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FORM10-Q SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549 (X) QUARTERLY REPORT UNDER SECTION 13 or 15(d) OF THESECURITIES EXCHANGE ACT OF 1934 OR (    ) TRANSITIONREPORT UNDER SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF1934

For the Quarter ended March 31,2006

Commission File Number 0-26132

SMITH BARNEY DIVERSIFIED FUTURES FUNDL.P.

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(Exact nameof registrant as specified in its charter)

|                                                              |  |                                   |  |  |  |  |
|--------------------------------------------------------------|--|-----------------------------------|--|--|--|--|
| NewYork                                                      |  | 13-3729162                        |
| (State or otherjurisdiction ofincorporation or organization) |  | (I.R.S.EmployerIdentificationNo.) |
|                                                              |

c/o CitigroupManaged Futures LLC 731 Lexington Ave - 25th Fl New York, NewYork10022

|  |
|--|
|  |  |
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(Addressand Zip Code of principal executive offices)

(212)599-2011

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|--|
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(Registrant'stelephone number, including area code)

Indicateby check mark whether the registrant (1) has filed all reports requiredto be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period thatthe registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

Yes    X                No          

Indicate by checkmark whether the registrant is a large accelerated filer, anaccelerated filer or a non-accelerated filer. See definition of"accelerated filer and large acceleratedfiler" in rule 12b-2 of the Exchange Act (check one):

Large accelerated filer                       Accelerated filer                       Non-Accelerated filer   X   

Indicate by check markwhether the registrant is a shell company (as defined in rule 12b-2 ofthe Exchange Act).

Yes                       No   X   

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SMITH BARNEY DIVERSIFIEDFUTURES FUND L.P.FORM 10-QINDEX

|                                      |  |                                                                                                                      |  |                         |  |  |  |  |  |  |
|--------------------------------------|--|----------------------------------------------------------------------------------------------------------------------|--|-------------------------|--|--|--|--|--|--|
|                                 |  |                                                                                                                 |  | PageNumber              |
| PARTI – Financial Information: |  |                                                                                                                 |
| Item 1.                              |  | FinancialStatements:                                                                                                 |  |                    |
|                                 |  | Statementsof Financial Condition at March 31, 2006 and December 31, 2005(unaudited)                                  |  | 3                       |
|                                 |  | Condensed Schedules of Investments at March 31, 2006and December 31, 2005(unaudited)                                 |  | 4 – 5   |
|                                 |  | Statements of Income and Expenses and Partners'Capital for the three months ended March 31, 2006 and 2005(unaudited) |  | 6                       |
|                                 |  | Statements of CashFlows for the three months ended March  31, 2006 and 2005(unaudited)                               |  | 7                       |
|                                 |  | Notes to FinancialStatements (unaudited)                                                                             |  | 8 – 12  |
| Item2.                               |  | Management's Discussion and Analysis of FinancialCondition and Results ofOperations                                  |  | 13 – 14 |
| Item3.                               |  | Quantitative and Qualitative Disclosures about MarketRisk                                                            |  | 15 – 17 |
| Item4.                               |  | Controls and Procedures                                                                                              |  | 18                      |
| PART II– OtherInformation      |  | 19                                                                                                                   |
|                                      |

2

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PART I

Item 1.Financial Statements

Smith Barney Diversified Futures FundL.P.Statements of FinancialCondition(Unaudited)

|                                                                                                                                        |  |              |            |                 |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------------|------------|-----------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | March31,2006 |            | December31,2005 |
| ASSETS:                                                                                                                                |  |         |       |            |  |   |       |   |
| Investmentin Partnerships, at fairvalue                                                                                                |  | $            | 41,919,889 |            |  | $      | 43,555,768 |   |
| Equityin commodity futures tradingaccount:                                                                                             |  |         |       |            |  |   |       |   |
| Cash (restricted$138,702 and $1,000,127 in 2006 and 2005,respectively)                                                                 |  |         | 15,463,404 |            |  |   | 15,272,733 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |         | 47,119     |            |  |   | —    |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |         | 505,878    |            |  |   | 672,909    |   |
|                                                                                                                                   |  |         | 57,936,290 |            |  |   | 59,501,410 |   |
| Interestreceivable                                                                                                                     |  |         | 45,532     |            |  |   | 36,929     |   |
|                                                                                                                                   |  | $            | 57,981,822 |            |  | $      | 59,538,339 |   |
| LIABILITIESAND PARTNERS'CAPITAL:                                                                                                       |  |         |       |            |  |   |       |   |
| Liabilities:                                                                                                                           |  |         |       |            |  |   |       |   |
| Netunrealized depreciation on open futures positions                                                                                   |  | $            | —    |            |  | $      | 30,126     |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  |         | 537,097    |            |  |   | 445,992    |   |
| Accruedexpenses:                                                                                                                       |  |         |       |            |  |   |       |   |
| Commissions                                                                                                                            |  |         | 263,288    |            |  |   | 275,893    |   |
| Managementfees                                                                                                                         |  |         | 88,727     |            |  |   | 93,168     |   |
| Incentivefees                                                                                                                          |  |         | 38,349     |            |  |   | —    |   |
| Other                                                                                                                                  |  |         | 71,307     |            |  |   | 48,621     |   |
| Redemptionspayable                                                                                                                     |  |         | 617,373    |            |  |   | 635,814    |   |
|                                                                                                                                   |  |         | 1,616,141  |            |  |   | 1,529,614  |   |
|                                                                                                                                   |  |         |       |            |  |   |       |   |
| Partners'Capital:                                                                                                                      |  |         |       |            |  |   |       |   |
| General Partner,1,276.7484 Unit equivalents outstanding in 2006 and2005                                                                |  |         | 2,062,702  |            |  |   | 2,057,289  |   |
| LimitedPartners, 33,611.9540 and 34,723.3527 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |         | 54,302,979 |            |  |   | 55,951,436 |   |
|                                                                                                                                   |  |         | 56,365,681 |            |  |   | 58,008,725 |   |
|                                                                                                                                   |  | $            | 57,981,822 |            |  | $      | 59,538,339 |   |
|                                                                                                                                        |

|  |                                                |
|--|------------------------------------------------|
|  | SeeAccompanying Notes to Financial Statements. |

3

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Smith Barney Diversified Futures FundL.P. Condensed Schedule of Investments March 31,2006(Unaudited)

|                                                  |  |           |            |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
|                                             |  |      |       |                 |  |   |   |     |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |     |
|                                             |  |      |       |                 |  |   |   |     |
| Indices                                          |  | $         | 339        |                 |  |   | 0.00   | %*  |
| Livestock                                        |  |      | (720       | )               |  |   | (0.00) | *   |
| Totalfutures contractspurchased                  |  |      | (381       | )               |  |   | (0.00) | *   |
|                                             |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |     |
|                                             |  |      |       |                 |  |   |   |     |
| InterestRates Non-U.S.                           |  |      | 46,631     |                 |  |   | 0.08   |     |
| InterestRatesU.S.                                |  |      | 869        |                 |  |   | 0.00   | *   |
| Totalfutures contractssold                       |  |      | 47,500     |                 |  |   | 0.08   |     |
|                                             |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
|                                             |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | 412,568    |                 |  |   | 0.73   |     |
| Metals                                           |  |      | 93,310     |                 |  |   | 0.17   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 505,878    |                 |  |   | 0.90   |     |
|                                             |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
|                                             |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | (469,995   | )               |  |   | (0.83  | )   |
| Metals                                           |  |      | (67,102    | )               |  |   | (0.12  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (537,097   | )               |  |   | (0.95  | )   |
|                                             |  |      |       |                 |  |   |   |     |
| InvestmentInPartnerships                         |  |      |       |                 |  |   |   |     |
|                                             |  |      |       |                 |  |   |   |     |
| CMFCampbell Master FundL.P.                      |  |      | 15,462,516 |                 |  |   | 27.43  |     |
| CMFWillowbridge Argo Master FundL.P.             |  |      | 10,884,289 |                 |  |   | 19.31  |     |
| CMF WintonMasterL.P.                             |  |      | 15,573,084 |                 |  |   | 27.63  |     |
| TotalInvestment inPartnerships                   |  |      | 41,919,889 |                 |  |   | 74.37  |     |
|                                             |  |      |       |                 |  |   |   |     |
| Totalfairvalue                                   |  | $         | 41,935,789 |                 |  |   | 74.40  | %   |
|                                                  |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentagesare based on Partners' capital unless otherwiseindicated. |

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

See Accompanying Notes to FinancialStatements.

4

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Smith Barney Diversified Futures FundL.P.Condensed Schedule of InvestmentsDecember 31,2005(Unaudited)

|                                                  |  |           |            |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |     |
| Energy                                           |  | $         | 590        |                 |  |   | 0.00   | %*  |
| Grains                                           |  |      | (987       | )               |  |   | (0.00) | *   |
| InterestRates Non-U.S.                           |  |      | 20,559     |                 |  |   | 0.04   |     |
| InterestRatesU.S.                                |  |      | (6,486     | )               |  |   | (0.01  | )   |
| Indices                                          |  |      | (11,212    | )               |  |   | (0.02  | )   |
| Livestock                                        |  |      | (3,091     | )               |  |   | (0.01  | )   |
| Softs                                            |  |      | 6,630      |                 |  |   | 0.01   |     |
| Totalfutures contractspurchased                  |  |      | 6,003      |                 |  |   | 0.01   |     |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |     |
| Grains                                           |  |      | (4,374     | )               |  |   | (0.01  | )   |
| InterestRates Non-U.S.                           |  |      | 10,122     |                 |  |   | 0.02   |     |
| InterestRatesU.S.                                |  |      | (19,816    | )               |  |   | (0.03  | )   |
| Softs                                            |  |      | (22,061    | )               |  |   | (0.04  | )   |
| Totalfutures contractssold                       |  |      | (36,129    | )               |  |   | (0.06  | )   |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | 276,417    |                 |  |   | 0.48   |     |
| Metals                                           |  |      | 396,492    |                 |  |   | 0.68   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 672,909    |                 |  |   | 1.16   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | (192,507   | )               |  |   | (0.33  | )   |
| Metals                                           |  |      | (253,485   | )               |  |   | (0.44  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (445,992   | )               |  |   | (0.77  | )   |
| Investmentin Partnerships                        |  |      |       |                 |  |   |   |     |
| CMF CampbellMaster FundL.P.                      |  |      | 15,349,869 |                 |  |   | 26.46  |     |
| CMFWillowbridge Argo Master FundL.P.             |  |      | 12,573,482 |                 |  |   | 21.67  |     |
| CMF WintonMasterL.P.                             |  |      | 15,632,417 |                 |  |   | 26.95  |     |
| TotalInvestments inPartnerships                  |  |      | 43,555,768 |                 |  |   | 75.08  |     |
| Totalfair value                                  |  | $         | 43,752,559 |                 |  |   | 75.42  | %   |
|                                                  |

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

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

SeeAccompanying Notes to FinancialStatements.

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Smith BarneyDiversified Futures Fund L.P. Statements of Income and Expensesand Partners'Captial(Unaudited)

|                                                                                                                                     |  |                           |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                |  | ThreeMonths EndedMarch31, |
|                                                                                                                                |  | 2006                      |            | 2005    |
| Income:                                                                                                                             |  |                      |       |    |  |   |       |    |
| Net gains (losses) on trading of commodityinterests:                                                                                |  |                      |       |    |  |   |       |    |
| Realized gains(losses) on closed positions                                                                                          |  | $                         | 672,272    |    |  | $      | (2,458,639 | )  |
| Change in unrealized gains(losses) on open positions and investment inPartnerships                                                  |  |                      | 462,604    |    |  |   | (295,213   | )  |
|                                                                                                                                |  |                      | 1,134,876  |    |  |   | (2,753,852 | )  |
| Interest income                                                                                                                     |  |                      | 125,292    |    |  |   | 139,149    |    |
|                                                                                                                                |  |                      | 1,260,168  |    |  |   | (2,614,703 | )  |
| Expenses:                                                                                                                           |  |                      |       |    |  |   |       |    |
| Brokeragecommissions including clearing fees of $8,133 and $11,724respectively                                                      |  |                      | 800,996    |    |  |   | 899,204    |    |
| Management fees                                                                                                                     |  |                      | 265,910    |    |  |   | 298,382    |    |
| Incentivefees                                                                                                                       |  |                      | 38,349     |    |  |   | 153,674    |    |
| Otherexpenses                                                                                                                       |  |                      | 22,688     |    |  |   | 20,302     |    |
|                                                                                                                                |  |                      | 1,127,943  |    |  |   | 1,371,562  |    |
| Net income(loss)                                                                                                                    |  |                      | 132,225    |    |  |   | (3,986,265 | )  |
| Redemptions—LimitedPartners                                                                                                   |  |                      | (1,775,269 | )  |  |   | (1,276,726 | )  |
| Net decrease in Partners'capital                                                                                                    |  |                      | (1,634,044 | )  |  |   | (5,262,991 | )  |
| Partners' capital, beginning ofperiod                                                                                               |  |                      | 58,008,725 |    |  |   | 69,230,858 |    |
| Partners' capital, end ofperiod                                                                                                     |  | $                         | 56,365,681 |    |  | $      | 63,967,867 |    |
| Net asset value per Redeemable Unit(34,888.7024 and 38,861.4850 Redeemble Units outstanding at March 31,2006 and 2005,respectively) |  | $                         | 1,615.59   |    |  | $      | 1,646.05   |    |
| Net income (loss) per Redeemable Unitof Limited Partnership Interest and General Partner Unitequivalent                             |  | $                         | 4.24       |    |  | $      | (100.31    | )  |
|                                                                                                                                     |

See Accompanying Notesto Financial Statements.

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Smith Barney Diversified Futures FundL.P. Statements of CashFlows(Unaudited)

|                                                                                                  |  |                           |            |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  | 2006                      |            | 2005    |
| Cashflows from operating activities:                                                             |  |                      |       |    |  |   |        |    |
| Net gain(loss)                                                                                   |  | $                         | 132,225    |    |  | $      | (3,986,265  | )  |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |                      |       |    |  |   |        |    |
| Changes inoperating assets and liabilities:                                                      |  |                      |       |    |  |   |        |    |
| Purchase ofInvestment inPartnerships                                                             |  |                      | —    |    |  |   | (19,428,630 | )  |
| Proceedsfrom sale of Investment inPartnerships                                                   |  |                      | 1,934,310  |    |  |   | 948,243     |    |
| Netunrealized (appreciation) depreciation on Investment inPartnerhips                            |  |                      | (298,431   | )  |  |   | (513,692    | )  |
| (Increase) decrease in restrictedcash                                                            |  |                      | 861,425    |    |  |   | 2,548,276   |    |
| (Increase) decrease in net unrealized appreciation onopen futures positions                      |  |                      | (47,119    | )  |  |   | 546,241     |    |
| (Increase)decrease in unrealized appreciation on open forward contracts                          |  |                      | 167,031    |    |  |   | 1,860,501   |    |
| (Increase)decrease in interest     receivable                                |  |                      | (8,603     | )  |  |   | 16,210      |    |
| Increase(decrease) in net unrealized depreciation on open futurespositions                       |  |                      | (30,126    | )  |  |   | —     |    |
| Increase(decrease) in unrealized depreciation on open forward contracts                          |  |                      | 91,105     |    |  |   | (1,440,654  | )  |
| Accruedexpenses:                                                                                 |  |                      |       |    |  |   |        |    |
| Increase (decrease) in commissions                                                               |  |                      | (12,605    | )  |  |   | (24,999     | )  |
| Increase(decrease) in management fees                                                            |  |                      | (4,441     | )  |  |   | (9,402      | )  |
| Increase(decrease) in incentive fees                                                             |  |                      | 38,349     |    |  |   | 74,748      |    |
| Increase(decrease) in other                                                                      |  |                      | 22,686     |    |  |   | 20,303      |    |
| Netcash provided by (used in)     operating activities                       |  |                      | 2,845,806  |    |  |   | (19,389,120 | )  |
| Cashflows from financing activities:                                                             |  |                      |       |    |  |   |        |    |
| Payments forredemptions—Limted Partners                                                    |  |                      | (1,793,710 | )  |  |   | (1,619,413  | )  |
| Netcash provided by (used in)     financing activities                       |  |                      | (1,793,710 | )  |  |   | (1,619,413  | )  |
| Netchange in cash                                                                                |  |                      | 1,052,096  |    |  |   | (21,008,533 | )  |
| Unrestrictedcash, at beginning of period                                                         |  |                      | 14,272,606 |    |  |   | 44,562,288  |    |
| Unrestrictedcash, at end of period                                                               |  | $                         | 15,324,702 |    |  | $      | 23,553,755  |    |
| Non-CashFinancing Activities:                                                                    |  |                      |       |    |  |   |        |    |
| Contributions of opencommodity futures and forwardpositions                                      |  |                      | —    |    |  | $      | (192,512    | )  |
|                                                                                                  |

See Accompanying Notes to FinancialStatements.

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SmithBarney Diversified Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

1.    General:

Smith Barney Diversified Futures Fund L.P. (the"Partnership") is a limited partnershiporganized under the laws of the State of New York on August 13, 1993 toengage in the speculative trading of a diversified portfolio ofcommodity interests including futures contracts, options and forwardcontracts. The commodity interests that are traded by the Partnershipare volatile and involve a high degree of market risk. The Partnershipcommenced trading operations on January 12, 1994.

CitigroupManaged Futures LLC acts as the general partner (the"General Partner") of the Partnership. 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"). As of March 31, 2006, alltrading decisions are made for the Partnership by Campbell &Company, Inc. ("Campbell"), WillowbridgeAssociates, Inc. ("Willowbridge"), WintonCapital Management Limited ("Winton") andGraham Capital Management L.P. ("Graham")(each an "Advisor" and collectively, the"Advisors").

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at March 31, 2006 and December31, 2005 and the results of its operations and cash flows for the threemonths ended March 31, 2006 and 2005. These financial statementspresent the results of interim periods and do not include alldisclosures normally provided in annual financial statements. Youshould read these financial statements together with the financialstatements and notes included in the Partnership's annual reporton Form 10-K filed with the Securities and Exchange Commission for theyear ended December 31, 2005.

Due to the nature of commoditytrading, the results of operations for the interim periods presentedshould not be considered indicative of the results that may be expectedfor the entire year.

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three months ended March 31, 2006 and 2005were asfollows:

|                                                        |  |                           |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedMarch31, |
|                                                   |  | 2006                      |          | 2005    |
| Netrealized and unrealized gains(losses)*              |  | $                         | 9.91     |    |  | $      | (91.85   | )  |
| Interestincome                                         |  |                      | 3.52     |    |  |   | 3.53     |    |
| Expenses**                                             |  |                      | (9.19    | )  |  |   | (11.99   | )  |
| Increase(decrease) for the period                      |  |                      | 4.24     |    |  |   | (100.31  | )  |
| Net Asset Value perRedeemable Unit, beginning ofperiod |  |                      | 1,611.35 |    |  |   | 1,746.36 |    |
| NetAsset Value per Redeemable Unit, end ofperiod       |  | $                         | 1,615.59 |    |  | $      | 1,646.05 |    |
|                                                        |

|   |                                |
|---|--------------------------------|
| * | Includesbrokerage commissions. |

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

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SmithBarney Diversified Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

Financial Highlights(continued):

|                                              |  |                           |        |              |  |        |        |          |  |  |
|----------------------------------------------|--|---------------------------|--------|--------------|--|--------|--------|----------|--|--|
|                                         |  | ThreeMonths EndedMarch31, |
|                                         |  | 2006                      |        | 2005         |
| Ratioto average net assets: ***              |  |                      |   |         |  |   |   |     |
| Netinvestment loss before incentive fees**** |  |                      | (6.9   | )%      |  |   | (6.7   | )%  |
| Operatingexpenses                            |  |                      | 7.8    | %       |  |   | 7.6    | %   |
| Incentivefees                                |  |                      | 0.1    | %       |  |   | 0.2    | %   |
| Totalexpenses                                |  |                      | 7.9    | %       |  |   | 7.8    | %   |
| Totalreturn:                                 |  |                      |   |         |  |   |   |     |
| Total return before incentivefees            |  |                      | 0.3    | %       |  |   | (5.5   | )%  |
| Incentivefees                                |  |                      | (0.0)  | %*****  |  |   | (0.2   | )%  |
| Totalreturn after incentivefees              |  |                      | 0.3    | %       |  |   | (5.7   | )%  |
|                                              |

|     |                                        |
|-----|----------------------------------------|
| *** | Annualized(other than incentive fees). |

|      |                                                                  |
|------|------------------------------------------------------------------|
| **** | Interest income less total expenses(exclusive of incentivefees). |

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

The above ratios may vary for individualinvestors based on the timing of capital transactions during theperiod. Additionally, these ratios are calculated for the LimitedPartner class using the Limited Partners' share of income,expenses and average net assets.

3.    TradingActivities:

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity instruments.The results of the Partnership's trading activities are shown inthe Statements of Income and Expenses and Partners' Capital andare discussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses on open futurespositions.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair values ofthese interests during the three and twelve months ended March 31, 2006and December 31, 2005, based on a monthly calculation, were $84,431 and$557,700, respectively. The fair values of these commodity interests,including options thereon, if applicable, at March 31, 2006 andDecember 31, 2005, were $15,900 and $196,791, respectively. Fair valuesfor exchange traded commodity futures and options are based on quotedmarket prices for those futures and options. Fair values for all otherfinancial instruments for which market quotations are not readilyavailable are based on calculations approved by the GeneralPartner.

4.    Investment in Partnerships:

Effective November 1, 2004, the Partnership allocated capital fortrading to the CMF Winton Master L.P., a limited partnership organizedunder the partnership laws of New York State (the "WintonMaster"). The partnership purchased 15,054.1946 Units ofthe Winton Master with cash equal to $14,251,586, and a contribution ofopen commodity futures and forward positions with a fair value of$802,609. The Winton Master was formed in order to permit commoditypools managed now or in the future by Winton, to invest together in onetrading vehicle. The General Partner is the general partner of

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SmithBarney Diversified Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

the Winton Master. Individual and pooledaccounts currently managed by Winton, including the Partnership, arepermitted to be a limited partner 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 the investment in the Winton Master areapproximately the same and redemption rights are not affected.

Effective January 1, 2005, the assets allocated to Campbellfor trading were invested in the CMF Campbell Master Fund L.P.("Campbell Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 19,621.1422 Units of Campbell Master with cashequal to $19,428,630, and a contribution of open commodity futures andforward positions with a fair value of $192,512. Campbell Master wasformed in order to permit commodity pools managed now or in the futureusing Campbell's Financials Metals and Energy("FME") Portfolio, to invest together in onetrading vehicle. The General Partner is the general partner of CampbellMaster. Individual and pooled accounts currently managed by Campbell,including the Partnership, are permitted to be a limited partner ofCampbell Master. The General Partner and Campbell believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of the investment inCampbell Master are approximately the same and redemption rights arenot affected.

Effective July  1, 2005, the assetsallocated to Willowbridge for trading were invested in the CMFWillowbridge Argo Master Fund L.P. ("WillowbridgeMaster"), a limited partnership organized under thepartnership laws of the State of New York. The partnership purchased12,259.3490 Units of Willowbridge Master with cash equal to$11,118,119, and a contribution of open commodity futures and forwardpositions with a fair value of $1,141,230. Willowbridge Master wasformed in order to permit commodity pools managed now or in the futureby using Willowbridge's Argo Trading Program, to invest togetherin one trading vehicle. The General Partner is the general partner ofWillowbridge Master. Individual and pooled accounts currently managedby Willowbridge, including the Partnership, are permitted to be alimited partner of Willowbridge Master. The General Partner andWillowbridge believe that trading through this structure should promoteefficiency and economy in the trading process. Expenses to investors asa result of the investment in Willowbridge Master are approximately thesame and redemption rights are not affected.

The WintonMaster's, Campbell Master's and Willowbridge Master's(the "Funds") trading of futures, forwardsand options contracts, if applicable, on commodities is done primarilyon United States of America commodity exchanges and foreign commodityexchanges. The Funds all engage in such trading through commoditybrokerage accounts maintained with CGM.

A limitedpartner may withdraw all or part of its capital contribution andundistributed profits, if any, from the 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 GeneralPartner at least 3 days in advance of month-end.

Management and incentive fees are not directly charged tothe Funds. These fees are charged at the Partnership level. Allexchange, clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Funds. All other fees, includingCGM's direct brokerage commission, are charged at the Partnershiplevel.

As of March 31, 2006 the partnership owns4.3%, 7.2% and 6.9%, respectively of CampbellMaster, Willowbridge Master and Winton Master. At December 31, 2005 thePartnership owns 4.7%, 7.4% and 8.7%, respectivelyof Campbell Master, Willowbridge Master and Winton Master. It isWinton's, Campbell's and Willowbridge's intention tocontinue to invest the assets allocated to each by the Partnership inthe Winton Master, Campbell Master and Willowbridge Master. Theperformance of the Partnership is directly affected by the performanceof the Funds.

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SmithBarney Diversified Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

Summarized information reflecting thetotal assets, liabilities and capital for the Funds is shown in thefollowingtables.

|                    |  |                          |             |                                |  |                            |            |        |  |        |             |        |  |  |
|--------------------|--|--------------------------|-------------|--------------------------------|--|----------------------------|------------|--------|--|--------|-------------|--------|--|--|
|               |  | March31, 2006            |
|               |  | Investments' TotalAssets |             | Investments' Total Liabilities |  | Investments' Total Capital |
| CampbellMaster     |  | $                        | 366,902,874 |                           |  | $                          | 11,193,593 |   |  | $      | 355,709,281 |   |
| WillowbridgeMaster |  |                     | 150,673,236 |                           |  |                       | 473,479    |   |  |   | 150,199,757 |   |
| WintonMaster       |  |                     | 227,769,911 |                           |  |                       | 1,119,396  |   |  |   | 226,650,515 |   |
| Total              |  | $                        | 745,346,021 |                           |  | $                          | 12,786,468 |   |  | $      | 732,559,553 |   |
|                    |

|                    |  |                          |             |                                |  |                            |            |        |  |        |             |        |  |  |
|--------------------|--|--------------------------|-------------|--------------------------------|--|----------------------------|------------|--------|--|--------|-------------|--------|--|--|
|               |  | December31, 2005         |
|               |  | Investments' TotalAssets |             | Investments' Total Liabilities |  | Investments' Total Capital |
| CampbellMaster     |  | $                        | 347,366,314 |                           |  | $                          | 20,975,541 |   |  | $      | 326,390,773 |   |
| WillowbridgeMaster |  |                     | 170,157,028 |                           |  |                       | 474,977    |   |  |   | 169,682,051 |   |
| WintonMaster       |  |                     | 182,130,723 |                           |  |                       | 3,524,134  |   |  |   | 178,606,589 |   |
| Total              |  | $                        | 699,654,065 |                           |  | $                          | 24,974,652 |   |  | $      | 674,679,413 |   |
|                    |

Summarized information reflecting thePartnership's investment in, and the operations of the Funds isshown in the following tables.

|                    |             |                              |        |                                          |       |              |            |          |  |                  |            |                     |  |                      |        |        |  |        |       |        |  |        |            |         |  |                    |  |        |         |        |  |  |  |  |
|--------------------|-------------|------------------------------|--------|------------------------------------------|-------|--------------|------------|----------|--|------------------|------------|---------------------|--|----------------------|--------|--------|--|--------|-------|--------|--|--------|------------|---------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |             | March31, 2006                |        | For the three months ended March 31,2006 |       |         |            |     |
| Investment         |             | %of Partnership's Net Assets |        | FairValue                                |       | Income(loss) |            | Expenses |  | Net Income(Loss) |            | InvestmentObjective |  | RedemptionsPermitted |
|               | Commissions |                         |        |                                     | Other |         |
| Campbell Master    |             |                         | 27.43  | %                                   |       | $            | 15,462,516 |     |  | $                | 1,021,217  |                |  | $                    | 4,113  |   |  | $      | 270   |   |  | $      | 1,016,834  |    |  | CommodityPortfolio |  |   | Monthly |   |
| WillowbridgeMaster |             |                         | 19.31  | %                                   |       |         | 10,884,289 |     |  |             | (1,204,129 | )              |  |                 | 11,347 |   |  |   | 613   |   |  |   | (1,216,089 | )  |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |             |                         | 27.63  | %                                   |       |         | 15,573,084 |     |  |             | 866,096    |                |  |                 | 23,220 |   |  |   | 125   |   |  |   | 842,751    |    |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |             |                         |   |                                     |       | $            | 41,919,889 |     |  | $                | 683,184    |                |  | $                    | 38,680 |   |  | $      | 1,008 |   |  | $      | 643,496    |    |  |               |  |   |    |   |
|                    |

|                    |             |                              |        |                                          |       |              |            |          |  |                  |           |                     |  |                      |         |        |  |        |         |        |  |        |           |         |  |                    |  |        |         |        |  |  |  |  |
|--------------------|-------------|------------------------------|--------|------------------------------------------|-------|--------------|------------|----------|--|------------------|-----------|---------------------|--|----------------------|---------|--------|--|--------|---------|--------|--|--------|-----------|---------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |             | December31, 2005             |        | For the three months ended March 31,2005 |       |         |            |     |
| Investment         |             | %of Partnership's Net Assets |        | FairValue                                |       | Income(loss) |            | Expenses |  | Net Income(Loss) |           | InvestmentObjective |  | RedemptionsPermitted |
|               | Commissions |                         |        |                                     | Other |         |
| CampbellMaster     |             |                         | 26.46  | %                                   |       |         | 15,349,869 |     |  | $                | (629,673  | )              |  | $                    | 8,548   |   |  | $      | 897     |   |  | $      | (639,118  | )  |  | CommodityPortfolio |  |   | Monthly |   |
| WillowbridgeMaster |             |                         | 21.67  | %                                   |       |         | 12,573,482 |     |  |             | —   |                |  |                 | — |   |  |   | — |   |  |   | —   |    |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |             |                         | 26.95  | %                                   |       |         | 15,632,417 |     |  |             | 1,146,181 |                |  |                 | 26,680  |   |  |   | 2,020   |   |  |   | 1,117,481 |    |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |             |                         |   |                                     |       | $            | 43,555,768 |     |  | $                | 516,508   |                |  | $                    | 35,228  |   |  | $      | 2,917   |   |  | $      | 478,363   |    |  |               |  |   |    |   |
|                    |

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SmithBarney Diversified Futures Fund L.P.Notes to FinancialStatementsMarch 31, 2006(Unaudited)

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership and Funds areparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures and options,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange-tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards 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/Funds 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. ThePartnership's/Funds' risk of loss in the event ofcounterparty default is typically limited to the amounts recognized asunrealized appreciation in the statements of financial condition andnot represented by the contract or notional amounts of the instruments.The Partnership/Funds have credit risk and concentration risk becausethe sole counterparty or broker with respect to thePartnership's/Funds' assets is CGM.

The GeneralPartner monitors and controls the Partnership's/Funds' 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/Funds are subject. These monitoring systems allowthe General Partner to statistically analyze actual trading resultswith risk-adjusted performance indicators and correlation statistics.In addition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of March 31, 2006.However, due to the nature of the Partnership's/Funds'businesses, these instruments may not be held tomaturity.

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity and CapitalResources

The Partnership does not engage in the sale ofgoods or services. Its only assets are its equity in its commodityfutures trading account, consisting of cash, investments in otherpartnerships, net unrealized appreciation on open futures and forwardcontracts and interest receivable. Because of the low margin depositsnormally required in commodity futures trading, relatively small pricemovements may result in substantial losses to the Partnership. Whilesubstantial losses could lead to a decrease in liquidity, no suchlosses occurred during the first quarter of 2006.

ThePartnership's capital consists of the capital contributions ofthe partners as increased or decreased by realized and/or unrealizedgains or losses on commodity futures trading, expenses, interestincome, additions and redemptions of Redeemable Units and distributionsof profits, if any.

For the three months ended March 31, 2006,Partnership capital decreased 2.8% from $58,008,725 to$56,365,681. This decrease was attributable to the redemption of1,111.3987 Redeemable Units totaling $1,775,269, which was partiallyoffset by a net income from operations of $132,225. Persons investing$1,000,000 or more will pay a reduced brokerage fee, receiving thedifferential in the form of additional Redeemable Units. Futureredemptions can impact the amount of funds available for investment incommodity contract positions in subsequent periods.

Critical Accounting Policies

The preparationof financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires managementto make estimates and assumptions that affect the reported amounts ofassets and liabilities, disclosures of contingent assets andliabilities at the date of the financial statements and reportedamounts of revenues and expenses during the reporting period. Actualresults could differ from these estimates.

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 statements of financial condition at fair value on the lastbusiness day of the period, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theGeneral Partner for those commodity interests and foreign currenciesfor which market quotations are not readily available. Investments incommodity interests denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing on the last businessday of the period. Realized gains (losses) and changes in unrealizedvalues 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. The investment in otherPartnerships are recorded at fair value, based upon thePartnership's proportionate interest held.

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 dateof 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 statements of income andexpenses and partners' capital.

Results ofOperations

During the Partnership's first quarter of2006 the net asset value per Redeemable unit increased 0.3% from$1,611.35 to $1,615.59 as compared to a decrease of 5.7% in thefirst quarter of 2005. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the first quarter of2006 of $1,134,876. Gains were primarily attributable to the trading ofcommodity futures in U.S. and non-U.S. 

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interest rates, metals and indices partiallyoffset by losses in currencies, energy, grains, livestock, lumber andsofts. The Partnership experienced a net trading loss before brokeragecommissions and related fees in the first quarter of 2005 of$2,753,852. Losses were primarily attributable to the trading ofcommodity futures in currencies U.S. and non-U.S. interest rates,livestock, metals and indices and were partially offset by gains inenergy, grains and softs.

Commodity futures markets are highlyvolatile. The potential for broad and rapid price fluctuationsincreases the risks involved in commodity trading, but also increasesthe possibility of profit. The profitability of the Partnership dependson the existence of major price trends and the ability of the Advisorsto correctly identify those price trends. Price trends are influencedby, among other things, changing supply and demand relationships,weather, governmental, agricultural, commercial and trade programs andpolicies, national and international political and economic events andchanges in interest rates. To the extent that market trends exist andthe Advisors are able to identify them, the Partnership expects toincrease capital through operations.

Interest income on80% of the Partnership's daily equity maintained in cashwas earned at the monthly average 30-day U.S. Treasury bill ratedetermined weekly by CGM based on the non-competitive yield on threemonth U.S. Treasury bills maturing 30 days from the date in which suchweekly rate is determined. CGM may continue to maintain thePartnership's assets in cash and/or place all of thePartnership's assets in 90-day Treasury bills and pay thePartnership 80% of the interest earned on the Treasury billspurchased. CGM will retain 20% of any interest earned onTreasury bills. Interest income for the three months ended March 31,2006 decreased by $13,857 as compared to the corresponding period in2005. The decrease is due to the Partnership's use of cash tofund additional investments in other partnerships. The interest earnedat the Investment in Partnerships level is included in thePartnership's share of overall net income (loss) of the otherpartnerships.

Brokerage commissions are calculated on thePartnership's net asset value as of the last day of each monthand are affected by trading performance and redemptions. Accordingly,they must be compared in relation to the fluctuations in monthly netasset values. Commissions and fees for the three months ended March 31,2006 decreased by $98,208 as compared to the corresponding period in2005. The decrease in brokerage commissions is due to lower average netassets during the three months ended March 31, 2006 as compared to thecorresponding period in 2005.

Management fees are calculated onthe portion of the Partnership's net asset value allocated toeach Advisor at the end of the month and, therefore, are affected bytrading performance and redemptions. Management fees for the threemonths ended March 31, 2006 decreased by $32,472 as compared to thecorresponding period in 2005. The decrease in management fees is due tolower average net assets during the three months ended March 31, 2006as compared to the corresponding period in 2005.

Incentive feesare based on the new trading profits generated by each Advisor at theend of the quarter as defined in the advisory agreements between thePartnership, the General Partner and each Advisor. Trading performancefor the three months ended March 31, 2006 and 2005, resulted inincentive fees of $38,349 and $153,674, respectively.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

The Partnership is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Partnership's assets are subject to the risk of tradingloss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

Market movements result in frequentchanges in the fair value of the Partnership's open positionsand, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the value of financial instruments andcontracts, the diversification effects among the Partnership'sopen positions and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership's past performance is notnecessarily indicative of its future results.

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherentuncertainty of the Partnership's speculative trading and therecurrence in the markets traded by the Partnership of market movementsfar exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or thePartnership's experience to date (i.e., "risk ofruin"). In light of the foregoing as well as the risks anduncertainties intrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Partnership's losses inany market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk. 

Exchangemaintenance margin requirements have been used by the Partnership asthe measure of its Value at Risk. Maintenance margin requirements areset by exchanges to equal or exceed the maximum losses reasonablyexpected to be incurred in the fair value of any given contract in95%-99% of any one-day interval. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component, which is notrelevant to Value at Risk.

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The following table indicates the tradingValue at Risk associated with the Partnership's open positions bymarket category as of March 31, 2006 and the highest, lowest andaverage value during the three months ended March 31, 2006. All openposition trading risk exposures of the Partnership have been includedin calculating the figures set forth below. There has been no materialchange in the trading Value at Risk information previously disclosed inthe Partnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

As of March 31, 2006, the Partnership'stotal capitalization was $56,365,681.

March 31, 2006(Unaudited)

|                             |  |                                       |         |                         |  |                                 |        |                  |  |                      |           |        |  |        |         |        |  |        |         |        |  |  |
|-----------------------------|--|---------------------------------------|---------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|---------|--------|--|--|
|                        |  |                                  |         |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector                |  | Value at Risk                         |         | % ofTotalCapitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:                 |  |                                  |    |                    |  |                            |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
|     OTC |  |       $ | 4,874   |                    |  |                            | 0.01   | %           |  | $                    | 1,273,368 |   |  | $      | 4,874   |   |  | $      | 177,838 |   |
| Indices                     |  |                                  | 29,044  |                    |  |                            | 0.05   | %           |  |                 | 1,734,749 |   |  |   | 29,044  |   |  |   | 395,924 |   |
| Interest RatesNon-U.S.      |  |                                  | 79,205  |                    |  |                            | 0.14   | %           |  |                 | 805,502   |   |  |   | 58,379  |   |  |   | 103,085 |   |
| Interest RatesU.S.          |  |                                  | 3,700   |                    |  |                            | 0.01   | %           |  |                 | 331,284   |   |  |   | 3,700   |   |  |   | 59,141  |   |
| Livestock                   |  |                                  | 2,100   |                    |  |                            | 0.00   | %**         |  |                 | 57,500    |   |  |   | — |   |  |   | 700     |   |
| Metals                      |  |                                  |    |                    |  |                            |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
|     OTC |  |                                  | 2,350   |                    |  |                            | 0.01   | %           |  |                 | 362,805   |   |  |   | 2,350   |   |  |   | 4,575   |   |
| Total                       |  | $                                     | 121,273 |                    |  |                            | 0.22   | %           |  |                 |      |   |  |   |    |   |  |   |    |   |
|                             |

|   |                                     |
|---|-------------------------------------|
| * | Averageof month-end Values at Risk. |

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

As of March 31, 2006, Campbell Master'stotal capitalization was $355,709,281. The Partnership owns 4.3%of Campbell Master.

March 31, 2006(Unaudited)

|                                  |  |               |            |                         |  |                                 |        |                  |  |                      |            |        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------|--|---------------|------------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                             |  |          |            |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector                     |  | Value at Risk |            | % ofTotalCapitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:                      |  |          |       |                    |  |                            |   |             |  |                 |       |   |  |   |       |   |  |   |       |   |
|     OTC      |  | $             | 15,855,407 |                    |  |                            | 4.46   | %           |  | $                    | 16,627,009 |   |  | $      | 10,760,009 |   |  |   | 15,259,326 |   |
| Energy                           |  |          | 3,433,700  |                    |  |                            | 0.97   | %           |  |                 | 6,696,300  |   |  |   | 1,155,082  |   |  |   | 4,482,200  |   |
| Indices                          |  |          | 6,703,725  |                    |  |                            | 1.88   | %           |  |                 | 14,411,622 |   |  |   | 6,163,466  |   |  |   | 9,331,036  |   |
| InterestRatesNon-U.S.            |  |          | 2,941,882  |                    |  |                            | 0.83   | %           |  |                 | 6,533,524  |   |  |   | 2,496,984  |   |  |   | 3,086,782  |   |
| InterestRatesU.S.                |  |          | 3,039,000  |                    |  |                            | 0.85   | %           |  |                 | 3,892,620  |   |  |   | 786,310    |   |  |   | 2,798,983  |   |
| Metals                           |  |          |       |                    |  |                            |   |             |  |                 |       |   |  |   |       |   |  |   |       |   |
|     Exchange |  |          | 192,500    |                    |  |                            | 0.05   | %           |  |                 | 2,850,700  |   |  |   | 51,000     |   |  |   | 143,500    |   |
|     OTC      |  |          | 553,550    |                    |  |                            | 0.16   | %           |  |                 | 822,970    |   |  |   | 279,433    |   |  |   | 556,950    |   |
| Total                            |  | $             | 32,719,764 |                    |  |                            | 9.20   | %           |  |                 |       |   |  |   |       |   |  |   |       |   |
|                                  |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at risk |

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As of March 31, 2006, Willowbridge ArgoMaster's total capitalization was $150,199,757. The Partnershipowns 7.2% of Willowbridge Argo Master.

March 31, 2006(Unaudited)

|                                  |  |               |            |                         |  |                                 |        |                  |  |                       |           |        |  |        |           |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|------------|-------------------------|--|---------------------------------|--------|------------------|--|-----------------------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                             |  |          |            |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector                     |  | Value at Risk |            | % ofTotalCapitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue at Risk* |
| Currencies:                      |  |          |       |                    |  |                            |   |             |  |                  |      |   |  |   |      |   |  |   |      |   |
|     Exchange |  | $             | 1,435,000  |                    |  |                            | 0.95   | %           |  | $                     | 9,129,000 |   |  | $      | 31,341    |   |  | $      | 3,756,000 |   |
| Energy                           |  |          | 1,137,500  |                    |  |                            | 0.76   | %           |  |                  | 8,624,000 |   |  |   | 1,137,500 |   |  |   | 4,757,433 |   |
| Grains                           |  |          | 822,500    |                    |  |                            | 0.55   | %           |  |                  | 1,619,200 |   |  |   | 176,000   |   |  |   | 873,567   |   |
| InterestRates Non-U.S.           |  |          | 7,829,628  |                    |  |                            | 5.21   | %           |  |                  | 7,829,628 |   |  |   | 1,287,932 |   |  |   | 3,691,616 |   |
| InterestRatesU.S.                |  |          | 3,465,000  |                    |  |                            | 2.31   | %           |  |                  | 3,465,000 |   |  |   | 250,600   |   |  |   | 1,801,733 |   |
| Metals                           |  |          |       |                    |  |                            |   |             |  |                  |      |   |  |   |      |   |  |   |      |   |
|     Exchange |  |          | 2,100,000  |                    |  |                            | 1.40   | %           |  |                  | 3,222,000 |   |  |   | 787,500   |   |  |   | 2,302,000 |   |
| Softs                            |  |          | 560,000    |                    |  |                            | 0.37   | %           |  |                  | 1,432,000 |   |  |   | 385,000   |   |  |   | 664,000   |   |
| Total                            |  | $             | 17,349,628 |                    |  |                            | 11.55  | %           |  |                  |      |   |  |   |      |   |  |   |      |   |
|                                  |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at risk |

As of March 31, 2006, WintonMaster's total capitalization was $226,650,515. The Partnershipowns 6.9% of Winton Master.

March 31, 2006(Unaudited)

|                                  |  |               |            |                          |  |                                 |        |                  |  |                      |            |        |  |        |           |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|------------|--------------------------|--|---------------------------------|--------|------------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                             |  |          |            |                     |  | ThreeMonths Ended March 31,2006 |
| MarketSector                     |  | Value at Risk |            | % ofTotal Capitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies                       |  |          |       |                     |  |                            |   |             |  |                 |       |   |  |   |      |   |  |   |      |   |
|     Exchange |  | $             | 2,226,384  |                     |  |                            | 0.98   | %           |  | $                    | 4,857,646  |   |  | $      | 1,539,516 |   |  | $      | 3,439,961 |   |
| Energy                           |  |          | 1,587,650  |                     |  |                            | 0.70   | %           |  |                 | 3,860,300  |   |  |   | 329,912   |   |  |   | 1,066,950 |   |
| Grains                           |  |          | 139,754    |                     |  |                            | 0.06   | %           |  |                 | 1,167,837  |   |  |   | 104,145   |   |  |   | 286,904   |   |
| Indices                          |  |          | 8,903,457  |                     |  |                            | 3.93   | %           |  |                 | 12,111,237 |   |  |   | 2,827,591 |   |  |   | 8,101,596 |   |
| InterestRatesNon-U.S.            |  |          | 6,137,431  |                     |  |                            | 2.71   | %           |  |                 | 10,080,717 |   |  |   | 3,425,384 |   |  |   | 5,312,835 |   |
| InterestRatesU.S.                |  |          | 4,300,400  |                     |  |                            | 1.90   | %           |  |                 | 11,203,400 |   |  |   | 411,608   |   |  |   | 6,720,150 |   |
| Livestock                        |  |          | 190,600    |                     |  |                            | 0.08   | %           |  |                 | 414,000    |   |  |   | 33,735    |   |  |   | 194,847   |   |
| Metals                           |  |          |       |                     |  |                            |   |             |  |                 |       |   |  |   |      |   |  |   |      |   |
|     Exchange |  |          | 486,700    |                     |  |                            | 0.21   | %           |  |                 | 1,309,150  |   |  |   | 369,000   |   |  |   | 826,650   |   |
|     OTC      |  |          | 695,834    |                     |  |                            | 0.31   | %           |  |                 | 1,818,927  |   |  |   | 618,696   |   |  |   | 890,742   |   |
| Softs                            |  |          | 362,939    |                     |  |                            | 0.16   | %           |  |                 | 532,269    |   |  |   | 141,201   |   |  |   | 263,011   |   |
| Lumber                           |  |          | 1,100      |                     |  |                            | 0.00   | %**         |  |                 | 1,100      |   |  |   | 1,100     |   |  |   | 1,100     |   |
| Total                            |  | $             | 25,032,249 |                     |  |                            | 11.04  | %           |  |                 |       |   |  |   |      |   |  |   |      |   |
|                                  |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at risk |

|    |                |
|----|----------------|
| ** | Due toRounding |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures (as defined inRules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to thePartnership as of the end of the period covered by the report, and,based on this evaluation, has concluded that these disclosure controlsand procedures are effective. Additionally, there were no significantchanges in the Partnership's internal controls or in otherfactors that could significantly affect these controls during theregistrant's last fiscal quarter, including any correctiveactions with regard to significant deficiencies and materialweaknesses.

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PART II.    OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Part I, Item 3 "Legal Proceedings" inthe Partnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

WorldCom, Inc.

In March 2006, theclass action settlement in IN RE WORLDCOM, INC. SECURITIES LITIGATIONbecame final, and the settlement amount was paid pursuant to the termsof the settlement agreement.

Research

On March 29,2006, the court preliminarily approved Citigroup's settlement ofIN RE SALOMON ANALYST AT&T LITIGATION. A final hearing on thesettlement is scheduled for August 11, 2006.

IPO AntitrustLitigation

The underwriter defendants' motion in theSecond Circuit to stay the issuance of the mandate remanding the casesto the district court pending the filing of a petition for writ ofcertiorari to the United States Supreme Court was granted on March 9,2006, after the writ of certiorari was filed on March 8, 2006.

Item 1A. Risk Factors

There are no material changes fromthe risk factors set forth under Part I, Item 1A. "RiskFactors" in our Annual Report on Form 10-K for the fiscalyear ended December 31, 2005.

Item 2.    Unregistered Sales ofEquity Securities and Use of Proceeds

Additional RedeemableUnits offered represent a reduced brokerage fee to existing limitedpartners who invested $1,000,000 or more.

The following chartsets forth the purchases of Redeemable Units by the Partnership.

|                                           |  |                                   |            |                                |  |                                                                               |          |                                                                                                         |  |     |  |     |  |  |  |  |  |  |
|-------------------------------------------|--|-----------------------------------|------------|--------------------------------|--|-------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------|--|-----|--|-----|--|--|--|--|--|--|
| Period                                    |  | (a)TotalNumber ofUnits Purchased* |            | (b) AveragePricePaid perUnit** |  | (c) Total NumberofUnitsPurchased as Partof Publicly AnnouncedPlansor Programs |          | (d) Maximum Number(or ApproximateDollarValue) ofUnitsthat May Yet BePurchased UnderthePlans or Programs |
| January 1, 2006– January 31, 2006   |  |                              | 342.6453   |                           |  | $                                                                             | 1,616.69 |                                                                                                    |  | N/A |  | N/A |
| February1, 2006 – February 28, 2006 |  |                              | 386.6187   |                           |  | $                                                                             | 1,562.12 |                                                                                                    |  | N/A |  | N/A |
| March1, 2006 – March 31, 2006       |  |                              | 382.1347   |                           |  | $                                                                             | 1,615.59 |                                                                                                    |  | N/A |  | N/A |
| Total                                     |  |                              | 1,111.3987 |                           |  | $                                                                             | 1,598.13 |                                                                                                    |  | N/A |  | N/A |
|                                           |

|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|---|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | Generally,Limited Partners are permitted to redeem their Redeemable Units as ofthe end of each month on 10 days' notice to the General Partner.Under certain circumstances, the General Partner can compel redemptionbut, to date, the General Partner has not exercised this right.Purchases of Redeemable Units by the Partnership reflected in the chartabove were made in the ordinary course of the Partnership'sbusiness in connection with effecting redemptions for LimitedPartners. |

|    |                                                                                                                                        |
|----|----------------------------------------------------------------------------------------------------------------------------------------|
| ** | Redemptions ofRedeemable Units are effected as of the last day of each month at theNet Asset Value per Redeemable Unit as of that day. |

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Item 3.    Defaults Upon SeniorSecurities — None

Item 4.    Submission of Matters toa Vote of Security Holders — None

Item 5.    OtherInformation — None

Item 6.    Exhibits

The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theyear ended December 31, 2005.

Exhibit - 31.1— Rule 13a-14(a)/15d-14(a) Certification (Certification ofPresident and Director).

Exhibit - 31.2 —Rule 13a-14(a)/15d-14(a) Certification (Certification of ChiefFinancial Officer and Director).

Exhibit - 32.1— Section 1350 Certification (Certification of President andDirector).

Exhibit - 32.2 — Section 1350Certification (Certification of Chief Financial Officer andDirector).

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned thereunto duly authorized.

|                                           |  |                                                             |  |        |  |  |  |  |  |  |
|-------------------------------------------|--|-------------------------------------------------------------|--|--------|--|--|--|--|--|--|
| SMITHBARNEY DIVERSIFIED FUTURES FUND L.P. |  |                                                        |
| By:                                       |  | CitigroupManaged FuturesLLC                                 |  |   |
|                                      |  | (GeneralPartner)                                            |  |   |
| By:                                       |  | /s/ David J.Vogel                                           |  |   |
|                                      |  | David J.VogelPresident and Director                         |  |   |
| Date:                                     |  | May 12,2006                                                 |  |   |
| By:                                       |  | /s/Daniel R. McAuliffe, Jr.                                 |  |   |
|                                      |  | Daniel R. McAuliffe,Jr.Chief Financial Officer and Director |  |   |
| Date:                                     |  | May 12,2006                                                 |  |   |
|                                           |

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