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 June 30, 1999
Commission File Number 0-22491
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
(Exact name of registrant as specified in its charter)
New York 13-3769020
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management Inc.
390 Greenwich St. - 1st Fl.
New York, New York 10013
(Address and Zip Code of principal executive offices)
(212) 723-5424
(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
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
FORM 10-Q
INDEX
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition
at June 30, 1999 (unaudited)and
December 31, 1998 3
Statement of Income and Expenses
and Partners' Capital for the three
and six months ended June 30, 1999
and 1998 (unaudited) . 4
Notes to Financial Statements
(unaudited) 5 - 9
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 10 - 13
Item 3. Quantitative and Qualitative Disclosures
of Market Risk 14 - 15
PART II - Other Information 16
2
<PAGE>
PART I
Item 1. Financial Statements
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
STATEMENT OF FINANCIAL CONDITION
<TABLE>
<CAPTION>
June 30, DECEMBER 31,
1999 1998
ASSETS: _ _
(Unaudited)
<S> <C> <C>
Equity in commodity futures trading account:
Cash 134,933,363 $146,338,218
Net unrealized appreciation on open
futures contracts 10,873,624 7,931,171
Commodity options owned, at market value
(cost $366,525 and $0 in 1999 and 1998,
respectively) 225,025 --
----------- ------------
146,032,012 154,269,389
Interest receivable 392,731 423,262
------------ ------------
$146,424,743 $154,692,651
=========== ============
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 722,095 $ 788,297
Management fees 314,579 344,022
Incentive fees 907,092 236,839
Other 18,571 59,980
Redemptions Payable 2,324,137 1,465,731
------------ ------------
4,286,474 2,894,869
------------ ------------
Partners' Capital:
General Partner, 1,287.3915
Unit equivalents outstanding
in 1999 and 1998 1,581,414 1,569,575
Limited Partners, 114,423.9933 and 123,220.1454
Units of Limited Partnership
Interest outstanding in 1999 and 1998,
respectively 140,556,855 150,228,207
------------ ------------
142,138,269 151,797,782
------------ ------------
$146,424,743 $154,692,651
============ ============
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
<TABLE>
<CAPTION>
THREE MONTHS ENDED SIX MONTHS ENDED
JUNE 30, JUNE 30,
------------- ------------- --------------- ----------------
<S> <C> <C> <C> <C>
1999 1998 1999 1998
_ _ _
Income:
Net gains (losses) on trading of commodity
futures:
Realized gains on closed positions $ 5,274,685 $ 3,066,464 $ 3,412,681 $ 7,659,333
Change in unrealized gains/losses on open
positions 3,650,108 (3,657,953) 2,800,953 (8,228,381)
_____________ _____________ _____________ _____________
8,924,793 (591,489) 6,213,634 (569,048)
Less, brokerage commissions including clearing fees of
$112,932, $48,947, $166,731 and $105,787 respectively (2,505,739) (2,000,113) (4,915,209) (3,937,288)
_____________ _____________ _____________ _____________
Net realized and unrealized gains (losses) 6,419,054 (2,591,602) 1,298,425 (4,506,336)
Interest income 1,241,669 1,171,628 2,493,648 2,345,176
_____________ _____________ _____________ _____________
7,660,723 (1,419,974) 3,792,073 (2,161,160)
_____________ _____________ _____________ _____________
Expenses:
Management fees 960,673 814,048 1,901,065 1,592,055
Other 26,305 99,273 94,703 167,345
Incentive fees 768,058 (57,104) 907,092 0
_____________ _____________ _____________ _____________
1,755,036 856,217 2,902,860 1,759,400
_____________ _____________ _____________ _____________
Net income (loss) 5,905,687 (2,276,191) 889,213 (3,920,560)
Additions- Limited Partner 0 17,366,000 0 28,936,000
- - General Partner 0 121,000 0 210,000
Redemptions (5,536,585) (3,371,345) (10,548,726) (8,038,405)
_____________ _____________ _____________ _____________
Net increase (decrease) in Partners' capital 369,102 11,839,464 (9,659,513) 17,187,035
Partners' capital, beginning of period 141,769,167 116,927,263 151,797,782 111,579,692
_____________ _____________ _____________ _____________
Partners' capital, end of period $ 142,138,269 $ 128,766,727 $ 142,138,269 $ 128,766,727
------------- ------------- ------------- -------------
Net asset value per Unit
(115,711.3848 and 118,560.3430 Units outstanding
at June 30, 1999 and 1998, respectively) $ 1,228.39 $ 1,086.09 $ 1,228.39 $ 1,086.09
------------- ------------- ------------- -------------
Net gain (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 49.46 $ (21.85) $ 9.20 $ (37.67)
------------- ------------- ------------- -------------
</TABLE>
See Notes to Financial Statements
4
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
NOTES TO FINANCIAL STATEMENTS
June 30, 1999
(Unaudited)
1. General
Smith Barney Diversified Futures Fund L.P. II (the "Partnership"), is
a limited partnership which was organized on May 10, 1994 under the partnership
laws of the State of New York to engage in the speculative trading of a
diversified portfolio of commodity interests including futures contracts,
options and forward contracts. The commodity interests that are traded by the
Partnership are volatile and involve a high degree of market risk.
Between August 21, 1995 (commencement of the offering period) and
January 16, 1996, 8,529 Units of limited partnership interest were sold at
$1,000 per unit. The proceeds of the offering were held in an escrow account
until January 17, 1996, at which time they were turned over to the Partnership
for trading.
Smith Barney Futures Management Inc. acts as the general partner (the
"General Partner") of the Partnership. The Partnership's commodity broker
is Salomon Smith Barney Inc. ("SSB@). SSB is an affiliate of the General
Partner. The General Partner is wholly owned by Salomon Smith Barney
Holdings Inc. ("SSBH"), which is the sole owner of SSB. SSBH is a wholly
owned subsidiary of Citigroup Inc. All trading decisions are made for the
Partnership by John W. Henry & Company, Inc., R.G. Neiderhoffer Capital
Management Inc., Campbell & Co., Inc., Willowbridge Associates Inc. and
Beacon Management Corporation (collectively, the "Advisors").
The accompanying financial statements are unaudited but, in the
opinion of management, include all adjustments (consisting only of normal
recurring adjustments) necessary for a fair presentation of the Partnership's
financial condition at June 30, 1999 and the results of its operations for the
three and six months ended June 30, 1999 and 1998. These financial statements
present the results of interim periods and do not include all disclosures
normally provided in annual financial statements. It is suggested that these
financial statements be read in conjunction with the financial statements and
notes included in the Partnership's annual report on Form 10-K filed with the
Securities and Exchange Commission for the year ended December 31, 1998.
Due to the nature of commodity trading, the results of operations for
the interim periods presented should not be considered indicative of the results
that may be expected for the entire year.
5
<PAGE>
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
NOTES TO FINANCIAL STATEMENTS
June 30, 1999
(Unaudited)
2. Net Asset Value Per Unit:
Changes in net asset value per Unit for the three and six months ended
June 30, 1999 and 1998, were as follows:
<TABLE>
<CAPTION>
THREE-MONTHS ENDED SIX-MONTHS ENDED
JUNE 30, JUNE 30,
1999 1998 1999 1998
------------------ ---------------
<S> <C> <C>>
Net realized and unrealized
gains (losses) $ 53.76 $ (24.65) $ 12.62 $ (43.07)
Interest income 10.43 10.32 20.62 21.57
Expenses (14.73 (7.52) (24.04) (16.17)
--------- --------- -------- --------
Increase (decrease) for
period 49.46 (21.85) 9.20 (37.67)
Net Asset Value per Unit,
beginning of period 1,178.93 1,107.94 1,219.19 1,123.76
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $1,228.39 $1,086.09 $1,228.39 $1,086.09
======== ======== ======== =========
</TABLE>
3. 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 instruments. The results of the Partnership's trading
activity are shown in the statement of income and expenses.
The Customer Agreement between the Partnership and SSB gives the
Partnership the legal right to net unrealized gains and losses.
All of the commodity interests owned by the Partnership are held for
trading purposes. The fair value of these commodity interests, including options
thereon, if applicable, at June 30, 1999 and December 31, 1998 was $11,098,649
and $7,931,171, respectively, and the average fair value during the six and
twelve months then ended, based on monthly calculation, was $9,836,958 and
$8,531,763, respectively.
6
<PAGE>
4. Financial Instrument Risk:
The Partnership is party to financial instruments with off-balance
sheet risk, including derivative financial instruments and derivative commodity
instruments, in the normal course of its business. These financial instruments
may include forwards, futures and options, whose value is based upon an
underlying asset, index, or reference rate, and generally represent future
commitments to exchange currencies or cash flows, to purchase or sell other
financial instruments at specific terms at specified future dates, or, in the
case of derivative commodity instruments, to have a reasonable possibility to be
settled in cash, through physical delivery or with another financial instrument.
These instruments may be traded on an exchange or over-the-counter ("OTC").
Exchange traded instruments are standardized and include futures and certain
option contracts. OTC contracts are negotiated between contracting parties and
include forwards and certain options. Each of these instruments is subject to
various risks similar to those related to the underlying financial instruments
including market and credit risk. In general, the risks associated with OTC
contracts are greater than those associated with exchange traded instruments
because of the greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial
instruments traded by the 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 statement of financial condition and
not represented by the contract or notional amounts of the instruments. The
Partnership has concentration risk because the sole counterparty or broker with
respect to the Partnership's assets is SSB.
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 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.
7
<PAGE>
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent of the Partnership's
involvement in these instruments.
At June 30, 1999, the notional or contractual amounts of the
Partnership's commitment to purchase and sell these instruments was $404,496,647
and $1,439,767,484, respectively, as detailed below. All of these instruments
mature within one year of June 30, 1999. However, due to the nature of the
Partnership's business, these instruments may not be held to maturity. At June
30, 1999, the fair value of the Partnership's derivatives, including options
thereon, if applicable, was $11,098,649, as detailed below.
JUNE 30, 1999
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
<TABLE>
<CAPTION>
TO PURCHASE TO SELL FAIR VALUE
<S> <C> <C> <C>
Currencies:
- - Exchange Traded Contracts $ 27,969,060 $ 120,863,260 $ 1,124,478
- - OTC Contracts 46,021,090 138,489,950 582,709
Energy 41,628,395 -0- 2,579,384
Grains 667,400 20,864,769 634,156
Interest Rates U.S. 132,928,275 335,411,794 870,575
Interest Rates Non-U.S 69,571,007 734,638,218 2,908,549
Livestock 8,522,960 10,171,120 1,543,700
Metals 16,388,743 43,516,764 (432,389)
Softs 9,432,308 18,452,236 82,957
Stock Indices 51,367,409 17,359,373 1,204,530
-------------- -------------- --------------
Totals $ 404,496,647 $1,439,767,484 $ 11,098,649
============== ============== ==============
</TABLE>
8
<PAGE>
At December 31, 1998, the Partnership's commitment to purchase and
sell these instruments was $627,878,574 and $849,849,754, respectively, and the
fair value of the Partnership's derivatives, including options thereon, if
applicable, was $7,931,171, as detailed.
DECEMBER 31, 1998
NOTIONAL OR CONTRACTUAL
AMOUNT OF COMMITMENTS
<TABLE>
<CAPTION>
TO PURCHASE TO SELL FAIR VALUE
<S> <C> <C> <C>
Currencies:
- - Exchange Traded Contracts $ 23,119,700 $ 1,535,710 $ (260,990)
- - OTC Contracts 206,074,644 166,497,199 (1,219,718)
Energy -- 16,794,100 316,796
Grains 301,800 15,364,740 446,680
Interest Rates U.S. 70,685,806 226,439,506 (588,909)
Interest Rates Non-U.S 281,828,669 352,070,813 7,311,953
Livestock -- 4,570,380 214,540
Metals 15,054,941 42,312,165 790,656
Softs 14,099,125 15,753,068 853,554
Indices 16,713,889 8,512,073 66,609
------------ ------------ ------------
Totals $627,878,574 $849,849,754 $ 7,931,171
============ ============ ============
</TABLE>
9
<PAGE>
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its
only assets are its equity in its commodity futures trading account, consisting
of cash and cash equivalents, net unrealized appreciation (depreciation) on open
futures and forward contracts, commodity options and interest receivable.
Because of the low margin deposits normally required in commodity futures
trading, relatively small price movements may result in substantial losses to
the Partnership. While substantial losses could lead to a decrease in liquidity,
no such losses occurred during the second quarter of 1999.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by gains or losses on commodity futures
trading, expenses, interest income, additions and redemptions of Units and
distributions of profits if any.
For the six months ended June 30, 1999, Partnership capital decreased
6.4% from $151,797,782 to $142,138,269. This decrease was attributable to the
redemption of 8,796.1521 Units resulting in an outflow of $10,548,726 partially
offset by net income from operations of $889,213 for the six months ended June
30, 1999. Future redemptions can impact the amount of funds available for
investments in commodity contract positions in subsequent periods.
Risk of Computer System Failure (Year 2000 Issue)
The Year 2000 issue is the result of existing computers in
many businesses using only two digits to identify a year in the date field.
These computers and programs, often referred to as "information technology,"
were designed and developed without considering the impact of the upcoming
change in the century. If not corrected, many computer applications could fail
or create erroneous results at the Year 2000. Such systems and processes are
dependent on correctly identifying dates in the next century.
The General Partner administers the business of the
Partnership through various systems and processes maintained by SSBH and SSB. In
addition, the operation of the Partnership is dependent on the capability of the
Partnership's Advisors, the brokers and exchanges through which the Advisors
trade, and other third parties to prepare adequately for the Year 2000 impact on
their systems and processes. The Partnership itself has no systems or
information technology applications relevant to its operations.
The General Partner, SSB, SSBH and their parent organization
Citigroup Inc. have undertaken a comprehensive, firm-wide evaluation of both
internal and external systems (systems related to third parties) to determine
the specific modifications needed to prepare for the year 2000. The combined
Year 2000 program in SSB is expected to cost approximately $140 million over the
four years from 1996 through 1999, and has involved over 450 people. As of June
30, 1999, SSB has completed all compliance and certification work.
10
<PAGE>
The systems and components supporting the General Partner's
business that require remediation have been brought into Year 2000 compliance.
Final testing and certification was completed as of June 30, 1999.
This expenditure and the General Partner's resources dedicated
to the preparation for Year 2000 do not and will not have a material impact on
the operation or results of the Partnership.
The General Partner has received statements from the Advisors
that they have completed their Year 2000 remediation program.
The most likely and most significant risk to the Partnership
associated with the lack of Year 2000 readiness is the failure of outside
organizations, including the commodities exchanges, clearing organizations, or
regulators with which the Partnership interacts to resolve their Year 2000
issues in a timely manner. This risk could involve the inability to determine
the value of the Partnership at some point in time and would make effecting
purchases or redemptions of Units in the Partnership infeasible until such
valuation was determinable.
SSB has successfully participated in industry-wide testing
including: The Streetwide Beta Testing organized by the Securities Industry
Association (SIA), a government securities clearing test with the Federal
Reserve Bank of New York, The Depository Trust Company, and The Bank of New
York, and Futures Industry Association participants test. The firm also
participated in the streetwide testing that was conducted from March through May
1999.
It is possible that problems may occur that would require some
time to repair. Moreover, it is possible that problems will occur outside SSBH
for which SSBH could experience a secondary effect. Consequently, SSBH has
prepared comprehensive, written contingency plans so that alternative procedures
and a framework for critical decisions are defined before any potential crisis
occurs.
The goal of year 2000 contingency planning is a set of
alternate procedures to be used in the event of a critical system failure by a
supplier of counterparty. Planning work was completed in January 1999, and
testing of alternative procedures will be completed in the third and fourth
quarter of 1999.
11
<PAGE>
Results of Operations
During the Partnership's second quarter of 1999, the net asset value
per unit increased 4.2% from $1,178.93 to $1,228.39, as compared to a decrease
of 2.0% in the second quarter of 1998. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the second quarter of 1999
of $8,924,793. Gains were primarily attributable to the trading of commodity
futures in currencies, energy, grains, U.S. and non-U.S. interest rates and
metals and were partially offset by losses recognized in the trading of
livestock, indices and softs. The Partnership experienced a net trading loss
before brokerage commissions and related fees in the second quarter of 1998 of
$591,489. Losses were primarily attributable to the trading of commodity futures
in currencies, grains, U.S. and non-U.S. interest rates and metals and were
partially offset by gains recognized in the trading of energy, indices and
softs.
Commodity futures 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 the Partnership depends
on the existence of major price trends and the ability of the Advisors to
identify correctly those prices trends. Price trends 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 market trends exist and the Advisors are able to identify them,
the Partnership expects to increase capital through operations.
Interest income on 80% of the Partnership's daily equity maintained in
cash was earned at the 30-day U.S. Treasury bill rate determined weekly by SSB
based on the average non-competitive yield on 3-month U.S. Treasury bills
maturing in 30 days. Interest income increased by $70,041 and $148,472,
respectively, for the three and six months ended June 30, 1999 as compared to
the corresponding periods in 1998.
Brokerage commissions are calculated on the Partnership's net asset
value as of the last day of each month and therefore, are affected by trading
performance, additions and redemptions. Accordingly, they must be compared in
relation to the fluctuations in the monthly net asset values. Brokerage
commissions and fees for the three and six months ended June 30, 1999 increased
by $505,626 and $977,921, respectively, as compared to the corresponding periods
in 1998.
Management fees are calculated on the portion of the Partnership's net
asset value allocated to each Advisor at the end of the month and, therefore,
are affected by trading performance, additions and redemptions. Management fees
increased by $146,625 and $309,010, respectively, for the three and six months
ended June 30, 1999, as compared to the corresponding periods in 1998.
12
<PAGE>
Incentive fees are based on the new trading profits generated by each
Advisor as defined in the advisory agreements between the Partnership, the
General Partner and each Advisor. Trading performance for the three and six
months ended June 30, 1999 resulted in incentive fees of $768,058 and $907,092,
respectively. No incentive fees were earned for the three and six months ended
June 30, 1998.
13
<PAGE>
Item 3. Quantitative and Qualitative Disclosures of Market Risk
The Partnership is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Partnership's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Partnership's main line of business.
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, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts,
the diversification effects among the 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.
14
<PAGE>
The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category at June 30, 1999. All open
position trading risk exposures of the Partnership have been included in
calculating the figures set forth below. As of June 30, 1999, the Partnership's
total capitalization was $142,138,269. There has been no material change in the
trading Value at Risk information previously disclosed in the Form 10-K for the
year ended December 31, 1998.
June 30, 1999
<TABLE>
<CAPTION>
% of Total
Market Sector Value at Risk Capitalization
<S> <C> <C>
Currencies $ 3,655,246 2.57%
Energy 2,756,800 1.94%
Grains 826,700 0.58%
Interest rates U.S. 2,517,000 1.77%
Interest rates Non-U.S 6,036,416 4.25%
Livestock 477,052 0.34%
Metals 1,895,400 1.33%
Softs 1,366,741 0.96%
Indices 4,266,510 3.00%
----------- -----
Total $23,797,865 16.74%
=========== =====
</TABLE>
15
<PAGE>
PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
For information concerning a purported class action
against numerous broker-dealers including Salomon Smith Barney,
see the description that appears in the sixth paragraph under the
caption Item 3. "Legal Proceedings" on Form 10-K for the year
ending December 31, 1998. SSBH has filed a motion to dismiss the
amended complaint.
Item 2. Changes in Securities and Use of Proceeds - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. (a) Exhibits - None
(b) Reports on Form 8-K - None
16
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II
By: Smith Barney Futures Management Inc.
(General Partner)
By:
David J. Vogel, President
Date:
Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management Inc.
(General Partner)
By:
David J. Vogel, President
Date:
By
Daniel A. Dantuono
Chief Financial Officer and
Director
Date:
17
<TABLE> <S> <C>
<ARTICLE> 5
<CIK> 0000923660
<NAME> Smith Barney Diversified Futures Fund L.P. II
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> DEC-31-1999
<PERIOD-START> JAN-01-1999
<PERIOD-END> JUN-30-1999
<CASH> 134,933,363
<SECURITIES> 11,098,649
<RECEIVABLES> 392,731
<ALLOWANCES> 0
<INVENTORY> 0
<CURRENT-ASSETS> 146,424,743
<PP&E> 0
<DEPRECIATION> 0
<TOTAL-ASSETS> 146,424,743
<CURRENT-LIABILITIES> 4,286,474
<BONDS> 0
0
0
<COMMON> 0
<OTHER-SE> 142,138,269
<TOTAL-LIABILITY-AND-EQUITY> 146,424,743
<SALES> 0
<TOTAL-REVENUES> 3,792,073
<CGS> 0
<TOTAL-COSTS> 0
<OTHER-EXPENSES> 2,902,860
<LOSS-PROVISION> 0
<INTEREST-EXPENSE> 0
<INCOME-PRETAX> 889,213
<INCOME-TAX> 0
<INCOME-CONTINUING> 0
<DISCONTINUED> 0
<EXTRAORDINARY> 0
<CHANGES> 0
<NET-INCOME> 889,213
<EPS-BASIC> 9.20
<EPS-DILUTED> 0
</TABLE>
