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

FORM 10-K

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

For the year ended December 31, 2005

Commission File Number 000-30455

SALOMON SMITH BARNEY GLOBAL DIVERSIFIED FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

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| NewYork                                                      |  | 13-4015586                         |
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c/o Citigroup Managed FuturesLLC731 Lexington Ave – 25th FLNew York, New York10022

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(Address andZip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

Securities registered pursuant to Section12(g) of the Act: Redeemable Units of Limited PartnershipInterest

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Indicate by check mark if the registrant is a wellknown seasoned issuer, as defined in Rule 405 of the SecuritiesAct.

Yes               No   X   

Indicateby check mark if the registrant is not required to file reportspursuant to Section 13 or Section 15(d) of the Act.

Yes               No   X   

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 90days.

Yes   X           No       

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

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of theAct).

Large accelerated filer               Acceleratedfiler                Non-acceleratedfiler   X   

Indicate by check mark if theissuer is a shell company (as defined in Rule 12b-2 of theAct).

Yes               No   X   

LimitedPartnership Redeemable Units with an aggregate value of $44,154,354were outstanding and held by non-affiliates as of the last business dayof the registrant's most recently completed second fiscalquarter.

As of February 28, 2006, 30,376.2412 LimitedPartnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BYREFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney Global Diversified Futures FundL.P. (the "Partnership") is a limitedpartnership organized under the partnership laws of the State of NewYork, on June 15, 1998 to engage in speculative trading of adiversified portfolio of commodity interests, including futurescontracts, options and forwards. The commodity interests that aretraded by the Partnership are volatile and involve a high degree ofmarket risk.

A Registration Statement on Form S-1 relating tothe public offering became effective on November 25, 1998. BetweenNovember 25, 1998 (commencement of offering period) and February 1,1999, 33,379 redeemable units of Limited Partnership Interest("Redeemable Units") were sold at $1,000 perRedeemable Unit. Citigroup Managed Futures LLC acts as the generalpartner (the "General Partner") of thePartnership. Proceeds of the offering were held in an escrow accountand were transferred, along with the General Partner'scontribution of $337,000, to the Partnership's trading account onFebruary 2, 1999 when the Partnership commenced trading. The publicoffering terminated on April 1, 2000. Redemptions of Redeemable Unitsfor the years ended December 31, 2005, 2004 and 2003 are reported inthe Statements of Changes in Partners' Capital on page F-8 under"Item 8. Financial Statements and SupplementaryData."

On January 1, 2005, the assetsallocated to Campbell for trading were invested in the CMF CampbellMaster Fund L.P. ("Campbell Master"), alimited partnership organized under the partnership laws of the Stateof New York. The Partnership purchased 17,534.8936 Redeemable Units ofCampbell Master with cash equal to $17,341,826 and a contribution ofopen commodity futures and forwards positions with a fair value of$193,067. Campbell Master was formed to permit commmodity pools managednow and in the future by Campbell and Company Inc.("Campbell") using Campbell'sFinancials Metals and Energy "FME" Portfolio,the Advisor's proprietary trading program, to invest together inone trading vehicle. The General Partner of the partnership is thegeneral partner of Campbell Master. Individual and pooled accounts arepermitted to be a limited partner of Campbell Master. The GeneralPartner and the Advisor believe that trading through this structureshould promote efficiency and economy in the trading process. Expensesto the Advisor as a result of the investment in Campbell Master areapproximately the same and redeemption rights are notaffected.

On March 1, 2005, the assets allocated to Aspect fortrading were invested in the CMF Aspect Master Fund L.P.("Aspect Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 16,015.3206 Redeemable Units of Aspect Masterwith cash equal to $14,955,106 and a contribution of open commodityfutures and forwards positions with a fair value of $1,060,214. AspectMaster was formed to permit commodity pools managed now and in thefuture by Aspect Capital Ltd. ("Aspect")using Aspect's Diversified Portfolio Program, the Advisor'sproprietary trading program, to invest together in one trading vehicle.The General Partner of the partnership is the general partner of AspectMaster. Individual and pooled accounts are permitted to be a limitedpartner of Aspect Master. The General Partner and Aspect believe thattrading through this structure should promote efficiency and economy inthe trading process. Expenses to the Advisor as a result of theinvestment in Aspect Master are approximately the same and redemptionrights are not affected.

On November 1, 2005, the assetsallocated to Altis for trading were invested in the CMF Altis PartnersMaster Fund L.P. ("Altis Master"), a limitedpartnership organized under the partnership laws of the State of NewYork. The Partnership purchased 13,084.7170 Redeemable Units of AltisMaster with cash equal to $11,298,932 and a contribution of opencommodity futures and forwards positions with a fair value of$1,785,785. Altis Master was formed to permit commodity pools managednow and in the future by Altis Partners (Jersey) Ltd.("Altis") using Altis's DiversifiedPortfolio Program, the Advisor's proprietary trading program, toinvest together in one trading vehicle. The General Partner of thepartnership is the general partner of Altis Master. Individual andpooled accounts are permitted to be a limited partner of Altis Master.The General Partner and Altis believe that trading through thisstructure should promote efficiency and economy in the trading process.Expenses to the Advisors as a result of the investment in Altis Masterare approximately the same and redemption rights are notaffected.

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As of December 31, 2005, the Partnershipowns 5.0%, 8.4% and 72.6% of Campbell Master,Aspect Master and Altis Master, respectively. The performance of thePartnership is directly affected by the performance of the MasterFunds. It is Campbell's, Aspect's and Atlis'sintention to continue to invest the assets allocated to each by thePartnership in Campbell Master, Aspect Master and Altis Master,respectively.

The General Partner has agreed to make capitalcontributions, if necessary, so that its general partnership interestwill be equal to the greater of (i) 1% of the partners'contributions to the Partnership or (ii) $25,000. The Partnership willbe liquidated upon the first of the following to occur: December 31,2018; the Net Asset Value per Redeemable Unit falls below $400 as ofthe close of any business day; or under certain circumstances asdefined in the Limited Partnership Agreement of the Partnership (the"Limited Partnership Agreement").

The Partnership's commodity broker is Citigroup GlobalMarkets Inc. ("CGM"), CGM is an affiliate ofthe General Partner. The General Partner is wholly owned by CitigroupGlobal Markets Holdings Inc. ("CGMHI"), whichis the sole owner of CGM. CGMHI is a wholly owned subsidiary ofCitigroup Inc. ("Citigroup").

The Partnership's trading of futures, forwards andoptions contracts, if applicable, on commodities is done on UnitedStates and foreign commodity exchanges. It engages in such tradingthrough a commodity brokerage account maintained with CGM.

For the year ended December 31, 2005, all commodity tradingdecisions are made for the Partnership by Campbell, Aspect and Altis(collectively, the "Advisors"). None of theAdvisors are affiliated with one another, the General Partner or CGM.The Advisors are not responsible for the organization or operation ofthe Partnership.

Pursuant to the terms of the managementagreements (the "Management Agreements"), thePartnership is obligated to pay each Advisor a monthly management feeequal to 1/6 of 1% (2% per year) of month-end Net Assetsmanaged by the Advisor, except Aspect, which will receive a monthlymanagement fee equal to 1/12 of 1.25% (1.25% per year),of Net Assets as of the end of each month. Month-end Net Assets for thepurpose of calculating management fees are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. Each Advisor also receives an incentivefee payable annually equal to 20% of the New Trading Profits, asdefined in the Management Agreements.

The Partnershiphas entered into a customer agreement with CGM (the"Customer Agreement") which provides that thePartnership pays CGM a monthly brokerage fee equal to 9/20 of 1%of month-end Net Assets allocated to the Advisors (5.4% peryear) in lieu of brokerage commissions on a per trade basis. Month-endNet Assets for the purpose of calculating brokerage commissions are NetAssets, as defined in the Limited Partnership Agreement, prior to thereduction of accrued expenses and redemptions payable. CGM pays aportion of its brokerage fees to its financial consultants who havesold Redeemable Units and who are registered as associated persons withthe Commodity Futures Trading Commission (the"CFTC"). The Partnership pays for NationalFutures Association ("NFA") fees, exchangeand clearing fees, give-up and user fees and floor brokerage fees. TheCustomer Agreement between the Partnership and CGM gives thePartnership the legal right to net unrealized gains and losses.Brokerage fees will be paid for the life of the Partnership, althoughthe rate at which such fees are paid may be changed.

Inaddition, CGM pays the Partnership interest on 80% of theaverage daily equity maintained in cash in its account during eachmonth at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined.

(b)    Financial information aboutindustry segments. The Partnership's business consists ofonly one segment, speculative trading of commodity interests. ThePartnership does not engage in sales of goods or services. ThePartnership's net income (loss) from operations for the yearsended December 31, 2005, 2004, 2003, 2002 and 2001 is set forth under"Item 6. Selected Financial Data".The Partnership's capital as of December 31, 2005 was$46,557,403.

(c)    Narrative description ofbusiness.

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See Paragraphs (a) and (b)above.

(i) through (x) - Not applicable.

(xi) through (xii) - Not applicable.

(xiii) - The Partnership has no employees.

(d)    Financial Information About Geographic Areas. ThePartnership does not engage in sales of goods or services or own anylong lived assets and therefore this item is not applicable.

(e)    Available Information. The Partnership does nothave an Internet address. The Partnership will provide paper copies ofits annual report on Form 10-K, quarterly reports on Form 10-Q, currentreports on Form 8-K and any amendments to these reports free of chargeupon request.

Item 1A.    Risk Factors.

The tradingof commodity interests is speculative, volatile and involves a highdegree of leverage. A small change in the market price of a commodityinterest contract can produce major losses for the Partnership.

Due to the speculative nature of trading commodity interests, aninvestor could lose all of its investment in the Partnership.

Regardless of its trading performance, the Partnership will incurfees and expenses, including brokerage and management fees. Substantialincentive fees may be paid to one or more of the trading advisors evenif the Partnership experiences a net loss for the full year.

Aninvestor's ability to redeem units is limited and no marketexists for the units.

The Partnership is subject to numerousconflicts of interest including those that arise from the factsthat:

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|  | 1.  | The General Partner and commodity brokerare affiliates; |

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|  | 2.  | Each of the trading advisor(s),the commodity broker and their principals and affiliates may trade incommodity interests for their own accounts;and |

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

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

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

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

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

Item2.    Properties.

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

Item 3.    LegalProceedings.

There have been no material administrative, civilor criminal actions within the past five years against Citigroup GlobalMarkets or any of its individual principals and no such actions arecurrently pending, except as follows.

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Regulatory Matters

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

IPO RegulatoryInquiries

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

IPO CivilLitigation

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

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

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

Also filed in the Southern District of New York against CitigroupGlobal Markets and other investment banks were several alleged classactions that were consolidated into a single class action allegingviolations of certain federal and state antitrust laws in connectionwith the allocation of shares in initial public offerings when actingas underwriters. On November 3, 2003, the court granted CitigroupGlobal Markets' motion to dismiss the consolidated amendedcomplaint in the antitrust case. On September 28, 2005, the UnitedStates Court of Appeals for the Second Circuit in In Re: InitialPublic Offering Antitrust Litigation vacated the districtcourt's order dismissing these actions and remanded for furtherproceedings.

Research Settlement

On April 28, 2003,Citigroup Global Markets announced final agreements with the SEC, theNASD, the NYSE and the New York Attorney General (as lead state amongthe 50 states, the District of Columbia and Puerto Rico) to resolve ona civil basis all of their outstanding investigations into its researchand IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and 

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related NASD and NYSE rules relating toresearch, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

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

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

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup' stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CitigroupGlobal Markets, Citigroup and various other Citigroup-related entitieshave been named as defendants in over 20 civil lawsuits pending instate and federal courts throughout the United States, alleging claimsagainst Citigroup and Citigroup Global Markets based on their dealingswith Enron. The majority of these cases have been brought by purchasersand sellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup

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and/or its affiliates and subsidiaries, amongother things, federal securities fraud, state law claims of negligentmisrepresentation, fraud, breach of fiduciary duty, aiding and abettinga breach of fiduciary duty and related claims. In most of theselawsuits, Citigroup is named as a co-defendant along with otherinvestment banks alleged to have had dealings with Enron. The majorityof cases pending in the federal courts have been, or are in the processof being, consolidated before a single judge in the United StatesDistrict Court for the Southern District of Texas. In addition, in fiveadversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, inone case, its co-debtor affiliates and subsidiaries, and the OfficialCommittee of Unsecured Creditors of Enron Corp., et al., have namedCitigroup and/or its affiliates or subsidiaries as defendants.

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

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

InApril 2005, Citigroup, along with other financial institutiondefendants, reached an agreement-in-principle to settle fourstate-court actions brought by various investment funds, which were notpreviously consolidated or coordinated with other actions. The fourcases are OCM Opportunities Fund III, L.P., et al. v. CitigroupInc., et al.; Pacific Investment Management Co. LLC, et al. v.Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al.and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

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

Dynegy Inc.

On June6, 2003, the complaint in a pre-existing alleged class action pendingin the United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

The courthad also previously denied lead plaintiff's motion for leave toamend. No appeal was yet timely while the remainder of the caseremained pending. On April 15, 2005, as part of a global settlementinvolving all defendants, Citigroup entered into a memorandum ofunderstanding to settle this case. The amount to be paid in settlementis covered by existing litigation reserves.

WorldCom-RelatedLitigation

Citigroup, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants — along with twenty-two other investment banks,certain current and former WorldCom officers and directors, andWorldCom's former auditors — in a 

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consolidated class action brought on behalf ofindividuals and entities who purchased or acquired publicly tradedsecurities of WorldCom between April 29, 1999 and June 25, 2002 inIn Re: Worldcom, Inc. Securities Litigation. The class actioncomplaint asserts claims against Citigroup Global Markets under (i)Sections 11 and 12(a)(2) of the Securities Act of 1933, as amended, inconnection with certain bond offerings in which it served asunderwriter, and (ii) Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, and Rule 10b-5 promulgated underSection 10(b), alleging that it participated in the preparation and/orissuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied Citigroup Global Markets' motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

Pursuant to anorder entered May 28, 2003, the District Court consolidatedapproximately seventy-eight individual actions with the class actionfor pretrial proceedings. The claims asserted in these individualactions are substantially similar to the claims alleged in the classaction and assert state and federal securities law claims based onCitigroup Global Markets' research reports concerning WorldComand/or Citigroup Global Markets' role as an underwriter inWorldCom offerings. Plaintiffs in certain of these actions filedmotions to remove their cases to state court. The District Court deniedthese motions and its rulings were upheld on appeal.

Numerousother actions asserting claims against Citigroup Global Markets inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States District Court for theSouthern District of New York to be consolidated with the class action.In addition to the court suits, actions asserting claims againstCitigroup and certain of its affiliates relating to its WorldComresearch reports are pending in numerous arbitrations around thecountry. These actions assert claims that are substantially similar tothe claims asserted in the class action.

On May 10, 2004,Citigroup announced that it had agreed to pay $2.58 billion to settlethe WorldCom class action suits. The United States District Court forthe Southern District of New York granted approval of the proposedsettlement on November 10, 2004.

On September 17, 2004,Weinstein, et al. v. Ebbers, et al., an alleged class actionagainst Citigroup Global Markets and others brought on behalf ofholders of WorldCom securities asserting claims based on, among otherthings, Citigroup Global Markets' research reports concerningWorldCom, was dismissed with prejudice in its entirety by the UnitedStates District Court for the Southern District of New York. Theplaintiffs noticed an appeal of the dismissal to the United StatesCourt of Appeals for the Second Circuit on October 15, 2004. Theparties have reached an agreement in principle on the terms of asettlement of this action.

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

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

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

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

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Global Crossing

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

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

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

Adelphia Communications Corporation

On July 6,2003, an adversary proceeding was filed by the Official Committee ofUnsecured Creditors on behalf of Adelphia Communications Corporationagainst certain lenders and investment banks, including CitigroupGlobal Markets, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the "CitigroupParties"). The complaint alleges that the CitigroupParties and numerous other defendants committed acts in violation ofthe Bank Holding Company Act and the common law. The complaint seeksequitable relief and an unspecified amount of compensatory and punitivedamages. In November 2003, a similar adversary proceeding was filed bythe Equity Holders Committee of Adelphia. In June 2004, motions todismiss were filed with respect to the complaints of the OfficialCommittee of Unsecured Creditors and the Equity Holders Committee. Themotions are currently pending.

In addition, Citigroup GlobalMarkets is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also asserted claims against Citigroupand Citibank, N.A. All of the complaints alleged violations of federalsecurities laws, and certain of the complaints also alleged violationsof state securities laws and the common law. The 

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complaints sought unspecified damages. InDecember 2003, a second amended complaint was filed and consolidatedbefore the same judge of the United States District Court for theSouthern District of New York.

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

MutualFunds

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

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

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

Research AnalystLitigation

Since May 2002, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants in numerous alleged class action complaints, individualactions, and arbitration demands by purchasers of various securitiesalleging that they violated federal securities law, including Sections10 and 20 of the Securities Exchange Act of 1934, as amended, andcertain state laws for allegedly issuing research reports without areasonable basis in fact and for allegedly failing to discloseconflicts of interest with companies in connection with publishedinvestment research, including Global Crossing, Ltd., AT&T Corp.,Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XOCommunications, Inc., Williams Communications Group Inc., and FocalCommunications, Inc. The alleged class actions relating to research ofthese companies are pending before a single judge in the United StatesDistrict Court for the Southern District of New York for coordinated

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proceedings. The Court has consolidatedthese actions into separate proceedings corresponding to the companiesnamed above. On December 2, 2004, the Court granted in part and deniedin part the Citigroup-related defendants' motions to dismiss theclaims against it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

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

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

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

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

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

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

Supervisory Investigation

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

West Virginia Attorney General Suit

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

Citigroup Shareholder Litigation

InJuly 2002, Citigroup, Citigroup Global Markets and certain officerswere named as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The 

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

NASD Settlement

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

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

Item4.    Submission of Matters to a Vote of SecurityHolders.

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

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PART II

Item 5.    Marketfor Registrant's Common Equity, Related Security Holder Mattersand Issuer Purchases of Equity Securities.

|           |                                                                                                                                                        |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------|
| (a)  | Market Information. ThePartnership has issued no stock. There is no established public marketfor the Redeemable Units of Limited Partnership Interest. |

|           |                                                                                                                     |
|-----------|---------------------------------------------------------------------------------------------------------------------|
| (b)  | Holders. The number of holders ofRedeemable Units of Limited Partnership Interest as of December 31,2005 was 1,271. |

|           |                                                                            |
|-----------|----------------------------------------------------------------------------|
| (c)  | Dividends. ThePartnership did not declare a distribution in 2005 and 2004. |

|           |                                                                                                                         |
|-----------|-------------------------------------------------------------------------------------------------------------------------|
| (d)  | Use of Proceeds. There were noadditional sales of Redeemable Units in the years ended December 31,2005, 2004, and 2003. |

|           |                         |
|-----------|-------------------------|
| (e)  | CompensationPlans. None |

Item 6.    Selected FinancialData.

Realized and unrealized trading gains (losses),interest income, net income (loss) and increase (decrease) in Net AssetValue per Redeemable Unit for the years ended December 31, 2005, 2004,2003, 2002 and 2001 and total assets at December 31, 2005, 2004, 2003,2002 and 2001 were as follows:

|                                                                                                                                                                                                                |  |        |            |        |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                                                                                           |  | 2005   |            | 2004   |  | 2003   |            | 2002    |  | 2001   |
| Realizedand unrealized tradinggains (losses) net of brokerage commissionsand Investment in Partnerships (including clearing fees) of $2,508,259,$3,000,995, $3,165,689, $3,030,685 and $3,312,436,respectively |  | $      | 5,669,016  |   |  | $      | (1,065,432 | )  |  | $      | 10,770,857 |   |  | $      | 7,180,050  |   |  | $      | 2,013,666  |   |
| Interestincome                                                                                                                                                                                                 |  |   | 257,057    |   |  |   | 493,041    |    |  |   | 414,271    |   |  |   | 646,856    |   |  |   | 1,580,323  |   |
|                                                                                                                                                                                                           |  | $      | 5,926,073  |   |  | $      | (572,391   | )  |  | $      | 11,185,128 |   |  | $      | 7,826,906  |   |  | $      | 3,593,989  |   |
| Netincome(loss)                                                                                                                                                                                                |  | $      | 4,631,510  |   |  | $      | (1,870,748 | )  |  | $      | 8,236,273  |   |  | $      | 5,603,443  |   |  | $      | 2,185,742  |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                       |  | $      | 145.99     |   |  | $      | (49.56     | )  |  | $      | 203.30     |   |  | $      | 128.72     |   |  | $      | 41.71      |   |
| Totalassets                                                                                                                                                                                                    |  | $      | 47,562,480 |   |  | $      | 49,765,621 |    |  | $      | 57,815,029 |   |  | $      | 53,694,328 |   |  | $      | 54,385,513 |   |
|                                                                                                                                                                                                                |

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Item 7.    Management'sDiscussion and Analysis of Financial Condition and Results ofOperations.

Overview

The Partnership aims toachieve substantial capital appreciation through speculative trading,directly and indirectly, in U.S. and international markets forcurrencies, interest rates, stock indices, agricultural and energyproducts and precious and base metals. The Partnership may employfutures, options on futures, and forward contracts in thosemarkets.

The General Partner manages all business of thePartnership. The General Partner has delegated its responsibility forthe investment of the Partnership's assets to Campbell, Aspectand Altis (collectively, the "Advisors"). TheGeneral Partner employs a team of approximately 20 professionals whoseprimary emphasis is on attempting to maintain quality control among theadvisors to the Partnerships operated or managed by the GeneralPartner. A full-time staff of due diligence professionals usestate-of-the-art technology and on-site evaluations to monitor new andexisting futures money managers. The accounting and operations staffprovide processing of trading activity and reporting to limitedpartners and regulatory authorities. In selecting the Advisors for thePartnership, the General Partner considered past performance, tradingstyle, volatility of markets traded and fee requirements.

Responsibilities of the General Partnerinclude:

|              |                                            |
|--------------|--------------------------------------------|
| •  | due diligence examinations ofthe Advisors; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointmentand termination of theAdvisors; |

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

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

In addition, the General Partnerprepares the books and records and provides the administrative andcompliance services that are required by law or regulation from time totime in connection with operation of the Partnership. These servicesinclude the preparation of required books and records and reports tolimited partners, government agencies and regulators; computation ofnet asset value; calculation of fees; effecting subscriptions,redemptions and limited partner communications; and preparation ofoffering documents and sales literature.

The General Partnershall seek the best prices and services available in its commodityfutures brokerage transactions. The General Partner reviews at leastannually, the brokerage rates charged to commodity pools similar to thePartnership to determine that the brokerage fee the Partnership pays iscompetitive with other rates.

The programs traded by eachAdvisor on behalf of the Partnership are: Campbell – Financial,Metal & Energy Large Portfolio ("FMELarge"), Aspect – Diversified Program("Diversified"), and Altis – The GlobalFinancial Program. As of December 31, 2005, the Partnership'sassets were allocated among the Advisors in the following approximatepercentages: Campbell, 34%, Aspect, 35%, and Altis,31%.

Campbell & Company, Inc.

Campbell trades its FME Large Portfolio for the Partnership.Campbell's trading models are designed to detect and exploitmedium-term to long-term price changes, while also applying riskmanagement and portfolio management principles.

Campbellbelieves that utilizing multiple trading models provides an importantlevel of diversification, and is most beneficial when multiplecontracts of each market are traded. Every trading model may not tradeevery market. It is possible that one trading model may signal a longposition while another trading model signals a short position in thesame market. It is Campbell's intention to offset those signalsto reduce unnecessary trading, but if the signals are not simultaneous,both trades will be taken and since it is unlikely that both positionswould prove profitable, in retrospect, one or both trades will appearto have been unnecessary. It is Campbell's policy to followtrades signaled by each trading model independently of the othermodels.

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Aspect Capital Limited.

Aspect trades its Diversified Program on behalf of the Partnership.The Diversified Program is a systematic global futures trading program.Its goal is the generation of significant long-term capital growthindependent of stock and bond market returns. This program continuouslymonitors price movements in a wide range of global financial, currencyand commodity markets, searching for profit opportunities over periodsranging from a few hours to several months.

Aspect has designedthe Diversified Program to have broad market diversification (subjectto liquidity constraints). Aspect's quantitative resources aresufficient to enable it to design and implement a broadly diversifiedportfolio with a significant allocation to numerous differentmarkets.

Aspect's Diversified Program trades over 100markets in seven major sectors: currencies, energy, metals, stockindices, bonds, agricultural commodities and interest ratesimplementing momentum strategies. Aspect is constantly examining newliquid and uncorrelated markets to incorporate in the program with theaim of improving its reward/risk ratio and capacity. Aspect has nomarket or sector preferences, believing that allowing for liquidityeffects, equal profitability can be achieved in the long-term in allmarkets. The key factors in determining the asset allocation arecorrelation and liquidity. Correlations are analyzed at the sector,sub-sector, economic block and market levels to design a portfoliowhich is highly diversified.

Altis Partners (Jersey)Limited.

Altis trades its Global Diversified Program onbehalf of the Partnership. It is a systematic, automated tradingprogram that builds on the Principals' market experience andemploys a unique proprietary Advanced Asset Allocator. The AdvancedAsset Allocator was specifically developed to manage portfolios ofderivative instruments in a robust and scalable manner. The portfoliomanagement technology combines original, traditional and contrastinginvestment techniques into one complete and comprehensive tradingsystem. Investments changes are implemented after considering theireffect on the whole portfolio not just the individual marketsconcerned.

(a)    Liquidity.

The Partnershipdoes not engage in sales of goods or services. Its only assets are itsequity in its commodity futures trading account, consisting of cash andits investments in other partnerships. Because of the low margindeposits normally required in commodity futures trading, relativelysmall price movements may result in substantial losses to thePartnership. Such substantial losses could lead to a material loss inliquidity.

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

|           |                                                                                                                                                                                                                                                                                                                                                                                                 |
|-----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Partnership invests itsassets in other partnerships that invest their assets only in commodityinterests that an Advisor believes are traded in sufficient volume topermit ease of taking and liquidating positions. Sufficient volume, inthis context, refers to a level of liquidity that the Advisor believeswill permit it to enter and exit trades without noticeably moving themarket. |

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

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

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

|           |                                                                                                                                   |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership does not utilize borrowingsexcept short-term borrowings if the Partnership takes delivery of anycash commodities. |

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

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

In the normal course of business,the Partnership through its investments in other partnerships, is partyto financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments include forwards, futures, options andswaps, whose values are based upon an underlying asset, index orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, or to purchase or sell other financialinstruments at specified terms at specified future dates, or, in thecase of derivative commodity interests, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the other partnerships due tomarket changes, including interest and foreign exchange rate movementsand fluctuations in commodity or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as counterpartyto the transactions. The Partnership's/other partnerships'risk of loss in the event of counterparty default is typically limitedto the amounts recognized in the statements of financial condition andnot represented by the contract or notional amounts of the instruments.The Partnership through its investments in other partnerships, hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's/otherpartnerships' assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership/otherpartnerships are subject. These monitoring systems allow the GeneralPartner to statistically analyze actual trading results with riskadjusted performance indicators and correlation statistics. Inaddition, online monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions. (See also"Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the notes to the financial statements.)

Otherthan the risks inherent in commodity trading, the Partnership knows ofno trends, demands, commitments, events or uncertainties which willresult in or which are reasonably likely to result in thePartnership's liquidity increasing or decreasing in any materialway. The Limited Partnership Agreement provides that the Partnershipwill cease trading operations and liquidate all open positions upon thefirst to occur of the following: (i) December 31, 2018; (ii) the voteto dissolve the Partnership by limited partners owning more than50% of the Redeemable Units; (iii) assignment by the GeneralPartner of all of its interest in the Partnership or withdrawal,removal, bankruptcy or any other event that causes the 

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General Partner to cease to be a generalpartner under the New York Revised Limited Partnership Act unless thePartnership is continued as described in the Limited PartnershipAgreement; (iv) Net Asset Value per Redeemable Unit falls to less than$400 as of the end of any trading day; or (v) the occurrence of anyevent which shall make it unlawful for the existence of the Partnershipto be continued.

(b)    Capital Resources.

(i)    The Partnership has made no material commitments forcapital expenditures.

(ii)    The Partnership's capitalconsists of the capital contributions of the partners as increased ordecreased by gains or losses on trading and by expenses, interestincome, redemptions of Redeemable Units and distributions of profits,if any. Gains or losses on trading cannot be predicted. Market moves incommodities are dependent upon fundamental and technical factors whichthe Advisors may or may not be able to identify, such as changingsupply and demand relationships, weather, government, agricultural,commercial and trade programs and policies, national and internationalpolitical and economic events and changes in interest rates.Partnership expenses consist of, among other things, commissions,advisory fees and administrative fees. The level of these expenses isdependent upon the level of trading and the ability of the Advisors toidentify and take advantage of price movements in the commoditymarkets, in addition to the level of Net Assets maintained. Inaddition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may cause all or some of their RedeemableUnits to be redeemed by the Partnership at the redemption value perRedeemable Unit thereof as of the last day of any month ending at leastthree months after such Redeemable Units have been issued, on ten daysnotice to the General Partner. No fee is charged for redemptions. Forthe year ended December 31, 2005, 3,253.3836 Redeemable Units wereredeemed totaling $4,383,276. For the year ended December 31, 2004,4,101.9750 Redeemable Units were redeemed totaling $5,527,081. For theyear ended December 31, 2003, 3,024.9460 Redeemable Units were redeemedtotaling $3,920,900.

(c)    Results ofOperations.

For the year ended December 31, 2005, the NetAsset Value per Redeemable Unit increased 10.9% from $1,334.69to $1,480.68. For the year ended December 31, 2004, the Net Asset Valueper Redeemable Unit decreased 3.6% from $1,384.25 to $1,334.69.For the year ended December 31, 2003, the Net Asset Value perRedeemable Unit increased 17.2% from $1,180.95 to $1,384.25. ThePartnership experienced a net trading gain of $8,177,275 beforebrokerage commissions and related fees in 2005. Gains were primarilyattributable to the trading of commodity futures in currencies, energy,U.S. and non-U.S. interest rates, livestock, metals, softs and indicesand were partially offset by losses in grains and wood.

ThePartnership experienced a net trading gain of $8,177,275 beforebrokerage commissions and related fees in 2005. Gains were primarilyattributable to the trading of commodity futures in currencies, energy,U.S. and non-U.S. interest rates, livestock, metals, softs and indicesand were partially offset by losses in grains and wood.

The year2005 was characterized by several events that made it generallydifficult for the Partnership's Advisors to navigate the marketssuccessfully and retain profits when earned. Profits were earned in allmarkets except grains and wood contracts.

Both the precious andbase or industrial metals sectors saw nearly uninterrupted rises inprices for the year and was the most profitable sector for partnershipduring the year. Of particular note was the price of gold which rose toover $500 an ounce by the end of the year. Base metals such as zinc,copper and aluminum also experienced substantial price increases asglobal demand and speculative trading spurred prices.

Infinancial markets, trading in foreign stock market indices was alsoprofitable for the year as a resurging Japanese economy and positivepolitical news in Europe propelled these markets out of long-termdoldrums.

Crude oil and natural gas prices increased throughoutthe year dramatically reaching their peaks post Hurricanes Katrina andRita. These markets provided extended trending patterns for thePartnership's Advisors and resulted in profits for thepartnership.

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Currency trading was slightly profitablewith the focus being the U.S. dollar versus both European and Asiancurrencies. After a prolonged decline in 2004, the U.S. dollar defiedexpectations for further weakness and rallied in January resulting inlosses for the advisors at the beginning of the year. The dollarcontinued strengthening through the second quarter but encountered aperiod of volatility at the beginning of the third quarter with theChinese government's decision to revalue the Chinese yuan.Weathering this volatility, the Partnership's Advisors were ableto retain profits despite a further reversal with a stronger dollar atyear-end. Non-U.S. and U.S. interest rate trading was profitable as wastrading in softs and livestock markets.

The Partnershipexperienced a net trading gain of $1,935,563 before commissions andexpenses for the year ended December 31, 2004. Gains were primarilyattributable to the trading of grains, lumber, livestock, energy, U.S.and non-U.S. interest rates and were partially offset by lossesincurred in the trading of currencies, indices, metals and softs.

Trading results for the year 2004 can be described in four distinctperiods: the first two months of the year produced positive results ofnearly 11% with trends carrying over from late 2003, the nextsix months which saw trend disruptions and produced losses ofapproximately 17%, the third period September through Novemberwitnessed a recovery period with net asset value per unit increasing by5%, and finally the month of December which stands alone asbasically break-even. The Partnership ended the year down 3.6%.The results for the year were heavily influenced by two historictrends: the decline and subsequent volatility in the value of the U.S.dollar versus major currencies and the run-up in the price of crude oilto over $50 a barrel.

The year started strongly with many of thetrends from late 2003 continuing into early 2004. Notably lowerinterest rates in the U.S. and other major countries fostered strongglobal economic growth and pressured commodity prices. These forcesresulted in upward trends in many sectors, especially energy, metalsand grains and provided profitable trading opportunities for thePartnership's Advisors. These trends persisted until early Marchwhen economic indicators in the U.S. and China suggested risinginflation and markets reversed precipitously with higher interestrates, collapsing commodity prices and the dollar reversal.

Thisbegan a protracted period of tentative and conflicting trends acrossmany sectors. As expected in the nature of trend-following, thestrength of profitable trends is often followed by temporary but oftensevere periods of losses. Late March through August was such a periodfor nearly all of the Partnership's Advisors as they adjustedpositions from what had been profitable, long-term trends to choppy,directionless and volatile markets. Trading was treacherous and thusunprofitable in U.S. and Asian interest rates and global stock indiceswhile energy, metals and grains provided some offsetting profits. Thefundamental economic concerns hanging over these markets were furtherexacerbated by the uncertainty surrounding the tightly contested U.S.presidential election.

With the year looking dismal going intothe fall, the price of crude oil resumed its climb to $50 a barrelbrought on by a deteriorating security situation in Iraq, Saudi Arabiapolitical turmoil, and renewed threats of terrorism. Long positions inthe energy sector contributed to profits and offset losses in othersectors. As the fourth quarter got underway, the slide in the value ofthe U.S. dollar accelerated toward $1.40 to the euro. These renewedtrends in currency prices combined with declining interest rates,stronger global stock markets and rising energy prices were favorableto the Partnership's Advisors and provided a profitable Octoberand November for the Partnership.

December in some respects wasa microcosm of the entire year with volatility across many marketsespecially currencies and energy. The net effect was a small loss forthe month and an overall decline in net asset value per unit for thePartnership for the year.

The Partnership experienced a nettrading gain of $13,936,546 before commissions and expenses for theyear ended December 31, 2003. Gains were primarily attributable to thetrading of currencies, energy, U.S. and non-U.S. interest rates, metalsand indices, and were partially offset by losses incurred in thetrading of grains and softs.

In the General Partner'sopinion, the Advisors continue to employ trading methods and produceresults consistent with the objectives of the Partnership andexpectations for the Advisors' programs. The 

17

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General Partner continues to monitor theAdvisors' performance on a daily, weekly, monthly and annualbasis to assure these objectives are met.

It should be noted thatcommodity markets are highly volatile. Broad price fluctuations andrapid inflation increase the risks involved in commodity trading, butalso increase the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisors to identify those price trends correctly. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisors are able to identify them, thePartnership expects to increase capital through operations.

(d)    Operational Risk.

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

Such risks include:

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

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

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

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

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity withaccounting principles generally accepted in the United States ofAmerica requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, revenues andexpenses, and related disclosures of contingent assets and liabilitiesin the financial statements and accompanying notes.

Allcommodity interests (including derivative financial instruments andderivative commodity instruments) held by the other partnerships areused for trading purposes. The commodity interests are recorded on thetrade date and open contracts are recorded in the statements offinancial condition at fair value on the last business day of theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General Partner for thosecommodity interests and foreign currencies for which market quotationsare not readily available, including dealer quotes for swaps andcertain option contracts. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the period.Realized gains (losses) and changes in unrealized values on commodityinterests and foreign currencies are recognized in the period in whichthe contract is closed or the changes occur and are included in netgains (losses) on trading of commodity interests.

18

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Foreign currency contracts are thosecontracts where the Partnership agrees to receive or deliver a fixedquantity of foreign currency for an agreed-upon price on an agreedfuture date. Foreign currency contracts are valued daily, and thePartnership's net equity therein, representing unrealized gain orloss on the contracts as measured by the difference between the forwardforeign exchange rates at the dates of entry into the contracts and theforward rates at the reporting dates, is included in the statements offinancial condition. Realized gains (losses) and changes in unrealizedvalues on foreign currency contracts are recognized in the period inwhich the contract is closed or the changes occur and are included inthe statements of income and expenses and changes in members'capital.

The General Partner believes that the accountingpolicies that will be most critical to the Partnership'sfinancial condition and results of operations relate to the valuationof the Master's positions. The majority of thePartnership's/Master's positions will be exchange-tradedfutures contracts, which will be valued daily at settlement pricespublished by the exchanges. Swap contracts generally will be valued byreference to published settlement prices or dealers' quotes inrelated markets or other measures of fair value deemed appropriate bythe General Partner. The General Partner expects that under normalcircumstances substantially all of thePartnership's/Master's assets will be valued by objectivemeasures and without difficulty.

Item 7A.    Quantitativeand Qualitative Disclosures About Market Risk.

Introduction

The Partnership is a speculative commoditypool. The market sensitive instruments held by it are acquired forspeculative trading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Partnership's main line ofbusiness.

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of the Partnershipassets and undistributed profits. This limited liability is aconsequence of the organization of the Partnership as a limitedpartnership under applicable law.

Market movements result infrequent changes in the fair market value of the Partnership'sopen positions and, 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 market value of financial instrumentsand contracts, the diversification effects among thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing aswell as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Partnership's losses in any market sector will be limited toValue at Risk or by the Partnership's attempts to manage itsmarket risk.

Quantifying the Partnership's Trading Valueat Risk

The following quantitative disclosures regarding thePartnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative 

19

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disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor except forstatements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

ThePartnership's risk exposure in the various market sectors tradedby the Advisors is quantified below in terms of Value at Risk. Due tothe Partnership's mark-to-market accounting, any loss in the fairvalue of the Partnership's open positions is directly reflectedin the Partnership's earnings (realized and unrealized).

Exchange maintenance margin requirements have been used by thePartnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%–99% of any one-day interval. Themaintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of currentmarket volatility (including the implied volatility of the options on agiven futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component which is not relevant to Value at Risk.

Inthe case of market sensitive instruments which are not exchange traded(almost exclusively currencies in the case of the Partnership), themargin requirements for the equivalent futures positions have been usedas Value at Risk. In those rare cases in which a futures-equivalentmargin is not available, dealers' margins have been used.

The fair value of the Partnership's futures and forwardpositions does not have any optionality component. However, certain ofthe Advisors trade commodity options. The Value at Risk associated withoptions is reflected in the following table as the margin requirementattributable to the instrument underlying each option. Where thisinstrument is a futures contract, the futures margin has been used, andwhere this instrument is a physical commodity, the futures-equivalentmaintenance margin has been used. This calculation is conservative inthat it assumes that the fair value of an option will decline by thesame amount as the fair value of the underlying instrument, whereas, infact, the fair values of the options traded by the Partnership inalmost all cases fluctuate to a lesser extent than those of theunderlying instruments.

In quantifying the Partnership'sValue at Risk, 100% positive correlation in the differentpositions held in each market risk category has been assumed.Consequently, the margin requirements applicable to the open contractshave simply been added to determine each trading category'saggregate Value at Risk. The diversification effects resulting from thefact that the Partnership's positions are rarely, if ever,100% positively correlated have not been reflected.

20

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The Partnership's Trading Value atRisk in Different Market Sectors

The following tables indicatethe trading Value at Risk associated with the Partnership's openpositions by market category as of December 31, 2004 and the highest,lowest and average values at any point during the year. All openposition trading risk exposures of the Partnership have been includedin calculating the figures set forth below. As of December 31, 2004,the Partnership's total capitalization was $46,309,169.

December 31,2004

|                                 |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies                      |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  | $             | 256,224   |                    |  |             | 0.55   | %           |  |                 | 285,604   |   |  |   | 134,288 |   |  |   | 226,269   |   |
| —OTCContracts             |  |          | 1,537,740 |                    |  |             | 3.32   | %           |  |                 | 1,900,391 |   |  |   | 530,949 |   |  |   | 1,123,435 |   |
| Energy                          |  |          | 570,245   |                    |  |             | 1.23   | %           |  |                 | 948,624   |   |  |   | 245,217 |   |  |   | 582,094   |   |
| Grains                          |  |          | 240,688   |                    |  |             | 0.52   | %           |  |                 | 434,204   |   |  |   | 76,491  |   |  |   | 274,487   |   |
| InterestratesU.S.               |  |          | 412,900   |                    |  |             | 0.89   | %           |  |                 | 957,450   |   |  |   | 85,965  |   |  |   | 448,635   |   |
| InterestratesNon-U.S.           |  |          | 1,249,539 |                    |  |             | 2.70   | %           |  |                 | 2,428,078 |   |  |   | 725,328 |   |  |   | 1,318,767 |   |
| Livestock                       |  |          | 65,600    |                    |  |             | 0.14   | %           |  |                 | 150,200   |   |  |   | 3,200   |   |  |   | 74,242    |   |
| Metals                          |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —Exchange TradedContracts |  |          | 79,000    |                    |  |             | 0.17   | %           |  |                 | 311,900   |   |  |   | 62,000  |   |  |   | 157,910   |   |
| —OTCContracts             |  |          | 418,954   |                    |  |             | 0.91   | %           |  |                 | 777,420   |   |  |   | 259,515 |   |  |   | 444,799   |   |
| Softs                           |  |          | 276,929   |                    |  |             | 0.60   | %           |  |                 | 471,798   |   |  |   | 57,000  |   |  |   | 300,236   |   |
| Indices                         |  |          | 1,969,204 |                    |  |             | 4.25   | %           |  |                 | 3,060,289 |   |  |   | 613,184 |   |  |   | 1,447,003 |   |
| Lumber                          |  |          | 3,300     |                    |  |             | 0.01   | %           |  |                 | 25,950    |   |  |   | 700     |   |  |   | 13,375    |   |
| Total                           |  | $             | 7,080,323 |                    |  |             | 15.29  | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

|   |                                                |
|---|------------------------------------------------|
| * | annualaverage based on month-end value at risk |

MaterialLimitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by thePartnership is typically many times the applicable maintenance marginrequirement (margin requirements generally range between 2% and15% of contract face value) as well as many times thecapitalization of the Partnership. The magnitude of thePartnership's open positions creates a "risk ofruin" not typically found in most other investmentvehicles. Because of the size of its positions, certain marketconditions — unusual, but historically recurring from time totime — could cause the Partnership to incur severe losses over ashort period of time. The foregoing Value at Risk table — as wellas the past performance of the Partnership — give no indicationof this "risk of ruin."

Non-TradingRisk

The Partnership has non-trading market risk on its foreigncash balances not needed for margin. However, these balances (as wellas any market risk they represent) are immaterial.

Materialityas used in this section, "Qualitative and QuantitativeDisclosures About Market Risk," is based on an assessmentof reasonably possible market movements and the potential losses causedby such movements, taking into account the leverage, optionality andmultiplier features of the Partnership's market sensitiveinstruments.

Qualitative Disclosures Regarding Primary TradingRisk Exposures

The following qualitative disclosures regardingthe Partnership's market risk exposures – except for (i)those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership 

21

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manages its primary market risk exposures– constitute forward-looking statements within the meaning ofSection 27A of the Securities Act and Section 21E of the SecuritiesExchange Act. The Partnership's primary market risk exposures aswell as the strategies used and to be used by the General Partner andthe Advisors for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could causethe actual results of the Partnership's risk controls to differmaterially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Partnership. There can be noassurance that the Partnership's current market exposure and/orrisk management strategies will not change materially or that any suchstrategies will be effective in either the short or long term.Investors must be prepared to lose all or substantially all of theirinvestment in the Partnership.

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

Interest Rates. Interest rate movementsdirectly affect the price of the futures positions held by thePartnership and indirectly the value of its stock index and currencypositions. Interest rate movements in one country as well as relativeinterest rate movements between countries materially impact thePartnership's profitability. The Partnership's primaryinterest rate exposure is to interest rate fluctuations in the UnitedStates and the other G-8 countries.

Currencies. ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic conditions. The Partnership'smajor exposures have typically been in the dollar/yen, dollar/Swissfranc and dollar/pound positions. The General Partner does notanticipate that the risk profile of the Partnership's currencysector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted intoU.S. dollars with an incremental adjustment to reflect the exchangerate risk inherent to the dollar-based Partnership in expressing Valueat Risk in a functional currency other than U.S. dollars.

Stock Indices. The Partnership's primary equityexposure is to equity price risk in the G-8 countries. The stock indexfutures traded by the Partnership are limited to futures on broadlybased indices. As of December 31, 2005, the Partnership's primaryexposures were in the LIFFE (England), Nikkei (Japan), EUREX (German)and S&P stock indices. The Partnership is primarily exposed to therisk of adverse price trends or static markets in the major U.S.,European and Japanese indices. (Static markets would not cause majormarket changes but would make it difficult for the Partnership to avoidbeing "whipsawed" into numerous smalllosses.)

Metals. The Partnership's primary metalmarket exposure is to fluctuations in the price of copper andaluminum.

Softs. The Partnership's primarycommodities exposure is to agricultural price movements which are oftendirectly affected by severe or unexpected weather conditions.

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

QualitativeDisclosures Regarding Non-Trading Risk Exposure

The followingwere the only non-trading risk exposures of the Partnership as ofDecember 31, 2005. 

Foreign Currency Balances. ThePartnership's primary foreign currency balances are in Japaneseyen, Euro dollars, British pounds and Australian dollars. The Advisorregularly converts foreign currency balances to dollars in an attemptto control the Partnership's non-trading risk.

22

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Qualitative Disclosures Regarding Meansof Managing Risk Exposure

The General Partner monitors andcontrols the Partnership's risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject.

The General Partner monitors the Partnership'sperformance and the concentration of its open positions, and consultswith the Advisors concerning the Partnership's overall riskprofile. If the General Partner felt it necessary to do so, the GeneralPartner could require the Advisors to close out individual positions aswell as enter certain positions traded on behalf of the Partnership.However, any such intervention would be a highly unusual event. TheGeneral Partner primarily relies on the Advisors' own riskcontrol policies while maintaining a general supervisory overview ofthe Partnership's market risk exposures.

Each Advisorapplies its own risk management policies to its trading. The Advisorsoften follow diversification guidelines, margin limits and stop losspoints to exit a position. The Advisors' research of riskmanagement often suggests ongoing modifications to their tradingprograms.

As part of the General Partner's riskmanagement, the General Partner periodically meets with the Advisors todiscuss their risk management and to look for any material changes tothe Advisors' portfolio balance and trading techniques. TheAdvisors are required to notify the General Partner of any materialchanges to their programs.

23

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Item8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY GLOBAL DIVERSIFIED FUTURES FUND L.P. INDEXTO FINANCIALSTATEMENTS

|                                                                                                                                                               |  |             |  |  |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------|--|-------------|--|--|--|--|
|                                                                                                                                                          |  | PageNumber  |
| Oath or Affirmation                                                                                                                                           |  | F-2         |
| Reportof Independent Registered Public AccountingFirm                                                                                                         |  | F-3         |
| FinancialStatements:                                                                                                                                          |  |        |
| Statements of FinancialCondition at December 31, 2005 and 2004                                                                                                |  | F-4         |
| Condensed Schedules of Investments atDecember 31, 2005 and 2004                                                                                               |  | F-5 -F-6    |
| Statements of Income and Expenses for the yearsended December 31, 2005, 2004 and  2003                                                                        |  | F-7         |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004 and2003                                                                 |  | F-8         |
| Statements of Cash Flows for theyears ended December 31, 2005, 2004 and2003                                                                                   |  | F-9         |
| Notes to Financial Statements                                                                                                                                 |  | F-10 - F-15 |
| Selected Unaudited QuarterlyFinancial Data                                                                                                                    |  | F-16        |
| FinancialStatements of CMF Campbell Master FundL.P.                                                                                                           |  |        |
| Oath ofAffirmation                                                                                                                                            |  | F-17        |
| Independent Auditors'Report                                                                                                                                   |  | F-18        |
| Statement of Financial Conditionat December 31, 2005                                                                                                          |  | F-19        |
| Condensed Scheduleof Investments at December 31,2005                                                                                                          |  | F-20        |
| Statement of Income and Expensesfor the year ended December 31,2005                                                                                           |  | F-21        |
| Statement of Changes inPartners' Capital for the year ended December 31,2005                                                                                  |  | F-22        |
| Statement of Cash Flows for theyear ended December 31, 2005                                                                                                   |  | F-23        |
| Notes toFinancial Statements                                                                                                                                  |  | F-24 - F27  |
| SelectedUnaudited Quarterly FinancialData                                                                                                                     |  | F-28        |
| Financial Statements ofCMF Aspect Master Fund L.P.                                                                                                            |  |        |
| Oath ofAffirmation                                                                                                                                            |  | F-29        |
| Independent Auditors'Report                                                                                                                                   |  | F-30        |
| Statement of Financial Conditionat December 31, 2005                                                                                                          |  | F-31        |
| Condensed Scheduleof Investments at December 31,2005                                                                                                          |  | F-32        |
| Statement of Income and Expensesfor the period from March 1, 2005     (commencement of tradingoperations) to December 31,2005             |  | F-33        |
| Statement of Changes inPartners' Capital for the period from March 1, 2005    (commencement of trading operations) to December 31,2005    |  | F-34        |
| Statement of Cash Flows for theperiod from March 1, 2005     (commencement of tradingoperations) to December 31, 2005                     |  | F-35        |
| Notesto Financial Statements                                                                                                                                  |  | F-36 - F-39 |
| SelectedUnaudited Quarterly FinancialData                                                                                                                     |  | F-40        |
| Financial Statements ofCMF Altis Partners Master Fund L.P.                                                                                                    |  |        |
| Oath ofAffirmation                                                                                                                                            |  | F-41        |
| Independent Auditors'Report                                                                                                                                   |  | F-42        |
| Statement of Financial Conditionat December 31, 2005                                                                                                          |  | F-43        |
| Condensed Scheduleof Investments at December 31,2005                                                                                                          |  | F-44        |
| Statement of Income and Expensesfor the period from November 1, 2005    (commencement of tradingoperations) to December 31,2005           |  | F-45        |
| Statement of Changes inPartners' Capital for the period from November 1, 2005    (commencement of trading operations) to December 31,2005 |  | F-46        |
| Statement of Cash Flows for theperiod from November 1, 2005     (commencement of tradingoperations) to December 31, 2005                  |  | F-47        |
| Notesto Financial Statements                                                                                                                                  |  | F-48 - F-51 |
| SelectedUnaudited Quarterly FinancialData                                                                                                                     |  | F-52        |
|                                                                                                                                                               |

F-1

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To theLimited Partners ofSalomon Smith Barney Global Diversified FuturesFund L.P.

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

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

|  | By:Daniel R. McAuliffe, Jr. |
|--|-----------------------------|

|  | Chief FinancialOfficer and DirectorCitigroup Managed Futures LLCGeneralPartner, Salomon Smith BarneyGlobal Diversified Futures FundL.P. |
|--|-----------------------------------------------------------------------------------------------------------------------------------------|

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

F-2

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Report of Independent Registered PublicAccounting Firm

To the Partners ofSalomon Smith Barney Global Diversified Futures Fund L.P.:

Wehave audited the accompanying statements of financial condition ofSalomon Smith Barney Global Diversified Futures Fund L.P. (the"Partnership"), including the condensedschedules of investments, as of December 31, 2005 and 2004, and therelated statements of income and expenses, changes in partners'capital, and cash flows for each of the years in the three year periodended December 31, 2005. These financial statements are theresponsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits in accordance withauditing standards generally accepted in the United States of America.Those standards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. An audit includes examining, on a test basis,evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principlesused and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believethat our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of Salomon SmithBarney Global Diversified Futures Fund L.P. as of December 31, 2005 and2004, and the results of its operations, changes in its members'capital, and its cash flows for each of the years in the three-yearperiod ended December 31, 2005, in conformity with U.S. generallyaccepted accountingprinciples.

NewYork, New York March 13, 2006

F-3

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SalomonSmith BarneyGlobal Diversified Futures Fund L.P.Statements ofFinancial ConditionDecember 31, 2005 and 2004

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2005   |            | 2004   |
| Assets:                                                                                                                                |  |   |       |   |  |   |       |   |
| Equityin commodity futures tradingaccount:                                                                                             |  |   |       |   |  |   |       |   |
| Investment inPartnerships at FairValue                                                                                                 |  | $      | 47,537,531 |   |  | $      | —    |   |
| Cash(restricted $0 and $7,809,827 in 2005 and 2004, respectively)(Note3c)                                                              |  |   | 24,949     |   |  |   | 45,957,960 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |   | —    |   |  |   | 1,304,242  |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |   | —    |   |  |   | 2,441,507  |   |
|                                                                                                                                   |  |   | 47,562,480 |   |  |   | 49,703,709 |   |
| Interestreceivable (Note3c)                                                                                                            |  |   | —    |   |  |   | 61,912     |   |
|                                                                                                                                   |  | $      | 47,562,480 |   |  | $      | 49,765,621 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                           |  |   |       |   |  |   |       |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  | $      | —    |   |  | $      | 2,410,164  |   |
| Accruedexpenses:                                                                                                                       |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                   |  |   | 218,136    |   |  |   | 216,593    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 70,024     |   |  |   | 68,950     |   |
| Incentivefees (Note3b)                                                                                                                 |  |   | 451,973    |   |  |   | 357,621    |   |
| Professionalfees                                                                                                                       |  |   | 13,367     |   |  |   | 28,522     |   |
| Other                                                                                                                                  |  |   | 15,598     |   |  |   | 13,393     |   |
| Redemptionspayable (Note6)                                                                                                             |  |   | 235,979    |   |  |   | 361,209    |   |
|                                                                                                                                   |  |   | 1,005,077  |   |  |   | 3,456,452  |   |
| Partners'capital (Notes 1 and6):                                                                                                       |  |   |       |   |  |   |       |   |
| General Partner,619.7983 Unit equivalents outstanding in 2005 and2004                                                                  |  |   | 917,723    |   |  |   | 827,239    |   |
| LimitedPartners, 30,823.4179 and 34,076.8015 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 45,639,680 |   |  |   | 45,481,930 |   |
|                                                                                                                                   |  |   | 46,557,403 |   |  |   | 46,309,169 |   |
|                                                                                                                                   |  | $      | 47,562,480 |   |  | $      | 49,765,621 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-4

----

Salomon Smith Barney GlobalDiversified Futures Fund L.P.Condensed Schedule ofInvestmentsDecember 31, 2005

|                                   |  |           |            |                      |  |        |        |         |  |  |
|-----------------------------------|--|-----------|------------|----------------------|--|--------|--------|---------|--|--|
|                              |  | FairValue |            | % ofPartners'Capital |
| Investmentin Partnerships         |  |      |       |                 |  |   |   |    |
| CMF AltisPartners Master FundL.P. |  | $         | 14,780,472 |                 |  |   | 31.75  | %  |
| CMFAspect Master FundL.P.         |  |      | 16,321,019 |                 |  |   | 35.06  |    |
| CMF CampbellMaster Fund L.P.      |  |      | 16,436,040 |                 |  |   | 35.30  |    |
| Total FairValue                   |  | $         | 47,537,531 |                 |  |   | 102.11 | %  |
|                                   |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwiseindicated |

See accompanying notes to financialstatements.

F-5

----

Salomon Smith Barney GlobalDiversified Futures Fund L.P.Condensed Schedule ofInvestmentsDecember 31, 2004

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                         |  |      |       |                 |  |   |   |     |
| Currencies                                        |  | $         | (25,785    | )               |  |   | (0.06  | )%  |
| Energy                                            |  |      | (76,043    | )               |  |   | (0.16  | )   |
| Grains                                            |  |      | 48,617     |                 |  |   | 0.11   |     |
| Interest RatesNon-U.S.                            |  |      | 297,191    |                 |  |   | 0.64   |     |
| InterestRates U.S.                                |  |      | 6,524      |                 |  |   | 0.01   |     |
| Indices                                           |  |      | 473,453    |                 |  |   | 1.02   |     |
| Livestock                                         |  |      | 70,660     |                 |  |   | 0.15   |     |
| Metals                                            |  |      | 50,652     |                 |  |   | 0.11   |     |
| Softs                                             |  |      | 117,862    |                 |  |   | 0.25   |     |
| Total futures contractspurchased                  |  |      | 963,131    |                 |  |   | 2.07   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (13,704    | )               |  |   | (0.03  | )   |
| Energy                                            |  |      | 96,079     |                 |  |   | 0.20   |     |
| Grains                                            |  |      | 206,863    |                 |  |   | 0.45   |     |
| Interest RatesNon-U.S.                            |  |      | (451       | )               |  |   | (0.00) | *   |
| InterestRates U.S.                                |  |      | 15,306     |                 |  |   | 0.03   |     |
| Indices                                           |  |      | 1,825      |                 |  |   | 0.01   |     |
| Lumber                                            |  |      | (8,646     | )               |  |   | (0.02  | )   |
| Livestock                                         |  |      | 2,848      |                 |  |   | 0.01   |     |
| Metals                                            |  |      | 18,032     |                 |  |   | 0.04   |     |
| Softs                                             |  |      | 22,959     |                 |  |   | 0.05   |     |
| Total futures contractssold                       |  |      | 341,111    |                 |  |   | 0.74   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 1,562,525  |                 |  |   | 3.37   |     |
| Metals                                            |  |      | 878,982    |                 |  |   | 1.90   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 2,441,507  |                 |  |   | 5.27   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (1,441,804 | )               |  |   | (3.11  | )   |
| Metals                                            |  |      | (968,360   | )               |  |   | (2.09  | )   |
| Totalunrealized depreciation on forwardcontracts  |  |      | (2,410,164 | )               |  |   | (5.20  | )   |
| Totalfair value                                   |  | $         | 1,335,585  |                 |  |   | 2.88   | %   |
|                                                   |

|  |                                                                                      |
|--|--------------------------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated* Due torounding |

See accompanying notes to financialstatements.

F-6

----

Salomon Smith BarneyGlobalDiversified Futures Fund L.P.Statements of Income andExpensesfor the years ended December 31, 2005, 2004 and2003

|                                                                                                                            |  |        |           |         |  |        |            |         |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------|--|--------|-----------|---------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                       |  | 2005   |           | 2004    |  | 2003   |
| Income:                                                                                                                    |  |   |      |    |  |   |       |    |  |   |       |   |
| Netgains (losses) on trading of commodityinterests:                                                                        |  |   |      |    |  |   |       |    |  |   |       |   |
| Realizedgains (losses) on closed positions and foreigncurrencies                                                           |  | $      | (389,655  | )  |  | $      | 4,147,100  |    |  | $      | 13,649,957 |   |
| Changein unrealized gains (losses) on open positions and Investment inPartnerships                                         |  |   | 8,566,930 |    |  |   | (2,211,537 | )  |  |   | 286,589    |   |
|                                                                                                                       |  |   | 8,177,275 |    |  |   | 1,935,563  |    |  |   | 13,936,546 |   |
| Interestincome (Note  3c)                                                                                                  |  |   | 257,057   |    |  |   | 493,041    |    |  |   | 414,271    |   |
|                                                                                                                       |  |   | 8,434,332 |    |  |   | 2,428,604  |    |  |   | 14,350,817 |   |
| Expenses:                                                                                                                  |  |   |      |    |  |   |       |    |  |   |       |   |
| Brokeragecommissions including clearing fees of $55,048, $98,661 and $134,373 in2005, 2004 and 2003, respectively (Note3c) |  |   | 2,508,259 |    |  |   | 3,000,995  |    |  |   | 3,165,689  |   |
| Managementfees (Note3b)                                                                                                    |  |   | 777,800   |    |  |   | 882,122    |    |  |   | 924,561    |   |
| Incentivefees (Note3b)                                                                                                     |  |   | 451,973   |    |  |   | 357,621    |    |  |   | 1,953,719  |   |
| Professionalfees                                                                                                           |  |   | 34,640    |    |  |   | 41,064     |    |  |   | 51,774     |   |
| Otherexpenses                                                                                                              |  |   | 30,150    |    |  |   | 17,550     |    |  |   | 18,801     |   |
|                                                                                                                       |  |   | 3,802,822 |    |  |   | 4,299,352  |    |  |   | 6,114,544  |   |
| Netincome(loss)                                                                                                            |  | $      | 4,631,510 |    |  | $      | (1,870,748 | )  |  | $      | 8,236,273  |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and7)     |  | $      | 145.99    |    |  | $      | (49.56     | )  |  | $      | 203.30     |   |
|                                                                                                                            |

Seeaccompanying notes to financial statements.

F-7

----

Salomon Smith BarneyGlobalDiversified Futures Fund L.P.Statements of Changes inPartners' Capitalfor the years ended December 31, 2005, 2004and2003

|                                                                          |  |                 |            |                |  |        |         |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|---------|---------|--|--------|------------|---------|--|--|
|                                                                     |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners'capital at December 31, 2002                                    |  | $               | 48,659,674 |           |  | $      | 731,951 |    |  | $      | 49,391,625 |    |
| Netincome                                                                |  |            | 8,110,268  |           |  |   | 126,005 |    |  |   | 8,236,273  |    |
| Redemptionof 3,024.9460 Redeemable Units of Limited Partnership Interest |  |            | (3,920,900 | )         |  |   | — |    |  |   | (3,920,900 | )  |
| Partners'capital at December 31, 2003                                    |  |            | 52,849,042 |           |  |   | 857,956 |    |  |   | 53,706,998 |    |
| Netloss                                                                  |  |            | (1,840,031 | )         |  |   | (30,717 | )  |  |   | (1,870,748 | )  |
| Redemption of 4,101.9750 RedeemableUnits of Limited Partnership Interest |  |            | (5,527,081 | )         |  |   | — |    |  |   | (5,527,081 | )  |
| Partners'capital at December 31, 2004                                    |  |            | 45,481,930 |           |  |   | 827,239 |    |  |   | 46,309,169 |    |
| Netincome                                                                |  |            | 4,541,026  |           |  |   | 90,484  |    |  |   | 4,631,510  |    |
| Redemptionof 3,253.3836 Redeemable Units of Limited PartnershipInterest  |  |            | (4,383,276 | )         |  |   | — |    |  |   | (4,383,276 | )  |
| Partners'capital at December 31,2005                                     |  | $               | 45,639,680 |           |  | $      | 917,723 |    |  | $      | 46,557,403 |    |
|                                                                          |

NetAsset Value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2003 |  | $ | 1,384.25 |   |
| 2004 |  | $ | 1,334.69 |   |
| 2005 |  | $ | 1,480.68 |   |
|      |

Seeaccompanying notes to financial statements.

F-8

----

Salomon Smith Barney GlobalDiversified Futures Fund L.P.Statements of Cash Flowsfor theyears ended December 31, 2005, 2004 and 2003

|                                                                                                 |  |        |             |         |  |        |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                            |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operatingactivities:                                                             |  |   |        |    |  |   |       |    |  |   |       |    |
| Net income(loss)                                                                                |  | $      | 4,631,510   |    |  | $      | (1,870,748 | )  |  | $      | 8,236,273  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |   |        |    |  |   |       |    |  |   |       |    |
| Changesin operating assets andliabilities:                                                      |  |   |        |    |  |   |       |    |  |   |       |    |
| Purchase ofInvestment in Partnerships                                                           |  |   | (46,563,843 | )  |  |   | —    |    |  |   | —    |    |
| Proceedsfrom sale of Investment in Partnerships                                                 |  |   | 5,108,518   |    |  |   | —    |    |  |   | —    |    |
| Netunrealized appreciation (depreciation) on Investment in Master                               |  |   | (6,082,206  | )  |  |   | —    |    |  |   | —    |    |
| (Increase)decrease in restrictedcash                                                            |  |   | 7,809,827   |    |  |   | (1,169,544 | )  |  |   | (812,689   | )  |
| (Increase)decrease in net unrealized appreciation on open futures positions                     |  |   | 1,304,242   |    |  |   | (49,739    | )  |  |   | 1,654,112  |    |
| (Increase)decrease in unrealized appreciation on open forward contracts                         |  |   | 2,441,507   |    |  |   | 1,424,664  |    |  |   | (1,923,371 | )  |
| (Increase)decrease in interest receivable                                                       |  |   | 61,912      |    |  |   | (31,770    | )  |  |   | 9,793      |    |
| Increase(decrease) in unrealized depreciation on open forward contracts                         |  |   | (2,410,164  | )  |  |   | 836,612    |    |  |   | (17,330    | )  |
| Accruedexpenses:                                                                                |  |   |        |    |  |   |       |    |  |   |       |    |
| Increase(decrease) in commissions                                                               |  |   | 1,543       |    |  |   | (41,347    | )  |  |   | 18,978     |    |
| Increase(decrease) in management fees                                                           |  |   | 1,074       |    |  |   | (11,193    | )  |  |   | 3,077      |    |
| Increase(decrease) in incentive fees                                                            |  |   | 94,352      |    |  |   | (1,596,098 | )  |  |   | 660,248    |    |
| Increase(decrease) in professional fees                                                         |  |   | (15,155     | )  |  |   | (14,195    | )  |  |   | (8,349     | )  |
| Increase(decrease) in other                                                                     |  |   | 2,205       |    |  |   | 3,941      |    |  |   | 2,968      |    |
| Netcash provided by (used in) operating activities                                              |  |   | (33,614,678 | )  |  |   | (2,519,417 | )  |  |   | 7,823,710  |    |
| Cashflows from financingactivities:                                                             |  |   |        |    |  |   |       |    |  |   |       |    |
| Payments forredemptions – LimitedPartners                                                 |  |   | (4,508,506  | )  |  |   | (5,356,380 | )  |  |   | (4,775,164 | )  |
| Netchange in cash                                                                               |  |   | (38,123,184 | )  |  |   | (7,875,797 | )  |  |   | 3,048,546  |    |
| Unrestrictedcash, at beginning of year                                                          |  |   | 38,148,133  |    |  |   | 46,023,930 |    |  |   | 42,975,384 |    |
| Unrestrictedcash, at end of year                                                                |  | $      | 24,949      |    |  | $      | 38,148,133 |    |  | $      | 46,023,930 |    |
|                                                                                                 |

Seeaccompanying notes to financialstatements.

F-9

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

1.    Partnership Organization:

Salomon SmithBarney Global Diversified Futures Fund L.P. (the"Partnership") is a limited partnershiporganized under the laws of the State of New York on June 15, 1998 toengage in the speculative trading of a diversified portfolio ofcommodity interests, including futures contracts, options and forwards.The commodity interests that are traded by the Partnership are volatileand involve a high degree of market risk.

Between November 25,1998 (commencement of the offering period) and February 1, 1999, 33,379redeemable units of Limited Partnership Interest("Redeemable Units") were sold at $1,000 perRedeemable Unit. The proceeds of the initial offering were held in anescrow account until February 2, 1999, at which time they were turnedover to the Partnership for trading. The Partnership was authorized tosell 100,000 Redeemable Units during its offering period which endedNovember 25, 2000.

Citigroup Managed Futures LLC acts as thegeneral partner (the "General Partner") ofthe Partnership. The Partnership's commodity broker is CitigroupGlobal Markets Inc. ("CGM"). CGM is anaffiliate of the General Partner. The General Partner is wholly ownedby Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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

The Partnership will beliquidated upon the first to occur of the following: December 31, 2018;the Net Asset Value of a Redeemable Unit decreases to less than $400per Redeemable Unit as of a close of any business day; or under certainother circumstances as defined in the Limited PartnershipAgreement.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of the Partnership'sinvestments in other partnerships reflects the Partnership'sproportional interest in the other partnerships. All commodityinterests (including derivative financial instruments and derivativecommodity instruments) held by the other partnerships are used fortrading purposes. The commodity interests are recorded on trade dateand open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the year.Realized gains (losses) and changes in unrealized gains (losses) onopen positions are recognized in the period in which the contract isclosed or the changes occur and are included in net gains (losses) ontrading of commodity interests. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | ThePartnership may purchase and write (sell) options. An option is acontract allowing, but not requiring, its holder to buy (call) or sell(put) a specific or standard commodity or financial instrument at aspecified price during a specified time period. The option premium isthe total price paid or received for the option contract. When thePartnership writes an option, the premium received is recorded as aliability in the statements of financial condition and marked to marketdaily. When the Partnership purchases an option, the premium paid isrecorded as an asset in the statements of financial condition andmarked to market daily. |

|          |                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Income taxes havenot been provided as each partner is individually liable for the taxes,if any, on their share of the Partnership's income andexpenses. |

F-10

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

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

3.    Agreements:

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

The General Partner administers the business and affairs ofthe Partnership including selecting one or more advisors to maketrading decisions for the Partnership.

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

TheGeneral Partner, on behalf of the Partnership, has entered intoManagement Agreements with Campbell & Company, Inc.("Campbell"), Aspect Capital Limited("Aspect") and Altis Partners (Jersey)Limited ("Altis") (collectively, the"Advisors"), each of which are registeredcommodity trading advisors. The Advisors are not affiliated with oneanother, are not affiliated with the General Partner or CGM and are notresponsible for the organization or operation of the Partnership. ThePartnership will pay each Advisor a monthly management fee equal to 1/6of 1% (2% a year) of month-end Net Assets allocated tothe Advisor, except for Aspect, which will receive a monthly managementfee equal to 1/12 of 1.25% (1.25% a year) of month-endNet Assets allocated to it. Month-end Net Assets, for the purpose ofcalculating management fees are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees.

|        |                                                                                                                                                                                                                              |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | In addition, the Partnershipis obligated to pay each Advisor an incentive fee, payable annually,equal to 20% of the New Trading Profits, as defined in theManagement Agreements, earned by each Advisor for the Partnership. |

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

ThePartnership has entered into a Customer Agreement which provides thatthe Partnership will pay CGM a monthly brokerage fee equal to 9/20 of1% (5.4% per year) of month-end Net Assets, in lieu ofbrokerage commissions on a per trade basis. Month-end Net Assets, forthe purpose of calculating commissions are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction of accruedexpenses and redemptions payable. CGM will pay a portion of brokeragefees to its financial consultants who have sold Redeemable Units inthis Partnership. Brokerage fees will be paid for the life of thePartnership, although the rate at which such fees are paid may bechanged. The Partnership will pay for National Futures Association feesas well as exchange, clearing, user, give-up and floor brokerage fees.All of the Partnership's assets are deposited in thePartnership's account at CGM. The Partnership's cash isdeposited by CGM in segregated bank accounts to the extent required byCommodity Futures Trading Commission regulations. At December 31, 2005and 2004, the amount of cash held for margin requirements was $0 and$7,809,827, respectively. CGM will pay the Partnership interest on80% of the average daily equity maintained in cash in itsaccount during each month at a 30-day U.S. Treasury bill ratedetermined weekly by CGM based on the average noncompetitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on whichsuch weekly rate is determined. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party.

F-11

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

4.    Trading Activities:

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

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair valueduring the years ended December 31, 2005 and 2004, based on a monthlycalculation, was $916,485 and $1,962,289, respectively.

5.    Investment in Partnerships:

On January 1, 2005, theassets allocated to Campbell for trading were invested in the CMFCampbell Master Fund L.P. ("CampbellMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased17,534.8936 Units of the Campbell Master with cash equal to $17,341,826and a contribution of open commodity futures and forwards positionswith a fair value of $193,067. Campbell Master was formed to permitcommodity pools managed now and in the future by Campbell usingCampbell's Financials Metals and Energy"FME" Portfolio, the Advisor'sproprietary trading program, to invest together in one trading vehicle.The General Partner is the general partner of Campbell Master.Individual and pooled accounts are permitted to be a limited partner ofCampbell Master. The General Partner and the Advisor believe thattrading through this structure should promote efficiency and economy inthe trading process. Expenses to the Advisors as a result of theinvestment in Campbell Master are approximately the same and redemptionrights are not affected.

On March 1, 2005, the assets allocatedto Aspect for trading were invested in the CMF Aspect Master Fund L.P.("Aspect Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 16,015.3206 Units of the Aspect Master with cashequal to $14,955,106 and a contribution of open commodity futures andforwards positions with a fair value of $1,060,214. Aspect Master wasformed to permit commodity pools managed now and in the future byAspect using Aspect's Diversified Portfolio Program, theAdvisor's proprietary trading program, to invest together in onetrading vehicle. The General Partner of the partnership is the generalpartner of Aspect Master. Individual and pooled accounts are permittedto be a limited partner of Aspect Master. The General Partner and theAdvisor believe that trading through this structure should promoteefficiency and economy in the trading process. Expenses to the Advisorsas a result of the investment in Aspect Master are approximately thesame and redemption rights are not affected.

On November 1,2005, the assets allocated to Altis for trading were invested in theCMF Altis Partners Master Fund L.P. ("AltisMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased13,013.6283 Units of the Altis Master with cash equal to $11,227,843and a contribution of open commodity futures and forwards positionswith a fair value of $1,785,785. Altis Master was formed to permitcommodity pools managed now and in the future by Altis using AltisDiversified Portfolio Program, the Advisor's proprietary tradingprogram, to invest together in one trading vehicle. The general partnerof the partnership is the General Partner of Altis Master. Individualand pooled accounts are permitted to be a limited partner of AltisMaster. The General Partner and the Advisor believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to the Advisors as a result of the investmentin Altis Master are approximately the same and redemption rights arenot affected.

Campbell Master's, Aspect Master's andAltis Master's (the "Master Funds")trading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchanges and foreign commodity exchanges. The Master Funds engage insuch trading through commodity brokerage accounts maintained byCGM.

A limited partner may withdraw all or part of their capitalcontribution and undistributed profits, if any from the Master Funds inmultiples of the net asset value per united of limited partnershipinterest 

F-12

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

as of the last day of the month after arequest for redemption has been made to the General Partner at least 3days in advance of month-end.

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

Asof December 31, 2005 the Partnership owns 5.0%, 8.4% and72.6% of Campbell Master, Aspect Master and Altis Master,respectively. The performance of the Partnership is directly affectedby the performance of the Master Funds. It is Campbell's,Aspect's and Altis's intention to continue to invest theassets allocated to each by the Partnership in Campbell Master, AspectMaster and Altis Master, respectively.

Summerized informationreflecting the total assets, liabilities and capitals for the MasterFunds are shown in the followingtable.

|                |  |                          |             |                               |  |                           |            |                     |  |                      |             |        |  |                    |  |        |         |        |  |  |  |  |
|----------------|--|--------------------------|-------------|-------------------------------|--|---------------------------|------------|---------------------|--|----------------------|-------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|           |  | December31,2005          |             |                          |  |                      |
|           |  | Investments'Total Assets |             | Investments' TotalLiabilities |  | Investments' TotalCapital |            | InvestmentObjective |  | RedemptionsPermitted |
| CampbellMaster |  | $                        | 347,366,314 |                          |  | $                         | 20,975,541 |                |  | $                    | 326,390,773 |   |  | FMEPortfolio       |  |   | Monthly |   |
| AspectMaster   |  |                     | 200,507,575 |                          |  |                      | 5,680,632  |                |  |                 | 194,826,943 |   |  | CommodityPortfolio |  |   | Monthly |   |
| AltisMaster    |  |                     | 21,526,809  |                          |  |                      | 1,223,818  |                |  |                 | 20,302,991  |   |  | CommodityPortfolio |  |   | Monthly |   |
|           |  | $                        | 569,400,698 |                          |  | $                         | 27,879,991 |                |  | $                    | 541,520,707 |   |  |               |  |   |    |   |
|                |

Summerizedinformation reflecting the Partnership's investment in, and theoperations of, the Master Funds are shown in the followingtable.

|                                    |  |                             |        |              |  |             |            |          |  |                 |           |                     |  |                      |        |        |  |        |        |        |  |        |           |        |  |                    |  |        |         |        |  |  |  |  |
|------------------------------------|--|-----------------------------|--------|--------------|--|-------------|------------|----------|--|-----------------|-----------|---------------------|--|----------------------|--------|--------|--|--------|--------|--------|--|--------|-----------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|                               |  | %of Partnership's NetAssets |        |         |  |        |            | Expenses |  | NetIncome(Loss) |           | InvestmentObjective |  | RedemptionsPermitted |
| Investment                         |  | FairValue                   |        | Income(loss) |  | Commissions |            | Other    |
| Forthe year ended December 31,2005 |  |                        |   |         |  |        |       |     |  |            |      |                |  |                 |   |   |  |   |   |   |  |   |      |   |
| CampbellMaster                     |  |                        | 35.30  | %       |  | $           | 16,436,040 |     |  | $               | 2,495,783 |                |  | $                    | 27,036 |   |  | $      | 3,048  |   |  | $      | 2,465,699 |   |  | FMEPortfolio       |  |   | Monthly |   |
| AspectMaster                       |  |                        | 35.06  | %       |  |        | 16,321,019 |     |  |            | 2,577,359 |                |  |                 | 34,193 |   |  |   | 5,187  |   |  |   | 2,537,979 |   |  | CommodityPortfolio |  |   | Monthly |   |
| AltisMaster                        |  |                        | 31.75  | %       |  |        | 14,780,472 |     |  |            | 1,898,802 |                |  |                 | 31,767 |   |  |   | 7,264  |   |  |   | 1,859,771 |   |  | CommodityPortfolio |  |   | Monthly |   |
|                               |  |                        |   |         |  | $           | 47,537,531 |     |  | $               | 6,971,944 |                |  | $                    | 92,996 |   |  | $      | 15,499 |   |  | $      | 6,863,449 |   |  |               |  |   |    |   |
|                                    |

6.    Distributionsand Redemptions:

Distributions of profits, if any, will be madeat the sole discretion of the General Partner and at such times as theGeneral Partner may decide. Beginning with the first full month endingat least three months after the commencement of trading, a limitedpartner may require the Partnership to redeem their Redeemable Units attheir Net Asset Value as of the last day of any month on 10 days noticeto the General Partner provided that no redemption may result in theLimited Partner holding fewer than 3 units after redemption iseffected. There is no fee charged to limited partners in connectionwith redemptions.

F-13

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

7.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the years ended December 31, 2005, 2004 and2003 were as follows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | 177.71   |    |  | $      | (28.42   | )  |  | $      | 265.99   |    |
| Interestincome                                       |  |   | 7.69     |    |  |   | 13.32    |    |  |   | 10.29    |    |
| Expenses**                                           |  |   | (39.41   | )  |  |   | (34.46   | )  |  |   | (72.98   | )  |
| Increase(decrease) for theyear                       |  |   | 145.99   |    |  |   | (49.56   | )  |  |   | 203.30   |    |
| NetAsset Value per Redeemable Unit, beginning ofyear |  |   | 1,334.69 |    |  |   | 1,384.25 |    |  |   | 1,180.95 |    |
| NetAsset Value per Redeemable Unit, end ofyear       |  | $      | 1,480.68 |    |  | $      | 1,334.69 |    |  | $      | 1,384.25 |    |
|                                                      |

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

|    |                               |
|----|-------------------------------|
| ** | Excludesbrokeragecommissions. |

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
| Ratiosto Average Net Assets:               |  |   |   |     |  |   |   |     |  |   |   |     |
| Net investment loss beforeincentivefees*** |  |   | (6.9   | )%  |  |   | (6.8   | )%  |  |   | (7.2   | )%  |
| Operatingexpenses                          |  |   | 7.5    | %   |  |   | 7.7    | %   |  |   | 8.0    | %   |
| Incentivefees                              |  |   | 1.0    | %   |  |   | 0.7    | %   |  |   | 3.8    | %   |
| Totalexpenses                              |  |   | 8.5    | %   |  |   | 8.4    | %   |  |   | 11.8   | %   |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees          |  |   | 12.0   | %   |  |   | (2.8   | )%  |  |   | 21.5   | %   |
| Incentivefees                              |  |   | (1.1   | )%  |  |   | (0.8   | )%  |  |   | (4.3   | )%  |
| Totalreturn after incentivefees            |  |   | 10.9   | %   |  |   | (3.6   | )%  |  |   | 17.2   | %   |
|                                            |

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

The above ratios may vary for individual investors based onthe timing of capital transactions during the year. Additionally, theseratios are calculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average net assets.

8.    Financial Instrument Risks:

In the normal course ofits business, the Partnership, through its investments in otherpartnerships, is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments may includeforwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, or to purchaseor sell other financial instruments at specific terms at specifiedfuture dates, or, in the case of derivative commodity instruments, tohave a reasonable possibility to be settled in cash, through physicaldelivery or with another financial instrument. These instruments may betraded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe a counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the other partnerships due to market changes, including interest andforeign exchange rate movements and 

F-14

----

SalomonSmith BarneyGlobal Diversified Futures Fund L.P.

Notes to Financial Statements

fluctuations in commodity or security prices.Market risk is directly impacted by the volatility and liquidity in themarkets in which the related underlying assets are traded.

Credit risk is the possibility that a loss may occur due to thefailure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's/otherpartnerships' risk of loss in the event of a counterparty defaultis typically limited to the amounts recognized in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Partnership through its investments inother partnerships has credit risk and concentration risk because thesole counterparty or broker with respect to thePartnership's/other partnerships' assets is CGM.

TheGeneral Partner monitors and controls the Partnership's/otherpartnerships' risk exposure on a daily basis through financial,credit and risk management monitoring systems, and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Partnership/other partnerships aresubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Partnership's/other partnerships'business, these instruments may not be held tomaturity.

F-15

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 are summarized below:

|                                                                                                                                                     |  |                                                       |           |                                                      |  |                                                 |           |                                                     |  |   |           |        |  |   |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|-----------|------------------------------------------------------|--|-------------------------------------------------|-----------|-----------------------------------------------------|--|---|-----------|--------|--|---|------------|---------|--|--|
|                                                                                                                                                |  | For theperiodfromOctober 1, 2005 to December 31, 2005 |           | Fortheperiod from July 1, 2005 to September 30, 2005 |  | For theperiod fromApril 1, 2005 toJune 30, 2005 |           | For theperiod from January 1, 2005 to March 31,2005 |
| Net realized and unrealized trading gains(losses) and Investment in Partnerships net of brokerage commissionsand clearing fees plus interest income |  | $                                                     | 2,010,799 |                                                 |  | $                                               | 3,193,585 |                                                |  | $ | 2,572,220 |   |  | $ | (1,850,531 | )  |
| Net income (loss)                                                                                                                                   |  | $                                                     | 1,535,192 |                                                 |  | $                                               | 2,963,852 |                                                |  | $ | 2,187,867 |   |  | $ | (2,055,401 | )  |
| Increase (decrease) in Net Asset Value per Redeemable Unit                                                                                          |  | $                                                     | 47.90     |                                                 |  | $                                               | 91.17     |                                                |  | $ | 66.01     |   |  | $ | (59.09     | )  |
|                                                                                                                                                     |

|                                                                                                                      |  |                                                       |           |                                                     |  |                                                 |          |                                                    |  |   |            |         |  |   |           |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|----------|----------------------------------------------------|--|---|------------|---------|--|---|-----------|--------|--|--|
|                                                                                                                 |  | For theperiodfromOctober 1, 2004 to December 31, 2004 |           | Fortheperiod from July 1, 2004 to September 30,2004 |  | For theperiod fromApril 1, 2004 to June 30,2004 |          | For theperiod fromJanuary 1, 2004to March 31, 2004 |
| Net realized andunrealized trading gains (losses) net of brokerage commissions andclearing fees plus interest income |  | $                                                     | 2,481,869 |                                                |  | $                                               | (811,572 | )                                             |  | $ | (8,839,094 | )  |  | $ | 6,596,406 |   |
| Net income (loss)                                                                                                    |  | $                                                     | 1,981,247 |                                                |  | $                                               | (873,498 | )                                             |  | $ | (8,067,343 | )  |  | $ | 5,088,846 |   |
| Increase (decrease) in Net Asset Value per Redeemable Unit                                                           |  | $                                                     | 54.61     |                                                |  | $                                               | (23.53   | )                                             |  | $ | (212.32    | )  |  | $ | 131.68    |   |
|                                                                                                                      |

F-16

----

To theLimited Partners ofCMF Campbell Master Fund L.P.

Tothe best of the knowledge and belief of the undersigned, theinformation contained herein is accurate and complete.

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

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

|  | Citigroup ManagedFutures LLC731 Lexington Avenue25th FloorNew York,N.Y. 10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-17

----

Independent Auditor'sReport

To the PartnersofCMF Campbell Master Fund L.P.:

We have audited theaccompanying statement of financial condition of CMF Campbell MasterFund L.P. (the "Partnership"), including thecondensed schedule of investments, as of December  31, 2005, andthe related statements of income and expenses, changes inpartners' capital, and cash flows for the year ended December 31,2005. These financial statements are the responsibility of thePartnership's management. Our responsibility is to express anopinion on these financial statements based on our audit.

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

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of CMF Campbell Master Fund L.P. as of December  31,2005, and the results of its operations, changes in its partners'capital, and its cash flows for the year ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

New York,New York March 13, 2006

F-18

----

CMFCampbell Master Fund L.P.Statement of FinancialConditionDecember 31, 2005

|                                                                    |  |        |             |        |  |  |
|--------------------------------------------------------------------|--|--------|-------------|--------|--|--|
|                                                               |  | 2005   |
| Assets:                                                            |  |   |        |   |
| Equityin commodity futures tradingaccount:                         |  |   |        |   |
| Cash (restricted$42,476,193) (Note3c)                              |  | $      | 337,483,460 |   |
| Unrealizedappreciation on open forwardcontracts                    |  |   | 9,103,088   |   |
|                                                               |  |   | 346,586,548 |   |
| Interestreceivable                                                 |  |   | 779,766     |   |
|                                                               |  | $      | 347,366,314 |   |
|                                                               |  |   |        |   |
| Liabilitiesand Partners'Capital:                                   |  |   |        |   |
| Liabilities:                                                       |  |   |        |   |
| Netunrealized depreciation on open futurepositions                 |  | $      | 607,801     |   |
| Unrealizeddepreciation on open forwardcontracts                    |  |   | 19,546,499  |   |
| Accruedexpenses:                                                   |  |   |        |   |
| Professionalfees                                                   |  |   | 41,475      |   |
| Distribution payable(Note5)                                        |  |   | 779,766     |   |
|                                                               |  |   | 20,975,541  |   |
|                                                               |  |   |        |   |
| Partners'capital:                                                  |  |   |        |   |
| Partners' capital,286,601.7201 Redeemable Units outstanding in2005 |  |   | 326,390,773 |   |
|                                                               |  | $      | 347,366,314 |   |
|                                                               |  |   |        |   |
|                                                                    |

Seeaccompanying notes to financial statements.

F-19

----

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

|                                                   |  |           |             |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|-------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |             | % ofPartners'Capital |
| FuturesContractsPurchased                         |  |      |        |                 |  |   |   |     |
|                                              |  |      |        |                 |  |   |   |     |
| Energy                                            |  | $         | (2,956,926  | )               |  |   | (0.90  | )%  |
| Interest RatesNon-U.S.                            |  |      | 128,183     |                 |  |   | 0.04   |     |
| InterestRatesU.S.                                 |  |      | (22,312     | )               |  |   | (0.01  | )   |
| Indices                                           |  |      | (193,762    | )               |  |   | (0.06  | )   |
| Metals                                            |  |      | 73,100      |                 |  |   | 0.02   |     |
| Total futures contractspurchased                  |  |      | (2,971,717  | )               |  |   | (0.91  | )   |
|                                              |  |      |        |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |        |                 |  |   |   |     |
|                                              |  |      |        |                 |  |   |   |     |
| InterestRates Non-U.S.                            |  |      | 2,875,170   |                 |  |   | 0.88   |     |
| Interest RatesU.S.                                |  |      | (435,695    | )               |  |   | (0.14  | )   |
| Indices                                           |  |      | (75,559     | )               |  |   | (0.02  | )   |
| Totalfutures contracts sold                       |  |      | 2,363,916   |                 |  |   | 0.72   |     |
|                                              |  |      |        |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |        |                 |  |   |   |     |
|                                              |  |      |        |                 |  |   |   |     |
| Currencies                                        |  |      | 9,018,132   |                 |  |   | 2.76   |     |
| Metals                                            |  |      | 84,956      |                 |  |   | 0.03   |     |
| Total unrealized appreciation onforward contracts |  |      | 9,103,088   |                 |  |   | 2.79   |     |
|                                              |  |      |        |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |        |                 |  |   |   |     |
|                                              |  |      |        |                 |  |   |   |     |
| Currencies                                        |  |      | (19,539,120 | )               |  |   | (5.99  | )   |
| Metals                                            |  |      | (7,379      | )               |  |   | (0.00) | *   |
| Total unrealized depreciation on forwardcontracts |  |      | (19,546,499 | )               |  |   | (5.99  | )   |
|                                              |  |      |        |                 |  |   |   |     |
| Totalfair value                                   |  | $         | (11,051,212 | )               |  |   | (3.39  | )%  |
|                                                   |

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

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

See accompanying notes to financialstatements.

F-20

----

CMF Campbell Master FundL.P.Statement of Income and Expensesfor the year endedDecember 31,2005

|                                                                              |  |        |             |         |  |  |
|------------------------------------------------------------------------------|--|--------|-------------|---------|--|--|
|                                                                         |  | 2005   |
| Income:                                                                      |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                          |  |   |        |    |
| Realized gains on closedpositions and foreigncurrencies                      |  | $      | 53,405,733  |    |
| Net unrealizedlosses on openpositions                                        |  |   | (13,918,072 | )  |
|                                                                         |  |   | 39,487,661  |    |
| Interestincome (Note3c)                                                      |  |   | 6,863,937   |    |
|                                                                         |  |   | 46,351,598  |    |
| Expenses:                                                                    |  |   |        |    |
| Clearingfees                                                                 |  |   | 485,726     |    |
| Professionalfees                                                             |  |   | 54,450      |    |
|                                                                         |  |   | 540,176     |    |
| Netincome                                                                    |  | $      | 45,811,422  |    |
| Net income perRedeemable Unit of Limited Partnership Interest (Notes 1 and6) |  | $      | 163.17      |    |
|                                                                              |

Seeaccompanying notes to financial statements.

F-21

----

CMF Campbell Master FundL.P.Statement of Changes in Partners' Capitalfor theyear ended December 31,2005

|                                                                                                     |  |                         |             |         |  |  |
|-----------------------------------------------------------------------------------------------------|--|-------------------------|-------------|---------|--|--|
|                                                                                                |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at January  1, 2005representing 283,959.2998Units |  | $                       | 283,959,300 |    |
| Netincome                                                                                           |  |                    | 45,811,422  |    |
| Sale of 78,580.3523Redeemable Units of Limited PartnershipInterest                                  |  |                    | 83,741,000  |    |
| Redemption of75,937.9320 Redeemable Units of Limited PartnershipInterest                            |  |                    | (80,257,012 | )  |
| Distribution ofInterest to feeder funds                                                             |  |                    | (6,863,937  | )  |
| Partners' capital atDecember 31,2005                                                                |  | $                       | 326,390,773 |    |
| Netasset value per RedeemableUnit:                                                                  |  |                    |        |    |
|                                                                                                     |

|        |  |       |  |           |  |  |  |  |  |  |
|--------|--|-------|--|-----------|--|--|--|--|--|--|
|   |  | 2005: |  | $1,138.83 |
|        |

Seeaccompanying notes to financial statements.

F-22

----

CMF Campbell Master FundL.P.Statement of Cash Flowsfor the year ended December 31,2005

|                                                                                           |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |
| Cashflows from operating activities:                                                      |  |   |        |    |
| Netincome                                                                                 |  | $      | 45,811,422  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |
| (Increase) decreasein restrictedcash                                                      |  |   | (42,476,193 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 4,370,478   |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                    |  |   | 7,141,687   |    |
| (Increase) decrease ininterestreceivable                                                  |  |   | (779,766    | )  |
| Increase(decrease) in net unrealized depreciation on open futures positions               |  |   | 607,801     |    |
| Increase (decrease) inunrealized depreciation on open forwardcontracts                    |  |   | 1,798,105   |    |
| Accruedexpenses:                                                                          |  |   |        |    |
| Increase (decrease) in professionalfees                                                   |  |   | 41,475      |    |
| Net cashprovided by (used in) operatingactivities                                         |  |   | 16,515,009  |    |
|                                                                                      |  |   |        |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |
| Proceeds fromadditions                                                                    |  |   | 364,833,441 |    |
| Payments forredemptions                                                                   |  |   | (80,257,012 | )  |
| Distribution ofinterest to feederfunds                                                    |  |   | (6,084,171  | )  |
| Net cashprovided by (used in) financingactivities                                         |  |   | 278,492,258 |    |
|                                                                                      |  |   |        |    |
| Netchange incash                                                                          |  |   | 295,007,267 |    |
| Unrestricted cash, atbeginning ofyear                                                     |  |   | —     |    |
| Unrestrictedcash, at end ofyear                                                           |  | $      | 295,007,267 |    |
| Noncash financing activities:                                                             |  |   |        |    |
| Contribution of opencommodity futures and forwardspositions                               |  | $      | 2,866,859   |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-23

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

On January 1, 2005, (date Master commenced tradingoperations), Smith Barney Potomac Futures Fund L.P.("Potomac") allocated substantially all itscapital and Smith Barney Diversified Futures Fund L.P.("Diversified"), Smith Barney DiversifiedFutures Fund L.P. II ("Diversified II"),Smith Barney Global Markets Futures Fund L.P. ("GlobalMarkets"), Salomon Smith Barney Global Diversified FuturesFund L.P. ("Global Diversified") and SalomonSmith Barney Diversified 2000 Futures Fund L.P.("Diversified 2000") allocated a portion oftheir capital to the Master. Potomac purchased 173,788.6446 Units ofthe Master with cash equal to $172,205,653 and a contribution of opencommodity futures and forwards positions with a fair value of$1,582,992, Diversified purchased 19,621.1422 Units of the Master withcash equal to $19,428,630 and a contribution of open commodity futuresand forwards positions of $192,512, Diversified II purchased18,800.3931 Units of the Master with cash equal to $18,587,905 and acontribution of open commodity futures and forwards positions of$212,488, Global Markets purchased 2,858.0358 Units of the Master withcash equal to $2,759,784 and a contribution of open commodity futuresand forwards positions with a fair value of $98,252 Global Diversifiedpurchased 17,534.8936 Units of the Master with cash equal to$17,341,826 and a contribution of open commodity futures and forwardspositions with a fair value of $193,067 and Diversified 2000 purchased51,356.1905 Units of the Master with cash equal to $50,768,573 and acontribution of open commodity futures and forwards positions with afair value of $587,618. The Master was formed to permit commodity poolsmanaged now and in the future by Campbell and Company Inc. (the"Advisor"), using the FME Large Portfolio,the Advisor's Proprietary trading program, to invest together inone trading vehicle.

The Master operates under a"master/feeder fund" structure where itsinvestors consist of Potomac, Diversified, Diversified  II,Global Markets, Global Diversified and Diversified 2000 (each a"Feeder", collectively the"Feeder Funds") with 70.8%,4.7%, 5.4%, 0.9%, 5.0% and 13.2%investments in the Master at December 31, 2005,respectively.

Citigroup Managed Futures LLC, acts as the generalpartner (the "General Partner") of theMaster. The Master's commodity broker is Citigroup Global MarketsInc. ("CGM"). CGM is an affiliate of theGeneral Partner. The General Partner is wholly-owned by CitigroupGlobal Markets Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.Effective as of December 31, 2005, all trading decisions for the Masterare made by the Advisor.

2.    Accounting Policies:

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

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

F-24

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

|          |                                                                                                                                                     |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Income taxes havenot been provided as each Partner is individually liable for the taxes,if any, on their share of the Master's income and expenses. |

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

3.    Agreements:

|          |                               |
|----------|-------------------------------|
| a.  | LimitedPartnership Agreement: |

|        |                                                                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partneradministers the business and affairs of the Partnership includingselecting one or more advisors to make trading decisions for thePartnership. |

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

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into aCustomer Agreement with CGM whereby CGM provides services whichinclude, among other things, the execution of transactions for theMaster's account in accordance with orders placed by the Advisor.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master. All other feesincluding CGM's direct brokerage commission shall be borne by theFeeder Funds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005, theamount of cash held by the Master for margin requirements was$42,476,193. The Customer Agreement between the Master and CGM givesthe Master the legal right to net unrealized gains and losses. TheCustomer Agreement may be terminated upon notice by either party. |

4.    Trading Activities:

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

All of thecommodity interests owned by the Master are held for trading purposes.The average fair value during the year ended December 31, 2005, basedon a monthly calculation, was $11,094,108.

5.    Distributions and Redemptions:

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

F-25

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the year ended December  31, 2005 was asfollows:

|                                                      |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |
| Netrealized and unrealizedgains*                     |  | $      | 139.02   |    |
| Interestincome                                       |  |   | 24.34    |    |
| Expenses**                                           |  |   | (.19     | )  |
| Increasefor theyear                                  |  |   | 163.17   |    |
| Distributions                                        |  |   | (24.34   | )  |
| NetAsset Value per Redeemable Unit, beginning ofyear |  |   | 1,000.00 |    |
| Net Asset Value perRedeemable Unit, end ofyear       |  | $      | 1,138.83 |    |
|                                                      |

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

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

|                              |  |        |        |         |  |  |
|------------------------------|--|--------|--------|---------|--|--|
| Ratiosto Average Net Assets: |  |   |   |    |
| Netinvestmentincome***       |  |   | 2.2    | %  |
| Operatingexpenses            |  |   | 0.2    | %  |
|                         |  |   |   |    |
| Totalreturn                  |  |   | 16.3   | %  |
|                              |

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

The above ratios may vary forindividual investors based on the timing of capital transactions duringthe period. Additionally, these ratios are calculated for the LimitedPartner class using Limited Partner's share of income, expenseand average net assets.

7.    Financial InstrumentRisks:

In the normal course of its business, the Master isparty 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, or 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 Master due to market changes, including interest and foreignexchange rate movements and fluctuations in commodity or securityprices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced 

F-26

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

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

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

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

F-27

----

Selectedunaudited quarterly financial data for Campbell Master for the yearended December 31, 2005 is summarizedbelow:

|                                                                                                                  |  |                                                        |            |                                                       |  |                                                   |         |                                                     |  |   |            |        |  |   |            |         |  |  |
|------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|---------|-----------------------------------------------------|--|---|------------|--------|--|---|------------|---------|--|--|
|                                                                                                             |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 toSeptember 30, 2005 |  | For the period from April 1, 2005to June 30, 2005 |         | For the period fromJanuary1, 2005 to March 31, 2005 |
| Net realized andunrealized tradinggains (losses) net of brokeragecommissionsand clearing feesplus interestincome |  | $                                                      | 15,970,277 |                                                  |  | $                                                 | 669,970 |                                                |  | $ | 38,451,824 |   |  | $ | (9,226,199 | )  |
| NetIncome(loss)                                                                                                  |  | $                                                      | 15,956,477 |                                                  |  | $                                                 | 656,169 |                                                |  | $ | 38,438,175 |   |  | $ | (9,239,399 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                         |  | $                                                      | 56.20      |                                                  |  | $                                                 | 1.63    |                                                |  | $ | 137.83     |   |  | $ | (32.49     | )  |
|                                                                                                                  |

F-28

----

To theLimited Partners ofCMF Aspect Master Fund L.P.

Tothe best of the knowledge and belief of the undersigned, theinformation contained herein is accurate and complete.

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

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

|  | Citigroup ManagedFutures LLC731 Lexington Avenue25th FloorNew York,N.Y. 10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-29

----

Independent Auditor'sReport

To the Partners ofCMFAspect Master Fund L.P.:

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

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

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of CMF Aspect MasterFund L.P. as of December  31, 2005, and the results of itsoperations, changes in its partners' capital, and its cash flowsfor the period March 1, 2005 (commencement of trading operations) toDecember 31, 2005 in conformity with U.S. generally accepted accountingprinciples.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-30

----

CMF AspectMaster Fund L.P.Statement of Financial ConditionDecember 31,2005

|                                                            |  |        |             |        |  |  |
|------------------------------------------------------------|--|--------|-------------|--------|--|--|
|                                                       |  | 2005   |
| Assets:                                                    |  |   |        |   |
| Equityin commodity futures tradingaccount:                 |  |   |        |   |
| Cash (Note 3c) (restricted$25,000,025)                     |  | $      | 190,244,157 |   |
| Netunrealized appreciation on open futurespositions        |  |   | 3,998,676   |   |
| Unrealizedappreciation on open forwardcontracts            |  |   | 5,783,990   |   |
|                                                       |  |   | 200,026,823 |   |
| Interestreceivable                                         |  |   | 480,752     |   |
|                                                       |  | $      | 200,507,575 |   |
|                                                       |  |   |        |   |
| Liabilitiesand Partners'Capital:                           |  |   |        |   |
| Liabilities:                                               |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts            |  | $      | 5,154,880   |   |
| Accruedexpenses:                                           |  |   |        |   |
| Professionalfees                                           |  |   | 45,000      |   |
| Distribution payable(Note5)                                |  |   | 480,752     |   |
|                                                       |  |   | 5,680,632   |   |
|                                                       |  |   |        |   |
| Partners'capital:                                          |  |   |        |   |
| Partners' capital,170,140.8991 Redeemable Unitsoutstanding |  |   | 194,826,943 |   |
|                                                       |  | $      | 200,507,575 |   |
|                                                            |

Seeaccompanying notes to financial statements.

F-31

----

CMF Aspect Master Fund L.P.CondensedSchedule of InvestmentsDecember 31,2005

|                                                   |  |           |            |                       |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|-----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % of Partners'Capital |
| Futures ContractsPurchased                        |  |      |       |                  |  |   |   |     |
| Energy                                            |  | $         | (377,724   | )                |  |   | (0.19  | )%  |
| Grains                                            |  |      | 32,350     |                  |  |   | 0.02   |     |
| Livestock                                         |  |      | 103,415    |                  |  |   | 0.05   |     |
| Interest Rates Non-U.S.                           |  |      | 502,928    |                  |  |   | 0.26   |     |
| Interest RatesU.S.                                |  |      | (15,969    | )                |  |   | (0.01  | )   |
| Indices                                           |  |      | 1,061,361  |                  |  |   | 0.54   |     |
| Metals                                            |  |      | 1,027,058  |                  |  |   | 0.53   |     |
| Softs                                             |  |      | 1,239,159  |                  |  |   | 0.64   |     |
| Total futures contractspurchased                  |  |      | 3,572,578  |                  |  |   | 1.84   |     |
| Futures ContractsSold                             |  |      |       |                  |  |   |   |     |
| Energy                                            |  |      | (560,870   | )                |  |   | (0.29  | )   |
| Grains                                            |  |      | (693,255   | )                |  |   | (0.35  | )   |
| Interest Rates Non-U.S.                           |  |      | 832,136    |                  |  |   | 0.43   |     |
| Interest Rates U.S.                               |  |      | 1,404,031  |                  |  |   | 0.72   |     |
| Softs                                             |  |      | (555,944   | )                |  |   | (0.29  | )   |
| Total futures contractssold                       |  |      | 426,098    |                  |  |   | 0.22   |     |
| Unrealized Appreciation on ForwardContracts       |  |      |       |                  |  |   |   |     |
| Currencies                                        |  |      | 1,530,465  |                  |  |   | 0.79   |     |
| Metals                                            |  |      | 4,253,525  |                  |  |   | 2.18   |     |
| Total unrealizedappreciation on forward contracts |  |      | 5,783,990  |                  |  |   | 2.97   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                  |  |   |   |     |
| Currencies                                        |  |      | (3,585,982 | )                |  |   | (1.84  | )   |
| Metals                                            |  |      | (1,568,898 | )                |  |   | (0.81  | )   |
| Total unrealized depreciation on forwardcontracts |  |      | (5,154,880 | )                |  |   | (2.65  | )   |
| Total Fair Value                                  |  | $         | 4,627,786  |                  |  |   | 2.38   | %   |
|                                                   |

Percentages are based onPartners' capital unless otherwise indicated

See accompanying notes to financialstatements.

F-32

----

CMF Aspect Master Fund L.P.Statementof Income and Expensesfor the period March 1,2005(commencement of trading operations)to December 31,2005

|                                                                              |  |        |            |         |  |  |
|------------------------------------------------------------------------------|--|--------|------------|---------|--|--|
|                                                                         |  | 2005   |
| Income:                                                                      |  |   |       |    |
| Netgains (losses) on trading of commodityinterests:                          |  |   |       |    |
| Realized gains on closedpositions and foreigncurrencies                      |  | $      | 35,592,451 |    |
| Net unrealizedlosses on openpositions                                        |  |   | (7,930,877 | )  |
|                                                                         |  |   | 27,661,574 |    |
| Interestincome                                                               |  |   | 4,132,344  |    |
|                                                                         |  |   | 31,793,918 |    |
| Expenses:                                                                    |  |   |       |    |
| Clearingfees                                                                 |  |   | 420,212    |    |
| Professionalfees                                                             |  |   | 63,208     |    |
|                                                                         |  |   | 483,420    |    |
| Netincome                                                                    |  | $      | 31,310,498 |    |
| Net income perRedeemable Unit of Limited Partnership Interest (Notes 1 and6) |  | $      | 167.36     |    |
|                                                                              |

Seeaccompanying notes to financial statements.

F-33

----

CMF Aspect Master Fund L.P.Statementof Changes in Partners' Capitalfor the period from March 1,2005 (commencement of trading operations)to December 31,2005

|                                                                                                  |  |                         |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|-------------------------|-------------|---------|--|--|
|                                                                                             |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at March 1, 2005representing 190,791.1121Units |  | $                       | 190,791,112 |    |
| Netincome                                                                                        |  |                    | 31,310,498  |    |
| Sale of 38,062.5731Redeemable Units of Limited PartnershipInterest                               |  |                    | 40,018,580  |    |
| Redemption of58,712.7861 Redeemable Units of Limited PartnershipInterest                         |  |                    | (63,160,903 | )  |
| Distribution ofInterest to feeder funds                                                          |  |                    | (4,132,344  | )  |
| Partners' capital atDecember 31,2005                                                             |  | $                       | 194,826,943 |    |
| Netasset value per RedeemableUnit:                                                               |  |                    |        |    |
|                                                                                                  |

|        |  |       |  |           |  |  |  |  |  |  |
|--------|--|-------|--|-----------|--|--|--|--|--|--|
|   |  | 2005: |  | $1,145.09 |
|        |

Seeaccompanying notes to financial statements.

F-34

----

CMF Aspect Master Fund L.P.Statementof Cash Flowsfor the period March 1, 2005(commencement oftrading operations) to December 31,2005

|                                                                                          |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--|
|                                                                                     |  | 2005   |
| Cashflows from operating activities:                                                     |  |   |        |    |
| Net income                                                                               |  | $      | 31,310,498  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in)operatingactivities: |  |   |        |    |
| Changes inoperating assets andliabilities:                                               |  |   |        |    |
| (Increase)decrease in restricted cash                                                    |  |   | (25,000,025 | )  |
| (Increase) decrease in unrealized appreciation on open forwardcontracts                  |  |   | 5,263,622   |    |
| (Increase) decrease ininterest receivable                                                |  |   | (480,752    | )  |
| (Increase) decrease in unrealizedappreciation on open futures positions                  |  |   | 6,179,942   |    |
| Increase (decrease) in unrealized depreciation on open forwardcontracts                  |  |   | (3,512,687  | )  |
| Accruedexpenses:                                                                         |  |   |        |    |
| Increase (decrease) inprofessional fees                                                  |  |   | 45,000      |    |
| Net cash provided by (used in) operatingactivities                                       |  |   | 13,805,598  |    |
| Cash flows from financingactivities:                                                     |  |   |        |    |
| Proceeds fromadditions                                                                   |  |   | 218,251,029 |    |
| Payments forredemptions                                                                  |  |   | (63,160,903 | )  |
| Distribution ofinterest to feederfunds                                                   |  |   | (3,651,592  | )  |
| Net cash provided by (used in) financingactivities                                       |  |   | 151,438,534 |    |
| Net change in cash                                                                       |  |   | 165,244,132 |    |
| Unrestricted cash, at beginning ofperiod                                                 |  |   | —     |    |
| Unrestricted cash, at end ofperiod                                                       |  | $      | 165,244,132 |    |
| Non cash financingactivities:                                                            |  |   |        |    |
| Contribution of opencommodity futures and forwards positions                             |  | $      | 12,558,663  |    |
|                                                                                          |

See accompanying notesto financial statements.

F-35

----

CMFAspect Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

On March 1, 2005 (the date theMaster commenced trading), Smith Barney Diversified 2000 Futures FundL.P. ("Diversified 2000"), Salomon SmithBarney Global Diversified Futures Fund L.P. ("GlobalDiversified") and Citigroup Diversified Futures Fund L.P.("Citigroup Diversified") allocated a portionof their capital to the Master. Diversified 2000 purchased 43,434.9465Units of the Master with cash equal to $40,490,894, and a contributionof open commodity futures and forward positions with a fair value of$2,944,052. Global Diversified purchased 16,015.3206 Units of theMaster with cash equal to $14,955,106 and a contribution of opencommodity futures and forwards positions with a fair value of$1,060,214. Citigroup Diversified purchased 131,340.8450 Units of theMaster with cash equal to $122,786,448 and a contribution of opencommodity futures and forward positions with a fair value of$8,554,397. On July  1, 2005 CMF Institutional Portfolio L.P.("CMF Institutional") purchased 6,469.5213Units of the Master with cash equal to $7,000,000. The Master wasformed to permit commodity pools managed now or in the future by AspectCapital Management Limited (the "Advisor")using the Diversified program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The master operatesunder a structure where its investors consist of CMF Institutional,Diversified 2000, Global Diversified and Citigroup Diversified (each a"Fund", collectively the"Funds") with 2.64%, 21.83%,8.36%, and 67.17% investments in the Master at December31, 2005, respectively.

Citigroup Managed Futures LLC acts as thegeneral partner (the "General Partner") ofthe Master. The Master's commodity broker is Citigroup GlobalMarkets Inc. ("CGM") is an affiliate of theGeneral Partner. The General Partner is wholly-owned by CitigroupGlobal Markets Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.Effective as of December 31, 2005, all trading decisions for the Masterare made by the Advisor.

2.    Accounting Policies:

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

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

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

F-36

----

CMFAspect Master Fund L.P.

Notes to FinancialStatements

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

3.    Agreements:

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

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

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

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Master. All other fees includingCGM's direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005, theamount of cash held by the Master for margin requirements was$25,000,025. The Customer Agreement between the Master and CGM givesthe Master the legal right to net unrealized gains and losses. TheCustomer Agreement may be terminated upon notice by either party. |

4.    Trading Activities:

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

All of thecommodity interests owned by the Master are held for trading purposes.The average fair value during the period ended December 31, 2005 basedon a monthly calculation, was $7,359,899.

5.    Distributionsand Redemptions:

Distributions of profits, if any, will be madeat the sole discretion of the General Partner and at such times as theGeneral Partner may decide. A limited partner may require thePartnership to redeem its Redeemable Units at their Net Asset Value asof the last day of each month. The General Partner at its solediscretion, may permit redemptions more frequently than monthly. Thereis no fee charged in connection with redemptions.

F-37

----

CMFAspect Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

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

|                                                        |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------|----------|---------|--|--|
|                                                   |  | 2005   |
| Netrealized and unrealizedgains*                       |  | $      | 145.44   |    |
| Interestincome                                         |  |   | 22.27    |    |
| Expenses**                                             |  |   | (0.35    | )  |
| Increasefor theperiod                                  |  |   | 167.36   |    |
| Distributions                                          |  |   | (22.27   | )  |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |   | 1,000.00 |    |
| Net Asset Valueper Redeemable Unit, end ofperiod       |  | $      | 1,145.09 |    |
|                                                        |

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

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

|                                  |  |        |        |         |  |  |
|----------------------------------|--|--------|--------|---------|--|--|
| Ratiosto Average Net Assets:**** |  |   |   |    |
| Netinvestmentgain***             |  |   | 1.8    | %  |
| Operatingexpenses                |  |   | 0.2    | %  |
|                             |  |   |   |    |
| Totalreturn                      |  |   | 16.7   | %  |
|                                  |

|           |                                                                 |
|-----------|-----------------------------------------------------------------|
| ***  | Interestincome less total expenses (exclusive of incentivefees) |

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

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using Limited Partner'sshare of income, expense and average net assets.

7.    Financial Instrument Risks:

In the normal course ofits business, the Master is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, or to purchaseor sell other financial instruments at specific terms at specifiedfuture dates, or, in the case of derivative commodity instruments, tohave a reasonable possibility to be settled in cash, through physicaldelivery or with another financial instrument. These instruments may betraded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced 

F-38

----

CMFAspect Master Fund L.P.

Notes to FinancialStatements

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

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

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

F-39

----

Selectedunaudited quarterly financial data for CMF Aspect Master for the periodended December 31, 2005 is summarizedbelow:

|                                                                                                             |  |                                                        |           |                                                       |  |                                                   |           |                                                                                        |  |   |            |        |  |   |           |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|-----------|----------------------------------------------------------------------------------------|--|---|------------|--------|--|---|-----------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2005 to December 31,2005 |           | For the period from July 1, 2005 toSeptember 30, 2005 |  | For the period from April 1, 2005to June 30, 2005 |           | For the period from March 1,2005 (commencement of trading operations) to March 31,2005 |
| Net realized and unrealized trading gainsnet of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 6,902,322 |                                                  |  | $                                                 | 7,311,804 |                                                                                   |  | $ | 13,144,533 |   |  | $ | 4,015,047 |   |
| NetIncome                                                                                                   |  | $                                                      | 6,871,064 |                                                  |  | $                                                 | 7,298,154 |                                                                                   |  | $ | 13,130,883 |   |  | $ | 4,010,397 |   |
| Increasein Net Asset Value per RedeemableUnit                                                               |  | $                                                      | 40.27     |                                                  |  | $                                                 | 37.88     |                                                                                   |  | $ | 68.19      |   |  | $ | 21.02     |   |
|                                                                                                             |

F-40

----

To theLimited Partners ofCMF Altis Partners Master Fund L.P.

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

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

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

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

F-41

----

Independent Auditor'sReport

To the Partnersof    CMF Altis Partners Master Fund L.P.:

We have auditedthe accompanying statement of financial condition of CMF Altis PartnersMaster Fund L.P. (the "Partnership"),including the condensed schedule of investments, as of December31, 2005, and the related statements of income and expenses, changes inpartners' capital, and cash flows for the period November 1, 2005(commencement of trading operations) to December 31, 2005. Thesefinancial statements are the responsibility of the Partnership'smanagement. Our responsibility is to express an opinion on thesefinancial statements based on our audit.

We conducted our auditin accordance with generally accepted auditing standards as establishedby the Auditing Standards Board (United States) and in accordance withthe auditing standards of the Public Company Accounting Oversight Board(United States). Those standards require that we plan and perform theaudit to obtain reasonable assurance about whether the financialstatements are free of material misstatement. The Partnership is notrequired to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audit includedconsideration of internal control over financial reporting as a basisfor designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Partnership's internal control overfinancial reporting. Accordingly, we express no such opinion. An auditalso includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements, assessing theaccounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statementpresentation. We believe that our audit provides a reasonable basis forour opinion.

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of CMF Altis Partners Master Fund L.P. as of December31, 2005, and the results of its operations, changes in itspartners' capital, and its cash flows for the period November 1,2005 (commencement of trading operations) to December 31, 2005 inconformity with U.S. generally accepted accountingprinciples.

New York, New YorkMarch 13,2006

F-42

----

CMF AltisPartners Master Fund L.P.Statement of FinancialConditionDecember 31, 2005

|                                                           |  |        |            |        |  |  |
|-----------------------------------------------------------|--|--------|------------|--------|--|--|
|                                                      |  | 2005   |
| Assets:                                                   |  |   |       |   |
| Equityin commodity futures tradingaccount:                |  |   |       |   |
| Cash (restricted$4,753,680) (Note 3c)                     |  | $      | 17,823,008 |   |
| Netunrealized appreciation on open futurespositions       |  |   | 1,493,446  |   |
| Unrealizedappreciation on open forwardcontracts           |  |   | 2,158,002  |   |
| Interestreceivable (Note3c)                               |  |   | 52,353     |   |
|                                                      |  | $      | 21,526,809 |   |
|                                                      |  |   |       |   |
| Liabilitiesand Partners'Capital:                          |  |   |       |   |
| Liabilities:                                              |  |   |       |   |
| Unrealizeddepreciation on open forwardcontracts           |  | $      | 1,161,465  |   |
| Accruedexpenses:                                          |  |   |       |   |
| Professionalfees                                          |  |   | 10,000     |   |
| Distribution payable(Note5)                               |  |   | 52,353     |   |
|                                                      |  |   | 1,223,818  |   |
|                                                      |  |   |       |   |
| Partners'capital:                                         |  |   |       |   |
| Partners' capital,17,847.8572 Redeemable Unitsoutstanding |  |   | 20,302,991 |   |
|                                                      |  | $      | 21,526,809 |   |
|                                                      |  |   |       |   |
|                                                           |

Seeaccompanying notes to financial statements.

F-43

----

CMF Altis Partners Master FundL.P.Condensed Schedule of InvestmentsDecember 31,2005

|                                                  |  |           |            |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |     |
| Energy                                           |  | $         | (329,082   | )               |  |   | (1.62  | )%  |
| Currencies                                       |  |      | (317,150   | )               |  |   | (1.56  | )   |
| Grains                                           |  |      | 414,272    |                 |  |   | 2.04   |     |
| Indices                                          |  |      | 57,294     |                 |  |   | 0.28   |     |
| InterestRatesNon-U.S.                            |  |      | 81,373     |                 |  |   | 0.40   |     |
| Livestock                                        |  |      | 232,328    |                 |  |   | 1.14   |     |
| Lumber                                           |  |      | 12,309     |                 |  |   | 0.06   |     |
| Metals                                           |  |      | 887,059    |                 |  |   | 4.37   |     |
| Softs                                            |  |      | 697,921    |                 |  |   | 3.44   |     |
| InterestRatesU.S.                                |  |      | (18,563    | )               |  |   | (0.09  | )   |
| Totalfutures contractspurchased                  |  |      | 1,717,761  |                 |  |   | 8.46   |     |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |     |
| Energy                                           |  |      | (81,927    | )               |  |   | (0.40  | )   |
| Currencies                                       |  |      | (47,974    | )               |  |   | (0.24  | )   |
| Grains                                           |  |      | (41,016    | )               |  |   | (0.20  | )   |
| InterestRatesNon-U.S.                            |  |      | 112,821    |                 |  |   | 0.56   |     |
| Livestock                                        |  |      | (1,850     | )               |  |   | (0.01  | )   |
| Metals                                           |  |      | (38        | )               |  |   | (0.00) | *   |
| Softs                                            |  |      | (166,337   | )               |  |   | (0.82  | )   |
| InterestRatesU.S.                                |  |      | 2,006      |                 |  |   | 0.01   |     |
| Totalfutures contractssold                       |  |      | (224,315   | )               |  |   | (1.10  | )   |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Metals                                           |  |      | 2,158,002  |                 |  |   | 10.63  |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,158,002  |                 |  |   | 10.63  |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Metals                                           |  |      | (1,161,465 | )               |  |   | (5.72  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (1,161,465 | )               |  |   | (5.72  | )   |
| Totalfairvalue                                   |  | $         | 2,489,983  |                 |  |   | 12.27  | %   |
|                                                  |

Percentagesare based on Partners' capital unless otherwiseindicated.

* Due to rounding

Seeaccompanying notes to financial statements.

F-44

----

CMF Altis Partners Master FundL.P.Statement of Income and Expensesfor the period November1, 2005(commencement of trading operations)to December 31,2005

|                                                                              |  |        |           |        |  |  |
|------------------------------------------------------------------------------|--|--------|-----------|--------|--|--|
|                                                                         |  | 2005   |
| Income:                                                                      |  |   |      |   |
| Netgains on trading of commodityinterests:                                   |  |   |      |   |
| Realized gains on closedpositions and foreigncurrencies                      |  | $      | 2,516,679 |   |
| Net unrealizedgains on openpositions                                         |  |   | 2,347     |   |
|                                                                         |  |   | 2,519,026 |   |
| Interestincome (Note3c)                                                      |  |   | 100,783   |   |
|                                                                         |  |   | 2,619,809 |   |
| Expenses:                                                                    |  |   |      |   |
| Clearingfees                                                                 |  |   | 43,735    |   |
| Professionalfees                                                             |  |   | 10,000    |   |
|                                                                         |  |   | 53,735    |   |
| Netincome                                                                    |  | $      | 2,566,074 |   |
| Net income perRedeemable Unit of Limited Partnership Interest (Notes 1 and6) |  | $      | 143.19    |   |
|                                                                              |

Seeaccompanying notes to financial statements.

F-45

----

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

|                                                                                                    |  |                         |            |         |  |  |
|----------------------------------------------------------------------------------------------------|--|-------------------------|------------|---------|--|--|
|                                                                                               |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at November 1, 2005representing 17,911.7534Units |  | $                       | 17,911,754 |    |
| Netincome                                                                                          |  |                    | 2,566,074  |    |
| Redemption of 63.8962Redeemable Units of Limited PartnershipInterest                               |  |                    | (74,054    | )  |
| Distribution of Interestto feeder funds                                                            |  |                    | (100,783   | )  |
| Partners' capital atDecember 31,2005                                                               |  | $                       | 20,302,991 |    |
| Netasset value per RedeemableUnit:                                                                 |  |                    |       |    |
|                                                                                                    |

|        |  |       |  |           |  |  |  |  |  |  |
|--------|--|-------|--|-----------|--|--|--|--|--|--|
|   |  | 2005: |  | $1,137.56 |
|        |

Seeaccompanying notes to financial statements.

F-46

----

CMF Altis Partners Master FundL.P.Statement of Cash Flowsfor the period November 1,2005(commencement of trading operations) to December 31,2005

|                                                                                           |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--|
|                                                                                      |  | 2005   |
| Cashflows from operating activities:                                                      |  |   |       |    |
| Netincome                                                                                 |  | $      | 2,566,074  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |       |    |
| Changes in operatingassets and liabilities:                                               |  |   |       |    |
| (Increase) decreasein restrictedcash                                                      |  |   | (4,753,680 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 526,814    |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                    |  |   | (834,858   | )  |
| (Increase) decrease ininterestreceivable                                                  |  |   | (52,353    | )  |
|                                                                                      |  |   |       |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | 305,697    |    |
| Accruedexpenses:                                                                          |  |   |       |    |
| Increase (decrease) in professionalfees                                                   |  |   | 10,000     |    |
| Net cashprovided by (used in) operatingactivities                                         |  |   | (2,232,306 | )  |
|                                                                                      |  |   |       |    |
| Cashflows from financingactivities:                                                       |  |   |       |    |
| Proceeds fromadditions                                                                    |  |   | 15,424,118 |    |
| Payments forredemptions                                                                   |  |   | (74,054    | )  |
| Distribution ofinterest to feederfunds                                                    |  |   | (48,430    | )  |
| Net cashprovided by (used in) financingactivities                                         |  |   | 15,301,634 |    |
|                                                                                      |  |   |       |    |
| Netchange in cash                                                                         |  |   | 13,069,328 |    |
| Unrestrictedcash, at beginning ofperiod                                                   |  |   | —    |    |
| Unrestrictedcash, at end ofperiod                                                         |  | $      | 13,069,328 |    |
| Noncash financing activities:                                                             |  |   |       |    |
| Contribution of opencommodity futures and forwardspositions                               |  | $      | 2,487,636  |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-47

----

CMFAltis Partners Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

On November 1, 2005 (date Mastercommenced trading), Salomon Smith Barney Global Diversified FuturesFund L.P. ("Global Diversified") andCitigroup Emerging CTA Portfolio L.P. ("EmergingCTA") allocated a portion of their capital to the Master.Global Diversified purchased 13,013.6283 Units of the Master with cashequal to $11,227,843 and a contribution of open commodity futures andforward positions with a fair value of $1,785,785. Emerging CTApurchased 4,898.1251 Units of the Master with cash equal to $4,196,275and a contribution of open commodity futures and forward positions witha fair value of $701,851. The Master was formed to permit commoditypools managed now or in the future by Altis Partners (Jersey) Limited(the "Advisor") using the Global FuturesPortfolio program, the Advisor's proprietary trading program, toinvest together in one vehicle.

The Master's investorsconsist of Global Diversified and Emerging CTA (each a"Feeder", collectively the"Funds") with 72.6% and 27.4%ownerships of the Master at December 31, 2005,respectively.

Citigroup Managed Futures LLC, acts as the generalpartner (the "General Partner") of theMaster. The Master's commodity broker is Citigroup Global MarketsInc. ("CGM"). CGM is an affiliate of theGeneral Partner. The General Partner is wholly-owned by CitigroupGlobal Markets Holdings Inc. ("CGMHI"), whichis the sole owner of CGM. CGMHI is a wholly-owned subsidiary ofCitigroup Inc. Effective as of December 31, 2005, all trading decisionsfor the Master are made by the Advisor.

2.    AccountingPolicies:

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

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

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

F-48

----

CMFAltis Partners Master Fund L.P.

Notes to FinancialStatements

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

3.    Agreements:

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

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

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

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Master. All other fees includingCGM's direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005, theamount of cash held by the Master for margin requirements was$4,753,680. The Customer Agreement between the Master and CGM gives theMaster the legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party. |

4.    Trading Activities:

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

All of thecommodity interests owned by the Master are held for trading purposes.The average fair value during the period ended December 31, 2005 basedon a monthly calculation, was $3,958,981.

5.    Distributionsand Redemptions:

Distributions of profits, if any, will be madeat the sole discretion of the General Partner and at such times as theGeneral Partner may decide. A limited partner may require thePartnership to redeem their Redeemable Units at their Net Asset Valueas of the last day of each month. The General Partner at its solediscretion, may permit redemptions more frequently than monthly, thereis no fee charged in connection with redemptions.

F-49

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CMFAltis Partners Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

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

|                                                        |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------|----------|---------|--|--|
|                                                   |  | 2005   |
| Netrealized and unrealized gains(losses)*              |  | $      | 138.12   |    |
| Interestincome                                         |  |   | 5.63     |    |
| Expenses**                                             |  |   | (0.56    | )  |
| Increase(decrease) for theperiod                       |  |   | 143.19   |    |
| Distributions                                          |  |   | (5.63    | )  |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |   | 1,000.00 |    |
| Net Asset Valueper Redeemable Unit, end ofperiod       |  | $      | 1,137.56 |    |
|                                                        |

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

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

|                                  |  |        |        |         |  |  |
|----------------------------------|--|--------|--------|---------|--|--|
| Ratiosto Average Net Assets:**** |  |   |   |    |
| Netinvestmentincome***           |  |   | 1.4    | %  |
| Operatingexpenses                |  |   | 1.6    | %  |
|                             |  |   |   |    |
| Totalreturn                      |  |   | 14.3   | %  |
|                                  |

|           |                                                                 |
|-----------|-----------------------------------------------------------------|
| ***  | Interestincome less total expenses (exclusive of incentivefees) |

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

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using Limited Partner'sshare of income, expense and average net assets.

7.    Financial Instrument Risks:

In the normal course ofits business, the Master is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, or to purchaseor sell other financial instruments at specific terms at specifiedfuture dates, or, in the case of derivative commodity instruments, tohave a reasonable possibility to be settled in cash, through physicaldelivery or with another financial instrument. These instruments may betraded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced 

F-50

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CMFAltis Partners Master Fund L.P.

Notes to FinancialStatements

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

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

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

F-51

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Selectedunaudited quarterly financial data for Altis Master for the periodended December 31, 2005 is summarizedbelow:

|                                                                                                            |  |                                                                                             |  |  |  |  |
|------------------------------------------------------------------------------------------------------------|--|---------------------------------------------------------------------------------------------|--|--|--|--|
|                                                                                                       |  | Forthe period from November 1, 2005 (commencement oftrading operations) to December 31,2005 |
| Net realized and unrealized trading gainnet of brokerage commissions and clearing fees plus interestincome |  | $2,576,074                                                                                  |
| NetIncome                                                                                                  |  | $2,566,074                                                                                  |
| Increase in Net AssetValue per RedeemableUnit                                                              |  | $     143.19                                                       |
|                                                                                                            |

F-52

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

None

Item 9A.    Controls andProcedures.

The General Partner of the Partnership, withthe participation of the General Partner's Chief ExecutiveOfficer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controlsand procedures (as defined in Rules 13a-15(c) and 15d-15(e) of theExchange Act) with respect to the Partnership as of the end of theperiod covered by the report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures areeffective.

There were no significant changes in thePartnership's internal controls or in other factors that couldsignificantly affect such controls subsequent to the date of theirevaluation as of year end.

PART III

Item10.    Directors and Officers of the Registrant.

ThePartnership has no officers or directors and its affairs are managed byits General Partner, Citigroup Managed Futures LLC. Investmentdecisions are made by the Advisors.

The Partnership has notadopted a code of ethics that applies to officers because it has noofficers.

Item 11.    Executive Compensation.

The Partnership has no directors or officers. Its affairs aremanaged by Citigroup Managed Futures LLC, its General Partner. CGM, anaffiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."Brokerage commissions and clearing fees of $2,508,259 were earned byCGM for the year ended December 31, 2005. Management fees and incentivefees of $777,800 and $451,973 respectively, were earned by the Advisorsfor the year ended December 31, 2005.

Item12.    Security Ownership of Certain Beneficial Owners andManagement.

|           |                                                                                                                                                                               |
|-----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (a)  | Security ownershipof certain beneficial owners. As of March 1, 2005, the Partnershipknows of no person who beneficially owns more than 5% of theoutstanding Redeemable Units. |

|           |                                                                                                                                                                                                                                                                                          |
|-----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (b)  | Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 619.7983 (2.0%) Unit equivalents as of December 31, 2005. |

|           |                           |
|-----------|---------------------------|
| (c)  | Changes in control. None. |

Item 13.    Certain Relationships and RelatedTransactions.

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

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Item 14.    Principal AccountantFees and Services.

(1)    Audit Fees. Theaggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of financialstatements included in the Partnership's Forms 10-Q and otherservices normally provided in connection with regulatory filings orengagements are asfollows:

2005            $15,000

2004            $22,280

(2)    Audit-Related Fees. None

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

2005            $7,606

2004            $5,136

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

PART IV

Item 15.    Exhibits and Financial StatementSchedules.

|              |                      |
|--------------|----------------------|
| (a)(1)  | FinancialStatements: |

Statements of Financial Condition atDecember 31, 2005 and 2004.

Condensed Schedules ofInvestments at December 31, 2005 and 2004.

Statements ofIncome and Expenses for the years ended December 31, 2005, 2004 and2003.

Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003

Statements of Cash Flows for the years ended December 31,2005, 2004 and 2003.

Notes to the FinancialStatements

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

3.1   Limited Partnership Agreement (filed as Exhibit 3.1to the Registration Statement on Form  S-1 (File No. 333-61961and incorporated herein by reference).

3.2   Certificate of Limited Partnership of thePartnership as filed in the office of the Secretary of State of theState of New York on June 15, 1998 (filed as Exhibit 3.2 to theRegistration Statement on Form S-1 (File No. 333-61961) andincorporated herein by reference).

10.1   CustomerAgreement between the Partnership and Salomon Smith Barney (filed asExhibit 10.1 to the Registration Statement on Form S-1 (File No.333-61961) and incorporated herein by reference).

10.3   Escrow Instructions relating to escrow ofsubscription funds (filed as Exhibit 10.3 to the Registration Statementon Form S-1 (File No. 333-61961) and incorporated herein byreference).

10.5   Management Agreement among thePartnership, the General Partner and Campbell & Company, Inc.(filed as Exhibit 10.5 to the Registration Statement on Form S-1 (FileNo. 333-61961) and incorporated herein by reference).

10.6   Management Agreement among the Partnership, theGeneral Partner and Eagle Trading Systems, Inc. (filed as Exhibit 10.6to the Registration Statement on Form S-1 (File No. 333-61961) andincorporated herein by reference).

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10.7   Management Agreementamong the Partnership, the General Partner and Eckhardt Trading Company(filed as Exhibit 10.7 to the Registration Statement on Form S-1 (FileNo. 333-61961) and incorporated herein by reference).

10.8   Management Agreement among the Partnership, theGeneral Partner and Rabar Market Research (filed as Exhibit 10.8 to theRegistration Statement on Form S-1 (File No. 333-61961) andincorporated herein by reference).

10.9   Letterextending Management Agreements with Campbell & Company, Inc.,Eagle Trading Systems, Inc., Eckhardt Trading Company and Rabar MarketResearch for 1999 (previously filed).

10.10   Letterextending Management Agreements with Campbell & Company, Inc.,Eagle Trading Systems, Inc., Eckhardt Trading Company and Rabar MarketResearch for 2000 (previously filed).

10.11   Letterextending Management Agreements with Campbell & Company, Inc.,Eckhardt Trading Company and Rabar Market Research Inc. for 2001(previously filed).

10.12   Management Agreementamong the Partnership, the General Partner and Aspect CapitalManagement Limited (previously filed).

10.13   Letters from the General Partner terminatingManagement Agreement with Eagle Trading Systems, Inc. and Rabar MarketResearch Inc. (previously filed).

10.14   Letterextending Management Agreements with Campbell & Company Inc.,Eckhardt Trading Company and Aspect Capital Management Limited for 2002(previously filed).

10.15   Letter ExtendingManagement Agreements with Compbell & Company Inc., and AspectCapital Management Limited for 2003 (previouslyfiled).

10.16   Letter from the General Partnerterminating Management Agreement with Eckhardt Trading Company(previously filed).

10.17   Letters extendingManagement Agreements with Campbell & Company Inc. and AspectCapital Management Limited for 2004 (previouslyfiled).

10.18   Management Agreement among thePartnership, the General Partner and Altis Partners Limited (previouslyfiled).

10.19   Letters extending Managements withCampbell & Company, Inc., Aspect Capital Management Limited andAltis Partners Limited for 2005 (filedherein).

16.1   Letter from PricewaterhouseCoopers LLP(previously filed).

The exhibits required to be filed byItem 601 of Regulation S-K are incorporated herein by reference.

31.1 – Rule 13a-14(a)/15d-14(a) Certifications(Certifications of President and Director).

31.2 –Rule 13a-14(a)/15d-14(a) Certifications (Certifications of ChiefFinancial Officer and Director).

32.1 – Section1350 Certifications (Certifications of President and Director).

32.2 – Section 1350 Certifications (Certifications ofChief Financial Officer and Director)

26

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Supplemental Information To BeFurnished With Reports Filed Pursuant To Section 15(d) Of The Act ByRegistrants Which Have Not Registered Securities Pursuant To Section 12Of The  Act.

Annual Report to Limited Partners

No proxy material has been sent to LimitedPartners.

27

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 30th day of March 2006.

SALOMON SMITH BARNEY GLOBAL DIVERSIFIED FUTURES FUND L.P.

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

By:    /s/ David J. Vogel

David J. Vogel, President andDirector

Pursuant to the requirements of the Securities ExchangeAct of 1934, this annual report on Form 10-K has been signed below bythe following persons on behalf of the Registrant and in the capacitiesand on the date indicated.

/s/David J. Vogel                David J.VogelPresident and Director

/s/ Daniel R.McAuliffe, Jr.    Daniel R. McAuliffe, Jr.ChiefFinancial Officer andDirector

/s/ MaureenO'Toole            MaureenO'TooleDirector

/s/ ShelleyUllman                Shelley UllmanDirector

/s/ JenniferMagio                    JenniferMagioDirector

/s/ JerryPascucci                    JerryPascucciDirector

/s/ IhorRakowsky                    Ihor RakowskySecretary and Director

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