SALOMON SMITH BARNEY GLOBAL DIVERSIFIED FUTURES FUND L P
2005  2004  2003  2002  2001   Realized and unrealized tradinggains (losses) net of brokerage commissions and Investment in Partnerships (including clearing fees) of $2,508,259, $3,000,995, $3,165,689, $3,030,685 and $3,312,436, respectively  $ 5,669,016    $                (1,065,432 )   $ 10,770,857    $ 7,180,050    $ 2,013,666     Interest income    257,057      493,041      414,271      646,856      1,580,323        $ 5,926,073    $                (572,391 )   $ 11,185,128    $ 7,826,906    $ 3,593,989     Net income (loss)  $ 4,631,510    $                (1,870,748 )   $ 8,236,273    $ 5,603,443    $ 2,185,742     Increase (decrease) in Net Asset Value per Redeemable Unit  $ 145.99    $                (49.56 )   $ 203.30    $ 128.72    $ 41.71     Total assets  $ 47,562,480    $ 49,765,621    $ 57,815,029    $ 53,694,328    $ 54,385,513          12
•  due diligence examinations of the Advisors;         •  selection, appointment and termination of the Advisors;         •  negotiation of the management agreements; and         •  monitoring the activity of the Advisors.   In addition, the General Partner prepares the books and records and provides the administrative and compliance services that are required by law or regulation from time to time in connection with operation of the Partnership. These services include the preparation of required books and records and reports to limited partners, government agencies and regulators; computation of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner communications; and preparation of offering documents and sales literature. The General Partner 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: Campbell – Financial, Metal & Energy Large Portfolio ("FME Large"), Aspect – Diversified Program ("Diversified"), and Altis – The Global Financial Program. As of December 31, 2005, the Partnership's assets were allocated among the Advisors in the following approximate percentages: Campbell, 34%, Aspect, 35%, and Altis, 31%.  Campbell & Company, Inc. Campbell trades its FME Large Portfolio for the Partnership. Campbell's trading models are designed to detect and exploit medium-term to long-term price changes, while also applying risk management and portfolio management principles. Campbell believes that utilizing multiple trading models provides an important level of diversification, and is most beneficial when multiple contracts of each market are traded. Every trading model may not trade every market. It is possible that one trading model may signal a long position while another trading model signals a short position in the same market. It is Campbell's intention to offset those signals to reduce unnecessary trading, but if the signals are not simultaneous, both trades will be taken and since it is unlikely that both positions would prove profitable, in retrospect, one or both trades will appear to have been unnecessary. It is Campbell's policy to follow trades signaled by each trading model independently of the other models. 13      Aspect Capital Limited. 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 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.  Altis Partners (Jersey) Limited. Altis trades its Global Diversified Program on behalf of the Partnership. It is a systematic, automated trading program that builds on the Principals' market experience and employs a unique proprietary Advanced Asset Allocator. The Advanced Asset Allocator was specifically developed to manage portfolios of derivative instruments in a robust and scalable manner. The portfolio management technology combines original, traditional and contrasting investment techniques into one complete and comprehensive trading system. Investments changes are implemented after considering their effect on the whole portfolio not just the individual markets concerned. (a)    Liquidity. The Partnership does not engage in sales of goods or services. Its only assets are its equity in its commodity futures trading account, consisting of cash and its investments in other partnerships. 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 in other partnerships that invest their 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 clearing house, 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.   14           (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 through its investments in other partnerships, 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 other partnerships due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Partnership's/other partnerships' risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership through its investments in other partnerships, has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's/other partnerships' 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/other partnerships are subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online 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 the financial statements.) Other than the risks inherent in commodity trading, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership's liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the Partnership will cease trading operations and liquidate all open positions upon the first to occur of the following: (i) December 31, 2018; (ii) the vote to dissolve the Partnership by limited partners owning more than 50% of the Redeemable Units; (iii) assignment by the General Partner of all of its interest in the Partnership or withdrawal, removal, bankruptcy or any other event that causes the  15      General Partner to cease to be a general partner under the New York Revised Limited Partnership Act unless the Partnership is continued as described in the Limited Partnership Agreement; (iv) Net Asset Value per Redeemable Unit falls to less than $400 as of the end of any trading day; or (v) the occurrence of any event which shall make it unlawful for the existence of the Partnership to be continued. (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 cause all or some of their Redeemable Units to be redeemed by the Partnership at the redemption value per Redeemable Unit thereof as of the last day of any month ending at least three months after such Redeemable Units have been issued, on ten days notice to the General Partner. No fee is charged for redemptions. For the year ended December 31, 2005, 3,253.3836 Redeemable Units were redeemed totaling $4,383,276. For the year ended December 31, 2004, 4,101.9750 Redeemable Units were redeemed totaling $5,527,081. For the year ended December 31, 2003, 3,024.9460 Redeemable Units were redeemed totaling $3,920,900. (c)    Results of Operations. For the year ended December 31, 2005, the Net Asset Value per Redeemable Unit increased 10.9% from $1,334.69 to $1,480.68. For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit decreased 3.6% from $1,384.25 to $1,334.69. For the year ended December 31, 2003, the Net Asset Value per Redeemable Unit increased 17.2% from $1,180.95 to $1,384.25. The Partnership experienced a net trading gain of $8,177,275 before brokerage commissions and related fees in 2005. Gains were primarily attributable to the trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, livestock, metals, softs and indices and were partially offset by losses in grains and wood. The Partnership experienced a net trading gain of $8,177,275 before brokerage commissions and related fees in 2005. Gains were primarily attributable to the trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, livestock, metals, softs and indices and were partially offset by losses in grains and wood. The year 2005 was characterized by several events that made it generally difficult for the Partnership's Advisors to navigate the markets successfully and retain profits when earned. Profits were earned in all markets except grains and wood contracts. Both the precious and base or industrial metals sectors saw nearly uninterrupted rises in prices for the year and was the most profitable sector for partnership during the year. 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, trading in foreign stock market indices was also profitable for the year as a resurging Japanese economy and positive political news in Europe propelled these markets out of long-term doldrums. Crude oil and natural gas prices increased throughout the year dramatically reaching their peaks post Hurricanes Katrina and Rita. These markets provided extended trending patterns for the Partnership's Advisors and resulted in profits for the partnership. 16     Currency trading was slightly profitable 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 period of volatility at the beginning of the third quarter with the Chinese government's decision to revalue the Chinese yuan. Weathering this volatility, the Partnership's Advisors were able to retain profits despite a further reversal with a stronger dollar at year-end. Non-U.S. and U.S. interest rate trading was profitable as was trading in softs and livestock markets. The Partnership experienced a net trading gain of $1,935,563 before commissions and expenses for the year ended December 31, 2004. Gains were primarily attributable to the trading of grains, lumber, livestock, energy, U.S. and non-U.S. interest rates and were partially offset by losses incurred in the trading of currencies, indices, metals 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 of nearly 11% with trends carrying over from late 2003, the next six months which saw trend disruptions and produced losses of approximately 17%, the third period September through November witnessed a recovery period with net asset value per unit increasing by 5%, and finally the month of December which stands alone as basically break-even. The Partnership ended the year down 3.6%. The results for the year were heavily influenced by two historic trends: the decline and subsequent volatility in the value of the U.S. dollar versus major currencies and the run-up in the price of crude oil to over $50 a barrel. The year started strongly with many of the trends from late 2003 continuing into early 2004. Notably lower interest rates in the U.S. and other major countries fostered strong global economic growth and pressured commodity prices. These forces resulted in upward trends in many sectors, especially energy, metals and grains and provided profitable trading opportunities for the Partnership's Advisors. These trends persisted until early March when economic indicators in the U.S. and China suggested rising inflation and markets reversed precipitously with higher interest rates, collapsing commodity prices and the dollar reversal. This began a protracted period of tentative and conflicting trends across many sectors. As expected in the nature of trend-following, the strength of profitable trends is often followed by temporary but often severe periods of losses. Late March through August was such a period for nearly all of the Partnership's Advisors as they adjusted positions from what had been profitable, long-term trends to choppy, directionless and volatile markets. Trading was treacherous and thus unprofitable in U.S. and Asian interest rates and global stock indices while energy, metals and grains provided some offsetting profits. The fundamental economic concerns hanging over these markets were further exacerbated by the uncertainty surrounding the tightly contested U.S. presidential election. With the year looking dismal going into the fall, the price of crude oil resumed its climb to $50 a barrel brought on by a deteriorating security situation in Iraq, Saudi Arabia political turmoil, and renewed threats of terrorism. Long positions in the energy sector contributed to profits and offset losses in other sectors. As the fourth quarter got underway, the slide in the value of the U.S. dollar accelerated toward $1.40 to the euro. These renewed trends in currency prices combined with declining interest rates, stronger global stock markets and rising energy prices were favorable to the Partnership's Advisors and provided a profitable October and November for the Partnership. December in some respects was a microcosm of the entire year with volatility across many markets especially currencies and energy. The net effect was a small loss for the month and an overall decline in net asset value per unit for the Partnership for the year. The Partnership experienced a net trading gain of $13,936,546 before commissions and expenses for the year ended December 31, 2003. Gains were primarily attributable to the trading of currencies, energy, U.S. and non-U.S. interest rates, metals and indices, and were partially offset by losses incurred in the trading of grains and softs. In the General Partner's opinion, the Advisors continue to employ trading methods and produce results consistent with the objectives of the Partnership and expectations for the Advisors' programs. The  17      General Partner continues to monitor the Advisors' performance on a daily, weekly, monthly and annual basis to assure these objectives are met. It should be noted that commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisors to identify those price trends correctly. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations. (d)    Operational Risk. The Partnership is directly exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace. Such risks include:  Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.  Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's ability to gather, process, and communicate information efficiently and securely, without interruption, to customers, among Redeemable Units within the Partnership, and in the markets where the Partnership participates.  Legal/Documentation Risk — the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in noncompliance with applicable legal and regulatory requirements.  Financial Control Risk — the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with management's authorization, and that financial information utilized by management and communicated to external parties, including the Partnership's Redeemable Unit holders, creditors, and regulators, is free of material errors. (e)    Critical Accounting Policies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the other partnerships are used for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests. 18     Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting dates, is included in the statements of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statements of income and expenses and changes in members' capital. The General Partner believes that the accounting policies that will be most critical to the Partnership's financial condition and results of operations relate to the valuation of the Master's positions. The majority of the Partnership's/Master'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/Master's assets will be valued by objective measures and without difficulty. 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 the 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  19      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 interval. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component which is not relevant to Value at Risk. In the case of market sensitive instruments which are not exchange traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers' margins have been used. The fair value of the Partnership's futures and forward positions does not have any optionality component. However, certain of the Advisors trade commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin has been used, and where this instrument is a physical commodity, the futures-equivalent maintenance margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments. In quantifying the Partnership's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership's positions are rarely, if ever, 100% positively correlated have not been reflected. 20     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, 2004 and the highest, lowest and average values at any point during the year. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2004, the Partnership's total capitalization was $46,309,169. December 31, 2004                               Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  LowValue at Risk  Average*Value at Risk   Currencies                                      — Exchange Traded Contracts  $ 256,224      0.55 %     285,604      134,288      226,269     — OTC Contracts    1,537,740      3.32 %     1,900,391      530,949      1,123,435     Energy    570,245      1.23 %     948,624      245,217      582,094     Grains    240,688      0.52 %     434,204      76,491      274,487     Interest rates U.S.    412,900      0.89 %     957,450      85,965      448,635     Interest rates Non-U.S.    1,249,539      2.70 %     2,428,078      725,328      1,318,767     Livestock    65,600      0.14 %     150,200      3,200      74,242     Metals                                      — Exchange Traded Contracts    79,000      0.17 %     311,900      62,000      157,910     — OTC Contracts    418,954      0.91 %     777,420      259,515      444,799     Softs    276,929      0.60 %     471,798      57,000      300,236     Indices    1,969,204      4.25 %     3,060,289      613,184      1,447,003     Lumber     3,300      0.01 %     25,950      700      13,375     Total  $ 7,080,323      15.29 %                                                 * annual average based on 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  21      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, 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.  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 Partnership's major exposures have typically been in the dollar/yen, dollar/Swiss franc and dollar/pound positions. 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 U.S. dollars.  Stock Indices. The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2005, the Partnership's primary exposures were in the LIFFE (England), Nikkei (Japan), EUREX (German) and S&P 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 copper and aluminum.  Softs. The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions.  Energy. The Partnership's primary energy market exposure is to 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 dollars, British pounds and Australian dollars. The Advisor regularly converts foreign currency balances to dollars in an attempt to control the Partnership's non-trading risk. 22     Qualitative Disclosures Regarding Means of Managing Risk Exposure The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. The General Partner monitors the Partnership's performance and the concentration of its open positions, and consults with the Advisors concerning the Partnership's overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require 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. Each Advisor applies its own risk management policies to its trading. The Advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The Advisors' research of risk management often suggests ongoing modifications to their trading programs. As part of the General Partner's risk management, the General Partner periodically meets with the Advisors to discuss their risk management and to look for any material changes to the Advisors' portfolio balance and trading techniques. The Advisors are required to notify the General Partner of any material changes to their programs. 23     Item 8.    Financial Statements and Supplementary Data. SALOMON SMITH BARNEY GLOBAL DIVERSIFIED FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS                  Page Number   Oath or Affirmation   F-2   Report of Independent Registered Public Accounting Firm  F-3   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004   F-4   Condensed Schedules of Investments at December 31, 2005 and 2004   F-5 - F-6   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and  2003   F-7   Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003  F-8   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-9   Notes to Financial Statements   F-10 - F-15   Selected Unaudited Quarterly Financial Data   F-16   Financial Statements of CMF Campbell Master Fund L.P.      Oath of Affirmation  F-17   Independent Auditors' Report  F-18   Statement of Financial Condition at December 31, 2005  F-19   Condensed Schedule of Investments at December 31, 2005  F-20   Statement of Income and Expenses for the year ended December 31, 2005  F-21   Statement of Changes in Partners' Capital for the year ended December 31, 2005  F-22   Statement of Cash Flows for the year ended December 31, 2005  F-23   Notes to Financial Statements  F-24 - F27   Selected Unaudited Quarterly Financial Data  F-28   Financial Statements of CMF Aspect Master Fund L.P.      Oath of Affirmation  F-29   Independent Auditors' Report  F-30   Statement of Financial Condition at December 31, 2005  F-31   Condensed Schedule of Investments at December 31, 2005  F-32   Statement of Income and Expenses for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005  F-33   Statement of Changes in Partners' Capital for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005  F-34   Statement of Cash Flows for the period from March 1, 2005     (commencement of trading operations) to December 31, 2005  F-35   Notes to Financial Statements  F-36 - F-39   Selected Unaudited Quarterly Financial Data  F-40   Financial Statements of CMF Altis Partners Master Fund L.P.      Oath of Affirmation  F-41   Independent Auditors' Report  F-42   Statement of Financial Condition at December 31, 2005  F-43   Condensed Schedule of Investments at December 31, 2005  F-44   Statement of Income and Expenses for the period from November 1, 2005    (commencement of trading operations) to December 31, 2005  F-45   Statement of Changes in Partners' Capital for the period from November 1, 2005     (commencement of trading operations) to December 31, 2005  F-46   Statement of Cash Flows for the period from November 1, 2005     (commencement of trading operations) to December 31, 2005  F-47   Notes to Financial Statements  F-48 - F-51   Selected Unaudited Quarterly Financial Data  F-52        F-1     To the Limited Partners ofSalomon Smith Barney Global 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 DirectorCitigroup Managed Futures LLCGeneral Partner, Salomon Smith BarneyGlobal Diversified Futures Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-2     Report of Independent Registered Public Accounting Firm To the Partners of Salomon Smith Barney Global Diversified Futures Fund L.P.: We have audited the accompanying statements of financial condition of Salomon Smith Barney Global Diversified Futures Fund L.P. (the "Partnership"), including the condensed schedules of investments, as of December 31, 2005 and 2004, and the related statements of income and expenses, changes in partners' capital, and cash flows for each of the years in the three year period ended December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Salomon Smith Barney Global Diversified Futures Fund L.P. 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-3     Salomon Smith BarneyGlobal Diversified Futures Fund L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Investment in Partnerships at Fair Value  $ 47,537,531    $ —     Cash (restricted $0 and $7,809,827 in 2005 and 2004, respectively) (Note 3c)    24,949      45,957,960     Net unrealized appreciation on open futures positions    —      1,304,242     Unrealized appreciation on open forward contracts    —      2,441,507          47,562,480      49,703,709     Interest receivable (Note 3c)    —      61,912        $ 47,562,480    $ 49,765,621     Liabilities and Partners' Capital:                 Liabilities:                 Unrealized depreciation on open forward contracts  $ —    $ 2,410,164     Accrued expenses:                 Commissions (Note 3c)    218,136      216,593     Management fees (Note 3b)    70,024      68,950     Incentive fees (Note 3b)    451,973      357,621     Professional fees    13,367      28,522     Other    15,598      13,393     Redemptions payable (Note 6)    235,979      361,209          1,005,077      3,456,452     Partners' capital (Notes 1 and 6):                 General Partner, 619.7983 Unit equivalents outstanding in 2005 and 2004    917,723      827,239     Limited Partners, 30,823.4179 and 34,076.8015 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    45,639,680      45,481,930          46,557,403      46,309,169        $ 47,562,480    $ 49,765,621           See accompanying notes to financial statements.  F-4     Salomon Smith Barney Global Diversified Futures Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Investment in Partnerships                 CMF Altis Partners Master Fund L.P.  $ 14,780,472      31.75 %    CMF Aspect Master Fund L.P.    16,321,019      35.06     CMF Campbell Master Fund L.P.    16,436,040      35.30     Total Fair Value  $ 47,537,531      102.11 %                Percentages are based on Partners' capital unless otherwise indicated    See accompanying notes to financial statements.  F-5     Salomon Smith Barney Global Diversified Futures Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $                (25,785 )     (0.06 )%    Energy    (76,043 )     (0.16 )    Grains    48,617      0.11     Interest Rates Non-U.S.    297,191      0.64     Interest Rates U.S.    6,524      0.01     Indices    473,453      1.02     Livestock    70,660      0.15     Metals    50,652      0.11     Softs    117,862      0.25     Total futures contracts purchased    963,131      2.07                       Futures Contracts Sold                 Currencies    (13,704 )     (0.03 )    Energy    96,079      0.20     Grains    206,863      0.45     Interest Rates Non-U.S.    (451 )     (0.00) *    Interest Rates U.S.    15,306      0.03     Indices    1,825      0.01     Lumber    (8,646 )     (0.02 )    Livestock    2,848      0.01     Metals    18,032      0.04     Softs    22,959      0.05     Total futures contracts sold    341,111      0.74                       Unrealized Appreciation on Forward Contracts                 Currencies    1,562,525      3.37     Metals    878,982      1.90     Total unrealized appreciation on forward contracts    2,441,507      5.27                       Unrealized Depreciation on Forward Contracts                 Currencies    (1,441,804 )     (3.11 )    Metals    (968,360 )     (2.09 )    Total unrealized depreciation on forward contracts    (2,410,164 )     (5.20 )    Total fair value  $ 1,335,585      2.88  %                Percentages are based on Partners' capital unless otherwise indicated* Due to rounding    See accompanying notes to financial statements.  F-6     Salomon Smith BarneyGlobal Diversified Futures Fund L.P.Statements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions and foreign currencies  $                (389,655 )   $ 4,147,100    $ 13,649,957     Change in unrealized gains (losses) on open positions and Investment in Partnerships    8,566,930      (2,211,537 )     286,589          8,177,275      1,935,563      13,936,546     Interest income (Note  3c)     257,057      493,041      414,271          8,434,332      2,428,604      14,350,817     Expenses:                        Brokerage commissions including clearing fees of $55,048, $98,661 and $134,373 in 2005, 2004 and 2003, respectively (Note 3c)    2,508,259      3,000,995      3,165,689     Management fees (Note 3b)    777,800      882,122      924,561     Incentive fees (Note 3b)    451,973      357,621      1,953,719     Professional fees    34,640      41,064      51,774     Other expenses    30,150      17,550      18,801          3,802,822      4,299,352      6,114,544     Net income (loss)  $ 4,631,510    $                (1,870,748 )   $ 8,236,273     Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 7)  $ 145.99    $                (49.56 )   $ 203.30           See accompanying notes to financial statements.  F-7     Salomon Smith BarneyGlobal Diversified Futures Fund L.P.Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003                          LimitedPartners  GeneralPartner  Total   Partners' capital at December 31, 2002   $ 48,659,674    $ 731,951    $ 49,391,625     Net income     8,110,268      126,005      8,236,273     Redemption of 3,024.9460 Redeemable Units of Limited Partnership Interest     (3,920,900 )     —      (3,920,900 )    Partners' capital at December 31, 2003     52,849,042      857,956      53,706,998     Net loss     (1,840,031 )     (30,717 )     (1,870,748 )    Redemption of 4,101.9750 Redeemable Units of Limited Partnership Interest     (5,527,081 )     —      (5,527,081 )    Partners' capital at December 31, 2004     45,481,930      827,239      46,309,169     Net income    4,541,026      90,484      4,631,510     Redemption of 3,253.3836 Redeemable Units of Limited Partnership Interest    (4,383,276 )     —      (4,383,276 )    Partners' capital at December 31, 2005  $ 45,639,680    $ 917,723    $ 46,557,403          Net Asset Value per Redeemable Unit:               2003  $ 1,384.25     2004  $ 1,334.69     2005  $ 1,480.68           See accompanying notes to financial statements.  F-8     Salomon Smith Barney Global Diversified Futures Fund L.P.Statements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)   $ 4,631,510    $                (1,870,748 )   $ 8,236,273     Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        Purchase of Investment in Partnerships     (46,563,843 )     —      —     Proceeds from sale of Investment in Partnerships     5,108,518      —      —     Net unrealized appreciation (depreciation) on Investment in Master     (6,082,206 )     —      —     (Increase) decrease in restricted cash    7,809,827      (1,169,544 )     (812,689 )    (Increase) decrease in net unrealized appreciation on open futures positions     1,304,242      (49,739 )     1,654,112     (Increase) decrease in unrealized appreciation on open forward contracts     2,441,507      1,424,664      (1,923,371 )    (Increase) decrease in interest receivable     61,912      (31,770 )     9,793     Increase (decrease) in unrealized depreciation on open forward contracts     (2,410,164 )     836,612      (17,330 )    Accrued expenses:                        Increase (decrease) in commissions     1,543      (41,347 )     18,978     Increase (decrease) in management fees     1,074      (11,193 )     3,077     Increase (decrease) in incentive fees     94,352      (1,596,098 )     660,248     Increase (decrease) in professional fees     (15,155 )     (14,195 )     (8,349 )    Increase (decrease) in other     2,205      3,941      2,968     Net cash provided by (used in) operating activities     (33,614,678 )     (2,519,417 )     7,823,710     Cash flows from financing activities:                        Payments for redemptions – Limited Partners    (4,508,506 )     (5,356,380 )     (4,775,164 )    Net change in cash     (38,123,184 )     (7,875,797 )     3,048,546     Unrestricted cash, at beginning of year     38,148,133      46,023,930      42,975,384     Unrestricted cash, at end of year   $ 24,949    $ 38,148,133    $ 46,023,930           See accompanying notes to financial statements.  F-9     Salomon Smith BarneyGlobal Diversified Futures Fund L.P. Notes to Financial Statements 1.    Partnership Organization: Salomon Smith Barney Global Diversified Futures Fund L.P. (the "Partnership") is a limited partnership organized under the laws of the State of New York on June 15, 1998 to engage in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options and forwards. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. Between November 25, 1998 (commencement of the offering period) and February 1, 1999, 33,379 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 February 2, 1999, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell 100,000 Redeemable Units during its offering period which ended November 25, 2000. 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, 2018; the Net Asset Value of a Redeemable Unit decreases to less than $400 per Redeemable Unit as of a close of any business day; or under certain other circumstances as defined in the Limited Partnership Agreement. 2.    Accounting Policies:       a.  The value of the Partnership's investments in other partnerships reflects the Partnership's proportional interest in the other partnerships. All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the other partnerships are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the year. Realized gains (losses) and changes in unrealized gains (losses) on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.         b.  The Partnership may purchase and write (sell) options. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the statements of financial condition and marked to market daily.         c.  Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership's income and expenses.   F-10     Salomon Smith BarneyGlobal Diversified Futures 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 Partnership, has entered into Management Agreements with Campbell & Company, Inc. ("Campbell"), Aspect Capital Limited ("Aspect") and Altis Partners (Jersey) Limited ("Altis") (collectively, the "Advisors"), each of which are registered commodity trading advisors. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership. The Partnership will pay each Advisor a monthly management fee equal to 1/6 of 1% (2% a year) of month-end Net Assets allocated to the Advisor, except for Aspect, which will receive a monthly management fee equal to 1/12 of 1.25% (1.25% a year) of month-end Net Assets allocated to it. 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 annually, 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 monthly brokerage fee equal to 9/20 of 1% (5.4% per year) of month-end Net Assets, in lieu of brokerage commissions on a per trade basis. Month-end Net Assets, for the purpose of calculating commissions are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of accrued expenses and redemptions payable. CGM will pay a portion of brokerage fees to its financial consultants who have sold Redeemable Units in this 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 $0 and $7,809,827, respectively. CGM will pay the Partnership interest on 80% of the average daily equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party. F-11     Salomon Smith BarneyGlobal 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 interests. The results of the Partnership's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value during the years ended December 31, 2005 and 2004, based on a monthly calculation, was $916,485 and $1,962,289, respectively. 5.    Investment in Partnerships: On January 1, 2005, the assets allocated to Campbell for trading were invested in the CMF Campbell Master Fund L.P. ("Campbell Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 17,534.8936 Units of the Campbell Master with cash equal to $17,341,826 and a contribution of open commodity futures and forwards positions with a fair value of $193,067. Campbell Master was formed to permit commodity pools managed now and in the future by Campbell using Campbell's Financials Metals and Energy "FME" Portfolio, the Advisor's proprietary trading program, to invest together in one trading vehicle. The General Partner is the general partner of Campbell Master. Individual and pooled accounts are permitted to be a limited partner of Campbell Master. The General Partner and the Advisor believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to the Advisors as a result of the investment in Campbell Master are approximately the same and redemption rights are not affected. On March 1, 2005, the assets allocated to Aspect for trading were invested in 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 16,015.3206 Units of the Aspect 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. Aspect Master was formed to permit commodity pools managed now and in the future by Aspect using Aspect's Diversified Portfolio Program, the Advisor's proprietary trading 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 are permitted to be a limited partner of Aspect Master. The General Partner and the Advisor believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to the Advisors as a result of the investment in Aspect Master are approximately the same and redemption rights are not affected. On November 1, 2005, the assets allocated to Altis for trading were invested in the CMF Altis Partners Master Fund L.P. ("Altis Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 13,013.6283 Units of the Altis Master with cash equal to $11,227,843 and a contribution of open commodity futures and forwards positions with a fair value of $1,785,785. Altis Master was formed to permit commodity pools managed now and in the future by Altis using Altis Diversified Portfolio Program, the Advisor's proprietary trading program, to invest together in one trading vehicle. The general partner of the partnership is the General Partner of Altis Master. Individual and pooled accounts are permitted to be a limited partner of Altis Master. The General Partner and the Advisor believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to the Advisors as a result of the investment in Altis Master are approximately the same and redemption rights are not affected. Campbell Master's, Aspect Master's and Altis Master's (the "Master Funds") trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Master Funds engage in such trading through commodity brokerage accounts maintained by CGM. A limited partner may withdraw all or part of their capital contribution and undistributed profits, if any from the Master Funds in multiples of the net asset value per united of limited partnership interest  F-12     Salomon Smith BarneyGlobal Diversified Futures Fund L.P. Notes to Financial Statements  as of the last day of the month after a request for redemption has been made to the General Partner at least 3 days in advance of month-end. 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 commissions are charged at the Partnership level. As of December 31, 2005 the Partnership owns 5.0%, 8.4% and 72.6% of Campbell Master, Aspect Master and Altis Master, respectively. The performance of the Partnership is directly affected by the performance of the Master Funds. It is Campbell's, Aspect's and Altis's intention to continue to invest the assets allocated to each by the Partnership in Campbell Master, Aspect Master and Altis Master, respectively. Summerized information reflecting the total assets, liabilities and capitals for the Master Funds are shown in the following table.                                  December 31, 2005            Investments' Total Assets  Investments' Total Liabilities  Investments' Total Capital  Investment Objective  RedemptionsPermitted   Campbell Master  $ 347,366,314    $ 20,975,541    $ 326,390,773    FMEPortfolio    Monthly     Aspect Master    200,507,575      5,680,632      194,826,943    Commodity Portfolio    Monthly     Altis Master    21,526,809      1,223,818      20,302,991    Commodity Portfolio    Monthly        $ 569,400,698    $ 27,879,991    $ 541,520,707                    Summerized information reflecting the Partnership's investment in, and the operations of, the Master Funds are shown in the following table.                                              % of Partnership's Net Assets        Expenses  Net Income(Loss)  Investment Objective  RedemptionsPermitted   Investment  Fair Value  Income (loss)  Commissions  Other   For the year ended December 31, 2005                                             Campbell Master    35.30 %   $ 16,436,040    $ 2,495,783    $ 27,036    $ 3,048    $ 2,465,699    FMEPortfolio    Monthly     Aspect Master    35.06 %     16,321,019      2,577,359      34,193      5,187      2,537,979    CommodityPortfolio    Monthly     Altis Master    31.75 %     14,780,472      1,898,802      31,767      7,264      1,859,771    Commodity Portfolio    Monthly               $ 47,537,531    $ 6,971,944    $ 92,996    $ 15,499    $ 6,863,449                    6.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. Beginning with the first full month ending at least three months after the commencement of trading, a limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of any month on 10 days notice to the General Partner provided that no redemption may result in the Limited Partner holding fewer than 3 units after redemption is effected. There is no fee charged to limited partners in connection with redemptions. F-13     Salomon Smith BarneyGlobal Diversified Futures Fund L.P. Notes to Financial Statements 7.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the years ended December 31, 2005, 2004 and 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $ 177.71    $                (28.42 )   $ 265.99     Interest income    7.69      13.32      10.29     Expenses**    (39.41 )     (34.46 )     (72.98 )    Increase (decrease) for the year    145.99      (49.56 )     203.30     Net Asset Value per Redeemable Unit, beginning of year    1,334.69      1,384.25      1,180.95     Net Asset Value per Redeemable Unit, end of year  $ 1,480.68    $ 1,334.69    $ 1,384.25                * Includes brokerage commissions.         ** Excludes brokerage commissions.                         Ratios to Average Net Assets:                        Net investment loss before incentive fees***    (6.9 )%     (6.8 )%     (7.2 )%    Operating expenses    7.5 %     7.7 %     8.0 %    Incentive fees    1.0 %     0.7 %     3.8 %    Total expenses    8.5 %     8.4 %     11.8 %    Total return:                        Total return before incentive fees    12.0 %     (2.8 )%     21.5 %    Incentive fees    (1.1 )%     (0.8 )%     (4.3 )%    Total return after incentive fees    10.9 %     (3.6 )%     17.2 %               *** Interest income less total expenses (exclusive of incentive fees).   The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners' share of income, expenses and average net assets. 8.    Financial Instrument Risks: In the normal course of its business, the Partnership, through its investments in other partnerships, 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 a counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the other partnerships due to market changes, including interest and foreign exchange rate movements and  F-14     Salomon Smith BarneyGlobal Diversified Futures Fund L.P. Notes to Financial Statements  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/other partnerships' risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership through its investments in other partnerships has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's/other partnerships' assets is CGM. The General Partner monitors and controls the Partnership's/other partnerships' 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/other partnerships are 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/other partnerships' business, these instruments may not be held to maturity. F-15     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and 2004 are summarized below:                              For theperiod fromOctober 1, 2005 to December 31, 2005  For theperiod from July 1, 2005 to September 30, 2005  For theperiod fromApril 1, 2005 toJune 30, 2005  For theperiod from January 1, 2005 to March 31, 2005   Net realized and unrealized trading gains (losses) and Investment in Partnerships net of brokerage commissions and clearing fees plus interest income   $ 2,010,799    $ 3,193,585    $  2,572,220    $                (1,850,531 )    Net income (loss)  $ 1,535,192    $  2,963,852    $  2,187,867    $                (2,055,401 )    Increase (decrease) in Net Asset Value per Redeemable Unit   $  47.90    $  91.17    $  66.01    $                (59.09 )                                      For theperiod fromOctober 1, 2004 to December 31, 2004  For theperiod from July 1, 2004 to September 30, 2004  For theperiod fromApril 1, 2004 to June 30, 2004  For theperiod from January 1, 2004 to  March 31, 2004   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income   $  2,481,869    $                (811,572 )   $                (8,839,094 )   $  6,596,406     Net income (loss)   $  1,981,247    $                (873,498 )   $                (8,067,343 )   $  5,088,846     Increase (decrease) in Net Asset Value per Redeemable Unit   $  54.61    $                (23.53 )   $                (212.32 )   $  131.68          F-16     To the Limited Partners ofCMF Campbell Master Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Campbell Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-17     Independent Auditor's Report To the Partners ofCMF Campbell Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Campbell Master Fund L.P. (the "Partnership"), including the condensed schedule of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of CMF Campbell Master Fund L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the year ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.     New York, New York March 13, 2006 F-18     CMF Campbell Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $42,476,193) (Note 3c)  $ 337,483,460     Unrealized appreciation on open forward contracts    9,103,088          346,586,548     Interest receivable     779,766        $ 347,366,314                Liabilities and Partners' Capital:          Liabilities:          Net unrealized depreciation on open future positions  $ 607,801     Unrealized depreciation on open forward contracts    19,546,499     Accrued expenses:          Professional fees    41,475     Distribution payable (Note 5)    779,766          20,975,541                Partners' capital:          Partners' capital, 286,601.7201 Redeemable Units outstanding in 2005    326,390,773        $ 347,366,314                      See accompanying notes to financial statements.  F-19     CMF Campbell Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                                   Energy  $                (2,956,926 )     (0.90 )%    Interest Rates Non-U.S.    128,183      0.04     Interest Rates U.S.    (22,312 )     (0.01 )    Indices    (193,762 )     (0.06 )    Metals    73,100      0.02     Total futures contracts purchased    (2,971,717 )     (0.91 )                      Futures Contracts Sold                                   Interest Rates Non-U.S.    2,875,170      0.88     Interest Rates U.S.    (435,695 )     (0.14 )    Indices    (75,559 )     (0.02 )    Total futures contracts sold    2,363,916      0.72                       Unrealized Appreciation on Forward Contracts                                   Currencies    9,018,132      2.76     Metals    84,956      0.03     Total unrealized appreciation on forward contracts    9,103,088      2.79                       Unrealized Depreciation on Forward Contracts                                   Currencies    (19,539,120 )     (5.99 )    Metals    (7,379 )     (0.00) *    Total unrealized depreciation on forward contracts    (19,546,499 )     (5.99 )                      Total fair value  $                (11,051,212 )     (3.39 )%                Percentages are based on Partners' capital unless otherwise indicated          * Due to rounding    See accompanying notes to financial statements.  F-20     CMF Campbell Master Fund L.P.Statement of Income and Expensesfor the year ended December 31, 2005                  2005   Income:          Net gains (losses) on trading of commodity interests:          Realized gains on closed positions and foreign currencies  $ 53,405,733     Net unrealized losses on open positions    (13,918,072 )         39,487,661     Interest income (Note 3c)    6,863,937          46,351,598     Expenses:          Clearing fees    485,726     Professional fees    54,450          540,176     Net income  $ 45,811,422     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 163.17           See accompanying notes to financial statements.  F-21     CMF Campbell Master Fund L.P.Statement of Changes in Partners' Capitalfor the year ended December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at January  1, 2005 representing 283,959.2998 Units  $ 283,959,300     Net income    45,811,422     Sale of 78,580.3523 Redeemable Units of Limited Partnership Interest    83,741,000     Redemption of 75,937.9320 Redeemable Units of Limited Partnership Interest    (80,257,012 )    Distribution of Interest to feeder funds    (6,863,937 )    Partners' capital at December 31, 2005  $ 326,390,773     Net asset value per Redeemable Unit:                                    2005:  $1,138.83         See accompanying notes to financial statements.  F-22     CMF Campbell Master Fund L.P.Statement of Cash Flowsfor the year ended December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 45,811,422     Adjustments to reconcile net income to net cash provided by (used in) operating activities:          Changes in operating assets and liabilities:          (Increase) decrease in restricted cash    (42,476,193 )    (Increase) decrease in net unrealized appreciation on open futures positions    4,370,478     (Increase) decrease in unrealized appreciation on open forward contracts    7,141,687     (Increase) decrease in interest receivable    (779,766 )    Increase (decrease) in net unrealized depreciation on open futures positions     607,801     Increase (decrease) in unrealized depreciation on open forward contracts    1,798,105     Accrued expenses:          Increase (decrease) in professional fees    41,475     Net cash provided by (used in) operating activities    16,515,009                Cash flows from financing activities:          Proceeds from additions     364,833,441     Payments for redemptions    (80,257,012 )    Distribution of interest to feeder funds    (6,084,171 )    Net cash provided by (used in) financing activities    278,492,258                Net change in cash    295,007,267     Unrestricted cash, at beginning of year    —     Unrestricted cash, at end of year  $ 295,007,267     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 2,866,859           See accompanying notes to financial statements.  F-23     CMF Campbell Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Campbell Master Fund L.P. (the "Master") is a limited partnership which was organized under the partnership laws of the State of New York to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of Redeemable units ("Units") of Limited Partnership Interest. On January 1, 2005, (date Master commenced trading operations), Smith Barney Potomac Futures Fund L.P. ("Potomac") allocated substantially all its capital and Smith Barney Diversified Futures Fund L.P. ("Diversified"), Smith Barney Diversified Futures Fund L.P. II ("Diversified II"), Smith Barney Global Markets Futures Fund L.P. ("Global Markets"), Salomon Smith Barney Global Diversified Futures Fund L.P. ("Global Diversified") and Salomon Smith Barney Diversified 2000 Futures Fund L.P. ("Diversified 2000") allocated a portion of their capital to the Master. Potomac purchased 173,788.6446 Units of the Master with cash equal to $172,205,653 and a contribution of open commodity futures and forwards positions with a fair value of $1,582,992, Diversified purchased 19,621.1422 Units of the Master with cash equal to $19,428,630 and a contribution of open commodity futures and forwards positions of $192,512, Diversified II purchased 18,800.3931 Units of the Master with cash equal to $18,587,905 and a contribution of open commodity futures and forwards positions of $212,488, Global Markets purchased 2,858.0358 Units of the Master with cash equal to $2,759,784 and a contribution of open commodity futures and forwards positions with a fair value of $98,252 Global Diversified purchased 17,534.8936 Units of the Master with cash equal to $17,341,826 and a contribution of open commodity futures and forwards positions with a fair value of $193,067 and Diversified 2000 purchased 51,356.1905 Units of the Master with cash equal to $50,768,573 and a contribution of open commodity futures and forwards positions with a fair value of $587,618. The Master was formed to permit commodity pools managed now and in the future by Campbell and Company Inc. (the "Advisor"), using the FME Large Portfolio, the Advisor's Proprietary trading program, to invest together in one trading vehicle. The Master operates under a "master/feeder fund" structure where its investors consist of Potomac, Diversified, Diversified  II, Global Markets, Global Diversified and Diversified 2000 (each a "Feeder", collectively the "Feeder Funds") with 70.8%, 4.7%, 5.4%, 0.9%, 5.0% and 13.2% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC, acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Effective as of December 31, 2005, all trading decisions for the Master are made by the Advisor. 2.    Accounting Policies:       a.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statement of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the year. Realized gains (losses) and changes in unrealized gains (losses) on open positions are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the feeder funds at the time of such determination.   F-24     CMF Campbell Master Fund L.P. Notes to Financial Statements       c.  Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master's income and expenses.         d.  The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.   3.    Agreements:       a.  Limited Partnership Agreement:           The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Feeder Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005, the amount of cash held by the Master for margin requirements was $42,476,193. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master's trading activities are shown in the statement of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value during the year ended December 31, 2005, based on a monthly calculation, was $11,094,108. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-25     CMF Campbell Master Fund L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the year ended December  31, 2005 was as follows:                  2005   Net realized and unrealized gains*  $ 139.02     Interest income    24.34     Expenses**    (.19 )    Increase for the year    163.17     Distributions    (24.34 )    Net Asset Value per Redeemable Unit, beginning of year    1,000.00     Net Asset Value per Redeemable Unit, end of year  $ 1,138.83                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:          Net investment income***    2.2 %    Operating expenses    0.2 %               Total return    16.3 %               ***  Interest income less total expenses   The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using Limited Partner's share of income, expense and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced  F-26     CMF Campbell 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-27     Selected unaudited quarterly financial data for Campbell Master for the year ended December 31, 2005 is summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 to September 30, 2005  For the period from April 1, 2005 to June 30, 2005  For the period from January 1, 2005 to  March 31, 2005   Net realized and unrealized tradinggains (losses) net of brokeragecommissions and clearing feesplus interest income  $ 15,970,277    $ 669,970    $ 38,451,824    $                (9,226,199 )    Net Income (loss)  $ 15,956,477    $ 656,169    $ 38,438,175    $                (9,239,399 )    Increase (decrease) in Net Asset Value per Redeemable Unit  $ 56.20    $ 1.63    $ 137.83    $                (32.49 )         F-28     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-29     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-30     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-31     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-32     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-33     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-34     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-35     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-36     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-37     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. 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-38     CMF Aspect 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-39     Selected unaudited quarterly financial data for CMF Aspect Master for the period ended December 31, 2005 is summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 to September 30, 2005  For the period from April 1, 2005 to June 30, 2005  For the period from March 1, 2005 (commencement of trading operations) to March 31, 2005   Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus 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-40     To the Limited Partners ofCMF Altis Partners 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 Altis Partners Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-41     Independent Auditor's Report To the Partners of    CMF Altis Partners Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Altis Partners 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 November 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 Altis Partners 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 November 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-42     CMF Altis Partners Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $4,753,680) (Note 3c)  $ 17,823,008     Net unrealized appreciation on open futures positions    1,493,446     Unrealized appreciation on open forward contracts    2,158,002     Interest receivable (Note 3c)    52,353        $ 21,526,809                Liabilities and Partners' Capital:          Liabilities:          Unrealized depreciation on open forward contracts  $ 1,161,465     Accrued expenses:          Professional fees    10,000     Distribution payable (Note 5)    52,353          1,223,818                Partners' capital:          Partners' capital, 17,847.8572 Redeemable Units outstanding    20,302,991        $ 21,526,809                      See accompanying notes to financial statements.  F-43     CMF Altis Partners Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Energy  $                (329,082 )     (1.62 )%    Currencies    (317,150 )     (1.56 )    Grains    414,272      2.04     Indices    57,294      0.28     Interest Rates Non-U.S.    81,373      0.40     Livestock    232,328      1.14     Lumber    12,309      0.06     Metals    887,059      4.37     Softs    697,921      3.44     Interest Rates U.S.    (18,563 )     (0.09 )    Total futures contracts purchased    1,717,761      8.46     Futures Contracts Sold                 Energy    (81,927 )     (0.40 )    Currencies    (47,974 )     (0.24 )    Grains    (41,016 )     (0.20 )    Interest Rates Non-U.S.    112,821      0.56     Livestock    (1,850 )     (0.01 )    Metals    (38 )     (0.00) *    Softs    (166,337 )     (0.82 )    Interest Rates U.S.    2,006      0.01     Total futures contracts sold    (224,315 )     (1.10 )    Unrealized Appreciation on Forward Contracts                 Metals    2,158,002      10.63     Total unrealized appreciation on forward contracts    2,158,002      10.63     Unrealized Depreciation on Forward Contracts                 Metals    (1,161,465 )     (5.72 )    Total unrealized depreciation on forward contracts    (1,161,465 )     (5.72 )    Total fair value  $ 2,489,983      12.27 %         Percentages are based on Partners' capital unless otherwise indicated. * Due to rounding  See accompanying notes to financial statements.  F-44     CMF Altis Partners Master Fund L.P.Statement of Income and Expensesfor the period November 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  $ 2,516,679     Net unrealized gains on open positions    2,347          2,519,026     Interest income (Note 3c)    100,783          2,619,809     Expenses:          Clearing fees    43,735     Professional fees    10,000          53,735     Net income  $ 2,566,074     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 143.19           See accompanying notes to financial statements.  F-45     CMF Altis Partners Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from November 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at November 1, 2005 representing 17,911.7534 Units  $ 17,911,754     Net income    2,566,074     Redemption of 63.8962 Redeemable Units of Limited Partnership Interest    (74,054 )    Distribution of Interest to feeder funds    (100,783 )    Partners' capital at December 31, 2005  $ 20,302,991     Net asset value per Redeemable Unit:                                    2005:  $1,137.56         See accompanying notes to financial statements.  F-46     CMF Altis Partners Master Fund L.P.Statement of Cash Flowsfor the period November 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 2,566,074     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    (4,753,680 )    (Increase) decrease in net unrealized appreciation on open futures positions    526,814     (Increase) decrease in unrealized appreciation on open forward contracts    (834,858 )    (Increase) decrease in interest receivable    (52,353 )               Increase (decrease) in unrealized depreciation on open forward contracts    305,697     Accrued expenses:          Increase (decrease) in professional fees    10,000     Net cash provided by (used in) operating activities    (2,232,306 )               Cash flows from financing activities:          Proceeds from additions     15,424,118     Payments for redemptions    (74,054 )    Distribution of interest to feeder funds    (48,430 )    Net cash provided by (used in) financing activities    15,301,634                Net change in cash    13,069,328     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $ 13,069,328     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 2,487,636           See accompanying notes to financial statements.  F-47     CMF Altis Partners Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Altis Partners 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 November 1, 2005 (date Master commenced trading), Salomon Smith Barney Global Diversified Futures Fund L.P. ("Global Diversified") and Citigroup Emerging CTA Portfolio L.P. ("Emerging CTA") allocated a portion of their capital to the Master. Global Diversified purchased 13,013.6283 Units of the Master with cash equal to $11,227,843 and a contribution of open commodity futures and forward positions with a fair value of $1,785,785. Emerging CTA purchased 4,898.1251 Units of the Master with cash equal to $4,196,275 and a contribution of open commodity futures and forward positions with a fair value of $701,851. The Master was formed to permit commodity pools managed now or in the future by Altis Partners (Jersey) Limited (the "Advisor") using the Global Futures Portfolio program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master's investors consist of Global Diversified and Emerging CTA (each a "Feeder", collectively the "Funds") with 72.6% and 27.4% ownerships of 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 Holdings 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-48     CMF Altis Partners 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 $4,753,680. 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 $3,958,981. 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-49     CMF Altis Partners 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 November 1, 2005 (commencement of trading operations) to December  31, 2005 were as follows:                  2005   Net realized and unrealized gains (losses)*  $ 138.12     Interest income    5.63     Expenses**    (0.56 )    Increase (decrease) for the period    143.19     Distributions    (5.63 )    Net Asset Value per Redeemable Unit, beginning of period    1,000.00     Net Asset Value per Redeemable Unit, end of period  $ 1,137.56                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment income***    1.4 %    Operating expenses    1.6 %               Total return    14.3 %               ***  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. 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-50     CMF Altis Partners 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-51     Selected unaudited quarterly financial data for Altis Master for the period ended December 31, 2005 is summarized below:                  For the period from November 1, 2005 (commencement of trading operations) to December 31, 2005   Net realized and unrealized trading gain net of brokerage commissions and clearing fees plus interest income  $2,576,074   Net Income  $2,566,074   Increase in Net Asset Value per Redeemable Unit  $     143.19        F-52
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(c) 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. PART III Item 10.    Directors and 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 $2,508,259 were earned by CGM for the year ended December 31, 2005. Management fees and incentive fees of $777,800 and $451,973 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, 2005, the Partnership knows of no person who beneficially owns more than 5% of the outstanding Redeemable Units.         (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 619.7983 (2.0%) Unit equivalents as of December 31, 2005.         (c)  Changes in control. None.
(a)(1)  Financial Statements:   Statements of Financial Condition at December 31, 2005 and 2004. Condensed Schedules of Investments at December 31, 2005 and 2004. Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003. Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003 Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003. Notes to the Financial Statements       (2)  Exhibits:   3.1   Limited Partnership Agreement (filed as Exhibit 3.1 to the Registration Statement on Form  S-1 (File No. 333-61961 and incorporated herein by reference). 3.2   Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York on June 15, 1998 (filed as Exhibit 3.2 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.1   Customer Agreement between the Partnership and Salomon Smith Barney (filed as Exhibit 10.1 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.3   Escrow Instructions relating to escrow of subscription funds (filed as Exhibit 10.3 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.5   Management Agreement among the Partnership, the General Partner and Campbell & Company, Inc. (filed as Exhibit 10.5 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.6   Management Agreement among the Partnership, the General Partner and Eagle Trading Systems, Inc. (filed as Exhibit 10.6 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 25     10.7   Management Agreement among the Partnership, the General Partner and Eckhardt Trading Company (filed as Exhibit 10.7 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.8   Management Agreement among the Partnership, the General Partner and Rabar Market Research (filed as Exhibit 10.8 to the Registration Statement on Form S-1 (File No. 333-61961) and incorporated herein by reference). 10.9   Letter extending Management Agreements with Campbell & Company, Inc., Eagle Trading Systems, Inc., Eckhardt Trading Company and Rabar Market Research for 1999 (previously filed). 10.10   Letter extending Management Agreements with Campbell & Company, Inc., Eagle Trading Systems, Inc., Eckhardt Trading Company and Rabar Market Research for 2000 (previously filed). 10.11   Letter extending Management Agreements with Campbell & Company, Inc., Eckhardt Trading Company and Rabar Market Research Inc. for 2001 (previously filed). 10.12   Management Agreement among the Partnership, the General Partner and Aspect Capital Management Limited (previously filed). 10.13   Letters from the General Partner terminating Management Agreement with Eagle Trading Systems, Inc. and Rabar Market Research Inc. (previously filed). 10.14   Letter extending Management Agreements with Campbell & Company Inc., Eckhardt Trading Company and Aspect Capital Management Limited for 2002 (previously filed). 10.15   Letter Extending Management Agreements with Compbell & Company Inc., and Aspect Capital Management Limited for 2003 (previously filed). 10.16   Letter from the General Partner terminating Management Agreement with Eckhardt Trading Company (previously filed). 10.17   Letters extending Management Agreements with Campbell & Company Inc. and Aspect Capital Management Limited for 2004 (previously filed). 10.18   Management Agreement among the Partnership, the General Partner and Altis Partners Limited (previously filed). 10.19   Letters extending Managements with Campbell & Company, Inc., Aspect Capital Management Limited and Altis Partners Limited for 2005 (filed herein). 16.1   Letter from PricewaterhouseCoopers LLP (previously filed). The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference. 31.1 – Rule 13a-14(a)/15d-14(a) Certifications (Certifications of President and Director). 31.2 – Rule 13a-14(a)/15d-14(a) Certifications (Certifications of Chief Financial Officer and Director). 32.1 – Section 1350 Certifications (Certifications of President and Director). 32.2 – Section 1350 Certifications (Certifications of Chief Financial Officer and Director) 26     Supplemental Information To Be Furnished With Reports Filed Pursuant To Section 15(d) Of The Act By Registrants Which Have Not Registered Securities Pursuant To Section 12 Of The  Act. Annual Report to Limited Partners No proxy material has been sent to Limited Partners. 27     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. SALOMON SMITH BARNEY GLOBAL 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/ Daniel R. McAuliffe, Jr.     Daniel R. McAuliffe, Jr.Chief Financial Officer andDirector  /s/ Maureen O'Toole             Maureen O'TooleDirector  /s/ Shelley Ullman                 Shelley UllmanDirector  /s/ Jennifer Magio                     Jennifer MagioDirector  /s/ Jerry Pascucci                     Jerry PascucciDirector  /s/ Ihor Rakowsky                     Ihor Rakowsky Secretary and Director 28         GRAPHIC 2 html_95851daniel.jpg GRAPHIC  begin 644 html_95851daniel.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$+MN0-')P<#NY*.KR/@IG9ME;Q(>FZ5?S5U6]5QN;3H;!6 M&K%YA]."D?91)HHT=I6'4=*U!\A5#3FH;=X68LZTE5XQ=. 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M/S\ZUKW]?UKY?=3R].M?=)_=92G_`!_EK3]*V]JT_;MY>7IUM;9;;]FVE.]> 1]>U/O]/[=;='1T='1T=?_]D_ ` end    GRAPHIC 4 spacer.gif GRAPHIC  begin 644 spacer.gif K1TE&.#EA`0`!`(```````````"'Y!`$`````+``````!``$```("1`$`.S\_ ` end    EX-10.19 5 file002.htm MANAGEMENT LETTERS         Exhibit 10.19 May 31, 2005 Campbell & Company, Inc.Court Tower Building210 West Pennsylvania AvenueSuite 770Towson, MD 21204 Attn: Ms. Terry  Becks  Re: Management Agreement Renewals  Dear Ms.  Becks: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the ‘‘Management Agreements’’). We are extending the term of the Management Agreements through June 30,  2006 and all other provisions of the Management Agreements will remain unchanged.       •  Smith Barney Potomac Futures Fund L.P.         •  Smith Barney Diversified Futures Fund L.P.         •  Smith Barney Diversified Futures Fund L.P. II         •  Smith Barney Global Markets Futures Fund L.P.         •  Smith Barney Global Diversified Futures Fund L.P.         •  Salomon Smith Barney Diversified 2000 Futures Fund L.P.         •  AURORA 2001         •  AURORA III         •  CMF Campbell Master Fund L.P.   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr.  Daniel  McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC By: /s/ Daniel R. McAuliffe, Jr.          Daniel R. McAuliffe, Jr. Chief Financial Officer & Director CAMPBELL & COMPANY, INC. By: /s/ Theresa Becks               Print Name: Theresa Becks                                           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 1     June 15,  2005 Altis Partners Limited5th Fl. Sackville House40 PiccadillyW1J0DR England Attention: Mr. Stephen  Hedgecock  Re: Management Agreement Renewals  Dear Mr. Hedgecock: 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.         •  CTA Capital LLC           •  Salomon Smith Barney Global Diversified Futures Fund L.P.           •  Citigroup Emerging CTA Portfolio 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/ Stephen Hedgecock                   Print Name: Stephen Hedgecock                                  DRMcA/sr         EX-31.1 6 file003.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this Annual Report on Form 10-K of Salomon Smith Barney Global Diversified Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:            a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;            b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and            c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):            a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and            b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 30, 2006  /s/ David J. Vogel         David J. Vogel Citigroup Managed Futures LLC President and Director                EX-31.2 7 file004.htm CERTIFICATION         Exhibit 31.2 CERTIFICATION I, Daniel R. McAuliffe, Jr., certify that:       1.  I have reviewed this Annual Report on Form 10-K of Salomon Smith Barney Global Diversified Futures Fund L.P. (the "registrant");         2.  Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;         3.  Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;         4.  The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:            a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;            b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and            c) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and         5.  The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):            a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and            b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.                     Date:   March 30, 2006  /s/ Daniel R. McAuliffe, Jr.         Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLCChief Financial Officer and Director                 EX-32.1 8 file005.htm CERTIFICATION         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 Salomon Smith Barney Global Diversified Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 as filed with the Securities and Exchange Commission on the date hereof (the "Report"), I, David J. Vogel, President and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that: (1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and (2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. /s/ David J. Vogel             David J. Vogel Citigroup Managed Futures LLC President and Director March 30, 2006             Date         EX-32.2 9 file006.htm CERTIFICATION         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 Salomon Smith Barney Global 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             Date         -----END PRIVACY-ENHANCED MESSAGE-----