold.

Softs.    The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Cocoa, cotton, sugar and coffee accounted for the substantial bulk of the Partnership's commodity exposure as of December 31, 2004.

Energy.    The Partnership's/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 are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The General Partner monitors and controls 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 Partnership subject.

The General Partner monitors the Partnership's performance and the concentration of its open positions, and consults with the Advisor concerning the Partnership'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 programs traded on behalf of the Partnership. 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 Partnership'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.

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Item 8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

INDEX TO FINANCIAL STATEMENTS

				Page Number
Oath or Affirmation.				F-2
Management's Report on Internal Control over Financial Reporting				F-3
Report of Independent Registered Public Accounting Firm				F-4 – F-6
Financial Statements:
Statements of Financial Condition at December 31, 2004 and 2003.				F-7
Condensed Schedules of Investments at December 31, 2004 and 2003.				F-8 – F-9
Statements of Income and Expenses for the years ended December 31, 2004, 2003 and 2002.				F-10
Statements of Changes in Partners' Capital for the years ended December 31, 2004, 2003 and 2002.				F-11
Statements of Cash Flows for the Year Ended December 31, 2004, 2003 and 2002				F-12
Notes to Financial Statements				F-13 – F-19
Selected Unaudited Quarterly Financial Data.				F-20

F-1

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To the Limited Partners of
Salomon Smith Barney Orion Futures Fund L.P.

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

/s/ D.R. McAuliffe, Jr.

By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director           Citigroup Managed Futures LLC           General Partner, Salomon Smith Barney           Orion Futures Fund L.P.

Citigroup Managed Futures LLC 399 Park Avenue 7th Floor New York, N.Y. 10022 212-559-2011

F-2

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Management's Report on Internal Control over
Financial Reporting

The management of Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership"), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership's internal control system was designed to provide reasonable assurance to the Partnership's management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management's authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.

The Partnership's management assessed the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December 31, 2004, the Partnership's internal control over financial reporting is effective.

Management's assessment of the effectiveness of the Company's internal control over financial reporting as of December 31, 2004 has been audited by KPMG LLP, the Partnership's independent registered public accounting firm, as stated in their reports appearing on the following pages, which express unqualified opinions on management's assessment and on the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004.

F-3

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Report of Independent Registered Public Accounting Firm

To the Partners of
Salomon Smith Barney Orion Futures Fund L.P.:

We have audited management's assessment, included in the accompanying Management's Report on Internal Control Over Financial Reporting, that Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") maintained effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). The Partnership's management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express an opinion on management's assessment and an opinion on the effectiveness of the Partnership's internal control over financial reporting based on our audit.

We conducted our audit 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 effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, evaluating management's assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.

A partnership's internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A partnership's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the partnership; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management of the partnership; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the partnership's assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

In our opinion, management's assessment that Salomon Smith Barney Orion Futures Fund L.P. maintained effective internal control over financial reporting as of December 31, 2004, is fairly stated, in all material respects, based on criteria established in Internal Control—Integrated Framework issued by COSO. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by COSO.

F-4

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We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of financial condition of the Partnership, including the condensed schedules of investments, as of December 31, 2004 and 2003, 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, 2004, and our report dated March 14, 2005 expressed an unqualified opinion on those financial statements.

/s/ KPMG LLP
New York, New York
March 14, 2005

F-5

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Report of Independent Registered Public Accounting Firm

To the Partners of
Salomon Smith Barney Orion Futures Fund L.P.:

We have audited the accompanying statements of financial condition of Salomon Smith Barney Orion Futures Fund L.P. (the Partnership), including the condensed schedules of investments, as of December 31, 2004 and 2003, 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, 2004. 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 Salomon Smith Barney Orion Futures Fund L.P. as of December 31, 2004 and 2003, 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, 2004, in conformity with U. S. generally accepted accounting principles.

We have also audited, in accordance with standards of the Public Company Accounting Oversight Board (United States), the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"), and our report dated March 14, 2005 expressed an unqualified opinion on management's assessment of, and the effective operation of, internal control over financial reporting.

/s/ KPMG LLP
New York, New York
March 14, 2005

F-6

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Salomon Smith Barney
Orion Futures Fund L.P.
Statements of Financial Condition
December 31, 2004 and 2003

				2004				2003
Assets:
Investment in Partnerships, at fair value (Note 5)				$	84,542,782			$	33,531,892
Cash (restricted $5,271,154 and $13,779,146 in 2004 and 2003, respectively) in commodity futures trading account (Note 3c)					36,084,976				50,594,930
Net unrealized appreciation on open futures positions					2,612,228				5,706,691
Unrealized appreciation on open forward contracts					—				1,928,011
					123,239,986				91,761,524
Interest receivable (Note 3c)					62,043				40,059
				$	123,302,029			$	91,801,583
Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts				$	—			$	638,809
Accrued expenses:
Commissions (Note 3c)					162,453				160,866
Management fees (Note 3b)					192,180				142,083
Administrative fees (Note 3a)					52,089				38,612
Incentive fees (Note 3b)					849,874				539,454
Professional fees					120,711				68,739
Other					21,796				8,171
Redemptions payable (Note 6)					3,119,102				2,735,869
					4,518,205				4,332,603
Partners' Capital (Notes 1 and 6):
General Partner, 865.3542 and 499.8084 Unit equivalents outstanding in 2004 and 2003, respectively					1,184,090				549,884
Limited Partners, 85,943.7403 and 79,003.6728 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively					117,599,734				86,919,096
					118,783,824				87,468,980
				$	123,302,029			$	91,801,583

See accompanying notes to financial statements.

F-7

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Salomon Smith Barney
Orion Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2004

Sector				Contract				Fair Value
Currencies
				Futures contracts purchased 0.84%				$	994,089
				Futures contracts sold (0.00)%*					(606	)
Total Currencies 0.84%									993,483
Energy 0.61%				Futures contracts sold 0.61%*					724,990
Grains
				Futures contracts purchased 0.00%*					(313	)
				Futures contracts sold (0.02)%					(20,275	)
Total Grains (0.02)%									(20,588	)
Interest Rates U.S. 0.04%				Futures contracts sold 0.04%					44,813
Interest Rates Non-U.S.
				Futures contracts purchased 0.22%					266,606
				Futures contracts sold (0.00)%*					3,001
Total Interest Rates Non-U.S. 0.22%									269,607
Livestock 0.04%				Futures contracts purchased 0.04%					40,990
Metals (0.01)%				Futures contracts purchased (0.01)%					(7,003	)
Softs
				Futures contracts purchased 0.50%					597,196
				Futures contracts sold (0.02)%					(31,260	)
Total Softs 0.48%									565,936
Investment in Partnerships
				SB AAA Master Fund LLC 38.91%					46,220,533
				CMF Winton Master Fund LP 32.26%					38,322,249
Total Investment in Partnerships 71.17%									84,542,782
Total Fair Value 73.37%								$	87,155,010

Country Composition				Investments at Fair Value				% of Investments at Fair Value
Germany				$	121,341				0.14	%
United Kingdom					148,266				0.17	%
United States					86,885,403				99.69	%
				$	87,155,010				100.00	%

	Percentages are based on Partners' Capital unless otherwise indicated.

	* Due to rounding.

See accompanying notes to financial statements.

F-8

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Salomon Smith Barney
Orion Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2003

Sector				Contract				Fair Value
Currencies
				Futures contracts sold (0.04)%				$	(34,802	)
				Futures contracts purchased 3.12%					2,726,064
Total Currencies 3.08%									2,691,262
Energy (0.05)%				Futures contracts purchased (0.05)%					(47,000	)
Grains
				Futures contracts sold (0.12)%					(107,275	)
				Futures contracts purchased 1.70%					1,487,795
Total Grains 1.58%									1,380,520
Interest Rates U.S. (0.15)%				Futures contracts purchased (0.15)%					(129,958	)
Interest Rates Non-U.S.
				Futures contracts sold (0.00)%*					(343	)
				Futures contracts purchased 0.70%					617,411
Total Interest Rates Non-U.S. 0.70%									617,068
Lumber 0.01%				Futures contracts purchased 0.01%					6,402
Livestock
				Futures contracts sold 0.01%					5,570
				Futures contracts purchased (0.03)%					(25,410	)
Total Livestock (0.02)%									(19,840	)
Metals
				Futures contracts sold (0.00)%*					(3,655	)
				Futures contracts purchased 0.96%					842,863
				Total futures contracts 0.96%					839,208
				Unrealized depreciation on forward contracts (0.73)%					(638,809	)
				Unrealized appreciation on forward contracts 2.20%					1,928,011
				Total forward contracts 1.47%					1,289,202
Total Metals 2.43%									2,128,410
Softs
				Futures contracts sold 0.06%					56,990
				Futures contracts purchased (0.18)%					(159,535	)
Total Softs (0.12)%									(102,545	)
Indices 0.54%				Futures contracts purchased 0.54%					471,574
Investment in Partnership 38.33%				SB AAA Master Fund LLC 38.33%					33,531,892
Total Fair Value 46.33%								$	40,527,785

Country Composition				Investments at Fair Value				% of Investments at Fair Value
Australia				$	141,159				0.35	%
Canada					83,342				0.21
France					30,769				0.08
Germany					309,378				0.76
Hong Kong					7,903				0.02
Italy					(20,955	)			(0.05	)
Japan					44,926				0.11
Spain					22,028				0.05
United Kingdom					1,802,208				4.45
United States					38,107,027				94.02
				$	40,527,785				100.00	%

	Percentages are based on Partners' Capital unless otherwise indicated.

	* Due to rounding.

See accompanying notes to financial statements.

F-9

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Salomon Smith Barney
Orion Futures Fund L.P.
Statements of Income and Expenses
for the years ended December 31, 2004, 2003 and 2002

				2004				2003				2002
Income:
Net gains (losses) on trading of commodity interests:
Realized gains on closed positions				$	13,215,866			$	4,167,650			$	3,569,924
Change in unrealized gains (losses) on open positions and investments in Partnerships					18,377,226				(5,284,604	)			10,072,992
					31,593,092				(1,116,954	)			13,642,916
Interest income (Note 3c)					693,186				479,341				414,512
					32,286,278				(637,613	)			14,057,428
Expenses:
Brokerage commissions including clearing fees of $383,817, $374,550 and $262,071, respectively (Note 3c)					2,178,028				1,912,993				1,168,831
Management fees (Note 3b)					1,992,944				1,547,397				864,165
Administrative fees (Note 3a)					539,668				402,664				216,041
Incentive fees (Note 3b)					3,538,910				837,878				2,447,070
Professional fees					240,111				155,297				134,166
Other expenses					20,937				19,137				30,455
					8,510,598				4,875,366				4,860,728
Net income (loss)				$	23,775,680			$	(5,512,979	)		$	9,196,700
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 6)				$	268.14			$	(60.63	)		$	208.59

See accompanying notes to financial statements.

F-10

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Salomon Smith Barney
Orion Futures Fund L.P.
Statements of Changes in Partners' Capital
for the years ended December 31, 2004, 2003 and 2002

				Limited Partners				General Partner				Total
Partners' capital at December 31, 2001				$	20,546,264			$	207,552			$	20,753,816
Net income					9,106,064				90,636				9,196,700
Sale of 38,299.1963 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 281.8446 Unit equivalents					39,261,000				282,000				39,543,000
Redemption of 6,833.7748 Redeemable Units of Limited Partnership Interest					(7,340,717	)			—				(7,340,717	)
Partners' capital at December 31, 2002					61,572,611				580,188				62,152,799
Net loss					(5,482,675	)			(30,304	)			(5,512,979	)
Sale of 49,916.3153 Redeemable Units of Limited Partnership Interest					57,164,000				—				57,164,000
Redemption of 23,954.9557 Redeemable Units of Limited Partnership Interest					(26,334,840	)			—				(26,334,840	)
Partners' capital at December 31, 2003					86,919,096				549,884				87,468,980
Net income					23,581,525				194,155				23,775,680
Sale of 24,093.3313 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 365.5458 Unit equivalents					28,750,000				440,051				29,190,051
Redemption of 17,153.2638 Redeemable Units of Limited Partnership Interest					(21,650,887	)			—				(21,650,887	)
Partners' capital at December 31, 2004				$	117,599,734			$	1,184,090			$	118,783,824
Net asset value per Redeemable Unit:

2002:				$	1,160.82
2003:				$	1,100.19
2004:				$	1,368.33

See accompanying notes to financial statements.

F-11

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Salomon Smith Barney
Orion Futures Fund L.P.
Statements of Cash Flows
for the years ended December 31, 2004, 2003 and 2002

				2004				2003				2002
Cash flows from operating activities:
Net income (loss)				$	23,775,680			$	(5,512,979	)		$	9,196,700
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					8,507,992				(5,121,754	)			(5,727,071	)
(Increase) decrease in investment in Partnerships, at fair value					(51,010,890	)			(8,059,906	)			(17,092,992	)
(Increase) decrease in net unrealized appreciation/depreciation on open futures positions					3,094,463				(649,474	)			(4,061,313	)
(Increase) decrease in unrealized appreciation on open forward contracts					1,928,011				(1,928,011	)			—
(Increase) decrease in interest receivable					(21,984	)			(4,122	)			(5,870	)
Increase (decrease) in unrealized depreciation on open forward contracts					(638,809	)			638,809				—
Accrued expenses:
Increase (decrease) in commissions					1,587				45,665				48,702
Increase (decrease) in management fees					50,097				34,970				71,646
Increase (decrease) in administrative fees					13,477				11,834				17,911
Increase (decrease) in incentive fees					310,420				266,497				191,518
Increase (decrease) in professional fees					51,972				(12,526	)			37,183
Increase (decrease) in other					13,625				440				4,438
Increase (decrease) in redemptions payable					383,233				2,237,266				498,603
Net cash provided by (used in)     operating activities					(13,541,126	)			(18,053,291	)			(16,820,545	)
Cash flows from financing activities:
Proceeds from additions — Limited Partners					28,750,000				57,164,000				39,261,000
Proceeds from additions — General Partner					440,051				—				282,000
Payments for redemptions — Limited Partners					(21,650,887	)			(26,334,840	)			(7,340,717	)
Net cash provided by (used in) financing activities					7,539,164				30,829,160				32,202,283
Net change in cash					(6,001,962	)			12,775,869				15,381,738
Unrestricted cash, at beginning of year					36,815,784				24,039,915				8,658,177
Unrestricted cash, at end of year				$	30,813,822			$	36,815,784			$	24,039,915

See accompanying notes to financial statements.

F-12

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

1.	Partnership Organization:

Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") is a limited partnership which was organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options, commodity futures and forward contracts on United States exchanges and certain foreign exchanges. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

Between March 31, 1999 (commencement of the offering period) and June 10, 1999, 10,499 redeemable units of Limited Partnership Interest ("Redeemable Units") were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until June 10, 1999, at which time they were turned over to the Partnership for trading. The Partnership privately offers up to 250,000 Redeemable Units to qualified investors. The Partnership continues to offer Redeemable Units.

Citigroup Managed Futures LLC, formerly Smith Barney Futures Management LLC, a Delaware limited liability company, is the Partnership's general partner and commodity pool operator (the "General Partner"). At the commencement of trading, the Partnership's general partner was SFG Global Investments, Inc. ("SFG") and Citigroup Managed Futures LLC was the Partnership's trading manager. Effective April 1, 2001, the limited partners of the Partnership elected Citigroup Managed Futures LLC as the General Partner of the Partnership and consented to the withdrawal of SFG as general partner. Concurrent with this election as General Partner, Citigroup Managed Futures LLC withdrew as the Partnership's trading manager.

The Partnership's commodity broker is Citigroup Global Markets Inc. ("CGM"), formerly Salomon Smith Barney Inc. CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), formerly Salomon Smith Barney Holdings Inc., 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, 2019; the net asset value of a Redeemable Unit decreases to less than $400 per Redeemable Unit as of a close of any business day; a decline in net assets after trading commences to less than $1,000,000; or under certain other circumstances as defined in the Limited Partnership Agreement.

2.	Accounting Policies:

	a.	All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Partnership 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.

The value of the Partnership's investments in other partnerships reflects the Partnership's proportional interest in the other partnerships.

F-13

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

	b.	The Partnership may purchase and write (sell) options. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the statement of financial condition and marked to market daily.

	c.	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.

	d.	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.

	e.	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 pays the General Partner a monthly administrative fee equal to 1/24 of 1% (0.5% per year) of month-end net assets. 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.

	b.	Management Agreement:

The General Partner, on behalf of the Partnership, has entered into Management Agreements with Winton Capital Management ("Winton"), Willowbridge Associates Inc., and AAA Capital Management ("AAA") (collectively, the "Advisors"), each of which are registered commodity trading advisors. Beacon Management Corporation was terminated as an advisor to the Partnership on April 30, 2003 and Winton Capital Management was added on the same date. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM except AAA, and are not responsible for the organization or operation of the Partnership. Mr. A. Anthony Annunziato is the president of AAA. He and the other four trading principals of AAA are also employees of CGM. The Partnership will pay each Advisor (except for Winton which is paid 1.5% of month-end Net Assets) a monthly management fee equal to 1/6 of 1% (2% a year) of month-end Net Assets allocated to each Advisor. 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 each Advisor an incentive fee payable quarterly equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned by each Advisor for the Partnership.

	c.	Customer Agreement:

The Partnership has entered into a Customer Agreement which provides that the Partnership will pay CGM brokerage commissions at $18 per round turn for futures and forwards transactions and $9 per half turn for options. The brokerage fee is inclusive of applicable floor brokerage. In addition, the Partnership will pay CGM National Futures Association fees, as well as exchange,

F-14

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

clearing, user and give-up fees. CGM will pay a portion of brokerage fees to its financial consultants who have sold Redeemable Units in this Partnership. Substantially all of the Partnership's assets are deposited in the Partnership's account at CGM. The Partnership's assets are deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2004 and 2003, the amount of cash held for margin requirements was $5,271,154 and $13,779,146, respectively. CGM has agreed to pay the Partnership interest on 100% of the average daily equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.

4.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Partnership's trading activities are shown in the statements of income and expenses.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value of the commodity interests held by the Partnership during the years ended December 31, 2004 and 2003, based on a monthly calculation, was $4,419,977 and $4,553,850, respectively.

5.	Investment in Partnerships:

Effective September 1, 2001, the Partnership allocated the portion of the Partnership's capital that was allocated to AAA for trading to the SB AAA Master Fund LLC, a New York Limited Liability Company (the "AAA Master"). With this cash, the Partnership purchased 5,173.4381 Units of the Master at a fair value of $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy with Swaps Program, to invest together in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership (collectively, the "Feeder Funds"), are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this master/feeder structure should promote efficiency and economy in the trading process. Expense to investors as a result of the investment in AAA Master are approximately the same and redemption rights are not affected.

On November 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master Fund L.P. ("Winton Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 Units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward positions with a value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership (collectively, the "Feeder Funds") are permitted to be limited partners of Winton Master. The General Partner and Winton 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 Winton Master are approximately the same and redemption rights are not affected.

AAA Master's and Winton Master's trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. Both engage in such trading through commodity brokerage accounts maintained with CGM.

F-15

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

A non-managing member/limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from AAA Master or Winton Master in multiples of the net asset value per unit of limited partnership interest as of the last day of a month after a request for redemption has been made to the Managing Member/General Partner at least 3 days in advance of month-end.

Management and incentive fees are not directly charged to the investments presented below. These fees are charged at the Partnership level as discussed in Note 3.

All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by AAA Master and Winton Master. All other fees including CGM's direct brokerage commission are charged at the Partnership level.

At December 31, 2004 and 2003, the Partnership owns 13.7% and 13.1%, respectively, of AAA Master. At December 31, 2004, the Partnership owns 33.4% of Winton Master. It is AAA's and Winton's intention to continue to invest the assets allocated to each by the Partnership in AAA Master and Winton Master, respectively. The performance of the Partnership is directly affected by the performance of AAA Master and Winton Master.

F-16

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

Summarized information reflecting the Partnership's investments in, and the operations of, the AAA Master and the Winton Master are as shown in the following table.

Investment				% of Partnership's Net Assets				Fair Value				Income (Loss)				Expenses								Net Income (Loss)				Investment Objective				Redemptions Permitted
																Commissions				Other
For the year ended December 31, 2004
SB AAA Master Fund LLC					38.91	%		$	46,220,533			$	19,632,229			$	1,431,471			$	35,065			$	18,165,693			Energy Markets				Monthly
CMF Winton Master Fund LLC					32.26	%			38,322,249				2,863,003				59,557				4,005				2,799,441			Commodity Portfolio				Monthly
Total								$	84,542,782			$	22,495,232			$	1,491,028			$	39,070			$	20,965,134
For the year ended December 31, 2003
SB AAA Master Fund LLC					38.33	%		$	33,531,892			$	(5,598,438	)		$	1,580,770			$	44,072			$	(7,223,280	)		Energy Markets				Monthly

6.	Distributions and Redemptions:

Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. Beginning with the first full month ending at least three months after the commencement of trading, a limited partner may require the Partnership to redeem their Units at their redemption value per Redeemable Unit as of the last day of a month on 10 days notice to the General Partner. For the purpose of a redemption, any accrued liability for reimbursement of offering and organization expenses for the initial offering period will not reduce redemption value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions.

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.

7.	Net Asset Value Per Unit:

Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the years ended December 31, 2004, 2003 and 2002 were as follows:

				2004				2003				2002
Net realized and unrealized gains (losses)*				$	332.84			$	(27.22	)		$	283.72
Interest income					7.93				11.42				16.93
Expenses**					(72.63	)			(44.83	)			(92.06	)
Increase (decrease) for year					268.14				(60.63	)			208.59
Net asset value per Unit, beginning of year					1,100.19				1,160.82				952.23
Net asset value per Redeemable Unit, end of year				$	1,368.33			$	1,100.19			$	1,160.82

*	Includes Partnership brokerage commissions and brokerage commissions allocated from Master.

**	Excludes Partnership brokerage commissions and brokerage commissions allocated from Master.

F-17

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

				2004				2003				2002
Ratios to average net assets:
Net investment loss before incentive fees***					(4.1	)%			(4.6	)%			(4.9	)%
Operating expenses					4.8	%			5.2	%			6.0	%
Incentive fees					3.4	%			1.1	%			6.0	%
Total expenses					8.2	%			6.3	%			12.0	%
Total return:
Total return before incentive fees					28.1	%			(4.3	)%			26.7	%
Incentive fees					(3.7	)%			(0.9	)%			(4.8	)%
Total return after incentive fees					24.4	%			(5.2	)%			21.9	%

***	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.

8.    Financial Instrument Risks:

In the normal course of business, the Partnership 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, 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 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, swaps 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 Partnership 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 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 has credit risk and concentration risk because a significant counterparty or broker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls 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 Partnership is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk

F-18

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Salomon Smith Barney
Orion Futures Fund L.P.
Notes to Financial Statements

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, 2004. However, due to the nature of the Partnership's business, these instruments may not be held to maturity.

F-19

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Selected unaudited quarterly financial data for the years ended December 31, 2004 and December 31, 2003 is summarized below:

				For the period from October 1, 2004 to December 31, 2004				For the period from July 1, 2004 to September 30, 2004				For the period from April 1, 2004 to June 30, 2004				For the period from January 1, 2004 to March 31, 2004
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income					13,941,288				10,629,017				(8,408,857	)			13,946,802
Net Income (loss)					12,238,511				8,816,656				(9,030,686	)			11,751,199
Increase (decrease) in Net Asset Value per Unit				$	134.55			$	99.58			$	(106.08	)		$	140.09

				For the period from October 1, 2003 to December 31, 2003				For the period from July 1, 2003 to September 30, 2003				For the period from April 1, 2003 to June 30, 2003				For the period from January 1, 2003 to March 31, 2003
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income				$	531,678			$	(209,295	)		$	3,496,086			$	(6,369,075	)
Net Income (loss)				$	(620,450	)		$	(727,910	)		$	2,992,395			$	(7,157,014	)
Increase (decrease) in Net Asset Value per Unit				$	(7.00	)		$	(5.93	)		$	42.77			$	(90.47	)

F-20

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Item 9.    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

None

Item 9A.    Controls and Procedures.

Based on their evaluation of the Partnership's disclosure controls and procedures as of year end, the Chief Executive Officer and Chief Financial Officer have concluded that such controls and procedures are effective.

There were no significant changes in the Partnership's internal controls or in other factors that could significantly affect such controls subsequent to the date of their evaluation as of year end.

Management's report on internal control over financial reporting and KPMG LLP's related opinion are included in the Partnership's annual financial statements under "Item 8. Financial Statements and Supplementary Data."

PART III

Item 10.    Directors and Executive Officers of the Registrant.

The Partnership has no officers or directors and its affairs are managed by its General Partner, Citigroup Managed Futures LLC. Investment decisions are made by the Advisors, AAA Capital Management, Inc. Willowbridge Associates Inc. and Winton Capital Management.

The Partnership has not adopted a code of ethics that applies to officers because it has no officers.

Item 11.    Executive Compensation.

The Partnership has no directors or officers. Its affairs are managed by Citigroup Managed Futures Management LLC, its General Partner, which receives compensation for its services, as set forth under "Item 1. Business." CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under "Item 1. Business." During the year ended December 31, 2004, CGM earned $2,178,028 in brokerage commissions and clearing fees from the Partnership. The Advisors earned $1,992,944 in management fees during 2004.

Item 12.    Security Ownership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners. As of March 1, 2005, one beneficial owner who is neither a director nor executive officer owns more than five percent (5%) of the outstanding Redeemable Units issued by the Registrant as follows:

Title of Class

Name and Address of Beneficial Owner

Amount and Nature of Beneficial Ownership

Percent of Class

Redeemable Units of Limited Partnership Interest

Arthur S. Demoss Foundation Fixed Income – Private Mr. Larry R. Nelson 777 South Flager Drive West Tower West Palm Beach, FL 33401

4,582.7770 Redeemable Units

5.1%

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(b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnerships affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 865.3542 Units of Limited Partnership Interest (0.6%) as of December 31, 2004.

Principals who own Redeemable Units of the Partnership:
David J. Vogel                         17.9921 Redeemable Units

(c)    Changes in control. None.

Item 13.    Certain Relationships and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLC would be considered promoters for purposes of item 404(d) of Regulation S-K. The nature and the amounts of compensation each promoter will receive from the Partnership are set forth under "Item 1. Business.", "Item 8. Financial Statements and Supplementary Data." and "Item 11. Executive Compensation."

Item 14.    Principal Accountant Fees and Services

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

2004            $44,560

2003            $16,571

(2)    Audit-Related Fees. None

(3)    Tax Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP for tax compliance and tax advice given in the preparation of the Partnership's Schedule K1s, the preparation of the Partnership's Form 1065 and preparation of all State Tax Returns are as follows:

2004            $5,136

2003            $4,809

(4)    All Other Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

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PART IV

Item 15.    Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

(a) (1)	Financial Statements: Statements of Financial Condition at December 31, 2004 and 2003.

	Statements of Income and Expenses for the years ended December 31, 2004, 2003 and 2002.

	Statements of Changes in Partners' Capital for the years ended December 31, 2004, 2003 and 2002.

	Statements of Cash Flows for the years ended December 31, 2004, 2003 and 2002.

	Notes to Financial Statements

(2)	Exhibits:

	3.1 – Certificate of Limited Partnership (filed as Exhibit 3.1 to the Partnership Form 10) (previously filed).

	3.2 – Certificate of Amendment to the Certificate of Limited Partnership (filed as Exhibit 3.2 to the Partnership Form10) (previously filed).

	3.3 – Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.3 to the Partnership Form 10) (previously filed).

	10.1 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and AAA Capital Management, Inc. (filed as Exhibit 10.1 to the Partnership Form 10) (previously filed).

	10.2 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Beacon Management Corporation (filed as Exhibit 10.2 to the Partnership Form 10) (previously filed).

	10.3 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10.3 to the Partnership Form 10) (previously filed).

	10.4 – Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit 10.4 to the Partnership Form 10) (previously filed).

	10.5 – Amended and Restated Agency Agreement between the Partnership and Salomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit 10.5 to the Partnership Form 10) (previously filed).

	10.6 – Form of Subscription Agreement (filed as Exhibit 10.6 to the Partnership Form 10) (previously filed).

	10.7 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and AAA Capital Management, Inc. (filed as Exhibit 10.7 to the Partnership Form 10) (previously filed).

	10.8 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Beacon Management Corporation (filed as Exhibit 10.8 to the Partnership Form 10) (previously filed).

	10.9 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10.9 to the Partnership Form 10) (previously filed).

	10.10 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2000 (filed as Exhibit 10.10 to the Partnership Form 10) (previously filed).

	10.11 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2000 (filed as Exhibit 10.11 to the Partnership Form 10) (previously filed).

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	10.12 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2001 (filed as Exhibit 10.12 to the Partnership Form 10) (previously filed).

	10.13 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2001 (filed as Exhibit 10.13 to the Partnership Form 10) (previously filed).

	10.14 – Letter from General Partner to Willowbridge Associates, Inc. extending Management Agreement for 2001 (filed as Exhibit 10.14 to the Partnership Form 10) (previously filed).

	10.15 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2002 (filed as Exhibit 10.15 to the Partnership Form 10) (previously filed).

	10.16 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2002 (filed as Exhibit 10.16 to the Partnership Form 10) (previously filed).

	10.17 – Letter from General Partner to Willowbridge Associates, Inc. extending Management Agreement for 2002 (filed as Exhibit 10.17 to the Partnership Form 10) (previously filed).

	10.18 – Letters from the General Partner to Willowbridge Associates, Inc., and AAA Capital Management, Inc. extending the Management Agreement for 2003 (previously filed).

	10.19 – Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (previously filed).

	10.20 – Letter from the General Partner to Beacon Management Corporation terminating the Management Agreement (previously filed).

	10.21 – Letters from the General Partner to Willowbridge Associates, Inc., AAA Capital Management Inc. and Winton Capital Management Limited extending the Management Agreement for 2004 (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).

(b) Report on Form 8-K: None Filed.

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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.

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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 on the 14th day of March 2005.

Salomon Smith Barney Orion Futures Fund L.P.

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

By:    /s/ David J. Vogel
           David J. Vogel, President & 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 in the capacities and on the date indicated.

/s/ David J. Vogel				/s/ Shelley Ullman
David J. Vogel				Shelley Ullman
Director, Principal Executive				Director
Officer and President
/s/ Maureen O'Toole				/s/ Steve J. Keltz
Maureen O'Toole				Steve J. Keltz
Director				Secretary and Director
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director

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