CITIGROUP DIVERSIFIED FUTURES FUND LP
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. 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  6      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. 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. 7     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 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. 8     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 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. 9     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 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  10      $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 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  11      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. In the course of its business, CGM, 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 adverse effect on the business of CGM. 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 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 26,775.           (c)  Dividends. The Partnership did not declare a distribution in 2005 or 2004.           (d)  Use of Proceeds. The effective dates of the Securities Act registration statements for which the use of proceeds information is being disclosed are March 27, 2003, December 4, 2003 and October 7, 2004, and the Securities and Exchange Commission file numbers assigned to such registration statements are 333-102038, 333-110076 and 333-117275, respectively. On March 27, 2003, 300,000 Redeemable Units became effective for sale. Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 Redeemable Units were sold at $1,000 per Redeemable Unit. After April 30, 2003, Redeemable Units were sold at Net Asset Value per Redeemable Unit. On December 4, 2003, an additional 700,000 Redeemable Units became effective for sale at a price equal to the Net Asset Value per Redeemable Unit. On October 7, 2004, an additional 1,000,000 Redeemable Units became effective for sale at a price equal to the Net Asset Value per Redeemable Unit.             For the twelve months ended December 31, 2005, there were additional sales of 262,016.6130 Redeemable Units of limited partnership interest totaling $237,710,000 and General Partner contributions representing 410.4753 Unit equivalents totaling $400,000.             For the twelve months ended December 31, 2004, there were additional sales of 592,983.3592 Redeemable Units of limited partnership interest totaling $569,528,000 and General Partner contributions representing 5,440.6521 Unit equivalents totaling $5,225,000.             For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 there were additional sales of 260,808.2644 Redeemable Units of limited partnership interest totaling $247,398,000 and General Partner contributions representing 2,582.5938 Unit equivalents totaling $2,451,000.             Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options and forward contracts.           (e)  Compensation Plans. none   13
Net realized and unrealized trading gains, interest income, net income and increase (decrease) in Net Asset Value per Redeemable Unit for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 and total assets at December 31, 2005, 2004 and 2003 were as follows:                          Year endedDecember 31, 2005  Year endedDecember 31, 2004  Period fromMay 1, 2003(commencement of trading operations) to December 31, 2003   Net realized and unrealized trading gains (losses) and investment in Partnerships net of brokerage commissions (including clearing fees) of $49,582,184, $38,203,750 and $6,933,408, respectively  $                (14,803,794 )   $ 21,133,659    $ 10,056,819     Interest income    9,793,423      6,258,171      783,265        $                (5,010,371 )   $ 27,391,830    $ 10,840,084     Net income (loss)  $                (34,013,339 )   $ 7,576,731    $ 4,144,757     Increase (decrease) in Net Asset Value per Redeemable Unit  $                (43.17 )   $ 6.52    $(15.76)*   Total assets  $ 881,378,897    $ 838,299,945    $ 305,912,725                             * The amount shown per Redeemable Unit does not correspond with the net income presented above for the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 because of the timing of additions of the Partnership's Redeemable Units in relation to the fluctuating values of the Partnership's commodity interest.
Overview The Partnership aims to achieve substantial capital appreciation and permit investors to diversify a traditionally structured stock and bond portfolio. The Partnership attempts to accomplish its objectives through speculative trading 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 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  14      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 shall seek 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 that the brokerage fee the Partnership pays is competitive with other rates. The programs traded by each Advisor on behalf of the Partnership are: Drury – Diversified Trend-Following Program ("Diversified Trend-Following"), Graham – K4 Program at 150 % Leverage ("K4"), JWH – GlobalAnalytics Program ("Global Analytics"), Aspect – Diversified Program ("Diversified"), CFM – Discus Program ("Discus"), Winton – Diversified Program ("Diversified"), AAA – Energy with Swaps Program ("Energy") and Willowbridge – Argo Trading System ("Argo"). As of December 31, 2005, the Partnership's assets were allocated among the trading Advisors in the following approximate percentages: Drury 15%, Graham 12%, JWH 13%, Aspect 15%, CFM 19%, Winton 10%, AAA 5% and Willowbridge 11%.  Drury Capital, Inc.  The portion of the Partnership's assets that are currently alloated to Drury for trading are not invested in commodity interests directly. Drury's allocation of the assets is currently invested in the Drury Master. Drury trades its Diversified Trend-Following Program on behalf of the Partnership. The Diversified Trend-Following program is systematic and technical. Drury may exercise judgment regarding liquidity issues. Systematic traders rely primarily on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed from time to time (although generally infrequently), but the trading instructions generated by the system being used are followed without significant additional analysis or interpretation. The Diversified Trend-Following Program is built on elements of trend-following and diversification. The Program emphasizes diversification by trading metals, agricultural products, foreign exchange, stock indices, energy products, financial instruments and tropical products (softs). The Diversified Trend-Following Program trades 30 portfolio instruments and is generally positioned in 18 of these instruments on average. Positions can be short as well as long. The Diversified Trend-Following Program has no market or sector bias, as Drury believes that each instrument can produce long-term profits through the application of independent technical analysis and risk management.  Graham Capital Management, L.P.  Graham trades the Partnership's assets allocated to it in accordance with its K4 program. K4 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. K4 will normally enter or exit a position only when a significant price and volatility spike takes place and is designed to have a high percentage of winning trades. K4 trades approximately 65 markets. 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 they can over time 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.  John W. Henry & Company, Inc.  15     JWH trades its JWH Global Analytics Family of Programs on behalf of the Partnership. Since the firm's inception, the JWH investment philosophy has been based on the premise that market prices, rather than market fundamentals, are the key aggregators of information necessary to make investment decisions and that market prices, which may at first seem random, are actually related through time in complex, but discernable ways. Global Analytics invests in both long- and short-term price movements. The program invests in a broad spectrum of worldwide financial and non-financial markets, including interest rate, non-U.S. stock index, currency, metals, energy and agricultural contracts. GlobalAnalytics uses JWH's five phase investment style (a position is maintained, long or short, in a market at all times) and JWH's three phase style (positions are taken when trends are identified, but the program may take a neutral stance or liquidate open positions in non-trending markets).  Willowbridge Associates Inc.  The portion of the Partnership's assets that are currently allocated to Willowbridge for trading are not invested in commodity interests directly. Willowbridge's allocation of the assets is currently invested in the Willowbridge Master. Willowbridge trades the Partnership's assets allocated to it in accordance with its Select Investment Program using the Argo Trading System. Argo is a computerized technical trading system. It is not a trend-following system, but does ride a trend when the opportunity arises. Argo uses the concepts of pattern recognition, support/resistance levels and counter trend liquidations in making trading decisions. Argo determines, on a daily basis, whether to be long, short or flat the various commodities in its portfolio. 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.  Aspect Capital Limited.  The portion of the Partnership's assets that are currently allocated to Aspect for trading are not invested in commodity interests directly. Aspect's allocation of the assets is currently invested in the Aspect Master. Aspect trades its Diversified Program on behalf of the Partnership. The Diversified Program is a systematic global futures trading program. Its goal is the generation of significant long-term capital growth independent of stock and bond market returns. This program continuously monitors price movements in a wide range of global financial, currency and commodity markets, searching for profit opportunities over periods ranging from a few hours to several months. Aspect has designed the Diversified Program to have broad market diversification (subject to liquidity constraints). Aspect's quantitative resources are sufficient to enable it to design and implement a broadly diversified portfolio with a significant allocation to numerous different markets. Aspect's Diversified Program trades over 100 markets in the seven major sectors: currencies, energy, metals, stock indices, bonds, agricultural commodities and interest rates implementing momentum strategies. Aspect is constantly examining new liquid and uncorrelated markets to incorporate in the program with the aim of improving its reward/risk ratio and capacity. Aspect has no market or sector preferences, believing that allowing for liquidity effects, equal profitability can be achieved in the long-term in all markets. The key factors in determining the asset allocation are correlation and liquidity. Correlations are analyzed at the sector, sub-sector, economic block and market levels to design a portfolio which is highly diversified.  Capital Fund Management S.A..  The portion of the Partnership's assets that are currently allocated to CFM for trading are not invested in commodity interests directly. CFM's allocation of the assets is currently invested in the CFM  16      Master. CFM trades its Discus Program on behalf of the Partnership. The Discus Program is a multi-strategy, 100% statistical and systematic program that seeks to identify prevailing market conditions and adopt the most efficient trading strategy for those conditions. The strategy at times follows medium to long term trends, and at other times establishes short term positions in the direction of or opposite a trend. CFM has designed the Discus Program to trade a diversified portfolio of approximately 50 futures and forward contracts among the following sectors: short, medium and long term interest rates, stock indices, currencies and commodities.  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 assets is currently invested in the Winton Master. Winton trades its Diversified Program on behalf of the Winton Master. 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. 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.  AAA Capital Management, Inc.  The portion of the Partnership's assets that are currently allocated to AAA for trading are not invested in commodity interests directly. AAA's allocation of the Partnership's assets is currently invested in AAA Master. AAA trades its Energy program on behalf of AAA Master, and thereby the Partnership's, assets in accordance with its Energy with Swaps Program. AAA Master currently trades energy futures contracts and options on energy futures contracts on domestic and international exchanges, as well as the Goldman Sachs Commodity Index (an index future comprised of energy and other products) traded on the Chicago Mercantile Exchange. AAA Master also currently engages in swap transactions involving crude oil and other energy related products. References herein to energy and energy related products include all of the foregoing. AAA generally bases its trading decisions on "fundamental" factors, namely supply and demand for a particular group or type of commodity. AAA attempts to buy undervalued commodities and sell overvalued commodities, often but not always simultaneously. AAA uses options to attempt either to reduce or define risks. AAA is aware of price trends but does not trade upon trends. AAA often takes profits in positions with specific trends even though that trend may still be intact or perhaps even strong. AAA occasionally establishes positions that are countertrend. Effective risk management is a crucial aspect of AAA's trading program. Account size, expectation, volatility of the market traded and the nature of other positions taken are all factors in determining the amount of equity committed to each trade. AAA Master is AAA's largest account. (a)    Liquidity.  17     The Partnership does not engage in sales of goods or services. Its only assets are its (i) 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)  An Advisor will not initiate additional positions in any commodity 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 does 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 does 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 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, or to purchase or sell other financial instruments at specified terms at specified future dates, or, in the case of derivative commodity interests, 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  18      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 statement 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 futures and swaps 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 trading 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, commissions, advisory fees 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 require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of a month on 10 days' notice to the General Partner. For the purpose of a redemption, any accrued liability for reimbursement of offering and organization expenses for the Initial Offering Period will not reduce Net Asset Value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions. For the year ended December 31, 2005, 167,413.6961 Redeemable Units were redeemed totaling $151,285,002. For the year ended December 31, 2004, 66,799.0257 Redeemable Units were redeemed totaling $62,544,352. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003, 6,310.1334 Redeemable Units were redeemed totaling $5,808,589. Offering and organization costs of $650,000 relating to the issuance and marketing of the Partnership's Redeemable Units offered were initially paid by CGM. These costs have been recorded as due to CGM in the statement of financial condition. These costs are being reimbursed to CGM by the Partnership in 36 monthly installments (together with interest at the prime rate quoted by JPMorgan Chase & Co.). For the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003, $213,949, $196,014 and $145,318 of these costs have been reimbursed to CGM by the Partnership. In addition, the Partnership has recorded interest expense of $8,238, $16,979 and $16,464 for the years ended December 31, 2005 and 2004 and the period May 1, 2003 (commencement of trading operations) to December  31, 2003, respectively, which is included in other expenses. 19     The remaining liability for these costs due to CGM of $94,719 (exclusive of interest charges) will not reduce Net Asset Value per Redeemable Unit for purposes of calculating advisory and brokerage fees and the redemption value of Redeemable Units. For the year ended December 31, 2005, there were additional sales of 262,016.6130 Redeemable Units totaling $237,710,000 and General Partner contributions representing 410.4753 Unit equivalents totaling $400,000. For the year ended December 31, 2004, there were additional sales of 592,983.3592 Redeemable Units totaling $569,528,000 and General Partner contributions representing 5,440.6521 Unit equivalents totaling $5,225.000. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 there were additional sales of 260,808.2644 Redeemable Units totaling $247,398,000 and General Partner contributions representing 2,582.5938 Unit equivalents totaling $2,451,000. (c)    Results of Operations. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit decreased 4.4% from $974.13 to $930.96. For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit increased 0.7% from $967.61 to $974.13. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 the Net Asset Value per Redeemable Unit decreased 3.2% from $1,000.00 to $967.61. The Partnership experienced net trading gains of $34,778,390 before commissions and expenses in 2005. Gains were primarily attributable to the trading in metals, indices, energy and non-U.S. interest rates and were partially offset by losses recognized in the trading of currencies, grains, livestock, softs and U.S. interest rates. Trading results for the year 2005 were 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 currencies, interest rates 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 substantial 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 government's decision to revalue the Chinese yuan. Interest rate trading was mixed with gains in non-US contracts reduced by losses in US interest The Partnership experienced net trading gains of $59,337,409 before commissions and expenses in 2004. Gains were primarily attributable to the trading in currencies, grains, energy, non-U.S. interest rates and livestock and were partially offset by losses recognized in the trading of U.S. interest rates, metals, indices and softs. Trading results for the year 2004 can be described in four distinct periods: the first two months of the year produced positive results with trends carrying over from late 2003, the next six months which saw  20      trend disruptions and trading losses, the period September through November which saw a recovery period, and finally the month of December which stands alone as essentially break-even. The net effect of these periods was a flat year for the Partnership's overall results. The year was heavily influenced by two historic trends: the decline 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. The year 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 Advisors. These trends persisted into 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 though June was such a period for nearly all of the Advisors as they adjusted positions from what had been profitable, long-term trends to choppy, directionless and volatile markets. Particularly treacherous and thus unprofitable was trading 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 the deteriorating security situation in Iraq, Saudi Arabia political turmoil, and renewed threats of terrorism. Long positions in the energy sector continued to provide profits to the Fund through the end of the third quarter and into the fourth quarter. Later in the fourth quarter the U.S. dollar began a rapid 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 Advisors and provided a solidly profitable October and November for the Partnership. December, in some respects, was a microcosm of the whole year with volatility across many markets, especially currencies and energy, with the net effect being a slight loss for the month and ultimately for the year. The Partnership experienced net trading gains of $16,990,227 before commissions and expenses for the period from May 1, 2003 (commencement of trading operations) to December 31, 2003. Gains were primarily attributable to the trading in currencies, grains, metals and indices and were partially offset by losses recognized in the trading of energy, U.S. and non-U.S. interest rates, livestock and softs. The decrease per Redeemable Unit does not correspond with the net trading gains presented above for the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 because of the timing of additions of the Partnership's Redeemable Units in relation to the fluctuating values of the Partnership's commodity interest. In the General Partner's opinion, the Advisors continue to employ trading methods and produce results consistent with their expected performance given market conditions and the objectives of the Partnership. 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. 21     The Partnership is directly exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace. Such risks include:  Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.  Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's ability to gather, process, and communicate information efficiently and 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 unit holders, creditors, and regulators, is free of material errors. (e)    Critical Accounting Policies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Partnership are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statement of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests. Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting dates, is included in the statement of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statement of income and expenses and partners' capital. 22     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. 23     Item 7A.    Quantitative and Qualitative Disclosures About Market Risk  Introduction The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Partnership's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership's main line of business. The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of Partnership assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law. Market movements result in frequent changes in the fair market value of the Partnership's open positions and, consequently, in its earnings and cash flow. The Partnership's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership's open positions and the liquidity of the markets in which it trades. The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk. Quantifying the Partnership's Trading Value at Risk The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period). The Partnership's risk exposure in the various market sectors traded by the 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).Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%–99% of any one-day intervals. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component which is not relevant to Value at Risk. In the case of market sensitive instruments which are not exchange traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers' margins have been used. 24     The fair value of the Partnership's futures and forward positions does not have any optionality component. However, the Advisors may trade commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this 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 tables indicate the trading Value at Risk associated with the Partnership's open positions by market category as of December 31, 2005 and December 31, 2004, the highest and lowest value at any point and the average value during the years. 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 $857,136,296.                               December 31, 2005   Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  LowValue at Risk  AverageValue at Risk*   Currencies:                                      — OTC Contracts  $  3,469,791      0.40 %   $  25,421,634    $  1,147,064    $  9,072,992     Energy    3,618,925      0.42 %     23,879,190      1,295,600      8,896,474     Grains    597,050      0.07 %     6,835,645      440,520      2,649,098     Interest Rates U.S.    1,499,000      0.18 %     10,409,895      524,908      4,362,743     Interest Rates Non-U.S.    2,020,839      0.24 %     23,876,268      848,259      9,543,086     Metals                                      — Exchange Traded Contracts    1,574,000      0.18 %     6,179,000      373,500      2,471,351     — OTC Contracts    248,874      0.03 %     8,647,496      121,420      2,851,734     Softs    1,656,923      0.19 %     7,005,716      310,350      3,606,255     Indices    5,229,141      0.61 %     32,959,102      796,491      12,321,295     Total  $  19,914,543      2.32 %                                                 * annual average of month-end value at risk   25     As of December 31, 2004, the Partnership's total capitalization was $804,324,637. December 31, 2004                               Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  LowValue at Risk  Average*Value at Risk   Currencies                                      — Exchange Traded Contracts  $ 6,168,675      0.77 %   $ 7,896,585    $ 2,342,467    $ 5,062,784     — OTC Contracts    20,212,414      2.51 %     21,558,596      1,193,312      7,636,903     Energy    6,910,590      0.86 %     20,502,971      1,889,218      10,481,798     Grains    2,502,746      0.31 %     6,367,828      1,736,123      3,917,353     Interest rates U.S.    7,116,320      0.88 %     11,627,100      2,427,725      7,439,171     Interest rates Non-U.S.    17,557,107      2.18 %     28,504,753      5,748,772      17,606,692     Livestock    83,200      0.01 %     936,000      83,200      345,892     Metals                                      — Exchange Traded Contracts    3,285,500      0.41 %     8,339,000      1,189,000      3,654,350     — OTC Contracts    5,621,228      0.70 %     8,455,171      502,700      2,939,704     Softs    5,214,112      0.65 %     5,214,785      802,515      3,310,904     Indices    30,860,207      3.84 %     31,858,750      3,953,380      13,707,732     Total  $ 105,532,099      13.12 %                                                 * annual average of month-end value at risk   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,  26      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 the other G-8 countries. However, the Partnership also takes futures positions on the government debt of smaller nations — e.g., Australia.  Currencies. The Partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic 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 dollar-based Partnership in expressing Value at Risk in a functional currency other than dollars.  Stock Indices. The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2005 the Partnership's primary exposures were in the EUREX and Chicago Mercantile Exchange (CME) stock indices. The General Partner anticipates little, if any, trading in non-G-8 stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being "whipsawed" into numerous small losses.)  Metals. The Partnership's primary metal market exposure is to fluctuations in the price of gold and silver. Although the Advisor will from time to time trade base metals such as copper, the principal market exposures of the Partnership have consistently been in the precious metals, gold and silver.  Softs. The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Coffee, cotton and sugar accounted for the substantial bulk of the Partnership's commodity exposure as of December 31, 2005.  Energy. The Partnership's primary energy market exposure is to natural 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 and Swiss francs. The Advisor regularly converts foreign currency balances to 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. 27     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 the Advisors to close out individual positions as well as enter certain positions traded 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. The Advisors apply their own risk management policies to their 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. 28     Item 8.    Financial Statements and Supplementary Data.  CITIGROUP DIVERSIFIED FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS                  Page Number   Oath or Affirmation  F-4   Management's Report on Internal Control over Financial Reporting  F-5   Reports of Independent Registered Public Accounting Firm  F-6 – F-7   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004.  F-8   Condensed Schedules of Investments at December 31, 2005 and 2004.  F-9 – F-10   Statements of Income and Expenses for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.          F-11   Statements of Changes in Partners' Capital for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.          F-12   Statements of Cash Flows for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.      F-13   Notes to Financial Statements.  F-14 – F-21   Selected Unaudited Quarterly Financial Data.  F-22   Financial Statements of SB AAA Master Fund LLC         Oath of Affirmation  F-23   Independent Auditor's Report  F-24   Statements of Financial Condition at December 31, 2005 and 2004  F-25   Condensed Schedules of Investments at December 31, 2005 and 2004  F-26 – F-27   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and     2003      F-28   Statements of Changes in Members' Capital for the years ended December 31, 2005, 2004     and 2003      F-29   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-30   Notes to Financial Statements  F-31 – F-34   Selected Unaudited Quarterly Financial Data  F-35   Financial Statements of CMF Aspect Master Fund L.P.         Oath of Affirmation  F-36   Independent Auditors' Report  F-37        F-1                      Page Number   Statement of Financial Condition at December 31, 2005  F-38   Condensed Schedule of Investments at December 31, 2005  F-39   Statement of Income and Expenses for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005      F-40   Statement of Changes in Partners' Capital for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005      F-41   Statement of Cash Flows for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005      F-42   Notes to Financial Statements  F-43 – F-46   Selected Unaudited Quarterly Financial Data  F-47       Financial Statements of CMF Capital Fund Management Master Fund L.P.      Oath of Affirmation  F-48   Independent Auditors' Report  F-49   Statement of Financial Condition at December 31, 2005  F-50   Condensed Schedule of Investments at December 31, 2005  F-51   Statement of Income and Expenses for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005  F-52   Statement of Changes in Partners' Capital for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005  F-53   Statement of Cash Flows for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005  F-54   Notes to Financial Statements  F-55 – F-58   Selected Unaudited Quarterly Financial Data  F-59   Financial Statements of CMF Drury Capital Master Fund L.P.      Oath of Affirmation  F-60   Independent Auditors' Report  F-61   Statement of Financial Condition at December 31, 2005  F-62   Condensed Schedule of Investments at December 31, 2005  F-63   Statement of Income and Expenses for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005      F-64   Statement of Changes in Partners' Capital for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005      F-65   Statement of Cash Flows for the period from August 1, 2005     (commencement of trading operations) to December 31, 2005      F-66   Notes to Financial Statements  F-67 – F-70   Selected Unaudited Quarterly Financial Data  F-71        F-2                      Page Number   Financial Statements of CMF Willowbridge Argo Master Fund L.P.         Oath of Affirmation  F-72   Independent Auditors' Report  F-73   Statement of Financial Condition at December 31, 2005  F-74   Condensed Schedule of Investments at December 31, 2005  F-75   Statement of Income and Expenses for the period from July 1, 2005     (commencement of trading operations) to December 31, 2005  F-76   Statement of Changes in Partners' Capital for the period from July 1, 2005     (commencement of trading operations) to December 31, 2005  F-77   Statement of Cash Flows for the period from July 1, 2005     (commencement of trading operations) to December 31, 2005  F-78   Notes to Financial Statements  F-79 – F-82   Selected Unaudited Quarterly Financial Data  F-83   Financial Statements of CMF Winton Master L.P.         Oath of Affirmation  F-84   Independent Auditors' Report  F-85   Statements of Financial Condition at December 31, 2005 and 2004  F-86   Condensed Schedules of Investments at December 31, 2005 and 2004  F-87 – F-88   Statements of Income and Expenses for the year ended December 31, 2005     and the period from November 1, 2004 (commencement of trading operations)     to December 31, 2004          F-89   Statements of Changes in Partners' Capital for the year ended December 31, 2005     and the period from November 1, 2004 (commencement of trading operations)     to December 31, 2004          F-90   Statements of Cash Flows for the year ended December 31, 2005 and the period     from November 1, 2004 (commencement of trading operations) to December 31, 2004      F-91   Notes to Financial Statements  F-92 – F-95   Selected Unaudited Quarterly Financial Data  F-96        F-3     To the Limited Partners ofCitigroup 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, Citigroup Diversified        Futures Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-4     Management's Report on Internal Control overFinancial Reporting The management of Citigroup Diversified Futures Fund L.P. (the "Partnership"), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership's internal control system was designed to provide reasonable assurance to the Partnership's management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation. Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management's authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures. The Partnership's management assessed the effectiveness of the Partnership's internal control over financial reporting as of December  31, 2005 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December  31, 2005, the Partnership's internal control over financial reporting is effective. Management's assessment of the effectiveness of the Company's internal control over financial reporting as of December  31, 2005 has been audited by KPMG LLP, the Partnership's independent registered public accounting firm, as stated in their reports appearing on the following pages, which express unqualified opinions on management's assessment and on the effectiveness of the Partnership's internal control over financial reporting as of December  31, 2005. F-5     Report of Independent Registered Public Accounting Firm To the Partners of Citigroup Diversified Futures Fund L.P.: We have audited management's assessment, included in the accompanying Management's Report on Internal Control Over Financial Reporting, that Citigroup Diversified Futures Fund L.P. (the "Partnership") maintained effective internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). The Partnership's management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express an opinion on management's assessment and an opinion on the effectiveness of the Partnership's internal control over financial reporting based on our audit. We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, evaluating management's assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion. A partnership's internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A partnership's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management and directors of the partnership; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the partnership's assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. In our opinion, management's assessment that Citigroup Diversified Futures Fund L.P. maintained effective internal control over financial reporting as of December 31, 2005, is fairly stated, in all material respects, based on criteria established in Internal Control—Integrated Framework issued by COSO. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by COSO. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of financial condition of the Partnership, including the condensed schedules of investments, as of December 31, 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 two-year period ended December 31, 2005 and the period from May 1, 2003 (commencement of trading operations) through December 31, 2003, and our report dated March 13, 2006 expressed an unqualified opinion on those financial statements.                                                        New York, New York March 13, 2006 F-6     Report of Independent Registered Public Accounting Firm To the Partners of Citigroup Diversified Futures Fund L.P.: We have audited the accompanying statements of financial condition of Citigroup 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 two-year period ended December 31, 2005 and the period from May 1, 2003 (commencement of trading operations) through December 31, 2003. 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 Citigroup 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 two-year period ended December 31, 2005 and the period from May 1, 2003 (commencement of trading operations) through December 31, 2003, in conformity with U.S. generally accepted accounting principles. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"), and our report dated March 13, 2006 expressed an unqualified opinion on management's assessment of, and the effective operation of, internal control over financial reporting.                                                New York, New York March 13, 2006 F-7     Citigroup Diversified Futures Fund L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Investment in Partnerships, at fair value (Note 5)  $ 667,759,623    $ 57,073,106     Equity in commodity futures trading account:                 Cash (restricted $22,985,532 and $119,287,343 in 2005 and 2004, respectively) (Note 3c)    208,332,148      728,159,165     Net unrealized appreciation on open futures positions    —      19,416,585     Unrealized appreciation on open forward contracts    4,784,209      32,674,362          880,875,980      837,323,218     Interest receivable (Note 3c)    502,917      976,727        $ 881,378,897    $ 838,299,945     Liabilities and Partners' Capital:                 Liabilities:                 Net unrealized depreciation on open futures positions  $ 1,263,893    $ —     Unrealized depreciation on open forward contracts    3,146,365      18,298,153     Accrued expenses:                 Commissions (Note 3c)    4,096,436      3,819,869     Management fees (Note 3b)    1,426,974      1,328,919     Incentive fees (Note 3b)    3,507,443      592,879     Professional fees    98,721      88,888     Other    38,716      34,243     Due to CGM for offering costs (Note 7)    94,719      308,668     Redemptions payable (Note 6)    10,569,334      9,503,689          24,242,601      33,975,308     Partners' capital: (Notes 1 and 6)                 General Partner, 8,799.7212 and 8,389.2459 Units equivalents outstanding in 2005 and 2004, respectively    8,192,188      8,172,216     Limited Partners, 911,901.3814 and 817,298.4645 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    848,944,108      796,152,421          857,136,296      804,324,637        $ 881,378,897    $ 838,299,945          See accompanying notes to financial statements. F-8     Citigroup Diversified Futures Fund, L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Energy  $                (5,580,168 )     (0.65 )%    Grains    (5,200 )     (0.00) *    Indices    1,075,454      0.13     Interest Rates Non-U.S.    179,277      0.02     Metals    2,783,890      0.32     Softs    2,592,168      0.30     Total futures contracts purchased    1,045,421      0.12     Futures Contracts Sold                 Energy    195,765      0.02     Grains    (308,795 )     (0.04 )    Indices    15,052      0.00 *    Interest Rates U.S.    (656,698 )     (0.08 )    Interest Rates Non-U.S.    (385,834 )     (0.04 )    Softs    (1,168,804 )     (0.13 )    Total futures contracts sold    (2,309,314 )     (0.27 )    Unrealized Appreciation on Forward Contracts                 Currencies    2,661,556      0.31     Metals    2,122,653      0.25     Total unrealized appreciation on forward contracts    4,784,209      0.56     Unrealized Depreciation on Forward Contracts                 Currencies    (1,753,794 )     (0.21 )    Metals    (1,392,571 )     (0.16 )    Total unrealized depreciation on forward contracts    (3,146,365 )     (0.37 )    Investment in Partnerships                 CMF Drury Capital Master Fund L.P.    127,905,544      14.92     CMF Willowbridge Argo Master Fund L.P.    96,524,350      11.26     CMF Aspect Master Fund L.P.    131,198,236      15.31     CMF Capital Fund Management Master Fund L.P.    167,920,417      19.59     CMF Winton Master Fund L.P.    90,342,493      10.54     SB AAA Master Fund LLC    53,868,583      6.29     Total Investment in Partnerships    667,759,623      77.91                       Total Fair Value  $  668,133,574      77.95  %                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding   See accompanying notes to financial statements. F-9     Citigroup Diversified Futures Fund, L.P. Condensed Schedule of Investments December 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $  4,029,221      0.50 %    Energy    (1,230,660 )     (0.15 )    Grains    (4,696 )     (0.00) *    Indices    6,521,468      0.81     Interest Rates U.S.    399,910      0.05     Interest Rates Non-U.S.    2,491,234      0.31     Livestock    169,360      0.02     Metals    (737,507 )     (0.09 )    Softs    4,024,323      0.50     Total futures contracts purchased    15,662,653      1.95     Futures Contracts Sold                 Currencies    180,119      0.02     Energy    3,130,707      0.39     Grains    946,876      0.12     Indices    (508,933 )     (0.06 )    Interest Rates U.S.    916,168      0.11     Interest Rates Non-U.S.    (55,672 )     (0.01 )    Metals    (1,694 )     (0.00) *    Softs    (853,639 )     (0.11 )    Total futures contracts sold    3,753,932      0.46     Unrealized Appreciation on Forward Contracts                 Currencies    24,692,776      3.07     Metals    7,981,586      0.99     Total unrealized appreciation on forward contracts    32,674,362      4.06     Unrealized Depreciation on Forward Contracts                 Currencies    (7,952,347 )     (0.99 )    Metals    (10,345,806 )     (1.28 )    Total unrealized depreciation on forward contracts    (18,298,153 )     (2.27 )    Investment in Partnership                 CMF Winton Master Fund L.P.    57,073,106      7.10     Total Fair Value  $  90,865,900      11.30 %                Percentages are based on Partner's capital unless otherwise indicated          * Due to rounding   See accompanying notes to financial statements. F-10     Citigroup Diversified Futures Fund L.P.Statements of Income and Expensesfor the years ended December 31, 2005 and 2004 and the period May 1, 2003(commencement of trading operations)to December 31, 2003                              2005  2004  2003      Income:                               Net gains (losses) on trading of commodity interests:                               Realized gains (losses) on closed positions and foreign currencies  $                (49,941,257 )   $ 60,105,069    $                (17,171,840 )           Change in unrealized gains (losses) on open positions and investment in Partnership    84,719,647      (767,660 )     34,162,067                 34,778,390      59,337,409      16,990,227            Interest income (Note 3c)    9,793,423      6,258,171      783,265                 44,571,813      65,595,580      17,773,492            Expenses:                               Brokerage commissions including clearing fees of $2,264,582, $1,739,972 and $234,658, respectively (Note 3c)    49,582,184      38,203,750      6,933,408            Management fees (Note 3b)    16,071,249      11,565,417      2,250,400            Incentive fees (Note 3b)    11,795,091      7,218,626      3,882,573            Organizational costs    —      —      22,090            Professional fees    952,333      881,930      315,800            Other expenses    184,295      149,126      224,464                 78,585,152      58,018,849      13,628,735            Net income (loss)  $                (34,013,339 )   $ 7,576,731    $ 4,144,757            Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 8)  $                (43.17 )   $ 6.52    $(15.76)*                     *  The amount shown per Redeemable Unit does not correspond with the net income presented above because of the timing of additions of the Partnership's Redeemable Units in relation to the fluctuating values of the Partnership's commodity interests.   See accompanying notes to financial statements. F-11     Citigroup Diversified Futures Fund L.P.Statements of Changes in Partners' Capitalfor the years ended December 31, 2005 and 2004 and the period May 1, 2003(commencement of trading operations)to December 31, 2003                          LimitedPartners  GeneralPartner  Total   Partners' capital at May 1, 2003 (commencement of trading operations)  $ 36,000,631    $ 353,459    $ 36,354,090     Net income    4,096,127      48,630      4,144,757     Sale of 260,808.2644 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 2,582.5938 Unit equivalents    247,398,000      2,451,000      249,849,000     Redemption of 6,310.1334 Redeemable Units of Limited Partnership Interest    (5,808,589 )     —      (5,808,589 )    Partners' capital at December  31, 2003    281,686,169      2,853,089      284,539,258     Net income    7,482,604      94,127      7,576,731     Sale of 592,983.3592 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 5,440.6521 Unit equivalents    569,528,000      5,225,000      574,753,000     Redemption of 66,799.0257 Redeemable Units of Limited Partnership Interest    (62,544,352 )     —      (62,544,352 )    Partners' capital at December  31, 2004    796,152,421      8,172,216      804,324,637     Net loss    (33,633,311 )     (380,028 )     (34,013,339 )    Sale of 262,016.6130 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 410.4753 Unit equivalents    237,710,000      400,000      238,110,000     Redemption of 167,413.6961 Redeemable Units of Limited Partnership Interest    (151,285,002 )     —      (151,285,002 )    Partners' capital at December 31, 2005  $ 848,944,108    $ 8,192,188    $ 857,136,296           Net Asset Value per Redeemable Unit:                2003  $ 967.61     2004  $ 974.13     2005  $ 930.96          See accompanying notes to financial statements. F-12     Citigroup Diversified Futures Fund L.P.Statements of Cash Flowsfor the years ended December 31, 2005 and 2004 and the period May 1, 2003(commencement of trading operations)to December 31, 2003                              2005  2004  2003      Cash flows from operating activities:                               Net income (loss)  $                (34,013,339 )   $ 7,576,731    $ 4,144,757            Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                               Changes in operating assets and liabilities:                               (Increase) decrease in restricted cash    96,301,811      (67,810,242 )     (51,477,101 )           Purchase of investment in Partnership's    (685,990,115 )     (57,471,492 )     —            Proceeds from sale of investments in Partnership's    160,371,426      (75,405 )     —            Net unrealized appreciation (depreciation) on investment in Partnership's    (85,067,828 )     473,791      —            (Increase) decrease in net unrealized appreciation on open futures positions    19,416,585      (1,616,564 )     (17,800,021 )           (Increase) decrease in unrealized appreciation on open forward contracts    27,890,153      (2,297,200 )     (30,377,162 )           (Increase) decrease in interest receivable    473,810      (820,104 )     (156,623 )           Increase (decrease) in net unrealized depreciation on open futures positions    1,263,893      —      —            Increase (decrease) in unrealized depreciation on open forward contracts    (15,151,788 )     4,283,037      14,015,116            Accrued expenses:                               Increase (decrease) in commissions    276,567      2,456,429      1,363,440            Increase (decrease) in management fees    98,055      836,316      492,603            Increase (decrease) in incentive fees    2,914,564      (3,289,694 )     3,882,573            Increase (decrease) in professional fees    9,833      (226,602 )     315,490            Increase (decrease) in other    4,473      (168,945 )     203,188            Increase (decrease) in due to CGM    (213,949 )     (196,014 )     (123,228 )           Net cash provided by (used in) operating activities    (511,415,849 )     (118,345,958 )     (75,516,968 )                                           Cash flows from financing activities:                               Proceeds from additions – Limited Partners    237,710,000      569,528,000      247,398,000            Proceeds from additions – General Partner    400,000      5,225,000      2,451,000            Payments for redemptions – Limited Partners    (150,219,357 )     (53,637,038 )     (5,212,214 )           Net cash provided by (used in) financing activities    87,890,643      521,115,962      244,636,786            Net change in cash    (423,525,206 )     402,770,004      169,119,818            Unrestricted cash, at beginning of year    608,871,822      206,101,818      36,982,000            Unrestricted cash, at end of year  $ 185,346,616    $ 608,871,822    $ 206,101,818                 See accompanying notes to financial statements. F-13     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements 1.    Partnership Organization: Citigroup Diversified Futures Fund L.P. (the "Partnership") is a limited partnership which was organized under the partnership laws of the State of New York on December  3, 2002 to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 redeemable units of Limited Partnership Interest ("Redeemable Units") were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell 300,000 Redeemable Units of Limited Partnership Interest during its initial offering period. As of December 4, 2003, and October 7, 2004 the Partnership was authorized to sell an additional 700,000 and 1,000,000, respectively, Redeemable Units of Limited Partnership Interest. The Partnership continues to offer Redeemable Units. 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. ("Citigroup"). The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of their initial capital contribution and profits, if any, net of distributions. The Partnership will be liquidated upon the first to occur of the following: December 31, 2022; 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 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.           The value of the Partnership's investment in other partnerships reflects the Partnership's proportional interest in the other partnerships.         b.  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.         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.   F-14     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements 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 Partnership, has entered into Management Agreements with Drury Capital, Inc. ("Drury"), Graham Capital Management L.P. ("Graham"), John W. Henry & Company, Inc. ("JWH"), Willowbridge Associates Inc. ("Willowbridge"), Aspect Capital Limited ("Aspect"), Capital Fund Management S.A. ("CFM"), Winton Capital Management Limited ("Winton") and AAA Capital Management, Inc. ("AAA") (collectively, the "Advisors"), each of which is a registered commodity trading advisor. On January 1, 2004 Aspect and CFM were added as Advisors to the Partnership. On December 1, 2004 Winton was added as an Advisor to the Partnership. On October 1, 2005, AAA was added as an Advisor to the Partnership. 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 each Advisor a monthly management fee equal to  1/6 of 1% (2% per year), except for Aspect, which will receive a monthly management fee equal to  1/12 of 1.5% (1.5% per year), of month-end Net Assets allocated to the Advisor. Month-end Net Assets, for the purpose of calculating management fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees.           In addition, the Partnership is obligated to pay each Advisor an incentive fee payable quarterly equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned by each Advisor for the Partnership.         c.  Customer Agreement:           The Partnership has entered into a Customer Agreement which provides that the Partnership will pay CGM a brokerage fee equal to 5.5% per year calculated and paid monthly based on ..46% 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 advisors who have sold Redeemable Units in the Partnership. 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 for 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 $22,985,532 and $119,287,343, respectively. CGM has agreed to pay the Partnership interest on 80% of the average daily equity maintained in cash in the Partnership's account during each month. The interest is earned 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.   F-15     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements 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. 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, were $16,839,471 and $29,688,849, respectively. 5.    Investment in Partnerships: During 2004, the General Partner entered into a Management Agreement with Winton Capital Management Limited ("Winton"). On December 1, 2004, the cash allocated to Winton for trading was allocated to the CMF Winton Master L.P. ("Winton Master") a limited partnership which was organized under the partnership laws of the State of New York. With this cash, the Partnership purchased 52,981.2908 Units of the Winton Master with a fair value of $57,471,493. The Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of the Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to be 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.  On March 1, 2005, the cash allocated to Aspect for trading was allocated to the CMF Aspect Master Fund L.P. ("Aspect Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 131,340.8450 Units of Aspect Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward positions with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process. On July 1, 2005, the cash allocated to Willowbridge for trading was allocated to the CMF Willowbridge Argo Master Fund L.P. ("Willowbridge Master"), a limited partnership organized under the partnership laws of the State of New York. The partnership purchased 95,795.8082 Units of Willowbridge Master with cash equal to $85,442,868 and a contribution of open futures and forward positions with a fair value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Program to invest together in one trading vehicle. The General Partner of the Partnership 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. On August 1, 2005, the cash allocated to Drury for trading was allocated to the CMF Drury Capital Master Fund L.P. ("Drury Master"), a limited partnership organized under the partnership laws of the State of New York. The partnership purchased 120,720.7387 Units of Drury Master with cash equal to $117,943,205 and a contribution of open futures and forward positions with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Program to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process. F-16     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements On August 1, 2005, the cash allocated to CFM for trading was allocated to the CMF Capital Fund Management Master Fund L.P. ("CFM Master"), a limited partnership organized under the partnership laws of the State of New York. The partnership purchased 159,434.0631 Units of CFM Master with cash equal to $157,804,021 and a contribution of open futures and forward positions with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discuss Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process. During 2005, the General Partner entered into Management Agreement with AAA Capital Management, Inc. ("AAA"). On October 1, 2005, the cash allocated to AAA for trading was allocated to the SB AAA Master Fund LLC ("AAA Master") a limited liability company which was organized under the limited liability company laws of the State of New York. With this cash, the Partnership purchased 13,956.1190 Units of the AAA Master with a fair value of $50,000,000. The AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program with swaps, to invest in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pool accounts currently managed by AAA, including the Partnership are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process. The Winton Master's, Aspect Master's, Drury Master's, Willowbridge Master's, CFM Master's and AAA 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. It engages in such trading through a commodity brokerage account maintained with CGM. A limited partner may withdraw all or part of his 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 not directly charged to the investments presented below. These fees are charged at the Partnership level as discussed in Note 3. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master Funds. All other fees including CGM's direct brokerage commission are charged at the Partnership level. At December 31, 2005, the Partnership owned 50.46%, 67.18%, 96.03%, 56.74%, 96.60% and 5.62%, respectively, of the Winton Master, Aspect Master, Drury Master, Willowbridge Master, CFM Master and AAA Master. At December 31, 2004, the Partnership owns 49.5% of the Winton Master. It is the intention of the Partnership to continue to invest in the Master Funds. The performance of the Partnership is directly affected by the performance of the Master Funds. Expenses to investors as a result of investment in the Master Funds are approximately the same and the redemption rights are not affected. F-17     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements 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   Aspect Master  $  200,507,575    $  5,680,632    $  194,826,943     AAA Master    1,253,296,106      299,213,954      954,082,152     CFM Master    173,850,276      449,771      173,400,505     Drury Master    139,528,502      6,629,011      132,899,491     Willowbridge Master    170,157,028      474,977      169,682,051     Winton Master    182,130,723      3,524,134      178,606,589     Total  $  2,119,470,210    $ 315,972,479    $ 1,803,497,731                                   December 31, 2004      Investments' Total Assets  Investments' Total Liabilities  Investments' Total Capital   Winton Master  $  116,230,069    $  1,104,740    $  115,125,329          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  FairValue  Income(Loss)  Commissions  Other  NetIncome(Loss)  InvestmentObjective  RedemptionsPermitted   For the year ended December 31, 2005   Aspect Master    15.31 %   $  131,198,236    $  22,025,350    $  289,291    $  43,111    $  21,692,948    CommodityPortfolio    Monthly     AAA Master    6.29 %     53,868,583      4,396,240      191,822      11,091      4,193,327    CommodityPortfolio    Monthly     CFM Master    19.59 %     167,920,417      40,162,845      1,555,362      19,261      38,588,222    CommodityPortfolio    Monthly     Drury Master    14.92 %     127,905,544      13,892,680      404,391      43,232      13,445,057    CommodityPortfolio    Monthly     Willowbridge Master    11.26 %     96,524,350      6,636,460      199,747      17,704      6,419,009    CommodityPortfolio    Monthly     Winton Master    10.54 %     90,342,493      11,121,005      603,483      29,123      10,488,399    CommodityPortfolio    Monthly     Total         $  667,759,623    $  98,234,580    $  3,244,096    $  163,522    $  94,826,962               For the year ended December 31, 2004   Winton Master    7.10 %   $ 57,073,106    $                (329,280 )   $ 63,166    $ 5,941    $                (398,387 )   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 Redemption value per Redeemable Unit as of the last day of each month ending at least three months after their issuance on ten days notice to the General Partner. For the purpose of redemption, any accrued liability for reimbursement of offering and organization expenses for the initial offering period will not reduce Redemption value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions. F-18     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements 7.    Offering and Organization Costs: Offering and organization costs of $650,000 relating to the issuance and marketing of the Partnership's Redeemable Units offered were initially paid by CGM. These costs have been recorded as due to CGM in the statement of financial condition. These costs are being reimbursed to CGM by the Partnership in 36 monthly installments (together with interest at the prime rate quoted by JPMorgan Chase & Co.). For the years ended December 31, 2005 and 2004 and the period from May 1, 2003 to December  31, 2003, $213,949, $196,014 and $145,318, respectively of these costs have been reimbursed to CGM by the Partnership. In addition, the Partnership has recorded interest expense of $8,238, $16,979 and $16,464 for the years ended December 31, 2005 and 2004 and the period from May  1, 2003 to December  31, 2003, which is included in other expenses. The remaining liability for these costs due to CGM of $94,719 (exclusive of interest charges) will not reduce Net Asset Value per Redeemable Unit for any purpose, including calculation of advisory and brokerage fees and the redemption value of Redeemable Units. 8.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December   31, 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $                (22.73 )   $ 34.30    $ 19.70     Interest income    10.64      9.25      4.66     Expenses**    (31.08 )     (37.03 )     (40.12 )    Increase (decrease) for the period    (43.17 )     6.52      (15.76 )    Net asset value per Redeemable Unit, beginning of period    974.13      967.61      1,000.00     Offering cost adjustment    —      —      (16.63 )    Net Asset Value per Redeemable Unit, end of period  $ 930.96    $ 974.13    $ 967.61     Redemption/subscription value per Redeemable Unit versus net asset value per Redeemable Unit    0.08      0.35      1.67     Redemption/subscription value per Redeemable Unit, end of period***  $ 931.04    $ 974.48    $ 969.28                * Includes brokerage commissions         ** Excludes brokerage commissions         *** For the purpose of a redemption/subscription, any remaining accrued liability for reimbursement of offering and organization costs will not reduce redemption/subscription net asset value per redeemable unit.   F-19     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements                          2005  2004  2003****   Ratios to average net assets:                        Net investment loss before incentive fees*****    (6.9 )%     (7.8 )%     (8.9 )%    Operating expenses    8.1 %     8.9 %     9.6 %    Incentive fees    1.4 %     1.3 %     2.6 %    Total expenses    9.5 %     10.2 %     12.2 %    Total return:                        Total return before incentive fees    (3.1 )%     1.6 %     1.6 %    Incentive fees    (1.3 )%     (0.9 )%     (3.2 )%    Total return after incentive fees    (4.4 )%     0.7 %     (1.6 )%               **** Ratios to average net assets other than incentive fees are annualized.         ***** 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. 9.    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 a counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership's/Master's risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the statement of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has 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/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 Partnership/ F-20     Citigroup Diversified Futures Fund L.P.Notes to Financial Statements  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 Partnership's/Master's business, these instruments may not be held to maturity. F-21     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and 2004 are summarized below:                              For the period from October 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  $ 18,906,648    $ 45,500,981    $                (23,509,735 )   $                (45,908,265 )    Net Income (loss)  $ 10,810,034    $ 36,162,716    $                (30,361,390 )   $                (50,624,699 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $ 11.55    $ 37.90    $                (33.38 )   $                (59.24 )                                      For the period from October 1, 2004 to December 31, 2004  For the period from July 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) net of brokerage commissions and clearing fees plus interest income  $ 76,558,618    $                (1,989,096 )   $                (91,337,959 )   $ 44,160,267     Net income (loss)  $ 71,539,727    $                (5,429,573 )   $                (94,044,545 )   $ 35,511,122     Increase (decrease) in Net Asset Value per Redeemable Unit  $ 88.79    $                (8.58 )   $                (163.93 )   $ 90.24          F-22     To the Members ofSB AAA Master Fund LLC 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          Managing Member, SB AAA Master Fund LLC         Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-23     Independent Auditors' Report To the Members ofSB AAA Master Fund LLC: We have audited the accompanying statements of financial condition of SB AAA Master Fund LLC (the "Company"), including the condensed schedules of investments, as of December  31, 2005 and 2004, and the related statements of income and expenses, changes in members' 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 Company'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 Company 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 Company'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 SB AAA Master Fund LLC as of December  31, 2005 and 2004, and the results of its operations, changes in its members' 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-24     SB AAA Master Fund LLCStatements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Cash (restricted $4,130,046 and $29,327,275, respectively)  $ 557,878,760    $ 302,866,457     Net unrealized appreciation on open futures positions    260,548,395      33,027,068     Unrealized appreciation on open swaps contracts    193,692,178      93,606,729     Commodity options owned, at fair value (cost $129,024,667 and $39,565,244, respectively)    225,052,075      51,017,766          1,237,171,408      480,518,020     Due from brokers    14,310,966      2,425,135     Interest receivable    1,813,732      459,835        $ 1,253,296,106    $ 483,402,990                       Liabilities and Members' Capital:                 Liabilities:                 Unrealized depreciation on open swap contracts  $ 165,265,325    $ 89,659,294     Commodity options written, at market value (premium $147,363,753 and $54,943,984, respectively)    114,859,048      52,353,395     Accrued expenses:                 Commissions    3,198,816      1,662,591     Professional fees    143,268      2,000     Due to brokers    13,948,544      2,753,610     Due to CGM    —      22,978     Distribution Payable    1,798,953      453,587          299,213,954      146,907,455     Members' Capital:                 Members' Capital, 246,785.2714 and 185,364.2361 Units outstanding in 2005 and 2004, respectively    954,082,152      336,495,535        $ 1,253,296,106    $ 483,402,990           See accompanying notes to financial statements.  F-25     SB AAA Master Fund LLCCondensed Schedule of InvestmentsDecember 31, 2005                          Number ofContracts  Fair Value  % of Partners'Capital   Futures Contracts Purchased                        Energy                        NYMEX Henry Hub Natural Gas Swap- April 07 - Dec. 09    6,496    $ 61,657,788      6.46 %    NYMEX Natural Gas Aug. 06 - Dec. 10    9,869      107,175,497      11.23     Other           45,857,146      4.81     Total futures contracts purchased           214,690,431      22.50                              Futures Contracts Sold                        Energy           45,857,964      4.81     Total futures contracts           260,548,395      27.31                              Options Owned                        Energy                        NYMEX Natural Gas Feb. 06 - July 06    4,778      78,598,570      8.24     Other           146,453,505      15.35     Total options owned           225,052,075      23.59                              Options Written                        Energy           (114,859,048 )     (12.04 )                             Unrealized Appreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,750      67,563,451      7.08     Other           126,128,727      13.22     Total unrealized appreciation on swap contracts           193,692,178      20.30                              Unrealized Depreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,750      (65,229,496 )     (6.84 )    Other           (100,035,829 )     (10.48 )    Total depreciation on swap contracts           (165,265,325 )     (17.32 )    Total Energy Fair Value         $ 399,168,275      41.84 %                Percentages are based on Members' Capital unless otherwise indicated.    See accompanying notes to financial statements.  F-26     SB AAA Master Fund LLCCondensed Schedule of InvestmentsDecember 31, 2004                          Number ofContracts  Fair Value  % of Partners'Capital   Futures Contracts Purchased                        Energy         $ 1,240,430      0.37 %                             Futures Contracts Sold                        Energy                        NYMEX Natural Gas Feb. 05 - May 09    2,626      22,776,795      6.77     Other           9,009,843      2.68     Total futures contracts sold           31,786,638      9.45                              Options Owned                        Energy           51,017,766      15.16                              Options Written                        Energy                        NYMEX Natural Gas Feb. 05 - Jan 06    6,992      (25,794,540 )     (7.67 )    Other           (26,558,855 )     (7.89 )    Total futures contracts written           (52,353,395 )     (15.56 )                             Unrealized Appreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2005     1,080      23,491,972      6.98     NYMEX Heating Oil Calendar 2006    1,450      21,867,545      6.50     Other           48,247,212      14.34     Total unrealized appreciation on swap contracts           93,606,729      27.82                              Unrealized Depreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,450      (18,846,201 )     (5.60 )    NYMEX Unleaded Gas Calendar 2005    820      (21,159,503 )     (6.29 )    Other           (49,653,590 )     (14.76 )    Total depreciation on swap contracts           (89,659,294 )     (26.65 )                             Total Energy Fair Value         $ 35,638,874      10.59 %                Percentages are based on Members' Capital unless otherwise indicated.    See accompanying notes to financial statements.  F-27     SB AAA Master Fund LLCStatements 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  $ 75,334,314    $ 98,726,739    $                (89,228,388 )    Change in unrealized gains on open positions    366,489,747      28,044,756      12,929,224          441,824,061      126,771,495      (76,299,164 )    Interest income    13,332,089      3,078,611      2,459,477          455,156,150      129,850,106      (73,839,687 )                             Expenses:                        Brokerage commissions including clearing fees of $1,569,668 $1,255,894 and $2,041,075, respectively    13,333,992      9,941,386      14,015,096     Professional fees    107,937      68,096      210,070          13,441,929      10,009,482      14,225,166     Net income (loss)  $ 441,714,221    $ 119,840,624    $                (88,064,853 )    Net income (loss) per Unit of Member Interest (Notes 1 and 6)  $ 2,112.50    $ 622.49    $                (400.99 )          See accompanying notes to financial statements.  F-28     SB AAA Master Fund LLCStatements of Changes in Members' Capitalfor the years ended December 31, 2005, 2004 and 2003                  Members'Capital   Members' Capital at December 31, 2002  $ 350,283,453     Net Loss    (88,064,853 )    Sale of 39,745.9253 Units of Member Interest    54,393,460     Redemptions of 44,880.6036 Units of Member Interest    (59,184,213 )    Distribution of Interest to feeder funds    (2,370,210 )    Members' Capital at December 31, 2003    255,057,637     Net Income    119,840,624     Sale of 20,423.0579 Units of Member Interest    32,767,686     Redemption of 46,082.5538 Units of Member Interest    (68,133,449 )    Distribution of Interest to feeder funds    (3,036,963 )    Members' Capital at December 31, 2004    336,495,535     Net Income    441,714,221     Sale of 99,379.4923 Units of Member Interest    288,276,627     Redemption of 37,958.4570 Units of Member Interest    (99,220,693 )    Distribution of Interest to feeder funds    (13,183,538 )    Members' Capital at December 31, 2005  $ 954,082,152          Net Asset Value Per Unit:                  2003:  $ 1,208.66     2004:  $ 1,815.32     2005:  $ 3,866.04           See accompanying notes to financial statements.  F-29     SB AAA Master Fund LLCStatements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net Income (loss)  $ 441,714,221    $ 119,840,624    $                (88,064,853 )    Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        (Increase) decrease in restricted cash    25,197,229      19,144,722      5,050,258     (Increase) decrease in net unrealized appreciation/depreciation on open futures positions    (227,521,327 )     (24,181,529 )     342,944     (Increase) decrease in unrealized appreciation on open swaps contracts    (100,085,449 )     (43,512,817 )     (12,082,141 )    (Increase) decrease in commodity options owned at fair value    (174,034,309 )     (8,387,536 )     40,621,872     (Increase) decrease in due from brokers    (11,885,831 )     (276,445 )     10,447,102     (Increase) decrease in interest receivable    (1,353,897 )     (300,785 )     124,570     Increase (decrease) in unrealized depreciation on open swap contracts    75,606,031      71,004,728      (29,815,656 )    Increase (decrease) in commodity options written, at fair value    62,505,653      (5,451,202 )     (9,920,180 )    Accrued expenses:                        Increase (decrease) in commissions    1,536,225      (7,834 )     (3,539,742 )    Increase (decrease) in professional fees    141,268      (57,625 )     39,508     Increase (decrease) in due to brokers    11,194,934      938,595      273,792     Increase (decrease) in due to CGM    (22,978 )     —      —     Net cash provided by (used in) operating activities    102,991,770      128,752,896      (86,522,526 )    Cash flows from financing activities:                        Proceeds from additions     288,276,627      32,767,686      54,393,460     Payments for redemptions     (99,220,693 )     (68,133,449 )     (59,184,213 )    Distribution of interest to feeder funds    (11,838,172 )     (2,737,057 )     (2,493,437 )    Net cash provided by (used in) financing activities    177,217,762      (38,102,820 )     (7,284,190 )    Net change in cash    280,209,532      90,650,076      (93,806,716 )    Unrestricted cash, at beginning of year    273,539,182      182,889,106      276,695,822     Unrestricted cash, at end of year  $ 553,748,714    $ 273,539,182    $ 182,889,106           See accompanying notes to financial statements.  F-30     SB AAA Master Fund LLCNotes to Financial Statements 1.    General: SB AAA Master Fund LLC (the "Master") is a limited liability company formed under the New York Limited Liability Company Law. The Master's purpose is to engage in the speculative trading of a diversified portfolio of commodity interests including commodity futures contracts and commodity options contracts on United States exchanges and certain foreign exchanges. The Master may trade commodity futures and option contracts of any kind but intends initially to trade solely energy and energy related products. In addition, the Master may enter into swap contracts. The Master is authorized to sell an unlimited number of units ("Units") of member interest. On September 1, 2001 (date Master commenced trading), Smith Barney AAA Energy Fund  L.P. ("AAA") allocated substantially all of its capital and Salomon Smith Barney Orion Futures Fund L.P. ("Orion") allocated a portion of its capital to the Master. With this cash, the Partnerships purchased 133,712.5867 Units of the Master with a fair value of $133,712,587 (including unrealized appreciation of $7,755,035). On July 1, 2002, Salomon Smith Barney AAA Energy Fund L.P. II ("AAA II") allocated substantially all of its capital to the Master and purchased 64,945.0387 Units with a fair value of $94,925,000. On November 1, 2003, Pinnacle Natural Resources, L.P. ("Pinnacle") allocated a portion of its capital to the Master and purchased 1,104.9839 Units with a fair value of $1,500,000. On October 1, 2005, Citigroup Diversified Futures Fund L.P. ("CitiDiv") allocated a portion of its capital to the Master and purchased 13,956.1190 Units with a fair value of $50,000,000. On July 1, 2005, CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of its capital to the Master and purchased 2,386.2338 Units with a fair value of $7,000,000. On November 1, 2005, a private investor ("private investor") purchased 1,196.6879 Units with a fair value of $4,000,000. The Master was formed to permit commodity pools managed now or in the future by AAA Capital Management, Inc. (the "Advisor") using the Energy with Swaps Program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master operates under a structure where its investors consist of AAA, AAA II, CitiDiv, CMF Institutional, private investor, Orion and Pinnacle Natural Resources, LP (each a "Member", collectively the "Funds") with 32.3%, 52.5%, 5.6%, 0.6%, 1.0%, 6.9% and 1.1% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC acts as the managing member (the "Managing Member") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the Managing Member. The Managing Member 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. 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 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 or other measures of fair value deemed appropriate by management of the Managing Member 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 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.   F-31     SB AAA Master Fund LLCNotes to Financial Statements       b.  The Master 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 Master writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the statements of financial condition and marked to market daily.         c.  All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination.         d.  Income taxes have not been provided as each partner of each of the members (the Funds) is individually liable for the taxes, if any, on their share of the Master's income and expenses.         e.  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, and 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.  Certain prior period amounts have been reclassified to conform to current year presentation.         3.  Agreements:         a.  Managing Member Agreement:   The Managing Member administers the business affairs of the Master.       b.  Management Agreement:   The Managing Member, on behalf of the Master has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is affiliated with the Managing Member and CGM but is not responsible for the organization or operation of the Master. 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 shall be 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. The Master will pay CGM brokerage commissions at $18 per round turn for futures, options and swap transactions. The brokerage fee is inclusive of applicable floor brokerage. All exchange, clearing, user, give-up and National Futures Association fees are borne by the Master. All other fees (management fees, administrative fees, incentive fees and offering costs) shall be borne by the Funds. All of 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 $4,130,046 and $29,327,275, 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 by either party. All commissions in connection with the Customer Agreement shall be borne by the Funds. F-32     SB AAA Master Fund LLCNotes to Financial Statements 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 instruments. 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 values for the years ended December 31, 2005 and 2004 based on a monthly calculation, were $199,595,694 and $37,750,006, respectively. The fair values of these commodity interests, including options thereon, if applicable, at December 31, 2005 and 2004 were $399,168,275 and $35,638,874, respectively. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the Managing Member and at such time as the Managing Member may decide. A member may require the Master to redeem their Units at their Net Asset Value as of the last day of the month. The Managing Member, at its sole discretion, may permit redemptions more frequently than monthly. There is no fee charged to members in connection with redemptions. 6.    Financial Highlights: Changes in the Net Asset Value per Unit of Member interest for the years ended December 31, 2005, 2004 and 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $ 2,051.93    $ 607.73    $                (410.62 )    Interest income    62.49      16.06      11.23     Expenses**    (1.92 )     (1.30 )     (1.60 )    Increase (decrease) for year    2,112.50      622.49      (400.99 )    Distributions    (61.78 )     (15.83 )     (10.84 )    Net asset value per Unit, beginning of year    1,815.32      1,208.66      1,620.49     Net asset value per Unit, end of year  $ 3,866.04    $ 1,815.32    $ 1,208.66     *   Includes brokerage commissions                        ** Excludes brokerage commissions                        Ratio to average net assets:                        Net investment loss***    (0.0) %****     (2.4 )%     (4.1 )%    Operating expenses    2.3 %     3.5 %     5.0 %    Total return    116.4 %     51.5 %     (24.7 )%               *** Interest income less total expenses         **** Due to rounding   The above ratios may vary for individual investors based on the timing of capital transactions during the year. 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  F-33     SB AAA Master Fund LLCNotes to Financial Statements  currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the 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 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 concentration risk because a significant counterparty or broker with respect to the Master's assets is CGM. As of December 31, 2005, the counterparties to the Master's swap contracts were Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital Group Inc., J.  Aron & Company, Hess Trading Company, LLC and BP Corporation North America, Inc. The Managing Member 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 Managing Member 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-34     Selected unaudited quarterly financial data for AAA Master for the years ended December 31, 2005 and December 31, 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 net of brokerage fees commissions and clearing fees plus interest income  $ 78,571,053    $ 139,754,428    $ 105,296,290    $ 118,510,387     Net Income  $ 78,379,858    $ 139,650,072    $ 105,228,428    $ 118,455,863     Increase in Net Asset Value per Unit  $ 304.38    $ 666.56    $ 535.54    $ 606.02                                       For the period from October 1, 2004 to December 31, 2004  For the period from July 1, 2004 to September 30, 2004  For the period from April 1, 2004 to June 30, 2004  For the period from January 1, 2004 to March 31, 2004   Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 23,925,828    $ 64,277,686    $ 10,197,155    $ 21,684,305     Net Income  $ 23,724,769    $ 64,261,824    $ 10,181,466    $ 21,672,565     Increase in Net Asset Value per Unit  $ 122.43    $ 338.61    $ 52.27    $ 109.18          F-35     To the Limited Partners ofCMF Aspect 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 Aspect Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-36     Independent Auditor's Report To the Partners ofCMF Aspect Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Aspect 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 March 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 Aspect 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 March 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-37     CMF Aspect Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (Note 3c) (restricted $25,000,025)  $ 190,244,157     Net unrealized appreciation on open futures positions    3,998,676     Unrealized appreciation on open forward contracts    5,783,990          200,026,823     Interest receivable    480,752        $ 200,507,575                Liabilities and Partners' Capital:          Liabilities:          Unrealized depreciation on open forward contracts  $ 5,154,880     Accrued expenses:          Professional fees    45,000     Distribution payable (Note 5)    480,752          5,680,632                Partners' capital:          Partners' capital, 170,140.8991 Redeemable Units outstanding    194,826,943        $ 200,507,575           See accompanying notes to financial statements.  F-38     CMF Aspect Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Energy  $                (377,724 )     (0.19 )%    Grains    32,350      0.02     Livestock    103,415      0.05     Interest Rates Non-U.S.    502,928      0.26     Interest Rates U.S.    (15,969 )     (0.01 )    Indices    1,061,361      0.54     Metals    1,027,058      0.53     Softs    1,239,159      0.64     Total futures contracts purchased    3,572,578      1.84     Futures Contracts Sold                 Energy    (560,870 )     (0.29 )    Grains    (693,255 )     (0.35 )    Interest Rates Non-U.S.    832,136      0.43     Interest Rates U.S.    1,404,031      0.72     Softs    (555,944 )     (0.29 )    Total futures contracts sold    426,098      0.22     Unrealized Appreciation on Forward Contracts                 Currencies    1,530,465      0.79     Metals    4,253,525      2.18     Total unrealized appreciation on forward contracts    5,783,990      2.97     Unrealized Depreciation on Forward Contracts                 Currencies    (3,585,982 )     (1.84 )    Metals    (1,568,898 )     (0.81 )    Total unrealized depreciation on forward contracts    (5,154,880 )     (2.65 )    Total Fair Value  $  4,627,786      2.38 %         Percentages are based on Partners' capital unless otherwise indicated  See accompanying notes to financial statements.  F-39     CMF Aspect Master Fund L.P.Statement of Income and Expensesfor the period March 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  $ 35,592,451     Net unrealized losses on open positions    (7,930,877 )         27,661,574     Interest income    4,132,344          31,793,918     Expenses:          Clearing fees    420,212     Professional fees    63,208          483,420     Net income  $ 31,310,498     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 167.36           See accompanying notes to financial statements.  F-40     CMF Aspect Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from March 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at March 1, 2005 representing 190,791.1121 Units  $ 190,791,112     Net income    31,310,498     Sale of 38,062.5731 Redeemable Units of Limited Partnership Interest    40,018,580     Redemption of 58,712.7861 Redeemable Units of Limited Partnership Interest    (63,160,903 )    Distribution of Interest to feeder funds    (4,132,344 )    Partners' capital at December 31, 2005  $ 194,826,943     Net asset value per Redeemable Unit:                                    2005:  $1,145.09         See accompanying notes to financial statements.  F-41     CMF Aspect Master Fund L.P.Statement of Cash Flowsfor the period March 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income   $  31,310,498     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    (25,000,025 )    (Increase) decrease in unrealized appreciation on open forward contracts    5,263,622     (Increase) decrease in interest receivable    (480,752 )    (Increase) decrease in unrealized appreciation on open futures positions    6,179,942     Increase (decrease) in unrealized depreciation on open forward contracts    (3,512,687 )    Accrued expenses:          Increase (decrease) in professional fees    45,000     Net cash provided by (used in) operating activities    13,805,598     Cash flows from financing activities:          Proceeds from additions     218,251,029     Payments for redemptions     (63,160,903 )    Distribution of interest to feeder funds    (3,651,592 )    Net cash provided by (used in) financing activities    151,438,534     Net change in cash    165,244,132     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $  165,244,132     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $  12,558,663           See accompanying notes to financial statements.  F-42     CMF Aspect Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Aspect 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 March 1, 2005 (the date the Master commenced trading), Smith Barney Diversified 2000 Futures Fund L.P. ("Diversified 2000"), Salomon Smith Barney Global Diversified Futures Fund L.P. ("Global Diversified") and Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of their capital to the Master. Diversified 2000 purchased 43,434.9465 Units of the Master with cash equal to $40,490,894, and a contribution of open commodity futures and forward positions with a fair value of $2,944,052. Global Diversified purchased 16,015.3206 Units of the Master with cash equal to $14,955,106 and a contribution of open commodity futures and forwards positions with a fair value of $1,060,214. Citigroup Diversified purchased 131,340.8450 Units of the Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward positions with a fair value of $8,554,397. On July  1, 2005 CMF Institutional Portfolio L.P. ("CMF Institutional") purchased 6,469.5213 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 Aspect Capital Management Limited (the "Advisor") using the Diversified program, the Advisor's proprietary trading program, to invest together in one vehicle. The master operates under a structure where its investors consist of CMF Institutional, Diversified 2000, Global Diversified and Citigroup Diversified (each a "Fund", collectively the "Funds") with 2.64%, 21.83%, 8.36%, and 67.17% 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") 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 its share of the Master's income and expenses.   F-43     CMF Aspect 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 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 $25,000,025. 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 $7,359,899. 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 its 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-44     CMF Aspect 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 March 1, 2005 (commencement of trading operations) to December  31, 2005 were as follows:                  2005   Net realized and unrealized gains*  $ 145.44     Interest income    22.27     Expenses**    (0.35 )    Increase for the period    167.36     Distributions    (22.27 )    Net asset value per Redeemable Unit, beginning of period    1,000.00     Net asset value per Redeemable Unit, end of period  $ 1,145.09                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment gain***    1.8 %    Operating expenses    0.2 %    Total return    16.7 %               ***  Interest income less total expenses (exclusive of incentive fees)         ****  Annualized.   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. F-45     CMF Aspect Master Fund L.P. Notes to Financial Statements 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 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-46     Selected unaudited quarterly financial data for Aspect 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 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromMarch 1, 2005(Commencement oftrading operations)to March 31, 2005   Net realized and unrealized trading gains net of brokerage commissions and clearing feesplus interest income  $  6,902,322    $  7,311,804    $  13,144,533    $  4,015,047     Net Income  $  6,871,064    $  7,298,154    $  13,130,883    $  4,010,397     Increase in Net Asset Value per Redeemable Unit  $  40.27    $  37.88    $  68.19    $  21.02          F-47     To the Limited Partners ofCMF Capital Fund Management 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 Capital Fund Management Master           Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-48     Independent Auditor's Report To the Partners of    CMF Capital Fund Management Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Capital Fund Management 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 August 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 Capital Fund Management 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 August 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-49     CMF Capital Fund Management Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $9,546,963) (Note 3c)  $ 172,183,490     Net unrealized appreciation on open futures positions    1,236,940          173,420,430                Interest receivable    429,846        $ 173,850,276                Liabilities and Partners' Capital:          Liabilities:          Accrued expenses:          Professional fees  $ 19,925     Distribution payable (Note 5)    429,846          449,771                Partners' capital:          Partners' capital, 138,902.0635 Redeemable Units outstanding    173,400,505        $ 173,850,276           See accompanying notes to financial statements.  F-50     CMF Capital Fund Management Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                                   Currencies  $                (154,770 )     (0.09 )%    Energy    167,338      0.10     Metals    (13,633 )     (0.01 )    Interest Rates Non-U.S.    241,886      0.14     Interest Rates U.S.    223,133      0.13     Indices    (7,205 )     (0.00) *    Softs    4,672      0.00 *                      Total futures contracts purchased    461,421      0.27                       Futures Contracts Sold                                   Currencies    216,281      0.12     Energy    (8,049 )     (0.00) *    Interest Rates Non-U.S.    27,515      0.01     Interest Rates U.S.    32,525      0.02     Indices    507,247      0.29     Total futures contracts sold    775,519      0.44     Total fair value  $ 1,236,940      0.71  %                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding    See accompanying notes to financial statements.  F-51     CMF Capital Fund Management Master Fund L.P.Statement of Income and Expensesfor the period August 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  $ 39,863,425     Net unrealized losses on open positions    (393,102 )         39,470,323     Interest income    2,015,736          41,486,059     Expenses:          Clearing fees    1,606,613     Professional fees    19,925          1,626,538     Net income  $ 39,859,521     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 261.96           See accompanying notes to financial statements.  F-52     CMF Capital Fund Management Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from August 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at August 1, 2005 (commencement of trading operations) representing 164,291.1621 Units  $ 164,294,162     Net income    39,859,521     Sale of 19,241.6611 Redeemable Units of Limited Partnership Interest    23,276,340     Redemption of 44,633.7597 Redeemable Units of Limited Partnership Interest    (52,013,782 )    Distribution of Interest to feeder funds    (2,015,736 )    Partners' capital at December 31, 2005  $ 173,400,505     Net asset value per Redeemable Unit:                                    2005:  $1,248.37         See accompanying notes to financial statements.  F-53     CMF Capital Fund Management Master Fund L.P.Statement of Cash Flowsfor the period August 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 39,859,521     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    (9,546,963 )    (Increase) decrease in net unrealized appreciation on open futures positions    393,103     (Increase) decrease in interest receivable    (429,846 )               Accrued expenses:          Increase (decrease) in professional fees    19,925     Net cash provided by (used in) operating activities    30,295,740                Cash flows from financing activities:          Proceeds from additions     185,940,459     Payments for redemptions    (52,013,782 )    Distribution of interest to feeder funds    (1,585,890 )    Net cash provided by (used in) financing activities    132,340,787                Net change in cash    162,636,527     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $ 162,636,527     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 1,630,043           See accompanying notes to financial statements.  F-54     CMF Capital Fund Management Master Fund L.P.Notes to Financial Statements 1.    Partnership Organization: CMF Capital Fund Management 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 August 1, 2005, (date Master commenced trading operations) CMF Institutional Futures Fund ("CMF Institutional") and Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of their capital to the Master. CMF Institutional invested $4,860,099 of its initial capital and purchased 4,860.0990 Units of the Master and Citigroup Diversified purchased 159,434.0631 Units of the Master with cash equal to $157,804,020 and a contribution of open commodity futures and forwards positions with a fair value of $1,630,043. The Master was formed to permit commodity pools managed now and in the future by Capital Fund Management (The "Advisor") using the Discus 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 Citigroup Diversified and CMF Institutional (each a "Fund", collectively the "Funds") with 96.6% 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.         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-55     CMF Capital Fund Management Master Fund L.P.Notes to Financial Statements 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 $9,546,963. 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 $2,753,211. 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-56     CMF Capital Fund Management 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 August 1, 2005 (commencement of trading operations) to December  31, 2005 was as follows:                  2005   Net realized and unrealized gains (losses)*  $ 248.50     Interest income    13.59     Expenses**    (0.13 )    Increase (decrease) for the period    261.96     Distributions    (13.59 )    Net Asset Value per Redeemable Unit, beginning of period    1,000.00     Net Asset Value per Redeemable Unit, end of period  $ 1,248.37                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment income***    0.4 %    Operating expenses    1.9 %    Total return    26.2 %               ***  Interest income less total expenses (exclusive of incentive fees)         ****  Annualized.   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. F-57     CMF Capital Fund Management Master Fund L.P.Notes to Financial Statements 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 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-58     Selected unaudited quarterly financial data for CMF Master for the period ended December 31, 2005 is summarized below:                      For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromAugust 1, 2005 (Commencement oftrading operations)to September 30, 2005   Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 19,428,506    $  20,452,940     Net Income  $  19,408,106    $ 20,451,415     Increase in Net Asset Value per Redeemable Unit  $  136.53    $ 125.43          F-59     To the Limited Partners ofCMF Drury Capital 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 Drury Capital Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-60     Independent Auditor's Report To the Partners of    CMF Drury Capital Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Drury Capital 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 August 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 Drury Capital 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 August 1, 2005 (commencement of trading operations) to December 31, 2005 in conformity with U.S. generally accepted accounting principles.     New York, New YorkMarch 13, 2006 F-61     CMF Drury Capital Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $19,067,119) (Note 3c)  $ 126,248,300     Unrealized appreciation on open forward contracts    12,977,909     Interest receivable (Note 3c)    302,293        $ 139,528,502                Liabilities and Partners' Capital:          Liabilities:          Net unrealized depreciation on open future positions  $ 670,896     Unrealized depreciation on open forward contracts    5,610,822     Accrued expenses:          Professional fees    45,000     Distribution payable (Note 5)    302,293          6,629,011                Partners' capital:          Partners' capital, 120,577.0766 Units outstanding     132,899,491        $ 139,528,502                      See accompanying notes to financial statements.  F-62     CMF Drury Capital Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Grains  $ 128,613      0.10 %    Indices    539,683      0.41     Interest Rates Non U.S.    643,292      0.48     Interest Rates U.S.    575,721      0.43     Metals    1,079,600      0.81     Softs    148,736      0.11     Total futures contracts purchased    3,115,645      2.34                       Futures Contracts Sold                 Energy    (708,250 )     (0.53 )    Grains    (2,215,546 )     (1.67 )    Interest Rates Non-U.S.    (523,310 )     (0.39 )    Interest Rates U.S.    (219,787 )     (0.17 )    Softs    (119,648 )     (0.09 )    Total futures contracts sold    (3,786,541 )     (2.85 )                      Unrealized Appreciation on Forward Contracts                 Currencies    1,749,536      1.32     Metals    11,228,373      8.45     Total unrealized appreciation on forward contracts    12,977,909      9.77                       Unrealized Depreciation on Forward Contracts                 Currencies    (2,643,531 )     (1.99 )    Metals    (2,967,291 )     (2.23 )    Total unrealized depreciation on forward contracts    (5,610,822 )     (4.22 )    Total fair value  $ 6,696,191      5.04 %         Percentages are based on Partners' capital unless otherwise indicated.  See accompanying notes to financial statements.  F-63     CMF Drury Capital Master Fund L.P.Statement of Income and Expensesfor the period August 1, 2005(commencement of trading operations)to December 31, 2005                  2005   Income:          Net gains on trading of commodity interests:          Realized gains on closed positions and foreign currencies  $ 9,105,921     Net unrealized gains on open positions    3,918,658          13,024,579     Interest income (Note 3c)    1,450,304          14,474,883     Expenses:          Clearing fees    420,985     Professional fees    45,000          465,985     Net income  $ 14,008,898     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 114.03           See accompanying notes to financial statements.  F-64     CMF Drury Capital Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from August 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at August 1, 2005 representing 125,580.8377 Units  $ 125,580,838     Net income    14,008,898     Sale of 3,912.5954 Redeemable Units of Limited Partnership Interest    4,063,960     Redemption of 8,916.3565 Redeemable Units of Limited Partnership Interest    (9,303,901 )    Distribution of Interest to feeder funds    (1,450,304 )    Partners' capital at December 31, 2005  $ 132,899,491     Net asset value per Redeemable Unit:                                    2005:  $1,102.20         See accompanying notes to financial statements.  F-65     CMF Drury Capital Master Fund L.P.Statement of Cash Flowsfor the period August 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 14,008,898     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    (19,067,119 )    (Increase) decrease in unrealized appreciation on open futures positions    4,714,776     (Increase) decrease in unrealized appreciation on open forward contracts    4,998,251     (Increase) decrease in interest receivable    (302,293 )               Increase (decrease) in unrealized appreciation on open futures positions    670,896     Increase (decrease) in unrealized depreciation on open forward contracts    (14,302,581 )    Accrued expenses:          Increase (decrease) in professional fees    45,000     Net cash provided by (used in) operating activities    (9,234,172 )               Cash flows from financing activities:          Proceeds from additions     126,867,265     Payments for redemptions    (9,303,901 )    Distribution of interest to feeder funds    (1,148,011 )    Net cash provided by (used in) financing activities    116,415,353                Net change in cash    107,181,181     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $ 107,181,181     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 2,777,533           See accompanying notes to financial statements.  F-66     CMF Drury Capital Master Fund L.P.Notes to Financial Statements 1.    Partnership Organization: CMF Drury Capital 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 August 1, 2005 (date Master commenced trading), Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") and CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of their capital to the Master. Citigroup Diversified purchased 120,720.7387 Units of the Master with cash equal to $117,943,206 and a contribution of open commodity futures and forward positions with a fair value $2,777,533. CMF Institutional purchased 4,860.0990 Units of the Master with cash equal to $4,860,099. The Master was formed to permit commodity pools managed now or in the future by Drury Capital Inc. (the "Advisor") using the Diversified Program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master operates under a structure where its investors consist of Citigroup Diversified and CMF Institutional (each a "Feeder", collectively the "Funds") with 96.0% and 4.0% 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-67     CMF Drury Capital 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 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 $19,067,119. 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 $12,499,940. 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-68     CMF Drury Capital 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 August 1, 2005 (commencement of trading operations) to December  31, 2005 was as follows:                  2005   Net realized and unrealized gains*  $ 102.55     Interest income    11.83     Expenses**    (0.35 )    Increase for the period    114.03     Distributions    (11.83 )    Net Asset Value per Redeemable Unit, beginning of period    1,000.00     Net Asset Value per Redeemable Unit, end of period  $ 1,102.20                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment income***    1.8 %    Operating expenses    0.9 %               Total return    11.4 %               ***  Interest income less total expenses         ****  Annualized   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 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. F-69     CMF Drury Capital Master Fund L.P.Notes to Financial Statements 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 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-70     Selected unaudited quarterly financial data for Drury Master for the period ended December 31, 2005 is summarized below:                      For the period fromOctober 1, 2005 toDecember 31, 2005  For the period from August 1, 2005(Commencement oftrading operations)to September 30, 2005   Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 9,396,443    $ 4,657,455     Net Income  $ 9,369,443    $ 4,639,455     Increase in Net Asset Value per Redeemable Unit  $ 76.99    $ 37.04          F-71     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-72     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-73     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-74     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-75     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-76     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-77     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-78     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-79     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-80     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-81     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-82     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 including 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-83     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-84     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-85     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-86     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-87     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-88     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-89     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-90     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-91     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-92     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-93     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-94     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-95     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 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) 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 Redeemable Unit  $                (0.32 )   $                (13.00 )   $ 78.31    $ 77.04                           For the period fromNovember 1, 2004(commencement of tradingoperations) 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 Asset Value per Redeemable Unit  $ 78.85          F-96     PART III Item 9.    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. Not applicable. Item 9A.    Controls and Procedures. The General Partner of the Partnership, with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to the Partnership as of the end of the period covered by the report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the Partnership's internal controls or in other factors that could significantly affect such controls subsequent to the date of their evaluation as of year end. Management's report on internal control over financial reporting and KPMG LLP's related opinion are included in the Partnership's annual financial statements under "Item 8. Financial Statements and Supplementary Data." Item 9B.    Other Information. The Partnership previously filed report(s) as an "accelerated filer" (as defined in Rule 12b-2 of the Exchange Act). The Partnership has been advised by SEC Staff that it is not an accelerated filer and that it is not, therefore, required to file as such. Item 10.    Directors and Executive Officers of the Registrant. The Partnership has no officers or directors and its affairs are managed by its General Partner, Citigroup Managed Futures LLC. Investment decisions are made by the Advisors. The Partnership has not adopted a code of ethics that applies to officers because it has no officers. Item 11.    Executive Compensation. The Partnership has no directors or officers. Its affairs are managed by Citigroup Managed Futures LLC, its General Partner. CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under "Item 1. Business." Brokerage commissions and clearing fees of $49,582,184 were earned by CGM for the year ended December 31, 2005. Management fees and incentive fees of $16,071,249 and $11,795,091, respectively, were earned by the Advisors for the year ended December 31, 2005. Item 12.    Security Ownership of Certain Beneficial Owners and Management. (a)    Security ownership of certain beneficial owners. As of March 1, 2006, the Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units outstanding. (b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership's affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 8,799.7212 Redeemable Units (1.0%) of Limited Partnership Interest as of December 31, 2005. Principals who own Redeemable Units of the Partnership: *David J. Vogel         5.4716 Redeemable Units (c)    Changes in control. None. Item 13.    Certain Relationship and Related Transactions. Citigroup Global Markets Inc. and Citigroup Managed Futures LLC would be considered promoters for purposes of item 404 (d) of Regulation S-K. The nature and the amounts of compensation each  29      promoter will receive, if any, from the Partnership are set forth under "Item 1. Business", "Item 8. Financial Statements and Supplementary Data." and "Item 11. Executive Compensation." Item 14.    Principal Accountant Fees and Services. (1)    Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP for the audit of the Partnership's annual financial statements, review of financial statements included in the Partnership's Forms 10-Q and 10-K and other services normally provided in connection with regulatory filings or engagements are as follows: 2005            $235,875 2004            $262,750 (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. 30     PART IV Item 15.    Exhibits and Financial Statement Schedules.       (a)(1)  Financial Statements:   Statements of Financial Condition at December 31, 2005 and 2004. Statements of Income and Expenses for the years ended December 31, 2005 and 2004 and the period from May  1, 2003 (commencement of trading operations) to December 31, 2003. Statements of Changes in Partners' Capital for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003. Statements of Cash Flows for the years ended December 31, 2005 and 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.       (2)   Exhibits:           10.1  Letters extending Management Agreements with Drury Capital, Inc., Aspect Capital Limited, John W. Henry & Company, Inc., Willowbridge Associates Inc., Capital Fund Management S.A. and Graham Capital Management L.P. for 2004 (previously filed).           10.2  Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (previously filed).           10.3  Management Agreement among the Partnership, the General Partner and Capital Fund Management S.A. (previously filed).           10.4  Management Agreement among the Partnership, the General Partner and Aspect Capital Limited (previously filed).           10.5  Management Agreement among the Partnership, the General Partner and AAA Capital Management, Inc. (filed herein).           10.6  Letters from General Partner extending Management Agreements to Drury Capital, Inc., Aspect Capital Limited, John W. Henry & Company, Inc., Willowbridge Associates Inc., Capital Fund Management S.A., Graham Capital Management and Winton Capital Management Limited for 2005 (filed herein).   The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference         (a)  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) 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. (1)    Annual Report to Limited Partners (2)    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 30th day of March 2006. CITIGROUP DIVERSIFIED FUTURES FUND L.P. By:    /s/ 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 on behalf of the Registrant and in the capacities and on the date indicated.               /s/ David J. Vogel David J. VogelPresident and Director  /s/ Jerry Pascucci Jerry PascucciDirector   /s/ Daniel R. McAuliffe, Jr. Daniel R. McAuliffe, Jr.Chief Financial Officer andDirector  /s/ Jennifer Magro Jennifer MagroDirector   /s/ Maureen O'Toole Maureen O'TooleDirector  /s/ Ihor Rakowsky Ihor RakowskySecretary and Director   /s/ Shelley Ullman Shelley Ullman Director           32         GRAPHIC 2 html_95855sig1.jpg GRAPHIC  begin 644 html_95855sig1.jpg M_]C_X``02D9)1@`!`0$!(`$@``#__@`V($EM86=E(&=E;F5R871E9"!B>2!' M3E4@1VAO``$``P`#``,!```````````` M!P@)`0(&`P0%"O_$`#40``$$`P`"`@`$!`0%!0````4#!`8'`0((`!$)(1(4 M,5$3%19!%V%QD0J!P>'P(B2AL?'_V@`(`0$``#\`_OX\>/'CQX\>/'CQX\>/ M'CQX\>/'CQY#M]W[4/,543"[KTG0:NJQ@K!)](I0;V<;(I;.W:`T4*&CV#=X M6/2*0%W;('&8P!8$I#)3S]@$!#7Y1XW;;U@XL[>DG6LMO"-2;F&WN:\U:C54 MCBS:Y2,/TE\V@5PB946B1B20.-E"ANGIIHUB3M^=JF>*IS./!#<3)&462YS( MUG('0_>W)?*Y\1$+MN0-')P<#NY*.KR/@IG9ME;Q(>FZ5?S5U6]5QN;3H;!6 M&K%YA]."D?91)HHT=I6'4=*U!\A5#3FH;=X68LZTE5XQ=. 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M/S\ZUKW]?UKY?=3R].M?=)_=92G_`!_EK3]*V]JT_;MY>7IUM;9;;]FVE.]> 1]>U/O]/[=;='1T='1T=?_]D_ ` end    GRAPHIC 9 spacer.gif GRAPHIC  begin 644 spacer.gif K1TE&.#EA`0`!`(```````````"'Y!`$`````+``````!``$```("1`$`.S\_ ` end    EX-10.5 10 file002.htm MANAGEMENT AGREEMENT          MANAGEMENT AGREEMENT  AGREEMENT made as of the 30th day of September, 2005, among CITIGROUP MANAGED FUTURES LLC, a Delaware limited liability company (‘‘CMF’’ or the ‘‘General Partner’’), CITIGROUP DIVERSIFIED FUTURES FUND L.P., a New York limited partnership (the ‘‘Partnership’’) and AAA CAPITAL MANAGEMENT, INC., a Texas corporation (the ‘‘Advisor’’).  W I T N E S S E T H: WHEREAS, CMF is the general partner of CITIGROUP DIVERSIFIED FUTURES FUND L.P., a limited partnership organized for the purpose of speculative trading of commodity interests, including futures contracts, options, swaps and forward contracts with the objective of achieving substantial capital appreciation initially through an investment in AAA Master Fund LLC (the ‘‘Master Fund’’); and WHEREAS, the Limited Partnership Agreement establishing the Partnership (the ‘‘Limited Partnership Agreement’’) permits CMF to delegate to one or more commodity trading advisors CMF’s authority to make trading decisions for the Partnership; and WHEREAS, the Advisor is registered as a commodity trading advisor with the Commodity Futures Trading Commission (‘‘CFTC’’) and is a member of the National Futures Association (‘‘NFA’’); and WHEREAS, CMF is registered as a commodity pool operator with the CFTC and is a member of the NFA; and WHEREAS, CMF, the Partnership and the Advisor wish to enter into this Agreement in order to set forth the terms and conditions upon which the Advisor will render and implement advisory services in connection with the conduct by the Partnership of its commodity trading activities during the term of this Agreement; NOW, THEREFORE, the parties agree as follows: 1. DUTIES OF THE ADVISOR.    (a) For the period and on the terms and conditions of this Agreement, the Advisor shall have sole authority and responsibility, as one of the Partnership’s agents and attorneys-in-fact, for directing the investment and reinvestment of the assets and funds of the Partnership allocated to it from time to time by the General Partner in commodity interests, including commodity futures contracts, options, swaps and forward contracts. All such trading on behalf of the Partnership shall be in accordance with the trading policies set forth in the Partnership’s Prospectus and Disclosure Document dated as of June  30,  2005, as supplemented (the ‘‘Prospectus’’), and as such trading policies may be changed from time to time upon receipt by the Advisor of prior written notice of such change and pursuant to the trading strategy selected by CMF to be utilized by the Advisor in managing the Partnership’s assets. CMF has initially selected the Advisor’s Energy Program (the ‘‘Program’’) to manage the Partnership’s assets allocated to it. Any open positions or other investments at the time of receipt of such notice of a change in trading policy shall not be deemed to violate the changed policy and shall be closed or sold in the ordinary course of trading. The Advisor may not deviate from the trading policies set forth in the Prospectus without the prior written consent of the Partnership given by CMF. The Advisor makes no representation or warranty that the trading to be directed by it for the Partnership will be profitable or will not incur losses. (b)    CMF acknowledges receipt of the Advisor’s Disclosure Document dated September  15,  2005, as filed with the NFA (the ‘‘Disclosure Document’’). All trades made by the Advisor for the account of the Partnership, whether directly or indirectly through the Master Fund, shall be made through such commodity broker or brokers as CMF shall direct, and the Advisor shall have no authority or responsibility for selecting or supervising any such broker in connection with the execution, clearance or confirmation of transactions for the Partnership or for the negotiation of brokerage rates charged therefor. However, the Advisor, with the prior written permission (by either original or fax copy) of CMF, may direct all trades in commodity futures and options to a futures commission merchant or independent floor broker it chooses for execution with instructions to give-up the trades to the broker designated by CMF, provided that the futures commission merchant or independent floor broker and any give-up or floor brokerage fees are approved in advance by CMF. All give-up or similar fees relating to the foregoing shall be paid by the Partnership after all parties have executed the relevant give-up agreements (by either original or fax copy).     (c)    The initial allocation of the Partnership’s assets to the Advisor will be made to the Program as described in the Disclosure Document. In the event the Advisor wishes to use a trading system or methodology other than or in addition to the system or methodology outlined in the Disclosure Document in connection with its trading for the Partnership, either in whole or in part, it may not do so unless the Advisor gives CMF prior written notice of its intention to utilize such different trading system or methodology and CMF consents thereto in writing. In addition, the Advisor will provide five days’ prior written notice to CMF of any change in the trading system or methodology to be utilized for the Partnership which the Advisor deems material. If the Advisor deems such change in system or methodology or in markets traded to be material, the changed system or methodology or markets traded will not be utilized for the Partnership without the prior written consent of CMF. In addition, the Advisor will notify CMF of any changes to the trading system or methodology that would require a change in the description of the trading strategy or methods described in the Disclosure Document. Further, the Advisor will provide the Partnership with a current list of all commodity interests to be traded for the Partnership’s account and will not trade any additional commodity interests for such account without providing notice thereof to CMF and receiving CMF’s written approval. The Advisor also agrees to provide CMF, on a monthly basis, with a written report of the assets under the Advisor’s management together with all other matters deemed by the Advisor to be material changes to its business not previously reported to CMF. (d)    The Advisor agrees to make all material disclosures to the Partnership regarding itself and its principals as defined in Part 4 of the CFTC’s regulations (‘‘principals’’), shareholders, directors, officers and employees, their trading performance and general trading methods, its customer accounts (but not the identities of or identifying information with respect to its customers) and otherwise as are required in the reasonable judgment of CMF to be made in any filings required by Federal or state law or NFA rule or order. Notwithstanding Sections 1(d) and 4(d) of this Agreement, the Advisor is not required to disclose the actual trading results of proprietary accounts of the Advisor or its principals unless CMF reasonably determines that such disclosure is required in order to fulfill its fiduciary obligations to the Partnership or the reporting, filing or other obligations imposed on it by Federal or state law or NFA rule or order. The Partnership and CMF acknowledge that the trading advice to be provided by the Advisor is a property right belonging to the Advisor and that they will keep all such advice confidential. Further, CMF agrees to treat as confidential any results of proprietary accounts and/or proprietary information with respect to trading systems obtained from the Advisor. (e)    The Advisor understands and agrees that CMF may designate other trading advisors for the Partnership and apportion or reapportion to such other trading advisors the management of an amount of Net Assets (as defined in Section 3(b) hereof) as it shall determine in its absolute discretion. The designation of other trading advisors and the apportionment or reapportionment of Net Assets to any such trading advisors pursuant to this Section 1 shall neither terminate this Agreement nor modify in any regard the respective rights and obligations of the parties hereunder. (f)    CMF may, from time to time, in its absolute discretion, select additional trading advisors and reapportion funds among the trading advisors for the Partnership as it deems appropriate. CMF shall use its best efforts to make reapportionments, if any, as of the first day of a month. The Advisor agrees that it may be called upon at any time promptly to liquidate positions in CMF’s sole discretion so that CMF may reallocate the Partnership’s assets, meet margin calls on the Partnership’s account, fund redemptions, or for any other reason, except that CMF will not require the liquidation of specific positions by the Advisor. CMF will use its best efforts to give two days’ prior notice to the Advisor of any reallocations or liquidations. (g)    The Advisor will not be liable for trading losses in the Partnership’s account including losses caused by errors; provided, however, that (i) the Advisor will be liable to the Partnership with respect to losses incurred due to errors committed or caused by it or any of its principals or employees in communicating improper trading instructions or orders to any broker on behalf of the Partnership and (ii) the Advisor will be liable to the Partnership with respect to losses incurred due to errors committed or caused by any executing broker (other than any CMF affiliate) selected by the Advisor, (it also being understood that CMF, with the assistance of the Advisor, will first attempt to recover such losses from the executing broker). 2     2. INDEPENDENCE OF THE ADVISOR.    For all purposes herein, the Advisor shall be deemed to be an independent contractor and, unless otherwise expressly provided or authorized, shall have no authority to act for or represent the Partnership in any way and shall not be deemed an agent, promoter or sponsor of the Partnership, CMF, or any other trading advisor. 3. COMPENSATION.    (a) In consideration of and as compensation for all of the services to be rendered by the Advisor to the Partnership under this Agreement, the Partnership shall pay the Advisor (i) an incentive fee payable as of the end of each calendar quarter equal to 20% of New Trading Profits (as such term is defined below) earned by the Advisor for the Partnership and (ii) a monthly fee for professional management services equal to  1/6 of 1% (2% per year) of the month-end Net Assets of the Partnership allocated to the Advisor. (b)    ‘‘Net Assets’’ shall have the meaning set forth in Paragraph 7(d)(1) of the Limited Partnership Agreement dated as of December  3,  2002, and without regard to further amendments thereto, provided that in determining the Net Assets of the Partnership on any date, no adjustment shall be made to reflect any distributions, redemptions or incentive fees payable as of the date of such determination. (c)    ‘‘New Trading Profits’’ shall mean the excess, if any, of Net Assets managed by the Advisor at the end of the fiscal period over Net Assets managed by the Advisor at the end of the highest previous fiscal period or Net Assets allocated to the Advisor at the date trading commences, whichever is higher, and as further adjusted to eliminate the effect on Net Assets resulting from new capital contributions, redemptions, reallocations or capital distributions, if any, made during the fiscal period decreased by interest or other income, not directly related to trading activity, earned on the Partnership’s assets during the fiscal period, whether the assets are held separately or in margin accounts. Ongoing expenses shall be attributed to the Advisor based on the Advisor’s proportionate share of Net Assets. Ongoing expenses shall not include expenses of litigation not involving the activities of the Advisor on behalf of the Partnership. No incentive fee shall be paid until the end of the first full calendar quarter of trading by the Advisor on behalf of the Partnership, which fee shall be based on New Trading Profits earned from the commencement of trading by the Advisor on behalf of the Partnership through the end of the first full calendar quarter of such trading. Interest income earned, if any, will not be taken into account in computing New Trading Profits earned by the Advisor. If Net Assets allocated to the Advisor are reduced due to redemptions, distributions or reallocations (net of additions), there will be a corresponding proportional reduction in the related loss carryforward amount that must be recouped before the Advisor is eligible to receive another incentive fee. (d)    Quarterly incentive fees and monthly management fees shall be paid within twenty (20) business days following the end of the period for which such fee is payable. In the event of the termination of this Agreement as of any date which shall not be the end of a calendar quarter or month, as the case may be, the quarterly incentive fee shall be computed as if the effective date of termination were the last day of the then current quarter and the monthly management fee shall be prorated to the effective date of termination. If, during any month, the Partnership does not conduct business operations or the Advisor is unable to provide the services contemplated herein for more than two successive business days, the monthly management fee shall be prorated by the ratio which the number of business days during which CMF conducted the Partnership’s business operations or utilized the Advisor’s services bears in the month to the total number of business days in such month. (e)    The provisions of this Paragraph 3 shall survive the termination of this Agreement. 4. RIGHT TO ENGAGE IN OTHER ACTIVITIES.    (a) The services provided by the Advisor hereunder are not to be deemed exclusive. CMF on its own behalf and on behalf of the Partnership acknowledges that, subject to the terms of this Agreement, the Advisor and its officers, directors, employees and shareholder(s), may render advisory, consulting and management services to other clients and accounts. The Advisor and its officers, directors, employees and shareholder(s) shall be free to trade for their own accounts and to advise other investors and manage other commodity accounts during the term of this Agreement and to use the same information, computer programs and trading strategies, programs or formulas which they obtain, produce or utilize in the performance of services to CMF for the Partnership. However, the Advisor represents, warrants and agrees that it believes the rendering of such consulting, advisory and management services to other accounts and entities will not require any material  3      change in the Advisor’s basic trading strategies and will not affect the capacity of the Advisor to continue to render services to CMF for the Partnership of the quality and nature contemplated by this Agreement. (b)    If, at any time during the term of this Agreement, the Advisor is required to aggregate the Partnership’s commodity positions with the positions of any other person for purposes of applying CFTC- or exchange-imposed speculative position limits, the Advisor agrees that it will promptly notify CMF in writing if the Partnership’s positions are included in an aggregate amount which exceeds the applicable speculative position limit. The Advisor agrees that, if its trading recommendations are altered because of the application of any speculative position limits, it will not modify the trading instructions with respect to the Partnership’s account in such manner as to affect the Partnership substantially disproportionately as compared with the Advisor’s other accounts. The Advisor further represents, warrants and agrees that under no circumstances will it knowingly or deliberately use trading strategies or methods for the Partnership that are inferior to strategies or methods employed for any other client or account and that it will not knowingly or deliberately favor any client or account managed by it over any other client or account in any manner, it being acknowledged, however, that different trading strategies or methods may be utilized for differing sizes of accounts, accounts with different trading policies, accounts experiencing differing inflows or outflows of equity, accounts which commence trading at different times, accounts which have different portfolios or different fiscal years, accounts utilizing different executing brokers and accounts with other differences, and that such differences may cause divergent trading results. (c)    It is acknowledged that the Advisor and/or its officers, employees, directors and shareholder(s) presently act, and it is agreed that they may continue to act, as advisor for other accounts managed by them, and may continue to receive compensation with respect to services for such accounts in amounts which may be more or less than the amounts received from the Partnership. (d)    The Advisor agrees that it shall make such information available to CMF respecting the performance of the Partnership’s account as compared to the performance of other accounts managed by the Advisor or its principals as shall be reasonably requested by CMF. The Advisor presently believes and represents that existing speculative position limits will not materially adversely affect its ability to manage the Partnership’s account given the potential size of the Partnership’s account and the Advisor’s and its principals’ current accounts and all proposed accounts for which they have contracted to act as trading advisor. 5. TERM.    (a) This Agreement shall continue in effect until June  30,  2006. CMF may, in its sole discretion, renew this Agreement for additional one-year periods upon notice to the Advisor not less than 30 days prior to the expiration of the previous period. At any time during the term of this Agreement, CMF may terminate this Agreement at any month-end upon 30 days’ notice to the Advisor. At any time during the term of this Agreement, CMF may elect to immediately terminate this Agreement upon 30 days’ notice to the Advisor if (i) the Net Asset Value per unit shall decline as of the close of business on any day to $400 or less; (ii) the Net Assets allocated to the Advisor (adjusted for redemptions, distributions, withdrawals or reallocations, if any) decline by 50% or more as of the end of a trading day from such Net Assets’ previous highest value; (iii) limited partners owning at least 50% of the outstanding units shall vote to require CMF to terminate this Agreement; (iv) the Advisor fails to comply with the terms of this Agreement; (v) CMF, in good faith, reasonably determines that the performance of the Advisor has been such that CMF’s fiduciary duties to the Partnership require CMF to terminate this Agreement; (vi) CMF reasonably believes that the application of speculative position limits will substantially affect the performance of the Partnership; or (vii) the Advisor fails to conform to the trading policies set forth in the Limited Partnership Agreement or the Prospectus as they may be changed from time to time. At any time during the term of this Agreement, CMF may elect immediately to terminate this Agreement if (i) the Advisor merges, consolidates with another entity, sells a substantial portion of its assets, or becomes bankrupt or insolvent, (ii) A. Anthony Annunziato dies, becomes incapacitated, leaves the employ of the Advisor, ceases to control the Advisor or is otherwise not managing the trading programs or systems of the Advisor, or (iii) the Advisor’s registration as a commodity trading advisor with the CFTC or its membership in the NFA or any other regulatory authority, is terminated or suspended. This Agreement will immediately terminate upon dissolution of the Partnership or upon cessation of trading prior to dissolution. 4     (b)    The Advisor may terminate this Agreement by giving not less than 30 days’ notice to CMF (i) in the event that the trading policies of the Partnership as set forth in the Prospectus are changed in such manner that the Advisor reasonably believes will adversely affect the performance of its trading strategies; (ii) after June  30,  2006; or (iii) in the event that CMF or the Partnership fails to comply with the terms of this Agreement. The Advisor may immediately terminate this Agreement if CMF’s registration as a commodity pool operator or its membership in the NFA is terminated or suspended. (c)    Except as otherwise provided in this Agreement, any termination of this Agreement in accordance with this Paragraph 5 or Paragraph 1(e) shall be without penalty or liability to any party, except for any fees due to the Advisor pursuant to Section 3 hereof. 6. INDEMNIFICATION.    (a) (i) In any threatened, pending or completed action, suit, or proceeding to which the Advisor was or is a party or is threatened to be made a party arising out of or in connection with this Agreement or the management of the Partnership’s assets by the Advisor or the offering and sale of units in the Partnership, CMF shall, subject to subparagraph (a)(iii) of this Paragraph 6, indemnify and hold harmless the Advisor against any loss, liability, damage, cost, expense (including, without limitation, attorneys’ and accountants’ fees), judgments and amounts paid in settlement actually and reasonably incurred by it in connection with such action, suit, or proceeding if the Advisor acted in good faith and in a manner reasonably believed to be in or not opposed to the best interests of the Partnership, and provided that its conduct did not constitute negligence, intentional misconduct, or a breach of its fiduciary obligations to the Partnership as a commodity trading advisor, unless and only to the extent that the court or administrative forum in which such action or suit was brought shall determine upon application that, despite the adjudication of liability but in view of all circumstances of the case, the Advisor is fairly and reasonably entitled to indemnity for such expenses which such court or administrative forum shall deem proper; and further provided that no indemnification shall be available from the Partnership if such indemnification is prohibited by Section 16 of the Limited Partnership Agreement. The termination of any action, suit or proceeding by judgment, order or settlement shall not, of itself, create a presumption that the Advisor did not act in good faith and in a manner reasonably believed to be in or not opposed to the best interests of the Partnership. (ii) Without limiting sub-paragraph (i) above, to the extent that the Advisor has been successful on the merits or otherwise in defense of any action, suit or proceeding referred to in subparagraph (i) above, or in defense of any claim, issue or matter therein, CMF shall indemnify it against the expenses (including, without limitation, attorneys’ and accountants’ fees) actually and reasonably incurred by it in connection therewith. (iii) Any indemnification under subparagraph (i) above, unless ordered by a court or administrative forum, shall be made by CMF only as authorized in the specific case and only upon a determination by independent legal counsel in a written opinion that such indemnification is proper in the circumstances because the Advisor has met the applicable standard of conduct set forth in subparagraph (i) above. Such independent legal counsel shall be selected by CMF in a timely manner, subject to the Advisor’s approval, which approval shall not be unreasonably withheld. The Advisor will be deemed to have approved CMF’s selection unless the Advisor notifies CMF in writing, received by CMF within five days of CMF’s telecopying to the Advisor of the notice of CMF’s selection, that the Advisor does not approve the selection. (iv) In the event the Advisor is made a party to any claim, dispute or litigation or otherwise incurs any loss or expense as a result of, or in connection with, the Partnership’s or CMF’s activities or claimed activities unrelated to the Advisor, CMF shall indemnify, defend and hold harmless the Advisor against any loss, liability, damage, cost or expense (including, without limitation, attorneys’ and accountants’ fees) incurred in connection therewith. (v) As used in this Paragraph 6(a), the term ‘‘Advisor’’ shall include the Advisor, its principals, officers, directors, stockholders and employees and the term ‘‘CMF’’ shall include the Partnership. (b)    (i) The Advisor agrees to indemnify, defend and hold harmless CMF, the Partnership and their affiliates against any loss, liability, damage, cost or expense (including, without limitation, attorneys’ and accountants’ fees), judgments and amounts paid in settlement actually and reasonably incurred by them  5      (A) as a result of the material breach of any material representations and warranties made by the Advisor in this Agreement, or (B) as a result of any act or omission of the Advisor relating to the Partnership if there has been a final judicial or regulatory determination or, in the event of a settlement of any action or proceeding with the prior written consent of the Advisor, a written opinion of an arbitrator pursuant to Paragraph 14 hereof, to the effect that such acts or omissions violated the terms of this Agreement in any material respect or involved negligence, bad faith, recklessness or intentional misconduct on the part of the Advisor (except as otherwise provided in Section 1(g)). (ii) In the event CMF, the Partnership or any of their affiliates is made a party to any claim, dispute or litigation or otherwise incurs any loss or expense as a result of, or in connection with, the activities or claimed activities of the Advisor or its principals, officers, directors, shareholder(s) or employees unrelated to CMF’s or the Partnership’s business, the Advisor shall indemnify, defend and hold harmless CMF, the Partnership or any of their affiliates against any loss, liability, damage, cost or expense (including, without limitation, attorneys’ and accountants’ fees) incurred in connection therewith. (c)    In the event that a person entitled to indemnification under this Paragraph 6 is made a party to an action, suit or proceeding alleging both matters for which indemnification can be made hereunder and matters for which indemnification may not be made hereunder, such person shall be indemnified only for that portion of the loss, liability, damage, cost or expense incurred in such action, suit or proceeding which relates to the matters for which indemnification can be made. (d)    None of the indemnifications contained in this Paragraph 6 shall be applicable with respect to default judgments, confessions of judgment or settlements entered into by the party claiming indemnification without the prior written consent, which shall not be unreasonably withheld, of the party obligated to indemnify such party. (e)    The provisions of this Paragraph 6 shall survive the termination of this Agreement. 7. REPRESENTATIONS, WARRANTIES AND AGREEMENTS. (a)    The Advisor represents and warrants that: (i) All references to the Advisor and its principals in the Disclosure Document are accurate in all material respects and as to them the Disclosure Document does not contain any untrue statement of a material fact or omit to state a material fact which is necessary to make the statements therein not misleading. All references to the Advisor and its principals, if any, in the Prospectus or supplement thereto will, after review and approval of such references by the Advisor prior to the use of such Prospectus in connection with the offering of the Partnership’s Units, be accurate in all material respects, except that with respect to any pro forma or hypothetical performance information in such Prospectus, if any, this representation and warranty extends only to any underlying data made available by the Advisor for the preparation thereof and not to any hypothetical or pro forma adjustments. (ii) The information with respect to the Advisor set forth in the actual performance tables in the Disclosure Document is based on all of the customer accounts managed on a discretionary basis by the Advisor’s principals and/or the Advisor during the period covered by such tables and required to be disclosed therein. (iii) The Advisor will be acting as a commodity trading advisor with respect to the Partnership and not as a securities investment adviser and is duly registered with the CFTC as a commodity trading advisor, is a member of the NFA, and is in compliance with such other registration and licensing requirements as shall be necessary to enable it to perform its obligations hereunder, and agrees to maintain and renew such registrations and licenses during the term of this Agreement. (iv) The Advisor is a corporation duly organized, validly existing and in good standing under the laws of the State of Texas and has full corporate power and authority to enter into this Agreement and to provide the services required of it hereunder. (v) The Advisor will not, by acting as a commodity trading advisor to the Partnership, breach or cause to be breached any undertaking, agreement, contract, statute, rule or regulation to which it is a party or by which it is bound. 6     (vi) This Agreement has been duly and validly authorized, executed and delivered by the Advisor and is a valid and binding agreement enforceable in accordance with its terms. (vii) At any time during the term of this Agreement that a prospectus relating to the units is required to be delivered in connection with the offer and sale thereof, the Advisor agrees upon the request of CMF to provide the Partnership with such information as shall be necessary so that, as to the Advisor and its principals, such prospectus is accurate. (b)    CMF represents and warrants for itself and the Partnership that: (i) The Prospectus (as from time to time amended or supplemented, which amendment or supplement is approved by the Advisor as to descriptions, if any, of itself and its actual performance) does not contain any untrue statement of a material fact or omit to state a material fact which is necessary to make the statements therein not misleading, except that the foregoing representation does not apply to any statement or omission concerning the Advisor in the Prospectus, if any, which is made in reliance upon, and in conformity with, information furnished to CMF by or on behalf of the Advisor expressly for use in the Prospectus (it being understood that any hypothetical and pro forma adjustments in the Prospectus, if any, will not be deemed to be furnished by the Advisor). (ii) It is a limited liability company duly organized, validly existing and in good standing under the laws of the State of Delaware and has full limited liability company power and authority to perform its obligations under this Agreement. (iii) CMF and the Partnership have the capacity and authority to enter into this Agreement on behalf of the Partnership. (iv) This Agreement has been duly and validly authorized, executed and delivered on CMF’s and the Partnership’s behalf and is a valid and binding agreement of CMF and the Partnership enforceable in accordance with its terms. (v) CMF will not, by acting as General Partner to the Partnership and the Partnership will not, breach or cause to be breached any undertaking, agreement, contract, statute, rule or regulation to which it is a party or by which it is bound which would materially limit or affect the performance of its duties under this Agreement. (vi) It is registered as a commodity pool operator and is a member of the NFA, and it will maintain and renew such registration and membership during the term of this Agreement. (vii) The Partnership is a limited partnership duly organized and validly existing under the laws of the State of New York and has full limited partnership power and authority to enter into this Agreement and to perform its obligations under this Agreement. 8. COVENANTS OF THE ADVISOR, CMF AND THE PARTNERSHIP. (a)    The Advisor agrees as follows: (i) In connection with its activities on behalf of the Partnership, the Advisor will comply with all applicable rules and regulations of the CFTC and/or the commodity exchange on which any particular transaction is executed. (ii) The Advisor will promptly notify CMF of the commencement of any material suit, action or proceeding involving it, whether or not any such suit, action or proceeding also involves CMF. The Advisor will provide CMF with copies of any correspondence from or to the CFTC, NFA or any commodity exchange in connection with an investigation or audit of the Advisor’s business activities. (iii) In the placement of orders for the Partnership’s account and for the accounts of any other client, the Advisor will utilize a pre-determined, systematic, fair and reasonable order entry system, which shall, on an overall basis, be no less favorable to the Partnership than to any other account managed by the Advisor. The Advisor acknowledges its obligation to review the Partnership’s positions, prices and equity in the account managed by the Advisor daily and within two business days to notify, in writing, the broker and CMF and the Partnership’s brokers of (i) any error committed by the Advisor or its principals or employees; (ii) any trade which the Advisor believes was not executed in accordance with its  7      instructions; and (iii) any discrepancy with a value of $10,000 or more (due to differences in the positions, prices or equity in the account) between its records and the information reported on the account’s daily and monthly broker statements. (iv) The Advisor will maintain a net worth of not less than $1,000,000 during the term of this Agreement. (v) The Advisor will make no representations to investors or prospective investors in the Partnership with respect to the offering and sale of Units without the prior written approval of CMF. (b)    CMF agrees for itself and the Partnership that: (i) CMF and the Partnership will comply with all applicable rules and regulations of the CFTC and/or the commodity exchange on which any particular transaction is executed. (ii) CMF will promptly notify the Advisor of the commencement of any material suit, action or proceeding involving it or the Partnership, whether or not such suit, action or proceeding also involves the Advisor. (iii) CMF will be responsible for compliance with the USA Patriot Act and related anti-money-laundering regulations with respect to the Partnership and its limited partners. 9. COMPLETE AGREEMENT.    This Agreement constitutes the entire agreement between the parties pertaining to the subject matter hereof. 10.    ASSIGNMENT.    This Agreement may not be assigned by any party without the express written consent of the other parties. 11.    AMENDMENT.    This Agreement may not be amended except by the written consent of the parties. 12.    NOTICES.    All notices, demands or requests required to be made or delivered under this Agreement shall be in writing and delivered personally or by registered or certified mail or expedited courier, return receipt requested, postage prepaid, to the addresses below or to such other addresses as may be designated by the party entitled to receive the same by notice similarly given: If to CMF: Citigroup Managed Futures LLC731 Lexington Avenue25th FloorNew York, New York 10022Attention: David J. Vogel If to the Advisor: AAA Capital Management, Inc.1300 Post Oak BoulevardSuite 350Houston, Texas 77056Attention: A. Anthony Annunziato With a copy to: David R. Allen, Esq.407 East Main StreetMurfreesboro, TN 37130 8     13.    GOVERNING LAW.    This Agreement shall be governed by and construed in accordance with the laws of the State of New York. 14.    ARBITRATION.    The parties agree that any dispute or controversy arising out of or relating to this Agreement or the interpretation thereof, shall be settled by arbitration in accordance with the rules, then in effect, of the NFA or, if the NFA shall refuse jurisdiction, then in accordance with the rules, then in effect, of the American Arbitration Association; provided, however, that the power of the arbitrator shall be limited to interpreting this Agreement as written and the arbitrator shall state in writing his reasons for his award. Judgment upon any award made by the arbitrator may be entered in any court of competent jurisdiction. 15.    NO THIRD PARTY BENEFICIARIES.    There are no third party beneficiaries to this Agreement. 9     IN WITNESS WHEREOF, this Agreement has been executed for and on behalf of the undersigned as of the day and year first above written.     CITIGROUP MANAGED FUTURES LLC        By:   /s/ David J. Vogel                      David J. VogelPresident and Director       CITIGROUP DIVERSIFIED FUTURES FUND L.P.        By: Citigroup Managed Futures LLC              (General Partner)       By: /s/ David J. Vogel                      David J. VogelPresident and Director       AAA CAPITAL MANAGEMENT, INC.        By: /s/ A. Anthony Annunziato                      A. Anthony AnnunziatoPresident   10         EX-10.6 11 file003.htm LETTERS EXTENDING MANAGEMENT AGREEMENTS         June 15,  2005 Drury Capital Inc.47 Hulfish Street – Suite 340Princeton, N.J. 08542 Attention: Mr.  Bernard Drury  Re: Management Agreement Renewal  Dear Mr.  Drury: We are writing with respect to your management agreement concerning the commodity pool to which reference is made below (the ‘‘Management Agreement’’). We are extending the term of the Management Agreement through June  30, 2006 and all other provisions of the Management Agreement will remain unchanged.         •  Citigroup Diversified Futures 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/ Bernard Drury  Print Name: Bernard Drury  DRMcA/sr     June  15, 2005 Aspect Capital Management Ltd.Nations House – 8th Floor103 Wigmore StreetLondon W1U 1QS, U.K. Attention: Mr.  Anthony Todd  Re: Management Agreement Renewals  Dear Mr.  Todd: 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 Global Diversified Futures Fund L.P.           •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.           •  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/ Anthony Todd  Print Name: Anthony Todd  DRMcA/sr     June  15, 2005 John W. Henry & Company, Inc.301 Yamato Road, Suite 2200Boca Raton, Fl. 33431-4931 Attn: Mr.  Ken Webster Re: Management Agreement Renewals Dear Mr. Webster: 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.         •  Shearson Mid-West Futures Fund           •  Shearson Lehman Select Advisors Futures Fund L.P.           •  Smith Barney Mid-West Futures Fund L.P. II           •  Smith Barney Westport Futures Fund L.P.           •  Hutton Investors Futures Fund, L.P. II (HIFF II)           •  AURORA 2001           •  AURORA III           •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.           •  Alera 100           •  JWH Strategic Allocation Master Fund LLC           •  Citigroup Diversified Futures Fund   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/ Ken Webster  Print Name: Ken Webster  DRMcA/sr     June  15, 2005 Willowbridge Associates Inc.101 Morgan Lane – Suite 180Plainsboro, 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/ Steve R. Crane  Print Name: Steve R. Crane  DRMcA/sr     June  15, 2005 Capital Fund Management6 Boulevard Haussmann75009 ParisFrance Attention: Jean-Pierre Aguilar, CFO Re: Management Agreement Renewals Dear Mr. Aguilar: 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 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/ Jean-Pierre Aguilar  Print Name: Jean-Pierre Aguilar  DRMcA/sr     June  15, 2005 Graham Capital Management, L.P.Rock Ledge Financial Center40 Highland AvenueRowayton, 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     June  15, 2005 Winton Capital Management1a. St. Mary Abbot’s PlaceKensington, London W86LS, U.K. Attention: Mr.  Martin Hunt Re: Management Agreement Renewals Dear Mr.  Hunt: 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 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         EX-31.1 12 file004.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this Annual Report on Form 10-K of Citigroup 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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;            c) 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            d) 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 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 30, 2006      /s/ David J. Vogel David J. Vogel Citigroup Managed Futures LLC President and Director                EX-31.2 13 file005.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 Citigroup 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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;            c) 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            d) 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 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 30, 2006      /s/ Daniel R. McAuliffe Jr.  Daniel R. McAuliffe Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director                EX-32.1 14 file006.htm CERTIFICATE         Exhibit 32.1 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 Citigroup 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. VogelCitigroup Managed Futures LLC President and Director  March 30, 2006                                  EX-32.2 15 file007.htm CERTIFICATE         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 Citigroup 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 30, 2006                                  -----END PRIVACY-ENHANCED MESSAGE-----