UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual ReportPursuant to Section 13 or 15(d) of the Securities Exchange Act of1934

For the year ended December 31, 2005

Commission File Number 0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in itscharter)

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| NewYork                                                     |  | 22-3644546                          |
| (State orother jurisdiction ofincorporation ororganization) |  | (I.R.S. Employer IdentificationNo.) |
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c/o Citigroup Managed FuturesLLC 731 Lexington Ave. – 25th Fl.New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

Securitiesregistered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of theAct:   Redeemable Units of Limited Partnership Interest

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Indicateby check mark if the registrant is a well-known seasoned issuer, asdefined in Rule 405 of the Securities Act.

Yes             No X

Indicate by check mark if the registrant is notrequired to file reports pursuant to Section 13 or Section 15(d) of theAct.

Yes             No X

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or forsuch shorter period that the registrant was required to file suchreports), and (2) has been subject to such filing requirements for thepast 90 days.

YesX        No     

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405of Regulation S-K is not contained herein, and will not be contained,to the best of registrant's knowledge, in definitive proxy orinformation statements incorporated by reference in Part III of thisForm 10-K or any amendment to this form 10-K [X]

Indicate by check mark whether the registrant is a largeaccelerated filer, an accelerated filer, or a non-accelerated filer (asdefined in Rule 12b-2 of the Act).

Largeaccelerated filer     Accelerated filer    Non-accelerated filer 

Indicate bycheck mark whether the registrant is a shell company (as defined inRule 12b-2 of the Act).

Yes             No X

Limited Partnership Redeemable Units with an aggregate valueof 141,743,318 were outstanding and held by non-affiliates as of thelast business day of the registrants most recently completed secondfiscal quarter.

As of February 28, 2006, 119,737.9683Limited Partnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on March 22, 1999 under the partnership laws of the State ofNew York. The objective of the Partnership is to achieve substantialcapital appreciation through speculative trading in U.S. andinternational markets for currencies, interest rates, stock indices,agricultural, energy products, precious and base metals. ThePartnership may employ futures, options on futures, and forwardcontracts in those markets. In addition, the Partnership may also enterinto swap contracts on energy related products (together with othertraded futures and options contracts, the "CommodityInterests"). During the initial offering period (March 31,1999 through June 10, 1999) the Partnership sold 10,499 redeemableunits of Limited Partnership Interest ("RedeemableUnits") at $1,000 per Redeemable Unit. The Partnershipcommenced its Commodity Interest trading activities on June 10, 1999.No securities which represent an equity interest or any other interestin the Partnership trade on any public market. The Partnershipprivately and continuously offers up to 250,000 Redeemable Units toqualified investors. Sales and redemptions of Redeemable Units andgeneral partner contributions and redemptions for the years endedDecember 31, 2005, 2004 and 2003 are reported in the Statement ofChanges in Partners' Capital on page F-11 under"Item 8. Financial Statements and SupplementaryData."

Effective September 1, 2001, thePartnership allocated the portion of the Partnership's capitalthat was allocated to AAA Capital Management, Inc.("AAA") for trading to the SB AAA Master FundLLC, a New York Limited Liability Company (the "AAAMaster"). With this cash, the Partnership purchased5,173.4381 Units of the Master at a fair value of $5,173,438. The AAAMaster was formed in order to permit accounts managed now or in thefuture by AAA using the Energy with Swaps Program, to invest togetherin one trading vehicle. The General Partner is the managing member ofthe AAA Master. Individual and pooled accounts currently managed byAAA, including the Partnership, are permitted to be non-managingmembers of the AAA Master. The General Partner and AAA believe thattrading through this structure should promote efficiency and economy inthe trading process. Expenses to investors as a result of theinvestment in the AAA Master are approximately the same and redemptionrights are not affected.

On November 1, 2004, the assetsallocated to Winton Capital Management Limited("Winton") for trading were invested in CMFWinton Master L.P. ("Winton Master"), alimited partnership organized under the partnership laws of the Stateof New York. The Partnership purchased 35,389.8399 Units of the WintonMaster with cash equal to $33,594,083 and a contribution of opencommodity futures and forwards positions with a value of $1,795,757.The Winton Master was formed in order to permit accounts managed now orin the future by Winton using the Diversified Program, to investtogether in one trading vehicle. The General Partner of the Partnershipis the General Partner of the Winton Master. Individual and pooledaccounts currently managed by Winton, including the Partnership arepermitted to be limited partners of the Winton Master. The GeneralPartner and Winton believe that trading through this structure shouldpromote efficiency and economy in the trading process. Expenses toinvestors as a result of investment in the Winton Master areapproximately the same and redemption rights are not affected.

On July 1, 2005, a portion of the assets allocated to WillowbridgeAssociates Inc. ("Willowbridge") for tradingwere invested in the CMF Willowbridge Argo Master Fund L.P.("Willowbridge Master"), a limited liabilitypartnership organized under the partnership laws of the State of NewYork. The Partnership purchased 33,529.1186 Units of WillowbridgeMaster with cash equal to $29,866,194, and a contribution of opencommodity futures and forward positions with a fair value of$3,662,925. Willowbridge Master was formed in order to permit commoditypools managed now or in the future by using Willowbridge's ArgoTrading Program, to invest together in one trading vehicle. The GeneralPartner is the General Partner of Willowbridge Master. Individual andpooled accounts currently managed by Willowbridge, including thePartnership are permitted to be limited partners of WillowbridgeMaster. The General Partner and Willowbridge believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of the investment inWillowbridge Master are approximately the same and redemption rightsare not affected.

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The AAA Master's, WillowbridgeMaster's and the Winton Master's trading of futures,forwards and options contracts, if applicable, on commodities is doneprimarily on United States of America commodity exchanges and foreigncommodity exchanges. All engage in such trading through commoditybrokerage accounts maintained with CGM.

A non-managingmember/limited partner may withdraw all or part of his capitalcontribution and undistributed profits, if any, from the AAA Master,Willowbridge Master or the Winton Master (the "MasterFunds") in multiples of the net asset value per unit oflimited partnership interest as of the last day of a month after arequest for redemption has been made to the Managing Member/GeneralPartner at least 3 days in advance of month-end.

Management andincentive fees are charged at the Partnership level. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Master Funds. All other feesincluding CGM's direct brokerage commission are charged at thePartnership level.

At December 31, 2005 and 2004, thePartnership owns 6.9% and 13.7%, respectively, of the AAAMaster. At December 31, 2005 the Partnership owns 25.9% ofWillowbridge Master. At December 31, 2005 and 2004, the Partnershipowns 30.5% and 33.4% of the Winton Master, respectively.It is AAA's, Willowbridge's and Winton's intention tocontinue to invest the assets allocated to each by the Partnership inthe AAA Master, Willowbridge Master and Winton Master, respectively.The performance of the Partnership is directly affected by theperformance of the Master Funds.

The Partnership will beliquidated upon the first to occur of the following: December 31, 2019;the net asset value of a Redeemable Unit decreases to less than $400 asof a close of any business day; a decline in net assets after tradingcommences to less than $1,000,000 or under certain other circumstancesas defined in the Limited Partnership Agreement of the Partnership (the"Limited Partnership Agreement").

Under the amended and restated limited partnership agreement of thePartnership (the "Limited PartnershipAgreement"), the General Partner has sole responsibilityfor the administration of the business and affairs of the Partnership,but may delegate trading discretion to one or more trading Advisors.The Partnership pays the General Partner a monthly administrative feeequal to 1/24 of 1% (0.5% per year) of month-end netassets. Month-end Net Assets, for the purpose of calculatingadministrative fees are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees.

The General Partner, on behalf of thePartnership, has entered into Management Agreements with Winton,Willowbridge, and AAA (collectively, the"Advisors"), each of which are registeredcommodity trading Advisors. The Advisors are not affiliated with oneanother, are not affiliated with the General Partner or CGM, and arenot responsible for the organization or operation of the Partnership.The Partnership will pay each Advisor a monthly management fee equal to1/6 of 1% (2% a year) of month-end Net Assets allocatedto each Advisor, except for Winton, which will receive a monthlymanagement fee equal to 1/8 of 1 % (1.5% a year) ofmonth-end Net Assets allocated to the Advisor. Month-end Net Assets,for the purpose of calculating management fees are Net Assets, asdefined in the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. In addition, the Partnership isobligated to pay each Advisor an incentive fee payable quarterly equalto 20% of the New Trading Profits, as defined in the ManagementAgreements, earned by each Advisor for the Partnership.

ThePartnership has entered into a Customer Agreement which provides thatthe Partnership will pay CGM brokerage commissions at $18 per roundturn for futures and forward transactions and $9 per side for options.The brokerage fee was inclusive of floor brokerage. The Partnershipwill also be allocated brokerage commissions through its investment inthe Master. CGM pays a portion of its brokerage fees to its financialconsultants who have sold Redeemable Units in the Partnership. Inaddition, the Partnership paid for National Futures Association("NFA") fees, exchange and clearing fees,give-up and user fees. Brokerage fees will be paid for the life of thePartnership, although the rate at which such fees are paid may bechanged. In addition, CGM pays the Partnership interest on 100%of the average daily equity maintained in cash in its account duringeach month at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the non-competitive yield on 3-month U.S. Treasury billsmaturing in 30 days 

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from the date in which such weekly rate isdetermined. The Customer Agreement between the Partnership and CGMgives the Partnership the legal right to net unrealized gains andlosses. The Customer Agreement may be terminated upon notice by eitherparty.

(b)    Financial information about industrysegments. The Partnership's business consists of only onesegment, speculative trading of commodity interests. The Partnershipdoes not engage in sales of goods or services. The Partnership'snet income (loss) from operations for the years ended December 31,2005, 2004 and 2003 are set forth under "Item 6.Selected Financial Data." The Partnership'scapital as of December 31, 2005, was $172,442,322.

(c)    Narrative description of business.

See Paragraphs (a) and (b) above.

(i) through(xii) - Not applicable.

(xiii) - The Partnership has noemployees.

(d)    Financial Information About GeographicAreas. The Partnership does not engage in sales of goods orservices or own any long lived assets, and therefore this item is notapplicable.

(e) Available Information. The Partnershipdoes not have an Internet address. The Partnership will provide papercopies of its annual report on Form 10-K, quarterly reports on Form10-Q, current reports on Form 8-K and any amendments to these reportsfree of charge upon request.

Item 1A.    RiskFactors

The trading of commodity interests is speculative,volatile and involves a high degree of leverage. A small change in themarket price of a commodity interest contract can produce major lossesfor the Partnership.

Due to the speculative nature of tradingcommodity interests, an investor could lose all of its investment inthe Partnership.

Regardless of its trading performance, thePartnership will incur fees and expenses, including brokerage andmanagement fees. Substantial incentive fees may be paid to one or moreof the trading advisors even if the Partnership experiences a net lossfor the full year.

An investor's ability to redeem unitsis limited and no market exists for the units.

The Partnershipis subject to numerous conflicts of interest including those that arisefrom the facts that:

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| 1.  | The General Partnerand commodity broker are affiliates; |

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| 2.  | Each ofthe trading advisor(s), the commodity broker and their principals andaffiliates may trade in commodity interests for their own accounts;and |

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| 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisors' tradingstrategies may not perform as they have performed in the past. Theadvisors have from time to time incurred substantial losses in tradingon behalf of clients.

Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions.

The General Partner at any time mayselect and allocate the Partnership's assets to undisclosedadvisors. Investors may not be advised of such changes in advance.Investors must rely on the ability of the General Partner to selectadvisors and allocate assets among them.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

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Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which Citigroup Global Markets Holdings Inc.("CGMHI") or its subsidiaries is a party orto which any of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

Citigroup Global Markets Inc. ("CGM") is aNew York corporation with its principal place of business at 388Greenwich Street, New York, New York 10013. CGM is registered as abroker-dealer and futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against Citigroup Global Markets or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised Citigroup Global Marketsthat they were or are reviewing transactions in which Ameritech PensionTrust purchased from Citigroup Global Markets and certain affiliatesapproximately $20.9 million in participations in a portfolio of motelsowned by Motels of America, Inc. and Best Inns, Inc. With respect tothe IRS review, Citigroup Global Markets and certain affiliatedentities have consented to extensions of time for the assessment ofexcise taxes that may be claimed to be due with respect to thetransactions for the years 1987, 1988 and 1989.

IPO RegulatoryInquiries

Since April 2002, Citigroup Global Markets andseveral other broker dealers have received subpoenas and/or requestsfor information from various governmental and self-regulatory agenciesand Congressional committees as part of their research on IPOallocation inquiries. With respect to issues raised by the NASD, theNYSE and the SEC about Citigroup Global Markets' and otherfirms' e-mail retention practices, Citigroup Global Markets andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. Citigroup Global Marketsagreed to pay a penalty in the amount of $1.65 million and did notadmit any wrongdoing. No individuals from Citigroup Global Markets havebeen charged in the IPO allocation proceedings.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against Citigroup Global Markets and other investment banks namedin numerous alleged class actions filed in the United States DistrictCourt for the Southern District of New York, alleging violations ofcertain federal securities laws (including Section 11 of the SecuritiesAct of 1933, as amended, and Section 10(b) of the Securities ExchangeAct of 1934, as amended) with respect to the allocation of shares forcertain initial public offerings and related aftermarket transactionsand damage to investors caused by allegedly biased research analystreports. On February 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. Citigroup Global Markets is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

On June 30, 2005, the United States Court of Appeals for the SecondCircuit entered an order in In Re: Initial Public OfferingSecurities Litigation agreeing to review the district court'sorder granting plaintiffs' motion for class certification.

Also filed in the Southern District of New York against CitigroupGlobal Markets and other investment banks were several alleged classactions that were consolidated into a single class action 

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alleging violations of certain federal andstate antitrust laws in connection with the allocation of shares ininitial public offerings when acting as underwriters. On November 3,2003, the court granted Citigroup Global Markets' motion todismiss the consolidated amended complaint in the antitrust case. OnSeptember 28, 2005, the United States Court of Appeals for the SecondCircuit in In Re: Initial Public Offering Antitrust Litigationvacated the district court's order dismissing these actions andremanded for further proceedings.

Research Settlement

On April 28, 2003, Citigroup Global Markets announced finalagreements with the SEC, the NASD, the NYSE and the New York AttorneyGeneral (as lead state among the 50 states, the District of Columbiaand Puerto Rico) to resolve on a civil basis all of their outstandinginvestigations into its research and IPO allocation and distributionpractices (the "Research Settlement"). Aspart of the Research Settlement, Citigroup Global Markets has consentedto the entry of (1) an injunction under the federal securities laws tobe entered in the United States District Court for the SouthernDistrict of New York, barring Citigroup Global Markets from violatingprovisions of the federal securities laws and related NASD and NYSErules relating to research, certain IPO allocation practices, thesafeguarding of material nonpublic information, and the maintenance ofrequired books and records and requiring Citigroup Global Markets toadopt and enforce new restrictions on the operation of research; (2) anNASD Acceptance Waiver and Consent requiring Citigroup Global Marketsto cease and desist from violations of corresponding NASD rules andrequiring Citigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing Panel's Decision, inwhich it accepted the Research Settlement, had become final. Asrequired by the Research Settlement, Citigroup Global Markets also hasentered into separate settlement agreements with numerous states andcertain U.S. territories.

Several individual actions have beenfiled against Citigroup and Citigroup Global Markets relating to, amongother things, research on Qwest Communications International, Inc.alleging violations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup 

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entered into an agreement with the FederalReserve Bank of New York ("FED") to resolvetheir inquiries into certain of Citigroup's transactions withEnron. Pursuant to the agreements, Citibank and Citigroup have agreedto submit plans to the OCC and FED, respectively, regarding thehandling of complex structured finance transactions. Also on July 28,2003, Citigroup entered into a settlement agreement with the ManhattanDistrict Attorney's Office to resolve its investigation intocertain of Citigroup's transactions with Enron. Pursuant to thatsettlement, Citigroup has agreed to pay $25.5 million and to abide byits agreements with the SEC, OCC and FED.

Enron-Related CivilActions

Citigroup Global Markets, Citigroup and various otherCitigroup-related entities have been named as defendants in over 20civil lawsuits pending in state and federal courts throughout theUnited States, alleging claims against Citigroup and Citigroup GlobalMarkets based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked holdings. The lawsuits collectively allege as againstCitigroup and/or its affiliates and subsidiaries, among other things,federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of fiduciary duty, aiding and abettinga breach of fiduciary duty and related claims. In most of theselawsuits, Citigroup is named as a co-defendant along with otherinvestment banks alleged to have had dealings with Enron. The majorityof cases pending in the federal courts have been, or are in the processof being, consolidated before a single judge in the United StatesDistrict Court for the Southern District of Texas. In addition, in fiveadversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, inone case, its co-debtor affiliates and subsidiaries, and the OfficialCommittee of Unsecured Creditors of Enron Corp., et al., have namedCitigroup and/or its affiliates or subsidiaries as defendants.

On June 13, 2005, Citigroup announced a settlement of the Enronclass action litigation (Newby, et al.v. Enron Corp., et al.)currently pending in the United States District Court for the SouthernDistrict of Texas, Houston Division. This settlement resolves allclaims against Citigroup brought on behalf of the class of purchasersof publicly traded equity and debt securities issued by Enron andEnron-related entities between September 9, 1997 and December 2, 2001.The settlement, which involves a pre-tax payment of $2.0 billion to thesettlement class, is fully covered by Citigroup's existinglitigation reserves. It is subject to approval by the Board of Regentsof the University of California (the lead plaintiff), the CitigroupBoard and the District Court in Texas.

A Citigroup affiliate,along with other defendants, settled all claims against it in In Re:Newpower Holdings Securities Litigation, a class action brought onbehalf of certain investors in NewPower securities. Citigroup reachedthis settlement agreement without admitting any wrongdoing. OnSeptember 13, 2004, the United States District Court for the SouthernDistrict of New York preliminarily approved the settlement.

InApril 2005, Citigroup, along with other financial institutiondefendants, reached an agreement-in-principle to settle fourstate-court actions brought by various investment funds, which were notpreviously consolidated or coordinated with other actions. The fourcases are OCM Opportunities Fund III, L.P., et al. v. CitigroupInc., 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. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

On August 26, 2005, a group of 15plaintiffs filed an action in the United States District Court for theSouthern District of Texas (Avenue Capital Management II, L.P., etal. v. J.P. Morgan-Chase & Co., et al.). The complaint names asdefendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets,and several J.P. Morgan entities and alleges fraud, breach of fiduciaryduty and breach of contract arising out of Enron bank debt incurredunder two syndicated revolving credit facilities and a syndicatedletter of credit facility.

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought by

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purchasers of publicly traded debt and equitysecurities of Dynegy  Inc. was amended to add Citigroup, Citibankand Citigroup Global Markets as defendants. The plaintiffs allegeviolations of Sections 10(b) and 20(a) of the Securities Exchange Actof 1934, as amended, against the Citigroup defendants. The Citigroupdefendants filed a motion to dismiss in March  2004, which motionwas granted by the District Court in October  2004. The courtdenied lead plaintiff's request for leave to appeal.

Thecourt had also previously denied lead plaintiff's motion forleave to amend. No appeal was yet timely while the remainder of thecase remained pending. On April 15, 2005, as part of a globalsettlement involving all defendants, Citigroup entered into amemorandum of understanding to settle this case. The amount to be paidin settlement is covered by existing litigation reserves.

WorldCom-Related Litigation

Citigroup, Citigroup GlobalMarkets and certain executive officers and current and former employeeshave been named as defendants—along with twenty-two otherinvestment banks, certain current and former WorldCom officers anddirectors, and WorldCom's former auditors—in a consolidatedclass action brought on behalf of individuals and entities whopurchased or acquired publicly traded securities of WorldCom betweenApril 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc. SecuritiesLitigation. The class action complaint asserts claims againstCitigroup Global Markets under (i) Sections 11 and 12(a)(2) of theSecurities Act of 1933, as amended, in connection with certain bondofferings in which it served as underwriter, and (ii) Sections 10(b)and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule10b-5 promulgated under Section 10(b), alleging that it participated inthe preparation and/or issuance of misleading WorldCom registrationstatements and disseminated misleading research reports concerningWorldCom stock. In 2003, the district court denied Citigroup GlobalMarkets' motion to dismiss the consolidated class actioncomplaint and granted the plaintiffs' motion for classcertification.

Pursuant to an order entered May 28, 2003, theDistrict Court consolidated approximately seventy-eight individualactions with the class action for pretrial proceedings. The claimsasserted in these individual actions are substantially similar to theclaims alleged in the class action and assert state and federalsecurities law claims based on Citigroup Global Markets' researchreports concerning WorldCom and/or Citigroup Global Markets' roleas an underwriter in WorldCom offerings. Plaintiffs in certain of theseactions filed motions to remove their cases to state court. TheDistrict Court denied these motions and its rulings were upheld onappeal.

Numerous other actions asserting claims againstCitigroup Global Markets in connection with its research reports aboutWorldCom and/or its role as an investment banker for WorldCom arepending in other federal and state courts around the country. Theseactions have been remanded to various state courts, are pending inother federal courts, or have been conditionally transferred to theUnited States District Court for the Southern District of New York tobe consolidated with the class action. In addition to the court suits,actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

On May 10, 2004, Citigroup announced that it had agreedto pay $2.58 billion to settle the WorldCom class action suits. TheUnited States District Court for the Southern District of New Yorkgranted approval of the proposed settlement on November 10, 2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, et al.,an alleged class action against Citigroup Global Markets and othersbrought on behalf of holders of WorldCom securities asserting claimsbased on, among other things, Citigroup Global Markets' researchreports concerning WorldCom, was dismissed with prejudice in itsentirety by the United States District Court for the Southern Districtof New York. The plaintiffs noticed an appeal of the dismissal to theUnited States Court of Appeals for the Second Circuit on October 15,2004. The parties have reached an agreement in principle on the termsof a settlement of this action.

Citigroup and Citigroup GlobalMarkets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

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On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Citigroup, along with other financialinstitutions and other defendants, entered into settlements resolvingcertain claims against Citigroup-related defendants in a number ofWorldCom-related actions. The settlement amounts are covered byexisting litigation reserves.

Global Crossing

On orabout January 28, 2003, the lead plaintiff in a consolidated allegedclass action in the United States District Court for the SouthernDistrict of New York (In Re: Global Crossing, Ltd. SecuritiesLitigation) filed a consolidated complaint on behalf of purchasersof the securities of Global Crossing and Asia Global Crossing, whichnames as defendants, among others, Citigroup, Citigroup Global Markets,Citigroup Global Markets Holdings Inc. and certain executive officersand current and former employees. The alleged class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add claims onbehalf of purchasers of the securities of Asia Global Crossing. Theadded claims assert causes of action under the federal securities lawsand common law in connection with Citigroup Global Markets'research reports about Global Crossing and Asia Global Crossing and forCitigroup Global Markets' roles as an investment banker forGlobal Crossing and as an underwriter in the Global Crossing and AsiaGlobal Crossing offerings. The Citigroup-related defendants moved todismiss all of the claims against them on July 2, 2004. In March 2005,the plaintiffs and the Citigroup-related defendants reached asettlement of all claims against the Citigroup-related defendants,including both research and underwriting claims and claims concerninglosses in both Global Crossing and Asia Global Crossing, for a total of$75 million. The Court granted preliminary approval of the settlementon March 8, 2005.

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding asserting claims against, among others, Citigroup, CitigroupGlobal Markets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith Citigroup Global Markets' research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially similar to the claims asserted in the alleged classaction.

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, 

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including Citigroup Global Markets, Citibank,N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc.(together, the "Citigroup Parties"). Thecomplaint alleges that the Citigroup Parties and numerous otherdefendants committed acts in violation of the Bank Holding Company Actand the common law. The complaint seeks equitable relief and anunspecified amount of compensatory and punitive damages. In November2003, a similar adversary proceeding was filed by the Equity HoldersCommittee of Adelphia. In June 2004, motions to dismiss were filed withrespect to the complaints of the Official Committee of UnsecuredCreditors and the Equity Holders Committee. The motions are currentlypending.

In addition, Citigroup Global Markets is among theunderwriters named in numerous civil actions brought to date byinvestors in Adelphia debt securities in connection with Adelphiasecurities offerings between September 1997 and October 2001. Three ofthe complaints also asserted claims against Citigroup and Citibank,N.A. All of the complaints alleged violations of federal securitieslaws, and certain of the complaints also alleged violations of statesecurities laws and the common law. The complaints sought unspecifieddamages. In December 2003, a second amended complaint was filed andconsolidated before the same judge of the United States District Courtfor the Southern District of New York.

In May and July of 2005,the United States District Court for the Southern District of New Yorkdismissed several claims on statute of limitations grounds in the classand individual actions being coordinated under In Re: AdelphiaCommunications Corporation Securities and Derivatives Litigation.With the exception of one individual action that was dismissed withprejudice, the court granted the class and individual plaintiffs leaveto re-plead certain of those claims the court found to be time-barred.Additional motions to dismiss the class complaint and the remainingindividual complaints on other grounds remain pending.

MutualFunds

Citigroup and certain of its affiliates have been namedin several class action litigations pending in various federal districtcourts arising out of alleged violations of the federal securitieslaws, the Investment Company Act and the common law (including breachof fiduciary duty and unjust enrichment). The claims concern practicesin connection with the sale of mutual funds, including allegationsinvolving market timing, revenue sharing, incentive payments for thesale of proprietary funds, undisclosed breakpoint discounts for thesale of certain classes of funds, inappropriate share classrecommendations and inappropriate fund investments. The litigationsinvolving market timing have been consolidated under the MDL rules inthe United States District Court for the District of Maryland, and thelitigations involving revenue sharing, incentive payment and otherissues have been consolidated in the United States District Court forthe Southern District of New York. The plaintiffs in these litigationsgenerally seek unspecified compensatory damages, rescissionary damages,injunctive relief, costs and fees. In the principal market timing casesthat name Citigroup, a lead plaintiff has been appointed but thatplaintiff has not yet filed an amended complaint. In the casesconcerning revenue sharing, incentive payment and other issues, thelead plaintiff filed a consolidated and amended complaint on December15, 2004.

Several issues in the mutual fund industry have comeunder the scrutiny of federal and state regulators. Citigroup hasreceived subpoenas and other requests for information from variousgovernment regulators regarding market timing, financing, fees, salespractices and other mutual fund issues in connection with variousinvestigations. Citigroup is cooperating with all such reviews.Additionally, Citigroup Global Markets has entered into a settlementagreement with the SEC with respect to revenue sharing and sales ofclasses of funds.

On May 31, 2005, Citigroup announced thatSmith Barney Fund Management LLC and Citigroup Global Markets completeda settlement with the SEC resolving an investigation by the SEC intomatters relating to arrangements between certain Smith Barney mutualfunds, an affiliated transfer agent and an unaffiliated sub-transferagent. Under the terms of the settlement, Citigroup agreed to pay finestotaling $208.1 million. The settlement, in which Citigroup neitheradmitted nor denied any wrongdoing or liability, includes allegationsof willful misconduct by Smith Barney Fund Management LLC and CitigroupGlobal Markets in failing to disclose aspects of the transfer agentarrangements to certain mutual fund investors.

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Research Analyst Litigation

Since May 2002, Citigroup Global Markets and certain executiveofficers and current and former employees have been named as defendantsin numerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup-related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

On September 27, 2005, Citigroupentered into a memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations of theInvestment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney. The settlement amount is coveredby existing litigation reserves. The settlement is subject to judicialapproval.

On August 17, 2005, in Disher v. Citigroup GlobalMarkets Inc., the United States Court of Appeals for the SeventhCircuit reversed the district court's grant of plaintiffs'motion to remand the case to state court, and directed the districtcourt to dismiss the case as preempted under the Securities LitigationUniform Standards Act ("SLUSA"). The UnitedStates Supreme Court has granted review in another case involving SLUSAthat may affect the Seventh Circuit's dismissal of the Dishermatter.

In Sturm, et al. v. Citigroup, et al., an NASDarbitration seeking significant compensatory and punitive damages,claimants' asserted common law claims, including fraud, arisingout of alleged research analyst conflicts of interest related toCitigroup Global Markets research coverage of WorldCom.

Supervisory Investigation

In May 2003, the SEC, NYSE andNASD issued a subpoena and letters to Citigroup Global Marketsrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. Other parties to the Research Settlement have received similarsubpoenas and letters.

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West Virginia Attorney General Suit

On June 23, 2003, the West Virginia Attorney General filed an actionagainst Citigroup Global Markets and nine other firms that were partiesto the Research Settlement. The West Virginia Attorney General allegesthat the firms violated the West Virginia Consumer Credit andProtection Act in connection with their research activities and seeksmonetary penalties.

Citigroup Shareholder Litigation

InJuly 2002, Citigroup, Citigroup Global Markets and certain officerswere named as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

In November 2004, Citigroup Global Markets entered into a finalagreement with the NASD to resolve the NASD's investigation intocertain of its selling practices. Without admitting or denying anyallegations or findings, Citigroup Global Markets accepted certainfactual findings by the NASD that it (i) sold units in two managedfutures funds to 45 customers for whom the investment was not suitable,(ii) failed to maintain records disclosing the basis upon which itsinvestor suitability determinations were made and (iii) failed toadequately disclose the risks of investing in managed futures productson its website. Citigroup Global Markets consented to a censure and afine of $275,000 and offered to redeem the investment of the customersfor whom investment in the two managed futures funds was found notsuitable.

In the course of its business, Citigroup GlobalMarkets, as a major futures commission merchant and broker-dealer, is aparty to various claims and routine regulatory investigations andproceedings that the General Partner believes do not have a materialeffect on the business of Citigroup Global Markets.

Item4.    Submission of Matters to a Vote of SecurityHolders.

There were no matters submitted to the securityholders for a vote during the last fiscal year covered by thisreport.

PART II

Item 5.    Market forRegistrant's Common Equity and Related Security HolderMatters.

(a)    Market Information. ThePartnership has issued no stock. There is no public market for theRedeemable Units of Limited Partnership Interest.

(b)    Holders. The number of holders of Redeemable Unitsof Partnership Interest as of December  31, 2005, was 1,580.

(c)    Dividends. The Partnership did not declare adistribution in 2005 or 2004.

(d)    Use of Proceeds.For the twelve months ended December 31, 2005, there were additionalsales of 36,756.0254 Redeemable Units totaling $55,421,000. For thetwelve months ended December 31, 2004, 

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there were additional sales of 24,093.3313Redeemable Units totaling $28,750,000 and contributions by the GeneralPartner representing 365.5458 Unit equivalents totaling $440,051. Forthe twelve months ended December 31, 2003, there were additional salesof 49,916.3153 Redeemable Units totaling$57,164,000.

(e)    Compensation Plans. None

Proceeds from the sale of additional Redeemable Units areused in the trading of commodity interests including futures contracts,options, swaps and forward contracts.

Item 6.    SelectedFinancial Data.

Net realized and unrealized trading gains(losses), interest income, net income (loss) and increase (decrease) inNet Asset Value per Redeemable Unit for the years ended December 31,2005, 2004, 2003, 2002 and 2001 and total assets at December 31, 2005,2004, 2003, 2002 and 2001 were asfollows:

|                                                                                                                                                                                                                     |  |        |             |        |  |        |             |        |  |        |            |         |  |        |            |        |  |        |            |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                                                                                                |  | 2005   |             | 2004   |  | 2003   |             | 2002   |  | 2001   |
| Netrealized and unrealized trading gains (losses) and investments inPartnerships net of brokerage commissions (including clearing fees) of$3,620,999, $2,178,028, $1,912,993, $1,168,831, and $674,125,respectively |  | $      | 35,114,404  |   |  | $      | 29,415,064  |   |  | $      | (3,029,947 | )  |  | $      | 12,474,085 |   |  | $      | 1,024,247  |   |
| Interestincome                                                                                                                                                                                                      |  |   | 693,141     |   |  |   | 693,186     |   |  |   | 479,341    |    |  |   | 414,512    |   |  |   | 434,122    |   |
|                                                                                                                                                                                                                |  | $      | 35,807,545  |   |  | $      | 30,108,250  |   |  | $      | (2,550,606 | )  |  | $      | 12,888,597 |   |  | $      | 1,458,369  |   |
| Netincome(loss)                                                                                                                                                                                                     |  | $      | 23,623,197  |   |  | $      | 23,775,680  |   |  | $      | (5,512,979 | )  |  | $      | 9,916,700  |   |  | $      | 355,163    |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                            |  | $      | 243.00      |   |  | $      | 268.14      |   |  | $      | (60.63     | )  |  | $      | 208.59     |   |  | $      | 57.30      |   |
| Totalassets                                                                                                                                                                                                         |  | $      | 174,986,555 |   |  | $      | 123,302,029 |   |  | $      | 91,801,583 |    |  | $      | 63,262,447 |   |  | $      | 20,993,463 |   |
|                                                                                                                                                                                                                     |

Item7.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

    Overview

The Partnership aims to achievesubstantial capital appreciation through speculative trading, directlyor indirectly, in U.S. and international markets for currencies,interest rates, stock indices, agricultural and energy products andprecious and base metals. The Partnership may employ futures, optionson futures, and forward contracts in those markets. The Partnership mayalso enter into swap transactions relating to the value of crude oiland other energy related products.

The General Partner managesall business of the Partnership. The General Partner has delegated itsresponsibility for the investment of the Partnership's assets toAAA, Willowbridge, and Winton. The General Partner employs a team ofapproximately 20 professionals whose primary emphasis is on attemptingto maintain quality control among the Advisors to the Partnershipsoperated or managed by the General Partner. A full-time staff of duediligence professionals use proprietary technology and on-siteevaluations to monitor new and existing futures money managers. Theaccounting and operations staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the Advisors for the Partnership, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

Responsibilities of the GeneralPartner include:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligenceexaminations of theAdvisors; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointment andtermination of theAdvisors; |

|              |                                              |
|--------------|----------------------------------------------|
| •  | negotiation of themanagement agreements; and |

|              |                                         |
|--------------|-----------------------------------------|
| •  | monitoringthe activity of the Advisors. |

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In addition, the General Partner preparesthe books and records and provides the administrative and complianceservices that are required by law or regulation from time to time inconnection with operation of the Partnership. These services includethe preparation of required books and records and reports to limitedpartners, government agencies and regulators; computation of net assetvalue; calculation of fees; effecting subscriptions, redemptions andlimited partner communications; and preparation of offering documentsand sales literature.

The General Partner shall seek the bestprices and services available in its commodity futures brokeragetransactions. The General Partner reviews at least annually, thebrokerage rates charged to commodity pools similar to the Partnershipto determine that the brokerage fee the Partnership pays is competitivewith other rates.

The programs traded by each Advisor on behalfof the Partnership are: AAA – Energy With Swaps Program;Willowbridge – Argo and Vulcan Trading Systems; and Winton– Diversified Program. As of December 31, 2005, thePartnership's assets were allocated among the trading Advisors inthe following approximate percentages: AAA, 38%, Willowbridge,31%, and Winton, 31%.

AAA Capital Management,Inc.

The portion of the Partnership's assets that arecurrently allocated to AAA for trading are not invested in commodityinterests directly. AAA's allocation of the Partnership'sassets is currently invested in AAA Master. AAA trades AAAMaster's, and thereby the Partnership's, assets inaccordance with its Energy with Swaps Program.

AAA Mastercurrently trades energy futures contracts and options on energy futurescontracts on domestic and international exchanges, as well as theGoldman Sachs Commodity Index (an index future comprised of energy andother products) traded on the Chicago Mercantile Exchange. AAA Masteralso currently engages in swap transactions involving crude oil andother energy related products. References herein to energy and energyrelated products include all of the foregoing.

AAA generallybases its trading decisions on "fundamental"factors, namely supply and demand for a particular group or type ofcommodity. AAA attempts to buy undervalued commodities and sellovervalued commodities, often but not always simultaneously. AAA usesoptions to attempt either to reduce or define risks.

AAA isaware of price trends but does not trade upon trends. AAA often takesprofits in positions with specific trends even though that trend maystill be intact or perhaps even strong. AAA occasionally establishespositions that are countertrend.

Effective risk management is acrucial aspect of AAA's trading program. Account size,expectation, volatility of the market traded and the nature of otherpositions taken are all factors in determining the amount of equitycommitted to each trade. AAA Master is AAA's largest account.

Willowbridge Associates, Inc.

The portion of thePartnership's assets that are currently allocated to Willowbridgefor trading are not invested in commodity interests directly. A portionof Willowbridge's allocation of the Partnership's assets iscurrently invested in the Willowbridge Master. Willowbridge trades itsArgo Trading System on behalf of the WillowbridgeMaster.

Willowbridge trades the Partnership's assetsallocated to it in accordance with its Select Investment Program,whereby the General Partner determined the initial allocation of thePartnership's assets among one or more of Willowbridge'sstrategies and may determine subsequent reallocations (if any). Of thePartnership's assets allocated to Willowbridge, 19% iscurrently traded using the Vulcan Trading System and 81% iscurrently traded using the Argo Trading System, each of which isdescribed below.

For each of these systems, risk is managed on amarket by market level as well as on an overall portfolio level. On themarket level, risk is managed primarily by utilizing proprietaryvolatility filters. When these filters detect a certain excessive levelof volatility in the markets traded, they will signal that the systemsshould no longer be trading in the markets in which the filters havedetected excessive volatility. In this way, the systems do notparticipate in markets in which there are extremes in market

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action. On the portfolio level, risk ismanaged by utilizing a proprietary portfolio cutback rule. Whencumulative profits have reached a certain level, this rule determinesthat positions should be halved across the entire portfolio. In thisway, risk is reduced while allowing the systems to continue toparticipate in the markets, albeit at a reduced level. After theportfolio has been traded at half, the portfolio cutback rule will thendetermine when to increase positions to again trade at the fulllevel.

The Vulcan Trading System, which commenced trading in1988, is a computerized technical trading system. It is not atrend-following system, but does ride a trend when the opportunityarises. Vulcan uses the concepts of pattern recognition,support/resistance levels, and counter-trend liquidations in makingtrading decisions. In effect, Vulcan is more akin to a systematictechnical charting system, as opposed to most computer systems whichare based on pure trend-following calculations.

The VulcanSystem is based on general technical trading principles. It appliesthese principles to a diversified portfolio of commodities andcurrencies. Given that the system is based on general principles, thesystem parameters used are the same for all items in the portfolio andare not optimized. In this manner, the Vulcan System minimizes theproblem of data-fitting.

The Argo Trading System commencedtrading in 1988. Argo essentially incorporates Vulcan's conceptsof pattern recognition, support/resistance levels and counter-trendliquidations to trade a portfolio similar to Vulcan. However, Argo hasa relatively slower time horizon than Vulcan and attempts to capturelonger-term price moves.

Pattern recognition, support/resistancelevels and counter-trend liquidations are defined as follows:

Pattern recognition is the ability to identify patterns that appearto have acted as precursors of price advances or declines in thepast.

A support level is a previous low--a price level under thecurrent market price at which point buying interest is expected to besufficiently strong to overcome selling pressure.

A resistancelevel is a previous high--a price level over the current market priceat which point selling pressure is expected to overcome buying pressureand a price advance is expected to be turned back.

Acounter-trend liquidation is the closing out of a position after asignificant price move on the assumption that the market is due for acorrection.

Winton Capital Management Limited

The portion of the Partnership's assets that are currentlyallocated to Winton for trading are not invested in commodity interestsdirectly. Winton's allocation of the Partnership's assetsis currently invested in Winton Master. Winton trades its DiversifiedProgram on behalf of Winton Master. The Diversified Program tradesapproximately 95 futures and forward contracts on United States andnon-United States exchanges and markets.

Winton employs a fullycomputerized, technical, trend-following trading system developed byits principals. This system tracks the daily price movements from thesemarkets around the world, and carries out certain computations todetermine each day how long or short the portfolio should be in anattempt to maximize profit within a certain range of risk. If risingprices in a particular market are anticipated, a long position will beestablished in that market; if prices in a particular market areexpected to fall, a short position in that market will beestablished.

Technical analysis refers to analysis based on dataintrinsic to a market, such as price and volume. In contrast,fundamental analysis relies on factors external to a market, such assupply and demand. The Winton Program employs no fundamentalfactors.

A trend-following system is one that attempts to takeadvantage of the observable tendency of the markets to trend, and totend to make exaggerated movements in both upward and downwarddirections as a result of such trends. These exaggerated movements arelargely explained as a result of the influence of crowd psychology orthe "herd instinct" among marketparticipants.

A trend-following system does not anticipate atrend. In fact, trend-following systems are frequently unprofitable forlong periods of time in particular markets or market groups, andoccasionally they are unprofitable for periods of more than a year.However, the principals believe that such an approach will, in the longterm, be profitable.

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Trade selection is not subject tointervention by Winton's principals and therefore is not subjectto the influences of individual judgment. As a mechanical tradingsystem, the Winton model embodies all the expert knowledge required toanalyze market data and direct trades, thus eliminating the risk ofbasing a trading program on one indispensable person. Equally asimportant is the fact that mechanical systems can be tested insimulation for long periods of time and the model's empiricalcharacteristics can be measured.

The system's output isrigorously adhered to in trading the portfolio and intentionally noimportance is given to any external or fundamental factors. While itmay be seen as unwise to ignore information of obvious value, such asthat pertaining to political or economic developments, Winton believesthat the disadvantage of this approach is far outweighed by theadvantage of the discipline that rigorous adherence to such a systeminstills. Winton believes that significant profits may be realized bythe Winton system by holding on to positions for much longer thanconventional wisdom would dictate. Winton believes that a trader whopays attention to day-to-day events could be distracted from the chanceof fully capitalizing on such trends.

The Winton system tradesin all liquid U.S. and non-U.S. futures and forward contracts. Forwardmarkets include major currencies and precious and base metals, thelatter two categories being traded on the London Metal Exchange. Wintonseeks out new opportunities to add additional markets to the portfolio,with the goal of increasing the portfolio's diversification.

Winton believes that taking positions in a variety of unrelatedmarkets will, over time, decrease system volatility. By employing asophisticated and systematic method for placing orders in a wide arrayof markets, Winton believes that profits can be realized over time.

No assurance is given that Winton's trading program will beprofitable or that it will not experience losses.

(a)    Liquidity.

The Partnership does not engagein sales of goods or services. Its only assets are its (i) equity inits commodity futures trading account, consisting of cash and cashequivalents, net unrealized appreciation (depreciation) on open futurespositions, unrealized appreciation on open forward contracts andinterest receivable and (ii) its investments in other partnerships.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership. Such substantial losses couldlead to a material loss in liquidity.

In the first quarter of2003, AAA Master experienced a cumulative loss of 25%. Thisresulted in a cumulative loss to the Partnership of 10%. Thisloss was primarily attributable to extraordinary price activity duringthe first quarter of 2003 in U.S. natural gas and crude oil marketswhich led to losses in AAA Master's energy market positions.

In February, AAA Master had a short position in the April naturalgas futures contract as a partial offset to an overall long position indelivery months later in the year in the same contract. During the lastweek of February 2003, natural gas prices rose sharply reflectingrelatively high short-term demand in the eastern and mid-continentalUnited States along with a reduced ability of natural gas suppliers todeliver natural gas from storage due to low storage inventories.Volatility in the natural gas markets was exacerbated during thatperiod as the markets became relatively illiquid when many tradersstayed out of the market to wait for the volatility to pass. Duringthis period, the April natural gas futures contract experienced anupward increase in price of over 50% in two days and relatedcash market prices experienced a 300% increase in price.Deferred delivery months in the natural gas futures contract did notexperience comparable price increases. The spread between the price ofthe April contract and those of the deferred months changed suddenlyand unexpectedly. Such extreme moves generally happen only inexceptionally rare circumstances and can lead to illiquid marketconditions.

In March 2003, volatility struck the crude oilmarket, and AAA Master again experienced losses as prices for crude oildropped over $8.00 per barrel, or 21%, in the course of a week.AAA Master's and the Partnership's liquidity was nothindered as a result of these market movements as AAA Master and thePartnership each had adequate cash reserves to absorb market volatilityand to meet redemption requests during that period.

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The performance for the years endedDecember 31, 2005 and 2004 is discussed in (c) Results ofOperations

To minimize this risk relating to low margindeposits, the Partnership follows certain trading policies,including:

|           |                                                                                                                                                                                                                                                                                                                                                  |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Partnership invests itsassets only in commodity interests that an Advisor believes are tradedin sufficient volume to permit ease of taking and liquidatingpositions. Sufficient volume, in this context, refers to a level ofliquidity that the Advisor believes will permit it to enter and exittrades without noticeably moving themarket. |

|            |                                                                                                                                                                                                                          |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | An Advisor will not initiateadditional positions in any commodity if these positions would resultin aggregate positions requiring a margin of more than 662/3% of the Partnership's net assets allocated to thatAdvisor. |

|             |                                                                                                                                                                                                                                                             |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Partnership mayoccasionally accept delivery of a commodity. Unless such delivery isdisposed of promptly by retendering the warehouse receipt representingthe delivery to the appropriate clearinghouse, the physical commodityposition is fully hedged. |

|            |                                                                                                                                                                                                                                                        |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | ThePartnership does not employ the trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or relatedcommodities. |

|           |                                                                                                                                  |
|-----------|----------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership does notutilize borrowings except short-term borrowings if the Partnershiptakes delivery of any cashcommodities. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisors may, from timeto time, employ trading strategies such as spreads or straddles onbehalf of the Partnership. The term "spread"or "straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

|             |                                                                                                                                                                                                                                                                                       |
|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | ThePartnership will not permit the churning of its commodity tradingaccount. The term "churning" refers to thepractice of entering and exiting trades with a frequency unwarranted bylegitimate efforts to profit from the trades, driven by the desire togenerate commission income. |

In the normal course of business,the Partnership directly, and through its investments in otherpartnerships, is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments include forwards,futures, options and swaps, whose values are based upon an underlyingasset, index or reference rate, and generally represent futurecommitments to exchange currencies or cash flows, or to purchase orsell other financial instruments at specified terms at specified futuredates, or, in the case of derivative commodity interests, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Partnership due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The 

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Partnership's risk of loss in theevent of counterparty default is typically limited to the amountsrecognized in the statement of financial condition and not representedby the contract or notional amounts of the instruments. The Partnershiphas credit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's Fund's assets isCGM.

The General Partner monitors and controls thePartnership's risk exposure on a daily basis through financial,credit and risk management monitoring systems, and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Partnership is subject. These monitoringsystems allow the General Partner to statistically analyze actualtrading results with risk adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions. (See also "Item 8. Financial Statements andSupplementary Data" for further information onfinancial instrument risk included in the notes to financialstatements.)

Other than the risks inherent in commodity futuresand swaps trading, the Partnership knows of no trends, demands,commitments, events or uncertainties which will result in or which arereasonably likely to result in the Partnership's liquidityincreasing or decreasing in any material way. The Limited PartnershipAgreement provides that the General Partner may, in its discretion,cause the Partnership to cease trading operations and liquidate allopen positions under certain circumstances including a decrease in NetAsset Value per Redeemable Unit to less than $400 as of the close ofbusiness on any business day.

(b)    CapitalResources.

(i)    The Partnership has made no materialcommitments for capital expenditures.

(ii)    ThePartnership's capital consists of the capital contributions ofthe partners as increased or decreased by gains or losses on tradingand by expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any. Gains or losses on trading cannot bepredicted. Market moves in commodities are dependent upon fundamentaland technical factors which the Advisors may or may not be able toidentify, such as changing supply and demand relationships, weather,government agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. Partnership expenses consist of, among other things,commissions, advisory fees and administrative fees. The level of theseexpenses is dependent upon the level of trading and the ability of theAdvisors to identify and take advantage of price movements in thecommodity markets, in addition to the level of Net Assets maintained.In addition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

The Partnership continues to offer Redeemable Units at the Net AssetValue per Redeemable Unit as of the end of each month. For the yearended December 31, 2005, there were additional sales of36,756.0254 Units totaling $55,421,000. For the year ended December 31,2004, there were additional sales of 24,093.3313 Redeemable Unitstotaling $28,750,000 and contributions by the General Partnerrepresenting 365.5458 Unit equivalents totaling $440,051. For the yearended December 31, 2003, there were additional sales of 49,916.3153Redeemable Units totaling $57,164,000.

No forecast can be madeas to the level of redemptions in any given period. A limited partnermay require the Partnership to redeem their Redeemable Units at theirNet Asset Value as of the last day of a month on 10 business daysnotice to the General Partner. For the year ended December 31, 2005,16,546.8045 Redeemable Units were redeemed totaling $25,385,699. Forthe year ended December 31, 2004, 17,153.2638 Redeemable Units wereredeemed totaling $21,650,887. For the year ended December 31, 2003,23,954.9557 Redeemable Units were redeemed totaling $26,334,840.

Redeemable Units of Limited Partnership Interest were sold topersons and entities who are accredited investors as that term isdefined in rule 501(a) of Regulation D under the Securities Act of1933, as well as to those persons who are not accredited investors butwho have either a net worth (exclusive of home, furnishings andautomobile) either individually or jointly with the investor'sspouse of at least three times their investment in the Partnership (theminimum investment for which was $25,000) or gross income for the twoprevious years and projected gross income for the current fiscal yearof not less than three times their investment in the Partnership foreach year.

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(c)    Results ofOperations.

For the year ended December 31, 2005 the NetAsset Value per Redeemable Unit increased 17.8% from $1,368.33to $1,611.33. For the year ended December 31, 2004 the Net Asset Valueper Redeemable Unit increased 24.4% from $1,100.19 to $1,368.33.For the year ended December 31, 2003 the Net Asset Value per RedeemableUnit decreased 5.2% from $1,160.82 to $1,100.19.

ThePartnership experienced net trading gains of $38,735,403 beforecommissions and expenses in 2005. Gains were primarily attributable tothe trading of energy, metals and indices and were partially offset bylosses recognized in currencies, grains, U.S. and non-U.S. interestrates, livestock and softs.

The year 2005 was characterized byprofitable trading and in the energy, stock index and metals markersand generally difficult conditions in the other markets. The net resultwas substantially positive for the year.

Successful energytrading resulting from adept trading of crude oil and natural gas asprices for these commodities increased dramatically reaching theirpeaks in the early fall. The fundamental and technical tradingstrategies employed by the partnership's advisors successfullynavigated these markets despite the significant volatility thatoccurred post-hurricanes Katrina and Rita. The majority of thepartnerships profits were earned in energy trading.

Precious andbase or industrial metals sectors saw nearly uninterrupted rises inprices for the year which allowed the majority of thepartnership's advisors to trade profitably. Of particular notewas the price of gold which rose to over $500 an ounce by the end ofthe year. In addition metals such as zinc, copper and aluminum alsoexperienced substantial price increases as global demand andspeculative trading spurred prices.

In financial markets,foreign stock market indices contributed the second most profits forthe partnership as a resurging Japanese economy and positive politicalnews in Europe propelled these markets out of long-term doldrums.

Reducing the gains from these markets were losses in currency,interest rate and agricultural markets. After a prolonged decline in2004, the U.S. dollar defied expectations for further weakness andrallied in January resulting in losses at the beginning of the year.While the dollar strengthened through the second and third quartersproviding some profits, interest rate markets became treacherous as theU.S. Fed's mixed signals to the marketplace combined withstrength in global interest rates made the U.S. interest rate marketschoppy resulting in losses. Minor losses for the year were alsoincurred in grains, softs and livestock markets but not enough tooffset the other profitable sectors.

The Partnership experiencednet trading gains of $31,593,092 before commissions and expenses in2004. Gains were primarily attributable to the trading of currencies,grains, metals and indices and were partially offset by lossesrecognized in energy, softs, livestock, U.S. and non-U.S. interestrates.

Trading results for the year 2004 were positive as strongtrends and market volatility across most commodity sectors providedprofitable trading opportunities for the Partnership's advisors.The results for the year were primarily influenced by two historictrends and one adeptly traded volatile market: the trending marketswere declining value of the U.S. dollar and the price of crude oilrising to over $50 a barrel while natural gas prices had wide swingsthree or four times throughout the year and required astute and agiletrading. The Partnership's advisors capitalized on these eventswith trend-following systematic approaches as well as withdiscretionary and fundamental strategies.

The year startedstrongly with many of the trends from late 2003 continuing into early2004. Rising global economic growth, particularly in Asia, spurredincreased demand for agricultural, industrial metals and energy leadingto rising prices for copper, aluminum, grains and crude oil. Offsettingprofitable trading in these commodity markets were losses in thefinancial sectors, notably foreign currency trading as the U.S. dollarrallied precipitously from its prolonged down trend. The second quarterwas highlighted by several opposing fundamental economic and financialevents which reduced the trading opportunities for thePartnership's advisors as profitable trading became more narrowlyfocused on natural gas and soybeans while other markets, especiallycrude oil and precious metals contributed to losses.

Theseforces became further refined in the third quarter as numerousgeo-political events provided numerous trading opportunities in theenergy complex. Such events included the recall election in

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Venezuela, hurricane weather in theCaribbean, and supply threats as a result of political turmoil inRussia, Iran, and Iraq. Trading in the foreign currencies and stockindices was unprofitable and mixed in the interest rate markets.

The end of the third quarter and beginning of the fourth quarter sawexcellent trading markets particularly again in energy but also inforeign currencies, especially the euro. The resurging price of crudeoil and volatile natural gas prices were the primary engines ofprofitability in October and November. As the year came to a close, thecommodity markets exhibited price fatigue and the financial marketsreflected lower inflationary expectations. The U.S. dollar began aprecipitous slide toward $1.40 to the euro, stock markets gained aroundthe world, and interest rates declined. Although the Partnership wasdown slightly in December, overall for the fourth quarter thePartnership was up nearly 12% and closed the year up24%.

The Partnership experienced net trading losses of$1,116,954 before commissions and expenses in 2003. Losses wereprimarily attributable to the trading of energy, softs, livestock, U.S.and non-U.S. interest rates and were partially offset by gainsrecognized in currencies, grains, metals, and indices.

In theGeneral Partner's opinion, the Partnership's Advisorscontinue to employ trading methods consistent with the objectives ofthe Partnership. The General Partner monitors the Advisors'performance on a daily, weekly, monthly and annual basis to assurethese objectives are met.

It should be noted that commoditymarkets are highly volatile. Broad price fluctuations and rapidinflation increase the risks involved in commodity trading, but alsoincrease the possibility of profit. The profitability of the MasterFunds and the Partnership depends on the Advisors' ability toforecast changes in energy and energy related commodities. Such pricechanges are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatthe Advisors correctly make such forecasts, the Master Funds and thePartnership expect to increase capital through operations.

(d)    Operational Risk.

The Partnership isdirectly exposed to market risk and credit risk, which arise in thenormal course of its business activities. Slightly less direct, but ofcritical importance, are risks pertaining to operational and backoffice support. This is particularly the case in a rapidly changing andincreasingly global environment with increasing transaction volumes andan expansion in the number and complexity of products in themarketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial andopportunity loss and legal liability attributable to operationalproblems, such as inaccurate pricing of transactions, untimely tradeexecution, clearance and/or settlement, or the inability to processlarge volumes of transactions. The Partnership is subject to increasedrisks with respect to its trading activities in emerging marketsecurities, where clearance, settlement, and custodial risks are oftengreater than in more established markets.

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain the Partnership'sability to gather, process, and communicate information efficiently andsecurely, without interruption, to customers, among Redeemable Unitswithin the Partnership, and in the markets where the Partnershipparticipates.

Legal/Documentation Risk — the riskof loss attributable to deficiencies in the documentation oftransactions (such as trade confirmations) and customer relationships(such as master netting agreements) or errors that result innoncompliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributableto limitations in financial systems and controls. Strong financialsystems and controls ensure that assets are safeguarded, thattransactions are executed in accordance with management'sauthorization, and that financial information utilized by managementand communicated to external parties, including the Partnership'sRedeemable Unit holders, creditors, and regulators, is free of materialerrors.

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(e)    Critical AccountingPolicies.

The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires estimates and assumptions that affect thereported amounts of assets and liabilities, revenues and expenses, andrelated disclosures of contingent assets and liabilities in thefinancial statements and accompanying notes.

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statement of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values oncommodity interests and foreign currencies are recognized in the periodin which the contract is closed or the changes occur and are includedin net gains (losses) on trading of commodity interests.

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statement of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statement of income andexpenses and partners' capital.

The General Partnerbelieves that the accounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Partnership's positions. Themajority of the Partnership's positions will be exchange-tradedfutures contracts, which will be valued daily at settlement pricespublished by the exchanges. Swap contracts held by AAA Master generallywill be valued by reference to published settlement prices ordealers' quotes in related markets or other measures of fairvalue deemed appropriate by the General Partner. The General Partnerexpects that under normal circumstances substantially all of thePartnership's assets will be valued by objective measures andwithout difficulty.

Item 7A.    Quantitative andQualitative Disclosures About Market Risk

The Partnershipis a speculative commodity pool. The market sensitive instruments heldby the Partnership are acquired for speculative trading purposes, andall or substantially all of the Partnership's assets are subjectto the risk of trading loss. Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to thePartnership's main line of business.

The risk to thelimited partners that have purchased interests in the Partnership islimited to the amount of their capital contributions to the Partnershipand their share of Partnership assets and undistributed profits. Thislimited liability is a consequence of the organization of thePartnership as a limited partnership under applicable law.

Market movements result in frequent changes in the fair market valueof the Partnership's open positions and, consequently, in itsearnings and cash flow. The Partnership's market risk isinfluenced by a wide variety of factors. These primarily includefactors which affect energy price levels, including supply factors andweather conditions, but could also include the level and volatility ofinterest rates, exchange rates, equity price levels, the market valueof financial instruments and contracts, the diversification effectsamong the Partnership's open positions and the liquidity of themarkets in which it trades.

The Partnership rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets. Consequently, it is not possible to predict how a particularfuture market scenario will affect performance, and thePartnership's past performance is not necessarily indicative ofits future results.

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Value at Risk is a measure of the maximumamount which the Partnership could reasonably be expected to lose in agiven market sector. However, the inherent uncertainty of thePartnership's speculative trading and the recurrence in themarkets traded by the Partnership of market movements far exceedingexpectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Partnership'sexperience to date (i.e., "risk of ruin"). Inlight of the foregoing as well as the risks and uncertainties intrinsicto all future projections, the inclusion of the quantification includedin this section should not be considered to constitute any assurance orrepresentation that the Partnership's losses in any market sectorwill be limited to Value at Risk or by the Partnership's attemptsto manage its market risk.

Quantifying the Partnership'sTrading Value at Risk

The following quantitative disclosuresregarding the Partnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative disclosures inthis section are deemed to be forward-looking statements for purposesof the safe harbor except for statements of historical fact (such asthe terms of particular contracts and the number of market risksensitive instruments held during or at the end of the reportingperiod).

The Partnership's risk exposure in the variousmarket sectors traded by the Advisors is quantified below in terms ofValue at Risk. Due to the Partnership's mark-to-marketaccounting, any loss in the fair value of the Partnership's openpositions is directly reflected in the Partnership's earnings(realized or unrealized) and cash flow.

Exchange maintenancemargin requirements have been used by the Partnership as the measure ofits Value at Risk. Maintenance margin requirements are set by exchangesto equal or exceed the maximum losses reasonably expected to beincurred in the fair value of any given contract in95%–99% of any one-day intervals. The maintenancemargin levels are established by dealers and exchanges using historicalprice studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futurescontract) and economic fundamentals to provide a probabilistic estimateof the maximum expected near-term one-day price fluctuation.Maintenance margin has been used rather than the more generallyavailable initial margin, because initial margin includes a credit riskcomponent which is not relevant to Value at Risk.

In the case ofmarket sensitive instruments which are not exchange traded (almostexclusively currencies in the case of the Partnership), the marginrequirements for the equivalent futures positions have been used asValue at Risk. In those rare cases in which a futures-equivalent marginis not available, dealers' margins have been used.

Thefair value of the Partnership's futures and forward positionsdoes not have any optionality component. However, the Advisor doestrade commodity options. The Value at Risk associated with options isreflected in the following table as the margin requirement attributableto the instrument underlying each option. Where this instrument is afutures contract, the futures margin, and where this instrument is aphysical commodity, the futures-equivalent maintenance margin has beenused. This calculation is conservative in that it assumes that the fairvalue of an option will decline by the same amount as the fair value ofthe underlying instrument, whereas, in fact, the fair values of theoptions traded by the Partnership in almost all cases fluctuate to alesser extent than those of the underlying instruments.

Inquantifying the Partnership's Value at Risk, 100% positivecorrelation in the different positions held in each market riskcategory has been assumed. Consequently, the margin requirementsapplicable to the open contracts have simply been added to determineeach trading category's aggregate Value at Risk. Thediversification effects resulting from the fact that thePartnership's positions are rarely, if ever, 100%positively correlated have not been reflected.

ThePartnership's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Partnership's open positions by marketcategory as of December 31, 2005, and the highest, lowest and averagevalue at any 

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point during the year. All open positiontrading risk exposures of the Partnership have been included incalculating the figures set forth below. As of December 31, 2005, thePartnership's total capitalization was $172,442,322.

December 31,2005

|                                  |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |        |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|--------|--------|--|--------|-----------|--------|--|--|
| MarketSector                     |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:                      |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |   |   |  |   |      |   |
| —Exchange Traded Contracts |  | $             | 250,660   |                    |  |             | 0.14   | %           |  | $                    | 2,952,913 |   |  | $      | 28,305 |   |  | $      | 731,042   |   |
| Energy                           |  |          | 414,000   |                    |  |             | 0.24   | %           |  |                 | 3,868,500 |   |  |   | 62,400 |   |  |   | 1,056,778 |   |
| Grains                           |  |          | 61,470    |                    |  |             | 0.04   | %           |  |                 | 1,265,900 |   |  |   | 9,500  |   |  |   | 374,706   |   |
| Interest Rates U.S.              |  |          | 99,000    |                    |  |             | 0.06   | %           |  |                 | 1,432,200 |   |  |   | 10,800 |   |  |   | 311,983   |   |
| Interest RatesNon-U.S.           |  |          | 162,305   |                    |  |             | 0.10   | %           |  |                 | 2,433,812 |   |  |   | 30,659 |   |  |   | 698,356   |   |
| Metals                           |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |   |   |  |   |      |   |
| —Exchange Traded Contracts |  |          | 144,000   |                    |  |             | 0.08   | %           |  |                 | 1,546,000 |   |  |   | 34,000 |   |  |   | 358,264   |   |
| Softs                            |  |          | 124,200   |                    |  |             | 0.07   | %           |  |                 | 930,500   |   |  |   | 17,000 |   |  |   | 317,317   |   |
| Total                            |  | $             | 1,255,635 |                    |  |             | 0.73   | %           |  |                 |      |   |  |   |   |   |  |   |      |   |
|                                  |

|  |
|--|
|  |  |
|  |

*annualaverage based on month-end value at risk

As of December 31,2004, the Partnership's total capitalization was$118,783,824.

December 31,2004

|                                 |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                      |  |          |           |                    |  |             |        |             |  |                 |
| —Exchange TradedContracts |  | $             | 1,602,965 |                    |  |             | 1.35   | %           |  | $                    | 2,483,422 |   |  | $      | 658,832 |   |  | $      | 1,316,239 |   |
| Energy                          |  |          | 870,000   |                    |  |             | 0.73   | %           |  |                 | 3,586,630 |   |  |   | 172,500 |   |  |   | 1,841,732 |   |
| Grains                          |  |          | 34,200    |                    |  |             | 0.03   | %           |  |                 | 1,266,731 |   |  |   | 34,200  |   |  |   | 446,505   |   |
| InterestratesU.S.               |  |          | 105,700   |                    |  |             | 0.09   | %           |  |                 | 1,478,500 |   |  |   | 84,000  |   |  |   | 800,194   |   |
| InterestratesNon-U.S.           |  |          | 665,058   |                    |  |             | 0.56   | %           |  |                 | 3,926,181 |   |  |   | 663,464 |   |  |   | 2,098,350 |   |
| Livestock                       |  |          | 20,800    |                    |  |             | 0.02   | %           |  |                 | 298,100   |   |  |   | 20,800  |   |  |   | 160,440   |   |
| Metals                          |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  |          | 453,500   |                    |  |             | 0.38   | %           |  |                 | 1,242,000 |   |  |   | 190,000 |   |  |   | 550,746   |   |
| Softs                           |  |          | 449,300   |                    |  |             | 0.38   | %           |  |                 | 697,544   |   |  |   | 23,000  |   |  |   | 366,509   |   |
| Total                           |  | $             | 4,201,523 |                    |  |             | 3.54   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

*annualaverage based on month-end value at risk

Material Limitationson Value at Risk as an Assessment of Market Risk

The face valueof the market sector instruments held by the Partnership is typicallymany times the applicable margin requirement (margin requirementsgenerally range between 2% and 15% of contract facevalue) as well as many times the capitalization of the Partnership. Themagnitude of the Partnership's open positions creates a"risk of ruin" not typically found in mostother investment vehicles. Because of the size of its positions,certain market conditions—unusual, but historically recurringfrom time to time —could cause the Partnership to incur severelosses over a short period of time. The foregoing Value at Risktable—as well as the past performance of thePartnership—give no indication of this "risk ofruin."

Materiality as used in this section,"Qualitative and Quantitative Disclosures About MarketRisk," is based on an assessment of reasonably possiblemarket movements and the potential losses caused by such movements,taking into account the leverage, optionality and multiplier featuresof the Partnership's market sensitive instruments.

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Qualitative Disclosures RegardingPrimary Trading Risk Exposures

The following qualitativedisclosures regarding the Partnership's market risk exposures– except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Partnershipmanages its primary market risk exposures—constituteforward-looking statements within the meaning of Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act.The Partnership's primary market risk exposures as well as thestrategies used and to be used by the General Partner and the Advisorfor managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actualresults of the Partnership's risk control to differ materiallyfrom the objectives of such strategies. Government interventions,defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes inhistorical price relationships, an influx of new market participants,increased regulation and many other factors could result in materiallosses as well as in material changes to the risk exposures and themanagement strategies of the Partnership. There can be no assurancethat the Partnership's current market exposure and/or riskmanagement strategies will not change materially or that any suchstrategies will be effective in either the short or long term.Investors must be prepared to lose all or substantially all of theirinvestment in the Partnership.

The following were the primarytrading risk exposures of the Partnership as of December 31, 2005, bymarket sector.

Interest Rates.    Interest ratemovements directly affect the price of the futures positions held bythe Partnership and indirectly the value of its stock index andcurrency positions. Interest rate movements in one country as well asrelative interest rate movements between countries materially impactthe Partnership's profitability. The Partnership's primaryinterest rate exposure is to interest rate fluctuations in the UnitedStates and the other G-8 countries. However, the Partnership also takesfutures positions on the government debt of smaller nations –e.g., Australia.

Currencies.    ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic Partnership's currency sector willchange significantly in the future. The currency trading Value at Riskfigure includes foreign margin amounts converted into U.S. dollars withan incremental adjustment to reflect the exchange rate risk inherent tothe dollar-based Partnership in expressing Value at Risk in functionalcurrency other than dollars.

Stock Indices.    ThePartnership's primary equity exposure is to equity price risk inthe G-8 countries. The stock index futures traded by the Partnershipare limited to futures on broadly based indices. The Partnership isprimarily exposed to the risk of adverse price trends or static marketsin the major U.S., European and Japanese indices. (Static markets wouldnot cause major market changes but would make it difficult for thePartnership to avoid being "whipsawed" intonumerous small losses.)

Metals.    ThePartnership's primary metal market exposure is to fluctuations inthe price of gold. Although certain of the Advisors will from time totime trade base metals such as copper, the principal market exposuresof the Partnership have consistently been in the precious metals,gold.

Softs.    The Partnership's primarycommodities exposure is to agricultural price movements which are oftendirectly affected by severe or unexpected weather conditions. Cocoa,cotton, sugar and coffee accounted for the substantial bulk of thePartnership's commodity exposure as of December 31, 2005.

Energy.    The Partnership's primary energy marketexposure is to natural gas and oil price movements, often resultingfrom political developments in the Middle East. Oil prices can bevolatile and substantial profits and losses have been are expected tocontinue to be experienced in this market.

QualitativeDisclosures Regarding Means of Managing Risk Exposure

TheGeneral Partner monitors and controls the Partnership's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Partnership subject.

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The General Partner monitors thePartnership's performance and the concentration of its openpositions, and consults with the Advisor concerning thePartnership's overall risk profile. If the General Partner feltit necessary to do so, the General Partner could require the Advisor toclose out individual positions as well as enter programs traded onbehalf of the Partnership. However, any such intervention would be ahighly unusual event. The General Partner primarily relies on theAdvisor's own risk control policies while maintaining a generalsupervisory overview of the Partnership's market riskexposures.

The Advisor applies its own risk management policiesto its trading. The Advisor often follows diversification guidelines,margin limits and stop loss points to exit a position. TheAdvisor's research of risk management often suggests ongoingmodifications to its trading programs.

As part of the GeneralPartner's risk management, the General Partner periodically meetswith the Advisor to discuss its risk management and to look for anymaterial changes to the Advisor's portfolio balance and tradingtechniques. The Advisor is required to notify the General Partner ofany material changes to itsprograms.

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Item8.    Financial Statements and SupplementaryData.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

INDEX TOFINANCIALSTATEMENTS

|                                                                                                 |  |                  |  |  |  |  |
|-------------------------------------------------------------------------------------------------|--|------------------|--|--|--|--|
|                                                                                            |  | PageNumber       |
| Oath orAffirmation.                                                                             |  | F-3              |
| Management'sReport on Internal Control over FinancialReporting                                  |  | F-4              |
| Reports of IndependentRegistered Public Accounting Firm                                         |  | F-5 – F-6  |
| Financial Statements:                                                                           |  |             |
| Statementsof Financial Condition at December 31, 2005 and2004.                                  |  | F-7              |
| Condensed Schedules ofInvestments at December 31, 2005 and 2004.                                |  | F-8 –F-9   |
| Statements of Income and Expenses for the yearsended December 31, 2005, 2004 and 2003.          |  | F-10             |
| Statements of Changes in Partners' Capital for the yearsended December 31, 2005, 2004 and 2003. |  | F-11             |
| Statements of Cash Flows for the yearsended December 31, 2005, 2004 and 2003                    |  | F-12             |
| Notes to Financial Statements                                                                   |  | F-13 –F-19 |
| Selected Unaudited Quarterly FinancialData.                                                     |  | F-20             |
| Financial Statements ofSB AAA Master Fund LLC                                                   |  |             |
| Oath orAffirmation.                                                                             |  | F-21             |
| IndependentAuditors' Report                                                                     |  | F-22             |
| Financial Statements:                                                                           |  |             |
| Statementsof Financial Condition at December 31, 2005 and2004.                                  |  | F-23             |
| Condensed Schedules ofInvestments at December 31, 2005 and 2004.                                |  | F-24 –F-25 |
| Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003.          |  | F-26             |
| Statements of Changes in Members' Capital for the yearsended December 31, 2005, 2004 and 2003.  |  | F-27             |
| Statements of Cash Flows for the yearsended December 31, 2005, 2004 and 2003                    |  | F-28             |
| Notes to Financial Statements                                                                   |  | F-29 –F-32 |
| Selected Unaudited Quarterly FinancialData.                                                     |  | F-33             |
| Financial Statements ofCMF Willowbridge Argo Master Fund L.P.                                   |  |             |
| OathorAffirmation.                                                                              |  | F-34             |
| IndependentAuditors' Report                                                                     |  | F-35             |
| Financial Statements:                                                                           |  |             |
| Statementof Financial Condition at December 31, 2005.                                           |  | F-36             |
|                                                                                                 |

F-1

----

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

INDEX TOFINANCIALSTATEMENTS —CONTINUED

|                                                                                                                                                                         |  |                   |  |  |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                                                                                                    |  | PageNumber        |
| Condensed Schedule of Investments atDecember 31,2005.                                                                                                                   |  | F-37              |
| Statement of Income and Expenses for the period July 1, 2005(commencement of trading operations) to December 31, 2005                                                   |  | F-38              |
| Statement of Changes inPartners' Capital for the period July 1, 2005 (commencement oftrading operations) to December 31,2005                                            |  | F-39              |
| Statement of Cash Flows for theperiod July 1, 2005 (commencement of trading operations) to December31, 2005                                                             |  | F-40              |
| Notes to FinancialStatements                                                                                                                                            |  | F-41 – F-44 |
| SelectedUnaudited Quarterly FinancialData.                                                                                                                              |  | F-45              |
| Financial Statements ofCMF Winton Master L.P.                                                                                                                           |  |              |
| Oath orAffirmation.                                                                                                                                                     |  | F-46              |
| IndependentAuditors' Report                                                                                                                                             |  | F-47              |
| Financial Statements:                                                                                                                                                   |  |              |
| Statementsof Financial Condition at December 31, 2005 and2004.                                                                                                          |  | F-48              |
| Condensed Schedules ofInvestments at December 31, 2005 and 2004.                                                                                                        |  | F-49 –F-50  |
| Statements of Income and Expenses for the yearended December 31, 2005 and the period November 1, 2004 (commencementof trading operations) to December 31, 2004          |  | F-51              |
| Statements of Changes in Partners' Capital for the yearended December 31, 2005 and the period November 1, 2004 (commencementof trading operations) to December 31, 2004 |  | F-52              |
| Statements of Cash Flows for the year endedDecember 31, 2005 and the period November 1, 2004 (commencement oftrading operations) to December 31, 2004                   |  | F-53              |
| Notes to Financial Statements                                                                                                                                           |  | F-54 –F-57  |
| Selected Unaudited Quarterly FinancialData.                                                                                                                             |  | F-58              |
|                                                                                                                                                                         |

F-2

----

Tothe Limited Partners ofSalomon Smith Barney Orion Futures FundL.P.

To the best of the knowledge and belief of theundersigned, the information contained herein is accurate andcomplete.

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.          Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Salomon SmithBarney          Orion Futures Fund L.P. |
|--|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-3

----

Management'sReport on Internal Control overFinancial Reporting

Themanagement of Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership"), Citigroup Managed FuturesLLC, is responsible for establishing and maintaining adequate internalcontrol over financial reporting. The Partnership's internalcontrol system was designed to provide reasonable assurance to thePartnership's management and Board of Directors regarding thepreparation and fair presentation of published financial statements inaccordance with U.S. generally accepted accounting principles. Allinternal control systems, no matter how well designed, have inherentlimitations. Therefore, even those systems determined to be effectivecan provide only reasonable assurance with respect to financialstatement preparation and presentation.

 Managementmaintains a comprehensive system of controls intended to ensure thattransactions are executed in accordance with management'sauthorization, assets are safeguarded, and financial records arereliable. Management also takes steps to see that information andcommunication flows are effective and to monitor performance, includingperformance of internal control procedures.

 ThePartnership's management assessed the effectiveness of thePartnership's internal control over financial reporting as ofDecember  31, 2005 based on the criteria set forth by theCommittee of Sponsoring Organizations of the Treadway Commission (COSO)in Internal Control-Integrated Framework. Based on this assessment,management believes that, as of December  31, 2005, thePartnership's internal control over financial reporting iseffective.

 Management's assessment of theeffectiveness of the Company's internal control over financialreporting as of December  31, 2005 has been audited by KPMG LLP,the Partnership's independent registered public accounting firm,as stated in their reports appearing on the following pages, whichexpress unqualified opinions on management's assessment and onthe effectiveness of the Partnership's internal control overfinancial reporting as of December  31,2005.

F-4

----

Report ofIndependent Registered Public Accounting Firm

To thePartners of Salomon Smith Barney Orion Futures Fund L.P.:

We have audited management's assessment, included inthe accompanying Management's Report on Internal Control OverFinancial Reporting, that Salomon Smith Barney Orion Futures FundL.P. (the "Partnership") maintained effectiveinternal control over financial reporting as of December 31, 2005,based on criteria established in Internal Control—IntegratedFramework issued by the Committee of Sponsoring Organizations ofthe Treadway Commission ("COSO"). ThePartnership's management is responsible for maintaining effectiveinternal control over financial reporting and for its assessment of theeffectiveness of internal control over financial reporting. Ourresponsibility is to express an opinion on management'sassessment and an opinion on the effectiveness of thePartnership's internal control over financial reporting based onour audit.

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether effective internal controlover financial reporting was maintained in all material respects. Ouraudit included obtaining an understanding of internal control overfinancial reporting, evaluating management's assessment, testingand evaluating the design and operating effectiveness of internalcontrol, and performing such other procedures as we considerednecessary in the circumstances. We believe that our audit provides areasonable basis for our opinion.

A partnership'sinternal control over financial reporting is a process designed toprovide reasonable assurance regarding the reliability of financialreporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles. Apartnership's internal control over financial reporting includesthose policies and procedures that (1) pertain to the maintenance ofrecords that, in reasonable detail, accurately and fairly reflect thetransactions and dispositions of the assets of the company; (2) providereasonable assurance that transactions are recorded as necessary topermit preparation of financial statements in accordance with generallyaccepted accounting principles, and that receipts and expenditures ofthe partnership are being made only in accordance with authorizationsof management and directors of the partnership; and (3) providereasonable assurance regarding prevention or timely detection ofunauthorized acquisition, use, or disposition of thepartnership's assets that could have a material effect on thefinancial statements.

Because of its inherentlimitations, internal control over financial reporting may not preventor detect misstatements. Also, projections of any evaluation ofeffectiveness to future periods are subject to the risk that controlsmay become inadequate because of changes in conditions, or that thedegree of compliance with the policies or procedures maydeteriorate.

In our opinion, management'sassessment that Salomon Smith Barney Orion Futures Fund L.P. maintainedeffective internal control over financial reporting as of December 31,2005, is fairly stated, in all material respects, based on criteriaestablished in Internal Control—Integrated Frameworkissued by COSO. Also, in our opinion, the Partnership maintained, inall material respects, effective internal control over financialreporting as of December 31, 2005, based on criteria established inInternal Control—Integrated Framework issued by COSO.

We also have audited, in accordance with the standards of thePublic Company Accounting Oversight Board (United States), thestatements of financial condition of the Partnership, including thecondensed schedules of investments, as of December 31, 2005 and 2004,and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005, and our report dated March13, 2006 expressed an unqualified opinion on those financialstatements.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-5

----

Report of Independent Registered PublicAccounting Firm

To the Partners of Salomon SmithBarney Orion Futures Fund L.P.:

We have audited theaccompanying statements of financial condition of Salomon Smith BarneyOrion Futures Fund L.P. (the "Partnership"),including the condensed schedules of investments, as of December 31,2005 and 2004, and the related statements of income and expenses,changes in partners' capital, and cash flows for each of theyears in the three-year period ended December 31, 2005. These financialstatements are the responsibility of the Partnership'smanagement. Our responsibility is to express an opinion on thesefinancial statements based on our audits.

We conductedour audits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards requirethat we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. Anaudit includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements. An audit alsoincludes assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Salomon Smith Barney Orion FuturesFund L.P. as of December 31, 2005 and 2004, and the results of itsoperations, changes in its partners' capital, and its cash flowsfor each of the years in the three-year period ended December 31, 2005,in conformity with U.S. generally accepted accounting principles.

We also have audited, in accordance with the standards of thePublic Company Accounting Oversight Board (United States), theeffectiveness of the Partnership's internal control overfinancial reporting as of December 31, 2005, based on criteriaestablished in Internal Control—Integrated Frameworkissued by the Committee of Sponsoring Organizations of the TreadwayCommission ("COSO"), and our report datedMarch 13, 2006 expressed an unqualified opinion on management'sassessment of, and the effective operation of, internal control overfinancial reporting.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-6

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Financial ConditionDecember 31, 2005and2004

|                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                    |  | 2005   |             | 2004   |
| Assets:                                                                                                                                 |  |   |        |   |  |   |        |   |
| Investmentin Partnerships, at fair value (Note5)                                                                                        |  | $      | 164,526,199 |   |  | $      | 84,542,782  |   |
| Cash(restricted $1,635,266 and $5,271,154 in 2005 and 2004, respectively)in commodity futures trading account (Note3c)                  |  |   | 10,181,361  |   |  |   | 36,084,976  |   |
| Netunrealized appreciation on open futurespositions                                                                                     |  |   | 244,775     |   |  |   | 2,612,228   |   |
|                                                                                                                                    |  |   | 174,952,335 |   |  |   | 123,239,986 |   |
| Interestreceivable (Note3c)                                                                                                             |  |   | 34,220      |   |  |   | 62,043      |   |
|                                                                                                                                    |  | $      | 174,986,555 |   |  | $      | 123,302,029 |   |
|                                                                                                                                    |  |   |        |   |  |   |        |   |
| Liabilitiesand Partners'Capital:                                                                                                        |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                            |  |   |        |   |  |   |        |   |
| Accruedexpenses:                                                                                                                        |  |   |        |   |  |   |        |   |
| Commissions (Note3c)                                                                                                                    |  | $      | 257,466     |   |  | $      | 162,453     |   |
| Managementfees (Note3b)                                                                                                                 |  |   | 273,625     |   |  |   | 192,180     |   |
| Administrativefees (Note3a)                                                                                                             |  |   | 74,149      |   |  |   | 52,089      |   |
| Incentivefees (Note3b)                                                                                                                  |  |   | 891,826     |   |  |   | 849,874     |   |
| Professionalfees                                                                                                                        |  |   | 82,393      |   |  |   | 120,711     |   |
| Other                                                                                                                                   |  |   | 39,193      |   |  |   | 21,796      |   |
| Redemptionspayable (Note6)                                                                                                              |  |   | 925,581     |   |  |   | 3,119,102   |   |
|                                                                                                                                    |  |   | 2,544,233   |   |  |   | 4,518,205   |   |
| Partners'capital (Notes 1 and 6):                                                                                                       |  |   |        |   |  |   |        |   |
| GeneralPartner, 865.3542 Unit equivalents outstanding in  2005 and2004                                                                  |  |   | 1,394,371   |   |  |   | 1,184,090   |   |
| LimitedPartners, 106,152.9612 and 85,943.7403 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 171,047,951 |   |  |   | 117,599,734 |   |
|                                                                                                                                    |  |   | 172,442,322 |   |  |   | 118,783,824 |   |
|                                                                                                                                    |  | $      | 174,986,555 |   |  | $      | 123,302,029 |   |
|                                                                                                                                    |  |   |        |   |  |   |        |   |
|                                                                                                                                         |

Seeaccompanying notes to financialstatements.

F-7

----

SalomonSmith BarneyOrion Futures Fund L.P.Condensed Schedule ofInvestments December 31,2005

|                                     |  |            |             |                      |  |        |        |          |  |  |
|-------------------------------------|--|------------|-------------|----------------------|--|--------|--------|----------|--|--|
|                                |  | Fair Value |             | % ofPartners'Capital |
| FuturesContractsPurchased           |  |       |        |                 |  |   |   |     |
| Currencies                          |  | $          | (154,313    | )               |  |   | (0.09  | )%  |
| Grains                              |  |       | 30,420      |                 |  |   | 0.02   |     |
| Interest Rates U.S.                 |  |       | 11,025      |                 |  |   | 0.01   |     |
| Interest Rates Non-U.S.             |  |       | 74,289      |                 |  |   | 0.04   |     |
| Metals                              |  |       | 246,600     |                 |  |   | 0.14   |     |
| Softs                               |  |       | 209,755     |                 |  |   | 0.12   |     |
|                                |  |       |        |                 |  |   |   |     |
| Total futures contractspurchased    |  |       | 417,776     |                 |  |   | 0.24   |     |
|                                |  |       |        |                 |  |   |   |     |
| FuturesContractsSold                |  |       |        |                 |  |   |   |     |
| Currencies                          |  |       | (2,563      | )               |  |   | (0.00) | *   |
| Energy                              |  |       | (159,286    | )               |  |   | (0.09  | )   |
| Grains                              |  |       | (13,806     | )               |  |   | (0.01  | )   |
| Interest RatesNon-U.S.              |  |       | 2,654       |                 |  |   | 0.00   | *   |
|                                |  |       |        |                 |  |   |   |     |
| Total futures contractssold         |  |       | (173,001    | )               |  |   | (0.10  | )   |
|                                |  |       |        |                 |  |   |   |     |
|                                |  |       |        |                 |  |   |   |     |
| Investmentin Partnerships           |  |       |        |                 |  |   |   |     |
| SB AAA MasterFund LLC               |  |       | 66,336,443  |                 |  |   | 38.47  |     |
| CMFWillowbridge Argo Master Fund LP |  |       | 43,902,732  |                 |  |   | 25.46  |     |
| CMF Winton MasterLP                 |  |       | 54,287,024  |                 |  |   | 31.48  |     |
|                                |  |       |        |                 |  |   |   |     |
| Total Investment inPartnerships     |  |       | 164,526,199 |                 |  |   | 95.41  |     |
|                                |  |       |        |                 |  |   |   |     |
| Total fairvalue                     |  | $          | 164,770,974 |                 |  |   | 95.55  | %   |
|                                     |

|  |                                                                       |
|--|-----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated. |

|  |                   |
|--|-------------------|
|  | *Due to rounding. |

See accompanying notesto financial statements.

F-8

----

Salomon Smith Barney Orion FuturesFund L.P. Condensed Schedule of Investments December 31,2004

|                                  |  |            |            |                      |  |        |        |         |  |  |
|----------------------------------|--|------------|------------|----------------------|--|--------|--------|---------|--|--|
|                             |  | Fair Value |            | % ofPartners'Capital |
| FuturesContractsPurchased        |  |       |       |                 |  |   |   |    |
| Currencies                       |  | $          | 994,089    |                 |  |   | 0.84   | %  |
| Grains                           |  |       | (313       | )               |  |   | (0.00) | *  |
| Interest Rates Non-U.S.          |  |       | 266,606    |                 |  |   | 0.22   |    |
| Livestock                        |  |       | 40,990     |                 |  |   | 0.04   |    |
| Metals                           |  |       | (7,003     | )               |  |   | (0.01  | )  |
| Softs                            |  |       | 597,196    |                 |  |   | 0.50   |    |
|                             |  |       |       |                 |  |   |   |    |
| Total futures contractspurchased |  |       | 1,891,565  |                 |  |   | 1.59   |    |
|                             |  |       |       |                 |  |   |   |    |
| FuturesContractsSold             |  |       |       |                 |  |   |   |    |
| Currencies                       |  |       | (606       | )               |  |   | (0.00) | *  |
| Energy                           |  |       | 724,990    |                 |  |   | 0.61   |    |
| Grains                           |  |       | (20,275    | )               |  |   | (0.02  | )  |
| Interest Rates U.S.              |  |       | 44,813     |                 |  |   | 0.04   |    |
| Interest Rates Non-U.S.          |  |       | 3,001      |                 |  |   | 0.00   | *  |
| Softs                            |  |       | (31,260    | )               |  |   | (0.02  | )  |
|                             |  |       |       |                 |  |   |   |    |
| Total futures contractssold      |  |       | 720,663    |                 |  |   | 0.61   |    |
|                             |  |       |       |                 |  |   |   |    |
|                             |  |       |       |                 |  |   |   |    |
| Investmentin Partnerships        |  |       |       |                 |  |   |   |    |
| SB AAA MasterFund LLC            |  |       | 46,220,533 |                 |  |   | 38.91  |    |
| CMFWinton Master LP              |  |       | 38,322,249 |                 |  |   | 32.26  |    |
|                             |  |       |       |                 |  |   |   |    |
| Total Investment inPartnerships  |  |       | 84,542,782 |                 |  |   | 71.17  |    |
|                             |  |       |       |                 |  |   |   |    |
| Total fairvalue                  |  | $          | 87,155,010 |                 |  |   | 73.37  | %  |
|                                  |

|  |                                                                       |
|--|-----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated. |

|  |                   |
|--|-------------------|
|  | *Due to rounding. |

See accompanying notesto financial statements.

F-9

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |             |         |  |        |            |        |  |        |            |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                   |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |        |    |  |   |       |   |  |   |       |    |
| Netgains (losses) on trading of commodityinterests:                                                                    |  |   |        |    |  |   |       |   |  |   |       |    |
| Realizedgains (losses) on closed positions                                                                             |  | $      | (11,639,919 | )  |  | $      | 13,215,866 |   |  | $      | 4,167,650  |    |
| Changein unrealized gains (losses) on open positions and investments inPartnerships                                    |  |   | 50,375,322  |    |  |   | 18,377,226 |   |  |   | (5,284,604 | )  |
|                                                                                                                   |  |   | 38,735,403  |    |  |   | 31,593,092 |   |  |   | (1,116,954 | )  |
| Interestincome (Note3c)                                                                                                |  |   | 693,141     |    |  |   | 693,186    |   |  |   | 479,341    |    |
|                                                                                                                   |  |   | 39,428,544  |    |  |   | 32,286,278 |   |  |   | (637,613   | )  |
| Expenses:                                                                                                              |  |   |        |    |  |   |       |   |  |   |       |    |
| Brokeragecommissions including clearing fees of $90,994, $178,488 and $167,559,respectively (Note3c)                   |  |   | 3,620,999   |    |  |   | 2,178,028  |   |  |   | 1,912,993  |    |
| Managementfees (Note3b)                                                                                                |  |   | 2,734,652   |    |  |   | 1,992,944  |   |  |   | 1,547,397  |    |
| Administrativefees (Note3a)                                                                                            |  |   | 744,000     |    |  |   | 539,668    |   |  |   | 402,664    |    |
| Incentivefees (Note3b)                                                                                                 |  |   | 8,440,695   |    |  |   | 3,538,910  |   |  |   | 837,878    |    |
| Professionalfees                                                                                                       |  |   | 212,000     |    |  |   | 240,111    |   |  |   | 155,297    |    |
| Otherexpenses                                                                                                          |  |   | 53,001      |    |  |   | 20,937     |   |  |   | 19,137     |    |
|                                                                                                                   |  |   | 15,805,347  |    |  |   | 8,510,598  |   |  |   | 4,875,366  |    |
| Netincome(loss)                                                                                                        |  | $      | 23,623,197  |    |  | $      | 23,775,680 |   |  | $      | (5,512,979 | )  |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | 243.00      |    |  | $      | 268.14     |   |  | $      | (60.63     | )  |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-10

----

Salomon Smith BarneyOrion FuturesFund L.P.Statements of Changes in Partners' Capitalforthe years ended December 31, 2005, 2004 and2003

|                                                                                                                                             |  |                 |             |                |  |        |           |         |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------|--|-----------------|-------------|----------------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                        |  | LimitedPartners |             | GeneralPartner |  | Total  |
| Partners'capital at December 31,2002                                                                                                        |  | $               | 61,572,611  |           |  | $      | 580,188   |    |  | $      | 62,152,799  |    |
| Netloss                                                                                                                                     |  |            | (5,482,675  | )         |  |   | (30,304   | )  |  |   | (5,512,979  | )  |
| Saleof 49,916.3153 Redeemable Units of Limited PartnershipInterest                                                                          |  |            | 57,164,000  |           |  |   | —   |    |  |   | 57,164,000  |    |
| Redemptionof 23,954.9557 Redeemable Units of Limited PartnershipInterest                                                                    |  |            | (26,334,840 | )         |  |   | —   |    |  |   | (26,334,840 | )  |
| Partners'capital at December 31,2003                                                                                                        |  |            | 86,919,096  |           |  |   | 549,884   |    |  |   | 87,468,980  |    |
| Netincome                                                                                                                                   |  |            | 23,581,525  |           |  |   | 194,155   |    |  |   | 23,775,680  |    |
| Saleof 24,093.3313 Redeemable Units of Limited Partnership Interest andGeneral Partner's contribution representing 365.5458 Unitequivalents |  |            | 28,750,000  |           |  |   | 440,051   |    |  |   | 29,190,051  |    |
| Redemptionof 17,153.2638 Redeemable Units of Limited PartnershipInterest                                                                    |  |            | (21,650,887 | )         |  |   | —   |    |  |   | (21,650,887 | )  |
| Partners'capital at December 31,2004                                                                                                        |  | $               | 117,599,734 |           |  | $      | 1,184,090 |    |  | $      | 118,783,824 |    |
| Netincome                                                                                                                                   |  |            | 23,412,916  |           |  |   | 210,281   |    |  |   | 23,623,197  |    |
| Saleof 36,756.0254 Redeemable Units of Limited PartnershipInterest                                                                          |  |            | 55,421,000  |           |  |   | —   |    |  |   | 55,421,000  |    |
| Redemptionof 16,546.8045 Redeemable Units of Limited PartnershipInterest                                                                    |  |            | (25,385,699 | )         |  |   | —   |    |  |   | (25,385,699 | )  |
| Partners'capital at December 31,2005                                                                                                        |  | $               | 171,047,951 |           |  | $      | 1,394,371 |    |  | $      | 172,442,322 |    |
| Netasset value per RedeemableUnit:                                                                                                          |  |            |        |           |  |   |      |    |  |   |        |    |
|                                                                                                                                             |

|       |  |   |          |        |  |  |
|-------|--|---|----------|--------|--|--|
| 2003: |  | $ | 1,100.19 |   |
| 2004: |  | $ | 1,368.33 |   |
| 2005: |  | $ | 1,611.33 |   |
|       |

Seeaccompanying notes to financial statements.

F-11

----

Salomon Smith Barney Orion FuturesFund L.P. Statements of Cash Flows for the years endedDecember 31, 2005, 2004 and2003

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |             | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Net income (loss)                                                                                |  | $      | 23,623,197  |    |  | $      | 23,775,680  |    |  | $      | (5,512,979  | )  |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |   |        |    |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                                      |  |   |        |    |  |   |        |    |  |   |        |    |
| Purchase ofinvestment in Partnership's                                                           |  |   | (79,056,534 | )  |  |   | (44,831,669 | )  |  |   | (27,851,750 | )  |
| Proceeds from sale of investment inPartnership's                                                 |  |   | 44,776,588  |    |  |   | 14,129,836  |    |  |   | 12,260,743  |    |
| Net unrealized appreciation (depreciation) oninvestment inPartnership's                          |  |   | (45,703,471 | )  |  |   | (20,309,057 | )  |  |   | 7,531,101   |    |
| (Increase)decrease in restricted cash                                                            |  |   | 3,635,888   |    |  |   | 8,507,992   |    |  |   | (5,121,754  | )  |
| (Increase) decrease in netunrealized appreciation/depreciation on open futurespositions          |  |   | 2,367,453   |    |  |   | 3,094,463   |    |  |   | (649,474    | )  |
| (Increase) decrease inunrealized appreciation on open forward contracts                          |  |   | —     |    |  |   | 1,928,011   |    |  |   | (1,928,011  | )  |
| (Increase) decrease in interestreceivable                                                        |  |   | 27,823      |    |  |   | (21,984     | )  |  |   | (4,122      | )  |
| Increase (decrease) in unrealized depreciation on openforward contracts                          |  |   | —     |    |  |   | (638,809    | )  |  |   | 638,809     |    |
| Accruedexpenses:                                                                                 |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase (decrease) incommissions                                                                |  |   | 95,013      |    |  |   | 1,587       |    |  |   | 45,665      |    |
| Increase (decrease) in managementfees                                                            |  |   | 81,445      |    |  |   | 50,097      |    |  |   | 34,970      |    |
| Increase (decrease) in administrativefees                                                        |  |   | 22,060      |    |  |   | 13,477      |    |  |   | 11,834      |    |
| Increase (decrease) in incentivefees                                                             |  |   | 41,952      |    |  |   | 310,420     |    |  |   | 266,497     |    |
| Increase (decrease) in professionalfees                                                          |  |   | (38,318     | )  |  |   | 51,972      |    |  |   | (12,526     | )  |
| Increase (decrease) inother                                                                      |  |   | 17,397      |    |  |   | 13,625      |    |  |   | 440         |    |
| Net cash provided by (used in)operatingactivities                                                |  |   | (50,109,507 | )  |  |   | (13,924,359 | )  |  |   | (20,290,557 | )  |
| Cash flows from financingactivities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceeds fromadditions–Limited Partners                                                    |  |   | 55,421,000  |    |  |   | 28,750,000  |    |  |   | 57,164,000  |    |
| Proceedsfrom additions–General Partner                                                     |  |   | —     |    |  |   | 440,051     |    |  |   | —     |    |
| Payments forredemptions–LimitedPartners                                                    |  |   | (27,579,220 | )  |  |   | (21,267,654 | )  |  |   | (24,097,574 | )  |
| Net cash provided by (used in) financingactivities                                               |  |   | 27,841,780  |    |  |   | 7,922,397   |    |  |   | 33,066,426  |    |
| Net changeincash                                                                                 |  |   | (22,267,727 | )  |  |   | (6,001,962  | )  |  |   | 12,775,869  |    |
| Unrestricted cash, at beginning ofyear                                                           |  |   | 30,813,822  |    |  |   | 36,815,784  |    |  |   | 24,039,915  |    |
| Unrestricted cash, at end ofyear                                                                 |  | $      | 8,546,095   |    |  | $      | 30,813,822  |    |  | $      | 36,815,784  |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-12

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|           |                          |
|-----------|--------------------------|
| 1.   | PartnershipOrganization: |

Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnership whichwas organized on March  22, 1999 under the partnership laws ofthe State of New York to engage, directly and indirectly, in thespeculative trading of a diversified portfolio of commodity interests,including commodity options, commodity futures and forward contracts onUnited States exchanges and certain foreign exchanges. The commodityinterests that are traded by the Partnership are volatile and involve ahigh degree of market risk.

Between March  31, 1999(commencement of the offering period) and June  10, 1999, 10,499redeemable units of Limited Partnership Interest("Redeemable Units") were sold at $1,000 perRedeemable Unit. The proceeds of the initial offering were held in anescrow account until June  10, 1999, at which time they wereturned over to the Partnership for trading. The Partnership privatelyoffers up to 250,000 Redeemable Units to qualified investors. ThePartnership continues to offer Redeemable Units.

ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

The General Partner andeach limited partner share in the profits and losses of the Partnershipin proportion to the amount of Partnership interest owned by eachexcept that no limited partner shall be liable for obligations of thePartnership in excess of its initial capital contribution and profits,if any, net of distributions.

The Partnership will be liquidatedupon the first to occur of the following: December 31, 2019; the netasset value of a Redeemable Unit decreases to less than $400 perRedeemable Unit as of a close of any business day; a decline in netassets after trading commences to less than $1,000,000; or undercertain other circumstances as defined in the Limited PartnershipAgreement.

|           |                      |
|-----------|----------------------|
| 2.   | Accounting Policies: |

|  |          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
|--|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | a.  | All commodity interests (including derivative financialinstruments and derivative commodity instruments) held by thePartnership are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized gains (losses) on open positions are recognized in theperiod in which the contract is closed or the changes occur and areincluded in net gains (losses) on trading of commodity interests. |

The value of the Partnership's investments in otherpartnerships reflects the Partnership's proportional interest inthe other partnerships.

|  |           |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|--|-----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | b.   | The Partnership maypurchase and write (sell) options. An option is a contract allowing,but not requiring, its holder to buy (call) or sell (put) a specific orstandard commodity or financial instrument at a specified price duringa specified time period. The option premium is the total price paid orreceived for the option contract. When the Partnership writes anoption, the premium received is recorded as a liability in thestatements of financial condition and marked to market daily. When thePartnership purchases an option, the premium paid is recorded as anasset in the statement of financial condition and marked to marketdaily. |

F-13

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|  |           |                                                                                                                                                        |
|--|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | c.   | Income taxes have notbeen provided as each partner is individually liable for the taxes, ifany, on its share of the Partnership's income and expenses. |

|  |           |                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|--|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | d.   | The preparation of financial statements inconformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, disclosureof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates. |

|  |           |                                                                                             |
|--|-----------|---------------------------------------------------------------------------------------------|
|  | e.   | Certain prior period amounts have beenreclassified to conform to current year presentation. |

|          |             |
|----------|-------------|
| 3.  | Agreements: |

|  |           |                               |
|--|-----------|-------------------------------|
|  | a.   | Limited PartnershipAgreement: |

The General Partner administers the businessand affairs of the Partnership including selecting one or more advisorsto make trading decisions for the Partnership. The Partnership pays theGeneral Partner a monthly administrative fee equal to 1/24 of 1% (0.5% per year) of month-endnet assets. Month-end Net Assets, for the purpose of calculatingadministrative fees are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees.

|  |           |                       |
|--|-----------|-----------------------|
|  | b.   | Management Agreement: |

The General Partner, on behalf of the Partnership, hasentered into Management Agreements with Winton Capital Management("Winton"), Willowbridge Associates Inc.("Willowbridge"), and AAA Capital Management("AAA") (collectively, the"Advisors"), each of which is a registeredcommodity trading advisor. The Advisors are not affiliated with oneanother, are not affiliated with the General Partner or CGM, and arenot responsible for the organization or operation of the Partnership.The Partnership will pay each Advisor (except for Winton which is paid 1/8 of 1% (1.5% a year) of month-end NetAssets) a monthly management fee equal to  1/6 of1% (2% a year) of month-end Net Assets allocated to eachAdvisor. Month-end Net Assets, for the purpose of calculatingmanagement fees are Net Assets, as defined in the Limited PartnershipAgreement, prior to the reduction of redemptions and incentivefees.

In addition, the Partnership is obligated to payeach Advisor an incentive fee payable quarterly equal to 20% ofthe New Trading Profits, as defined in the Management Agreements,earned by each Advisor for the Partnership.

|  |          |                     |
|--|----------|---------------------|
|  | c.  | Customer Agreement: |

The Partnership has enteredinto a Customer Agreement which provides that the Partnership will payCGM brokerage commissions at $18 per round turn for futures andforwards transactions and $9 per half turn for options. The brokeragefee is inclusive of applicable floor brokerage. In addition, thePartnership will pay CGM National Futures Association fees, as well asexchange, clearing, user and give-up fees. CGM will pay a portion ofbrokerage fees to its financial advisors who have sold Redeemable Unitsin this Partnership. Substantially all of the Partnership'sassets are deposited in the Partnership's account at CGM. ThePartnership's assets are deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. At December 31, 2005 and 2004, the amount of cash held formargin requirements was $1,635,266 and $5,271,154, respectively. CGMhas agreed to pay the Partnership interest on 100% of theaverage daily equity maintained in cash in its account during eachmonth at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average noncompetitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. The Customer Agreement between the Partnership and CGM

F-14

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

|           |                    |
|-----------|--------------------|
| 4.   | TradingActivities: |

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity interests.The results of the Partnership's trading activities are shown inthe statements of income and expenses.

All of the commodityinterests owned by the Partnership are held for trading purposes. Theaverage fair value of the commodity interests held by the Partnershipduring the years ended December 31, 2005 and 2004, based on a monthlycalculation, was $2,057,458 and $4,419,977, respectively.

|          |                             |
|----------|-----------------------------|
| 5.  | Investment in Partnerships: |

Effective September 1,2001, the Partnership allocated the portion of the Partnership'scapital that was allocated to AAA for trading to the SB AAA Master FundLLC, a New York Limited Liability Company ("AAAMaster"). With this cash, the Partnership purchased5,173.4381 Units of AAA Master at a fair value of $5,173,438. AAAMaster was formed in order to permit accounts managed now or in thefuture by AAA using the Energy with Swaps Program, to invest togetherin one trading vehicle. The General Partner is the managing member ofAAA Master. Individual and pooled accounts currently managed by AAA,including the Partnership, are permitted to be non-managing members ofAAA Master. The General Partner and AAA believe that trading throughthis structure should promote efficiency and economy in the tradingprocess. Expense to investors as a result of the investment in AAAMaster are approximately the same and redemption rights are notaffected.

On November 1, 2004, the assets allocated to Wintonfor trading were invested in the CMF Winton Master L.P.("Winton Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 35,389.8399 Units of Winton Master with cashequal to $33,594,083 and a contribution of open commodity futures andforward positions with a value of $1,795,757. Winton Master was formedin order to permit accounts managed now or in the future by Wintonusing the Diversified Program, to invest together in one tradingvehicle. The General Partner of the Partnership is the General Partnerof Winton Master. Individual and pooled accounts currently managed byWinton, including the Partnership are permitted to be limited partnersof Winton Master. The General Partner and Winton believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWinton Master are approximately the same and redemption rights are notaffected.

On July 1, 2005, the assets allocated to Willowbridgefor trading were invested in the CMF Willowbridge Argo Master Fund L.P.("Willowbridge Master"), a limited liabilitypartnership organized under the partnership laws of the State of NewYork. The partnership purchased 33,529.1186 Units of WillowbridgeMaster with cash equal to $29,866,194, and a contribution of opencommodity futures and forward positions with a fair value of$3,662,925. Willowbridge Master was formed in order to permit commoditypools managed now or in the future by using Willowbridge's ArgoTrading Program, to invest together in one trading vehicle. The GeneralPartner is the General Partner of Willowbridge Master. Individual andpooled accounts currently managed by Willowbridge, including thePartnership are permitted to be a non-managing member of WillowbridgeMaster. The General Partner and Willowbridge believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of the investment inWillowbridge Master are approximately the same and redemption rightsare not affected.

AAA Master's, Willowbridge Master'sand Winton Master's trading of futures, forwards and optionscontracts, if applicable, on commodities is done primarily on UnitedStates of America commodity exchanges and foreign commodity exchanges.All engage in such trading through commodity brokerage accountsmaintained with CGM.

F-15

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

A non-managing member/limited partner maywithdraw all or part of their capital contribution and undistributedprofits, if any, from AAA Master, Willowbridge Master or Winton Master(the "Master Funds") in multiples of the netasset value per unit of limited partnership interest as of the last dayof a month after a request for redemption has been made to the ManagingMember/General Partner at least 3 days in advance of month-end.

Management and incentive fees are not directly charged to theinvestments presented below. These fees are charged at the Partnershiplevel as discussed in Note 3.

All exchange, clearing, user,give-up, floor brokerage and National Futures Association fees areborne by the Master Funds. All other fees including CGM's directbrokerage commission are charged at the Partnership level.

AtDecember 31, 2005 and 2004, the Partnership owns 6.9% and13.7%, respectively, of AAA Master. At December 31, 2005 thePartnership owns 25.9% of Willowbridge Master. At December 31,2005 and 2004, the Partnership owns 30.5% amd 33.4% ofWinton Master, respectively. It is AAA's, Willowbridge'sand Winton's intention to continue to invest the assets allocatedto each by the Partnership in AAA Master, Willowbridge Master andWinton Master, respectively. The performance of the Partnership isdirectly affected by the performance of Master Funds. Expenses toinvestors as a result of the investment in the Master Funds areapproximately the same and redemption rights are notaffected.

Summarized information reflecting thePartnerships' investments in, and the operations of, the AAAMaster, Willowbridge Master and the Winton Master are shown in thefollowing table.

|                    |  |                          |               |                               |  |                           |             |                     |  |                      |               |        |  |                    |  |         |  |  |  |  |  |  |
|--------------------|--|--------------------------|---------------|-------------------------------|--|---------------------------|-------------|---------------------|--|----------------------|---------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
|               |  | December31,2005          |               |                          |  |                      |
|               |  | Investments'Total Assets |               | Investments' TotalLiabilities |  | Investments' TotalCapital |             | InvestmentObjective |  | RedemptionsPermitted |
| AAAMaster          |  | $                        | 1,253,296,106 |                          |  | $                         | 299,213,954 |                |  | $                    | 954,082,152   |   |  | EnergyMarkets      |  | Monthly |
| WillowbridgeMaster |  |                     | 170,157,028   |                          |  |                      | 474,977     |                |  |                 | 169,682,051   |   |  | CommodityPortfolio |  | Monthly |
| WintonMaster       |  |                     | 182,130,723   |                          |  |                      | 3,524,134   |                |  |                 | 178,606,589   |   |  | CommodityPortfolio |  | Monthly |
| Total              |  | $                        | 1,605,583,857 |                          |  | $                         | 303,213,065 |                |  | $                    | 1,302,370,792 |   |  |               |  |    |
|                    |

|              |  |                          |                         |                               |  |                           |                         |                     |  |                      |                         |        |  |                    |  |         |  |  |  |  |  |  |
|--------------|--|--------------------------|-------------------------|-------------------------------|--|---------------------------|-------------------------|---------------------|--|----------------------|-------------------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
|         |  | December31,2004          |                         |                          |  |                      |
|         |  | Investments'Total Assets |                         | Investments' TotalLiabilities |  | Investments' TotalCapital |                         | InvestmentObjective |  | RedemptionsPermitted |
| AAAMaster    |  | $                        |   483,402,990 |                          |  | $                         |   146,907,455 |                |  | $                    |   336,495,535 |   |  | EnergyMarkets      |  | Monthly |
| WintonMaster |  |                     | 116,230,069             |                          |  |                      | 1,104,740               |                |  |                 | 115,125,329             |   |  | CommodityPortfolio |  | Monthly |
| Total        |  | $                        | 599,633,059             |                          |  | $                         | 148,012,195             |                |  | $                    | 451,620,864             |   |  |               |  |    |
|              |

F-16

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|                                     |  |                              |        |           |             |              |        |          |            |                  |        |                     |           |                     |        |        |        |        |        |        |            |        |        |                    |        |        |         |        |        |        |  |  |  |  |
|-------------------------------------|--|------------------------------|--------|-----------|-------------|--------------|--------|----------|------------|------------------|--------|---------------------|-----------|---------------------|--------|--------|--------|--------|--------|--------|------------|--------|--------|--------------------|--------|--------|---------|--------|--------|--------|--|--|--|--|
| Investment                          |  | %of Partnership's Net Assets |        | FairValue |             | Income(Loss) |        | Expenses |            | Net Income(loss) |        | InvestmentObjective |           | RedemptionPermitted |
| Commissions                         |  | Other                        |
| Forthe year ended December 31,2005  |  |                         |   |      |             |         |   |     |            |             |   |                |           |                |   |   |        |   |   |   |            |   |   |               |        |   |    |   |
|                                |  |                         |   |      |             |         |   |     |            |             |   |                |           |                |   |   |        |   |   |   |            |   |   |               |        |   |         |   |   |   |
| SBAAA Master FundLLC                |  | 38.47%                       |        | $         | 66,336,443  |         |        | $        | 42,160,363 |             |        | $                   | 1,193,218 |                |        | $      | 35,400 |   |        | $      | 40,931,745 |   |        | EnergyMarkets      |        |   | Monthly |   |
|                                |  |                         |        |      |        |         |        |     |       |             |        |                |      |                |        |   |   |   |        |   |       |   |        |               |        |   |    |   |
| CMFWillowbridge Argo Master FundL.P |  | 25.46%                       |        |      | 43,902,732  |         |        |     | 2,275,000  |             |        |                | 79,898    |                |        |   | 7,206  |   |        |   | 2,187,896  |   |        | CommodityPortfolio |        |   | Monthly |   |
|                                |  |                         |        |      |        |         |        |     |       |             |        |                |      |                |        |   |   |   |        |   |       |   |        |               |        |   |    |   |
| CMFWinton MasterL.P                 |  | 31.48%                       |        |      | 54,287,024  |         |        |     | 6,317,603  |             |        |                | 341,150   |                |        |   | 16,248 |   |        |   | 5,960,205  |   |        | CommodityPortfolio |        |   | Monthly |   |
| Total                               |  |                         |        | $         | 164,526,199 |         |        | $        | 50,752,966 |             |        | $                   | 1,614,266 |                |        | $      | 58,854 |   |        | $      | 49,079,846 |   |        |               |        |   |    |   |
| Forthe year ended December 31,2004  |  |                         |   |      |             |         |   |     |            |             |   |                |           |                |   |   |        |   |   |   |            |   |        |               |   |   |
|                                |  |                         |        |      |        |         |        |     |       |             |        |                |      |                |        |   |   |   |        |   |       |   |        |               |        |   |    |   |
| SBAAA Master FundLLC                |  | 38.91%                       |        | $         | 46,220,533  |         |        | $        | 19,632,229 |             |        | $                   | 1,431,471 |                |        | $      | 35,065 |   |        | $      | 18,165,693 |   |        | EnergyMarkets      |        |   | Monthly |   |
|                                |  |                         |        |      |        |         |        |     |       |             |        |                |      |                |        |   |   |   |        |   |       |   |        |               |        |   |    |   |
| CMFWinton MasterL.P                 |  | 32.26%                       |        |      | 38,322,249  |         |        |     | 2,863,003  |             |        |                | 59,557    |                |        |   | 4,005  |   |        |   | 2,799,441  |   |        | CommodityPortfolio |        |   | Monthly |   |
| Total                               |  |                         |        | $         | 84,542,782  |         |        | $        | 22,495,232 |             |        | $                   | 1,491,028 |                |        | $      | 39,070 |   |        | $      | 20,965,134 |   |        |               |        |   |    |   |
|                                     |

|          |                                |
|----------|--------------------------------|
| 6.  | Distributions and Redemptions: |

Distributions ofprofits, if any, will be made at the sole discretion of the GeneralPartner and at such times as the General Partner may decide. Beginningwith the first full month ending at least three months after thecommencement of trading, a limited partner may require the Partnershipto redeem their Units at their redemption value per Redeemable Unit asof the last day of a month on 10 days notice to the General Partner.For the purpose of a redemption, any accrued liability forreimbursement of offering and organization expenses for the initialoffering period will not reduce redemption value per Redeemable Unit.There is no fee charged to limited partners in connection withredemptions.

The Partnership is permitted to withdraw all or aportion of its interest in the other partnerships as of each month-endin order to meet its obligations with respect to the redemption rightsof limited partners.

|           |                           |
|-----------|---------------------------|
| 7.   | Net Asset Value Per Unit: |

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the years ended December  31, 2005, 2004 and 2003were asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | 362.35   |    |  | $      | 332.84   |    |  | $      | (27.22   | )  |
| Interestincome                                       |  |   | 7.27     |    |  |   | 7.93     |    |  |   | 11.42    |    |
| Expenses**                                           |  |   | (126.62  | )  |  |   | (72.63   | )  |  |   | (44.83   | )  |
| Increase(decrease) foryear                           |  |   | 243.00   |    |  |   | 268.14   |    |  |   | (60.63   | )  |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,368.33 |    |  |   | 1,100.19 |    |  |   | 1,160.82 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 1,611.33 |    |  | $      | 1,368.33 |    |  | $      | 1,100.19 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

|   |                                            |
|---|--------------------------------------------|
| * | IncludesPartnership brokerage commissions. |

|    |                                            |
|----|--------------------------------------------|
| ** | Excludes Partnership brokeragecommissions. |

F-17

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2005   |        | 2004     |  | 2003   |
| Ratiosto average net assets:               |  |   |   |     |  |   |   |     |  |   |   |     |
| Netinvestment loss before incentivefees*** |  |   | (4.7   | )%  |  |   | (4.1   | )%  |  |   | (4.6   | )%  |
| Operatingexpenses                          |  |   | 5.2    | %   |  |   | 4.8    | %   |  |   | 5.2    | %   |
| Incentivefees                              |  |   | 5.9    | %   |  |   | 3.4    | %   |  |   | 1.1    | %   |
| Totalexpenses                              |  |   | 11.1   | %   |  |   | 8.2    | %   |  |   | 6.3    | %   |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees          |  |   | 23.5   | %   |  |   | 28.1   | %   |  |   | (4.3   | )%  |
| Incentivefees                              |  |   | (5.7   | )%  |  |   | (3.7   | )%  |  |   | (0.9   | )%  |
| Totalreturn after incentivefees            |  |   | 17.8   | %   |  |   | 24.4   | %   |  |   | (5.2   | )%  |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                   |
|-----|-------------------------------------------------------------------|
| *** | Interestincome less total expenses (exclusive of incentive fees). |

The above ratios may vary for individual investors based on thetiming of capital transactions during the year. Additionally, theseratios are calculated for the limited partner class using the limitedpartners' share of income, expenses and average net assets.

8.    Financial Instrument Risks:

In the normal course ofbusiness, the Partnership is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures, options and swaps, whose values are basedupon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards, swaps and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized in the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. ThePartnership has credit risk and concentration risk because asignificant counterparty or broker with respect to thePartnership's assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk 

F-18

----

SalomonSmith BarneyOrion Futures Fund L.P. Notes to FinancialStatements

adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions.

The majority of these instruments mature within oneyear of December 31, 2005. However, due to the nature of thePartnership's business, these instruments may not be held tomaturity.

F-19

----

Selected unaudited quarterlyfinancial data for the Partnership for the years ended December 31,2005 and December 31, 2004 is summarized below:

|                                                                                                                      |  |                                                      |           |                                                     |  |                                                 |            |                                                    |  |   |           |        |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-----------|--------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |           | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |            | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized tradinggainsnet of brokerage fees commissions and clearing fees including interestincome |  | $                                                    | 4,044,396 |                                                |  | $                                               | 11,669,082 |                                               |  | $ | 5,312,648 |   |  | $ | 14,781,419 |   |
| NetIncome                                                                                                            |  | $                                                    | 2,114,160 |                                                |  | $                                               | 8,407,706  |                                               |  | $ | 2,137,696 |   |  | $ | 10,963,635 |   |
| Increasein Net Asset Value per RedeemableUnit                                                                        |  | $                                                    | 16.14     |                                                |  | $                                               | 85.53      |                                               |  | $ | 20.11     |   |  | $ | 121.22     |   |
|                                                                                                                      |

|                                                                                                                           |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |        |            |         |  |        |            |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                      |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees includinginterest income |  | $                                                      | 13,941,288 |                                                  |  | $                                                 | 10,629,017 |                                                 |  | $      | (8,408,857 | )  |  | $      | 13,946,802 |   |
|                                                                                                                      |  |                                                   |       |                                                  |  |                                              |       |                                                 |  |   |       |    |  |   |       |   |
| Netincome (loss)                                                                                                          |  | $                                                      | 12,238,511 |                                                  |  | $                                                 | 8,816,656  |                                                 |  | $      | (9,030,686 | )  |  | $      | 11,751,199 |   |
|                                                                                                                      |  |                                                   |       |                                                  |  |                                              |       |                                                 |  |   |       |    |  |   |       |   |
| Increase(decrease) in Net Asset Value per Redeemable Unit                                                                 |  | $                                                      | 134.55     |                                                  |  | $                                                 | 99.58      |                                                 |  | $      | (106.08    | )  |  | $      | 140.09     |   |
|                                                                                                                           |

F-20

----

To theMembers ofSB AAA Master Fund LLC

To the best of theknowledge and belief of the undersigned, the information containedherein is accurate and complete.

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          Managing Member, SB AAA Master Fund LLC |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-21

----

Independent Auditors'Report

To the Members ofSB AAA Master Fund LLC:

We have audited the accompanying statements of financialcondition of SB AAA Master Fund LLC (the"Company"), including the condensed schedulesof investments, as of December  31, 2005 and 2004, and therelated statements of income and expenses, changes in members'capital, and cash flows for each of the years in the three-year periodended December 31, 2005. These financial statements are theresponsibility of the Company's management. Our responsibility isto express an opinion on these financial statements based on ouraudits.

We conducted our audits in accordance withgenerally accepted auditing standards as established by the AuditingStandards Board (United States) and in accordance with the auditingstandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. The Company is not required to have, norwere we engaged to perform, an audit of its internal control overfinancial reporting. Our audit included consideration of internalcontrol over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for thepurpose of expressing an opinion on the effectiveness of theCompany's internal control over financial reporting. Accordingly,we express no such opinion. An audit also includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements, assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of SB AAA Master Fund LLC as ofDecember  31, 2005 and 2004, and the results of its operations,changes in its members' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accountingprinciples.

                                        

New York, New York March 13,2006

F-22

----

SB AAAMaster Fund LLCStatements of Financial ConditionDecember 31,2005 and2004

|                                                                                                |  |        |               |        |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------|--|--------|---------------|--------|--|--------|-------------|--------|--|--|
|                                                                                           |  | 2005   |               | 2004   |
| Assets:                                                                                        |  |   |          |   |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                     |  |   |          |   |  |   |        |   |
| Cash (restricted$4,130,046 and $29,327,275, respectively)                                      |  | $      | 557,878,760   |   |  | $      | 302,866,457 |   |
| Net unrealized appreciationon open futures positions                                           |  |   | 260,548,395   |   |  |   | 33,027,068  |   |
| Unrealized appreciation onopen swaps contracts                                                 |  |   | 193,692,178   |   |  |   | 93,606,729  |   |
| Commodity options owned, at fair value (cost$129,024,667 and $39,565,244,respectively)         |  |   | 225,052,075   |   |  |   | 51,017,766  |   |
|                                                                                           |  |   | 1,237,171,408 |   |  |   | 480,518,020 |   |
| Due frombrokers                                                                                |  |   | 14,310,966    |   |  |   | 2,425,135   |   |
| Interestreceivable                                                                             |  |   | 1,813,732     |   |  |   | 459,835     |   |
|                                                                                           |  | $      | 1,253,296,106 |   |  | $      | 483,402,990 |   |
|                                                                                           |  |   |          |   |  |   |        |   |
| Liabilities andMembers'Capital:                                                                |  |   |          |   |  |   |        |   |
| Liabilities:                                                                                   |  |   |          |   |  |   |        |   |
| Unrealizeddepreciation on open swap contracts                                                  |  | $      | 165,265,325   |   |  | $      | 89,659,294  |   |
| Commodity options written,at market value (premium $147,363,753 and $54,943,984,respectively)  |  |   | 114,859,048   |   |  |   | 52,353,395  |   |
| Accruedexpenses:                                                                               |  |   |          |   |  |   |        |   |
| Commissions                                                                                    |  |   | 3,198,816     |   |  |   | 1,662,591   |   |
| Professionalfees                                                                               |  |   | 143,268       |   |  |   | 2,000       |   |
| Due tobrokers                                                                                  |  |   | 13,948,544    |   |  |   | 2,753,610   |   |
| Due to CGM                                                                                     |  |   | —       |   |  |   | 22,978      |   |
| DistributionPayable                                                                            |  |   | 1,798,953     |   |  |   | 453,587     |   |
|                                                                                           |  |   | 299,213,954   |   |  |   | 146,907,455 |   |
| Members'Capital:                                                                               |  |   |          |   |  |   |        |   |
| Members'Capital, 246,785.2714 and 185,364.2361 Units outstanding in 2005 and2004, respectively |  |   | 954,082,152   |   |  |   | 336,495,535 |   |
|                                                                                           |  | $      | 1,253,296,106 |   |  | $      | 483,402,990 |   |
|                                                                                                |

See accompanyingnotes to financial statements.

F-23

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2005

|                                                    |  |                   |        |            |  |                      |              |         |  |        |        |         |  |  |
|----------------------------------------------------|--|-------------------|--------|------------|--|----------------------|--------------|---------|--|--------|--------|---------|--|--|
|                                               |  | NumberofContracts |        | Fair Value |  | % ofPartners'Capital |
| FuturesContractsPurchased                          |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 |         |    |  |   |   |    |
| NYMEXHenry Hub Natural Gas Swap- April 07 - Dec.09 |  |              | 6,496  |       |  | $                    | 61,657,788   |    |  |   | 6.46   | %  |
| NYMEXNatural Gas Aug. 06 - Dec.10                  |  |              | 9,869  |       |  |                 | 107,175,497  |    |  |   | 11.23  |    |
| Other                                              |  |              |   |       |  |                 | 45,857,146   |    |  |   | 4.81   |    |
| Totalfutures contractspurchased                    |  |              |   |       |  |                 | 214,690,431  |    |  |   | 22.50  |    |
|                                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| FuturesContractsSold                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 | 45,857,964   |    |  |   | 4.81   |    |
| Totalfuturescontracts                              |  |              |   |       |  |                 | 260,548,395  |    |  |   | 27.31  |    |
|                                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| OptionsOwned                                       |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 |         |    |  |   |   |    |
| NYMEXNatural Gas Feb. 06 - July06                  |  |              | 4,778  |       |  |                 | 78,598,570   |    |  |   | 8.24   |    |
| Other                                              |  |              |   |       |  |                 | 146,453,505  |    |  |   | 15.35  |    |
| Totaloptionsowned                                  |  |              |   |       |  |                 | 225,052,075  |    |  |   | 23.59  |    |
|                                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| OptionsWritten                                     |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 | (114,859,048 | )  |  |   | (12.04 | )  |
|                                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| UnrealizedAppreciation on SwapContracts            |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 |         |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar2006                |  |              | 1,750  |       |  |                 | 67,563,451   |    |  |   | 7.08   |    |
| Other                                              |  |              |   |       |  |                 | 126,128,727  |    |  |   | 13.22  |    |
| Totalunrealized appreciation on swapcontracts      |  |              |   |       |  |                 | 193,692,178  |    |  |   | 20.30  |    |
|                                               |  |              |   |       |  |                 |         |    |  |   |   |    |
| UnrealizedDepreciation on SwapContracts            |  |              |   |       |  |                 |         |    |  |   |   |    |
| Energy                                             |  |              |   |       |  |                 |         |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar2006                |  |              | 1,750  |       |  |                 | (65,229,496  | )  |  |   | (6.84  | )  |
| Other                                              |  |              |   |       |  |                 | (100,035,829 | )  |  |   | (10.48 | )  |
| Totaldepreciation on swapcontracts                 |  |              |   |       |  |                 | (165,265,325 | )  |  |   | (17.32 | )  |
| TotalEnergy FairValue                              |  |              |   |       |  | $                    | 399,168,275  |    |  |   | 41.84  | %  |
|                                                    |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' Capital unless otherwiseindicated. |

See accompanying notes tofinancial statements.

F-24

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2004

|                                               |  |                   |        |            |  |                      |             |         |  |        |        |         |  |  |
|-----------------------------------------------|--|-------------------|--------|------------|--|----------------------|-------------|---------|--|--------|--------|---------|--|--|
|                                          |  | NumberofContracts |        | Fair Value |  | % ofPartners'Capital |
| FuturesContractsPurchased                     |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  | $                    | 1,240,430   |    |  |   | 0.37   | %  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| FuturesContractsSold                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| NYMEXNatural Gas Feb. 05 - May09              |  |              | 2,626  |       |  |                 | 22,776,795  |    |  |   | 6.77   |    |
| Other                                         |  |              |   |       |  |                 | 9,009,843   |    |  |   | 2.68   |    |
| Totalfutures contractssold                    |  |              |   |       |  |                 | 31,786,638  |    |  |   | 9.45   |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| OptionsOwned                                  |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 | 51,017,766  |    |  |   | 15.16  |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| OptionsWritten                                |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| NYMEXNatural Gas Feb. 05 - Jan06              |  |              | 6,992  |       |  |                 | (25,794,540 | )  |  |   | (7.67  | )  |
| Other                                         |  |              |   |       |  |                 | (26,558,855 | )  |  |   | (7.89  | )  |
| Totalfutures contractswritten                 |  |              |   |       |  |                 | (52,353,395 | )  |  |   | (15.56 | )  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| UnrealizedAppreciation on SwapContracts       |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar 2005          |  |              | 1,080  |       |  |                 | 23,491,972  |    |  |   | 6.98   |    |
| NYMEXHeating Oil Calendar2006                 |  |              | 1,450  |       |  |                 | 21,867,545  |    |  |   | 6.50   |    |
| Other                                         |  |              |   |       |  |                 | 48,247,212  |    |  |   | 14.34  |    |
| Totalunrealized appreciation on swapcontracts |  |              |   |       |  |                 | 93,606,729  |    |  |   | 27.82  |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| UnrealizedDepreciation on SwapContracts       |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar2006           |  |              | 1,450  |       |  |                 | (18,846,201 | )  |  |   | (5.60  | )  |
| NYMEXUnleaded Gas Calendar2005                |  |              | 820    |       |  |                 | (21,159,503 | )  |  |   | (6.29  | )  |
| Other                                         |  |              |   |       |  |                 | (49,653,590 | )  |  |   | (14.76 | )  |
| Totaldepreciation on swapcontracts            |  |              |   |       |  |                 | (89,659,294 | )  |  |   | (26.65 | )  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| TotalEnergy FairValue                         |  |              |   |       |  | $                    | 35,638,874  |    |  |   | 10.59  | %  |
|                                               |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' Capital unless otherwiseindicated. |

See accompanying notes tofinancial statements.

F-25

----

SB AAA Master Fund LLCStatements ofIncome and Expensesfor the years ended December 31, 2005, 2004 and2003

|                                                                                                   |  |        |             |        |  |        |             |        |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|-------------|---------|--|--|
|                                                                                              |  | 2005   |             | 2004   |  | 2003   |
| Income:                                                                                           |  |   |        |   |  |   |        |   |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                               |  |   |        |   |  |   |        |   |  |   |        |    |
| Realized gains (losses) on closedpositions                                                        |  | $      | 75,334,314  |   |  | $      | 98,726,739  |   |  | $      | (89,228,388 | )  |
| Change in unrealized gainson open positions                                                       |  |   | 366,489,747 |   |  |   | 28,044,756  |   |  |   | 12,929,224  |    |
|                                                                                              |  |   | 441,824,061 |   |  |   | 126,771,495 |   |  |   | (76,299,164 | )  |
| Interestincome                                                                                    |  |   | 13,332,089  |   |  |   | 3,078,611   |   |  |   | 2,459,477   |    |
|                                                                                              |  |   | 455,156,150 |   |  |   | 129,850,106 |   |  |   | (73,839,687 | )  |
|                                                                                              |  |   |        |   |  |   |        |   |  |   |        |    |
| Expenses:                                                                                         |  |   |        |   |  |   |        |   |  |   |        |    |
| Brokeragecommissions including clearing fees of $1,569,668 $1,255,894 and$2,041,075, respectively |  |   | 13,333,992  |   |  |   | 9,941,386   |   |  |   | 14,015,096  |    |
| Professionalfees                                                                                  |  |   | 107,937     |   |  |   | 68,096      |   |  |   | 210,070     |    |
|                                                                                              |  |   | 13,441,929  |   |  |   | 10,009,482  |   |  |   | 14,225,166  |    |
| Net income(loss)                                                                                  |  | $      | 441,714,221 |   |  | $      | 119,840,624 |   |  | $      | (88,064,853 | )  |
| Net income(loss) per Unit of Member Interest (Notes 1 and6)                                       |  | $      | 2,112.50    |   |  | $      | 622.49      |   |  | $      | (400.99     | )  |
|                                                                                                   |

See accompanyingnotes to financial statements.

F-26

----

SB AAA Master Fund LLCStatements ofChanges in Members' Capitalfor the years ended December 31,2005, 2004 and2003

|                                                   |  |                 |             |         |  |  |
|---------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                              |  | Members'Capital |
| Members'Capital at December 31,2002               |  | $               | 350,283,453 |    |
| NetLoss                                           |  |            | (88,064,853 | )  |
| Sale of 39,745.9253 Unitsof Member Interest       |  |            | 54,393,460  |    |
| Redemptions of44,880.6036 Units of MemberInterest |  |            | (59,184,213 | )  |
| Distribution ofInterest to feederfunds            |  |            | (2,370,210  | )  |
| Members'Capital at December 31, 2003              |  |            | 255,057,637 |    |
| NetIncome                                         |  |            | 119,840,624 |    |
| Sale of 20,423.0579 Unitsof Member Interest       |  |            | 32,767,686  |    |
| Redemption of46,082.5538 Units of MemberInterest  |  |            | (68,133,449 | )  |
| Distribution ofInterest to feederfunds            |  |            | (3,036,963  | )  |
| Members'Capital at December 31, 2004              |  |            | 336,495,535 |    |
| NetIncome                                         |  |            | 441,714,221 |    |
| Sale of 99,379.4923 Unitsof Member Interest       |  |            | 288,276,627 |    |
| Redemption of37,958.4570 Units of MemberInterest  |  |            | (99,220,693 | )  |
| Distribution ofInterest to feederfunds            |  |            | (13,183,538 | )  |
| Members'Capital at December 31,2005               |  | $               | 954,082,152 |    |
|                                                   |

NetAsset Value PerUnit:

|       |
|-------|
|       |  |  |  |  |  |  |
| 2003: |  | $ | 1,208.66 |   |
| 2004: |  | $ | 1,815.32 |   |
| 2005: |  | $ | 3,866.04 |   |
|       |

Seeaccompanying notes to financialstatements.

F-27

----

SB AAA Master Fund LLCStatements ofCash Flowsfor the years ended December 31, 2005, 2004 and2003

|                                                                                                  |  |        |              |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|--------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |              | 2004    |  | 2003   |
| Cashflows from operating activities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Net Income(loss)                                                                                 |  | $      | 441,714,221  |    |  | $      | 119,840,624 |    |  | $      | (88,064,853 | )  |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |   |         |    |  |   |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                       |  |   |         |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in restricted cash                                                            |  |   | 25,197,229   |    |  |   | 19,144,722  |    |  |   | 5,050,258   |    |
| (Increase) decrease in netunrealized appreciation/depreciation on open futurespositions          |  |   | (227,521,327 | )  |  |   | (24,181,529 | )  |  |   | 342,944     |    |
| (Increase) decrease in unrealized appreciation on openswapscontracts                             |  |   | (100,085,449 | )  |  |   | (43,512,817 | )  |  |   | (12,082,141 | )  |
| (Increase) decrease in commodity options owned at fairvalue                                      |  |   | (174,034,309 | )  |  |   | (8,387,536  | )  |  |   | 40,621,872  |    |
| (Increase) decrease in due frombrokers                                                           |  |   | (11,885,831  | )  |  |   | (276,445    | )  |  |   | 10,447,102  |    |
| (Increase) decrease in interestreceivable                                                        |  |   | (1,353,897   | )  |  |   | (300,785    | )  |  |   | 124,570     |    |
| Increase (decrease) inunrealized depreciation on open swap contracts                             |  |   | 75,606,031   |    |  |   | 71,004,728  |    |  |   | (29,815,656 | )  |
| Increase (decrease) in commodity options written, atfair value                                   |  |   | 62,505,653   |    |  |   | (5,451,202  | )  |  |   | (9,920,180  | )  |
| Accruedexpenses:                                                                                 |  |   |         |    |  |   |        |    |  |   |        |    |
| Increase(decrease) in commissions                                                                |  |   | 1,536,225    |    |  |   | (7,834      | )  |  |   | (3,539,742  | )  |
| Increase(decrease) in professional fees                                                          |  |   | 141,268      |    |  |   | (57,625     | )  |  |   | 39,508      |    |
| Increase(decrease) in due to brokers                                                             |  |   | 11,194,934   |    |  |   | 938,595     |    |  |   | 273,792     |    |
| Increase (decrease) in due toCGM                                                                 |  |   | (22,978      | )  |  |   | —     |    |  |   | —     |    |
| Net cash provided by (used in)operating activities                                               |  |   | 102,991,770  |    |  |   | 128,752,896 |    |  |   | (86,522,526 | )  |
| Cash flows from financingactivities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Proceedsfrom additions                                                                           |  |   | 288,276,627  |    |  |   | 32,767,686  |    |  |   | 54,393,460  |    |
| Payments for redemptions                                                                         |  |   | (99,220,693  | )  |  |   | (68,133,449 | )  |  |   | (59,184,213 | )  |
| Distribution of interest to feederfunds                                                          |  |   | (11,838,172  | )  |  |   | (2,737,057  | )  |  |   | (2,493,437  | )  |
| Net cash provided by (used in)financing activities                                               |  |   | 177,217,762  |    |  |   | (38,102,820 | )  |  |   | (7,284,190  | )  |
| Net change incash                                                                                |  |   | 280,209,532  |    |  |   | 90,650,076  |    |  |   | (93,806,716 | )  |
| Unrestricted cash, atbeginning of year                                                           |  |   | 273,539,182  |    |  |   | 182,889,106 |    |  |   | 276,695,822 |    |
| Unrestricted cash, at end ofyear                                                                 |  | $      | 553,748,714  |    |  | $      | 273,539,182 |    |  | $      | 182,889,106 |    |
|                                                                                                  |

See accompanyingnotes to financialstatements.

F-28

----

SBAAA Master Fund LLCNotes to FinancialStatements

1.    General:

SB AAAMaster Fund LLC (the "Master") is a limitedliability company formed under the New York Limited Liability CompanyLaw. The Master's purpose is to engage in the speculative tradingof a diversified portfolio of commodity interests including commodityfutures contracts and commodity options contracts on United Statesexchanges and certain foreign exchanges. The Master may trade commodityfutures and option contracts of any kind but intends initially to tradesolely energy and energy related products. In addition, the Master mayenter into swap contracts. The Master is authorized to sell anunlimited number of units ("Units") of memberinterest.

On September 1, 2001 (date Master commenced trading),Smith Barney AAA Energy Fund  L.P.("AAA") allocated substantially all of itscapital and Salomon Smith Barney Orion Futures Fund L.P.("Orion") allocated a portion of its capitalto the Master. With this cash, the Partnerships purchased 133,712.5867Units of the Master with a fair value of $133,712,587 (includingunrealized appreciation of $7,755,035). On July 1, 2002, Salomon SmithBarney AAA Energy Fund L.P. II ("AAA II")allocated substantially all of its capital to the Master and purchased64,945.0387 Units with a fair value of $94,925,000. On November 1,2003, Pinnacle Natural Resources, L.P.("Pinnacle") allocated a portion of itscapital to the Master and purchased 1,104.9839 Units with a fair valueof $1,500,000. On October 1, 2005, Citigroup Diversified Futures FundL.P. ("CitiDiv") allocated a portion of itscapital to the Master and purchased 13,956.1190 Units with a fair valueof $50,000,000. On July 1, 2005, CMF Institutional Futures PortfolioL.P. ("CMF Institutional") allocated aportion of its capital to the Master and purchased 2,386.2338 Unitswith a fair value of $7,000,000. On November 1, 2005, a privateinvestor ("private investor") purchased1,196.6879 Units with a fair value of $4,000,000. The Master was formedto permit commodity pools managed now or in the future by AAA CapitalManagement, Inc. (the "Advisor") using theEnergy with Swaps Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master operatesunder a structure where its investors consist of AAA, AAA II, CitiDiv,CMF Institutional, private investor, Orion and Pinnacle NaturalResources, LP (each a "Member", collectivelythe "Funds") with 32.3%, 52.5%,5.6%, 0.6%, 1.0%, 6.9% and 1.1%investments in the Master at December 31, 2005, respectively.

Citigroup Managed Futures LLC acts as the managing member (the"Managing Member") of the Master. TheMaster's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember. The Managing Member is wholly-owned by Citigroup Global MarketsHoldings Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Alltrading decisions for the Master are made by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | Allcommodity interests (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statements of financial condition at fair value on thelast business day of the year, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theManaging Member for those commodity interests and foreign currenciesfor which market quotations are not readily available, including dealerquotes for swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

F-29

----

SBAAA Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | The Master maypurchase and write (sell) options. An option is a contract allowing,but not requiring, its holder to buy (call) or sell (put) a specific orstandard commodity or financial instrument at a specified price duringa specified time period. The option premium is the total price paid orreceived for the option contract. When the Master writes an option, thepremium received is recorded as a liability in the statements offinancial condition and marked to market daily. When the Masterpurchases an option, the premium paid is recorded as an asset in thestatements of financial condition and marked to market daily. |

|          |                                                                                                                                                                                                                           |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | All of the income and expenses and realizedand unrealized gains and losses on trading of commodity interests aredetermined on each valuation day and allocated pro rata among the Fundsat the time of such determination. |

|          |                                                                                                                                                                                      |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | Incometaxes have not been provided as each partner of each of the members(the Funds) is individually liable for the taxes, if any, on theirshare of the Master's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| e.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, and disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| f.  | Certain prior periodamounts have been reclassified to conform to current yearpresentation. |

|          |             |
|----------|-------------|
| 3.  | Agreements: |

|          |                           |
|----------|---------------------------|
| a.  | ManagingMember Agreement: |

The Managing Member administers thebusiness affairs of the Master.

|          |                      |
|----------|----------------------|
| b.  | ManagementAgreement: |

The Managing Member, on behalf of the Masterhas entered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is affiliated with the ManagingMember and CGM but is not responsible for the organization or operationof the Master. The Management Agreement provides that the Advisor hassole discretion in determining the investment of the assets of theMaster. All management fees in connection with the Management Agreementshall be borne by the Funds.

|          |                    |
|----------|--------------------|
| c.  | CustomerAgreement: |

The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. The Masterwill pay CGM brokerage commissions at $18 per round turn for futures,options and swap transactions. The brokerage fee is inclusive ofapplicable floor brokerage. All exchange, clearing, user, give-up andNational Futures Association fees are borne by the Master. All otherfees (management fees, administrative fees, incentive fees and offeringcosts) shall be borne by the Funds. All of the Master's cash isdeposited by CGM in segregated bank accounts, to the extent required byCommodity Futures Trading Commission regulations. At December 31, 2005and 2004, the amount of cash held by the Master for margin requirementswas $4,130,046 and $29,327,275, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedby either party. All commissions in connection with the CustomerAgreement shall be borne by the Funds.

4.    TradingActivities:

The Master was formed for the purpose of tradingcontracts in a variety of commodity interests, including derivativefinancial instruments and derivative commodity instruments. The resultsof the Master's trading activities are shown in the statements ofincome and expenses.

F-30

----

SBAAA Master Fund LLCNotes to FinancialStatements

All of the commodity interests owned bythe Master are held for trading purposes. The average fair values forthe years ended December 31, 2005 and 2004 based on a monthlycalculation, were $199,595,694 and $37,750,006, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at December 31, 2005 and 2004 were $399,168,275 and$35,638,874, respectively.

5.    Distributions andRedemptions:

Distributions of profits, if any, will be made atthe sole discretion of the Managing Member and at such time as theManaging Member may decide. A member may require the Master to redeemtheir Units at their Net Asset Value as of the last day of the month.The Managing Member, at its sole discretion, may permit redemptionsmore frequently than monthly. There is no fee charged to members inconnection with redemptions.

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member interest for theyears ended December 31, 2005, 2004 and 2003 were asfollows:

|                                             |  |        |          |             |  |        |          |          |  |        |          |          |  |  |
|---------------------------------------------|--|--------|----------|-------------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                        |  | 2005   |          | 2004        |  | 2003   |
| Netrealized and unrealized gains(losses)*   |  | $      | 2,051.93 |        |  | $      | 607.73   |     |  | $      | (410.62  | )   |
| Interestincome                              |  |   | 62.49    |        |  |   | 16.06    |     |  |   | 11.23    |     |
| Expenses**                                  |  |   | (1.92    | )      |  |   | (1.30    | )   |  |   | (1.60    | )   |
| Increase(decrease) foryear                  |  |   | 2,112.50 |        |  |   | 622.49   |     |  |   | (400.99  | )   |
| Distributions                               |  |   | (61.78   | )      |  |   | (15.83   | )   |  |   | (10.84   | )   |
| Netasset value per Unit, beginning ofyear   |  |   | 1,815.32 |        |  |   | 1,208.66 |     |  |   | 1,620.49 |     |
| Netasset value per Unit, end ofyear         |  | $      | 3,866.04 |        |  | $      | 1,815.32 |     |  | $      | 1,208.66 |     |
| *  Includes brokerage commissions |  |   |     |        |  |   |     |     |  |   |     |     |
| ** Excludesbrokeragecommissions             |  |   |     |        |  |   |     |     |  |   |     |     |
| Ratioto average net assets:                 |  |   |     |        |  |   |     |     |  |   |     |     |
| Netinvestmentloss***                        |  |   | (0.0)    | %****  |  |   | (2.4     | )%  |  |   | (4.1     | )%  |
| Operatingexpenses                           |  |   | 2.3      | %      |  |   | 3.5      | %   |  |   | 5.0      | %   |
| Totalreturn                                 |  |   | 116.4    | %      |  |   | 51.5     | %   |  |   | (24.7    | )%  |
|                                             |

|     |                                    |
|-----|------------------------------------|
| *** | Interestincome less total expenses |

|      |                |
|------|----------------|
| **** | Due torounding |

The above ratios may vary forindividual investors based on the timing of capital transactions duringthe year.

7.    Financial Instrument Risks:

In thenormal course of its business, the Master is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures and options, whose values arebased upon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, topurchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those 

F-31

----

SBAAA Master Fund LLCNotes to FinancialStatements

related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Master due to market changes, including interest and foreignexchange rate movements and fluctuations in commodity or securityprices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Master's risk of loss inthe event of counterparty default is typically limited to the amountsrecognized in the statements of financial condition and not representedby the contract or notional amounts of the instruments. The Master hasconcentration risk because a significant counterparty or broker withrespect to the Master's assets is CGM. As of December 31, 2005,the counterparties to the Master's swap contracts were Citibank,N.A., which is affiliated with the Master, Morgan Stanley Capital GroupInc., J.  Aron & Company, Hess Trading Company, LLC and BPCorporation North America, Inc.

The Managing Member monitors andcontrols the Master's risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems and,accordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master issubject. These monitoring systems allow the Managing Member tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-32

----

Selectedunaudited quarterly financial data for AAA Master for the years endedDecember 31, 2005 and December 31, 2004 is summarized below:

|                                                                                                                  |  |                                                        |            |                                                       |  |                                                   |             |                                                      |  |   |             |        |  |   |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|-------------|------------------------------------------------------|--|---|-------------|--------|--|---|-------------|--------|--|--|
|                                                                                                             |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September 30,2005 |  | For the period from April 1, 2005 to June 30,2005 |             | For the period from January 1, 2005 to March 31,2005 |
| Net realized and unrealized trading gains netof brokerage fees commissions and clearing fees plus interestincome |  | $                                                      | 78,571,053 |                                                  |  | $                                                 | 139,754,428 |                                                 |  | $ | 105,296,290 |   |  | $ | 118,510,387 |   |
| NetIncome                                                                                                        |  | $                                                      | 78,379,858 |                                                  |  | $                                                 | 139,650,072 |                                                 |  | $ | 105,228,428 |   |  | $ | 118,455,863 |   |
| Increasein Net Asset Value perUnit                                                                               |  | $                                                      | 304.38     |                                                  |  | $                                                 | 666.56      |                                                 |  | $ | 535.54      |   |  | $ | 606.02      |   |
|                                                                                                                  |

|                                                                                                             |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September 30,2004 |  | For the period from April 1, 2004 to June 30,2004 |            | For the period from January 1, 2004 to March 31,2004 |
| Net realized and unrealized trading gains netof brokerage commissions and clearing fees plus interestincome |  | $                                                      | 23,925,828 |                                                  |  | $                                                 | 64,277,686 |                                                 |  | $ | 10,197,155 |   |  | $ | 21,684,305 |   |
| NetIncome                                                                                                   |  | $                                                      | 23,724,769 |                                                  |  | $                                                 | 64,261,824 |                                                 |  | $ | 10,181,466 |   |  | $ | 21,672,565 |   |
| Increasein Net Asset Value perUnit                                                                          |  | $                                                      | 122.43     |                                                  |  | $                                                 | 338.61     |                                                 |  | $ | 52.27      |   |  | $ | 109.18     |   |
|                                                                                                             |

F-33

----

To theLimited Partners ofCMF Willowbridge Argo Master Fund L.P.

To the best of the knowledge and belief of the undersigned,the information contained herein is accurate and complete.

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner,           CMFWillowbridge Argo Master Fund L.P. |
|--|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | CitigroupManaged Futures LLC731 Lexington Avenue25th FloorNewYork, N.Y. 10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-34

----

Independent Auditor'sReport

To the Partnersof    CMF Willowbridge Argo Master Fund L.P.:

We haveaudited the accompanying statement of financial condition of CMFWillowbridge Argo Master Fund L.P. (the"Partnership"), including the condensedschedule of investments, as of December  31, 2005, and therelated statements of income and expenses, changes in partners'capital, and cash flows for the period July 1, 2005 (commencement oftrading operations) to December 31, 2005. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audit.

We conducted our audit in accordance withgenerally accepted auditing standards as established by the AuditingStandards Board (United States) and in accordance with the auditingstandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. The Partnership is not required to have,nor were we engaged to perform, an audit of its internal control overfinancial reporting. Our audit included consideration of internalcontrol over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for thepurpose of expressing an opinion on the effectiveness of thePartnership's internal control over financial reporting.Accordingly, we express no such opinion. An audit also includesexamining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements, assessing the accountingprinciples used and significant estimates made by management, as wellas evaluating the overall financial statement presentation. We believethat our audit provides a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of CMF WillowbridgeArgo Master Fund L.P. as of December  31, 2005, and the resultsof its operations, changes in its partners' capital, and its cashflows for the period July 1, 2005 (commencement of trading operations)to December 31, 2005 in conformity with U.S. generally acceptedaccounting principles.

New York, NewYork March 13, 2006

F-35

----

CMFWillowbridge Argo Master Fund L.P.Statement of FinancialConditionDecember 31, 2005

|                                                            |  |        |             |        |  |  |
|------------------------------------------------------------|--|--------|-------------|--------|--|--|
|                                                       |  | 2005   |
| Assets:                                                    |  |   |        |   |
| Equityin commodity futures tradingaccount:                 |  |   |        |   |
| Cash (restricted$22,332,197) (Note3c)                      |  | $      | 158,877,095 |   |
| Net unrealizedappreciation on open futurespositions        |  |   | 10,835,290  |   |
|                                                       |  |   | 169,712,385 |   |
|                                                       |  |   |        |   |
| Interestreceivable                                         |  |   | 444,643     |   |
|                                                       |  | $      | 170,157,028 |   |
|                                                       |  |   |        |   |
| Liabilitiesand Partners'Capital:                           |  |   |        |   |
| Liabilities:                                               |  |   |        |   |
| Accruedexpenses:                                           |  |   |        |   |
| Professionalfees                                           |  |   | 30,334      |   |
| Distribution payable(Note5)                                |  |   | 444,643     |   |
|                                                       |  |   | 474,977     |   |
|                                                       |  |   |        |   |
| Partners'capital:                                          |  |   |        |   |
| Partners' capital,161,209.4049 Redeemable Unitsoutstanding |  |   | 169,682,051 |   |
|                                                       |  | $      | 170,157,028 |   |
|                                                       |  |   |        |   |
|                                                            |

Seeaccompanying notes to financial statements.

F-36

----

CMF Willowbridge Argo Master FundL.P.Condensed Schedule of InvestmentsDecember 31,2005

|                                 |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                            |  | FairValue |            | % ofPartners'Capital |
| Futures ContractsPurchased      |  |      |       |                 |  |   |   |     |
| Grains                          |  | $         | (138,175   | )               |  |   | (0.08  | )%  |
| Livestock                       |  |      | 191,530    |                 |  |   | 0.11   |     |
| Metals                          |  |      | 5,765,550  |                 |  |   | 3.40   |     |
| InterestRates Non-U.S.          |  |      | 646,214    |                 |  |   | 0.38   |     |
| InterestRatesU.S.               |  |      | 624,746    |                 |  |   | 0.37   |     |
| Softs                           |  |      | 3,368,905  |                 |  |   | 1.99   |     |
| Totalfutures contractspurchased |  |      | 10,458,770 |                 |  |   | 6.17   |     |
| FuturesContractsSold            |  |      |       |                 |  |   |   |     |
| Currencies                      |  |      | 230,251    |                 |  |   | 0.13   |     |
| Energy                          |  |      | (346,085   | )               |  |   | (0.20  | )   |
| Grains                          |  |      | 187,044    |                 |  |   | 0.11   |     |
| InterestRatesNon-U.S.           |  |      | 305,310    |                 |  |   | 0.18   |     |
| Totalfutures contractssold      |  |      | 376,520    |                 |  |   | 0.22   |     |
| Totalfairvalue                  |  | $         | 10,835,290 |                 |  |   | 6.39   | %   |
|                                 |

Percentagesare based on Partners' capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-37

----

CMF Willowbridge Argo Master FundL.P.Statement of Income and Expensesfor the period July 1,2005(commencement of trading operations)to December 31,2005

|                                                                              |  |        |            |         |  |  |
|------------------------------------------------------------------------------|--|--------|------------|---------|--|--|
|                                                                         |  | 2005   |
| Income:                                                                      |  |   |       |    |
| Netgains (losses) on trading of commodityinterests:                          |  |   |       |    |
| Realized gains on closedpositions and foreigncurrencies                      |  | $      | 13,894,169 |    |
| Change inunrealized losses on openpositions                                  |  |   | (5,407,459 | )  |
|                                                                         |  |   | 8,486,710  |    |
| Interestincome (Note3c)                                                      |  |   | 2,289,314  |    |
|                                                                         |  |   | 10,776,024 |    |
| Expenses:                                                                    |  |   |       |    |
| Clearingfees                                                                 |  |   | 340,941    |    |
| Professionalfees                                                             |  |   | 30,334     |    |
|                                                                         |  |   | 371,275    |    |
| Netincome                                                                    |  | $      | 10,404,749 |    |
| Net income perRedeemable Unit of Limited Partnership Interest (Notes 1 and6) |  | $      | 66.81      |    |
|                                                                              |

Seeaccompanying notes to financial statements.

F-38

----

CMF Willowbridge Argo Master FundL.P.Statement of Changes in Partners' Capitalfor theperiod from July 1, 2005 (commencement of tradingoperations)to December 31,2005

|                                                                                                            |  |                         |             |         |  |  |
|------------------------------------------------------------------------------------------------------------|--|-------------------------|-------------|---------|--|--|
|                                                                                                       |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at July 5, 2005 representing159,565.2554 RedeemableUnits |  | $                       | 159,565,255 |    |
| Netincome                                                                                                  |  |                    | 10,404,749  |    |
| Sale of 17,026.7433Redeemable Units of Limited PartnershipInterest                                         |  |                    | 18,543,000  |    |
| Redemption of15,382.5938 Redeemable Units of Limited PartnershipInterest                                   |  |                    | (16,541,639 | )  |
| Distribution ofInterest to feeder funds                                                                    |  |                    | (2,289,314  | )  |
| Partners' capital atDecember 31,2005                                                                       |  | $                       | 169,682,051 |    |
|                                                                                                       |  |                    |        |    |
| Netasset value per RedeemableUnit:                                                                         |  |                    |        |    |
|                                                                                                            |

|        |  |       |  |           |  |  |  |  |  |  |
|--------|--|-------|--|-----------|--|--|--|--|--|--|
|   |  | 2005: |  | $1,052.56 |
|        |

Seeaccompanying notes to financial statements.

F-39

----

CMF Willowbridge Argo Master FundL.P.Statement of Cash Flowsfor the period July 1,2005(commencement of trading operations) to December 31,2005

|                                                                                           |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |
| Cashflows from operating activities:                                                      |  |   |        |    |
| Netincome                                                                                 |  | $      | 10,404,749  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |
| (Increase) decreasein restrictedcash                                                      |  |   | (22,332,197 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 5,407,459   |    |
| (Increase) decrease ininterestreceivable                                                  |  |   | (444,643    | )  |
|                                                                                      |  |   |        |    |
| Accruedexpenses:                                                                          |  |   |        |    |
| Increase (decrease) in professionalfees                                                   |  |   | 30,334      |    |
| Net cashprovided by (used in) operatingactivities                                         |  |   | (6,934,298  | )  |
|                                                                                      |  |   |        |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |
| Proceeds fromadditions                                                                    |  |   | 161,865,506 |    |
| Payments forredemptions                                                                   |  |   | (16,541,639 | )  |
| Distribution ofinterest to feederfunds                                                    |  |   | (1,844,671  | )  |
| Net cashprovided by (used in) financingactivities                                         |  |   | 143,479,196 |    |
|                                                                                      |  |   |        |    |
| Netchange incash                                                                          |  | $      | 136,544,898 |    |
| Unrestricted cash,at beginning ofperiod                                                   |  |   | —     |    |
| Unrestrictedcash, at end ofperiod                                                         |  | $      | 136,544,898 |    |
| Noncash financing activities:                                                             |  |   |        |    |
| Contribution of opencommodity futures and forwardspositions                               |  | $      | 16,242,749  |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-40

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

CMF Willowbridge Argo Master Fund L.P. (the"Master") is a limited partnership which wasorganized under the partnership laws of the State of New York to engagein the speculative trading of a diversified portfolio of commodityinterests including futures contracts, options and forward contracts.The commodity interests that are traded by the Master are volatile andinvolve a high degree of market risk. The Master is authorized to sellan unlimited number of units ("Units") ofLimited Partnership Interest.

On July 1, 2005, (date Mastercommenced trading operations), Smith Barney Diversified Futures FundL.P. ("Diversified"), Smith BarneyDiversified Futures Fund L.P. II ("DiversifiedII"), Salomon Smith Barney Orion Futures Fund L.P.("Orion"), CMF Institutional Futures Fund("CMF Institutional") and CitigroupDiversified Futures Fund L.P. ("CitigroupDiversified") allocated a portion of their capital to theMaster. Diversified purchased 12,259.349 Units of the Master with cashequal to $11,118,119 and a contribution of open commodity futures andforwards positions with a fair value of $1,141,230, Diversified IIpurchased 10,980.9796 Units of the Master with cash equal to $9,895,326and a contribution of open commodity futures and forwards positions of$1,085,654, Orion purchased 33,529.1186 Units of the Master with cashequal to $29,866,194 and a contribution of open commodity futures andforwards positions of $3,662,925, CMF Institutional Invested $7,000,000of its' initial capital and purchased 7,000.0000 Units of theMaster and Citigroup Diversified purchased 95,795.8082 Units of theMaster with cash equal to $85,442,868 and a contribution of opencommodity futures and forwards positions with a fair value of$10,352,940. The Master was formed to permit commodity pools managednow and in the future by Willowbridge Associates Inc. (The"Advisor") using the Argo Program, theAdvisor's proprietary trading program, to invest together in onetrading vehicle.

The Master operates under a structure where itsinvestors consist of Diversified, Diversified II, Orion, CitigroupDiversified and CMF Institutional (each a"Feeder", collectively the"Funds") with 7.4%, 6.6%,25.9% 56.7% and 3.4% investments in the Master atDecember 31, 2005, respectively.

Citigroup Managed Futures LLCacts as the general partner (the "GeneralPartner") of the Master. The Master's commoditybroker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly-owned by Citigroup GlobalMarkets Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.Effective as of December 31, 2005, all trading decisions for the Masterare made by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statement offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

|          |                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income and expenses andunrealized gains and losses on trading of commodity interests aredetermined on each valuation day and are allocated pro rata among thefeeder funds at the time of such determination. |

|          |                                                                                                                                                     |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Income taxes have not been provided as eachPartner is individually liable for the taxes, if any, on their share ofthe Master's income and expenses. |

F-41

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assetsand liabilities, disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

3.    Agreements:

|          |                                |
|----------|--------------------------------|
| a.  | Limited Partnership Agreement: |

|        |                                                                                                                                                                   |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner administers the businessand affairs of the Partnership including selecting one or more advisorsto make trading decisions for the Partnership. |

|  |          |                       |
|--|----------|-----------------------|
|  | b.  | Management Agreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner, on behalf of the Master,has entered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is not affiliated with theGeneral Partner or CGM and is not responsible for the organization oroperation of the Partnership. The Management Agreement provides thatthe Advisor has sole discretion in determining the investment of theassets of the Master. All management fees in connection with theManagement Agreement are borne by the Funds. |

|  |          |                     |
|--|----------|---------------------|
|  | c.  | Customer Agreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Master. All other fees includingCGM's direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005, theamount of cash held by the Master for margin requirements was$22,332,197. The Customer Agreement between the Master and CGM givesthe Master the legal right to net unrealized gains and losses. TheCustomer Agreement may be terminated upon notice by either party. |

4.    Trading Activities:

The Master was formed for thepurpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinterests. The results of the Master's trading activities areshown in the statements of income and expenses.

All of thecommodity interests owned by the Master are held for trading purposes.The average fair value during the period ended December 31, 2005 basedon a monthly calculation, was $16,087,092.

5.    Distributions and Redemptions:

Distributions ofprofits, if any, will be made at the sole discretion of the GeneralPartner and at such times as the General Partner may decide. A limitedpartner may require the Partnership to redeem their Redeemable Units attheir Net Asset Value as of the last day of each month. The GeneralPartner at its sole discretion, may permit redemptions more frequentlythan monthly, there is no fee charged in connection withredemptions.

F-42

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the period from July 1, 2005 (commencement of tradingoperations) to December  31, 2005 was asfollows:

|                                                        |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------|----------|---------|--|--|
|                                                   |  | 2005   |
| Netrealized and unrealized gains(losses)*              |  | $      | 52.75    |    |
| Interestincome                                         |  |   | 14.25    |    |
| Expenses**                                             |  |   | (0.19    | )  |
| Increase(decrease) for theperiod                       |  |   | 66.81    |    |
| Distributions                                          |  |   | (14.25   | )  |
| Netasset value per Redeemable Unit, beginning ofperiod |  |   | 1,000.00 |    |
| Net asset valueper Redeemable Unit, end ofperiod       |  | $      | 1,052.56 |    |
|                                                        |

|         |                       |
|---------|-----------------------|
| *  | Includesclearing fees |

|          |                       |
|----------|-----------------------|
| **  | Excludes clearingfees |

|                                  |  |        |        |         |  |  |
|----------------------------------|--|--------|--------|---------|--|--|
| Ratiosto Average Net Assets:**** |  |   |   |    |
| Netinvestmentincome***           |  |   | 2.0    | %  |
| Operatingexpenses                |  |   | 0.4    | %  |
| Totalreturn                      |  |   | 6.7    | %  |
|                                  |

|           |                                   |
|-----------|-----------------------------------|
| ***  | Interestincome less totalexpenses |

|            |            |
|------------|------------|
| ****  | Annualized |

Theabove ratios may vary for individual investors based on the timing ofcapital transactions during the period.

7.    FinancialInstrument Risks:

In the normal course of its business, theMaster is party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. These financial instruments may include forwards, futuresand options, whose values are based upon an underlying asset, index, orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, or to purchase or sell other financialinstruments at specific terms at specified future dates, or, in thecase of derivative commodity instruments, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Master due to market changes,including interest and foreign exchange rate movements and fluctuationsin commodity or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the relatedunderlying assets are traded.

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced 

F-43

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

to the extent that an exchange or clearingorganization acts as a counterparty to the transactions. TheMaster's risk of loss in the event of counterparty default istypically limited to the amounts recognized in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Master has credit risk andconcentration risk because the sole counterparty or broker with respectto the Master's assets is CGM.

The General Partnermonitors and controls the Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-44

----

Selectedunaudited quarterly financial data for Willowbridge Master for the yearended December  31, 2005 is summarizedbelow.

|                                                                                                                |  |                                                      |           |                                                                                         |  |   |           |        |  |  |
|----------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------------------------------------------|--|---|-----------|--------|--|--|
|                                                                                                           |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |           | For the period fromJuly 1, 2005 (Commencementoftrading operations) toSeptember 30, 2005 |
| Netrealized and unrealized tradinggains net of brokerage commissionsand clearing fees including interestincome |  | $                                                    | 1,894,970 |                                                                                    |  | $ | 8,540,113 |   |
| NetIncome                                                                                                      |  | $                                                    | 1,879,636 |                                                                                    |  | $ | 8,525,113 |   |
| Increasein Net Asset Value per RedeemableUnit                                                                  |  | $                                                    | 10.17     |                                                                                    |  | $ | 56.64     |   |
|                                                                                                                |

F-45

----

To theLimited Partners ofCMF Winton Master L.P.

To thebest of the knowledge and belief of the undersigned, the informationcontained herein is accurate and complete.

|  |
|--|
|  |  |  |
|  |

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner,           CMFWinton Master L.P. |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed FuturesLLC731 Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-46

----

Independent Auditor'sReport

To the PartnersofCMF Winton Master L.P.:

We have audited the accompanyingstatements of financial condition of CMF Winton Master L.P. (the"Partnership"), including the condensedschedules of investments, as of December  31, 2005, and therelated statements of income and expenses, changes in partners'capital, and cash flows for the year ended December 31, 2005 and forthe period November 1, 2004 (commencement of trading operations) toDecember 31, 2004. These financial statements are the responsibility ofthe Partnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

Weconducted our audits in accordance with generally accepted auditingstandards as established by the Auditing Standards Board (UnitedStates) and in accordance with the auditing standards of the PublicCompany Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. The Partnership is not required to have, nor were weengaged to perform, an audit of its internal control over financialreporting. Our audit included consideration of internal control overfinancial reporting as a basis for designing audit procedures that areappropriate in the circumstances, but not for the purpose of expressingan opinion on the effectiveness of the Partnership's internalcontrol over financial reporting. Accordingly, we express no suchopinion. An audit also includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements,assessing the accounting principles used and significant estimates madeby management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of CMF Winton Master L.P. as of December  31, 2005, andthe results of its operations, changes in its partners' capital,and its cash flows for the year ended December 31, 2005 and for theperiod November 1, 2004 (commencement of trading operations) toDecember 31, 2004 in conformity with U.S. generally accepted accountingprinciples.

NewYork, New YorkMarch 13, 2006

F-47

----

CMF WintonMaster L.P.Statements of Financial ConditionDecember 31, 2005and 2004

|                                                                                                            |  |        |             |        |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                       |  | 2005   |             | 2004   |
| Assets:                                                                                                    |  |   |        |   |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                                 |  |   |        |   |  |   |        |   |
| Cash (restricted$41,364,253 and $26,264,586 in 2005 and 2004, respectively) (Note3c)                       |  | $      | 173,936,134 |   |  | $      | 113,508,857 |   |
| Net unrealized appreciationon open futures positions                                                       |  |   | 1,044,808   |   |  |   | 979,539     |   |
| Unrealized appreciation on openforward contracts                                                           |  |   | 6,659,732   |   |  |   | 1,575,476   |   |
|                                                                                                       |  |   | 181,640,674 |   |  |   | 116,063,872 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Interestreceivable                                                                                         |  |   | 490,049     |   |  |   | 166,197     |   |
|                                                                                                       |  | $      | 182,130,723 |   |  | $      | 116,230,069 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Liabilitiesand Partners'Capital:                                                                           |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                               |  |   |        |   |  |   |        |   |
| Unrealizeddepreciation on open forward contracts                                                           |  | $      | 2,976,793   |   |  | $      | 926,543     |   |
| Accruedexpenses:                                                                                           |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                           |  |   | 57,292      |   |  |   | 12,000      |   |
| Distribution payable (Note5)                                                                               |  |   | 490,049     |   |  |   | 166,197     |   |
|                                                                                                       |  |   | 3,524,134   |   |  |   | 1,104,740   |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Partners'Capital:                                                                                          |  |   |        |   |  |   |        |   |
| Partners' Capital,150,355.1221 and 107,012.8888 Redeemable Units outstanding in 2005 and2004, respectively |  |   | 178,606,589 |   |  |   | 115,125,329 |   |
|                                                                                                       |  | $      | 182,130,723 |   |  | $      | 116,230,069 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
|                                                                                                            |

Seeaccompanying notes to financial statements.

F-48

----

CMF Winton Master L.P.CondensedSchedule of Investments December 31, 2005

|                                                   |  |           |            |                       |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|-----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % of Partners'Capital |
| Futures ContractsPurchased                        |  |      |       |                  |  |   |   |     |
| Currencies                                        |  | $         | (532,732   | )                |  |   | (0.30  | )%  |
| Indices                                           |  |      | (689,791   | )                |  |   | (0.39  | )   |
| Interest Rates U.S.                               |  |      | (63,103    | )                |  |   | (0.03  | )   |
| Interest Rates Non-U.S.                           |  |      | 2,264,869  |                  |  |   | 1.27   |     |
| Livestock                                         |  |      | 274,805    |                  |  |   | 0.15   |     |
| Lumber                                            |  |      | (4,213     | )                |  |   | (0.00) | *   |
| Metals                                            |  |      | 464,600    |                  |  |   | 0.26   |     |
| Softs                                             |  |      | 53,290     |                  |  |   | 0.03   |     |
| Total futures contractspurchased                  |  |      | 1,767,725  |                  |  |   | 0.99   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                  |  |   |   |     |
| Currencies                                        |  |      | (319,700   | )                |  |   | (0.18  | )   |
| Energy                                            |  |      | (613,409   | )                |  |   | (0.34  | )   |
| Grains                                            |  |      | (643,317   | )                |  |   | (0.36  | )   |
| Interest Rates U.S.                               |  |      | (36,304    | )                |  |   | (0.02  | )   |
| Interest Rates Non-U.S.                           |  |      | 1,099,890  |                  |  |   | 0.62   |     |
| Livestock                                         |  |      | 3,400      |                  |  |   | 0.00   | *   |
| Softs                                             |  |      | (213,477   | )                |  |   | (0.12  | )   |
| Total futures contractssold                       |  |      | (722,917   | )                |  |   | (0.40  | )   |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                  |  |   |   |     |
| Metals                                            |  |      | 6,659,732  |                  |  |   | 3.73   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 6,659,732  |                  |  |   | 3.73   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                  |  |   |   |     |
| Metals                                            |  |      | (2,976,793 | )                |  |   | (1.67  | )   |
| Total unrealized depreciation on forwardcontracts |  |      | (2,976,793 | )                |  |   | (1.67  | )   |
|                                              |  |      |       |                  |  |   |   |     |
| Total FairValue                                   |  | $         | 4,727,747  |                  |  |   | 2.65   | %   |
|                                                   |

Percentages are based onPartners' capital unless otherwiseindicated

|  |                                    |
|--|------------------------------------|
|  | *   Due to rounding |

|  |                                               |
|--|-----------------------------------------------|
|  | Seeaccompanying notes to financial statements |

F-49

----

CMF Winton Master L.P.CondensedSchedule of InvestmentsDecember 31,2004

|                                            |  |            |           |                     |  |        |        |         |  |  |
|--------------------------------------------|--|------------|-----------|---------------------|--|--------|--------|---------|--|--|
|                                       |  | Fair Value |           | % ofPartnersCapital |
| Futures ContractsPurchased                 |  |       |      |                |  |   |   |    |
| Currencies                                 |  | $          | 623,634   |                |  |   | 0.54   | %  |
| Indices                                    |  |       | 1,541,657 |                |  |   | 1.34   |    |
| InterestRates U.S.                         |  |       | (294,303  | )              |  |   | (0.27  | )  |
| Interest RatesNon-U.S.                     |  |       | (42,376   | )              |  |   | (0.04  | )  |
| Livestock                                  |  |       | (97,350   | )              |  |   | (0.08  | )  |
| Lumber                                     |  |       | 48,114    |                |  |   | 0.04   |    |
| Metals                                     |  |       | (524,982  | )              |  |   | (0.46  | )  |
| Softs                                      |  |       | (172,955  | )              |  |   | (0.15  | )  |
| Totalfutures contractspurchased            |  |       | 1,081,439 |                |  |   | 0.92   |    |
| FuturesContractsSold                       |  |       |      |                |  |   |   |    |
| Currencies                                 |  |       | 17,239    |                |  |   | 0.02   |    |
| Energy                                     |  |       | 160,945   |                |  |   | 0.14   |    |
| Grains                                     |  |       | (287,861  | )              |  |   | (0.25  | )  |
| InterestRates U.S.                         |  |       | (21,841   | )              |  |   | (0.02  | )  |
| InterestRatesNon-U.S.                      |  |       | (10,707   | )              |  |   | (0.00) | *  |
| Metals                                     |  |       | 69,925    |                |  |   | 0.06   |    |
| Softs                                      |  |       | (29,600   | )              |  |   | (0.03  | )  |
| Totalfutures contractssold                 |  |       | (101,900  | )              |  |   | (0.08  | )  |
| UnrealizedAppreciation on ForwardContracts |  |       |      |                |  |   |   |    |
| Metals                                     |  |       | 1,575,476 |                |  |   | 1.37   |    |
| UnrealizedDepreciation on ForwardContracts |  |       |      |                |  |   |   |    |
| Metals                                     |  |       | (926,543  | )              |  |   | (0.80  | )  |
| TotalFairValue                             |  | $          | 1,628,472 |                |  |   | 1.41   | %  |
|                                            |

Percentagesare based on Partners' capital unless otherwise indicated.

* Due to rounding

Seeaccompanying notes to financial statements.

F-50

----

CMF Winton Master L.P.Statements ofIncome and Expensesfor the year ended December 31, 2005 and theperiod November 1, 2004(commencement of trading operations)toDecember 31,2004

|                                                                   |  |        |            |        |  |        |           |         |  |  |
|-------------------------------------------------------------------|--|--------|------------|--------|--|--------|-----------|---------|--|--|
|                                                              |  | 2005   |            | 2004   |
| Income:                                                           |  |   |       |   |  |   |      |    |
| Netgains (losses) on trading of commodityinterests:               |  |   |       |   |  |   |      |    |
| Realized gains on closedpositions and foreign currencies          |  | $      | 13,732,305 |   |  | $      | 4,622,324 |    |
| Net unrealized gains on openpositions                             |  |   | 3,099,275  |   |  |   | (969,894  | )  |
|                                                              |  |   | 16,831,580 |   |  |   | 3,652,430 |    |
| Interestincome                                                    |  |   | 4,288,087  |   |  |   | 244,406   |    |
|                                                              |  |   | 21,119,667 |   |  |   | 3,896,836 |    |
| Expenses:                                                         |  |   |       |   |  |   |      |    |
| Clearingfees                                                      |  |   | 1,166,831  |   |  |   | 152,738   |    |
| Professionalfees                                                  |  |   | 56,062     |   |  |   | 12,000    |    |
|                                                              |  |   | 1,222,893  |   |  |   | 164,738   |    |
| Netincome                                                         |  | $      | 19,896,774 |   |  | $      | 3,732,098 |    |
| Net income per Unit ofLimited Partnership Interest (Notes 1 and6) |  | $      | 142.03     |   |  | $      | 78.85     |    |
|                                                                   |

Seeaccompanying notes to financial statements.

F-51

----

CMF Winton Master L.P.Statements ofChanges in Partners' Capitalfor the year ended December 31,2005 and the period from November 1, 2004 (commencement of tradingoperations)to December 31,2004

|                                                                                                    |  |                         |             |         |  |  |
|----------------------------------------------------------------------------------------------------|--|-------------------------|-------------|---------|--|--|
|                                                                                               |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at November 1, 2004representing 52,444.0345Units |  | $                       | 52,444,034  |    |
| Netincome                                                                                          |  |                    | 3,732,098   |    |
| Sale of 56,367.5633 Unitsof Limited PartnersInterest                                               |  |                    | 61,144,754  |    |
| Redemption of 1,798.7090Units of Limited PartnersInterest                                          |  |                    | (1,951,151  | )  |
| Distribution ofInterest to feeder funds                                                            |  |                    | (244,406    | )  |
| Partners' capital atDecember 31, 2004                                                              |  |                    | 115,125,329 |    |
| Net income                                                                                         |  |                    | 19,896,774  |    |
| Sale of 100,687.9895 Units ofLimited Partners' Interest                                            |  |                    | 114,746,235 |    |
| Redemption of 57,345.7562 Unitsof Limited Partners' Interest                                       |  |                    | (66,873,662 | )  |
| Distribution of Interest toFeeder Funds                                                            |  |                    | (4,288,087  | )  |
| Partners'capital at December 31, 2005                                                              |  | $                       | 178,606,589 |    |
| Net asset valueperUnit:                                                                            |  |                    |        |    |
|                                                                                                    |

|        |  |      |  |           |  |  |  |  |  |  |
|--------|--|------|--|-----------|--|--|--|--|--|--|
|   |  | 2004 |  | $1,075.81 |
|   |  | 2005 |  | $1,187.90 |
|        |

Seeaccompanying notes to financial statements.

F-52

----

CMF Winton Master L.P.Statements ofCash Flowsfor the year ended December 31, 2005 and the periodNovember 1, 2004(commencement of trading operations) toDecember 31,2004

|                                                                                           |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |             | 2004    |
| Cash flows fromoperating activities:                                                      |  |   |        |    |  |   |        |    |
| Netincome                                                                                 |  | $      | 19,896,774  |    |  | $      | 3,732,098   |    |
| Adjustments toreconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |  |   |        |    |
| (Increase) decreasein restricted cash                                                     |  |   | (15,099,667 | )  |  |   | (26,264,586 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | (65,269     | )  |  |   | 2,089,692   |    |
| (Increase) decrease in unrealizedappreciation on open forward contracts                   |  |   | (5,084,256  | )  |  |   | (1,336,229  | )  |
| (Increase) decrease in interestreceivable                                                 |  |   | (323,852    | )  |  |   | (166,197    | )  |
|                                                                                      |  |   |        |    |  |   |        |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | 2,050,250   |    |  |   | 216,431     |    |
| Accruedexpenses:                                                                          |  |   |        |    |  |   |        |    |
| Increase (decrease) in professionalfees                                                   |  |   | 45,292      |    |  |   | 12,000      |    |
| Net cash provided by (used in) operatingactivities                                        |  |   | 1,419,272   |    |  |   | (21,716,791 | )  |
|                                                                                      |  |   |        |    |  |   |        |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |  |   |        |    |
| Proceeds fromadditions                                                                    |  |   | 114,746,235 |    |  |   | 110,990,422 |    |
| Payments forredemptions                                                                   |  |   | (66,873,662 | )  |  |   | (1,951,151  | )  |
| Distribution of interest to feederfunds                                                   |  |   | (3,964,235  | )  |  |   | (78,209     | )  |
| Net cash provided by(used in) financing activities                                        |  |   | 43,908,338  |    |  |   | 108,961,062 |    |
|                                                                                      |  |   |        |    |  |   |        |    |
| Netchange in cash                                                                         |  |   | 45,327,610  |    |  |   | 87,244,271  |    |
| Unrestricted cash, at beginningof period                                                  |  |   | 87,244,271  |    |  |   | —     |    |
| Unrestricted cash, atend of period                                                        |  | $      | 132,571,881 |    |  | $      | 87,244,271  |    |
| Non cashfinancing activities:                                                             |  |   |        |    |  |   |        |    |
| Contribution of open commodityfutures and forwards positions                              |  | $      | —     |    |  | $      | 2,598,366   |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-53

----

CMFWinton Master L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

CMF Winton Master L.P. (the"Master") is a limited partnership which wasorganized under the partnership laws of the State of New York to engagein the speculative trading of a diversified portfolio of commodityinterests including futures contracts, options and forward contracts.The commodity interests that are traded by the Master are volatile andinvolve a high degree of market risk. The Master is authorized to sellan unlimited number of units ("Units") ofLimited Partnership Interest.

On November 1, 2004 (date Mastercommenced trading), CMF Winton Feeder I L.P. ("WintonFeeder") allocated substantially all of its capital andSmith Barney Diversified Futures Fund L.P.("Diversified") and Salomon Smith BarneyOrion Futures Fund L.P. ("Orion") allocated aportion of their capital to the Master. Winton Feeder purchased2,000.0000 Units of the Master with cash equal to $2,000,000. Orionpurchased 35,389.8399 Units of the Master with cash equal to$33,594,083 and a contribution of open commodity futures and forwardpositions with a fair value of $1,795,757. Diversified purchased15,054.1946 Units of the Master with cash equal to $14,251,586 and acontribution of open commodity futures and forward positions with afair value of $802,609. On December 1, 2004, Citigroup DiversifiedFutures Fund L.P. ("Citigroup Diversified")allocated a portion of its capital to the Master and purchased52,981.2908 Units with cash equal to $57,471,493. On July 1, 2005 CMFInstitutional Futures Portfolio L.P. ("CMFInstitutional") allocated a portion of its capital to theMaster and purchased 5,741.8230 Units of the Master with cash equal to$7,000,000. The Master was formed to permit commodity pools managed nowor in the future by Winton Capital Management Limited (the"Advisor") using the Diversified program, theAdvisor's proprietary trading program, to invest together in onevehicle.

The Master's investors consist of Winton Feeder,Orion, Diversified, Citigroup Diversified and CMF Institutional (each a"Feeder", collectively the"Funds") with 7.7%, 30.5%,8.7%, 50.4% and 2.7% ownership of the Master atDecember 31, 2005, respectively. Winton Feeder, Orion, Diversified andCitigroup Diversified owned 3.1%, 33.4%, 14.0% and49.5% of the Master at December 31, 2004,respectively.

Citigroup Managed Futures LLC acts as the generalpartner (the "General Partner") of theMaster. The Master's commodity broker is Citigroup Global MarketsInc. ("CGM"). CGM is an affiliate of theGeneral Partner. The General Partner is wholly-owned by CitigroupGlobal Markets Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of CitigroupInc.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statement offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

|          |                                                                                                                                                                                                                                                                                                                                                                      |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income and expenses andunrealized gains and losses on trading of commodity interests aredetermined on each valuation day and are allocated pro rata among theFunds at the time of such determination. Income taxes have not beenprovided as each Partner is individually liable for the taxes, if any,on their share of the Master's income and expenses. |

F-54

----

CMFWinton Master L.P.

Notes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assetsand liabilities, disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| d.  | Certain priorperiod amounts have been reclassified to conform to current yearpresentation. |

3.    Agreements:

|          |                                |
|----------|--------------------------------|
| a.  | Limited Partnership Agreement: |

|        |                                                                                                                                                                   |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner administers the businessand affairs of the Partnership including selecting one or more advisorsto make trading decisions for the Partnership. |

|  |          |                      |
|--|----------|----------------------|
|  | b.  | ManagementAgreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner, on behalfof the Master, has entered into a Management Agreement with theAdvisor, a registered commodity trading advisor. The Advisor is notaffiliated with the General Partner or CGM and is not responsible forthe organization or operation of the Partnership. The ManagementAgreement provides that the Advisor has sole discretion in determiningthe investment of the assets of the Master. All management fees inconnection with the Management Agreement are borne by the FeederFunds. |

|  |          |                    |
|--|----------|--------------------|
|  | c.  | CustomerAgreement: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into aCustomer Agreement with CGM whereby CGM provides services whichinclude, among other things, the execution of transactions for theMaster's account in accordance with orders placed by the Advisor.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master. All other feesincluding CGM's direct brokerage commission shall be borne by theFeeder Funds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005 and 2004,the amount of cash held by the Master for margin requirements was$41,364,253 and $26,264,586, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party. |

4.    Trading Activities:

The Master was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity interests. The results of theMaster's trading activities are shown in the statements of incomeand expenses.

All of the commodity interests owned by the Masterare held for trading purposes. The average fair value for the yearended December 31, 2005 and during the period ended December 31, 2004based on a monthly calculation, was $6,930,693 and $3,595,835,respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the General Partner and at such times as the GeneralPartner may decide. A limited partner may require the Partnership toredeem their Redeemable Units at their Net Asset Value as of the lastday of each month. The General Partner at its sole discretion, maypermit redemptions more frequently than monthly, there is no feecharged in connection with redemptions.

F-55

----

CMFWinton Master L.P.

Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the year ended December 31, 2005 and the period fromNovember 1, 2004 (commencement of trading operations) toDecember  31, 2004 was asfollows:

|                                                         |  |        |          |         |  |        |          |         |  |  |
|---------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                    |  | 2005   |          | 2004    |
| Net realized and unrealizedgains*                       |  | $      | 112.51   |    |  | $      | 75.92    |    |
| Interestincome                                          |  |   | 29.94    |    |  |   | 3.04     |    |
| Expenses**                                              |  |   | (0.42    | )  |  |   | (0.11    | )  |
| Increase for theperiod                                  |  |   | 142.03   |    |  |   | 78.85    |    |
| Distributions                                           |  |   | (29.94   | )  |  |   | (3.04    | )  |
| Net Asset Value Redeemable per Unit,beginning of period |  |   | 1,075.81 |    |  |   | 1,000.00 |    |
| Net Asset Value Redeemableper Unit, end of period       |  | $      | 1,187.90 |    |  | $      | 1,075.81 |    |
|                                                         |

|         |                       |
|---------|-----------------------|
| *  | Includesclearing fees |

|          |                       |
|----------|-----------------------|
| **  | Excludes clearingfees |

|                              |  |        |        |         |  |        |        |             |  |  |
|------------------------------|--|--------|--------|---------|--|--------|--------|-------------|--|--|
| Ratiosto Average Net Assets: |  |   |   |    |  |   |   |        |
| Netinvestment income***      |  |   | 1.9    | %  |  |   | 0.6    | %****  |
| Operatingexpenses            |  |   | 0.8    | %  |  |   | 1.3    | %****  |
| Totalreturn                  |  |   | 13.2   | %  |  |   | 7.9    | %      |
|                              |

|           |                                    |
|-----------|------------------------------------|
| ***  | Interestincome less total expenses |

|            |             |
|------------|-------------|
| ****  | Annualized. |

The above ratiosmay vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the Limited Partner class using the Limited Partners' shareof income, expense and average net assets.

7.    FinancialInstrument Risks:

In the normal course of its business, theMaster is party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. These financial instruments may include forwards, futuresand options, whose values are based upon an underlying asset, index, orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, or to purchase or sell other financialinstruments at specific terms at specified future dates, or, in thecase of derivative commodity instruments, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Master due to market changes,including interest and foreign exchange rate movements and fluctuationsin commodity or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the relatedunderlying assets are traded.

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced 

F-56

----

CMFWinton Master L.P.

Notes to FinancialStatements

to the extent that an exchange or clearingorganization acts as a counterparty to the transactions. TheMaster's risk of loss in the event of counterparty default istypically limited to the amounts recognized in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Master has credit risk andconcentration risk because the sole counterparty or broker with respectto the Master's assets is CGM.

The General Partnermonitors and controls the Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-57

----

CMFWinton Master L.P.

Notes to FinancialStatements

Selected unaudited quarterly financialdata for the Winton Master for the years ended December 31, 2005 and2004 are summarizedbelow:

|                                                                                                                      |  |                                                       |         |                                                      |  |                                                 |            |                                                    |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|---------|------------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                 |  | Forthe period fromOctober 1, 2005 to December 31,2005 |         | For the period from July 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |            | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                     | 134,872 |                                                 |  | $                                               | (1,993,310 | )                                             |  | $      | 10,861,316 |   |  | $      | 10,949,958 |   |
| NetIncome(loss)                                                                                                      |  | $                                                     | 131,646 |                                                 |  | $                                               | (2,011,115 | )                                             |  | $      | 10,843,704 |   |  | $      | 10,932,539 |   |
| Increase(decrease) in NetAsset                                                                                       |  |                                                  |    |                                                 |  |                                            |       |                                               |  |   |       |   |  |   |       |   |
| ValueperUnit                                                                                                         |  | $                                                     | (0.32   | )                                               |  | $                                               | (13.00     | )                                             |  | $      | 78.31      |   |  | $      | 77.04      |   |
|                                                                                                                      |

|                                                                                                             |  |                                                                                           |           |        |  |        |        |        |  |        |        |        |  |        |        |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|-----------|--------|--|--------|--------|--------|--|--------|--------|--------|--|--------|--------|--------|--|--|
|                                                                                                        |  | Forthe period fromNovember 1, 2004(commencement oftrading operations) to December 31,2004 |           |   |  |   |        |   |
| Net realized andunrealized trading gains net of brokerage commissions and clearing feesplus interest income |  | $                                                                                         | 3,744,098 |   |  |   |   |   |  |   |   |   |  |   |   |   |
| Net Income                                                                                                  |  | $                                                                                         | 3,732,098 |   |  |   |   |   |  |   |   |   |  |   |   |   |
| Increase in Net AssetValueperUnit                                                                           |  | $                                                                                         | 78.85     |   |  |   |   |   |  |   |   |   |  |   |   |   |
|                                                                                                             |

F-58

----

Item 9.    Changesin and Disagreements with Accountants on Accounting and FinancialDisclosure.

None

Item 9A.    Controls andProcedures.

Based on their evaluation of thePartnership's disclosure controls and procedures as of year end,the Chief Executive Officer and Chief Financial Officer have concludedthat such controls and procedures are effective.

There were nosignificant changes in the Partnership's internal controls overfinancial reporting or in other factors that could significantly affectsuch controls subsequent to the date of their evaluation as of yearend.

Management's report on internal control overfinancial reporting and KPMG LLP's related opinion are includedin the Partnership's annual financial statements under"Item 8. Financial Statements and SupplementaryData."

Item 9B:    Other Information

The Partnership previously filed report(s) as an"accelerated filer" (as defined in Rule 12b-2of the Exchange Act). The Partnership has been advised by SEC Staffthat it is not an accelerated filer and that it is not, therefore,required to file as such.

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by the Advisors, AAA CapitalManagement, Inc. Willowbridge Associates Inc. and Winton CapitalManagement.

The Partnership has not adopted a code of ethicsthat applies to officers because it has no officers.

Item11.    Executive Compensation.

The Partnership hasno directors or officers. Its affairs are managed by Citigroup ManagedFutures Management LLC, its General Partner, which receivescompensation for its services, as set forth under "Item 1.Business." CGM, an affiliate of the GeneralPartner, is the commodity broker for the Partnership and receivesbrokerage commissions for such services, as described under"Item 1. Business." During the yearended December 31, 2005, CGM earned $3,620,999 in brokerage commissionsand clearing fees from the Partnership. The Advisors earned $2,734,652in management fees during 2005. The General Partner earned $744,000 inadministrative fees during 2005. The Advisors earned $8,440,695 inincentive fees during 2005.

Item 12.    SecurityOwnership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.The Partnership knows of no person who beneficially owns more than fivepercent (5%) of the Redeemable Units outstanding.

(b)    Security ownership of management. Under the termsof the Limited Partnership Agreement, the Partnerships affairs aremanaged by the General Partner. The General Partner owns Units ofgeneral partnership interest equivalent to 865.3542 Units of LimitedPartnership Interest (0.8%) as of December 31, 2005.

Principals who own Redeemable Units of the Partnership:* David J. Vogel 17.9921 Redeemable Units* Maureen O'Toole 21.6689 RedeemableUnits * Jerry Pascucci 10.7954 RedeemableUnits

25

----

(c)    Changes in control.None.

Item 13.    Certain Relationships and RelatedTransactions.

Citigroup Global Markets Inc. and CitigroupManaged Futures LLC would be considered promoters for purposes of item404(d) of Regulation S-K. The nature and the amounts of compensationeach promoter will receive from the Partnership are set forth under"Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

(1)    Audit Fees.The aggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of financialstatements included in the Partnership's Forms 10-Q and 10-K andother services normally provided in connection with regulatory filingsor engagements are as follows:

2005$90,000

2004            $44,560

(2)    Audit-Related Fees. None

(3)    TaxFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for tax complianceand tax advice given in the preparation of the Partnership'sSchedule K1s, the preparation of the Partnership's Form 1065 andpreparation of all State Tax Returns are as follows:

2005            $7,606

2004            $5,136

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

26

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PART IV

Item 15.    Exhibitsand Financial Statement Schedules.

|              |                                                                                       |
|--------------|---------------------------------------------------------------------------------------|
| (a)(1)  | Financial Statements: Statements of FinancialCondition at December 31, 2005 and 2004. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses for theyears ended December 31, 2005, 2004 and 2003. |

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners'Capital for the years ended December 31, 2005, 2004 and2003. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for theyears ended December 31, 2005, 2004 and 2003. |

|        |                               |
|--------|-------------------------------|
|   | Notes to Financial Statements |

|           |           |
|-----------|-----------|
| (2)  | Exhibits: |

|        |                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------|
|   | 3.1 – Certificate of Limited Partnership(filed as Exhibit 3.1 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                   |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.2 – Certificate of Amendmentto the Certificate of Limited Partnership (filed as Exhibit 3.2 to thePartnership Form10) (previously filed). |

|        |                                                                                                                                    |
|--------|------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.3– Amended and Restated Limited Partnership Agreement (filed asExhibit 3.3 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.1 – Management Agreement among thePartnership, the General Partner, SFG Global Investments, Inc. and AAACapital Management, Inc. (filed as Exhibit 10.1 to the Partnership Form10) (previously filed). |

|        |                                                                                                                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.2 –Management Agreement among the Partnership, the General Partner, SFGGlobal Investments, Inc. and Beacon Management Corporation (filed asExhibit 10.2 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.3 – Management Agreement among thePartnership, the General Partner, SFG Global Investments, Inc. andWillowbridge Associates Inc. (filed as Exhibit 10.3 to the PartnershipForm 10) (previously filed). |

|        |                                                                                                                                                                                                         |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4 –Amended and Restated Customer Agreement between the Partnership andSalomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit10.4 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.5 – Amended and Restated AgencyAgreement between the Partnership and Salomon Smith Barney Inc. (thepredecessor to CGM) (filed as Exhibit 10.5 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------|
|   | 10.6 – Form ofSubscription Agreement (filed as Exhibit 10.6 to the Partnership Form10) (previously filed). |

|        |                                                                                                                                                                                                                                 |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.7 –Amendment to the Management Agreement among the Partnership, theGeneral Partner, SFG Global Investments, Inc. and AAA CapitalManagement, Inc. (filed as Exhibit 10.7 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                                                                                                                                   |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.8 – Amendmentto the Management Agreement among the Partnership, the General Partner,SFG Global Investments, Inc. and Beacon Management Corporation (filedas Exhibit 10.8 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                                                                  |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.9 – Amendment to the ManagementAgreement among the Partnership, the General Partner, SFG GlobalInvestments, Inc. and Willowbridge Associates Inc. (filed as Exhibit10.9 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.10 – Letter from General Partner to AAACapital Management, Inc. extending Management Agreement for 2000 (filedas Exhibit 10.10 to the Partnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.11 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2000(filed as Exhibit 10.11 to the Partnership Form 10) (previouslyfiled). |

27

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|        |                                                                                                                                                                                        |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.12 – Letterfrom General Partner to AAA Capital Management, Inc. extendingManagement Agreement for 2001 (filed as Exhibit 10.12 to thePartnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.13 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2001(filed as Exhibit 10.13 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.14 – Letter from GeneralPartner to Willowbridge Associates, Inc. extending Management Agreementfor 2001 (filed as Exhibit 10.14 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                                                                                        |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.15 – Letterfrom General Partner to AAA Capital Management, Inc. extendingManagement Agreement for 2002 (filed as Exhibit 10.15 to thePartnership Form 10) (previously filed). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.16 – Letter from General Partner toBeacon Management Corporation extending Management Agreement for 2002(filed as Exhibit 10.16 to the Partnership Form 10) (previouslyfiled). |

|        |                                                                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.17 – Letter from GeneralPartner to Willowbridge Associates, Inc. extending Management Agreementfor 2002 (filed as Exhibit 10.17 to the Partnership Form 10)(previously filed). |

|        |                                                                                                                                                                                |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.18 – Lettersfrom the General Partner to Willowbridge Associates, Inc., and AAACapital Management, Inc. extending the Management Agreement for 2003(previously filed). |

|        |                                                                                                                                       |
|--------|---------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.19 – ManagementAgreement among the Partnership, the General Partner and Winton CapitalManagement Limited (previously filed). |

|        |                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.20– Letter from the General Partner to Beacon ManagementCorporation terminating the Management Agreement (previouslyfiled). |

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.21 – Letters from theGeneral Partner to Willowbridge Associates, Inc., AAA CapitalManagement Inc. and Winton Capital Management Limited extending theManagement Agreement for 2004 (previouslyfiled). |

|        |                                                                                                                                                                                                             |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.22 – Letters from theGeneral Partner to Willowbridge Associates, Inc., AAA CapitalManagement Inc. and Winton Capital Management Limited extending theManagement Agreement for 2005 (filed herein). |

|        |                                                                        |
|--------|------------------------------------------------------------------------|
|   | 16.1 – Letter from PricewaterhouseCoopersLLP (previously filed). |

The exhibits required to befiled by Item 601 of Regulations S-K are incorporated herein byreference.

|        |                                                                                              |
|--------|----------------------------------------------------------------------------------------------|
|   | 31.1 – Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector). |

|        |                                                                                                            |
|--------|------------------------------------------------------------------------------------------------------------|
|   | 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director). |

|        |                                                                                   |
|--------|-----------------------------------------------------------------------------------|
|   | 32.1 – Section1350 Certification (Certification of President and Director). |

|        |                                                                                                 |
|--------|-------------------------------------------------------------------------------------------------|
|   | 32.2 – Section 1350 Certification(Certification of Chief Financial Officer and Director). |

28

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Supplemental Information To Be FurnishedWith Reports Filed Pursuant To Section 15(d) Of The Act by RegistrantsWhich Have Not Registered Securities Pursuant To Section 12 Of theAct.

Annual Report to Limited Partners

No proxy material has been sent to LimitedPartners.

29

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized on the 28th day of March2006.

Salomon Smith Barney Orion Futures FundL.P.

By:    /s/ Citigroup Managed Futures LLC           (General Partner)

By:    /s/David J. Vogel            David J. Vogel, President& Director

Pursuant to the requirements of the SecuritiesExchange Act of 1934, this annual report on Form 10-K has been signedbelow by the following persons on behalf of the Registrant in thecapacities and on the dateindicated.

|                             |  |                       |  |  |  |  |
|-----------------------------|--|-----------------------|--|--|--|--|
| /s/ David J. Vogel          |  | /s/ ShelleyUllman     |
| David J. Vogel              |  | ShelleyUllman         |
| President andDirector       |  | Director              |
| /s/ MaureenO'Toole          |  | /s/ Jennifer Magro    |
| Maureen O'Toole             |  | Jennifer Magro        |
| Director                    |  | Director              |
| /s/ Daniel R. McAuliffe,Jr. |  | /s/ Jerry Pascucci    |
| DanielR. McAuliffe, Jr.     |  | Jerry Pascucci        |
| ChiefFinancial Officerand   |  | Director              |
| Director                    |  |                  |
|                        |  | /s/Ihor Rakowsky      |
|                        |  | IhorRakowsky          |
|                        |  | Secretary andDirector |
|                             |

30

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