##### 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
  
  000-30455
  CITIGROUP GLOBAL
    DIVERSIFIED FUTURES FUND L.P.
    New York

13-4015586(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
    Large
    accelerated filer
    Accelerated filer
    Non-accelerated filer X
    Smaller reporting company  Rule 12b-2
  Yes   No X




---



##### 



CITIGROUP GLOBAL DIVERSIFIED 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  14Item 2.

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

15  18Item 3.

Quantitative and Qualitative Disclosures about Market Risk

19  20Item 4T.

Controls and Procedures

21PART II  Other Information

22  24ExhibitsEX-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 Global Diversified Futures Fund L.P.Statements of Financial Condition
    (Unaudited)
  June 30,
    
    December 31,2009
    
    2008Assets:Investment in Partnerships, at fair value
    
    
    $
    26,290,599
    
    $
    37,284,594Equity in trading account:Cash
    
    
    
    5,562,479
    
    
    5,558,203Cash margin
    
    
    
    228,247
    
    
    Net unrealized appreciation on open futures contracts
    
    
    
    2,603
    
    
    Net unrealized appreciation on open forward contracts
    
    
    
    23,819
    
    
    32,107,747
    
    
    42,842,797Interest receivable
    
    
    
    369
    
    
    82Total assets
    
    
    $
    32,108,116
    
    $
    42,842,879Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    
    $
    144,487
    
    $
    192,793Management fees
    
    
    
    47,648
    
    
    62,786Incentive fees
    
    
    
    73,753
    
    
    1,958,313Other
    
    
    
    36,137
    
    
    52,504Redemptions payable
    
    
    
    462,904
    
    
    1,356,599Total liabilities
    
    
    
    764,929
    
    
    3,622,995Partners Capital:General
Partner, 213.0484 and 421.6204 Unit equivalents outstanding at
June 30, 2009 and December 31, 2008, respectively
    
    
    
    409,426
    
    
    892,777Limited
Partners, 16,096.6617 and 18,100.2695
Redeemable Units of Limited Partnership Interest outstanding
at June 30, 2009 and December 31, 2008, respectively
    
    
    
    30,933,761
    
    
    38,327,107Total partners capital
    
    
    
    31,343,187
    
    
    39,219,884Total liabilities and partners capital
    
    
    $
    32,108,116
    
    $
    42,842,879
    3




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##### Table of Contents



Citigroup
    Global Diversified Futures Fund L.P.
June 30, 2009Schedule of Investments
    (Unaudited)
  Notional($)/Number of
    
    
    
    
    
    
    % of PartnersContracts
    
    
    Fair Value
    
    
    CapitalFutures Contracts PurchasedCurrencies
    
    
    6
    
    
    $
    (1,363
    )
    
    
    (0.00
    )%*Interest Rates Non-U.S.
    
    
    57
    
    
    
    14,565
    
    
    
    0.04Total futures contracts purchased
    
    
    
    
    
    
    13,202
    
    
    
    0.04Futures Contracts SoldIndices
    
    
    6
    
    
    
    (10,599
    )
    
    
    (0.03
    )Total futures contracts sold
    
    
    
    
    
    
    (10,599
    )
    
    
    (0.03
    )Unrealized Appreciation on Open Forward ContractsCurrencies
    
    
    1,066,461
    
    
    
    36,318
    
    
    
    0.12Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    36,318
    
    
    
    0.12Unrealized Depreciation on Open Forward ContractsCurrencies
    
    
    639,094
    
    
    
    (12,499
    )
    
    
    (0.04
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (12,499
    )
    
    
    (0.04
    )Investment in PartnershipsCMF Campbell Master Fund L.P.
    
    
    
    
    
    
    6,240,090
    
    
    
    19.91CMF Aspect Master Fund L.P.
    
    
    
    
    
    
    8,938,423
    
    
    
    28.52CMF Altis
Partners Master Fund L.P.
    
    
    
    
    
    
    11,112,086
    
    
    
    35.45Total Investment in Partnerships
    
    
    
    
    
    
    26,290,599
    
    
    
    83.88Total fair value
    
    
    
    
    
    $
    26,317,021
    
    
    $
    83.97
    %
 
 *
    
    Due to rounding.  4




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##### Table of Contents



Citigroup
    Global Diversified Futures Fund L.P.
    Schedule of Investments
    December 31, 2008
    (Unaudited)
  % of PartnersFair Value


CapitalInvestment in PartnershipsCMF Campbell Master Fund L.P.

$
8,558,897



21.82
%CMF Aspect Master Fund L.P.


13,187,938



33.63CMF Altis Partners Master Fund L.P.


15,537,759



39.62Total fair value

$
37,284,594



95.07
%    5




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##### Table of Contents



Citigroup Global Diversified 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
    
    $
    920,512
    
    
    $
    
    
    
    $
    550,450
    
    
    $
    Net realized gains (losses) on investment in Partnerships
    
    
    (1,990,826
    )
    
    
    2,074,154
    
    
    
    (671,911
    )
    
    
    8,374,151Change in net unrealized gains (losses) on open contracts
    
    
    28,269
    
    
    
    
    
    
    
    26,422
    
    
    
    Change in net unrealized gains (losses) on
investments in Partnerships
    
    
    258,518
    
    
    
    4,115,045
    
    
    
    (1,882,659
    )
    
    
    1,538,356Gain (loss) from trading, net
    
    
    (783,527
    )
    
    
    6,189,199
    
    
    
    (1,977,698
    )
    
    
    9,912,507Interest income
    
    
    1,065
    
    
    
    
    
    
    
    2,189
    
    
    
    Interest income from investment in Partnerships
    
    
    5,628
    
    
    
    119,151
    
    
    
    12,630
    
    
    
    294,249Total income (loss)
    
    
    (776,834
    )
    
    
    6,308,350
    
    
    
    (1,962,879
    )
    
    
    10,206,756Expenses:Brokerage
commissions including clearing fees
    
    
    458,544
    
    
    
    587,582
    
    
    
    973,221
    
    
    
    1,185,228Management fees
    
    
    147,340
    
    
    
    183,753
    
    
    
    311,595
    
    
    
    367,515Incentive fees
    
    
    73,753
    
    
    
    1,005,668
    
    
    
    73,753
    
    
    
    1,526,048Other
    
    
    42,057
    
    
    
    28,988
    
    
    
    69,686
    
    
    
    50,715Total expenses
    
    
    721,694
    
    
    
    1,805,991
    
    
    
    1,428,255
    
    
    
    3,129,506Net income (loss)
    
    
    (1,498,528
    )
    
    
    4,502,359
    
    
    
    (3,391,134
    )
    
    
    7,077,250Redemptions  Limited Partners
    
    
    (1,029,688
    )
    
    
    (900,650
    )
    
    
    (4,076,188
    )
    
    
    (1,918,159
    )Redemptions  General Partner
    
    
    (409,375
    )
    
    
    (2,500,000
    )
    
    
    (409,375
    )
    
    
    (2,500,000
    )Net increase (decrease) in Partners Capital
    
    
    (2,937,591
    )
    
    
    1,101,709
    
    
    
    (7,876,697
    )
    
    
    2,659,091Partners Capital, beginning of period
    
    
    34,280,778
    
    
    
    41,676,953
    
    
    
    39,219,884
    
    
    
    40,119,571Partners Capital, end of period
    
    $
    31,343,187
    
    
    $
    42,778,662
    
    
    $
    31,343,187
    
    
    $
    42,778,662Net asset value per Unit
(16,309.7101 and 20,904.7551 Units outstanding
at June 30, 2009 and 2008, respectively)
    
    $
    1,921.75
    
    
    $
    2,046.36
    
    
    $
    1,921.75
    
    
    $
    2,046.36Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    (89.57
    )
    
    $
    215.97
    
    
    $
    (195.74
    )
    
    $
    326.45
    6




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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  1.
    General:            Form 10-K
          7




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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Net realized and unrealized gains (losses) *
    
    
    $
    (74.30
    )
    
    $
    268.34
    
    
    $
    (170.33
    )
    
    $
    402.42Interest income
    
    
    
    0.40
    
    
    
    5.51
    
    
    
    0.85
    
    
    
    13.06Expenses **
    
    
    
    (15.67
    )
    
    
    (57.88
    )
    
    
    (26.26
    )
    
    
    (89.03
    )Increase (decrease) for the period
    
    
    
    (89.57
    )
    
    
    215.97
    
    
    
    (195.74
    )
    
    
    326.45Net Asset Value per Redeemable Unit, beginning of period
    
    
    
    2,011.32
    
    
    
    1,830.39
    
    
    
    2,117.49
    
    
    
    1,719.91Net Asset Value per Redeemable Unit, end of period
    
    
    $
    1,921.75
    
    
    $
    2,046.36
    
    
    $
    1,921.75
    
    
    $
    2,046.36
   *
    
    Includes brokerage commissions  **
    
    Excludes brokerage commissions  Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to Average Net Assets:***Net investment income (loss) before incentive fees****
    
    
    (7.8
    )%
    
    
    (6.9
    )%
    
    
    (7.8
    )%
    
    
    (6.7
    )%Operating expense
    
    
    7.9
    %
    
    
    8.1
    %
    
    
    7.9
    %
    
    
    8.3
    %Incentive fees
    
    
    0.2
    %
    
    
    2.5
    %
    
    
    0.2
    %
    
    
    3.9
    %Total expenses
    
    
    8.1
    %
    
    
    10.6
    %
    
    
    8.1
    %
    
    
    12.2
    %Total return:Total return before incentive fees
    
    
    (4.2
    )%
    
    
    14.4
    %
    
    
    (9.0
    )%
    
    
    23.2
    %Incentive fees
    
    
    (0.3
    )%
    
    
    (2.6
    )%
    
    
    (0.2
    )%
    
    
    (4.2
    )%Total return after incentive fees
    
    
    (4.5
    )%
    
    
    11.8
    %
    
    
    (9.2
    )%
    
    
    19.0
    %   ***
    
    Annualized (other than incentive fees)  ****
    
    Interest income less total expenses (exclusive of incentive fees)    3.
    Trading
    Activities:      8




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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
      June 30, 2009
    



    June 30, 2009Assets
    
    
    
    

    AssetsFutures Contracts
    
    
    
    

    Forward ContractsCurrencies
    
    $
    925
    

    Currencies
    
    $
    36,318Indices
    
    
    1,482
    

Total unrealized appreciation on open forward contracts

$
36,318Interest Rates Non-U.S.
    
    
    19,304Total unrealized appreciation on open futures contracts
    
    $
    21,711Liabilities
    
    
    
    

    LiabilitiesFutures Contracts
    
    
    
    

    Forward ContractsCurrencies
    
    $
    (2,288
    )

    Currencies
    
    $
    (12,499
    )Indices
    
    
    (12,081
    )

Total unrealized depreciation on open forward contracts

$
(12,499
)Interest Rates Non-U.S.
    
    
    (4,739
    )Total unrealized depreciation on open futures contracts
    
    $
    (19,108
    )Net
unrealized appreciation on open futures contracts
    
    $
    2,603
    *

    Net
unrealized appreciation on open forward contracts
    
    $
    23,819
    **
 
 *
    
    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.




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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  Three Months Ended
    
    Six Months EndedJune 30, 2009
    
    June 30, 2009Sector
    
    Gain (loss) from trading
    
    Gain (loss) from tradingCurrencies
    
    
    $525,387
    
    
    
    $345,485Energy
    
    
    8,540
    
    
    
    23,390Grains
    
    
    (950
    )
    
    
    (9,338
    )Indices
    
    
    209,388
    
    
    
    198,866Interest Rates U.S.
    
    
    17,985
    
    
    
    (49,181
    )Interest Rates Non-U.S.
    
    
    206,165
    
    
    
    102,280Metals
    
    
    (27,460
    )
    
    
    (25,902
    )Softs
    
    
    9,726
    
    
    
    (8,728
    )Total
    
    
    $948,781
    
    
    
    $576,872
 4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable6/30/2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsFutures
    
    $
    2,603
    
    
    $
    2,603
    
    
    $
    
    
    
    $
    Forwards
    
    
    23,819
    
    
    
    
    
    
    
    23,819
    
    
    
    Investment in Partnerships
    
    
    26,290,599
    
    
    
    
    
    
    
    26,290,599
    
    
    
    Total assets
    
    
    26,317,021
    
    
    
    2,603
    
    
    
    26,314,418
    
    
    
    Total fair value
    
    $
    26,317,021
    
    
    $
    2,603
    
    
    $
    26,314,418
    
    
    $
     Quoted Prices inActive Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    Unobservable12/31/2008
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Partnerships
    
    $
    37,284,594
    
    
    $
    
    
    
    $
    37,284,594
    
    
    $
    Total fair value
    
    $
    37,284,594
    
    
    $
    
    
    
    $
    37,284,594
    
    
    $
    
  10




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##### Table of Contents



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




---



##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
    give-up,
      June 30, 2009Total Assets


Total Liabilities


Total CapitalCampbell Master
    
    $
    80,156,520
    
    
    $
    125,661
    
    
    $
    80,030,859Aspect Master
    
    
    165,591,176
    
    
    
    1,355,048
    
    
    
    164,236,128Altis Master
    
    
    84,903,096
    
    
    
    9,439
    
    
    
    84,893,657Total
    
    $
    330,650,792
    
    
    $
    1,490,148
    
    
    $
    329,160,644December 31, 2008Total Assets


Total Liabilities


Total CapitalCampbell Master

$
127,587,225


$
112,263


$
127,474,962Aspect Master


240,236,167



881,834



239,354,333Altis Master


99,300,545



17,963



99,282,582Total

$
467,123,937


$
1,012,060


$
466,111,877






12



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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
    June 30, 2009


For the three months ended June 30, 2009% of








Expenses


NetPartnerships


Fair


Income








Income


Investment

RedemptionsFund

Net Assets


Value


(Loss)


Commissions


Other


(Loss)


Objective

PermittedCampbell Master
    
    
    19.91
    %
    
    $
    6,240,090
    
    
    $
    (451,682
    )
    
    $
    947
    
    
    $
    723
    
    
    $
    (453,352
    )
    
    FME
    Portfolio
    
    MonthlyAspect Master
    
    
    28.52
    %
    
    
    8,938,423
    
    
    
    (1,252,269
    )
    
    
    3,914
    
    
    
    472
    
    
    
    (1,256,655
    )
    
    Commodity
 Portfolio
    
    MonthlyAltis Master
    
    
    35.45
    %
    
    
    11,112,086
    
    
    
    (22,729
    )
    
    
    2,557
    
    
    
    1,686
    
    
    
    (26,972
    )
    
    Commodity
 Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    26,290,599
    
    
    $
    (1,726,680
    )
    
    $
    7,418
    
    
    $
    2,881
    
    
    $
    (1,736,979
    )June 30, 2009


For the six months ended June 30, 2009% of








Expenses


NetPartnerships


Fair


Income








Income


Investment

RedemptionsInvestment

Net Assets


Value


(Loss)


Commissions


Other


(Loss)


Objective

PermittedCampbell Master
    
    
    19.91
    %
    
    $
    6,240,090
    
    
    $
    (421,090
    )
    
    $
    2,090
    
    
    $
    1,538
    
    
    $
    (424,718
    )
    
    FME
    Portfolio
    
    MonthlyAspect Master
    
    
    28.52
    %
    
    
    8,938,423
    
    
    
    (1,393,574
    )
    
    
    5,881
    
    
    
    975
    
    
    
    (1,400,430
    )
    
    Commodity
 Portfolio
    
    MonthlyAltis Master
    
    
    35.45
    %
    
    
    11,112,086
    
    
    
    (727,276
    )
    
    
    8,394
    
    
    
    3,226
    
    
    
    (738,896
    )
    
    Commodity
 Portfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    26,290,599
    
    
    $
    (2,541,940
    )
    
    $
    16,365
    
    
    $
    5,739
    
    
    $
    (2,564,044
    )December 31, 2008


For the three months ended June 30, 2008% of








Expenses


NetPartnerships


Fair


Income








Income


Investment

RedemptionsFund

Net Assets


Value


(Loss)


Commissions


Other


(Loss)


Objective

PermittedCampbell Master


21.82
%

$
8,558,897


$
577,050


$
1,698


$
459


$
574,893


FME
    Portfolio

MonthlyAspect Master


33.62
%


13,187,938



894,788



5,477



667



888,644


Commodity
    Portfolio

MonthlyAltis Master


39.62
%


15,537,759



4,836,512



7,367



1,985



4,827,160


Commodity
    Portfolio

MonthlyTotal





$
37,284,594


$
6,308,350


$
14,542


$
3,111


$
6,290,697December 31, 2008


For the six months ended June 30, 2008% of








Expenses


NetPartnerships


Fair


Income








Income


Investment

RedemptionsFund

Net Assets


Value


(Loss)


Commissions


Other


(Loss)


Objective

PermittedCampbell Master


21.82
%

$
8,558,897


$
725,172


$
3,761


$
906


$
720,505


FME
    Portfolio

MonthlyAspect Master


33.62
%


13,187,938



2,945,074



12,290



1,073



2,931,711


Commodity
    Portfolio

MonthlyAltis Master


39.62
%


15,537,759



6,536,510



17,804



4,020



6,514,686


Commodity
    Portfolio

MonthlyTotal





$
37,284,594


$
10,206,756


$
33,855


$
5,999


$
10,166,902 13




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##### Table of Contents



Citigroup Global Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
    6.
    Financial
    Instrument Risks:




---



##### 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
 15




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##### Table of Contents



Futures
Contracts.
 Forward Foreign Currency Contracts.
  London Metals Exchange Forward Contracts.
 Options.
 Income Taxes.
   Recent Accounting Pronouncements.
 16




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##### Table of Contents



Subsequent
Events
  Results
    of Operations
         17




---



##### Table of Contents



and/or 90-day
       18




---



##### 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, 2009% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    92,932
    
    
    
    0.30
    %
    
    $
    773,310
    
    
    $
    87,405
    
    
    $
    501,282Indices
    
    
    75,432
    
    
    
    0.24
    %
    
    
    133,799
    
    
    
    28,653
    
    
    
    92,872Interest Rates Non -U.S.
    
    
    83,701
    
    
    
    0.26
    %
    
    
    287,002
    
    
    
    24,723
    
    
    
    175,144Total
    
    $
    252,065
    
    
    
    0.80
    %
 
 *
    
    Average 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
    
    $
    2,013,076
    
    
    
    2.51
    %
    
    $
    4,303,193
    
    
    $
    1,742,660
    
    
    $
    2,784,978Energy
    
    
    591,618
    
    
    
    0.74
    %
    
    
    930,274
    
    
    
    316,689
    
    
    
    610,620Interest Rates U.S.
    
    
    753,260
    
    
    
    0.94
    %
    
    
    1,097,280
    
    
    
    75,539
    
    
    
    684,291Interest Rates Non-U.S.
    
    
    812,683
    
    
    
    1.02
    %
    
    
    2,212,147
    
    
    
    812,683
    
    
    
    1,544,432Metals
    
    
    396,401
    
    
    
    0.50
    %
    
    
    506,772
    
    
    
    29,024
    
    
    
    295,206Indices
    
    
    1,690,660
    
    
    
    2.11
    %
    
    
    3,249,010
    
    
    
    1,217,508
    
    
    
    2,021,045Total
    
    $
    6,257,698
    
    
    
    7.82
    %
     *
    
    Average month-end Values at Risk  19




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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*Currencies
    
    $
    3,925,302
    
    
    
    2.39
    %
    
    $
    9,657,630
    
    
    $
    3,162,167
    
    
    $
    4,807,028Energy
    
    
    1,745,360
    
    
    
    1.06
    %
    
    
    4,972,100
    
    
    
    949,573
    
    
    
    2,527,497Grains
    
    
    739,855
    
    
    
    0.45
    %
    
    
    1,461,017
    
    
    
    526,909
    
    
    
    881,585Interest Rates U.S.
    
    
    1,834,830
    
    
    
    1.12
    %
    
    
    3,009,169
    
    
    
    308,273
    
    
    
    1,037,083Interest Rates Non-U.S.
    
    
    6,195,402
    
    
    
    3.77
    %
    
    
    8,835,309
    
    
    
    3,165,359
    
    
    
    5,000,595Livestock
    
    
    548,370
    
    
    
    0.33
    %
    
    
    704,364
    
    
    
    230,850
    
    
    
    461,213Lumber
    
    
    1,650
    
    
    
    0.00
    %**
    
    
    6,600
    
    
    
    1,650
    
    
    
    3,224Metals
    
    
    2,478,975
    
    
    
    1.51
    %
    
    
    4,707,270
    
    
    
    813,671
    
    
    
    2,616,935Softs
    
    
    1,533,107
    
    
    
    0.93
    %
    
    
    2,057,410
    
    
    
    1,031,420
    
    
    
    1,521,979Indices
    
    
    1,869,030
    
    
    
    1.14
    %
    
    
    2,687,927
    
    
    
    994,524
    
    
    
    1,771,268Total
    
    $
    20,871,881
    
    
    
    12.70
    %
     *
    
    Average month-end Values at Risk**
    
    Due to rounding     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
    
    $
    1,747,946
    
    
    
    2.06
    %
    
   $
    1,940,441
    
    
   $
    851,727
    
    
   $
    1,367,987Energy
    
    
    1,011,103
    
    
    
    1.19
    %
    
    
    2,143,145
    
    
    
    1,011,103
    
    
    
    1,506,509Grains
    
    
    493,049
    
    
    
    0.58
    %
    
    
    698,597
    
    
    
    319,102
    
    
    
    530,722Interest Rates U.S.
    
    
    379,512
    
    
    
    0.45
    %
    
    
    1,317,330
    
    
    
    345,620
    
    
    
    836,690Interest Rates Non -U.S.
    
    
    1,249,102
    
    
    
    1.47
    %
    
    
    1,818,335
    
    
    
    974,328
    
    
    
    1,412,354Livestock
    
    
    173,070
    
    
    
    0.20
    %
    
    
    266,895
    
    
    
    126,014
    
    
    
    194,043Metals
    
    
    1,565,322
    
    
    
    1.84
    %
    
    
    1,740,683
    
    
    
    507,229
    
    
    
    1,268,397Softs
    
    
    477,137
    
    
    
    0.56
    %
    
    
    782,168
    
    
    
    310,795
    
    
    
    498,749Indices
    
    
    1,040,595
    
    
    
    1.23
    %
    
    
    1,692,522
    
    
    
    38,250
    
    
    
    1,136,022Lumber
    
    
    4,950
    
    
    
    0.01
    %
    
    
    46,200
    
    
    
    4,950
    
    
    
    27,602Total
    
    $
    8,141,786
    
    
    
    9.59
    %
     *
    
    Average month-end Values at Risk 20




---



##### 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.   21




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##### Table of Contents



PART II.
    OTHER INFORMATION Item 1.    Legal Proceedings
  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.
 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
 22




---



##### 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



(or Approximate Dollarof Redeemable Units



Value) of Redeemable(a) Total Number



(b) Average



Purchased as Part of



Units that May Yet Beof Redeemable Units



Price Paid per



Publicly Announced



Purchased Under thePeriod


Purchased*



Redeemable Unit**



Plans or Programs



Plans or ProgramsApril 1, 2009  
April 30, 2009



92.0000



$
1,962.75




N/A




N/AMay 1, 2009  
May 31, 2009



192.7326



$
2,003.87




N/A




N/AJune 1, 2009  
June 30, 2009



240.8762



$
1,921.75




N/A




N/A525.6088



$
1,959.04        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
   23




---



##### 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)
     24




---



##### Table of Contents



SIGNATURES
      By:
    Citigroup Managed Futures LLC    By:
    /s/  Jerry
    Pascucci       By:
    /s/  Jennifer
    Magro      25