##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
    15(d)
  OF THE SECURITIES EXCHANGE ACT OF 1934
  For the Quarterly Period ended June 30, 2009
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 or
    15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
  
   000-26132
  SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
    New York

13-3729162(State or other jurisdiction of

(I.R.S. Employerincorporation or organization)

Identification No.)   c/o Citigroup
    Managed Futures LLC
 55 East 59th Street - 10th Floor
 New York, New York 10022
    (212) 599-2011
       Yes X     No
    Yes      No
   Rule 12b-2
  Large accelerated filer

Accelerated filer

Non-accelerated filerX

Smaller reporting company    rule 12b-2
  Yes      No X




---



##### 





SMITH
    BARNEY DIVERSIFIED FUTURES FUND L.P.FORM 10-Q
    INDEX
   
 PageNumberPART I  Financial
    Information:Item 1.

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

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

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

6Notes to Financial Statements (unaudited)

7  13Item 2.

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

14  16Item 3.

Quantitative and Qualitative Disclosures about
    Market Risk

17  20Item 4T.

Controls and Procedures

21PART II  Other
    Information

22  25ExhibitsEX-10 JOINDER AGREEMENTEX-31.1 CERTIFICATIONEX-31.2 CERTIFICATIONEX-32.1 CERTIFICATIONEX-32.2 CERTIFICATION   2




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##### Table of Contents



PART I Item 1.
    Financial Statements Smith
    Barney Diversified Futures Fund L.P.
    Statements of Financial Condition
    (Unaudited)  June 30,
    
    
    December 31,2009
    
    

2008Assets:Investment in Partnerships, at fair value
    
    $
    38,584,206
    
    
    $
    49,607,769Cash
    
    
    103,937
    
    
    
    69,501Total assets
    
    
    38,688,143
    
    
    
    49,677,270Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    177,320
    
    
    $
    227,687Management fees
    
    
    59,477
    
    
    
    76,444Incentive fees
    
    
    7,581
    
    
    
    189,867Other
    
    
    38,617
    
    
    
    41,882Redemptions payable
    
    
    773,770
    
    
    
    850,367Total liabilities
    
    
    1,056,765
    
    
    
    1,386,247Partners Capital:General Partner, 280.4039 and 835.3289
Unit equivalents outstanding at June 30,  2009 and December 31, 2008 respectively
    
    
    526,932
    
    
    
    1,695,634Limited Partners, 19,744.9627 and
22,954.4913 Redeemable Units of Limited Partnership Interest outstanding at June 30,  2009 and  December 31, 2008, respectively
    
    
    37,104,446
    
    
    
    46,595,389Total partners capital
    
    
    37,631,378
    
    
    
    48,291,023Total liabilities and partners capital
    
    $
    38,688,143
    
    
    $
    49,677,270
    3




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Schedule of Investments
June 30, 2009      (Unaudited)  % of PartnersFair Value


CapitalInvestment in PartnershipsCMF Winton Master L.P.

$
11,188,225



29.73
%CMF Willowbridge Argo Master Fund L.P.


8,143,981



21.64CMF Graham Capital Master Fund L.P.


10,527,878



27.98CMF Eckhardt Master Fund L.P.


5,847,877



15.54CMF Sandridge Master Fund L.P.


2,876,245



7.64Total investment in Partnerships, at fair value

$
38,584,206



102.53
%    4




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##### Table of Contents



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


CapitalInvestment In PartnershipsCMF Winton Master L.P.

$
14,224,843



29.46
%CMF Campbell Master Fund L.P.


7,115,212



14.73CMF Willowbridge Argo Master Fund L.P.


10,673,321



22.10CMF Graham Capital Master Fund L.P.


11,227,169



23.25CMF Eckhardt Master L.P.


6,367,224



13.19Total investment in Partnerships, at fair value

$
49,607,769



102.73
%    See
    accompanying notes to financial statements.
 5




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##### Table of Contents



Smith Barney Diversified Futures Fund L.P.Statements of Income and Expenses and Partners Capital
(Unaudited)
 Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net gains (losses) on trading of commodity interests and investment in Partnerships:Net realized gains (losses) on investment in Partnerships
    
    $
    331,396
    
    
    $
    3,269,542
    
    
    $
    (667,443
    )
    
    $
    7,945,322Change in net unrealized gains (losses) on investment in Partnerships
    
    
    (629,019
    )
    
    
    1,964,375
    
    
    
    (1,050,447
    )
    
    
    1,277,367Gain (loss) from trading, net
    
    
    (297,623
    )
    
    
    5,233,917
    
    
    
    (1,717,890
    )
    
    
    9,222,689Interest income from investment in Partnerships
    
    
    8,142
    
    
    
    142,868
    
    
    
    18,351
    
    
    
    348,362Total income (loss)
    
    
    (289,481
    )
    
    
    5,376,785
    
    
    
    (1,699,539
    )
    
    
    9,571,051Expenses:Brokerage commissions including clearing fees
    
    
    575,531
    
    
    
    723,298
    
    
    
    1,230,369
    
    
    
    1,438,097Management fees
    
    
    187,113
    
    
    
    233,962
    
    
    
    402,936
    
    
    
    460,439Incentive fees
    
    
    7,581
    
    
    
    359,116
    
    
    
    7,581
    
    
    
    714,824Other
    
    
    80,517
    
    
    
    46,342
    
    
    
    113,642
    
    
    
    71,734Total expenses
    
    
    850,742
    
    
    
    1,362,718
    
    
    
    1,754,528
    
    
    
    2,685,094Net income (loss)
    
    
    (1,140,223
    )
    
    
    4,014,067
    
    
    
    (3,454,067
    )
    
    
    6,885,957Additions-General Partner
    
    
    
    
    
    
    1,000,000
    
    
    
    
    
    
    
    1,000,000Redemptions-General Partner
    
    
    (1,037,738
    )
    
    
    
    
    
    
    (1,037,738
    )
    
    
    Redemptions-Limited Partners
    
    
    (3,482,995
    )
    
    
    (1,720,585
    )
    
    
    (6,167,840
    )
    
    
    (3,361,721
    )Net increase (decrease) in Partners Capital
    
    
    (5,660,956
    )
    
    
    3,293,482
    
    
    
    (10,659,645
    )
    
    
    4,524,236Partners Capital, beginning of period
    
    
    43,292,334
    
    
    
    48,628,391
    
    
    
    48,291,023
    
    
    
    47,397,637Partners Capital, end of period
    
    $
    37,631,378
    
    
    $
    51,921,873
    
    
    $
    37,631,378
    
    
    $
    51,921,873Net Asset
Value per Unit (20,025.3666 and 25,931.0705 Units outstanding
at June 30, 2009 and 2008, respectively)
    
    $
    1,879.19
    
    
    $
    2,002.30
    
    
    $
    1,879.19
    
    
    $
    2,002.30Net income (loss) per Redeemable Unit of Limited Partnership Interest and General
Partner Unit equivalent
    
    $
    (50.72
    )
    
    $
    153.69
    
    
    $
    (150.71
    )
    
    $
    260.41
     6




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##### Table of Contents



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




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended


Six Months EndedJune 30,


June 30,2009


2008


2009


2008Net realized and unrealized gains (losses)*
    
    $
    (38.04
    )
    
    $
    172.64
    
    
    $
    (127.85
    )
    
    $
    294.31Interest
income
    
    
    0.39
    
    
    
    5.46
    
    
    
    0.83
    
    
    
    13.09Expenses**
    
    
    (13.07
    )
    
    
    (24.41
    )
    
    
    (23.69
    )
    
    
    (46.99
    )Increase
(decrease) for the period
    
    
    (50.72
    )
    
    
    153.69
    
    
    
    (150.71
    )
    
    
    260.41Net Asset
Value per Redeemable Unit, beginning of period
    
    
    1,929.91
    
    
    
    1,848.61
    
    
    
    2,029.90
    
    
    
    1,741.89Net Asset
Value per Redeemable Unit, end of period
    
    $
    1,879.19
    
    
    $
    2,002.30
    
    
    $
    1,879.19
    
    
    $
    2,002.30Ratios to
average net assets:***Net investment income (loss) before
incentive fees****
    
    
    (8.4
    )%
    
    
    (6.9
    )%
    
    
    (8.2
    )%
    
    
    (6.6
    )%Operating expense
    
    
    8.5
    %
    
    
    8.1
    %
    
    
    8.3
    %
    
    
    8.0
    %Incentive fees
    
    
    0.0
    %*****
    
    
    0.7
    %
    
    
    0.0
    %*****
    
    
    1.4
    %Total expenses
    
    
    8.7
    %
    
    
    8.8
    %
    
    
    8.5
    %
    
    
    9.4
    %Total return:Total return before incentive fees
    
    
    (2.6
    )%
    
    
    9.1
    %
    
    
    (7.4
    )%
    
    
    16.5
    %Incentive fees
    
    
    0.0
    %*****
    
    
    (0.8
    )%
    
    
    0.0
    %*****
    
    
    (1.5
    )%Total return after incentive fees
    
    
    (2.6
    )%
    
    
    8.3
    %
    
    
    (7.4
    )%
    
    
    15.0
    %   *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.***
    
    Annualized (other than incentive fees).****
    
    Interest income less total expenses.*****
    
    Due to rounding.    3.
    Trading
    Activities:         8




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
    Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


UnobservableJune 30, 2009


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsInvestment in Partnerships

$
38,584,206


$



$
38,584,206


$
Total fair value

$
38,584,206


$



$
38,584,206


$
Quoted Prices inActive Markets


Significant Other


Significantfor Identical


Observable Inputs


UnobservableDecember 31, 2008


Assets (Level 1)


(Level 2)


Inputs (Level 3)AssetsInvestment in Partnerships

$
49,607,769


$



$
49,607,769


$
Total fair value

$
49,607,769


$



$
49,607,769


$
   5.
    Investment
    in Partnerships:       9




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial StatementsJune 30, 2009(Unaudited)
            give-up,
   10




---



##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
    June
30, 2009Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalWinton Master
    
    $
    498,953,686
    
    
    $
    2,141,912
    
    
    $
    496,811,774Willowbridge Master
    
    
    259,072,410
    
    
    
    5,438,678
    
    
    
    253,633,732Graham Master
    
    
    167,640,064
    
    
    
    1,650,079
    
    
    
    165,989,985Eckhardt Master
    
    
    18,490,776
    
    
    
    21,668
    
    
    
    18,469,108Sandridge Master
    
    
    555,427,974
    
    
    
    3,678,000
    
    
    
    551,749,974Total
    
    $
    1,499,584,910
    
    
    $
    12,930,337
    
    
    $
    1,486,654,573   December 31, 2008Total Assets
    
    
    Total Liabilities
    
    
    Total CapitalWinton Master
    
    $
    548,586,877
    
    
    $
    835,334
    
    
    $
    547,751,543Campbell Master
    
    
    130,424,500
    
    
    
    2,949,538
    
    
    
    127,474,962Willowbridge Master
    
    
    297,439,763
    
    
    
    19,759
    
    
    
    297,420,004Graham Master
    
    
    227,483,547
    
    
    
    2,992,605
    
    
    
    224,490,942Eckhardt Master
    
    
    20,544,954
    
    
    
    15,519
    
    
    
    20,529,435Total
    
    $
    1,224,479,641
    
    
    $
    6,812,755
    
    
    $
    1,217,666,886     June 30, 2009

For the three months ended June 30, 2009% of









NetPartnerships

Fair

Income

Expenses

Income

Investment

RedemptionsInvestment

Net Assets

Value

(Loss)

Commissions

Other

(Loss)

Objective

PermittedWinton Master
    
    
    29.73
    %
    
    $
    11,188,225
    
    
    
    (723,493
    )
    
    
    1,966
    
    
    
    215
    
    
    
    (725,674
    )
    
    CommodityPortfolio
    
    MonthlyCampbell Master
    
    
    
    
    
    
    
    
    
    
    (296,274
    )
    
    
    304
    
    
    
    361
    
    
    
    (296,939
    )
    
    FinancialsMetals& Energy Portfolio
    
    MonthlyWillowbridge Master
    
    
    21.64
    %
    
    
    8,143,981
    
    
    
    1,026,631
    
    
    
    2,621
    
    
    
    393
    
    
    
    1,023,617
    
    
    CommodityPortfolio
    
    MonthlyGraham Master
    
    
    27.98
    %
    
    
    10,527,878
    
    
    
    (139,791
    )
    
    
    10,046
    
    
    
    539
    
    
    
    (150,376
    )
    
    CommodityPortfolio
    
    MonthlyEckhardt Master
    
    
    15.54
    %
    
    
    5,847,877
    
    
    
    (214,242
    )
    
    
    3,672
    
    
    
    6,231
    
    
    
    (224,145
    )
    
    CommodityPortfolio
    
    MonthlySandridge Master
    
    
    7.64
    %
    
    
    2,876,245
    
    
    
    57,688
    
    
    
    214
    
    
    
    64
    
    
    
    57,410
    
    
    CommodityPortfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    38,584,206
    
    
    $
    (289,481
    )
    
    $
    18,823
    
    
    $
    7,803
    
    
    $
    (316,107
    )   11




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
  June
30, 2009
    
    For the six months ended June 30, 2009% of
    
    
    
    
    
    
    
    
    
    
    
    NetPartnerships
    
    Fair
    
    Income
    
    Expenses
    
    Income
    
    Investment
    
    RedemptionsInvestment
    
    Net Assets
    
    Value
    
    (Loss)
    
    Commissions
    
    Other
    
    (Loss)
    
    Objective
    
    PermittedWinton Master
    
    
    29.73
    %
    
    $
    11,188,225
    
    
    $
    (831,531
    )
    
    $
    3,626
    
    
    $
    440
    
    
    $
    (835,597
    )
    
    CommodityPortfolio
    
    MonthlyCampbell Master
    
    
    
    
    
    
    
    
    
    
    (276,892
    )
    
    
    1,271
    
    
    
    1,050
    
    
    
    (279,213
    )
    
    FinancialsMetals& Energy Portfolio
    
    MonthlyWillowbridge Master
    
    
    21.64
    %
    
    
    8,143,981
    
    
    
    (165,145
    )
    
    
    4,546
    
    
    
    685
    
    
    
    (170,376
    )
    
    CommodityPortfolio
    
    MonthlyGraham Master
    
    
    27.98
    %
    
    
    10,527,878
    
    
    
    (241,124
    )
    
    
    16,860
    
    
    
    977
    
    
    
    (258,961
    )
    
    CommodityPortfolio
    
    MonthlyEckhardt Master
    
    
    15.54
    %
    
    
    5,847,877
    
    
    
    (242,535
    )
    
    
    4,473
    
    
    
    11,896
    
    
    
    (258,904
    )
    
    CommodityPortfolio
    
    MonthlySandridge Master
    
    
    7.64
    %
    
    
    2,876,245
    
    
    
    57,688
    
    
    
    214
    
    
    
    64
    
    
    
    57,410
    
    
    CommodityPortfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    38,584,206
    
    
    $
    (1,699,539
    )
    
    $
    30,990
    
    
    $
    15,112
    
    
    $
    (1,745,641
    )December
31, 2008
    

For
the three months ended June 30, 2008% of
    
    
    
    
    
    
    
    
    
    
    
    NetPartnerships
    
    Fair
    
    Income
    
    Expenses
    
    Income
    
    Investment
    
    RedemptionsInvestment
    
    Net Assets
    
    Value
    
    (Loss)
    
    Commissions
    
    Other
    
    (Loss)
    
    Objective
    
    PermittedWinton Master
    
    
    29.46
    %
    
    $
    14,224,843
    
    
    $
    1,016,183
    
    
    $
    3,062
    
    
    $
    254
    
    
    $
    1,012,867
    
    
    CommodityPortfolio
    
    MonthlyCampbell Master
    
    
    14.73
    %
    
    
    7,115,212
    
    
    
    480,863
    
    
    
    1,413
    
    
    
    382
    
    
    
    479,068
    
    
    FinancialsMetals& Energy Portfolio
    
    MonthlyWillowbridge Master
    
    
    22.10
    %
    
    
    10,673,321
    
    
    
    2,347,373
    
    
    
    3,373
    
    
    
    371
    
    
    
    2,343,629
    
    
    CommodityPortfolio
    
    MonthlyGraham Master
    
    
    23.25
    %
    
    
    11,227,169
    
    
    
    877,346
    
    
    
    15,656
    
    
    
    389
    
    
    
    861,301
    
    
    CommodityPortfolio
    
    MonthlyEckhardt Master
    
    
    13.19
    %
    
    
    6,367,224
    
    
    
    655,020
    
    
    
    2,652
    
    
    
    12,096
    
    
    
    640,272
    
    
    CommodityPortfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    49,607,769
    
    
    $
    5,376,785
    
    
    $
    26,156
    
    
    $
    13,492
    
    
    $
    5,337,137December
31, 2008
    

For
the six months ended June 30, 2008% of
    
    
    
    
    
    
    
    
    
    
    
    NetPartnerships
    
    Fair
    
    Income
    
    Expenses
    
    Income
    
    Investment
    
    RedemptionsInvestment
    
    Net Assets
    
    Value
    
    (Loss)
    
    Commissions
    
    Other
    
    (Loss)
    
    Objective
    
    PermittedWinton Master
    
    
    29.46
    %
    
    $
    14,224,843
    
    
    $
    3,183,092
    
    
    $
    9,305
    
    
    $
    518
    
    
    $
    3,173,269
    
    
    CommodityPortfolio
    
    MonthlyCampbell Master
    
    
    14.73
    %
    
    
    7,115,212
    
    
    
    632,491
    
    
    
    3,533
    
    
    
    842
    
    
    
    628,116
    
    
    FinancialsMetals& Energy Portfolio
    
    MonthlyWillowbridge Master
    
    
    22.10
    %
    
    
    10,673,321
    
    
    
    3,160,239
    
    
    
    8,106
    
    
    
    720
    
    
    
    3,151,413
    
    
    CommodityPortfolio
    
    MonthlyGraham Master
    
    
    23.25
    %
    
    
    11,227,169
    
    
    
    1,940,209
    
    
    
    31,032
    
    
    
    833
    
    
    
    1,908,344
    
    
    CommodityPortfolio
    
    MonthlyEckhardt Master
    
    
    13.19
    %
    
    
    6,367,224
    
    
    
    655,020
    
    
    
    2,652
    
    
    
    12,096
    
    
    
    640,272
    
    
    CommodityPortfolio
    
    MonthlyTotal
    
    
    
    
    
    $
    49,607,769
    
    
    $
    9,571,051
    
    
    $
    54,628
    
    
    $
    15,009
    
    
    $
    9,501,414 12




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##### Table of Contents



Smith
    Barney Diversified Futures Fund L.P.
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  6.
    Financial
    Instrument Risks:             13




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##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity
    and Capital Resources
        Critical
    Accounting Policies
  Use of Estimates.
  Statement of Cash Flows.
  Investments.
  Fair Value Measurements. Effective Date of
FASB Statement No. 157
    Futures Contracts.
 14




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##### Table of Contents



Forward Foreign Currency Contracts. agreed-upon
    London Metals Exchange Forward
    Contracts.
  Options.
  Income Taxes.
      Recent Accounting Pronouncements.
  Subsequent Events




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##### Table of Contents



Results
    of Operations
            30-day and/or 90-day
       16




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk          one-day
  17




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##### Table of Contents



Form 10-K
    June 30,
    2009
    (Unaudited)
  Three Months Ended June 30, 2009% of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Currencies
    
    $
    8,859,097
    
    
    
    1.78
    %
    
    $
    8,859,097
    
    
    $
    3,479,307
    
    
    $
    5,498,936Energy
    
    
    1,328,142
    
    
    
    0.27
    %
    
    
    2,627,998
    
    
    
    421,858
    
    
    
    1,607,888Grains
    
    
    1,735,598
    
    
    
    0.35
    %
    
    
    1,751,852
    
    
    
    1,506,767
    
    
    
    1,639,557Interest Rates U.S.
    
    
    1,956,170
    
    
    
    0.39
    %
    
    
    4,289,355
    
    
    
    1,412,777
    
    
    
    2,653,818Interest Rates Non-U.S.
    
    
    4,517,638
    
    
    
    0.91
    %
    
    
    6,588,104
    
    
    
    2,841,339
    
    
    
    4,285,101Livestock
    
    
    235,616
    
    
    
    0.05
    %
    
    
    425,655
    
    
    
    235,616
    
    
    
    381,686Metals
    
    
    2,026,388
    
    
    
    0.41
    %
    
    
    2,629,647
    
    
    
    849,000
    
    
    
    2,287,274Softs
    
    
    479,423
    
    
    
    0.10
    %
    
    
    1,269,508
    
    
    
    479,423
    
    
    
    950,433Indices
    
    
    5,803,898
    
    
    
    1.17
    %
    
    
    6,425,774
    
    
    
    2,321,055
    
    
    
    5,287,835Total
    
    $
    26,941,970
    
    
    
    5.43
    %    *
    
    Average of month-end Values at Risk. 18




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##### Table of Contents



June 30, 2009
    (Unaudited)
  Three Months Ended June 30, 2009Value


% of Total


High Value


Low Value


Average ValueMarket Sector

at Risk


Capitalization


at Risk


at Risk


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


% of Total


High Value


Low Value


Average ValueMarket Sector

at Risk


Capitalization


at Risk


at Risk


at Risk*Currencies
    
    $
    3,102,364
    
    
    
    1.87
    %
    
    $
    7,588,894
    
    
    $
    3,102,364
    
    
    $
    5,298,470Energy
    
    
    1,355,746
    
    
    
    0.82
    %
    
    
    3,017,929
    
    
    
    951,459
    
    
    
    1,590,887Grains
    
    
    258,736
    
    
    
    0.15
    %
    
    
    1,356,550
    
    
    
    190,880
    
    
    
    839,923Interest Rates U.S.
    
    
    418,266
    
    
    
    0.25
    %
    
    
    2,310,120
    
    
    
    355,318
    
    
    
    1,097,898Interest Rates Non-U.S.
    
    
    818,966
    
    
    
    0.49
    %
    
    
    3,850,371
    
    
    
    818,966
    
    
    
    2,316,813Livestock
    
    
    46,575
    
    
    
    0.03
    %
    
    
    160,380
    
    
    
    1,080
    
    
    
    78,671Metals
    
    
    628,262
    
    
    
    0.38
    %
    
    
    1,223,707
    
    
    
    303,915
    
    
    
    613,811Softs
    
    
    574,090
    
    
    
    0.35
    %
    
    
    1,041,887
    
    
    
    492,343
    
    
    
    733,819Indices
    
    
    5,683,722
    
    
    
    3.42
    %
    
    
    8,672,872
    
    
    
    1,905,290
    
    
    
    5,108,007Total
    
    $
    12,886,727
    
    
    
    7.76
    %    *
    
    Average of month-end Values at Risk. 19




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##### Table of Contents



June 30, 2009
    (Unaudited)
  Three Months Ended June 30, 2009% of Total


High Value


Low Value


Average ValueMarket Sector

Value at Risk


Capitalization


at Risk


at Risk


at Risk*Currencies
    
    $
    422,065
    
    
    
    2.29
    %
    
    $
    422,065
    
    
    $
    9,044
    
    
    $
    199,305Energy
    
    
    110,625
    
    
    
    0.60
    %
    
    
    597,050
    
    
    
    22,050
    
    
    
    278,817Grains
    
    
    120,975
    
    
    
    0.65
    %
    
    
    362,365
    
    
    
    10,800
    
    
    
    192,002Interest Rates Non-U.S.
    
    
    107,096
    
    
    
    0.58
    %
    
    
    528,463
    
    
    
    68,741
    
    
    
    241,206Metals
    
    
    191,195
    
    
    
    1.03
    %
    
    
    369,340
    
    
    
    16,196
    
    
    
    173,718Softs
    
    
    118,810
    
    
    
    0.64
    %
    
    
    157,263
    
    
    
    64,434
    
    
    
    108,961Indices
    
    
    252,171
    
    
    
    1.37
    %
    
    
    253,026
    
    
    
    22,367
    
    
    
    196,373Total
    
    $
    1,322,937
    
    
    
    7.16
    %   *
    
    Average of month-end Values at Risk.    June 30, 2009
    (Unaudited)
  Three Months Ended June 30, 2009% of Total


High Value


Low Value


Average ValueMarket Sector

Value at Risk


Capitalization


at Risk


at Risk


at Risk*Energy
    
    $
    27,679,472
    
    
    
    5.02
    %
    
    $
    37,013,942
    
    
    $
    11,157,117
    
    
    $
    23,300,777Total
    
    $
    27,679,472
    
    
    
    5.02
    %  *
    
    Average of month-end Values at Risk. 20




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##### Table of Contents



Item 4T.
    Controls
    and Procedures      Rules 13a-15(e) 15d-115(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP, and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.   21




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##### Table of Contents



PART II.  OTHER
    INFORMATION  Item 1.
    Legal
    Proceedings  Form 10-K
 Enron-Related Civil Actions
  Acquisition
Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al., Avenue Capital Management II, L.P.,
et al. v. J.P. Morgan Chase & Co., et al. UniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.
 Subprime Mortgage-Related Litigation
  Buckingham v. Citigroup Inc., et al. Chen v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation.
  Asher, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation Asher, et al. v. Citigroup Inc., et al. Pellegrini v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation
  Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Securities Litigation
 Auction Rate Securities-Related Litigation
  Securities
Actions. American Eagle Outfitters, Inc., et al. v. Citigroup Global
Markets Inc. In re Citigroup Inc. Auction Rate Securities Litigation Finn v. Smith Barney, et al.
  Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.
  Governmental
and Regulatory Actions.
 22




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##### Table of Contents



Falcon and ASTA/MAT-Related Litigation
  Marie
Raymond Revocable Trust, et al. v. MAT Five LLC, et al.
  In re MAT Five Securities Litigation.
  ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al.
  Zentner v. Citigroup, et al. In re MAT Two Securities
Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.) In re MAT Five Securities
Litigation
  Zentner v. Citigroup, et al.
 Other Matters
  Underwriting Actions .
  American Home Mortgage In re American
Home Mortgage Securities Litigation
  American
International Group In re American International Group, Inc. 2008 Securities Litigation
 23




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##### Table of Contents



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



Dollar Value) ofUnits



Units(a) Total



(b) Average Price



Purchased as Part



that May Yet BeNumber of



Paid per



of Publicly Announced



Purchased Under thePeriod


Units Purchased*



Unit**



Plans or Programs



Plans or ProgramsApril 1, 2009  April 30, 2009



1,245.9758



$
1,870.05




N/A




N/AMay 1, 2009  May 31, 2009



194.3359



$
1,951.20




N/A




N/AJune 1, 2009  June 30, 2009



411.7571



$
1,879.19




N/A




N/A1,852.0688



$
1,880.60  *
    
    Generally, Limited Partners are permitted to redeem their
    Redeemable Units as of the end of each month on
    10 days notice to the General Partner. Under certain
    circumstances, the General Partner can compel redemption but, to
    date, the General Partner has not exercised this right.
    Purchases of Redeemable Units by the Partnership reflected in
    the chart above were made in the ordinary course of the
    Partnerships business in connection with effecting
    redemptions for Limited Partners.**
    
    Redemptions of Redeemable Units are effected as of the last day
    of each month at the Net Asset Value per Redeemable Unit as of
    that day.  Item 3.
    Defaults
    Upon Senior Securities  None   Item 4.
    Submission
    of Matters to a Vote of Security Holders 
    None   Item 5.
    Other
    Information  Morgan Stanley/Citigroup Joint Venture
   24




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##### Table of Contents



Item 6.
    Exhibits  Regulation S-K Form 10-K
   Rule 13a-14(a)/15d-14(a)
  Rule 13a-14(a)/15d-14(a)
     25




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##### Table of Contents



SIGNATURES
    SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.
  By:
    Citigroup Managed
    Futures LLC    By:
    /s/  Jerry
    Pascucci       By:
    /s/  Jennifer
    Magro      26