SMITH BARNEY DIVERSIFIED FUTURES FUND LP
The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership. Due to the speculative nature of trading commodity interests, an investor could lose all of its investment in the Partnership. Regardless of its trading performance, the Partnership will incur fees and expenses, including brokerage and management fees. Fees will be paid to the trading advisor even if the Partnership experiences a net loss for the full year. An investor's ability to redeem units is limited and no market exists for the units. The Partnership is subject to numerous conflicts of interest including those that arise from the facts that:       1.  The General Partner and commodity broker are affiliates;         2.  Each of the trading advisor(s), the commodity broker and their principals and affiliates may trade in commodity interests for their own accounts; and         3.  Smith Barney financial advisors will receive ongoing compensation for providing services to an investor's account.   3     The Partnership will not provide any benefit of diversification of an investor's overall portfolio unless it is profitable and produces returns that are independent from stock and bond market returns. The advisor's trading strategies may not perform as they have performed in the past. The advisors has from time to time incurred substantial losses in trading on behalf of clients. Investors are taxed on their share of the Partnership's income, even though the Partnership does not intend to make any distributions. The General Partner at any time may select and allocate the Partnership's assets to undisclosed advisors. Investors may not be advised of such changes in advance. Investors must rely on the ability of the General Partner to select advisors and allocate assets among them. Item 2.    Properties. The Partnership does not own or lease any properties. The General Partner operates out of facilities provided by its affiliate, CGM. Item 3.    Legal Proceedings. This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGMHI or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner. CGM is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant ("FCM"), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide. There have been no material administrative, civil or criminal actions within the past five years against Citigroup Global Markets (formerly known as Salomon Smith Barney) or any of its individual principals and no such actions are currently pending, except as follows. Regulatory Matters Both the Department of Labor and the Internal Revenue Service ("IRS") have advised Citigroup Global Markets that they were or are reviewing transactions in which Ameritech Pension Trust purchased from Citigroup Global Markets and certain affiliates approximately $20.9 million in participations in a portfolio of motels owned by Motels of America, Inc. and Best Inns, Inc. With respect to the IRS review, Citigroup Global Markets and certain affiliated entities have consented to extensions of time for the assessment of excise taxes that may be claimed to be due with respect to the transactions for the years 1987, 1988 and 1989. IPO Regulatory Inquiries Since April 2002, Citigroup Global Markets and several other broker dealers have received subpoenas and/or requests for information from various governmental and self-regulatory agencies and Congressional committees as part of their research on IPO allocation inquiries. With respect to issues raised by the NASD, the NYSE and the SEC about Citigroup Global Markets' and other firms' e-mail retention practices, Citigroup Global Markets and several other broker/dealers and the NASD, the NYSE and the SEC entered into a settlement agreement in December 2002. Citigroup Global Markets agreed to pay a penalty in the amount of $1.65 million and did not admit any wrongdoing. No individuals from Citigroup Global Markets have been charged in the IPO allocation proceedings. IPO Civil Litigation In April 2002, consolidated amended complaints were filed against Citigroup Global Markets and other investment banks named in numerous alleged class actions filed in the United States District Court  4      for the Southern District of New York, alleging violations of certain federal securities laws (including Section 11 of the Securities Act of 1933, as amended, and Section 10(b) of the Securities Exchange Act of 1934, as amended) with respect to the allocation of shares for certain initial public offerings and related aftermarket transactions and damage to investors caused by allegedly biased research analyst reports. On February 19, 2003, the Court issued an opinion denying defendants' motion to dismiss. On October 13, 2004, the court granted in part the motion to certify class actions for six focus cases in the securities litigation. Citigroup Global Markets is not a defendant in any of the six focus cases. The underwriter defendants in the focus cases have filed a petition to the United States Court of Appeals for the Second Circuit seeking review of this decision. On June 30, 2005, the United States Court of Appeals for the Second Circuit entered an order in In Re: Initial Public Offering Securities Litigation agreeing to review the district court's order granting plaintiffs' motion for class certification. Also filed in the Southern District of New York against Citigroup Global Markets and other investment banks were several alleged class actions that were consolidated into a single class action alleging violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. On November 3, 2003, the court granted Citigroup Global Markets' motion to dismiss the consolidated amended complaint in the antitrust case. On September 28, 2005, the United States Court of Appeals for the Second Circuit in In Re: Initial Public Offering Antitrust Litigation vacated the district court's order dismissing these actions and remanded for further proceedings. Research Settlement On April 28, 2003, Citigroup Global Markets announced final agreements with the SEC, the NASD, the NYSE and the New York Attorney General (as lead state among the 50 states, the District of Columbia and Puerto Rico) to resolve on a civil basis all of their outstanding investigations into its research and IPO allocation and distribution practices (the "Research Settlement"). As part of the Research Settlement, Citigroup Global Markets has consented to the entry of (1) an injunction under the federal securities laws to be entered in the United States District Court for the Southern District of New York, barring Citigroup Global Markets from violating provisions of the federal securities laws and related NASD and NYSE rules relating to research, certain IPO allocation practices, the safeguarding of material nonpublic information, and the maintenance of required books and records and requiring Citigroup Global Markets to adopt and enforce new restrictions on the operation of research; (2) an NASD Acceptance Waiver and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NASD rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; (3) an NYSE Stipulation and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NYSE rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; and (4) an Assurance of Discontinuance with the New York Attorney General containing substantially the same or similar restrictions. The Research Settlement requires Citigroup Global Markets to pay $300 million for retrospective relief, plus $25 million for investor education, and commit to spend $75 million to provide independent third-party research to its clients at no charge. Citigroup Global Markets reached these final settlement agreements without admitting or denying any wrongdoing or liability. The Research Settlement does not establish wrongdoing or liability for purposes of any other proceeding. The $300 million was accrued during the fourth quarter of 2002. To effectuate the Research Settlement, the SEC filed a Complaint and Final Judgment in the United States District Court for the Southern District of New York. On October 31, 2003, final judgment was entered against Citigroup Global Markets and nine other investment banks. The NASD has accepted the Letter of Acceptance, Waiver and Consent entered into with Citigroup Global Markets in connection with the Research Settlement. In May 2003, the NYSE advised Citigroup Global Markets that the Hearing Panel's Decision, in which it accepted the Research Settlement, had become final. As required by the Research Settlement, Citigroup Global Markets also has entered into separate settlement agreements with numerous states and certain U.S. territories. 5     Several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. alleging violations of state and federal securities laws. Enron Regulatory Settlement On July 28, 2003, Citigroup (Citigroup Global Markets' ultimate parent) entered into a final settlement agreement with the SEC to resolve the SEC's outstanding investigations into Citigroup transactions with Enron Corp. and Dynegy Inc. Pursuant to the settlement, Citigroup has, among other terms, (1) consented to the entry of an administrative cease and desist order, which bars Citigroup from committing or causing violations of provisions of the federal securities laws, and (2) agreed to pay $120 million ($101.25 million allocable to Enron and $18.75 million allocable to Dynegy). Citigroup entered into this settlement without admitting or denying any wrongdoing or liability, and the settlement does not establish wrongdoing or liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A. entered into an agreement with the Office of the Comptroller of the Currency ("OCC") and Citigroup entered into an agreement with the Federal Reserve Bank of New York ("FED") to resolve their inquiries into certain of Citigroup's transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have agreed to submit plans to the OCC and FED, respectively, regarding the handling of complex structured finance transactions. Also on July 28, 2003, Citigroup entered into a settlement agreement with the Manhattan District Attorney's Office to resolve its investigation into certain of Citigroup' s transactions with Enron. Pursuant to that settlement, Citigroup has agreed to pay $25.5 million and to abide by its agreements with the SEC, OCC and FED. Enron-Related Civil Actions Citigroup Global Markets, Citigroup and various other Citigroup-related entities have been named as defendants in over 20 civil lawsuits pending in state and federal courts throughout the United States, alleging claims against Citigroup and Citigroup Global Markets based on their dealings with Enron. The majority of these cases have been brought by purchasers and sellers of Enron equity and debt securities and Enron-linked securities. Many of the plaintiffs in these actions are large, institutional investors that had substantial Enron and Enron-linked holdings. The lawsuits collectively allege as against Citigroup and/or its affiliates and subsidiaries, among other things, federal securities fraud, state law claims of negligent misrepresentation, fraud, breach of fiduciary duty, aiding and abetting a breach of fiduciary duty and related claims. In most of these lawsuits, Citigroup is named as a co-defendant along with other investment banks alleged to have had dealings with Enron. The majority of cases pending in the federal courts have been, or are in the process of being, consolidated before a single judge in the United States District Court for the Southern District of Texas. In addition, in five adversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, in one case, its co-debtor affiliates and subsidiaries, and the Official Committee of Unsecured Creditors of Enron Corp., et al., have named Citigroup and/or its affiliates or subsidiaries as defendants. On June 13, 2005, Citigroup announced a settlement of the Enron class action litigation (Newby, et al v. Enron Corp., et al.) currently pending in the United States District Court for the Southern District of Texas, Houston Division. This settlement resolves all claims against Citigroup brought on behalf of the class of purchasers of publicly traded equity and debt securities issued by Enron and Enron-related entities between September 9, 1997 and December 2, 2001. The settlement, which involves a pre-tax payment of $2.0 billion to the settlement class, is fully covered by Citigroup's existing litigation reserves. It is subject to approval by the Board of Regents of the University of California (the lead plaintiff), the Citigroup Board and the District Court in Texas. A Citigroup affiliate, along with other defendants, settled all claims against it in In Re: Newpower Holdings Securities Litigation, a class action brought on behalf of certain investors in NewPower securities. Citigroup reached this settlement agreement without admitting any wrongdoing. On September 13, 2004, the United States District Court for the Southern District of New York preliminarily approved the settlement. 6     In April 2005, Citigroup, along with other financial institution defendants, reached an agreement-in-principle to settle four state-court actions brought by various investment funds, which were not previously consolidated or coordinated with other actions. The four cases are OCM Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al. and Principal Global Investors v. Citigroup Inc., et al. The amounts to be paid in settlement of these actions are covered by existing litigation reserves. On August 26, 2005, a group of 15 plaintiffs filed an action in the United States District Court for the Southern District of Texas (Avenue Capital Management II, L.P., et al. v. J.P. Morgan-Chase & Co., et al.). The complaint names as defendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets, and several J.P. Morgan entities and alleges fraud, breach of fiduciary duty and breach of contract arising out of Enron bank debt incurred under two syndicated revolving credit facilities and a syndicated letter of credit facility. Dynegy Inc. On June 6, 2003, the complaint in a pre-existing alleged class action pending in the United States District Court for the Southern District of Texas (In Re: Dynegy  Inc. Securities Litigation) brought by purchasers of publicly traded debt and equity securities of Dynegy  Inc. was amended to add Citigroup, Citibank and Citigroup Global Markets as defendants. The plaintiffs allege violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, against the Citigroup defendants. The Citigroup defendants filed a motion to dismiss in March  2004, which motion was granted by the District Court in October  2004. The court denied lead plaintiff's request for leave to appeal. The court had also previously denied lead plaintiff's motion for leave to amend. No appeal was yet timely while the remainder of the case remained pending. On April 15, 2005, as part of a global settlement involving all defendants, Citigroup entered into a memorandum of understanding to settle this case. The amount to be paid in settlement is covered by existing litigation reserves. WorldCom-Related Litigation Citigroup, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants -- along with twenty-two other investment banks, certain current and former WorldCom officers and directors, and WorldCom's former auditors -- in a consolidated class action brought on behalf of individuals and entities who purchased or acquired publicly traded securities of WorldCom between April 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc. Securities Litigation. The class action complaint asserts claims against Citigroup Global Markets under (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, as amended, in connection with certain bond offerings in which it served as underwriter, and (ii) Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule 10b-5 promulgated under Section 10(b), alleging that it participated in the preparation and/or issuance of misleading WorldCom registration statements and disseminated misleading research reports concerning WorldCom stock. In 2003, the district court denied Citigroup Global Markets' motion to dismiss the consolidated class action complaint and granted the plaintiffs' motion for class certification. Pursuant to an order entered May 28, 2003, the District Court consolidated approximately seventy-eight individual actions with the class action for pretrial proceedings. The claims asserted in these individual actions are substantially similar to the claims alleged in the class action and assert state and federal securities law claims based on Citigroup Global Markets' research reports concerning WorldCom and/or Citigroup Global Markets' role as an underwriter in WorldCom offerings. Plaintiffs in certain of these actions filed motions to remove their cases to state court. The District Court denied these motions and its rulings were upheld on appeal. Numerous other actions asserting claims against Citigroup Global Markets in connection with its research reports about WorldCom and/or its role as an investment banker for WorldCom are pending in other federal and state courts around the country. These actions have been remanded to various state courts, are pending in other federal courts, or have been conditionally transferred to the United States District Court for the Southern District of New York to be consolidated with the class action. In addition  7      to the court suits, actions asserting claims against Citigroup and certain of its affiliates relating to its WorldCom research reports are pending in numerous arbitrations around the country. These actions assert claims that are substantially similar to the claims asserted in the class action. On May 10, 2004, Citigroup announced that it had agreed to pay $2.58 billion to settle the WorldCom class action suits. The United States District Court for the Southern District of New York granted approval of the proposed settlement on November 10, 2004. On September 17, 2004, Weinstein, et al. v. Ebbers, et al., an alleged class action against Citigroup Global Markets and others brought on behalf of holders of WorldCom securities asserting claims based on, among other things, Citigroup Global Markets' research reports concerning WorldCom, was dismissed with prejudice in its entirety by the United States District Court for the Southern District of New York. The plaintiffs noticed an appeal of the dismissal to the United States Court of Appeals for the Second Circuit on October 15, 2004. The parties have reached an agreement in principle on the terms of a settlement of this action. Citigroup and Citigroup Global Markets, along with a number of other defendants, have settled Retirement Systems of Alabama, et al. v. J.P. Morgan Chase & Co., et al., a WorldCom individual action that had been remanded to the Circuit Court of Montgomery County, Alabama. The settlement became final on September 30, 2004. On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933, as amended, and certain claims under the Securities Exchange Act of 1934 in In Re: Targets Securities Litigation, an alleged class action against Citigroup and Citigroup Global Markets and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities With Respect to the Common Stock of MCI WorldCom, Inc. ("TARGETS") after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth the terms of a settlement of all remaining claims in this action. The settlement was preliminarily approved by the Court on January 11, 2005. A fairness hearing was held on November 5, 2004 in connection with the proposed class settlement between plaintiffs and the Citigroup-related defendants in In Re: Worldcom, Inc. Securities Litigation.  Citigroup, along with other financial institutions and other defendants, entered into settlements resolving certain claims against Citigroup-related defendants in a number of WorldCom-related actions. The settlement amounts are covered by existing litigation reserves. Global Crossing On or about January 28, 2003, the lead plaintiff in a consolidated alleged class action in the United States District Court for the Southern District of New York (In Re: Global Crossing, Ltd. Securities Litigation) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and Asia Global Crossing, which names as defendants, among others, Citigroup, Citigroup Global Markets, Citigroup Global Markets Holdings Inc. and certain executive officers and current and former employees. The alleged class action complaint asserts claims under the federal securities laws alleging that the defendants issued research reports without a reasonable basis in fact and failed to disclose conflicts of interest with Global Crossing in connection with published investment research. On March 22, 2004, the lead plaintiff amended its consolidated complaint to add claims on behalf of purchasers of the securities of Asia Global Crossing. The added claims assert causes of action under the federal securities laws and common law in connection with Citigroup Global Markets' research reports about Global Crossing and Asia Global Crossing and for Citigroup Global Markets' roles as an investment banker for Global Crossing and as an underwriter in the Global Crossing and Asia Global Crossing offerings. The Citigroup-related defendants moved to dismiss all of the claims against them on July 2, 2004. In March 2005, the plaintiffs and the Citigroup-related defendants reached a settlement of all claims against the Citigroup-related defendants, including both research and underwriting claims and claims concerning losses in both Global Crossing and Asia Global Crossing, for a total of $75 million. The Court granted preliminary approval of the settlement on March 8, 2005. In addition, on or about January 27, 2004, the Global Crossing Estate Representative filed in the United States Bankruptcy Court for the Southern District of New York (i) an adversary proceeding  8      asserting claims against, among others, Citigroup, Citigroup Global Markets and certain executive officers and current and former employees, under federal bankruptcy law and common law in connection with Citigroup Global Markets' research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings, and (ii) an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-related defendants moved to dismiss the former action on June 26, 2004, and the latter on May 28, 2004. The plaintiffs and the Citigroup-related defendants have since entered into a definitive settlement agreement in the In Re: Global Crossing, Ltd. Securities Litigation; the settlement was preliminarily approved by the Court on March 8, 2005. The amount to be paid in settlement is covered by existing litigation reserves. In addition, actions asserting claims against Citigroup and certain of its affiliates relating to its Global Crossing research reports are pending in numerous arbitrations around the country. These arbitration proceedings assert claims that are substantially similar to the claims asserted in the alleged class action. Adelphia Communications Corporation On July 6, 2003, an adversary proceeding was filed by the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation against certain lenders and investment banks, including Citigroup Global Markets, Citibank, N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc. (together, the "Citigroup Parties"). The complaint alleges that the Citigroup Parties and numerous other defendants committed acts in violation of the Bank Holding Company Act and the common law. The complaint seeks equitable relief and an unspecified amount of compensatory and punitive damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia. In June 2004, motions to dismiss were filed with respect to the complaints of the Official Committee of Unsecured Creditors and the Equity Holders Committee. The motions are currently pending. In addition, Citigroup Global Markets is among the underwriters named in numerous civil actions brought to date by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Three of the complaints also asserted claims against Citigroup and Citibank, N.A. All of the complaints alleged violations of federal securities laws, and certain of the complaints also alleged violations of state securities laws and the common law. The complaints sought unspecified damages. In December 2003, a second amended complaint was filed and consolidated before the same judge of the United States District Court for the Southern District of New York. In May and July of 2005, the United States District Court for the Southern District of New York dismissed several claims on statute of limitations grounds in the class and individual actions being coordinated under In Re: Adelphia Communications Corporation Securities and Derivatives Litigation. With the exception of one individual action that was dismissed with prejudice, the court granted the class and individual plaintiffs leave to re-plead certain of those claims the court found to be time-barred. Additional motions to dismiss the class complaint and the remaining individual complaints on other grounds remain pending. Mutual Funds Citigroup and certain of its affiliates have been named in several class action litigations pending in various federal district courts arising out of alleged violations of the federal securities laws, the Investment Company Act and the common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the MDL rules in the United States District Court for the District of Maryland, and the litigations involving revenue sharing, incentive payment and other issues have been consolidated in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally  9      seek unspecified compensatory damages, rescissionary damages, injunctive relief, costs and fees. In the principal market timing cases that name Citigroup, a lead plaintiff has been appointed but that plaintiff has not yet filed an amended complaint. In the cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, Citigroup Global Markets has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds. On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global Markets completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and Citigroup Global Markets in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors. Research Analyst Litigation Since May 2002, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants in numerous alleged class action complaints, individual actions, and arbitration demands by purchasers of various securities alleging that they violated federal securities law, including Sections 10 and 20 of the Securities Exchange Act of 1934, as amended, and certain state laws for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with companies in connection with published investment research,  including Global Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XO Communications, Inc., Williams Communications Group Inc., and Focal Communications, Inc. The alleged class actions relating to research of these companies are pending before a single judge in the United States District Court for the Southern District of New York for coordinated proceedings. The Court has consolidated these actions into separate proceedings corresponding to the companies named above. On December 2, 2004, the Court granted in part and denied in part the Citigroup-related defendants' motions to dismiss the claims against it in the AT&T, Level 3, XO and Williams actions. On January 6, 2005, the Court granted in part and denied in part Citigroup's motion to dismiss the claims against it in the Metromedia action. On September 27, 2005, Citigroup entered into a memorandum of agreement settling all claims against the Citigroup-related defendants in In Re: Salomon Analyst AT&T Litigation, a class action alleging research analyst conflicts of interest. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. In addition to the alleged research class actions, several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. These actions allege violations of state and federal securities laws in connection with Citigroup Global Markets' publication of research about Qwest and its underwriting of Qwest securities. Two alleged class actions against Citigroup Global Markets asserting common law claims in connection with published investment research on behalf of Citigroup Global Markets customers have been dismissed by United States District Courts, one of which was affirmed by the United States Court of Appeals for the Ninth Circuit, and one of which is pending on appeal to the United States Courts of Appeals for the Third Circuit. Plaintiffs in the Ninth Circuit case have sought review by the United States Supreme Court; their request for an appeal to that Court is pending. On September 22, 2005, Citigroup reached an agreement-in-principle to settle all claims against the Citigroup-related defendants in Norman v. Salomon Smith Barney, et al., a class action asserting violations  10      of the Investment Advisers Act of 1940 and various common law claims in connection with certain investors who maintained guided portfolio management accounts at Smith Barney. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. On August 17, 2005, in Disher v. Citigroup Global Markets Inc., the United States Court of Appeals for the Seventh Circuit reversed the district court's grant of plaintiffs' motion to remand the case to state court, and directed the district court to dismiss the case as preempted under the Securities Litigation Uniform Standards Act ("SLUSA"). The United States Supreme Court has granted review in another case involving SLUSA that may affect the Seventh Circuit's dismissal of the Disher matter. In Sturm, et al. v. Citigroup, et al., an NASD arbitration seeking significant compensatory and punitive damages, claimants' asserted common law claims, including fraud, arising out of alleged research analyst conflicts of interest related to Citigroup Global Markets research coverage of WorldCom. Supervisory Investigation In May 2003, the SEC, NYSE and NASD issued a subpoena and letters to Citigroup Global Markets requesting documents and information with respect to their continuing investigation of individuals in connection with the supervision of the research and investment banking departments of Citigroup Global Markets. Other parties to the Research Settlement have received similar subpoenas and letters. West Virginia Attorney General Suit On June 23, 2003, the West Virginia Attorney General filed an action against Citigroup Global Markets and nine other firms that were parties to the Research Settlement. The West Virginia Attorney General alleges that the firms violated the West Virginia Consumer Credit and Protection Act in connection with their research activities and seeks monetary penalties. Citigroup Shareholder Litigation In July 2002, Citigroup, Citigroup Global Markets and certain officers were named as defendants in an alleged class action filed in the United States District Court for the Southern District of New York, brought on behalf of purchasers of Citigroup common stock between July 24, 1999 and July 23, 2002. The complaint seeks unspecified compensatory and punitive damages for alleged violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, and for common law fraud. Fourteen virtually identical complaints have been filed and consolidated. The complaints allege that Citigroup misstated the extent of its Enron-related exposure, and that Citigroup's stock price fell once the true extent of Citigroup's Enron involvements became known. Plaintiffs filed an amended complaint on March 10, 2003, which incorporated the allegations in the 15 separate actions and added new material as well. The amended complaint focuses on certain transactions between Citigroup and Enron and alleged analyst conflicts of interest. The class period for the consolidated amended complaint is July 24, 1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion to dismiss the consolidated amended complaint. Plaintiffs' response was filed on July 30, and Citigroup's reply was filed on October 3, 2003. On August 10, 2004, Judge Swain granted Citigroup's motion to dismiss the consolidated amended complaint. The plaintiffs filed a notice of appeal in October 2004. NASD Settlement In November 2004, Citigroup Global Markets entered into a final agreement with the NASD to resolve the NASD's investigation into certain of its selling practices. Without admitting or denying any allegations or findings, Citigroup Global Markets accepted certain factual findings by the NASD that it (i) sold units in two managed futures funds to 45 customers for whom the investment was not suitable, (ii) failed to maintain records disclosing the basis upon which its investor suitability determinations were made and (iii) failed to adequately disclose the risks of investing in managed futures products on its website. Citigroup Global Markets consented to a censure and a fine of $275,000 and offered to redeem the investment of the customers for whom investment in the two managed futures funds was found not suitable. 11     In the course of its business, Citigroup Global Markets, as a major futures commission merchant and broker-dealer, is a party to various claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of Citigroup Global Markets. Item 4.    Submission of Matters to a Vote of Security Holders. There were no matters submitted to the security holders for a vote during the last fiscal year covered by this report. 12     PART II       Item 5.  Market for Registrant's Common Equity and Related Security Holder Matters.   (a)    Market Information. The Partnership has issued no stock. There is no established public market for the Redeemable Units of Limited Partnership Interest. (b)    Holders. The number of holders of Redeemable Units of Limited Partnership Interest as of December 31, 2005 was 510. (c)    Dividends. The Partnership did not declare a distribution in 2005 or 2004. (d)    Use of Proceeds. There were no additional sales of Redeemable Units for the 12 months ended December 31, 2005. For the twelve months ended December 31, 2004, there were additional sales of 1.1848 Redeemable Units totaling $1,995. For the twelve months ended December 31, 2003, there were additional sales of 5.7407 Redeemable Units totaling $8,940. (e)    Compensation Plans. None Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options and forward contracts. Item 6.    Selected Financial Data. Realized and unrealized trading gains (losses), interest income, net income (loss) and increase (decrease) in Net Asset Value per Redeemable Unit for the years ended December 31, 2005, 2004, 2003, 2002 and 2001 and total assets at December 31, 2005, 2004, 2003, 2002 and 2001 were as follows:                                  2005  2004  2003  2002  2001   Realized and unrealized trading gains (losses) net of brokerage commissions and Investment in Partnerships (including clearing fees) of $3,461,689, $4,095,297, $4,367,509, $3,930,667 and $4,686,916, respectively  $                (4,344,661 )   $ 7,186,726    $ 13,380,995    $ 16,374,175    $                (2,355,466 )                                           Interest income    501,524      640,231      575,911      816,470      2,044,447        $                (3,843,137 )   $ 7,826,957    $ 13,956,906    $ 17,190,645    $                (311,019 )    Net income (loss)  $                (5,366,044 )   $ 4,444,283    $ 10,180,158    $ 12,647,726    $                (3,195,464 )                                           Increase (decrease) in Net Asset Value per Redeemable Unit  $                (135.01 )   $ 107.72    $ 218.21    $ 257.21    $                (52.73 )                                           Total assets  $ 59,538,339    $ 72,723,250    $ 75,961,490    $ 71,191,000    $ 67,123,600                Item 7.  Management's Discussion and Analysis of Financial Condition and Results of Operations.   Overview The Partnership aims to achieve substantial capital appreciation through speculative trading, directly and indirectly, in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals. The Partnership may employ futures, options on futures, and forward contracts in those markets. The General Partner manages all business of the Partnership. The General Partner has delegated its responsibility for the investment of the Partnership's assets to Campbell & Company, Inc. ("Campbell"),  13      Graham Capital Management, L.P. ("Graham"), Winton Capital Management Limited ("Winton") and Willowbridge Associates, Inc. ("Willowbridge"), (collectively, the "Advisors"). The General Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to maintain quality control among the advisors to the Partnerships operated or managed by the General Partner. A full-time staff of due diligence professionals use state-of-the-art technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provide processing of trading activity and reporting to limited partners and regulatory authorities. In selecting the Advisors for the Partnership, the General Partner considered past performance, trading style, volatility of markets traded and fee requirements. Responsibilities of the General Partner include:       •  due diligence examinations of the Advisors;         •  selection, appointment and termination of the Advisors;         •  negotiation of the management agreements; and         •  monitoring the activity of the Advisors.   In addition, the General Partner prepares the books and records and provides the administrative and compliance services that are required by law or regulation from time to time in connection with operation of the Partnership. These services include the preparation of required books and records and reports to limited partners, government agencies and regulators; computation of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner communications; and preparation of offering documents and sales literature. The General Partner seeks the best prices and services available in its commodity futures brokerage transactions. The General Partner reviews at least annually the brokerage rates charged to commodity pools similar to the Partnership to determine whether the brokerage fee the Partnership pays is competitive with other rates. The programs traded by each Advisor on behalf of the Partnership are: Campbell – Financial, Metal & Energy Large Portfolio ("FME Large"), Graham – Global Diversified Program ("GDP") and Graham Selective Trading Program ("GST"), Winton – Diversified Program, and Willowbridge – Argo and Vulcan Trading Systems. As of December 31, 2005, the Partnership's assets were allocated among the Advisors in the following approximate percentages: Campbell, 26%, Graham, 26%, Winton, 27% and Willowbridge, 21%.  Graham Capital Management, L.P.  Graham currently trades both GDP and GST on behalf of the Partnership. Of the Partnership's assets allocated to Graham, 53% is currently traded using GDP and 47% is currently traded using GST, each of which is described below. Graham trades actively in both U.S. and foreign markets, primarily in futures contracts, forward contracts, spot contracts and associated derivative instruments such as options and swaps. Graham engages in exchange for physical transactions, which involve the exchange of a futures position for the underlying physical commodity without making an open competitive trade on an exchange. Graham at times will trade certain instruments, such as forward foreign currency contracts, as a substitute for futures or options traded on futures exchanges. Graham's trading systems rely primarily on technical rather than fundamental information as the basis for their trading decisions. Graham's systems are based on the expectation that over time they can successfully anticipate market events using quantitative mathematical models to determine their trading activities, as opposed to attempting properly to forecast price trends using subjective analysis of supply and demand. GDP utilizes multiple computerized trading models designed to participate in potential profit opportunities during sustained price trends. This program features broad diversification in both financial and non-financial markets. The strategies that are utilized are primarily long-term in nature and are  14      intended to generate significant returns over time with an acceptable degree of risk and volatility. The computer models on a daily basis analyze the recent price action, the relative strength and the risk characteristics of each market and compare statistically the quantitative results of this data to years of historical data on each market. GDP trades in approximately 80 markets. GST uses a mathematical model to identify certain price patterns that have very specific characteristics indicating that there is a high probability that a significant directional move will occur. Although the program does not trade against the market trend, it is not a true trend-following system inasmuch as it will only participate in specific types of market moves that meet the restrictive criteria of the model. In general, this program will participate only in significant market moves that are characterized by a substantial increase in volatility. As a result, it frequently will not participate in a market trend in which virtually all trend-following systems would have a position. GST trades in approximately 70 markets.  Campbell & Company, Inc.  Campbell trades its FME Large Portfolio for the Partnership. Campbell's trading models are designed to detect and exploit medium-term to long-term price changes, while also applying risk management and portfolio management principles. Campbell believes that utilizing multiple trading models provides an important level of diversification, and is most beneficial when multiple contracts of each market are traded. Every trading model may not trade every market. It is possible that one trading model may signal a long position while another trading model signals a short position in the same market. It is Campbell's intention to offset those signals to reduce unnecessary trading, but if the signals are not simultaneous, both trades will be taken and since it is unlikely that both positions would prove profitable, in retrospect, one or both trades will appear to have been unnecessary. It is Campbell's policy to follow trades signaled by each trading model independently of the other models.  Willowbridge Associates, Inc.  Willowbridge trades the Partnership's assets allocated to it in accordance with its Select Investment Program, whereby the General Partner determined the initial allocation of the Partnership's assets among one or more of Willowbridge's strategies and may determine subsequent reallocations (if any). Of the Partnership's assets allocated to Willowbridge, 0% is currently traded using the Vulcan Trading System and 100% is currently traded using the Argo Trading System, each of which is described below. For each of these systems, risk is managed on a market by market level as well as on an overall portfolio level. On the market level, risk is managed primarily by utilizing proprietary volatility filters. When these filters detect a certain excessive level of volatility in the markets traded, they will signal that the systems should no longer be trading in the markets in which the filters have detected excessive volatility. In this way, the systems do not participate in markets in which there are extremes in market action. On the portfolio level, risk is managed by utilizing a proprietary portfolio cutback rule. When cumulative profits have reached a certain level, this rule determines that positions should be halved across the entire portfolio. In this way, risk is reduced while allowing the systems to continue to participate in the markets, albeit at a reduced level. After the portfolio has been traded at half, the portfolio cutback rule will then determine when to increase positions to again trade at the full level. The Vulcan Trading System, which commenced trading in 1988, is a computerized technical trading system. It is not a trend-following system, but does ride a trend when the opportunity arises. Vulcan uses the concepts of pattern recognition, support/resistance levels, and counter-trend liquidations in making trading decisions. In effect, Vulcan is more akin to a systematic technical charting system, as opposed to most computer systems which are based on pure trend-following calculations. The Vulcan System is based on general technical trading principles. It applies these principles to a diversified portfolio of commodities and currencies. Given that the system is based on general principles, the system parameters used are the same for all items in the portfolio and are not optimized. In this manner, the Vulcan System minimizes the problem of data-fitting. 15     The Argo Trading System commenced trading in 1988. Argo essentially incorporates Vulcan's concepts of pattern recognition, support/resistance levels and counter-trend liquidations to trade a portfolio similar to Vulcan. However, Argo has a relatively slower time horizon than Vulcan and attempts to capture longer-term price moves. Pattern recognition, support/resistance levels and counter-trend liquidations are defined as follows: Pattern recognition is the ability to identify patterns that appear to have acted as precursors of price advances or declines in the past. A support level is a previous low—a price level under the current market price at which point buying interest is expected to be sufficiently strong to overcome selling pressure. A resistance level is a previous high—a price level over the current market price at which point selling pressure is expected to overcome buying pressure and a price advance is expected to be turned back. A counter-trend liquidation is the closing out of a position after a significant price move on the assumption that the market is due for a correction.  Winton Capital Management Limited  The portion of the Partnership's assets that are currently allocated to Winton for trading are not invested in commodity interests directly. Winton's allocation of the Partnership's assets is currently invested in the Winton Master. Winton trades its Diversified Program on behalf of the Partnership. The Diversified Program trades approximately 95 futures and forward contracts on United States and non- United States exchanges and markets. Winton employs a fully computerized, technical, trend-following trading system developed by its principals. This system tracks the daily price movements from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be in an attempt to maximize profit within a certain range of risk. If rising prices in a particular market are anticipated, a long position will be established in that market; if prices in a particular market are expected to fall, a short position in that market will be established. Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. In contrast, fundamental analysis relies on factors external to a market, such as supply and demand. The Diversified Winton Program employs no fundamental factors. A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend, and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. These exaggerated movements are largely explained as a result of the influence of crowd psychology or the "herd instinct" among market participants. A trend-following system does not anticipate a trend. In fact, trend-following systems are frequently unprofitable for long periods of time in particular markets or market groups, and occasionally they are unprofitable for periods of more than a year. However, the principals believe that such an approach will, in the long term, be profitable. Trade selection is not subject to intervention by Winton's principals and therefore is not subject to the influences of individual judgment. As a mechanical trading system, the Winton model embodies all the expert knowledge required to analyze market data and direct trades, thus eliminating the risk of basing a trading program on one indispensable person. Equally as important is the fact that mechanical systems can be tested in simulation for long periods of time and the model's empirical characteristics can be measured. The system's output is rigorously adhered to in trading the portfolio and intentionally no importance is given to any external or fundamental factors. While it may be seen as unwise to ignore information of obvious value, such as that pertaining to political or economic developments, Winton believes that the disadvantage of this approach is far outweighed by the advantage of the discipline that rigorous adherence to such a system instills. Winton believes that significant profits may be realized by the Winton system by  16      holding on to positions for much longer than conventional wisdom would dictate. Winton believes that a trader who pays attention to day-to-day events could be distracted from the chance of fully capitalizing on such trends. The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts. Forward markets include major currencies and precious and base metals, the latter two categories being traded on the London Metal Exchange. Winton seeks out new opportunities to add additional markets to the portfolio, with the goal of increasing the portfolio's diversification. Winton believes that taking positions in a variety of unrelated markets will, over time, decrease system volatility. By employing a sophisticated and systematic method for placing orders in a wide array of markets, Winton believes that profits can be realized over time. No assurance is given that an Advisor's trading program will be profitable or that it will not experience losses. (a)    Liquidity  The Partnership does not engage in sales 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 positions, unrealized appreciation on open forward contracts 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. Such substantial losses could lead to a material loss in liquidity. To minimize this risk relating to low margin deposits, the Partnership follows certain trading policies, including:       (i)  The Partnership invests its assets only in commodity interests that an Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market.         (ii)  No Advisor will initiate additional positions in any commodity interest if these positions would result in aggregate positions requiring a margin of more than 66  2/3% of the Partnership's net assets allocated to that Advisor.         (iii)  The Partnership may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged.         (iv)  The Partnership will not employ the trading technique commonly known as "pyramiding", in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities.         (v)  The Partnership will not utilize borrowings, except short-term borrowings, if the Partnership takes delivery of any cash commodities.         (vi)  The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership. The term "spread" or "straddle" describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts.         (vii)  The Partnership will not permit the churning of its commodity trading account. The term "churning" refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income.   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  17      financial instruments 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, to purchase or sell other financial instruments at specified 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 relating 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 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 the sole 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 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. (See also "Item 8. Financial Statements and Supplementary Data" for further information on financial instrument risk included in the Notes to Financial Statements.) Other than the risks inherent in commodity trading, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership's liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the General Partner may, in its discretion, cause the Partnership to cease trading operations and liquidate all open positions under certain circumstances including a decrease in Net Asset Value per Redeemable Unit to less than $400 as of the close of business on any business day. (b)    Capital Resources.        (i)  The Partnership has made no material commitments for capital expenditures.   (ii)    The Partnership's capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market moves in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, such as changing supply and demand relationships, weather, government, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, brokerage, advisory and administrative fees. The level of these expenses is dependent upon the level of trading and the ability of the Advisors to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon interest rates over which the Partnership has no control. No forecast can be made as to the level of redemptions in any given period. A limited partner may cause all of their Redeemable Units to be redeemed by the Partnership at the Net Asset Value thereof  18      as of the last day of each month on ten days written notice to the General Partner. No fee will be charged for redemptions. For the year ended December 31, 2005, 3,642.8547 Redeemable Units were redeemed totaling $5,856,089. For the year ended December 31, 2004, 4,184.0716 Redeemable Units were redeemed totaling $6,942,766. For the year ended December 31, 2003, 4,164.0183 Redeemable Units were redeemed totaling $6,523,699. The Partnership ceased to offer Redeemable Units effective April 1, 1996. Additional sales of 1.1848 Redeemable Units totaling $1,995 for the year ending December 31, 2004 and 5.7407 Redeemable Units totaling $8,940 for the year ending December 31, 2003, represent additional Redeemable Units offered as the differential between the ordinary brokerage fee and the reduced brokerage fee to existing limited partners investing $1,000,000 or more. (c)    Results of Operations. For the year ended December 31, 2005 the Net Asset Value per Redeemable Units decreased 7.7% from $1,746.36 to $1,611.35. For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit increased 6.7% from $1,636.64 to $1,746.36. For the year ended December 31, 2003, the Net Asset Value per Redeemable Unit increased 15.4% from $1,418.43 to $1,636.64. The Partnership experienced a net trading loss of $882,972 before brokerage commissions and related fees in 2005. Losses were primarily attributable to the trading of commodity futures in currencies, grains, U.S. interest rates, livestock and softs and were partially offset by gains in energy, non – U.S. interest rates, metals, indices and lumber. The year 2005 was characterized by several events that made it generally difficult for the Partnership's advisors to navigate the markets successfully and retain profits when earned. Profits were earned in energy, metals and stock indices as these sectors had the most pronounced price trends while losses were incurred in currency, interest rate and agricultural markets. Over the course of the year, the general partner allocated partnership assets to advisors which tended to have shorter-term and more fundamentally based trading strategies in effort to capitalize on evolving market conditions. Crude oil and natural gas prices increased throughout the year dramatically reaching their peaks post Hurricanes Katrina and Rita. These markets provided extended trending patterns for the Partnership's advisors and resulted in profits for the partnership. Both the precious and base or industrial metals sectors saw nearly uninterrupted rises in prices for the year which allowed the majority of the partnership's advisors to trade profitably. Of particular note was the price of gold which rose to over $500 an ounce by the end of the year. Base metals such as zinc, copper and aluminum also experienced substantial price increases as global demand and speculative trading spurred prices. In financial markets, foreign stock market indices were the most profitable sector for the partnership for the year as a resurging Japanese economy and positive political news in Europe propelled these markets out of long-term doldrums. Currency trading was notably unprofitable with the focus being the U.S. dollar versus both European and Asian currencies. After a prolonged decline in 2004, the U.S. dollar defied expectations for further weakness and rallied in January resulting in losses for the advisors at the beginning of the year. The dollar continued strengthening through the second quarter but encountered a prolonged period of volatility at the beginning of the third quarter with the Chinese governments decision to revalue the Chinese yuan. Interest rate trading was mixed with gains in non-US contracts more than offset by losses in US interest rate positions. The Partnership experienced net trading gains of $11,282,023 before commissions and expenses in 2004. Gains were primarily attributable to the trading of energy, grains, non-U.S. interest rates, livestock and lumber and were partially offset by losses recognised in the trading of currencies, U.S. interest rates, metals, softs and indices. Trading results for the year 2004 can be described in three distinct periods: the first three months of the year produced positive results of nearly 13% with trends carrying over from late 2003, the next five  19      months which saw trend disruptions and produced losses of approximately 18%, and the last four months, September through December, witnessed a recovery period with an increase in net asset value per unit of over 14%. The Partnership ended the year up 6.7%. The results for the year were heavily influenced by two historic trends: the decline and subsequent volatility in the value of the U.S. dollar versus major currencies and the run-up in the price of crude oil to over $50 a barrel. 2004 started strongly with many of the trends from late 2003 continuing into early 2004. Notably lower interest rates in the U.S. and other major countries fostered strong global economic growth and pressured commodity prices. These forces resulted in upward trends in many sectors, especially energy, metals and grains and provided profitable trading opportunities for the Partnership's advisors. These trends persisted until early March when economic indicators in the U.S. and China suggested rising inflation and markets reversed precipitously with higher interest rates, collapsing commodity prices and the dollar reversal. This began a protracted period of tentative and conflicting trends across many sectors. As expected in the nature of trend-following, the strength of profitable trends is often followed by temporary but often severe periods of losses. April through August was such a period for nearly all of the Partnership's advisors as they adjusted positions from what had been profitable, long-term trends to choppy, directionless and volatile markets. Trading was treacherous and thus unprofitable in U.S. and Asian interest rates and global stock indices while energy, metals and grains provided some offsetting profits. The fundamental economic concerns hanging over these markets were further exacerbated by the uncertainty surrounding the tightly contested U.S. presidential election. With 2004 looking dismal going into the fall, the price of crude oil resumed its climb to $50 a barrel brought on by a deteriorating security situation in Iraq, Saudi Arabia political turmoil, and renewed threats of terrorism. Long positions in the energy sector contributed to a profitable September for the Partnership. As the fourth quarter began, the U.S. dollar began a precipitous slide toward $1.40 to the euro. These renewed trends in currency prices combined with declining interest rates and stronger global stock markets were favorable to the Partnership's advisors and provided a solidly profitable last four months of the year. The Partnership experienced net trading gains of $17,748,504 before commissions and expenses in 2003. Gains were primarily attributable to the trading of currencies, grains, livestock, metals and indices and were partially offset by losses recognized in the trading of energy, U.S. and non-U.S. interest rates, softs and lumber. In the General Partner's opinion, the Advisors continue to employ trading methods and produce results consistent with the objectives of the Partnership and expectations for the Advisors' programs. The General Partner continues to monitor the Advisors' performance on a daily, weekly, monthly and annual basis to assure these objectives are met. 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 the Partnership depends on the existence of major price trends and the ability of the Advisors to identify those price trends correctly. 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. (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: 20      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 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 management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities 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 statements of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which 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 statements 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 statements 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 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. 21
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 Advisors 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 and unrealized) and cash flows. 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. 22     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, certain of the Advisors 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 has been used, and where this 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, 2005, 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, 2005, the Partnership's total capitalization was $58,008,725. December 31, 2005                                               Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  Low Value at Risk  AverageValue at Risk*   Currencies:                                      – OTC  $ 328,390      0.57 %   $ 1,514,747    $ 61,678    $ 359,471     Energy    3,500      0.01 %     1,483,500      3,500      348,192     Grains    3,200      0.00 %**     399,450      3,200      114,741     Interest Rates U.S.    38,117      0.07 %     626,050      1,535      157,249     Interest Rates Non-U.S.    107,222      0.18 %     1,132,647      17,060      316,042     Livestock    3,200      0.00 %**     57,500      3,200      10,517     Metals                                      – OTC    15,150      0.03 %     362,805      10,686      115,157     Softs    23,464      0.04 %     347,992      9,784      119,264     Indices    400,643      0.69 %     1,734,749      38,655      602,265     Total  $ 922,886      1.59 %                              23     As of December 31, 2004, the Partnership's total capitalization was approximately $69,230,858. December 31, 2004                               Market Sector  Value at Risk  % of Total Capitalization  HighValue at Risk  Low Value at Risk  AverageValue at Risk*   Currencies                                      – Exchange Traded Contracts  $ 613,200      0.89 %   $ 1,621,311    $ 553,365    $ 757,544     – OTC Contracts    1,506,611      2.18 %     1,760,811      422,027      703,756     Energy    605,970      0.88 %     2,366,300      45,571      1,338,683     Grains    21,900      0.03 %     638,578      8,250      327,178     Interest rates U.S.    335,650      0.48 %     1,249,450      219,200      746,988     Interest rates Non-U.S.    921,228      1.33 %     3,239,942      914,524      1,869,724     Livestock    16,000      0.02 %     148,100      13,590      94,933     Metals                                      – Exchange Traded Contracts    183,000      0.26 %     545,000      97,000      195,725     – OTC Contracts    277,036      0.40 %     602,346      45,015      171,157     Softs    164,700      0.24 %     341,479      4,000      211,144     Indices    2,453,501      3.54 %     3,077,151      592,175      1,648,240     Total  $ 7,098,796      10.25 %                                                 * 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 maintenance 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." Non-Trading Risk The Partnership has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial. 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 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 Advisors 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 controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets,  24      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 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, 2005, 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 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 conditions. The General Partner does not anticipate that the risk profile of the 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 U.S. dollar-based Partnership in expressing Value at Risk in a functional currency other than U.S. 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. 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 and copper.  Softs. The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions.  Energy. The Partnership'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 and are expected to continue to be experienced in this market. Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Partnership as of December 31, 2005.  Foreign Currency Balances. The Partnership's primary foreign currency balances are in Japanese yen, Euro dollar, British pounds and Swiss francs. The Advisor regularly converts foreign currency balances to U.S. dollars in an attempt to control the Partnership's non-trading risk. 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 is subject. The General Partner monitors the Partnership's performance and the concentration of its open positions, and consults with the Advisors concerning the Partnership's overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require certain of the Advisors to close out  25      individual positions as well as enter into certain positions on behalf of the Partnership. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisors' own risk control policies while maintaining a general supervisory overview of the Partnership's market risk exposures. Each Advisor applies its own risk management policies to its trading. The Advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The Advisors' research of risk management often suggests ongoing modifications to their trading programs. As part of the General Partner's risk management, the General Partner periodically meets with the Advisors to discuss their risk management and to look for any material changes to the Advisors' portfolio balance and trading techniques. The Advisors are required to notify the General Partner of any material changes to their programs. 26     Item 8.    Financial Statements and Supplementary Data. SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS                  PageNumber   Oath or Affirmation  F-3   Report of Independent Registered Public Accounting Firm  F-4   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004  F-5   Condensed Schedules of Investments at December 31, 2005 and 2004  F-6 – F-7   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003  F-8   Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003  F-9   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-10   Notes to Financial Statements  F-11 – F-16   Selected Unaudited Quarterly Financial Data  F-17   Financial Statements of the CMF Campbell Master Fund L.P.      Oath or Affirmation  F-18   Independent Auditors' Report  F-19   Statement of Financial Condition at December 31, 2005  F-20   Condensed Schedule of Investments at December 31, 2005  F-21   Statement of Income and Expenses for the year ended December 31, 2005  F-22   Statement of Changes in Partners' Capital for the year ended December 31, 2005  F-23   Statement of Cash Flows for the year ended December 31, 2005  F-24   Notes to Financial Statements  F-25 − F-28   Selected Unaudited Quarterly Financial Data  F-29        F-1     SALOMON SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS—CONTINUED                  PageNumber   Financial Statements of CMF Willowbridge Argo Master Fund L.P.          Oath or Affirmation.  F-30   Independent Auditors' Report  F-31   Financial Statements:      Statement of Financial Condition at December 31, 2005.  F-32   Condensed Schedule of Investments at December 31, 2005.  F-33   Statement of Income and Expenses for the period July 1, 2005 (commencement of trading operations) to December 31, 2005   F-34   Statement of Changes in Partners' Capital for the period July 1, 2005 (commencement of trading operations) to December 31, 2005  F-35   Statement of Cash Flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005  F-36   Notes to Financial Statements  F-37 – F-40   Selected Unaudited Quarterly Financial Data.  F-41   Financial Statements of CMF Winton Master L.P.      Oath or Affirmation.  F-42   Independent Auditors' Report  F-43   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004.  F-44   Condensed Schedules of Investments at December 31, 2005 and 2004.  F-45 – F-46   Statements of Income and Expenses for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-47   Statements of Changes in Partners' Capital for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-48   Statements of Cash Flows for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-49   Notes to Financial Statements  F-50 – F-53   Selected Unaudited Quarterly Financial Data.  F-54        F-2     To the Limited Partners ofSmith Barney Diversified Futures Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner, Smith Barney Diversified          Futures Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-3     Report of Independent Registered Public Accounting Firm To the Partners of Smith Barney Diversified Futures Fund L.P.: We have audited the accompanying statements of financial condition of Smith Barney Diversified Futures Fund L.P. (the "Partnership"), including the condensed schedules of investments, as of December 31, 2005 and 2004, 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, 2005. 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 Smith Barney Diversified Futures Fund L.P. as of December 31, 2005 and 2004, 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, 2005, in conformity with U.S. generally accepted accounting principles.                  New York, New York March 13, 2006 F-4     Smith BarneyDiversified Futures Fund L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Investment in Partnerships, at fair value (Note 5)  $ 43,555,768    $ 16,141,889     Equity in commodity futures trading account:                 Cash (restricted $1,000,127 and $8,098,048 in 2005 and 2004, respectively) (Note 3c)    15,272,733      52,660,336     Net unrealized appreciation on open futures positions    —      1,601,032     Unrealized appreciation on open forward contracts    672,909      2,250,162          59,501,410      72,653,419     Interest receivable (Note 3c)    36,929      69,831        $ 59,538,339    $ 72,723,250     Liabilities and Partners' Capital:                 Liabilities:                 Net unrealized depreciation on open futures positions  $ 30,126    $ —     Unrealized depreciation on open forward contracts    445,992      1,925,334     Accrued expenses:                 Commissions (Note 3c)    275,893      329,810     Management fees (Note 3b)    93,168      112,466     Incentive fees (Note 3b)    —      78,926     Professional fees    36,227      43,717     Other    12,394      17,081     Redemptions payable (Note 6)    635,814      985,058          1,529,614      3,492,392     Partners' capital (Notes 1 and 6)                 General Partner, 1,276.7484 Unit equivalents outstanding in 2005 and 2004    2,057,289      2,229,662     Limited Partners, 34,723.3527 and 38,366.2074 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    55,951,436      67,001,196          58,008,725      69,230,858        $ 59,538,339    $ 72,723,250          See accompanying notes to financial statements. F-5     Smith Barney Diversified Futures Fund L.P. Condensed Schedule of Investments December 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Energy  $ 590      0.00 %*    Grains    (987 )     (0.00) *    Interest Rates Non-U.S.    20,559      0.04     Interest Rates U.S.    (6,486 )     (0.01 )    Indices    (11,212 )     (0.02 )    Livestock    (3,091 )     (0.01 )    Softs    6,630      0.01     Total futures contracts purchased    6,003      0.01     Futures Contracts Sold                 Grains    (4,374 )     (0.01 )    Interest Rates Non-U.S.    10,122      0.02     Interest Rates U.S.    (19,816 )     (0.03 )    Softs    (22,061 )     (0.04 )    Total futures contracts sold    (36,129 )     (0.06 )    Unrealized Appreciation on Forward Contracts                 Currencies    276,417      0.48     Metals    396,492      0.68     Total unrealized appreciation on forward contracts    672,909      1.16     Unrealized Depreciation on Forward Contracts                 Currencies    (192,507 )     (0.33 )    Metals    (253,485 )     (0.44 )    Total unrealized depreciation on forward contracts    (445,992 )     (0.77 )    Investment in Partnerships                 CMF Campbell Master Fund L.P.    15,349,869      26.46     CMF Willowbridge Argo Master Fund L.P.    12,573,482      21.67     CMF Winton Master L.P.    15,632,417      26.95     Total Investments in Partnerships    43,555,768      75.08     Total fair value  $ 43,752,559      75.42  %                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding   See accompanying notes to financial statements. F-6     Smith Barney Diversified Futures Fund L.P. Condensed Schedule of Investments December 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $ 423,469      0.61  %    Energy    (43,173 )     (0.06 )    Grains    (80,231 )     (0.12 )    Interest Rates Non-U.S.    294,324      0.43     Interest Rates U.S.    62,139      0.09     Indices    505,676      0.73     Livestock    16,491      0.02     Metals    (22,450 )     (0.03 )    Softs    93,622      0.14     Total futures contracts purchased    1,249,867      1.81     Futures Contracts Sold                 Energy    293,267      0.42     Grains    (703 )     (0.00) *    Interest Rates Non-U.S.    325      0.00 *    Interest Rates U.S.    69,596      0.10     Indices    1,100      0.00 *    Softs    (12,420 )     (0.02 )    Total futures contracts sold    351,165      0.50     Unrealized Appreciation on Forward Contracts                 Currencies    1,969,858      2.85     Metals    280,304      0.40     Total unrealized appreciation on forward contracts    2,250,162      3.25     Unrealized Depreciation on Forward Contracts                 Currencies    (1,645,688 )     (2.38 )    Metals    (279,646 )     (0.40 )    Total unrealized depreciation on forward contracts    (1,925,334 )     (2.78 )    Investment in Partnership                 CMF Winton Master L.P.    16,141,889      23.32     Total fair value  $ 18,067,749      26.10  %                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding   See accompanying notes to financial statements. F-7     Smith BarneyDiversified Futures Fund L.P.Statements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions and foreign currencies  $                (5,643,465 )   $ 13,010,644    $ 17,063,534     Change in unrealized gains (losses) on open positions and investment in Partnerships    4,760,493      (1,728,621 )     684,970          (882,972 )     11,282,023      17,748,504     Interest income (Note 3c)    501,524      640,231      575,911          (381,448 )     11,922,254      18,324,415     Expenses:                        Brokerage commissions including clearing fees of $42,034, $124,623 and $147,603, respectively (Note 3c)    3,461,689      4,095,297      4,367,509     Management fees (Note 3b)    1,146,268      1,334,878      1,448,067     Incentive fees (Note 3b)    296,368      1,959,015      2,258,395     Professional fees    53,824      65,980      61,800     Other expenses    26,447      22,801      8,486          4,984,596      7,477,971      8,144,257     Net income (loss)  $                (5,366,044 )   $ 4,444,283    $ 10,180,158     Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 7)  $                (135.01 )   $ 109.72    $ 218.21          See accompanying notes to financial statements. F-8     Smith BarneyDiversified Futures Fund L.P.Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003                          LimitedPartners  GeneralPartner  Total   Partners' capital at December  31, 2002  $ 66,250,969    $ 1,810,978    $ 68,061,947     Net income    9,901,558      278,600      10,180,158     Sale of 5.7407 Redeemable Units of LimitedPartnership Interest    8,940      —      8,940     Redemption of 4,164.0183 Redeemable Units of Limited Partnership Interest    (6,523,699 )     —      (6,523,699 )    Partners' capital at December  31, 2003    69,637,768      2,089,578      71,727,346     Net income    4,304,199      140,084      4,444,283     Sale of 1.1848 Redeemable Units of LimitedPartnership Interest    1,995      —      1,995     Redemption of 4,184.0716 Redeemable Units of Limited Partnership Interest    (6,942,766 )     —      (6,942,766 )    Partners' capital at December  31, 2004    67,001,196      2,229,662      69,230,858     Net loss    (5,193,671 )     (172,373 )     (5,366,044 )    Redemption of 3,642.8547 Redeemable Units of Limited Partnership Interest    (5,856,089 )     —      (5,856,089 )    Partners Capital at December 31, 2005  $ 55,951,436    $ 2,057,289    $ 58,008,725     Net Assets Per Redeemable Unit                        2003    $1,636.64                        2004    $1,746.36                        2005    $1,611.35                             See accompanying notes to financial statements. F-9     Smith Barney Diversified Futures Fund L.P.Statements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)  $                (5,366,044 )   $  4,444,283    $  10,180,158     Adjustments to reconcile net income to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        (Increase) decrease in restricted cash    7,097,921      5,281,345      (3,136,212 )    Purchase of Investment in Partnerships    (31,880,491 )     (15,054,195 )     —     Proceeds from sale of Investments in Partnerships    8,701,947      54,158      —     (Increase) decrease in investment in Partnerships     (4,235,335 )     (1,141,852 )     —     (Increase) decrease in net unrealized appreciation on open futures positions    1,601,032      2,076,171      1,501,489     (Increase) decrease in unrealized appreciation on open forward contracts    1,577,253      2,010,319      (2,358,792 )    (Increase) decrease in interest receivable    32,902      (29,598 )     13,085     Increase (decrease) in net unrealized depreciation on open futures positions    30,126      —      —     Increase (decrease) in unrealized depreciation on open forward contracts    (1,479,342 )     (373,026 )     172,333     Accrued expenses:                        Increase (decrease) in commissions    (53,917 )     (14,288 )     23,281     Increase (decrease) in management fees    (19,298 )     (7,302 )     (23,702 )    Increase (decrease) in incentive fees    (78,926 )     (682,355 )     706,246     Increase (decrease) in professional fees    (7,490 )     9,679      (31,123 )    Increase (decrease) in other    (4,687 )     9,661      1,149     Net cash provided by (used in) operating activities    (24,084,349 )     (3,417,000 )     7,047,912                              Cash flows from financing activities:                        Proceeds from additions - Limited Partners    —      1,995      8,940     Payments for redemptions - Limited Partners    (6,205,333 )     (6,626,887 )     (6,266,792 )    Net cash provided by (used in) financing activities    (6,205,333 )     (6,624,892 )     (6,257,852 )                             Net change in cash    (30,289,682 )     (10,041,892 )     790,060     Unrestricted cash, at beginning of year    44,562,288      54,604,180      53,814,120     Unrestricted cash, at end of year  $ 14,272,606    $ 44,562,288    $  54,604,180          See accompanying notes to financial statements. F-10     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements 1.    Partnership Organization: Smith Barney Diversified Futures Fund L.P. (the "Partnership") is a limited partnership which was organized on August 13, 1993 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. The Partnership was authorized to sell 300,000 redeemable units of Limited Partnership Interest ("Redeemable Units") during its initial offering period. Citigroup Managed Futures LLC, acts as the general partner (the "General Partner") of the Partnership. The Partnership's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. 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 of the following to occur: December 31, 2013; the Net Asset Value of a Redeemable Unit decreases to less than $400 per Redeemable Unit as of the close of any business day; 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 investment in other partnerships reflects the Partnerhip's proportional interest in the other partnerships.         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 statements 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.   F-11     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements       e.  Certain prior year amounts have been reclassified to conform to current year presentation.   3.    Agreements:       a.  Limited Partnership Agreement:           The Limited Partnership Agreement provides that the General Partner shall manage the business of the Partnership and may make all trading decisions for the Partnership.         b.  Management Agreements:           The General Partner has entered into Management Agreements with Campbell & Co., Inc. ("Campbell"), Winton Capital Management Limited ("Winton"), Graham Capital Management L.P. ("Graham") and Willowbridge Associates, Inc. ("Willowbridge"), (collectively, the "Advisors"), each of which are registered commodity trading advisors. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership. The Partnership will pay Campbell, Graham and Willowbridge a monthly management fee equal to 1/6 of 1% (2% per year) of Net Assets allocated to the Advisors as of the end of each month. Winton will receive a monthly management fee equal to 1/12 of 1.5% (1.5% per year) of Net Assets allocated to it as of the end of each month. 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 20% of the New Trading Profits, as defined in the Management Agreements, earned by each Advisor for the Partnership in each calendar quarter.         c.  Customer Agreement           The Partnership has entered into a Customer Agreement which provides that the Partnership will pay CGM a monthly brokerage fee equal to 11/24 of 1% (5.5% per year) of month-end Net Assets in lieu of brokerage commissions on a per trade basis. Month-end Net Assets, for the purpose of calculating commissions are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of accrued expenses and redemptions payable. CGM will pay a portion of brokerage fees to its financial consultants who have sold Redeemable Units in this offering. Brokerage fees will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed. The Partnership will pay National Futures Association fees as well as exchange, clearing, user, give-up and floor brokerage fees. All of the Partnership's assets are deposited in the Partnership's account at CGM. The Partnership's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held for margin requirements was $1,000,127 and $8,098,048, respectively. CGM has agreed to pay the Partnership interest on 80% 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 instruments. The results of the Partnership's trading activities are shown in the statements of income and expenses. F-12     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value during the years ended December 31, 2005 and 2004, based on a monthly calculation, was $557,700 and $2,973,373, respectively. 5.    Investment in Partnerships: Effective November 1, 2004, the Partnership allocated capital for trading to CMF Winton Master L.P., a limited partnership organized under the partnership laws of New York State ("Winton Master"). The Partnership purchased 15,054.1946 Units of Winton Master with cash equal to $14,251,586, and a contribution of open commodity futures and forward positions with a value of $802,609. Winton Master was formed in order to permit commodity pools managed now or in the future by Winton, to invest together in one trading vehicle. The General Partner is the general partner of the Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to limited partners of the Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in Winton Master are approximately the same and redemption rights are not affected. Effective January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF Campbell Master Fund L.P. ("Campbell Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 19,621.1422 Units of Campbell Master equal to $19,428,630, and a contribution of open commodity futures and forward positions with a value of $192,512. Campbell Master was formed in order to permit commodity pools managed now or in the future by Campbell using its Financials Metals and Energy "FME" Portfolio, to invest together in one trading vehicle. The General Partner is the general partner of Campbell Master. Individual and pooled accounts currently managed by Campbell, including the Partnership are permitted to be limited partners of Campbell Master. The General Partner and Campbell believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in Campbell Master are approximately the same and redemption rights are not affected. Effective July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Master Fund L.P. ("Willowbridge Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 12,259.3490 Units of Willowbridge Master with cash equal to $11,118,119, and a contribution of open commodity futures and forward positions with a fair value of $1,141,230. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by Willowbridge using its Argo Trading Program to invest together in one trading vehicle. The General Partner is the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in Willowbridge Master are approximately the same and redemption rights are not affected. Campbell Master's, Willowbridge Master's and Winton Master's (the "Master Funds"), 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. The Master Funds all engage in such trading through commodity brokerage accounts maintained with CGM. A limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from the Master Funds 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 General Partner at least 3 days in advance of month-end. Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master Funds. All other fees including CGM's direct brokerage commission are charged at the Partnership level. F-13     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements At December 31, 2005 the Partnership owns 4.7%, 7.4% and 8.7%, respectively of Campbell Master, Willowbridge Master and Winton Master. At December 31, 2004 the Partnership owns 14.0% of the Winton Master. It is Campbell's, Winton's and Willowbridge's intention to continue to invest the assets allocated to each by the Partnership in Campbell Master, Winton Master and Willowbridge Master, respectively. The performance of the partnership is directly affected by the performance of Campbell Master, Winton Master and Willowbridge Master. Summarized information reflecting the total assets, liabilities and capital for the Master Funds are shown in the following table.                                  December 31, 2005            Investments'Total Assets  Investments'Total Liabilities  Investments'Total Capital  InvestmentObjective  RedemptionsPermitted   Campbell Master  $  347,366,314    $  20,975,541    $  326,390,773    Financials & Metals Portfolio  Monthly   Willowbridge Master    170,157,028      474,977      169,682,051    CommodityPortfolio  Monthly   Winton Master    182,130,723      3,524,134      178,606,589    CommodityPortfolio  Monthly      $  699,654,065    $  24,974,652    $  674,679,413                                                 December 31, 2004            Investments'Total Assets  Investments'Total Liabilities  Investments'Total Capital  InvestmentObjective  Redemptions Permitted   Winton Master  $  116,230,069    $  1,104,740    $  115,125,329    CommodityPortfolio  Monthly             Summarized information reflecting the Partnership's investment in, and the operations of, the Master Funds are shown in the following table.                                                       Expenses            Investment  % ofPartnership'sNet Assets  Fair Value  Income (loss)  Net Income(Loss)  InvestmentObjective  Redemptions Permitted      Commissions  Other   For the year ended December 31, 2005                     Campbell Master    26.46 %   $ 15,349,869    $ 2,342,834    $ 26,931    $ 3,051    $ 2,312,852    Financials &Metals Portfolio  Monthly   Willowbridge Master    21.68 %     12,573,482      851,372      25,811      2,290      823,271    CommodityPortfolio  Monthly   Winton Master    26.95 %     15,632,417      2,139,042      113,572      5,768      2,019,702    CommodityPortfolio  Monthly             $ 43,555,768    $ 5,333,248    $ 166,314    $ 11,109    $ 5,155,825           For the year ended December 31, 2004                                     Winton Master    23.32 %   $  16,141,889    $  1,208,997    $  25,085    $  1,680      1,182,232    CommodityPortfolio  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. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month on 10 days notice to the General Partner. No fee will be charged for redemptions. F-14     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements 7.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the years ended December  31, 2005, 2004 and 2003 are as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $                (108.35 )   $ 173.57    $ 286.97     Interest income    13.13      15.31      12.43     Expenses**    (39.79 )     (79.16 )     (81.19 )    Increase (decrease) for the year    (135.01 )     109.72      218.21     Net asset value per Redeemable Unit, beginning of year    1,746.36      1,636.64      1,418.43     Net asset value per Redeemable Unit, end of year  $ 1,611.35    $ 1,746.36    $ 1,636.64                             * Includes brokerage commissions         ** Excludes brokerage commissions                            2005  2004  2003   Ratios to average net assets:                        Net investment loss before incentive fees***    (6.8 )%     (7.0 )%     (7.4 )%    Operating expenses    7.6 %     7.9 %     8.2 %    Incentive fees    0.5 %     2.8 %     3.1 %    Total expenses    8.1 %     10.7 %     11.3 %    Total return:                        Total return before incentive fees    (7.3 )%     9.7 %     19.0 %    Incentive fees    (0.4 )%     (3.0 )%     (3.6 )%    Total return after incentive fees    (7.7 )%     6.7 %     15.4 %                            *** 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 its 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 and options, whose values are 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. F-15     Smith BarneyDiversified Futures Fund L.P. Notes to Financial Statements 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 the sole 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-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, 2005. However, due to the nature of the Partnership's business, these instruments may not be held to maturity. F-16     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and 2004 is summarized below:                              For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromJuly 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized trading gains (losses) and investment in Partnership net of brokerage commissions and clearing fees plus interest income  $ 206,499    $ 683,603    $                (1,219,332 )   $                (3,513,907 )    Net Income (loss)  $                (93,832 )   $ 381,002    $                (1,666,949 )   $                (3,986,265 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $                (3.13 )   $ 9.92    $                (41.49 )   $                (100.31 )                                      For the period fromOctober 1, 2004 toDecember 31, 2004  For the period fromJuly 1, 2004 toSeptember 30, 2004  For the period fromApril 1, 2004 toJune 30, 2004  For the period fromJanuary 1, 2004 toMarch 31, 2004   Net realized and unrealized trading gains (losses) and investment in Partnership net of brokerage commissions and clearing fees plus interest income  $ 8,831,288    $                (1,411,120 )   $                (10,847,664 )   $ 11,254,453     Net Income (loss)  $ 8,401,206    $                (1,734,480 )   $                (11,199,369 )   $ 8,976,926     Increase (decrease) in Net Asset Value per Redeemable Unit  $ 206.37    $                (41.39 )   $                (262.34 )   $ 207.08          F-17     To the Limited Partners ofCMF Campbell Master Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Campbell Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-18     Independent Auditor's Report To the Partners ofCMF Campbell Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Campbell Master Fund L.P. (the "Partnership"), including the condensed schedule of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2005. 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 audit. We conducted our audit in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing 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. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides 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 CMF Campbell Master Fund L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the year ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.     New York, New York March 13, 2006 F-19     CMF Campbell Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $42,476,193) (Note 3c)  $ 337,483,460     Unrealized appreciation on open forward contracts    9,103,088          346,586,548     Interest receivable     779,766        $ 347,366,314                Liabilities and Partners' Capital:          Liabilities:          Net unrealized depreciation on open future positions  $ 607,801     Unrealized depreciation on open forward contracts    19,546,499     Accrued expenses:          Professional fees    41,475     Distribution payable (Note 5)    779,766          20,975,541                Partners' capital:          Partners' capital, 286,601.7201 Redeemable Units outstanding in 2005    326,390,773        $ 347,366,314                      See accompanying notes to financial statements.  F-20     CMF Campbell Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                                   Energy  $                (2,956,926 )     (0.90 )%    Interest Rates Non-U.S.    128,183      0.04     Interest Rates U.S.    (22,312 )     (0.01 )    Indices    (193,762 )     (0.06 )    Metals    73,100      0.02     Total futures contracts purchased    (2,971,717 )     (0.91 )                      Futures Contracts Sold                                   Interest Rates Non-U.S.    2,875,170      0.88     Interest Rates U.S.    (435,695 )     (0.14 )    Indices    (75,559 )     (0.02 )    Total futures contracts sold    2,363,916      0.72                       Unrealized Appreciation on Forward Contracts                                   Currencies    9,018,132      2.76     Metals    84,956      0.03     Total unrealized appreciation on forward contracts    9,103,088      2.79                       Unrealized Depreciation on Forward Contracts                                   Currencies    (19,539,120 )     (5.99 )    Metals    (7,379 )     (0.00) *    Total unrealized depreciation on forward contracts    (19,546,499 )     (5.99 )                      Total fair value  $                (11,051,212 )     (3.39 )%                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding    See accompanying notes to financial statements.  F-21     CMF Campbell Master Fund L.P.Statement of Income and Expensesfor the year ended December 31, 2005                  2005   Income:          Net gains (losses) on trading of commodity interests:          Realized gains on closed positions and foreign currencies  $ 53,405,733     Net unrealized losses on open positions    (13,918,072 )         39,487,661     Interest income (Note 3c)    6,863,937          46,351,598     Expenses:          Clearing fees    485,726     Professional fees    54,450          540,176     Net income  $ 45,811,422     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 163.17           See accompanying notes to financial statements.  F-22     CMF Campbell Master Fund L.P.Statement of Changes in Partners' Capitalfor the year ended December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at January  1, 2005 representing 283,959.2998 Units  $ 283,959,300     Net income    45,811,422     Sale of 78,580.3523 Redeemable Units of Limited Partnership Interest    83,741,000     Redemption of 75,937.9320 Redeemable Units of Limited Partnership Interest    (80,257,012 )    Distribution of Interest to feeder funds    (6,863,937 )    Partners' capital at December 31, 2005  $ 326,390,773     Net asset value per Redeemable Unit:                                    2005:  $1,138.83         See accompanying notes to financial statements.  F-23     CMF Campbell Master Fund L.P.Statement of Cash Flowsfor the year ended December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 45,811,422     Adjustments to reconcile net income to net cash provided by (used in) operating activities:          Changes in operating assets and liabilities:          (Increase) decrease in restricted cash    (42,476,193 )    (Increase) decrease in net unrealized appreciation on open futures positions    4,370,478     (Increase) decrease in unrealized appreciation on open forward contracts    7,141,687     (Increase) decrease in interest receivable    (779,766 )    Increase (decrease) in net unrealized depreciation on open futures positions     607,801     Increase (decrease) in unrealized depreciation on open forward contracts    1,798,105     Accrued expenses:          Increase (decrease) in professional fees    41,475     Net cash provided by (used in) operating activities    16,515,009                Cash flows from financing activities:          Proceeds from additions     364,833,441     Payments for redemptions    (80,257,012 )    Distribution of interest to feeder funds    (6,084,171 )    Net cash provided by (used in) financing activities    278,492,258                Net change in cash    295,007,267     Unrestricted cash, at beginning of year    —     Unrestricted cash, at end of year  $ 295,007,267     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 2,866,859           See accompanying notes to financial statements.  F-24     CMF Campbell Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Campbell Master Fund L.P. (the "Master") is a limited partnership which was organized 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 Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of Redeemable units ("Units") of Limited Partnership Interest. On January 1, 2005, (date Master commenced trading operations), Smith Barney Potomac Futures Fund L.P. ("Potomac") allocated substantially all its capital and Smith Barney Diversified Futures Fund L.P. ("Diversified"), Smith Barney Diversified Futures Fund L.P. II ("Diversified II"), Smith Barney Global Markets Futures Fund L.P. ("Global Markets"), Salomon Smith Barney Global Diversified Futures Fund L.P. ("Global Diversified") and Salomon Smith Barney Diversified 2000 Futures Fund L.P. ("Diversified 2000") allocated a portion of their capital to the Master. Potomac purchased 173,788.6446 Units of the Master with cash equal to $172,205,653 and a contribution of open commodity futures and forwards positions with a fair value of $1,582,992, Diversified purchased 19,621.1422 Units of the Master with cash equal to $19,428,630 and a contribution of open commodity futures and forwards positions of $192,512, Diversified II purchased 18,800.3931 Units of the Master with cash equal to $18,587,905 and a contribution of open commodity futures and forwards positions of $212,488, Global Markets purchased 2,858.0358 Units of the Master with cash equal to $2,759,784 and a contribution of open commodity futures and forwards positions with a fair value of $98,252 Global Diversified purchased 17,534.8936 Units of the Master with cash equal to $17,341,826 and a contribution of open commodity futures and forwards positions with a fair value of $193,067 and Diversified 2000 purchased 51,356.1905 Units of the Master with cash equal to $50,768,573 and a contribution of open commodity futures and forwards positions with a fair value of $587,618. The Master was formed to permit commodity pools managed now and in the future by Campbell and Company Inc. (the "Advisor"), using the FME Large Portfolio, the Advisor's Proprietary trading program, to invest together in one trading vehicle. The Master operates under a "master/feeder fund" structure where its investors consist of Potomac, Diversified, Diversified  II, Global Markets, Global Diversified and Diversified 2000 (each a "Feeder", collectively the "Feeder Funds") with 70.8%, 4.7%, 5.4%, 0.9%, 5.0% and 13.2% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC, acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Effective as of December 31, 2005, all trading decisions for the Master are made by the Advisor. 2.    Accounting Policies:       a.  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 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.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the feeder funds at the time of such determination.   F-25     CMF Campbell Master Fund L.P. Notes to Financial Statements       c.  Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master'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.   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.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Feeder Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005, the amount of cash held by the Master for margin requirements was $42,476,193. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master 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 Master's trading activities are shown in the statement of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value during the year ended December 31, 2005, based on a monthly calculation, was $11,094,108. 5.    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. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-26     CMF Campbell Master Fund L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the year ended December  31, 2005 was as follows:                  2005   Net realized and unrealized gains*  $ 139.02     Interest income    24.34     Expenses**    (.19 )    Increase for the year    163.17     Distributions    (24.34 )    Net asset value per Redeemable Unit, beginning of year    1,000.00     Net asset value per Redeemable Unit, end of year  $ 1,138.83                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:          Net investment income***    2.2 %    Operating expenses    0.2 %    Total return    16.3 %               ***  Interest income less total expenses   The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using Limited Partner's share of income, expense and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, the Master 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 and options, 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 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 Master 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  F-27     CMF Campbell Master Fund L.P. Notes to Financial Statements  Master'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 Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the Master'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 Master 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. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-28     Selected unaudited quarterly financial data for Campbell Master for the year ended December 31, 2005 is summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 to September 30, 2005  For the period from April 1, 2005 to June 30, 2005  For the period from January 1, 2005 to March 31, 2005   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $ 15,970,277    $ 669,970    $ 38,451,824    $                (9,226,199 )    Net Income (loss)  $ 15,956,477    $ 656,169    $ 38,438,175    $                (9,239,399 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $ 56.20    $ 1.63    $ 137.83    $                (32.49 )         F-29     To the Limited Partners ofCMF Willowbridge Argo Master Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Willowbridge Argo Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-30     Independent Auditor's Report To the Partners of    CMF Willowbridge Argo Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Willowbridge Argo Master Fund L.P. (the "Partnership"), including the condensed schedule of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005. 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 audit. We conducted our audit in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing 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. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides 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 CMF Willowbridge Argo Master Fund L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005 in conformity with U.S. generally accepted accounting principles.     New York, New York March 13, 2006 F-31     CMF Willowbridge Argo Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $22,332,197) (Note 3c)  $ 158,877,095     Net unrealized appreciation on open futures positions    10,835,290          169,712,385                Interest receivable    444,643        $ 170,157,028                Liabilities and Partners' Capital:          Liabilities:          Accrued expenses:          Professional fees  $ 30,334     Distribution payable (Note 5)    444,643          474,977                Partners' capital:          Partners' capital, 161,209.4049 Redeemable Units outstanding    169,682,051        $ 170,157,028                      See accompanying notes to financial statements.  F-32     CMF Willowbridge Argo Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Grains  $                (138,175 )     (0.08 )%    Livestock    191,530      0.11     Metals    5,765,550      3.40     Interest Rates Non-U.S.    646,214      0.38     Interest Rates U.S.    624,746      0.37     Softs    3,368,905      1.99     Total futures contracts purchased    10,458,770      6.17     Futures Contracts Sold                 Currencies    230,251      0.13     Energy    (346,085 )     (0.20 )    Grains    187,044      0.11     Interest Rates Non-U.S.    305,310      0.18     Total futures contracts sold    376,520      0.22     Total fair value  $ 10,835,290      6.39 %         Percentages are based on Partners' capital unless otherwise indicated.  See accompanying notes to financial statements.  F-33     CMF Willowbridge Argo Master Fund L.P.Statement of Income and Expensesfor the period July 1, 2005(commencement of trading operations)to December 31, 2005                  2005   Income:          Net gains (losses) on trading of commodity interests:          Realized gains on closed positions and foreign currencies  $ 13,894,169     Change in unrealized losses on open positions    (5,407,459 )         8,486,710     Interest income (Note 3c)    2,289,314          10,776,024     Expenses:          Clearing fees    340,941     Professional fees    30,334          371,275     Net income  $ 10,404,749     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 66.81           See accompanying notes to financial statements.  F-34     CMF Willowbridge Argo Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from July 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at July 5, 2005 representing 159,565.2554 Redeemable Units  $ 159,565,255     Net income    10,404,749     Sale of 17,026.7433 Redeemable Units of Limited Partnership Interest    18,543,000     Redemption of 15,382.5938 Redeemable Units of Limited Partnership Interest    (16,541,639 )    Distribution of Interest to feeder funds    (2,289,314 )    Partners' capital at December 31, 2005  $ 169,682,051     Net asset value per Redeemable Unit:                                    2005:  $1,052.56         See accompanying notes to financial statements.  F-35     CMF Willowbridge Argo Master Fund L.P.Statement of Cash Flowsfor the period July 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 10,404,749     Adjustments to reconcile net income to net cash provided by (used in) operating activities:          Changes in operating assets and liabilities:          (Increase) decrease in restricted cash    (22,332,197 )    (Increase) decrease in net unrealized appreciation on open futures positions    5,407,459     (Increase) decrease in interest receivable    (444,643 )               Accrued expenses:          Increase (decrease) in professional fees    30,334     Net cash provided by (used in) operating activities    (6,934,298 )               Cash flows from financing activities:          Proceeds from additions     161,865,506     Payments for redemptions    (16,541,639 )    Distribution of interest to feeder funds    (1,844,671 )    Net cash provided by (used in) financing activities    143,479,196                Net change in cash  $ 136,544,898     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $ 136,544,898     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 16,242,749           See accompanying notes to financial statements.  F-36     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Willowbridge Argo Master Fund L.P. (the "Master") is a limited partnership which was organized 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 Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of units ("Units") of Limited Partnership Interest. On July 1, 2005, (date Master commenced trading operations), Smith Barney Diversified Futures Fund L.P. ("Diversified"), Smith Barney Diversified Futures Fund L.P. II ("Diversified II"), Salomon Smith Barney Orion Futures Fund L.P. ("Orion"), CMF Institutional Futures Fund ("CMF Institutional") and Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of their capital to the Master. Diversified purchased 12,259.349 Units of the Master with cash equal to $11,118,119 and a contribution of open commodity futures and forwards positions with a fair value of $1,141,230, Diversified II purchased 10,980.9796 Units of the Master with cash equal to $9,895,326 and a contribution of open commodity futures and forwards positions of $1,085,654, Orion purchased 33,529.1186 Units of the Master with cash equal to $29,866,194 and a contribution of open commodity futures and forwards positions of $3,662,925, CMF Institutional Invested $7,000,000 of its' initial capital and purchased 7,000.0000 Units of the Master and Citigroup Diversified purchased 95,795.8082 Units of the Master with cash equal to $85,442,868 and a contribution of open commodity futures and forwards positions with a fair value of $10,352,940. The Master was formed to permit commodity pools managed now and in the future by Willowbridge Associates Inc. (The "Advisor") using the Argo Program, the Advisor's proprietary trading program, to invest together in one trading vehicle. The Master operates under a structure where its investors consist of Diversified, Diversified II, Orion, Citigroup Diversified and CMF Institutional (each a "Feeder", collectively the "Funds") with 7.4%, 6.6%, 25.9% 56.7% and 3.4% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Effective as of December 31, 2005, all trading decisions for the Master are made by the Advisor. 2.    Accounting Policies:       a.  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 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.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the feeder funds at the time of such determination.         c.  Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master's income and expenses.   F-37     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements       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.   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.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005, the amount of cash held by the Master for margin requirements was $22,332,197. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master 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 Master's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value during the period ended December 31, 2005 based on a monthly calculation, was $16,087,092. 5.    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. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-38     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the period from July 1, 2005 (commencement of trading operations) to December  31, 2005 was as follows:                  2005   Net realized and unrealized gains (losses)*  $ 52.75     Interest income    14.25     Expenses**    (0.19 )    Increase (decrease) for the period    66.81     Distributions    (14.25 )    Net asset value per Redeemable Unit, beginning of period    1,000.00     Net asset value per Redeemable Unit, end of period  $ 1,052.56                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment income***    2.0 %    Operating expenses    0.4 %    Total return    6.7 %               ***  Interest income less total expenses         ****  Annualized   The above ratios may vary for individual investors based on the timing of capital transactions during the period. 7.    Financial Instrument Risks: In the normal course of its business, the Master 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 and options, 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 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 Master 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  F-39     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements  to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master'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 Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the Master'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 Master 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. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-40     Selected unaudited quarterly financial data for Willowbridge Master for the period ended December  31, 2005 is summarized below.                      For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromJuly 1, 2005 (Commencementof trading operations) toSeptember 30, 2005   Net realized and unrealized tradinggains net of brokerage commissions and clearing fees plus interest income  $ 1,894,970    $ 8,540,113     Net Income  $ 1,879,636    $ 8,525,113     Increase in Net Asset Value per Redeemable Unit  $ 10.17    $ 56.64          F-41     To the Limited Partners ofCMF Winton Master L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Winton Master L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-42     Independent Auditor's Report To the Partners ofCMF Winton Master L.P.: We have audited the accompanying statements of financial condition of CMF Winton Master L.P. (the "Partnership"), including the condensed schedules of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2005 and for the period November 1, 2004 (commencement of trading operations) to 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 generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing 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. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, 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 CMF Winton Master L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the year ended December 31, 2005 and for the period November 1, 2004 (commencement of trading operations) to December 31, 2004 in conformity with U.S. generally accepted accounting principles.     New York, New YorkMarch 13, 2006 F-43     CMF Winton Master L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Cash (restricted $41,364,253 and $26,264,586 in 2005 and 2004, respectively) (Note 3c)  $ 173,936,134    $ 113,508,857     Net unrealized appreciation on open futures positions    1,044,808      979,539     Unrealized appreciation on open forward contracts    6,659,732      1,575,476          181,640,674      116,063,872                       Interest receivable    490,049      166,197        $ 182,130,723    $ 116,230,069                       Liabilities and Partners' Capital:                 Liabilities:                 Unrealized depreciation on open forward contracts  $ 2,976,793    $ 926,543     Accrued expenses:                 Professional fees    57,292      12,000     Distribution payable (Note 5)    490,049      166,197          3,524,134      1,104,740                       Partners' Capital:                 Partners' Capital, 150,355.1221 and 107,012.8888 Redeemable Units outstanding in 2005 and 2004, respectively    178,606,589      115,125,329        $ 182,130,723    $ 116,230,069                             See accompanying notes to financial statements.  F-44     CMF Winton Master L.P.Condensed Schedule of Investments December 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $                (532,732 )     (0.30 )%    Indices    (689,791 )     (0.39 )    Interest Rates U.S.    (63,103 )     (0.03 )    Interest Rates Non-U.S.    2,264,869      1.27     Livestock    274,805      0.15     Lumber    (4,213 )     (0.00) *    Metals    464,600      0.26     Softs    53,290      0.03     Total futures contracts purchased    1,767,725      0.99                                                           Futures Contracts Sold                 Currencies    (319,700 )     (0.18 )    Energy    (613,409 )     (0.34 )    Grains    (643,317 )     (0.36 )    Interest Rates U.S.    (36,304 )     (0.02 )    Interest Rates Non-U.S.     1,099,890      0.62     Livestock    3,400      0.00 *    Softs    (213,477 )     (0.12 )    Total futures contracts sold    (722,917 )     (0.40 )                                        Unrealized Appreciation on Forward Contracts                 Metals    6,659,732      3.73     Total unrealized appreciation on forward contracts    6,659,732      3.73                                         Unrealized Depreciation on Forward Contracts                 Metals    (2,976,793 )     (1.67 )    Total unrealized depreciation on forward contracts    (2,976,793 )     (1.67 )                      Total Fair Value  $  4,727,747      2.65 %         Percentages are based on Partners' capital unless otherwise indicated        *   Due to rounding          See accompanying notes to financial statements   F-45     CMF Winton Master L.P.Condensed Schedule of InvestmentsDecember 31, 2004                      Fair Value  % of PartnersCapital   Futures Contracts Purchased                 Currencies  $ 623,634      0.54 %    Indices    1,541,657      1.34     Interest Rates U.S.    (294,303 )     (0.27 )    Interest Rates Non-U.S.    (42,376 )     (0.04 )    Livestock    (97,350 )     (0.08 )    Lumber    48,114      0.04     Metals    (524,982 )     (0.46 )    Softs    (172,955 )     (0.15 )    Total futures contracts purchased    1,081,439      0.92     Futures Contracts Sold                 Currencies    17,239      0.02     Energy    160,945      0.14     Grains    (287,861 )     (0.25 )    Interest Rates U.S.    (21,841 )     (0.02 )    Interest Rates Non-U.S.    (10,707 )     (0.00) *    Metals    69,925      0.06     Softs    (29,600 )     (0.03 )    Total futures contracts sold    (101,900 )     (0.08 )    Unrealized Appreciation on Forward Contracts                 Metals    1,575,476      1.37     Unrealized Depreciation on Forward Contracts                 Metals    (926,543 )     (0.80 )    Total Fair Value  $ 1,628,472      1.41 %         Percentages are based on Partners' capital unless otherwise indicated.  * Due to rounding   See accompanying notes to financial statements.  F-46     CMF Winton Master L.P.Statements of Income and Expensesfor the year ended December 31, 2005 and the period November 1, 2004(commencement of trading operations)to December 31, 2004                      2005  2004   Income:                 Net gains (losses) on trading of commodity interests:                 Realized gains on closed positions and foreign currencies  $ 13,732,305    $ 4,622,324     Net unrealized gains on open positions    3,099,275      (969,894 )         16,831,580      3,652,430     Interest income    4,288,087      244,406          21,119,667      3,896,836     Expenses:                 Clearing fees    1,166,831      152,738     Professional fees    56,062      12,000          1,222,893      164,738     Net income  $ 19,896,774    $ 3,732,098     Net income per Unit of Limited Partnership Interest (Notes 1 and 6)  $ 142.03    $ 78.85           See accompanying notes to financial statements.  F-47     CMF Winton Master L.P.Statements of Changes in Partners' Capitalfor the year ended December 31, 2005 and the period from November 1, 2004 (commencement of trading operations)to December 31, 2004                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at November 1, 2004 representing 52,444.0345 Units  $ 52,444,034     Net income    3,732,098     Sale of 56,367.5633 Units of Limited Partners Interest    61,144,754     Redemption of 1,798.7090 Units of Limited Partners Interest    (1,951,151 )    Distribution of Interest to feeder funds    (244,406 )    Partners' capital at December 31, 2004    115,125,329     Net income     19,896,774     Sale of 100,687.9895 Units of Limited Partners' Interest     114,746,235     Redemption of 57,345.7562 Units of Limited Partners' Interest     (66,873,662 )    Distribution of Interest to Feeder Funds     (4,288,087 )    Partners' capital at December 31, 2005  $ 178,606,589     Net asset value per Unit:                                    2004  $1,075.81      2005  $1,187.90         See accompanying notes to financial statements.  F-48     CMF Winton Master L.P.Statements of Cash Flowsfor the year ended December 31, 2005 and the period November 1, 2004(commencement of trading operations) to December 31, 2004                      2005  2004   Cash flows from operating activities:                 Net income  $ 19,896,774    $ 3,732,098     Adjustments to reconcile net income to net cash provided by (used in) operating activities:                 Changes in operating assets and liabilities:                 (Increase) decrease in restricted cash    (15,099,667 )     (26,264,586 )    (Increase) decrease in net unrealized appreciation on open futures positions    (65,269 )     2,089,692     (Increase) decrease in unrealized appreciation on open forward contracts    (5,084,256 )     (1,336,229 )    (Increase) decrease in interest receivable    (323,852 )     (166,197 )                      Increase (decrease) in unrealized depreciation on open forward contracts    2,050,250      216,431     Accrued expenses:                 Increase (decrease) in professional fees    45,292      12,000     Net cash provided by (used in) operating activities    1,419,272      (21,716,791 )                      Cash flows from financing activities:                 Proceeds from additions     114,746,235      110,990,422     Payments for redemptions    (66,873,662 )     (1,951,151 )    Distribution of interest to feeder funds    (3,964,235 )     (78,209 )    Net cash provided by (used in) financing activities    43,908,338      108,961,062                       Net change in cash    45,327,610      87,244,271     Unrestricted cash, at beginning of period    87,244,271      —     Unrestricted cash, at end of period  $ 132,571,881    $ 87,244,271     Non cash financing activities:                 Contribution of open commodity futures and forwards positions  $ —    $ 2,598,366           See accompanying notes to financial statements.  F-49     CMF Winton Master L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Winton Master L.P. (the "Master") is a limited partnership which was organized 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 Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of units ("Units") of Limited Partnership Interest. On November 1, 2004 (date Master commenced trading), CMF Winton Feeder I L.P. ("Winton Feeder") allocated substantially all of its capital and Smith Barney Diversified Futures Fund L.P. ("Diversified") and Salomon Smith Barney Orion Futures Fund L.P. ("Orion") allocated a portion of their capital to the Master. Winton Feeder purchased 2,000.0000 Units of the Master with cash equal to $2,000,000. Orion purchased 35,389.8399 Units of the Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward positions with a fair value of $1,795,757. Diversified purchased 15,054.1946 Units of the Master with cash equal to $14,251,586 and a contribution of open commodity futures and forward positions with a fair value of $802,609. On December 1, 2004, Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of its capital to the Master and purchased 52,981.2908 Units with cash equal to $57,471,493. On July 1, 2005 CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of its capital to the Master and purchased 5,741.8230 Units of the Master with cash equal to $7,000,000. The Master was formed to permit commodity pools managed now or in the future by Winton Capital Management Limited (the "Advisor") using the Diversified program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master's investors consist of Winton Feeder, Orion, Diversified, Citigroup Diversified and CMF Institutional (each a "Feeder", collectively the "Funds") with 7.7%, 30.5%, 8.7%, 50.4% and 2.7% ownership of the Master at December 31, 2005, respectively. Winton Feeder, Orion, Diversified and Citigroup Diversified owned 3.1%, 33.4%, 14.0% and 49.5% of the Master at December 31, 2004, respectively. Citigroup Managed Futures LLC acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. 2.    Accounting Policies:       a.  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 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.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the Funds at the time of such determination. Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master's income and expenses.   F-50     CMF Winton Master L.P. Notes to Financial Statements       c.  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.         d.  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.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Feeder Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held by the Master for margin requirements was $41,364,253 and $26,264,586, respectively. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master 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 Master's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value for the year ended December 31, 2005 and during the period ended December 31, 2004 based on a monthly calculation, was $6,930,693 and $3,595,835, respectively. 5.    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. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-51     CMF Winton Master L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the year ended December 31, 2005 and the period from November 1, 2004 (commencement of trading operations) to December  31, 2004 was as follows:                      2005  2004   Net realized and unrealized gains*  $ 112.51    $ 75.92     Interest income    29.94      3.04     Expenses**    (0.42 )     (0.11 )    Increase for the period    142.03      78.85     Distributions    (29.94 )     (3.04 )    Net Asset Value Redeemable per Unit, beginning of period    1,075.81      1,000.00     Net Asset Value Redeemable per Unit, end of period  $ 1,187.90    $ 1,075.81                *  Includes clearing fees         **  Excludes clearing fees                     Ratios to Average Net Assets:                 Net investment income***    1.9 %     0.6 %****    Operating expenses    0.8 %     1.3 %****    Total return    13.2 %     7.9 %               ***  Interest income less total expenses         ****  Annualized.   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, expense and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, the Master 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 and options, 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 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 Master 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  F-52     CMF Winton Master L.P. Notes to Financial Statements  to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master'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 Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the Master'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 Master 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. The majority of these instruments mature within one year of December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-53     CMF Winton Master L.P. Notes to Financial Statements Selected unaudited quarterly financial data for the Winton Master for the year ended December 31, 2005 and the period ended December 31, 2004 are summarized below:                              For the period fromOctober 1, 2005 to December 31, 2005  For the period from July 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $ 134,872    $                (1,993,310 )   $ 10,861,316    $ 10,949,958     Net Income (loss)  $ 131,646    $                (2,011,115 )   $ 10,843,704    $ 10,932,539     Increase (decrease) in Net Asset                               Value per Unit  $                (0.32 )   $                (13.00 )   $ 78.31    $ 77.04                                       For the period fromNovember 1, 2004(commencement of trading operations) to December 31, 2004            Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 3,744,098                          Net Income   $ 3,732,098                          Increase in Net AssetValue per Unit  $ 78.85                               F-54
(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 other services normally provided in connection with regulatory filings or engagements are as follows:       2005  $30,000         2004  $31,670   (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:       2005  $7,606         2004  $5,136   (4)    All Other Fees. None. (5)    Not Applicable. (6)    Not Applicable. PART IV Item 15.    Exhibits and Financial Statement Schedules.       (a) (1)  Financial Statements:           Statements of Financial Condition at December 31, 2005 and 2004.           Condensed Schedules of Investments at December 31, 2005 and 2004.           Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003.           Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003.           Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003.           Notes to Financial Statements.         (2)  Exhibits:            3.1 –  Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form S-1 (File No. 33-75056 and incorporated herein by reference).            3.2 –  Certificate of Limited Partnership of the Partnership as filed in the office of the County Clerk of New York County on October 13, 1993 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.1 – Customer Agreement between the Partnership and Smith Barney (filed as Exhibit 10.1 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.3 – Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.5 –  Management Agreement among the Partnership, the General Partner and Campbell & Company, Inc. (filed as Exhibit 10.5 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).   28              10.6 –  Management Agreement among the Partnership, the General Partner and Colorado Commodity Management Corp. (filed as Exhibit 10.6 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.7 –  Management Agreement among the Partnership, the General Partner and John W. Henry & Company, Inc. (filed as Exhibit 10.7 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.8 –  Management Agreement among the Partnership, the General Partner and Hyman Beck & Company (filed as Exhibit 10.8 to the Registration Statement on Form S-1 (File No. 33-75056) and incorporated herein by reference).            10.9 –  Letter dated May 19, 1994 from the General Partner to Colorado Commodities Management Corp. terminating the Management Agreement (previously filed).            10.10 –  Management Agreement among the Partnership, the General Partner and Chesapeake Capital Corp. (previously filed).            10.11 –  Letters extending Management Agreements with John W. Henry & Company, Inc., Hyman Beck & Company, Campbell & Co., Inc. and Chesapeake Capital Corp. (previously filed).            10.12 –  Management Agreement among the Partnership, the General Partner and Abraham Trading Co. (previously filed).            10.13 –  Management Agreement among the Partnership, the General Partner and Rabar Market Research Inc. (previously filed).            10.14 –  Management Agreement among the Partnership, the General Partner and AIS Futures Management, Inc. (previously filed).            10.15 –  Letter dated October 1, 1996 from the General Partner to Hyman Beck & Company terminating the Management Agreement (previously filed).            10.16 –  Management Agreement among the Partnership, the General Partner and Telesis Management Inc. (filed as Exhibit 10.16 to the Form 10-K for the year ended December 31, 1997).            10.17 –  Letter terminating Management Agreement with Chesapeake Capital Corporation (filed as Exhibit 10.17 to the Form 10-K for the year ended December 31, 1997).            10.18 –  Letter terminating Management Agreement with Abraham Trading Co. (filed as Exhibit 10.18 to the Form 10-K for the year ended December 31, 1997).            10.19 –  Management Agreement among the Partnership, the General Partner and Trendview Management, Inc. (filed as Exhibit 10.19 to the Form 10-K for the year ended December 31, 1997).            10.20 –  Letters extending Management Agreements with Campbell & Co., Chesapeake Capital Corp., John W. Henry & Company Inc., AIS Futures Management L.L.C., Abraham Trading Co. and Rabar Market Research Inc. (filed as Exhibit 10.20 to the Form 10-K for the year ended December 31, 1997).            10.21 –  Letter terminating AIS Futures Management, Inc. (previously filed).            10.22 –  Letter terminating Telesis Management Inc. (previously filed).            10.23 –  Letters extending Management Agreements with Campbell & Co., John W. Henry & Company Inc., Rabar Market Research Inc. and Trendview Management Inc. (previously filed).            10.24 –  Management Agreement among the Partnership, the General Partner and Willowbridge Associates, Inc. (filed as Exhibit 10.24 to the Form 10-K for the year ended December 31, 1999).   29              10.25 –  Management Agreement among the Partnership, the General Partner and Stonebrook Capital Management, Inc. (filed as Exhibit 10.25 to the Form 10-K for the year ended December 31, 1999).            10.26–  Letters extending Management Agreements with Campbell & Co., Inc., John W. Henry & Company Inc., Rabar Market Research Inc. and Trendview Management Inc. (previously filed).            10.27 –  Letters terminating John W. Henry & Company Inc., Rabar Market Research Inc. and Trendview Management Inc. (previously filed).            10.28 –  Management Agreement among the Partnership, the General Partner and Bridgewater Associates, Inc. (previously filed).            10.29 –  Management Agreement among the Partnership, the General Partner and Dominion Capital Management, Inc. (previously filed).            10.30 –  Letters extending Management Agreements with Campbell & Co., Inc., Willowbridge Associates, Inc. and Stonebrook Structured Products, LLC (previously filed).            10.31 –  Letter terminating Bridgewater Associates, Inc. (previously filed).            10.32 –  Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (previously filed).            10.33 –  Management Agreement among the Partnership, the General Partner and Graham Capital Management L.P. (previously filed).            10.34 –  Letters extending Management Agreements with Campbell & Co., Inc., Willowbridge Associates, Inc., Dominion Capital Management, Inc. and Stonebrook Structured Products, LLC (previously filed).            10.35 –  Letter terminating Dominion Capital Management, Inc. (previously filed).            10.36 –  Letters extending Management Agreements with Campbell & Co., Inc., Willowbridge Associates, Inc., Winton Capital Management Limited, Stonebrook Structured Products, LLC and Graham Capital Management L.P. (previously filed).            10.37 –  Letter terminating Stonebrook Structured Products LLC (previously filed).            10.38 –  Letters extending Management Agreements with Campbell & Co., Inc., Willowbridge Associates, Inc., Winton Capital Management Limited, and Graham Capital Management L.P. (previously filed).            10.39 Letters extending Management Agreements with Campbell & Co. Inc., Willowbridge Associates, Inc., Winton Capital Management Limited, and Graham Capital Management L.P. (previously filed).            10.40 Letters extending Management Agreements with Campbell and Co. Inc., Willowbridge Associates, Inc., Winton Capital Management Limited and Graham Capital Management L.P. (filed herein).            16.1 –  Letter from PricewaterhouseCoopers (previously filed).           The exhibits required to be filed by Item 601 of regulation 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)   30     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. 31     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, in the City of New York and State of New York on the 29th day of March 2006. SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. By:    Citigroup Managed Futures LLC            (General Partner) By:    /s/ David J. Vogel             David J. Vogel, President and 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 in the capacities and on the date indicated.               /s/ David J. Vogel  /s/ Shelley Ullman   David J. Vogel  Shelley Ullman   President and Director  Director   /s/ Maureen O'Toole  /s/ Jennifer Magno   Maureen O'Toole  Jennifer Magno   Director  Director   /s/ Daniel R. McAuliffe, Jr.  /s/ Jerry Pascucci   Daniel R. McAuliffe, Jr.  Jerry pascucci   Chief Financial Officer and  Director   Director         /s/ Ihor Rakowsky      Ihor Rakowsky      Secretary and Director        32         GRAPHIC 2 html_96388kpmg.jpg GRAPHIC  begin 644 html_96388kpmg.jpg M_]C_X``02D9)1@`!`0$!(`$@``#__@`V($EM86=E(&=E;F5R871E9"!B>2!' 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We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Smith Barney Diversified Futures Fund L.P.           •  AURORA 2001           •  AURORA III           •  SSB Orion Futures Fund L.P.           •  Alera Portfolio Spc           •  CMF Winton Feeder LP I           •  Citigroup Diversified Futures Fund L.P.           •  CMF Winton Master Fund L.P.   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours,               CITIGROUP MANAGED FUTURES LLC   By:  /s/ Daniel R. McAuliffe, Jr.      Daniel R. McAuliffe, Jr. Chief Financial Officer & Director   By:  /s/ Martin Hunt   Print Name:   Martin Hunt   DRMcA/sr               Exhibit 10.40 June 15, 2005 Willowbridge Associates Inc. 101 Morgan Lane - Suite 180 Plainsboro, N.J. 08536 Attention: Mr Steve R. Crane  Re:    Management Agreement Renewals  Dear Mr. Crane: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Salomon Smith Barney Orion Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P. II           •  Citigroup Diversified Futures Fund L.P.           •  Alera 100   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours,               CITIGROUP MANAGED FUTURES LLC   By:  /s/ Daniel R. McAuliffe, Jr.      Daniel R. McAuliffe, Jr. Chief Financial Officer & Director   By:  /s/ Steven R. Crane   Print Name:   Steven R. Crane   DRMcA/sr               Exhibit 10.40 June 15, 2005 Graham Capital Management, L.P. Rock Ledge Financial Center 40 Highland Avenue Rowayton, CT 06853 Attention: Mr. Paul Sedlack  Re:    Management Agreement Renewals  Dear Mr. Sedlack: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Smith Barney Global Markets Futures Fund           •  Smith Barney Diversified Futures Fund L.P. II           •  Smith Barney Diversified Futures Fund L.P.           •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.           •  AURORA 2001           •  AURORA III           •  Salomon Smith Barney Fairfield Futures Fund L.P.           •  Citigroup Diversified Futures Fund L.P.           •  Citigroup Fairfield Futures Fund L.P. II           •  Alera 100           •  Alera Portfolio Spc   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours,               CITIGROUP MANAGED FUTURES LLC   By:  /s/ Daniel R. McAuliffe, Jr.      Daniel R. McAuliffe, Jr. Chief Financial Officer & Director   By:  /s/ Paul Sedlack   Print Name:   Paul Sedlack   DRMcA/sr               Exhibit 10.40 May 31, 2005 Campbell & Company, Inc. Court Tower Building 210 West Pennsylvania Avenue Suite 770 Towson, MD 21204 Attn: Ms. Terry Becks  Re:    Management Agreement Renewals  Dear Ms. Becks: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Smith Barney Potomac Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P. II           •  Smith Barney Global Markets Futures Fund L.P.           •  Smith Barney Global Diversified Futures Fund L.P.           •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.           •  AURORA 2001           •  AURORA III           •  CMF Campbell Master Fund L.P.   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours,               CITIGROUP MANAGED FUTURES LLC   By:  /s/ Daniel R. McAuliffe, Jr.      Daniel R. McAuliffe, Jr. Chief Financial Officer & Director   CAMPBELL & COMPANY, INC.   By:  /s/ Terry Becks   Print Name:   Terry Becks   DRMcA/sr                   EX-31.1 7 file003.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this Annual Report on Form 10-K of Smith Barney Diversified Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:           a)  designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;           b)  evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and           c)  disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):           a)  all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and           b)  any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 29, 2006  /s/ David J. Vogel         David J. Vogel Citigroup Managed Futures LLC President and Director                EX-31.2 8 file004.htm CERTIFICATION         Exhibit 31.2 CERTIFICATION I, Daniel R. McAuliffe, Jr., certify that:       1.  I have reviewed this Annual Report on Form 10-K of Smith Barney Diversified Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:           a)  designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;           b)  evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and           c)  disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):           a)  all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and           b)  any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 29, 2006  /s/ Daniel R. McAuliffe, Jr.         Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director                EX-32.1 9 file005.htm CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350         Exhibit 32.1 CERTIFICATION PURSUANT TO18 U.S.C. SECTION 1350,AS ADOPTED PURSUANT TOSECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Annual Report of Smith Barney Diversified Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, David J. Vogel, President and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that: (1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. /s/ David J. Vogel             David J. Vogel Citigroup Managed Futures LLC President and Director March 29, 2006             Date         EX-32.2 10 file006.htm CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350         Exhibit 32.2 CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Annual Report of Smith Barney Diversified Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:       (1)  The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and         (2)  The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.   /s/ Daniel R. McAuliffe, Jr.             Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director March 29, 2006             Date         -----END PRIVACY-ENHANCED MESSAGE-----