UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 FORM 10-K
 ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
 For the fiscal year ended December 31, 2008
 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
    
    (I.R.S. Employerincorporation or organization)
    
    Identification No.)
 c/o Citigroup Managed Futures LLC
55 East 59th Street  10th Fl.
New York, New York 10022
 
 (212) 559-2011
 
  None
 Securities registered pursuant to Section 12(g) of the Act:
    
    Redeemable Units of Limited Partnership Interest(Title of Class)
  Yes  No X
  Yes  No X
  Yes X No
   Large accelerated filer
    
    Accelerated filer
    
    Non-accelerated filer  
X
    
    Smaller reporting company
  Yes  No X




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TABLE OF CONTENTS
 PART I
 Item 1. Business .
 General development of business
  Financial Statements and Supplementary Data
      2




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3




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Financial information about industry segments Selected
Financial Data
 Narrative description of business
    Financial Information About Geographic Areas
 Available Information
 Reports to Security Holders
 Enforceability of Civil Liabilities Against Foreign Persons
 Smaller
Reporting Companies
 Item 1A. Risk Factors
 As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
  An investor may lose all of their investment.
 4




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The Partnership will pay substantial fees and expenses regardless of profitability.
  An investors ability to redeem or transfer Redeemable Units is limited.
  Conflicts of interest exist.
  1.
    
    The General Partner and commodity broker are affiliates;2.
    
    Each of the Advisors, the commodity broker and their principals and affiliates may
trade in commodity interests for their own accounts; and3.
    
    Smith Barney financial advisors will receive ongoing compensation for providing
services to an investors account.
 Investing in units might not provide the desired diversification of an investors overall
portfolio.
  Past performance is no assurance of future results.
  An investors tax liability may exceed cash distributions.
  The General Partner may allocate the Partnerships assets to undisclosed advisors.
  New regulation may impact the Partnerships trading.
  Item 2. Properties.
  Item 3. Legal Proceedings.
    Regulatory Matters
  5




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IPO Civil Litigation
   In
Re: Initial Public Offering Securities Litigation en banc
 Enron-Related Civil Actions
  Enron v. Citigroup, et al. (In re Enron Corp., et
al.)
 In Re:
NewPower Holdings Securities Litigation
 OCM
Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.; Pacific Investment Management Co.
LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al. and Principal
Global Investors v. Citigroup Inc., et al
 Newby Retirement Systems of Alabama v. Merrill Lynch, et al.
 6




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Newby, et
al. v. Enron Corp., et al.
 Ravenswood I, L.L.C., et al. v.
Citigroup, Inc., et al. Newby
 American National Insurance Co., et al. v. Citigroup Inc.,
et al. Newby
 Silvercreek Management Inc. v. Salomon Smith Barney, Inc.
 Public Employees Retirement
Systems of Ohio v. Fastow, et al. Newby
 Connecticut Resources Recovery Authority v. Lay,
et al. Newby
 Public Utility District
No. 1 of Snohomish County, Washington v. Citigroup, et al. Newby
 Newby
 7




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Avenue Capital Management II, L.P., et al.
v. J.P. Morgan Chase & Co., et al., DK Acquisition, et al. v. J.P. Morgan Chase, et al. Newby Bayerische Landesbank, et al. v. J.P. Morgan Chase Bank, et al. Newby
  Vanguard Balanced Index Fund, et al. v. Citigroup, et al. Newby
  8




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Dynegy Inc.
 In Re: Dynegy Inc. Securities Litigation
  WorldCom-Related Litigation
 In Re: WorldCom, Inc. Securities
Litigation
   In Re:
WorldCom, Inc. Securities Litigation
 9




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Weinstein, et al. v. Ebbers, et al.
 Retirement Systems of Alabama, et al. v. J.P. Morgan Chase & Co., et al. Public
Employees Retirement System of Ohio v. Ebbers, et al. New York City
Employees Retirement System v. Ebbers, et al.
  Sturm, et al. v. Citigroup, et al.
 In Re: Targets Securities Litigation
 10




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Global Crossing
 In Re: Global Crossing, Ltd.
Securities Litigation
   Adelphia Communications Corporation
  11




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In Re Adelphia Communications Corporation Securities and
Derivative Litigation
 Mutual Funds
   12




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Research Analyst Litigation
   In Re Salomon Analyst Metromedia Litigation
 In Re Salomon
Analyst AT&T Litigation In Re Salomon Analyst Level 3 Litigation, In Re Salomon Analyst
XO Litigation In Re Salomon Analyst Williams Litigation
 California State Teachers Retirement System v. Qwest
Communications International, Inc., et al. State Universities Retirement System of Illinois v.
Qwest Communications International Inc., et al
 13




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Norman v. Salomon Smith Barney, et al.
 Disher v. Citigroup Global Markets Inc.
 Supervisory Investigation
  Citigroup Shareholder Litigation
  14




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NASD Settlement
  Auction Rate Securities
  Finn v. Smith
Barney, et al.
 Hansen Beverage Co. v. Citigroup Inc., et al.
 In Re Citigroup Auction Rate Securities Litigation
 Mayor and City Council of Baltimore, Maryland v. Citigroup Inc., et al. Mayfield v.
Citigroup Inc., et al.
 15




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Subprime-Mortgage Related Litigation
 In Re American Home Mortgage Securities
Litigation
 In re Citigroup
Inc. Bond Litigation
 In Re Ambac Financial Group, Inc. Securities Litigation
 Other Matters
 In Re American Home Mortgage securities
 16




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In Re MAT Five Securities Litigation In Re
MAT Five Securities Litigation
 Leber v. Citigroup Inc., et al.
 Leber v. Citigroup, Inc., et al.
   Item 4. Submission of Matters to a Vote of Security Holders.
  17




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PART II
 Item 5.
    
    Market for Registrants Common Equity Related Stockholder Matters and Issuer Purchases
of Equity Securities.
 Market Information
 Holders
 Dividends
 Securities Authorized for Issuance Under Equity Compensation Plans
 Performance
Graph
 Use of Proceeds
  Item 6. Selected Financial Data.
  2008
    
    
    2007
    
    
    2006
    
    
    2005
    
    
    2004Net realized and
unrealized trading
gains (losses) and
investments in
Partnerships net of
brokerage
commissions
(including clearing
fees) of
$6,766,398,
$6,362,776,
$6,049,901,
$5,235,263 and
$3,669,056,
respectively
    
    $
    215,756,539
    
    
    $
    65,513,200
    
    
    $
    28,869,155
    
    
    $
    31,783,155
    
    
    $
    28,792,028Total interest income
    
    
    5,823,101
    
    
    
    14,917,240
    
    
    
    11,046,038
    
    
    
    4,083,246
    
    
    
    1,355,292$
    221,579,640
    
    
    $
    80,430,440
    
    
    $
    39,915,193
    
    
    $
    35,866,401
    
    
    $
    30,147,320Net income (loss)
    
    $
    166,805,886
    
    
    $
    63,393,428
    
    
    $
    29,048,211
    
    
    $
    23,623,197
    
    
    $
    23,775,680Increase (decrease)
in Net Asset Value
per Unit
    
    $
    704.34
    
    
    $
    304.80
    
    
    $
    216.46
    
    
    $
    243.00
    
    
    $
    268.14Total assets
    
    $
    688,854,019
    
    
    $
    469,271,467
    
    
    $
    313,156,339
    
    
    $
    174,986,555
    
    
    $
    123,302,029
 Item 7.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations.
 Overview
  18




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
    
    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.
    AAA Capital Management Advisors, Ltd.
    19




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Willowbridge Associates, Inc.
          20




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Winton Capital Management Limited
         21




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Liquidity.
   (i)
    
    The Partnership and Funds invest their assets only in commodity interests that the
Advisors believe 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
Advisors believe 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 and Funds may occasionally accept delivery of a commodity. Unless
such delivery is disposed of promptly by retendering the warehouse receipt representing
the delivery to the appropriate clearinghouse, the physical commodity position is fully
hedged.(iv)
    
    The Partnership and Funds do 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 and Funds do not utilize borrowings except short-term borrowings if
the Partnership/Funds takes delivery of any cash commodities.(vi)
    
    The Advisors may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Partnership/Funds. 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/Funds 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.
  22




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Financial Statements and Supplementary Data
  Capital Resources.
   23




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Results of Operations
   24




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25




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Operational Risk
   Operational/Settlement Risk
 Technological Risk
 Legal/Documentation Risk
 Financial Control Risk
 Critical Accounting Policies
 Use of Estimates.
 26




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Statement of Cash Flows.
 Investments.
 Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
  Futures
Contracts.
 London Metals Exchange Forward Contracts.
 Brokerage
Commissions.
 Options.
 Income Taxes.
  27




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Recent Accounting Pronouncements.
  Item 7A. Quantitative and Qualitative Disclosures About Market Risk
      Quantifying the Partnerships Trading Value at Risk
  28




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The Partnerships Trading Value at Risk in Different Market Sectors
   December 31, 2008
 Value at
    
    
    % of Total
    
    
    High
    
    
    Low
    
    
    Average ValueMarket Sector
    
    Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    at Risk*Currencies
    
    $
    550,881
    
    
    
    0.09
    %
    
    $
    1,999,001
    
    
    $
    4,860
    
    
    $
    491,595Energy
    
    
    123,500
    
    
    
    0.02
    %
    
    
    2,147,000
    
    
    
    7,220
    
    
    
    700,863Grains
    
    
    418,000
    
    
    
    0.06
    %
    
    
    874,000
    
    
    
    30,000
    
    
    
    344,210Interest Rates U.S.
    
    
    353,400
    
    
    
    0.05
    %
    
    
    521,700
    
    
    
    32,300
    
    
    
    249,958Interest Rates Non-U.S.
    
    
    522,669
    
    
    
    0.08
    %
    
    
    1,193,605
    
    
    
    27,322
    
    
    
    474,767Metals
    
    
    300,238
    
    
    
    0.05
    %
    
    
    1,634,000
    
    
    
    109,250
    
    
    
    344,603Softs
    
    
    70,300
    
    
    
    0.01
    %
    
    
    477,200
    
    
    
    17,100
    
    
    
    159,704Total
    
    $
    2,338,988
    
    
    
    0.36
    %
  December 31, 2007
 Low
    
    
    Average% of Total
    
    
    High
    
    
    Value at
    
    
    Value atMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Risk
    
    
    Risk*Currencies
    
    $
    176,000
    
    
    
    0.04
    %
    
    $
    519,880
    
    
    $
    3,375
    
    
    $
    205,252Energy
    
    
    308,000
    
    
    
    0.07
    %
    
    
    1,163,500
    
    
    
    71,500
    
    
    
    444,075Grains
    
    
    279,400
    
    
    
    0.06
    %
    
    
    307,230
    
    
    
    28,350
    
    
    
    153,637Interest Rates Non-U.S
    
    
    127,952
    
    
    
    0.03
    %
    
    
    1,058,165
    
    
    
    39,577
    
    
    
    306,101Metals
    
    
    203,500
    
    
    
    0.04
    %
    
    
    663,000
    
    
    
    45,000
    
    
    
    275,792Softs
    
    
    97,900
    
    
    
    0.02
    %
    
    
    229,800
    
    
    
    17,100
    
    
    
    87,971Total
    
    $
    1,192,752
    
    
    
    0.26
    %
 
 *
    
    annual average based on month-end Value at Risk 29




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December 31, 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    306,037,030
    
    
    
    22.86
    %
    
    $
    393,679,114
    
    
    $
    86,922,706
    
    
    $
    205,141,776Total
    
    $
    306,037,030
    
    
    
    22.86
    %
 
 *
    
    annual average of month-end Values at Risk  December 31, 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    

Value at Risk
    
    

Capitalization
    
    

Value at Risk
    
    

Value at Risk
    
    

Value at Risk*Currencies
    
    $
    1,945,600
    
    
    
    0.65
    %
    
    $
    11,556,229
    
    
    $
    245,220
    
    
    $
    3,464,607Energy
    
    
    816,000
    
    
    
    0.27
    %
    
    
    15,933,000
    
    
    
    448,000
    
    
    
    4,885,321Grains
    
    
    1,100,800
    
    
    
    0.37
    %
    
    
    5,470,800
    
    
    
    201,000
    
    
    
    2,038,390Interest Rates U.S.
    
    
    2,380,800
    
    
    
    0.80
    %
    
    
    4,367,200
    
    
    
    219,300
    
    
    
    1,272,506Interest Rates Non-U.S.
    
    
    3,571,688
    
    
    
    1.20
    %
    
    
    8,375,150
    
    
    
    387,940
    
    
    
    3,540,377Metals
    
    
    3,110,400
    
    
    
    1.05
    %
    
    
    8,742,000
    
    
    
    764,750
    
    
    
    4,883,083Softs
    
    
    819,200
    
    
    
    0.28
    %
    
    
    2,989,200
    
    
    
    120,600
    
    
    
    1,077,150Total
    
    $
    13,744,488
    
    
    
    4.62
    %
 
 *
    
    annual average based on month-end Value at Risk  December 31. 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    4,842,125
    
    
    
    0.88
    %
    
    $
    6,844,904
    
    
    $
    2,234,600
    
    
    $
    4,333,162Energy
    
    
    1,417,010
    
    
    
    0.26
    %
    
    
    6,750,850
    
    
    
    581,600
    
    
    
    3,815,788Grains
    
    
    1,912,314
    
    
    
    0.35
    %
    
    
    4,647,430
    
    
    
    41,072
    
    
    
    2,278,577Interest Rates U.S.
    
    
    3,213,000
    
    
    
    0.59
    %
    
    
    4,165,350
    
    
    
    160,797
    
    
    
    2,234,433Interest Rates Non-U.S.
    
    
    6,633,201
    
    
    
    1.21
    %
    
    
    6,862,943
    
    
    
    1,875,349
    
    
    
    4,923,678Livestock
    
    
    87,200
    
    
    
    0.02
    %
    
    
    350,900
    
    
    
    32,205
    
    
    
    165,842Lumber
    
    
    1,100
    
    
    
    0.00
    %**
    
    
    5,400
    
    
    
    1,100
    
    
    
    2,500Metals
    
    
    1,408,458
    
    
    
    0.26
    %
    
    
    4,997,086
    
    
    
    797,395
    
    
    
    2,496,016Softs
    
    
    762,259
    
    
    
    0.14
    %
    
    
    2,273,575
    
    
    
    354,777
    
    
    
    896,692Indices
    
    
    1,768,247
    
    
    
    0.32
    %
    
    
    12,018,105
    
    
    
    1,433,950
    
    
    
    5,538,325Total
    
    $
    22,044,914
    
    
    
    4.03
    %
 
 *
    
    annual average based on month-end Value at Risk**
    
    due to rounding 30




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Material Limitations on Value at Risk as an Assessment of Market Risk
   Qualitative Disclosures Regarding Primary Trading Risk Exposures
   Interest Rates
 Currencies
 Metals
 31




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Softs
 Energy
 Grains
 Qualitative Disclosures Regarding Means of Managing Risk Exposure
     32




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CITIGROUP ORION FUTURES FUND L.P.
 INDEX TO FINANCIAL STATEMENTS
 Item 8. Financial Statements and Supplementary Data.
 PageNumberOath or Affirmation
    
    F-3Managements Report on Internal Control over Financial Reporting
    
    F-4Reports of Independent Registered Public Accounting Firms
    
    F-5  F-7Financial Statements:Statements of Financial Condition at December 31, 2008 and 2007
    
    F-8Schedules of Investments at December 31, 2008 and 2007
    
    F-9  F-10Statements of Income and Expenses for the years ended December 31, 2008, 2007
and 2006
    
    F-11Statements of Changes in Partners Capital for the years ended December 31,
2008, 2007 and 2006
    
    F-12Notes to Financial Statements
    
    F-13  F-21Selected Unaudited Quarterly Financial Data
    
    F-22Financial Statements of Citigroup AAA Master Fund LLCOath or Affirmation
    
    F-23Reports of Independent Registered Public Accounting Firms
    
    F-24  F-25Financial Statements:Statements of Financial Condition at December 31, 2008 and 2007
    
    F-26Schedules of Investments at December 31, 2008 and 2007
    
    F-27  F-28Statements of Income and Expenses for the years ended December 31, 2008, 2007
and 2006
    
    F-29Statements of Changes in Members Capital for the years ended December 31,
2008, 2007 and 2006
    
    F-30Notes to Financial Statements
    
    F-31  F-36Selected Unaudited Quarterly Financial Data
    
    F-37Financial Statements of CMF Willowbridge Argo Master Fund L.P.Oath or Affirmation
    
    F-38Reports of Independent Registered Public Accounting Firms
    
    F-39  F-40Financial Statements:Statements of Financial Condition at December 31, 2008 and 2007
    
    F-41Schedules of Investments at December 31, 2008 and 2007
    
    F-42  F-43
 F-1




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CITIGROUP ORION FUTURES FUND L.P.
 INDEX TO FINANCIAL STATEMENTS  CONTINUED
 PageNumberStatements of Income and Expenses at December 31, 2008, 2007 and 2006
    
    F-44Statements of Changes in Partners Capital at December 31, 2008, 2007 and 2006
    
    F-45Notes to Financial Statements
    
    F-46  F-51Selected Unaudited Quarterly Financial Data
    
    F-52Financial Statements of CMF Winton Master L.P.Oath or Affirmation
    
    F-53Reports of Independent Registered Public Accounting Firms
    
    F-54  F-55Financial Statements:Statements of Financial Condition at December 31, 2008 and 2007
    
    F-56Schedules of Investments at December 31, 2008 and 2007
    
    F-57  F-58Statements of Income and Expenses for the years ended December 31, 2008, 2007
and 2006
    
    F-59Statements of Changes in Partners Capital for the years ended December 31,
2008, 2007 and 2006
    
    F-60Notes to Financial Statements
    
    F-61  F-66Selected Unaudited Quarterly Financial Data
    
    F-67
 F-2




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To the Limited
    Partners of
    Citigroup Orion Futures Fund L.P.
    
  By:
    Jennifer Magro 
  Citigroup Managed Futures LLC
 212-559-2011
 F-3




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Management
    s Report on Internal Control Over Financial
    Reporting
            Internal Control-Integrated Framework
    
 
     F-4




---



##### 



Report of Independent
Registered Public Accounting Firm
        F-5




---



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F-6




---



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Report of Independent Registered Public Accounting Firm
 
     
 F-7




---



##### 



Citigroup Orion
    Futures Fund L.P.
 Statements
    of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Investment in Partnerships, at fair value (Note 5)

$
610,161,022


$
431,131,828Equity in commodity futures trading account:Cash (Note 3c)


70,898,968



34,941,065Cash margin (Note 3c)


2,972,978



1,570,327Net unrealized appreciation on open futures contracts


1,526,317



590,874Unrealized appreciation on open forward contracts


3,283,299



688,842,584



468,234,094Distribution receivable


10,038



943,070Interest receivable (Note 3c)


1,397



94,303Total assets

$
688,854,019


$
469,271,467Liabilities and Partners Capital:Liabilities:Unrealized depreciation on open forward contracts

$
3,139,143


$
Accrued expenses:Brokerage commissions (Note 3c)


1,380,827



1,087,160Management fees (Note 3b)


1,053,913



706,963Administrative fees (Note 3a)


285,090



195,039Incentive fees (Note 3b)


10,922,554



4,416,325Professional fees


95,462



74,069Other


21,745



17,952Redemptions payable (Note 6)


23,068,432



2,368,203Total liabilities


39,967,166



8,865,711Partners Capital: (Notes 1 and 6)General Partner, 1,281.5595 and 428.9590 Unit equivalents
    outstanding at December 31, 2008 and 2007, respectively


3,635,695



914,794Limited Partners, 227,446.9882 and 215,461.3000 Redeemable Units
    of Limited Partnership Interest outstanding at December 31,
    2008 and 2007, respectively


645,251,158



459,490,962Total partners capital


648,886,853



460,405,756Total liabilities and partners capital

$
688,854,019


$
469,271,467   See accompanying notes to financial statements.
 F-8




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##### 



Citigroup Orion
    Futures Fund L.P.
 Schedule of
    Investments
    December 31, 2008
  % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
127,205



0.02
%Energy


(55,290
)


(0.01
)Grains


260,336



0.04Metals


44,650



0.01Interest Rates U.S.


607,238



0.09Interest Rates Non-U.S.


567,778



0.09Softs


90,950



0.01Total futures contracts purchased


1,642,867



0.25Futures Contracts SoldMetals


(116,550
)


(0.02
)Total futures contracts sold


(116,550
)


(0.02
)Net unrealized appreciation on open futures contracts


1,526,317



0.23Unrealized Appreciation on Open Forward ContractsMetals


3,283,299



0.50Total unrealized appreciation on open forward contracts


3,283,299



0.50Unrealized Depreciation on Open Forward ContractsMetals


(3,139,143
)


(0.48
)Total unrealized depreciation on open forward contracts


(3,139,143
)


(0.48
)Investment in PartnershipsCitigroup AAA Master Fund LLC


265,556,674



40.93CMF Willowbridge Argo Master Fund LP


137,019,309



21.12CMF Winton Master LP


207,585,039



31.99Total investment in Partnerships


610,161,022



94.04Total fair value

$
611,831,495



94.29
%   See accompanying notes to financial statements.
 F-9




---



##### 



Citigroup Orion
    Futures Fund L.P.
 Schedule of
    Investments
    December 31, 2007
  % of PartnersFair Value


CapitalFutures Contracts PurchasedEnergy

$
221,653



0.05
%Grains


405,137



0.09Metals


(63,100
)


(0.01
)Softs


23,338



0.00
*Total futures contracts purchased


587,028



0.13Futures Contracts SoldCurrencies


(11,275
)


(0.00
)*Interest Rates Non-U.S.


14,901



0.00
*Softs


220



0.00
*Total futures contracts sold


3,846



0.00
*Net unrealized appreciation on open futures contracts


590,874



0.13Investment in PartnershipsSB AAA Master Fund LLC


165,108,218



35.86CMF Willowbridge Argo Master Fund LP


90,472,695



19.65CMF Winton Master LP


175,550,915



38.13Total investment in Partnerships


431,131,828



93.64Total fair value

$
431,722,702



93.77
%     See accompanying notes to financial statements.
 F-10




---



##### 



Citigroup Orion
    Futures Fund L.P.
 Statements
    of Income and Expenses
    for the years ended
    December 31, 2008, 2007 and 2006
  2008


2007


2006Income:Net gains (losses) on trading of commodity interests and
    investment in Partnerships:Net realized gains (losses) on closed positions

$
12,376,626


$
10,458,193


$
1,542,379Net realized gains (losses) on investment in Partnerships


177,104,310



66,069,238



52,914,811Change in net unrealized gains (losses) on open positions


1,079,599



(398,691
)


744,790Change in net unrealized gains (losses) on investments in
    Partnerships


31,962,402



(4,252,764
)


(20,282,924
)Gain (loss) from trading, net


222,522,937



71,875,976



34,919,056Interest income (Note 3c)


689,057



1,103,241



634,289Interest income from investment in Partnerships


5,134,044



13,813,999



10,411,749Total income (loss)


228,346,038



86,793,216



45,965,094Expenses:Brokerage commissions including clearing fees of $821,755,
    $733,466, and $592,986 respectively (Note 3c)


6,766,398



6,362,776



6,049,901Management fees (Note 3b)


10,925,864



6,962,335



4,523,846Administrative fees (Note 3a)


2,980,531



1,921,930



1,246,298Incentive fees (Note 3b)


40,256,797



7,785,492



4,834,840Professional fees


520,640



289,126



237,675Other


89,922



78,129



24,323Total expenses


61,540,152



23,399,788



16,916,883Net income (loss)

$
166,805,886


$
63,393,428


$
29,048,211Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit equivalent (Notes 1 and 7)

$
704.34


$
304.80


$
216.46   See accompanying notes to financial statements.
 F-11




---



##### 



Citigroup Orion
    Futures Fund L.P.

    Statements of Changes in Partners Capital
    for the years ended
    December 31, 2008, 2007 and 2006
  Limited


GeneralPartners


Partner


TotalPartners capital at December 31, 2005

$
171,047,951


$
1,394,371


$
172,442,322Net income (loss)


28,860,896



187,315



29,048,211Sale of 73,406.7283 Redeemable Units of Limited Partnership
    Interest


127,571,000







127,571,000Redemption of 11,697.4428 Redeemable Units of Limited
    Partnership Interest


(20,663,455
)






(20,663,455
)Partners capital at December 31, 2006


306,816,392



1,581,686



308,398,078Net income (loss)


63,310,187



83,241



63,393,428Sale of 75,753.5122 Redeemable Units of Limited Partnership
    Interest


144,306,000







144,306,000Redemption of 28,154.4589 Redeemable Units of Limited
    Partnership Interest and 436.3952 General Partner Unit
    equivalents


(54,941,617
)


(750,133
)


(55,691,750
)Partners capital at December 31, 2007


459,490,962



914,794



460,405,756Net income (loss)


166,058,397



747,489



166,805,886Sale of 73,057.0497 Redeemable Units of Limited Partnership
    Interest and 852.6005 General Partner Unit equivalents


175,479,000



1,973,412



177,452,412Redemption of 61,071.3615 Redeemable Units of Limited
    Partnership Interest


(155,777,201
)






(155,777,201
)Partners capital at December 31, 2008

$
645,251,158


$
3,635,695


$
648,886,853Net Asset Value per Unit:   2006:

$
1,827.792007:

$
2,132.592008:

$
2,836.93
   See accompanying notes to financial statements.
 F-12




---



##### 



Citigroup Orion
    Futures Fund L.P.

    Notes to Financial Statements
    December 31, 2008
  1.
    Partnership
    Organization:              2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with
    U.S. generally accepted accounting principles
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. Actual results could differ from these
    estimates.b.
    Statement of Cash Flows.The Partnership has
    elected not to provide a Statement of Cash Flows as permitted by
    Statement of Financial Accounting Standards No. 102
    Statement of Cash Flows-Exemption of Certain Enterprises
    and Classification of Cash Flows from Certain Securities
    Acquired for Resale (FAS 102).c.
    Investments.All commodity interests
    (including derivative financial instruments and derivative
    commodity instruments) are held for trading purposes. The
    commodity interests are recorded on trade date and open
    contracts are recorded at fair value (as described below) at the
    measurement date. Investments in commodity interests denominated
    in foreign currencies are translated into F-13




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  U.S. dollars at the exchange rates prevailing at the
    measurement date. Gains or losses are realized when contracts
    are liquidated. Unrealized gains or losses on open contracts are
    included as a component of equity in commodity futures trading
    account on the Statement of Financial Condition. Realized gains
    or losses and any change in net unrealized gains or losses from
    the preceding period are reported in the Statements of Income
    and Expenses.  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


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsForwards

$
3,283,299


$
3,283,299


$



$
Futures


1,526,317



1,526,317







Investment in Partnerships


610,161,022







610,161,022



Total assets

$
614,970,638


$
4,809,616


$
610,161,022


$
LiabilitiesForwards

$
3,139,143


$
3,139,143


$



$
Total liabilities


3,139,143



3,139,143







Total fair value

$
611,831,495


$
1,670,473


$
610,161,022


$
   d.
    Futures Contracts.The Partnership and the
    Funds trade futures contracts. A futures contract is a firm
    commitment to buy or sell a specified quantity of investments,
    currency or a standardized amount of a deliverable grade
    commodity, at a specified price on a specified future date,
    unless the contract is closed before the delivery date, or if
    the delivery quantity is something where physical delivery
    cannot occur (such as S&P 500 Index), whereby such contract
    is settled in cash. F-14




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  Payments (variation margin) may be made or received
    by the Partnership and the Funds each business day, depending on
    the daily fluctuations in the value of the underlying contracts,
    and are recorded as unrealized gains or losses by the
    Partnership. When the contract is closed, the Partnership and
    the Funds record a realized gain or loss equal to the difference
    between the value of the contract at the time it was opened and
    the value at the time it was closed. Because transactions in
    futures contracts require participants to make both initial
    margin deposits of cash or other assets and variation margin
    deposits, through the futures broker, directly with the exchange
    on which the contracts are traded, credit exposure is limited.
    Realized gains (losses) and changes in unrealized gains (losses)
    on futures contracts are included in the Statements of Income
    and Expenses.  e.
    London Metals Exchange Forward
    Contracts.  Metal contracts traded on the London
    Metals Exchange (LME) represent a firm commitment to
    buy or sell a specified quantity of Aluminum, Copper, Lead,
    Nickel, Tin or Zinc. LME contracts traded by the Partnership and
    the Funds are cash settled based on prompt dates published by
    the LME. Payments (variation margin) may be made or
    received by the Partnership and the Funds each business day,
    depending on the daily fluctuations in the value of the
    underlying contracts, and are recorded as unrealized gains or
    losses by the Partnership and the Funds. A contract is
    considered offset when all long positions have been matched with
    short positions. When the contract is closed at the prompt date,
    the Partnership and the Funds record a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in LME contracts require participants to
    make both initial margin deposits of cash or other assets and
    variation margin deposits, through the broker, directly with the
    LME, credit exposure is limited. Realized gains (losses) and
    changes in unrealized gains (losses) on metal contracts are
    included in the Statements of Income and Expenses.  f.
    Options.The Partnership and Funds may
    purchase and write (sell) both exchange listed and
    over-the-counter, options on commodities or financial
    instruments. 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 and Funds 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 and Funds
    purchases an option, the premium paid is recorded as an asset in
    the Statements of Financial Condition and marked to market
    daily. Realized gains (losses) and changes in unrealized gains
    (losses) on options contracts are included in the Statements of
    Income and Expenses.  g.
    Brokerage Commissions.Commission charges to
    open and close futures and exchange traded swap contracts are
    expensed at the time the positions are opened. Commission
    charges on option contracts are expensed at the time the
    position is established and when the option contract is closed.h.
    Income Taxes.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-15




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
      i.
    Recent Accounting Pronouncements.On
    March 19, 2008, Financial Accounting Standards Board
    released Statement of Financial Accounting Standards
    No. 161, Disclosures about Derivative Instruments and
    Hedging Activities (FAS 161).
    FAS 161 requires qualitative disclosures about objectives
    and strategies for using derivatives, quantitative disclosures
    about fair value amounts of and gains and losses on derivative
    instruments, and disclosures about credit-risk-related
    contingent features in derivative agreements. The application of
    FAS 161 is required for fiscal years beginning after
    November 15, 2008 and interim periods within those fiscal
    years. The standard expands the disclosure requirements for
    derivatives and hedged items and has no impact on how the
    Partnership accounts for derivatives (the Partnership does not
    have hedged items). Management is evaluating the enhanced
    disclosure requirements and does not believe that there will be
    any material impact on the financial statement disclosures.j.
    Certain prior period amounts have been reclassified to conform
    to the current year presentation.  3.
    Agreements:  a.
    Limited Partnership Agreement:  1 24
  b.
    Management Agreement:  1 8 1 6
    c.
    Customer Agreement:   F-16




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  give-up 30-day 3-month
  4.
    Trading
    Activities:        5.
    Investments in
    Partnerships:       F-17




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
              December 31, 2008Total


Total


TotalAssets


Liabilities


CapitalAAA Master

$
1,963,000,233


$
624,369,134


$
1,338,631,099Willowbridge Master


297,444,761



24,757



297,420,004Winton Master


548,595,909



844,366



547,751,543Total

$
2,809,040,903


$
625,238,257


$
2,183,802,646   December 31, 2007Total


Total


TotalAssets


Liabilities


CapitalAAA Master

$
1,160,130,922


$
160,677,386


$
999,453,536Willowbridge Master


213,552,209



497,187



213,055,022Winton Master


464,943,301



7,898,168



457,045,133Total

$
1,838,626,432


$
169,072,741


$
1,669,553,691  F-18




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
    % of














NetPartnerships








Expenses


Income


Investment

RedemptionInvestment

Net Assets


Fair Value


Income (Loss)


Commissions


Other


(loss)


Objective

PermittedFor the year ended December 31, 2008AAA Master


40.93
%

$
265,556,674


$
110,101,731


$
605,423


$
160,841


$
109,335,467


Energy
    Markets

MonthlyWillowbridge Master


21.12
%


137,019,309



53,417,835



153,140



16,149



53,248,546


Commodity
    Portfolio

MonthlyWinton Master


31.99
%


207,585,039



50,681,190



183,415



13,739



50,484,036


Commodity
    Portfolio

MonthlyTotal





$
610,161,022


$
214,200,756


$
941,978


$
190,729


$
213,068,049   % of














NetPartnerships








Expenses


Income


Investment

RedemptionInvestment

Net Assets


Fair Value


Income (Loss)


Commissions


Other


(Loss)


Objective

PermittedFor the year ended December 31, 2007AAA Master


35.86
%

$
165,108,218


$
23,226,928


$
465,371


$
75,369


$
22,686,188


Energy
    Markets

MonthlyWillowbridge Master


19.65
%


90,472,695



22,293,321



170,742



11,644



22,110,935


Commodity
    Portfolio

MonthlyWinton Master


38.13
%


175,550,915



30,110,224



335,088



13,013



29,762,123


Commodity
    Portfolio

MonthlyTotal





$
431,131,828


$
75,630,473


$
971,201


$
100,026


$
74,559,246   6.
    Distributions and
    Redemptions:    7.
    Financial
    Highlights:    2008


2007


2006Net realized and unrealized gains (losses)*

$
910.82


$
313.50


$
219.84Interest income


24.80



75.92



77.82Expenses**


(231.28
)


(84.62
)


(81.20
)Increase (decrease) for the year


704.34



304.80



216.46Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


2,132.59



1,827.79



1,611.33Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
2,836.93


$
2,132.59


$
1,827.79    *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions. F-19




---



##### 



Citigroup Orion
    Futures Fund L.P.
    Notes to Financial Statements
    December 31, 2008
   2008


2007


2006Ratios to average net assets:Net investment income (loss) before incentive fees***


(2.7
)%


(0.2
)%


(0.4
)%Operating expenses


3.8
%


4.2
%


5.0
%Incentive fees


7.1
%


2.1
%


2.0
%Total expenses


10.9
%


6.3
%


7.0
%Total return:Total return before incentive fees


41.3
%


18.6
%


15.2
%Incentive fees


(8.3
)%


(1.9
)%


(1.8
)%Total return after incentive fees


33.0
%


16.7
%


13.4
%    ***
    
    Interest income less total expenses.    8.
    Financial
    Instrument Risks:         F-20




---



##### 



F-21




---



##### 



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    

September 30, 2008
    

June 30, 2008
    

March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    74,819,388
    
    
    $
    27,257,894
    
    
    $
    76,460,557
    
    
    $
    43,041,801Net income
(loss)
    
    $
    59,772,762
    
    
    $
    16,001,938
    
    
    $
    58,633,780
    
    
    $
    32,397,406Increase (decrease)
in Net Asset Value
per Unit
    
    $
    251.14
    
    
    $
    66.99
    
    
    $
    243.59
    
    
    $
    142.62
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    
    September 30, 2007
    
    June 30, 2007
    
    March 31, 2007Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    34,721,213
    
    
    $
    15,149,594
    
    
    $
    48,404,900
    
    
    $
    (17,845,267
    )Net income (loss)
    
    $
    27,563,215
    
    
    $
    11,149,394
    
    
    $
    44,440,733
    
    
    $
    (19,759,914
    )Increase (decrease)
in Net Asset Value
per Unit
    
    $
    131.10
    
    
    $
    52.72
    
    
    $
    229.84
    
    
    $
    (108.86
    )
 F-22




---



##### 



To the Members
    of
    Citigroup AAA Master Fund LLC
    
  By:
    Jennifer Magro      Citigroup Managed Futures LLC
    212-559-2011
 F-23




---



##### 



Report of Independent Auditors
        
 F-24




---



##### 



Report of
Independent Registered Public Accounting Firm
            
 F-25




---



##### 



Citigroup AAA
    Master Fund LLC

    Statements of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Equity in commodity futures trading account:Cash (Note 3c)

$
696,338,412


$
708,737,391Cash margin (Note 3c)


90,640,874



1,620,046Net unrealized appreciation on open futures and exchange cleared
    swap contracts


268,819,884



Unrealized appreciation on open swaps contracts






92,444,714Options owned, at fair value (cost $839,906,163 and
    $359,627,764, respectively)


906,666,577



349,972,9591,962,465,747



1,152,775,110Due from brokers


518,950



5,911,586Interest receivable


15,536



1,444,226Total assets

$
1,963,000,233


$
1,160,130,922Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared
    swap contracts

$



$
42,694,277Unrealized depreciation on open swap contracts






15,443,679Options written, at fair value (premium $589,026,274 and
    $163,294,959, respectively)


624,018,932



91,112,724Accrued expenses:Professional fees


334,666



94,011Due to brokers






5,772,030Distribution Payable (Note 5)


15,536



1,438,406Redemptions Payable






4,122,259Total liabilities


624,369,134



160,677,386Members Capital:Members Capital, 150,805.9242 and 184,668.8591
    Units outstanding at December 31, 2008 and 2007,
    respectively


1,338,631,099



999,453,536Total liabilities and members capital

$
1,963,000,233


$
1,160,130,922   See accompanying notes to financial statements.
 F-26




---



##### 



Citigroup AAA
    Master Fund LLC

    Schedule of Investments
    December 31, 2008
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Feb 09  Aug 11


8,011


$
(441,745,130
)


(33.00
)%NYMEX HH N Gas Swap Feb 09  Dec 14


18,654



(89,160,340
)


(6.66
)NYMEX LS Crude Oil Feb 09  Dec 12


11,641



(129,427,041
)


(9.67
)NYMEX Natural Gas May 09  Dec 13


8,255



(139,708,500
)


(10.44
)NYMEX NYH RBOB Gas Feb 09  Dec 11


4,404



(119,810,053
)


(8.95
)NYMEX WTI Financial Jun 09  Dec 16


4,936



(209,218,410
)


(15.63
)Other






(151,807,029
)


(11.34
)Total futures and exchange cleared swap contracts purchased






(1,280,876,503
)


(95.69
)Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Mar 09  Dec 14


4,692



121,030,070



9.04IPE Gas Oil Jan 09  Jun 11


11,819



535,126,020



39.98NYMEX Heating Oil Feb 09  Dec 11


3,501



166,705,095



12.45NYMEX HH N Gas Swap Mar 09  Dec 12


29,532



155,897,847



11.65NYMEX Natural Gas Feb 09  Dec 14


13,299



260,526,256



19.46NYMEX NYH RBOB Gas Apr 09  Apr 10


3,293



137,456,648



10.27Other






172,954,451



12.92Total futures and exchange cleared swap contracts sold






1,549,696,387



115.77Net unrealized appreciation on open futures and exchange cleared
    swap contracts






268,819,884



20.08Options OwnedEnergyNYMEX Brent Crude EP Jun 09  Dec 10


2,533



73,938,930



5.52NYMEX Crude EP Mar 09  Dec 16


11,958



253,787,240



18.96NYMEX LS Crude Oil P Feb 09  Dec 12


6,383



205,040,500



15.32NYMEX Natural Gas EC Feb 09  May 14


28,842



164,736,675



12.31NYMEX Natural Gas EP Mar 09  Mar 11


4,433



70,822,470



5.29Other






138,340,762



10.33Total options owned






906,666,577



67.73Options WrittenEnergyNYMEX LS Crude Oil P Feb 09  Dec 12


6,493



(131,792,570
)


(9.84
)NYMEX Natural Gas EP Feb 09  May 11


6,340



(209,214,966
)


(15.63
)Other






(283,011,396
)


(21.14
)Total options written






(624,018,932
)


(46.61
)Total fair value





$
551,467,529



41.20
%   See accompanying notes to financial statements.
 F-27




---



##### 



Citigroup AAA
    Master Fund LLC

    Schedule of Investments
    December 31, 2007
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergy





$
162,833,367



16.29
%Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Feb 08  Dec 10


6,602



(77,608,996
)


(7.76
)Other






(126,738,498
)


(12.68
)Grains






(1,180,150
)


(0.12
)Total futures and exchange cleared swap contracts sold






(205,527,644
)


(20.56
)Net unrealized depreciation on open futures and exchange cleared
    swap contracts






(42,694,277
)


(4.27
)Options OwnedEnergyNYMEX Crude Oil Mar 08  Dec 11


6,694



62,612,920



6.27NYMEX Natural Gas Feb 08  Oct 12


27,108



218,208,060



21.83Other






66,409,454



6.65Grains






2,742,525



0.27Total options owned






349,972,959



35.02Options WrittenEnergy






(91,112,724
)


(9.12
)Unrealized Appreciation on Swap ContractsEnergy






92,444,714



9.25Unrealized Depreciation on Swap ContractsEnergy






(15,443,679
)


(1.55
)Total fair value





$
293,166,993



29.33
%   See accompanying notes to financial statements.
 F-28




---



##### 



Citigroup AAA
    Master Fund LLC

    Statements of Income and Expenses
    for the years ended December 31, 2008, 2007 and
    2006
  2008


2007


2006Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed positions

$
383,464,674


$
139,780,388


$
529,546,800Change in net unrealized gains (losses) on open positions


187,955,527



(15,598,237
)


(305,074,936
)Gain (loss) from trading, net


571,420,201



124,182,151



224,471,864Interest income


5,262,752



27,854,202



35,497,663Total income (loss)


576,682,953



152,036,353



259,969,527Expenses:Clearing fees


3,223,638



3,197,637



3,594,424Professional fees


848,543



508,210



366,093Total expenses


4,072,181



3,705,847



3,960,517Net income (loss)

$
572,610,772


$
148,330,506


$
256,009,010Net income (loss) per Unit of Member Interest (Notes 1 and
    6)

$
3,494.47


$
756.40


$
1,088.38   See accompanying notes to financial statements.
 F-29




---



##### 



Citigroup AAA
    Master Fund LLC

    Statements of Changes in Members Capital
    for the years ended December 31, 2008, 2007 and
    2006
  MembersCapitalMembers Capital at December 31, 2005

$
954,082,152Net income (loss)


256,009,010Sale of 58,368.3423 Units of Member Interest


249,113,429Redemption of 98,007.5492 Units of Member Interest


(430,561,037
)Distribution of interest income to feeder funds


(35,283,655
)Members Capital at December 31, 2006


993,359,899Net income (loss)


148,330,506Sale of 28,091.0093 Units of Member Interest


140,284,151Redemption of 50,568.2147 Units of Member Interest


(254,888,582
)Distribution of interest income to feeder funds


(27,632,438
)Members Capital at December 31, 2007


999,453,536Net income (loss)


572,610,772Sale of 26,018.8922 Units of Member Interest


176,599,395Redemption of 59,881.8271 Units of Member Interest


(404,833,765
)Distribution of interest income to feeder funds


(5,198,839
)Members Capital at December 31, 2008

$
1,338,631,099Net Asset Value per Unit of Member Interest:   2006:

$
4,795.462007:

$
5,412.142008:

$
8,876.52
   See accompanying notes to financial statements.
 F-30




---



##### 



Citigroup AAA
    Master Fund LLC

    Notes to Financial Statements
    December 31, 2008
  1.
    General:         F-31




---



##### 



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
      2.
    Accounting
    Policies:  a.
    Use of Estimates.  The preparation of financial
    statements and accompanying notes in conformity with
    U.S. generally accepted accounting principles
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. Actual results could differ from these
    estimates.b.
    Statement of Cash Flows.  The Master has
    elected not to provide a Statement of Cash Flows as permitted by
    Statement of Financial Accounting Standards No. 102
    Statement of Cash Flows-Exemption of Certain Enterprises
    and Classification of Cash Flows from Certain Securities
    Acquired for Resale (FAS 102).c.
    Investments.  All commodity interests of the
    Master (including derivative financial instruments and
    derivative commodity instruments) are held for trading purposes.
    The commodity interests are recorded on trade date and open
    contracts are recorded at fair value (as described below) at the
    measurement date. Investments in commodity interests denominated
    in foreign currencies are translated into U.S. dollars at
    the exchange rates prevailing at the measurement date. Gains or
    losses are realized when contracts are liquidated. Unrealized
    gains or losses on open contracts are included as a component of
    equity in commodity futures trading account on the Statements of
    Financial Condition. Realized gains or losses and any change in
    net unrealized gains or losses from the preceding period are
    reported in the Statements of Income and Expenses.Fair Value Measurements.  The Master adopted
    Statement of Financial Accounting Standards No. 157,
    Fair Value Measurements (SFAS 157) as of
    January 1, 2008 which defines fair value as the price that
    would be received to sell an asset or paid to transfer a
    liability in an orderly transaction between market participants
    at the measurement date. SFAS 157 establishes a framework
    for measuring fair value and expands disclosures regarding fair
    value measurements in accordance with GAAP. The fair value
    hierarchy gives the highest priority to unadjusted quoted prices
    in active markets for identical assets or liabilities
    (Level 1) and the lowest priority to fair values
    derived from unobservable inputs (Level 3). The level in
    the fair value hierarchy within which the fair value measurement
    in its entirety falls shall be determined based on the lowest
    level input that is significant to the fair value measurement in
    its entirety. The Master did not apply the deferral allowed by
    FASB Staff Positions
    No. FAS 157-2,
    Effective Date of FASB Statement No. 157, for
    nonfinancial assets and nonfinancial liabilities measured at
    fair value on a nonrecurring basis.The Master considers prices for exchange traded commodity
    futures, forwards and options contracts to be based on quoted
    prices in active markets for identical assets (Level 1).
    The values of non exchange traded forwards, swaps and certain
    options contracts for which market quotations are not readily
    available are priced by broker-dealers who derive fair values
    for those F-32




---



##### 



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
  assets from observable inputs (Level 2). As of
    December 31, 2008, the Master did not hold any derivative
    instruments for which market quotations are not readily
    available, are priced by broker-dealers who derive fair values
    for those assets from observable inputs (Level 2) or that
    are priced at fair value using unobservable inputs through the
    application of managements assumptions and internal
    valuation pricing models (Level 3).  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures and Exchange Cleared Swaps

$
268,819,884


$
268,819,884


$



$
Options owned


906,666,577



906,666,577







Total assets


1,175,486,461



1,175,486,461







LiabilitiesOptions written

$
624,018,932


$
624,018,932


$



$
Total liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   d.
    Futures Contracts.  The Master trades futures
    contracts. A futures contract is a firm commitment to buy or
    sell a specified quantity of investments, currency or a
    standardized amount of a deliverable grade commodity, at a
    specified price on a specified future date, unless the contract
    is closed before the delivery date or if the delivery quantity
    is something where physical delivery cannot occur (such as
    S&P 500 Index), whereby such contract is settled in
    cash. Payments (variation margin) may be made or
    received by the Master each business day, depending on the daily
    fluctuations in the value of the underlying contracts, and are
    recorded as unrealized gains or losses by the Master. When the
    contract is closed, the Master records a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in futures contracts require participants
    to make both initial margin deposits of cash or other assets and
    variation margin deposits through the futures broker directly
    with the exchange on which the contracts are traded, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.e.
    Options.  The Master may purchase and write
    (sell), both exchange listed and over-the-counter, options on
    commodities or financial instruments. An option is a contract
    allowing, but not requiring, its holder to buy (call) or sell
    (put) a specific or standard commodity or financial instrument
    at a specified price during a specified time period. The option
    premium is the total price paid or received for the option
    contract. When the Master writes an option, the premium received
    is recorded as a liability in the Statements of Financial
    Condition and marked to market daily. When the Master purchases
    an option, the premium paid is recorded as an asset in the
    Statements of Financial Condition and marked to market daily.
    Realized gains (losses) and changes in unrealized gains (losses)
    on options contracts are included in the Statements of Income
    and Expenses.f.
    Income and Expenses Recognition.  All of the
    income and expenses and realized and unrealized gains and losses
    on trading of commodity interests are determined on each
    valuation day and allocated pro rata among the Funds at the time
    of such determination.g.
    Income Taxes.  Income taxes have not been
    provided as each member is individually liable for the taxes, if
    any, on their share of the Masters income and expenses. F-33




---



##### 



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
   In 2007, the Master adopted FASB Interpretation No. 48
    Accounting for Uncertainty in Income Taxes
    (FIN 48). FIN 48 provides guidance for how
    uncertain tax positions should be recognized, measured,
    presented and disclosed in the financial statements. FIN 48
    requires the evaluation of tax positions taken or expected to be
    taken in the course of preparing the Masters financial
    statements to determine whether the tax positions are
    more-likely-than-not to be sustained by the
    applicable tax authority. Tax positions with respect to tax at
    the partnership level not deemed to meet the
    more-likely-than-not threshold would be recorded as
    a tax benefit or expense in the current year. The Managing
    Member has concluded that the adoption of FIN 48 had no
    impact on the operations of the Master for the year ended
    December 31, 2008 and that no provision for income tax is
    required in the Masters financial statements.The following are the major tax jurisdictions for the Master and
    the earliest tax year subject to examination: United
    States  2005.h.
    Recent Accounting Pronouncements.  On
    March 19, 2008, Financial Accounting Standards Board
    released Statement of Financial Accounting Standards
    No. 161, Disclosures about Derivative Instruments and
    Hedging Activities (FAS 161).
    FAS 161 requires qualitative disclosures about objectives
    and strategies for using derivatives, quantitative disclosures
    about fair value amounts of and gains and losses on derivative
    instruments, and disclosures about credit-risk-related
    contingent features in derivative agreements. The application of
    FAS 161 is required for fiscal years beginning after
    November 15, 2008 and interim periods within those fiscal
    years. The standard expands the disclosure requirements for
    derivatives and hedged items and has no impact on how the Master
    accounts for derivatives (the Master does not have hedged
    items). Management is evaluating the enhanced disclosure
    requirements and does not believe that there will be any
    material impact on the financial statement disclosures.  3.
    Agreements:  a.
    Managing Member Agreement:The Managing Member administers the business affairs of the
    Master including selecting one or more advisors to make trading
    decisions for the Master.b.
    Management Agreement:The Managing Member, on behalf of the Master has entered into a
    management agreement (the Management Agreement) with
    the Advisor, a registered commodity trading advisor. The Advisor
    is affiliated with the Managing Member and CGM but is not
    responsible for the organization or operation of the Master. The
    Management Agreement provides that the Advisor has sole
    discretion in determining the investment of the assets of the
    Master. All management fees in connection with the Management
    Agreement shall be borne by the Funds. The Management Agreement
    may be terminated upon notice by either party.c.
    Customer Agreement:The Master has entered into a customer agreement (the
    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 floor brokerage, exchange,
    clearing, user,
    give-up and
    National Futures Association fees (collectively the
    clearing fees) are borne by the Master consistent
    with contractual agreements. All other fees (management fees,
    administrative fees, incentive fees, brokerage commissions and
    offering costs) shall be borne by the Funds. All of the
    Masters cash is deposited by CGM in segregated bank
    accounts, to the extent required by Commodity Futures Trading
    Commission regulations. At December 31, 2008 and 2007, the
    amount of cash held by the Master for margin requirements was
    $90,640,874 and $1,620,046, respectively. The Customer Agreement
    between the Master F-34




---



##### 



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
  and CGM gives the Master the legal right to net unrealized gains
    and losses. The Customer Agreement may be terminated by either
    party. All commissions in connection with the Customer Agreement
    shall be borne by the Funds.  4.
    Trading
    Activities:      5.
    Distributions and
    Redemptions:    6.
    Financial
    Highlights:    2008


2007


2006Net realized and unrealized gains (losses)*

$
3,469.13


$
618.16


$
930.06Interest income


30.48



140.84



159.95Expenses**


(5.14
)


(2.60
)


(1.63
)Increase (decrease) for the year


3,494.47



756.40



1,088.38Distribution of interest income to feeder funds


(30.09
)


(139.72
)


(158.96
)Net Asset Value per Unit of Member Interest, beginning of year


5,412.14



4,795.46



3,866.04Net Asset Value per Unit of Member Interest, end of year

$
8,876.52


$
5,412.14


$
4,795.46    *
    
    Includes brokerage commissions**
    
    Excludes brokerage commissions  Ratio to average net assets:Net investment income (loss)***


0.1
%


2.4
%


3.0
%Operating expenses


0.4
%


0.4
%


0.4
%Total return


64.6
%


15.8
%


28.2
%   ***
    
    Interest income less total expenses   F-35




---



##### 



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
   7.
    Financial
    Instrument Risks:             F-36




---



##### 



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    

September 30, 2008
    

June 30, 2008
    

March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    175,399,992
    
    
    $
    194,086,196
    
    
    $
    163,785,949
    
    
    $
    40,187,178Net income
(loss)
    
    $
    175,150,122
    
    
    $
    193,836,326
    
    
    $
    163,573,146
    
    
    $
    40,051,178Increase in Net Asset Value
per Unit
    
    $
    1,134.53
    
    
    $
    1,182.02
    
    
    $
    954.68
    
    
    $
    223.24
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    
    September 30, 2007
    
    June 30, 2007
    
    March 31, 2007Net realized and
unrealized trading gains (losses) net of brokerage
commissions and clearing
fees including interest
income
    
    $
    21,874,494
    
    
    $
    30,964,379
    
    
    $
    92,827,279
    
    
    $
    3,172,564Net income
(loss)
    
    $
    21,747,533
    
    
    $
    30,790,629
    
    
    $
    92,723,530
    
    
    $
    3,068,814Increase in Net Asset Value
per Unit
    
    $
    117.32
    
    
    $
    156.94
    
    
    $
    462.46
    
    
    $
    19.68
 F-37




---



##### 



TABLE OF CONTENTS  PART IItem 1. BusinessItem 1A. Risk FactorsItem 2. PropertiesItem 3. Legal ProceedingsItem 4. Submission of Matters to a Vote of Security HoldersPART IIItem 5. Market for Registrants Common Equity Related Stockholder Matters and Issuer Purchases of Equity SecuritiesItem 6. Selected Financial DataItem 7. Managements Discussion and Analysis of Financial Condition and Results of OperationsItem 7A. Quantitative and Qualitative Disclosures About Market RiskItem 8. Financial Statements and Supplementary DataTo the Limited Partners of Citigroup Orion Futures Fund L.P.Management s Report on Internal Control Over Financial ReportingStatements of Financial ConditionSchedule of InvestmentsSchedule of InvestmentsStatements of Income and ExpensesStatements of Changes in Partners CapitalNotes to Financial Statements December 31, 2008Statements of Financial Condition December 31, 2008 and 2007Schedule of Investments December 31, 2008Schedule of Investments December 31, 2007Statements of Income and Expenses for the years ended December 31, 2008, 2007 and 2006Statements of Changes in Members Capital for the years ended December 31, 2008, 2007 and 2006Notes to Financial Statements December 31, 2008To the Limited Partners of CMF Willowbridge Argo Master Fund L.P.Statements of Financial ConditionSchedule of InvestmentsSchedule of InvestmentsStatements of Income and ExpensesStatements of Changes in Partners CapitalNotes to Financial StatementsReport of Independent AuditorsStatements of Financial ConditionSchedule of InvestmentsSchedule of InvestmentsStatements of Income and ExpensesStatements of Changes in Partners CapitalNotes to Financial Statements December 31, 2008Item 9. Changes in and Disagreements with Accountants on Accounting and Financial DisclosureItem 9A. Controls and ProceduresItem 9B: Other InformationPART IIIItem 10. Directors, Executive Officers and Corporate GovernanceItem 11. Executive CompensationItem 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder MattersItem 13. Certain Relationships and Related Transactions and Director IndependenceItem 14. Principal Accountant Fees and ServicesPART IVItem 15. Exhibits, Financial Statement SchedulesSIGNATURESEX-10.25: LETTERS FROM THE GENERAL PARTNEREX-23.1: CONSENT OF KPMG LLPEX-31.1: CERTIFICATIONEX-31.2: CERTIFICATIONEX-32.1: CERTIFICATIONEX-32.2: CERTIFICATION 
  To the Limited
    Partners of
    CMF Willowbridge Argo Master Fund L.P.
    
  By:
    Jennifer Magro      Citigroup Managed Futures LLC
    212-559-2011
 F-38




---



##### 



Report of Independent Auditors
        
 F-39




---



##### 



Report of Independent Registered Public Accounting Firm
            
 F-40




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
 Statements
    of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Equity in commodity futures trading account:Cash (Note 3c)

$
275,579,764


$
188,183,371Cash margin (Note 3c)


17,345,935



14,736,861Net unrealized appreciation on open futures contracts


4,514,064



10,159,667297,439,763



213,079,899Interest receivable


4,998



472,310Total assets

$
297,444,761


$
213,552,209Liabilities and Partners Capital:Liabilities:Accrued expenses:Professional fees

$
19,759


$
24,877Distribution payable (Note 5)


4,998



472,310Total liabilities


24,757



497,187Partners Capital:General Partner, 0.0000 Unit equivalents at December 31,
    2008 and 2007






Limited Partners Capital, 137,871.4938 and 151,669.7533
    Redeemable Units of Limited Partnership Interest outstanding at
    December 31, in 2008 and 2007, respectively


297,420,004



213,055,022Total liabilities and partners capital

$
297,444,761


$
213,552,209   See accompanying notes to financial statements.
 F-41




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
 Schedule of
    Investments
    December 31, 2008
  % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
521,823



0.17
%Grains


496,363



0.17Interest Rates U.S.


1,365,961



0.46Interest Rates Non-U.S.


1,847,392



0.62Metals


711,975



0.24Softs


(99,463
)


(0.03
)Total futures contracts purchased


4,844,051



1.63Futures Contracts SoldEnergy


694,880



0.23Grains


(294,592
)


(0.10
)Metals


(730,275
)


(0.24
)Total futures contracts sold


(329,987
)


(0.11
)Total fair value

$
4,514,064



1.52
%   See accompanying notes to financial statements.
 F-42




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
 Schedule of
    Investments
    December 31, 2007
  % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
(660,785
)


(0.31
)%Energy


3,295,752



1.55Grains


6,206,586



2.91Interest Rates U.S.


999,269



0.47Interest Rates Non-U.S.


309,793



0.14Metals


63,190



0.03Softs


359,678



0.17Total futures contracts purchased


10,573,483



4.96Futures Contracts SoldCurrencies


(17,588
)


(0.01
)Energy


(278,590
)


(0.13
)Interest Rates Non-U.S.


(170,173
)


(0.08
)Livestock


79,810



0.04Metals


(27,275
)


(0.01
)Total futures contracts sold


(413,816
)


(0.19
)Total fair value

$
10,159,667



4.77
%   See accompanying notes to financial statements.
 F-43




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
 Statements
    of Income and Expenses
    for the years ended December 31, 2008, 2007 and 2006
  2008


2007


2006Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed positions

$
120,270,941


$
45,753,249


$
7,356,887Change in net unrealized gains (losses) on open positions


(5,645,603
)


(875,016
)


199,393Gain (loss) from trading, net


114,625,338



44,878,233



7,556,280Interest income


2,959,647



6,365,854



6,973,475Total income (loss)


117,584,985



51,244,087



14,529,755Expenses:Clearing fees


340,947



437,674



686,498Professional fees


35,786



29,863



34,341Total expenses


376,733



467,537



720,839Net income (loss)

$
117,208,252


$
50,776,550


$
13,808,916Net income (loss) per Redeemable Unit of Limited Partnership
    Interest (Notes 1 and 6)

$
771.84


$
352.58


$
83.95   See accompanying notes to financial statements.
 F-44




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.

    Statements of Changes in Partners Capital
    for the years ended December 31, 2008, 2007 and
    2006
  PartnersCapitalPartners Capital at December 31, 2005

$
169,682,051Net income (loss)


13,808,916Sale of 28,094.8487 Redeemable Units of Limited Partnership
    Interest


30,189,283Redemption of 21,595.7187 Redeemable Units of Limited
    Partnership Interest


(23,138,645
)Distribution of interest income to feeder funds


(6,973,475
)Partners Capital at December 31, 2006


183,568,130Net income (loss)


50,776,550Sale of 27,402.5153 Redeemable Units of Limited Partnership
    Interest


30,563,510Redemption of 43,441.2969 Redeemable Units of Limited
    Partnership Interest


(45,487,314
)Distribution of interest income to feeder funds


(6,365,854
)Partners Capital at December 31, 2007


213,055,022Net income (loss)


117,208,252Sale of 60,036.9500 Redeemable Units of Limited Partnership
    Interest


106,466,700Redemption of 73,835.2095 Redeemable Units of Limited
    Partnership Interest


(136,350,323
)Distribution of interest income to feeder funds


(2,959,647
)Partners Capital December 31, 2008

$
297,420,004Net Asset Value per Redeemable Unit of Limited Partnership
    Interest:  2006:

$
1,094.572007:

$
1,404.732008:

$
2,157.23
   See accompanying notes to financial statements.
 F-45




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
 Notes to
    Financial Statements
    December 31, 2008
  1.
    Partnership
    Organization:             F-46




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  2.
    Accounting
    Policies:  a.
    Use of Estimates.  The preparation of financial
    statements and accompanying notes in conformity with
    U.S. generally accepted accounting principles
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. Actual results could differ from these
    estimates.b.
    Statement of Cash Flows.  The Master has
    elected not to provide a Statement of Cash Flows as permitted by
    Statement of Financial Accounting Standards No. 102
    Statement of Cash Flows-Exemption of Certain Enterprises
    and Classification of Cash Flows from Certain Securities
    Acquired for Resale (FAS 102).c.
    Investments.  All commodity interests of the
    Master (including derivative financial instruments and
    derivative commodity instruments) are held for trading purposes.
    The commodity interests are recorded on trade date and open
    contracts are recorded at fair value (as described below) at the
    measurement date. Investments in commodity interests denominated
    in foreign currencies are translated into U.S. dollars at
    the exchange rates prevailing at the measurement date. Gains or
    losses are realized when contracts are liquidated. Unrealized
    gains or losses on open contracts are included as a component of
    equity in commodity futures trading account on the Statements of
    Financial Condition. Realized gains or losses and any change in
    net unrealized gains or losses from the preceding period are
    reported in the Statements of Income and Expenses.Fair Value Measurements.  The Master adopted
    Statement of Financial Accounting Standards No. 157,
    Fair Value Measurements(SFAS 157) as of
    January 1, 2008 which defines fair value as the price that
    would be received to sell an asset or paid to transfer a
    liability in an orderly transaction between market participants
    at the measurement date. SFAS 157 establishes a framework
    for measuring fair value and expands disclosures regarding fair
    value measurements in accordance with GAAP. The fair value
    hierarchy gives the highest priority to unadjusted quoted prices
    in active markets for identical assets or liabilities
    (Level 1) and the lowest priority to fair values
    derived from unobservable inputs (Level 3). The level in
    the fair value hierarchy within which the fair value measurement
    in its entirety falls shall be determined based on the lowest
    level input that is significant to the fair value measurement in
    its entirety. The Master did not apply the deferral allowed by
    FASB Staff Positions
    No. FAS 157-2,
    Effective Date of FASB Statement No. 157, for
    nonfinancial assets and nonfinancial liabilities measured at
    fair value on a nonrecurring basis.The Master considers prices for exchange traded commodity
    futures, forwards and options contracts to be based on quoted
    prices in active markets for identical assets (Level 1).
    The values of non exchange traded forwards, swaps and certain
    options contracts for which market quotations are not readily
    available, are priced by broker-dealers who derive fair values
    for those assets from observable inputs (Level 2). As of
    December 31, 2008, the Master did not hold any derivative
    instruments for which market quotations are not readily
    available, are priced by broker-dealers who derive fair values
    for those assets from observable inputs (Level 2) or that
    are priced at fair value using unobservable inputs through the
    application of managements assumptions and internal
    valuation pricing models (Level 3).  F-47




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


Unobservable12/31/2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsFutures

$
4,514,064


$
4,514,064


$



$
Total assets


4,514,064



4,514,064







Total fair value

$
4,514,064


$
4,514,064


$



$
   d.
    Futures Contracts.  The Master trades futures
    contracts. A futures contract is a firm commitment to buy or
    sell a specified quantity of investments, currency or a
    standardized amount of a deliverable grade commodity, at a
    specified price on a specified future date, unless the contract
    is closed before the delivery date or if the delivery quantity
    is something where physical delivery can not occur (such as
    S&P 500 Index), whereby such contract is settled in cash.
    Payments (variation margin) may be made or received
    by the Master each business day, depending on the daily
    fluctuations in the value of the underlying contracts, and are
    recorded as unrealized gains or losses by the Master. When the
    contract is closed, the Master records a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in futures contracts require participants
    to make both initial margin deposits of cash or other assets and
    variation margin deposits, through the futures broker, directly
    with the exchange on which the contracts are traded, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.e.
    Income and Expenses Recognition.  All of the
    income and expenses and realized and unrealized gains and losses
    on trading of commodity interests are determined on each
    valuation day and allocated pro rata among the Funds at the time
    of such determination.  f.
    Income Taxes.  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.  In 2007, the Master adopted FASB Interpretation No. 48
    Accounting for Uncertainty in Income Taxes
    (FIN 48). FIN 48 provides guidance for how
    uncertain tax positions should be recognized, measured,
    presented and disclosed in the financial statements. FIN 48
    requires the evaluation of tax positions taken or expected to be
    taken in the course of preparing the Masters financial
    statements to determine whether the tax positions are
    more-likely-than-not to be sustained by the
    applicable tax authority. Tax positions with respect to tax at
    the partnership level not deemed to meet the
    more-likely-than-not threshold would be recorded as
    a tax benefit or expense in the current year. The General
    Partner has concluded that the adoption of FIN 48 had no
    impact on the operations of the Master for the year ended
    December 31, 2008 and that no provision for income tax is
    required in the Masters financial statements.The following are the major tax jurisdictions for the Master and
    the earliest tax year subject to examination: United
    States  2005.g.
    Recent Accounting Pronouncements.  On
    March 19, 2008, Financial Accounting Standards Board
    released Statement of Financial Accounting Standards
    No. 161, Disclosures about Derivative Instruments and
    Hedging Activities (FAS 161).
    FAS 161 requires qualitative disclosures about objectives
    and strategies for using derivatives, quantitative disclosures
    about fair value amounts of and gains and losses on derivative
    instruments, and disclosures about credit-risk-related
    contingent features in derivative agreements. The application of
    FAS 161 is required for fiscal years beginning after
    November 15, 2008 and interim periods within those fiscal
    years. The standard expands the disclosure requirements for
    derivatives and hedged items and has no F-48




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  impact on how the Master accounts for derivatives (the Master
    does not have hedged items). Management is evaluating the
    enhanced disclosure requirements and does not believe that there
    will be any material impact on the financial statement
    disclosures.  3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:    c.
    Customer Agreement:  give-up,
  4.
    Trading
    Activities:      5.
    Distributions and
    Redemptions:   F-49




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2008
   6.
    Financial
    Highlights:    2008


2007


2006Net realized and change in unrealized gains (losses)*

$
752.74


$
310.35


$
42.22Interest income


19.34



42.42



41.94Expenses**


(.24
)


(0.19
)


(0.21
)Increase (decrease) for the year


771.84



352.58



83.95Distribution of interest income to feeder funds


(19.34
)


(42.42
)


(41.94
)Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


1,404.73



1,094.57



1,052.56Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
2,157.23


$
1,404.73


$
1,094.57    *
    
    Includes clearing fees**
    
    Excludes clearing fees  2008


2007


2006Ratios to average net assets:Net investment income (loss)***


1.0
%


3.5
%


3.6
%Operating expenses


0.1
%


0.3
%


0.4
%Total return


54.9
%


32.2
%


8.0
%    ***
    
    Interest income less total expenses    7.
    Financial
    Instrument Risks:     F-50




---



##### 



CMF Willowbridge
    Argo Master Fund L.P.
    Notes to Financial Statements
    December 31, 2008
        F-51




---



##### 



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    

September 30, 2008
    

June 30, 2008
    

March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    27,126,788
    
    
    $
    9,695,635
    
    
    $
    61,112,070
    
    
    $
    19,309,545Net income
(loss)
    
    $
    27,118,311
    
    
    $
    9,686,363
    
    
    $
    61,102,423
    
    
    $
    19,301,155Increase (decrease)
in Net Asset Value
per Unit
    
    $
    190.01
    
    
    $
    68.64
    
    
    $
    389.12
    
    
    $
    124.07
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    
    September 30, 2007
    
    June 30, 2007
    
    March 31, 2007Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    46,270,390
    
    
    $
    (6,130,894
    )
    
    $
    40,955,768
    
    
    $
    (30,288,851
    )Net income (loss)
    
    $
    46,266,008
    
    
    $
    (6,138,210
    )
    
    $
    40,946,666
    
    
    $
    (30,297,914
    )Increase (decrease)
in Net Asset Value
per Unit
    
    $
    310.58
    
    
    $
    (42.99
    )
    
    $
    280.04
    
    
    $
    (195.05
    )
 F-52




---



##### 



To the Limited
    Partners of
    CMF Winton Master L.P.
    
  By:
    Jennifer Magro
    Chief Financial Officer and Director
    Citigroup Managed Futures LLC
    General Partner,
    CMF Winton Master L.P.  Citigroup Managed Futures LLC    212-559-2011
 F-53




---



##### 



Report of Independent Auditors
         
 F-54




---



##### 



Report of Independent Registered Public Accounting Firm
            
 F-55




---



##### 



CMF Winton Master
    L.P.
 Statements
    of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Equity in commodity futures trading account:Cash (Note 3c)

$
512,248,576


$
415,019,670Cash margin (Note 3c)


26,405,684



38,923,845Net unrealized appreciation on open futures contracts


6,936,356



8,112,545Unrealized appreciation on open forward contracts


2,996,261



1,858,698548,586,877



463,914,758Interest receivable


9,032



1,028,543Total assets

$
548,595,909


$
464,943,301Liabilities and Partners Capital:Liabilities:Unrealized depreciation on open forward contracts

$
816,692


$
3,380,482Accrued expenses:Professional fees


18,642



23,230Redemption payable (Note 5)






3,465,913Distribution payable (Note 5)


9,032



1,028,543Total liabilities


844,366



7,898,168Partners Capital:General Partner, 0.0000 Unit equivalents at December 31,
    2008 and 2007






Limited Partners Capital, 270,994.4921 and 287,763.7942
    Redeemable Units of Limited Partnership Interest outstanding at
    December 31, 2008 and 2007, respectively


547,751,543



457,045,133Total liabilities and partners capital

$
548,595,909


$
464,943,301   See accompanying notes to financial statements.
 F-56




---



##### 



CMF Winton Master
    L.P.
 Schedule of
    Investments
    December 31, 2008
   % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
928,233



0.17
%Indices


1,935



0.00
*Interest Rates U.S.


4,977,464



0.91Interest Rates Non-U.S.


6,479,517



1.18Livestock


30,960



0.01Softs


218,297



0.04Total futures contracts purchased


12,636,406



2.31Futures Contracts SoldCurrencies


(3,144,184
)


(0.57
)Energy


727,901



0.13Grains


(2,623,430
)


(0.48
)Indices


(239,475
)


(0.05
)Interest Rates U.S.


(13,766
)


(0.00
)*Livestock


86,500



0.02Lumber


3,806



0.00
*Metals


(478,272
)


(0.09
)Softs


(19,130
)


(0.00
)*Total futures contracts sold


(5,700,050
)


(1.04
)Net unrealized appreciation on open futures contracts


6,936,356



1.27Unrealized Appreciation on Forward ContractsMetals


2,996,261



0.55Total unrealized appreciation on forward contracts


2,996,261



0.55Unrealized Depreciation on Forward ContractsMetals


(816,692
)


(0.15
)Total unrealized depreciation on forward contracts


(816,692
)


(0.15
)Total fair value

$
9,115,925



1.67
%     See accompanying notes to financial statements.
 F-57




---



##### 



CMF Winton Master
    L.P.
 Schedule of
    Investments
    December 31, 2007
  % of PartnersFair Value


CapitalFutures Contracts PurchasedCurrencies

$
(1,346,736
)


(0.29
)%Energy


2,391,339



0.52Grains


4,780,769



1.05Indices


482,992



0.10Interest Rates U.S.


145,156



0.03Interest Rates
    Non-U.S.


1,045,608



0.23Livestock


(62,428
)


(0.01
)Metals


1,901,510



0.41Softs


27,817



0.01Total futures contracts purchased


9,366,027



2.05Futures Contracts SoldCurrencies


(151,864
)


(0.03
)Energy


(326,420
)


(0.07
)Indices


96,301



0.02Interest Rates U.S.


(9,475
)


(0.00
)*Interest Rates
    Non-U.S.


(183,209
)


(0.04
)Livestock


159,920



0.03Lumber


2,805



0.00
*Metals


1,950



0.00
*Softs


(843,490
)


(0.18
)Total futures contracts sold


(1,253,482
)


(0.27
)Net unrealized appreciation on open futures contracts


8,112,545



1.78Unrealized Appreciation on Open Forward ContractsMetals


1,858,698



0.40Total unrealized appreciation on open forward contracts


1,858,698



0.40Unrealized Depreciation on Open Forward ContractsMetals


(3,380,482
)


(0.74
)Total unrealized depreciation on open forward contracts


(3,380,482
)


(0.74
)Total fair value

$
6,590,761



1.44
%     See accompanying notes to financial statements.
 F-58




---



##### 



CMF Winton Master
    L.P.
 Statements
    of Income and Expenses
    for the years ended
    December 31, 2008, 2007 and 2006
  2008


2007


2006Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed positions

$
121,322,866


$
67,378,983


$
29,047,931Change in net unrealized gains (losses) on open positions


2,525,164



(3,420,940
)


5,283,954Gain (loss) from trading, net


123,848,030



63,958,043



34,331,885Interest Income


5,909,704



14,456,282



10,072,338Total income (loss)


129,757,734



78,414,325



44,404,223Expenses:Clearing fees


478,086



861,888



950,836Professional fees


35,866



33,468



21,458Total expenses


513,952



895,356



972,294Net income (loss)

$
129,243,782


$
77,518,969


$
43,431,929Net income (loss) per Redeemable Unit of Limited Partnership
    Interest (Notes 1 and 6)

$
453.53


$
276.81


$
232.02   See accompanying notes to financial statements.
 F-59




---



##### 



CMF Winton Master
    L.P.

    Statements of Changes in Partners Capital
    for the years ended
    December 31, 2008, 2007 and 2006
  PartnersCapitalPartners capital at December 31, 2005

$
178,606,589Net income (loss)


43,431,929Sale of 105,066.7150 Redeemable Units of Limited Partnership
    Interest


130,956,345Redemption of 55,862.7262 Redeemable Units of Limited
    Partnership Interest


(70,039,367
)Distribution of interest income to feeder funds


(10,072,338
)Partners capital at December 31, 2006


272,883,158Net income (loss)


77,518,969Sale of 123,458.3915 Redeemable Units of Limited Partnership
    Interest


172,636,530Redemption of 35,253.7082 Redeemable Units of Limited
    Partnership Interest


(51,537,242
)Distribution of interest income to feeder funds


(14,456,282
)Partners capital at December 31, 2007


457,045,133Net income (loss)


129,243,782Sale of 85,029.5477 Redeemable Units of Limited Partnership
    Interest


154,723,207Redemption of 101,798.8498 Redeemable Units of Limited
    Partnership Interest


(187,350,875
)Distribution of interest income to feeder funds


(5,909,704
)Partners capital at December 31, 2008

$
547,751,543Net Asset Value per Redeemable Unit of Limited Partnership
    Interest:   2006

$
1,367.432007

$
1,588.262008

$
2,021.26
   See accompanying notes to financial statements.
 F-60




---



##### 



CMF Winton Master
    L.P.

    Notes to Financial Statements
    December 31, 2008
  1.
    Partnership
    Organization:           F-61




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2008
      2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with
    U.S. generally accepted accounting principles
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. Actual results could differ from these
    estimates.b.
    Statement of Cash Flows.The Master has
    elected not to provide a Statement of Cash Flows as permitted by
    Statement of Financial Accounting Standards No. 102
    Statement of Cash Flows-Exemption of Certain Enterprises
    and Classification of Cash Flows from Certain Securities
    Acquired for Resale (FAS 102).c.
    Investments.All commodity interests of the
    Master (including derivative financial instruments and
    derivative commodity instruments) are held for trading purposes.
    The commodity interests are recorded on trade date and open
    contracts are recorded at fair value (as described below) at the
    measurement date. Investments in commodity interests denominated
    in foreign currencies are translated into U.S. dollars at
    the exchange rates prevailing at the measurement date. Gains or
    losses are realized when contracts are liquidated. Unrealized
    gains or losses on open contracts are included as a component of
    equity in commodity futures trading account on the Statements of
    Financial Condition. Realized gains or losses and any change in
    net unrealized gains or losses from the preceding period are
    reported in the Statements of Income and Expenses.  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
  broker-dealers
 F-62




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2008
    Quoted Prices


Significantin Active


Other


SignificantMarkets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures

$
6,936,356


$
6,936,356


$



$
Forwards


2,996,261



2,996,261







Total assets


9,932,617



9,932,617







LiabilitiesForwards


816,692



816,692







Total liabilities


816,692



816,692







Total fair value

$
9,115,925


$
9,115,925


$



$
   d.
    Futures Contracts.The Master trades futures
    contracts. A futures contract is a firm commitment to buy or
    sell a specified quantity of investments, currency or a
    standardized amount of a deliverable grade commodity, at a
    specified price on a specified future date, unless the contract
    is closed before the delivery date or if the delivery quantity
    is something where physical delivery can not occur (such as
    S&P 500 Index), whereby such contract is settled in cash.
    Payments (variation margin) may be made or received
    by the Master each business day, depending on the daily
    fluctuations in the value of the underlying contracts, and are
    recorded as unrealized gains or losses by the Master. When the
    contract is closed, the Master records a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in futures contracts require participants
    to make both initial margin deposits of cash or other assets and
    variation margin deposits, through the futures broker, directly
    with the exchange on which the contracts are traded, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.e.
    London Metals Exchange Forward
    Contracts.  Metal contracts traded on the London
    Metals Exchange (LME) represent a firm commitment to
    buy or sell a specified quantity of Aluminum, Copper, Lead,
    Nickel, Tin or Zinc. LME contracts traded by the Master are cash
    settled based on prompt dates published by the LME. Payments
    (variation margin) may be made or received by the
    Master each business day, depending on the daily fluctuations in
    the value of the underlying contracts, and are recorded as
    unrealized gains or losses by the Master. A contract is
    considered offset when all long positions have been matched with
    short positions. When the contract is closed at the prompt date,
    the Master records a realized gain or loss equal to the
    difference between the value of the contract at the time it was
    opened and the value at the time it was closed. Because
    transactions in LME contracts require participants to make both
    initial margin deposits of cash or other assets and variation
    margin deposits, through the broker, directly with the LME,
    credit exposure is limited. Realized gains (losses) and changes
    in unrealized gains (losses) on metal contracts are included in
    the Statements of Income and Expenses.  f.
    Income and Expenses Recognition.All of the
    income and expenses and realized and unrealized gains and losses
    on trading of commodity interests are determined on each
    valuation day and allocated pro rata among the Funds at the time
    of such determination. F-63




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2008
   g.
    Income Taxes.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.      h.
    Recent Accounting Pronouncements.On
    March 19, 2008, Financial Accounting Standards Board
    released Statement of Financial Accounting Standards
    No. 161, Disclosures about Derivative Instruments and
    Hedging Activities (FAS 161).
    FAS 161 requires qualitative disclosures about objectives
    and strategies for using derivatives, quantitative disclosures
    about fair value amounts of and gains and losses on derivative
    instruments, and disclosures about credit-risk-related
    contingent features in derivative agreements. The application of
    FAS 161 is required for fiscal years beginning after
    November 15, 2008 and interim periods within those fiscal
    years. The standard expands the disclosure requirements for
    derivatives and hedged items and has no impact on how the Master
    accounts for derivatives (the Master does not have hedged
    items). Management is evaluating the enhanced disclosure
    requirements and does not believe that there will be any
    material impact on the financial statement disclosures.  3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:    c.
    Customer Agreement:  give-up,
 F-64




---



##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2008
    4.
    Trading
    Activities:      5.
    Distributions and
    Redemptions:    6.
    Financial
    Highlights:    2008


2007


2006Net realized and unrealized gains (losses)*

$
433.13


$
220.96


$
179.65Interest income


20.53



55.98



52.49Expenses**


(0.13
)


(0.13
)


(0.12
)Increase (decrease) for the year


453.53



276.81



232.02Distribution of interest income to feeder funds


(20.53
)


(55.98
)


(52.49
)Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, beginning of year


1,588.26



1,367.43



1,187.90Net Asset Value per Redeemable Unit of Limited Partnership
    Interest, end of year

$
2,021.26


$
1,588.26


$
1,367.43   *
    
    Includes clearing fees**
    
    Excludes clearing fees  2008


2007


2006Ratios to average net assets:Net investment income (loss)***


1.0
%


3.7
%


3.8
%Operating expenses


0.1
%


0.2
%


0.4
%Total return


28.6
%


20.2
%


19.5
%   ***
    
    Interest income less total expenses F-65




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##### 



CMF Winton Master
    L.P.
    Notes to Financial Statements
    December 31, 2008
     7.
    Financial
    Instrument Risks:  over-the-counter
         F-66




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##### 



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    

September 30, 2008
    

June 30, 2008
    

March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    64,847,978
    
    
    $
    (37,683,528
    )
    
    $
    38,151,732
    
    
    $
    63,963,466Net income
(loss)
    
    $
    64,838,710
    
    
    $
    (37,692,795
    )
    
    $
    38,142,296
    
    
    $
    63,955,571Increase (decrease)
in Net Asset Value
per Unit
    
    $
    241.14
    
    
    $
    (136.12
    )
    
    $
    129.68
    
    
    $
    218.83For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    

September 30, 2007
    

June 30, 2007
    

March 31, 2007Net realized and unrealized trading
gains (losses) net of brokerage commissions
and clearing fees including
interest income
    
    $
    26,421,519
    
    
    $
    22,636,219
    
    
    $
    47,121,703
    
    
    $
    (18,627,004
    )Net income (loss)
    
    $
    26,421,271
    
    
    $
    22,624,252
    
    
    $
    47,111,076
    
    
    $
    (18,637,630
    )Increase (decrease) in Net Asset Value per Unit
    
    $
    93.17
    
    
    $
    77.99
    
    
    $
    184.27
    
    
    $
    (78.62
    )
 F-67




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##### 



Item 9. Changes in and Disagreements with Accountants on Accounting and Financial
Disclosure.
    Item 9A(T). Controls and Procedures.
    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.
 Financial Statements and Supplementary Data.
  Item 9B: Other Information .
 33




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##### 



PART III
 Item 10. Directors, Executive Officers and Corporate Governance.
   Item 11. Executive Compensation.
 Business Business
 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder
Matters.
 Security
ownership of certain beneficial owners.
 Security ownership of management
 Changes in control
 Item 13. Certain Relationships and Related Transactions and Director Independence.
 Business Financial Statements and
Supplementary Data Executive Compensation
 Item 14. Principal Accountant Fees and Services
 Audit Fees
   Audit-Related
Fees
 Tax
Fees
   34




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##### 



All Other Fees
   35




---



##### 



PART IV
 Item 15. Exhibits, Financial Statement Schedules.
                    36




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##### 



37




---



##### 



38




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##### 



SIGNATURES
 st
  By:
    
    /s/ Citigroup Managed Futures LLC

(General Partner)By:
    
    /s/ Jerry Pascucci

Jerry Pascucci, President & Director
  /s/ Jerry Pascucci
    
    
    
    /s/ Ihor RakowskyJerry Pascucci
    
    
    
    Ihor RakowskyPresident
and Director
    
    
    
    Secretary and Director/s/ Jennifer Magro
    
    
    
    /s/ Daryl DewbreyJennifer Magro
    
    
    
    Daryl DewbreyChief Financial Officer and Director
    
    
    
    Director/s/ Steve Ciampi
    
    
    
    /s/ Raymond NolteSteve Ciampi
    
    
    
    Raymond NolteDirector
    
    
    
    Director/s/ Shelley Deavitt UllmanShelley Deavitt UllmanDirector
    39