##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For the Quarterly Period Ended June 30, 2009
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-50271
  CITIGROUP ORION FUTURES FUND L.P.
    New York

22-3644546(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer
    Identification No.)   c/o Citigroup
    Managed Futures LLC
    55 East
59th
Street  10th Floor
    New York, New York 10022
    (212) 559-2011
       Yes X  No
    Yes   No
  Rule 12b-2
  Large accelerated filer
    Accelerated filer
    Non-accelerated filer X
    Smaller reporting company   Rule 12b-2
  Yes   No X




---



##### 



CITIGROUP ORION FUTURES FUND L.P.
  FORM 10-Q
  INDEX
  PageNumberPART I - Financial Information:Item 1.


Financial Statements:Statements of Financial Condition at
June 30, 2009 and December 31, 2008 (unaudited)

3Schedules of Investments at
June 30, 2009 and December 31, 2008 (unaudited)

4  5Statements of Income and Expenses
    and Partners Capital for the three and six months
    ended June 30, 2009 and 2008 (unaudited)

6Notes to Financial Statements (unaudited)

7  15Item 2.


Managements Discussion and Analysis
    of Financial Condition and Results of Operations

16  19Item 3.


Quantitative and Qualitative
    Disclosures about Market Risk

20  21Item 4T.


Controls and Procedures

22PART II - Other Information

23  27ExhibitsEX-10  Joinder AgreementEX-31.1  CertificationEX-31.2  CertificationEX-32.1  CertificationEX-32.2  Certification   2




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##### Table of Contents



PART I Item 1. Financial Statements Citigroup Orion Futures Fund L.P.Statements of Financial Condition
    (Unaudited)
  June 30,


December 31,2009


2008Assets:Investment in Partnerships, at fair value

    $
    623,926,693


$
610,171,060Equity in trading account:Cash

    
    64,165,934



70,898,968Cash margin

    
    9,122,470



2,972,978Net unrealized appreciation on open futures contracts

    
    476,593



1,526,317Net unrealized appreciation on open forward contracts

    
    3,104,624



144,156Options
owned, at fair value (cost $111,000 and $0 at June 30, 2009 and
December 31, 2009, respectively)
    
    
    38,500
    
    
    
    700,834,814



685,713,479Interest receivable

    
    6,238



1,397Total assets

    $
    700,841,052


$
685,714,876Liabilities and Partners Capital:Liabilities:Net
unrealized depreciation on open forward contracts
    
    $
    3,102,772
    
    
   $
    Accrued expenses:Brokerage commissions

    
    1,785,642



1,380,827Management fees

    
    1,072,048



1,053,913Administrative fees

    
    289,957



285,090Incentive fees

    
    



10,922,554Other

    
    55,233



117,207Redemptions payable

    
    9,875,366



23,068,432Total liabilities

    
    16,181,018



36,828,023Partners Capital:General Partner, 1,281.5595 Unit equivalents
    outstanding at June 30, 2009 and December 31, 2008, respectively

    
    3,572,206



3,635,695Limited Partners, 244,346.4067 and 227,446.9882 Redeemable Units
    of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008,
    respectively

    
    681,087,828



645,251,158Total partners capital

    
    684,660,034



648,886,853Total liabilities and partners capital

    $
    700,841,052


$
685,714,876    3




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##### Table of Contents



Citigroup Orion Futures Fund L.P.Schedule of Investments
June 30, 2009
    (Unaudited)
  Number of
    
    
    
    
    
    % of Partnerscontracts
    
    
    Fair Value
    
    
    CapitalFutures
Contracts PurchasedCurrencies
    
    
    267
    
    
    $
    (56,766
    )
    
    
    (0.01
    )%Energy
    
    
    599
    
    
    
    (493,646
    )
    
    
    (0.07
    )Grains
    
    
    10
    
    
    
    (13,125
    )
    
    
    (0.00
    )*Interest Rates Non-U.S.
    
    
    579
    
    
    
    424,597
    
    
    
    0.06Livestock
    
    
    109
    
    
    
    111,040
    
    
    
    0.02Softs
    
    
    208
    
    
    
    99,389
    
    
    
    0.01Total futures contracts purchased
    
    
    
    
    
    
    71,489
    
    
    
    0.01Futures Contracts SoldCurrencies
    
    
    178
    
    
    
    (180,225
    )
    
    
    (0.03
    )Energy
    
    
    104
    
    
    
    130,130
    
    
    
    0.02Grains
    
    
    544
    
    
    
    519,013
    
    
    
    0.08Interest Rates U.S.
    
    
    178
    
    
    
    (77,954
    )
    
    
    (0.01
    )Softs
    
    
    33
    
    
    
    14,140
    
    
    
    0.00
    *Total futures contracts sold
    
    
    
    
    
    
    405,104
    
    
    
    0.06Unrealized Appreciation on Open Forward ContractsMetals
    
    
    
    
    
    
    3,104,624
    
    
    
    0.45Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    3,104,624
    
    
    
    0.45Unrealized Depreciation on Open Forward ContractsMetals
    
    
    
    
    
    
    (3,102,772
    )
    
    
    (0.45
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (3,102,772
    )
    
    
    (0.45
    )Options OwnedEnergy
    
    
    50
    
    
    
    38,500
    
    
    
    0.01Total options owned
    
    
    
    
    
    
    38,500
    
    
    
    0.01Investment in PartnershipsCitigroup AAA Master Fund LLC
    
    
    
    
    
    
    275,655,484
    
    
    
    40.26CMF Willowbridge Argo Master Fund LP
    
    
    
    
    
    
    137,404,085
    
    
    
    20.07CMF Winton Master LP
    
    
    
    
    
    
    210,867,124
    
    
    
    30.80Total investment in Partnerships
    
    
    
    
    
    
    623,926,693
    
    
    
    91.13Total fair value
    
    
    
    
    
    $
    624,443,638
    
    
    
    91.21
    %
 *
    
    Due to rounding   4




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Schedule of Investments
    December 31, 2008
    (Unaudited)
  Number of
    
    



% of PartnersContracts
    
    
Fair Value


CapitalFutures Contracts PurchasedCurrencies

    
    114
    
    
$
127,205



0.02
%Energy

    
    19
    
    

(55,290
)


(0.01
)Grains

    
    190
    
    

260,336



0.04Metals

    
    19
    
    

44,650



0.01Interest Rates U.S.

    
    190
    
    

607,238



0.09Interest Rates Non-U.S.

    
    161
    
    

567,778



0.09Softs


    38
    
    

90,950



0.01Total futures contracts purchased

    
    
    

1,642,867



0.25Futures Contracts SoldMetals

    
    38
    
    

(116,550
)


(0.02
)Total futures contracts sold

    
    
    
    

(116,550
)


(0.02
)Unrealized Appreciation on Open Forward ContractsMetals

    
    214
    
    

3,283,299



0.50Total unrealized appreciation on open forward contracts

    
    
    
    

3,283,299



0.50Unrealized Depreciation on Open Forward ContractsMetals

    
    184
    
    

(3,139,143
)


(0.48
)Total unrealized depreciation on open forward contracts

    
    
    

(3,139,143
)


(0.48
)Investment in PartnershipsCitigroup AAA Master Fund LLC

    
    
    
    

265,560,308



40.93CMF Willowbridge Argo Master Fund LP

    
    
    

137,021,864



21.12CMF Winton Master LP

    
    
    
    

207,588,888



31.99Total investment in Partnerships

    
    
    
    

610,171,060



94.04Total fair value

    
    
    
    
$
611,841,533



94.29
%
  5




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##### Table of Contents



Citigroup Orion Futures Fund L.P.Statements of Income and Expenses and Partners Capital
(Unaudited)
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net gains
(losses) on trading of commodity interests and investment in
Partnerships:Net realized gains (losses) on closed contracts
    
    $
    3,812,584
    
    
    $
    2,947,829
    
    
    $
    (751,401
    )
    
    $
    7,072,854Net realized gains (losses) on investment in Partnerships
    
    
    132,524,196
    
    
    
    5,629,839
    
    
    
    128,156,562
    
    
    
    36,399,711Change in net unrealized gains (losses) on open contracts
    
    
    (1,364,015
    )
    
    
    1,451,020
    
    
    
    (1,264,528
    )
    
    
    1,280,242Change in net unrealized gains (losses) on investment
in Partnerships
    
    
    (126,151,472
    )
    
    
    66,990,769
    
    
    
    (123,406,652
    )
    
    
    74,684,523Gain (loss) from, trading net
    
    
    8,821,293
    
    
    
    77,019,457
    
    
    
    2,733,981
    
    
    
    119,437,330Interest income
    
    
    18,382
    
    
    
    181,029
    
    
    
    38,079
    
    
    
    404,460Interest income from investment in Partnerships
    
    
    134,830
    
    
    
    1,337,903
    
    
    
    276,123
    
    
    
    3,422,920Total income
(loss)
    
    
    8,974,505
    
    
    
    78,538,389
    
    
    
    3,048,183
    
    
    
    123,264,710Expenses:Brokerage commissions including clearing fees
    
    
    1,904,782
    
    
    
    2,077,832
    
    
    
    3,304,933
    
    
    
    3,762,352Management fees
    
    
    3,186,549
    
    
    
    2,675,070
    
    
    
    6,259,910
    
    
    
    5,037,904Administrative fees
    
    
    862,222
    
    
    
    734,541
    
    
    
    1,696,445
    
    
    
    1,387,860Incentive fees
    
    
    
    
    
    
    14,278,712
    
    
    
    3,102,122
    
    
    
    21,800,953Other
    
    
    126,022
    
    
    
    138,454
    
    
    
    249,952
    
    
    
    244,455Total expenses
    
    
    6,079,575
    
    
    
    19,904,609
    
    
    
    14,613,362
    
    
    
    32,233,524Net income (loss)
    
    
    2,894,930
    
    
    
    58,633,780
    
    
    
    (11,565,179
    )
    
    
    91,031,186Additions   Limited Partner
    
    
    78,779,000
    
    
    
    49,631,000
    
    
    
    134,732,000
    
    
    
    94,016,000Additions   General Partner
    
    
    
    
    
    
    1,973,412
    
    
    
    
    
    
    
    1,973,412Redemptions  Limited Partners
    
    
    (40,765,633
    )
    
    
    (41,450,092
    )
    
    
    (87,393,640
    )
    
    
    (60,409,183
    )Net increase (decrease) in Partners Capital
    
    
    40,908,297
    
    
    
    68,788,100
    
    
    
    35,773,181
    
    
    
    126,611,415Partners Capital, beginning of period
    
    
    643,751,737
    
    
    
    518,229,071
    
    
    
    648,886,853
    
    
    
    460,405,756Partners Capital, end of period
    
    $
    684,660,034
    
    
    $
    587,017,171
    
    
    $
    684,660,034
    
    
    $
    587,017,171Net Asset Value per Unit
(245,627.9662 and 233,054.3048 Units
outstanding at June 30, 2009 and 2008, respectively)
    
    $
    2,787.39
    
    
    $
    2,518.80
    
    
    $
    2,787.39
    
    
    $
    2,518.80Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    11.53
    
    
    $
    243.59
    
    
    $
    (49.54
    )
    
    $
    386.21
 6




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##### Table of Contents



Citigroup Orion Futures Fund L.P.Notes to Financial StatementsJune 30, 2009
    (Unaudited)
  1.
    General:            Form 10-K
         7




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##### Table of Contents



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Six Months EndedJune 30
    
    
    June 302009
    
    
    2008
    
    
    2009
    
    
    2008Net realized and unrealized gains (losses) *
    
    $
    27.89
    
    
    $
    316.78
    
    
    $
    (3.57
    )
    
    $
    505.09Interest income
    
    
    0.62
    
    
    
    0.76
    
    
    
    1.30
    
    
    
    1.74Expenses **
    
    
    (16.98
    )
    
    
    (73.95
    )
    
    
    (47.27
    )
    
    
    (120.62
    )Increase (decrease) for the period
    
    
    11.53
    
    
    
    243.59
    
    
    
    (49.54
    )
    
    
    386.21Net Asset Value per Redeemable Unit
of Limited Partnership Interest, beginning of period
    
    
    2,775.86
    
    
    
    2,275.21
    
    
    
    2,836.93
    
    
    
    2,132.59Net Asset
Value per Redeemable Unit of Limited Partnership Interest, end of period
    
    $
    2,787.39
    
    
    $
    2,518.80
    
    
    $
    2,787.39
    
    
    $
    2,518.80
 *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Three Months Ended
    
    
    Six Months EndedJune 30
    
    
    June 302009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to Average Net Assets:***Net investment income (loss) before incentive fees****

    
    (3.6
    )%
    
    
    (3.3
    )%
    
    
    (3.4
    )%
    
    
    (2.5
    )%Operating expense

    
    3.7
    %
    
    
    4.1
    %
    
    
    3.5
    %
    
    
    4.0
    %Incentive fees

    
    
    %
    
    
    2.6
    
    
    
    0.5
    %
    
    
    4.1
    %Total expenses

    
    3.7
    %
    
    
    6.7
    %
    
    
    4.0
    %
    
    
    8.1
    %Total return:Total return before incentive fees

    
    0.4
    %
    
    
    13.4
    %
    
    
    (1.3
    )%
    
    
    22.5
    %Incentive fees

    
    
    %
    
    
    (2.7
    )%
    
    
    (0.5
    )%
    
    
    (4.4
    )%Total return after incentive fees

    
    0.4
    %
    
    
    10.7
    %
    
    
    (1.8
    )%
    
    
    18.1
    %   ***
    
    Annualized (other than incentive fees).  ****
    
    Interest income less total expenses.    3.
    Trading
    Activities:   8




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
          Assets
    
    June 30,2009
    
    Assets
    
    June 30,2009
    
    Assets
    
    June 30,2009Futures Contracts
    
    
    
    
    
    Forward Contracts
    
    
    
    
    
    Options OwnedCurrencies
    
    $
    5,534
    
    
    Metals
    
    $
    3,104,624
    
    
    Energy
    
    $
    38,500Energy
    
    
    342,660Grains
    
    
    568,782Interest Rates U.S.
    
    
    71,015Interest Rates Non-U.S.
    
    
    438,246Livestock
    
    
    111,040Softs
    
    
    116,754Total unrealized appreciation on open futures contracts
    
    $
    1,654,031
    
    
    Total unrealized appreciation on open forward contracts
    
    $
    3,104,624
    **
    
    Options owned
    
    $
    38,500Liabilities
    
    June 30,2009
    
    Liabilities
    
    June 30,2009Futures Contracts
    
    
    
    
    
    Forward ContractsCurrencies
    
    $
    (242,525
    )
    
    Metals
    
    $
    (3,102,772
    )Energy
    
    
    (706,176
    )Grains
    
    
    (62,895
    )Interest Rates U.S.
    
    
    (148,969
    )Interest Rates Non-U.S.
    
    
    (13,648
    )Softs
    
    
    (3,225
    )Total unrealized depreciation on open futures contracts
    
    $
    (1,177,438
    )
    
    Total unrealized depreciation on open forward contracts
    
    $
    (3,102,772
    )***Net unrealized appreciation on open futures contracts
    
    $
    476,593
    *
    
    
    
    
    
    
    
    Options owned, at fair value
    
    $
    38,500
    ****
 
 *
    
    This amount is included in Net unrealized appreciation on open futures contracts on the
Statements of Financial Condition.**
    
    This amount is included in Net unrealized appreciation on open forward contracts on the
Statements of Financial Condition.***
    
    This amount is included in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition.****
    
    This amount is included in Options owned, at fair value on the Statements of Financial
Condition.  9




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
   Three Month Ended
    
    
    Six Month EndedJune 30, 2009
    
    
    June 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    161,082
    
    
    $
    (261,735
    )Energy
    
    
    1,034,011
    
    
    
    75,171Grains
    
    
    1,611,216
    
    
    
    1,036,465Interest rates U.S.
    
    
    (67,923
    )
    
    
    (1,458,775
    )Interest rates Non-U.S.
    
    
    (317,714
    )
    
    
    (884,257
    )Metals
    
    
    269,310
    
    
    
    284,815Softs
    
    
    (309,933
    )
    
    
    (806,383
    )Livestock
    
    
    68,520
    
    
    
    (1,230
    )$
    2,448,569
    
    
    $
    (2,015,929
    )
 4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
 10




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable6/30/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
1,852


$
1,852


$



$
Futures


476,593



476,593







Options owned


38,500



38,500







Investment in Partnerships


623,926,693







623,926,693



Total assets


624,443,638



516,945



623,926,693



Total fair value

$
624,443,638


$
516,945


$
623,926,693


$
Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards
    
    $
    144,156
    
    
    $
    144,156
    
    
    $
    
    
    
    $
    Futures
    
    
    1,526,317
    
    
    
    1,526,317
    
    
    
    
    
    
    
    Investment in Partnerships
    
    
    610,171,060
    
    
    
    
    
    
    
    610,171,060
    
    
    
    Total assets


611,841,533



1,670,473



610,171,060



Total fair value
    
    $
    611,841,533
    
    
    $
    1,670,473
    
    
    $
    610,171,060
    
    
    $
     11




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
   5.
    Investment
    in Partnerships:           12




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##### Table of Contents



Citigroup Orion Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
    give-up,
      June 30, 2009Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalAAA Master
    
    $
    1,818,357,143
    
    
    $
    521,062,446
    
    
    $
    1,297,294,697Willowbridge Master
    
    
    259,072,410
    
    
    
    5,438,678
    
    
    
    253,633,732Winton Master
    
    
    498,953,686
    
    
    
    2,141,912
    
    
    
    496,811,774Total
    
    $
    2,576,383,239
    
    
    $
    528,643,036
    
    
    $
    2,047,740,203
  December 31, 2008Total Assets


Total Liabilities


Total CapitalAAA Master

$
1,962,984,697


$
624,353,598


$
1,338,631,099Willowbridge Master


297,439,763



19,759



297,420,004Winton Master


547,770,185



18,642



547,751,543Total

$
2,808,194,645


$
624,391,999


$
2,183,802,646     June 30, 2009


For the three months ended June 30, 2009% of








ExpensesPartnerships


Fair


Income








Net


Investment

RedemptionInvestment

Net Assets


Value


(Loss)


Commissions


Other


income (loss)


Objective

PermittedAAA Master
    
    
    40.26
    %
    
    $
    275,655,484
    
    
    $
    2,441,424
    
    
    $
    156,330
    
    
    $
    37,090
    
    
    $
    2,248,004
    
    
    Energy Markets
    
    MonthlyWillowbridge Master
    
    
    20.07
    %
    
    
    137,404,085
    
    
    
    17,254,325
    
    
    
    43,857
    
    
    
    6,592
    
    
    
    17,203,876
    
    
    Commodity Portfolio
    
    MonthlyWinton Master
    
    
    30.80
    %
    
    
    210,867,124
    
    
    
    (13,188,195
    )
    
    
    36,200
    
    
    
    3,945
    
    
    
    (13,228,340
    )
    
    Commodity Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    623,926,693
    
    
    $
    6,507,554
    
    
    $
    236,387
    
    
    $
    47,627
    
    
    $
    6,223,540   13




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##### Table of Contents



Citigroup
    Orion Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  June 30, 2009
    
    
    
    
    
    
    For the six months ended

June 30, 2009% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    NetInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)AAA Master
    
    
    40.26
    %
    
    $
    275,655,484
    
    
    $
    20,454,616
    
    
    $
    292,049
    
    
    $
    71,980
    
    
    $
    20,090,587Willowbridge
Master
    
    
    20.07
    %
    
    
    137,404,085
    
    
    
    (342,072
    )
    
    
    72,403
    
    
    
    10,751
    
    
    
    (425,226
    )Winton Master
    
    
    30.80
    %
    
    
    210,867,124
    
    
    
    (15,086,511
    )
    
    
    62,420
    
    
    
    7,488
    
    
    
    (15,156,419
    )Total
    
    
    
    
    
    $
    623,926,693
    
    
    $
    5,026,033
    
    
    $
    426,872
    
    
    $
    90,219
    
    
    $
    4,508,942
 December 31, 2008
    
    
    
    
    
    

For the three months
ended June 30, 2008% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    NetInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)AAA Master
    
    
    40.93
    %
    
    $
    265,560,308
    
    
    $
    30,959,842
    
    
    $
    153,747
    
    
    $
    40,401
    
    
    $
    30,765,694Willowbridge
Master
    
    
    21.12
    %
    
    
    137,021,864
    
    
    
    28,060,491
    
    
    
    40,337
    
    
    
    4,408
    
    
    
    28,015,746Winton Master
    
    
    31.99
    %
    
    
    207,588,888
    
    
    
    14,938,178
    
    
    
    44,384
    
    
    
    3,690
    
    
    
    14,890,104Total
    
    
    
    
    
    $
    610,171,060
    
    
    $
    73,958,511
    
    
    $
    238,468
    
    
    $
    48,499
    
    
    $
    73,671,544
 December 31, 2008
    
    
    
    
    
    
    For the six months ended
June 30, 2008% of
    
    
    
    
    
    
    
    
    
    
    ExpensesPartnerships
    
    
    Fair
    
    
    Income
    
    
    
    
    
    
    
    
    
    
    NetInvestment
    
    Net Assets
    
    
    Value
    
    
    (Loss)
    
    
    Commissions
    
    
    Other
    
    
    Income (loss)AAA Master
    
    
    40.93
    %
    
    $
    265,560,308
    
    
    $
    38,162,939
    
    
    $
    280,344
    
    
    $
    63,878
    
    
    $
    37,818,717Willowbridge
Master
    
    
    21.12
    %
    
    
    137,021,864
    
    
    
    36,579,593
    
    
    
    90,989
    
    
    
    8,134
    
    
    
    36,480,470Winton Master
    
    
    31.99
    %
    
    
    207,588,888
    
    
    
    39,764,622
    
    
    
    116,225
    
    
    
    6,735
    
    
    
    39,641,662Total
    
    
    
    
    
    $
    610,171,060
    
    
    $
    114,507,154
    
    
    $
    487,558
    
    
    $
    78,747
    
    
    $
    113,940,849
   6.
    Financial
    Instrument Risks:     14




---



##### Table of Contents



15




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##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
    Accounting Policies
  Use of Estimates.
  Statement of Cash Flows.
  Investments.
  Fair Value Measurements. No. FAS 157-2, Effective Date of FASB Statement No. 157
  16




---



##### Table of Contents



Futures Contracts.
  Forward Foreign Currency Contracts
    London Metals Exchange Forward
    Contracts.
  Options.
  Brokerage Commissions.
  Income Taxes.
 17




---



##### Table of Contents



Recent Accounting Pronouncements.
  Subsequent Events
  Results
    of Operations
        30-day 3-month and/or
 18




---



##### Table of Contents



90-day
         19




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk          one-day
  Form 10-K
  June 30, 2009
    (Unaudited)
  Three Months Ended June 30, 2009Value at


% of Total


High


Low


Average ValueMarket Sector

Risk


Capitalization


Value at Risk


Value at Risk


at Risk*Currencies
    
    $
    980,810
    
    
    
    0.14
    %
    
    $
    2,657,132
    
    
    $
    10,800
    
    
    $
    1,177,190Energy
    
    
    4,846,643
    
    
    
    0.71
    %
    
    
    4,846,643
    
    
    
    494,101
    
    
    
    1,817,082Grains
    
    
    1,006,980
    
    
    
    0.15
    %
    
    
    1,119,015
    
    
    
    291,600
    
    
    
    811,412Interest Rates U.S.
    
    
    432,540
    
    
    
    0.06
    %
    
    
    1,174,500
    
    
    
    105,705
    
    
    
    498,300Interest Rates Non-U.S.
    
    
    996,226
    
    
    
    0.15
    %
    
    
    1,446,663
    
    
    
    212,338
    
    
    
    770,719Livestock
    
    
    64,060
    
    
    
    0.01
    %
    
    
    71,280
    
    
    
    5,250
    
    
    
    33,901Metals
    
    
    23,723
    
    
    
    0.00
    %**
    
    
    2,084,242
    
    
    
    23,717
    
    
    
    1,337,998Softs
    
    
    349,380
    
    
    
    0.05
    %
    
    
    653,340
    
    
    
    69,300
    
    
    
    360,627Total
    
    $
    8,700,362
    
    
    
    1.27
    %   *
    
    Average month-end Values at Risk.**
    
    Due to rounding 20




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##### Table of Contents



June 30, 2009
    (Unaudited)
  Three months ended June 30, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Energy
    
    $
    147,468,039
    
    
    
    11.37
    %
    
    $
    207,597,990
    
    
    $
    4,405,231
    
    
    $
    133,166,548Total
    
    $
    147,468,039
    
    
    
    11.37
    %   *
    
    Average month-end Values at Risk.   June 30, 2009

    (Unaudited)
  Three months ended June 30, 2009Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    

Value at Risk*Currencies
    
    $
    13,118,128
    
    
    
    5.18
    %
    
    $
    13,147,160
    
    
    $
    5,538,108
    
    
    $
    8,545,585Energy
    
    
    12,294,113
    
    
    
    4.85
    %
    
    
    12,294,113
    
    
    
    3,461,603
    
    
    
    7,404,729Grains
    
    
    3,284,044
    
    
    
    1.29
    %
    
    
    5,919,480
    
    
    
    714,826
    
    
    
    3,531,527Interest Rates U.S.
    
    
    4,041,900
    
    
    
    1.59
    %
    
    
    5,954,715
    
    
    
    1,232,010
    
    
    
    2,404,608Interest Rates Non-U.S.
    
    
    3,643,986
    
    
    
    1.44
    %
    
    
    7,303,934
    
    
    
    2,589,407
    
    
    
    4,302,563Softs
    
    
    1,021,440
    
    
    
    0.40
    %
    
    
    2,249,100
    
    
    
    320,040
    
    
    
    1,392,978Total
    
    $
    37,403,611
    
    
    
    14.75
    %
   *
    
    Average of month-end Values at Risk.    June 30, 2009

    (Unaudited)
  Three months ended June 30, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    8,859,097
    
    
    
    1.78
    %
    
    $
    8,859,097
    
    
    $
    3,479,307
    
    
    $
    5,498,936Energy
    
    
    1,328,142
    
    
    
    0.27
    %
    
    
    2,627,998
    
    
    
    421,858
    
    
    
    1,607,888Grains
    
    
    1,735,598
    
    
    
    0.35
    %
    
    
    1,751,852
    
    
    
    1,506,767
    
    
    
    1,639,557Interest Rates U.S.
    
    
    1,956,170
    
    
    
    0.39
    %
    
    
    4,289,355
    
    
    
    1,412,777
    
    
    
    2,653,818Interest Rates Non-U.S.
    
    
    4,517,638
    
    
    
    0.91
    %
    
    
    6,588,104
    
    
    
    2,841,339
    
    
    
    4,285,101Livestock
    
    
    235,616
    
    
    
    0.05
    %
    
    
    425,655
    
    
    
    235,616
    
    
    
    381,686Metals
    
    
    2,026,388
    
    
    
    0.41
    %
    
    
    2,629,647
    
    
    
    849,000
    
    
    
    2,287,274Softs
    
    
    479,423
    
    
    
    0.10
    %
    
    
    1,269,508
    
    
    
    479,423
    
    
    
    950,433Indices
    
    
    5,803,898
    
    
    
    1.17
    %
    
    
    6,425,774
    
    
    
    2,321,055
    
    
    
    5,287,835Total
    
    $
    26,941,970
    
    
    
    5.43
    %   *
    
    Average of month-end Values at Risk. 21




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##### Table of Contents



Item 4T.
    Controls
    and Procedures      Rules 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP. and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.   22




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##### Table of Contents



PART II.
    OTHER INFORMATION
  Item 1.
    Legal
    Proceedings.  Form 10-K
 Enron-Related Civil Actions
 Acquisition
Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al., Avenue Capital Management II, L.P.,
et al. v. J.P. Morgan Chase & Co., et al. UniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.
 Subprime Mortgage-Related Litigation
 Buckingham v. Citigroup Inc., et al. Chen v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation.
 Asher, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation Asher, et al. v. Citigroup Inc., et al. Pellegrini v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation
 Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Securities Litigation
 Auction Rate Securities-Related Litigation
 Securities Actions. American Eagle Outfitters, Inc., et al. v. Citigroup Global
Markets Inc. In re Citigroup Inc. Auction Rate Securities Litigation Finn v. Smith Barney, et al.
 Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.
 Governmental and Regulatory Actions.
 23




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##### Table of Contents



Falcon and ASTA/MAT-Related Litigation
 Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al.
 In re MAT Five Securities Litigation.
 ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al.
 Zentner v. Citigroup, et al. In re MAT Two Securities
Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.) In re MAT Five Securities
Litigation
 Zentner v. Citigroup, et al.
 Other Matters
 Underwriting Actions .
 American Home Mortgage In re American
Home Mortgage Securities Litigation
 American International Group In re American International Group, Inc. 2008 Securities Litigation
 24




---



##### Table of Contents



Item 1A.
    Risk
    Factors  Form 10-K
 Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds.        (d) Maximum Number(c) Total Number of



(or ApproximateRedeemable



Dollar Value) of(b) Average



Units Purchased



Redeemable Units(a) Total Number of



Price Paid per



as Part of



that May Yet BeRedeemable



Redeemable



Publicly Announced



Purchased Under thePeriod


Units Purchased*



Unit**



Plans or Programs



Plans or ProgramsApril 1, 2009  
    April 30, 2009



4,271.1521



$
2,738.40




N/A




N/AMay 1, 2009  
    May 31, 2009



6,766.3875



$
2,836.69




N/A




N/AJune 1, 2009  
    June 30, 2009



3,542.8720



$
2,787.39




N/A




N/A14,580.4116



$
2,795.92       Item 3.
    Defaults
    Upon Senior Securities.  None.  Item 4.
    Submission
    of Matters to a Vote of Security
    Holders.  None.  Item 5.
    Other
    Information.  Morgan Stanley/Citigroup Joint Venture
   25




---



##### Table of Contents



Item 6.
    Exhibits  Regulation S-K Form 10-K
    Rule 13a-14(a)/15d-14(a)
  Rule 13a-14(a)/15d-14(a)
     26




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##### Table of Contents



SIGNATURES
     CITIGROUP ORION FUTURES FUND L.P.
  By:
    Citigroup Managed Futures LLC    By:
    /s/  Jerry
    Pascucci     Date:
    August 14, 2009    By:
    /s/  Jennifer
    Magro     Date:
    August 14, 2009  27