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 000-32599

SALOMON SMITH BARNEY DIVERSIFIED 2000 FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in itscharter)

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| NewYork                                                      |  | 13-4077759                          |
| (State or other jurisdictionofincorporation or organization) |  | (I.R.S.Employer Identification No.) |
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c/oCitigroup Managed Futures LLC 731 Lexington Ave. – 25thFl.New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

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

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

Yes             No X

Indicate by check mark if theregistrant is not required to file reports pursuant to Section 13 orSection 15(d) of the Act.

Yes             No  X

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

YesX        No     

Indicate by check mark if disclosure of delinquentfilers pursuant to Item 405 of Regulation S-K is not contained herein,and will not be contained, to the best of registrant's knowledge,in definitive proxy or information statements incorporated by referencein Part III of this Form 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-accelerated filer X

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

Yes              No X

Limited Partnership Redeemable Unitswith an aggregate value of $154,070,815 were outstanding and held bynon-affiliates as of the last business day of the registrants mostrecently completed second fiscal quarter.

As of February28, 2006, 110,108.2195 Limited Partnership Redeemable Units wereoutstanding.

DOCUMENTS INCORPORATED BY REFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney Diversified 2000 Futures Fund L.P.(the "Partnership") is a limited partnershiporganized under the partnership laws of the State of New York, onAugust 25, 1999 to engage in speculative trading of a diversifiedportfolio of commodity interests, including futures contracts, optionsand forwards. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk. Atotal of 190,000 redeemable units of Limited Partnership Interest inthe Partnership ("Redeemable Units") havebeen offered to the public.

A Registration Statement on Form S-1(File no. 333-87663) relating to the public offering of 150,000Redeemable Units became effective on January 31, 2000. Between January31, 2000 (commencement of offering period) and May 30, 2000, 16,045Redeemable Units were sold at $1,000 per Redeemable Unit. Proceeds ofthe offering were held in an escrow account and were transferred, alongwith the general partner's contribution of $162,000 to thePartnership's trading account on June 1, 2000 when thePartnership commenced trading.

A second Registration Statementon Form S-1 (File no. 333-101132) relating to the public offering of190,000 Redeemable Units (including the 150,000 Redeemable Units thathad previously been registered) became effective on November 25, 2002.As of that date, 151,740.3512 Redeemable Units had been sold.

The Partnership no longer offers units of Limited PartnershipInterest. Sales of additional Redeemable Units and additional generalpartner contributions and redemptions of Redeemable Units for the yearended December 31, 2003 are reported in the Statement of Changes inPartners' Capital on page F-11 under "Item 8.Financial Statements and Supplementary Data".

Citigroup Managed Futures LLC acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of CitigroupInc.

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

Effective May 22, 2003, the Partnership allocated a portion of thePartnerships' capital to the JWH Strategic Allocation Master FundLLC, a New York limited liability company ("JWHMaster"). With this cash the Partnership purchased14,370.0894 Units of JWH Master with a fair value of $27,367,545. JWHMaster was formed in order to permit commodity pools managed now or inthe future by John W. Henry & Company, Inc.("JWH"), using the Strategic AllocationProgram, JWH's proprietary trading program, to invest together inone trading vehicle. The General Partner is the Managing Member of JWHMaster. The individual and pooled accounts currently managed by JWH,including the Partnership, are permitted to be a non-managing member ofJWH Master. The General Partner and JWH believe that trading throughthis structure should promote efficiency and economy in the tradingprocess.

Effective January 1, 2005, the assets allocated toCampbell & Company, Inc. ("Campbell") fortrading were invested in the CMF Campbell Master Fund L.P.("Campbell Master"), a limited partnershiporganized under the partnership laws of the State of New York. Thepartnership purchased 51,356.1905 Units of Campbell Master with cashequal to $50,768,573, and a contribution of open commodity futures andforward positions with a fair value of $587,618. Campbell Master wasformed in order to permit commodity pools managed now or in the futureby Campbell using the Financial, Metals and Energy("FME") Large Portfolio, to invest togetherin one trading vehicle. The General Partner of the Partnership is thegeneral partner of Campbell Master. Individual and pooled accountscurrently managed by Campbell, including the Partnership, are permittedto be a limited partner of Campbell Master. The General Partner andCampbell believe that trading through this structure should promoteefficiency and economy in the trading process.

Effective March1, 2005, the assets allocated to Aspect Capital Limited("Aspect") for trading were invested in theCMF Aspect Master Fund L.P. ("AspectMaster"), a limited partnership organized under

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the partnership laws of the State of New York.The partnership purchased 43,434.9465 Units of Aspect Master with cashequal to $40,490,894, and a contribution of open commodity futures andforward positions with a fair value of $2,944,052. Aspect Master wasformed in order to permit commodity pools managed now or in the futureby Aspect using the Diversified Program, to invest together in onetrading vehicle. The General Partner of the Partnership is the generalpartner of Aspect Master. Individual and pooled accounts currentlymanaged by Aspect, including the Partnership, are permitted to be alimited partner of Aspect Master. The General Partner and Aspectbelieve that trading through this structure should promote efficiencyand economy in the trading process.

At December 31, 2005, thePartnership owns approximately 14.42% of JWH Master,13.23% of Campbell Master, and 21.83% of Aspect Master.At December 31, 2004, the Partnership owns approximately 12.21%of JWH Master. It is JWH's, Campbell's, and Aspect'sintention to continue to invest the assets allocated to each by thePartnership in JWH Master, Campbell Master, and Aspect Master (the"Master Funds"), respectively. Theperformance of the Partnership is directly affected by the performanceof the Master Funds. Expenses to investors as a result of theinvestment in the Master Funds are approximately the same andredemption rights are not affected.

As of December 31, 2005, allcommodity trading decisions are made for the Partnership by JWH, GrahamCapital Management, L.P. ("Graham"), Campbelland Aspect (collectively, the "Advisors").None of the Advisors are affiliated with one another, the GeneralPartner or CGM. The Advisors are not responsible for the organizationor operation of the Partnership. Effective April 30, 2003, BeaconManagement Corp. was terminated as an Advisor to the Partnership.

The General Partner has agreed to make capital contributions, ifnecessary, so that its general partnership interest will be equal tothe greater of (i) 1% of the partners' contributions tothe Partnership or (ii) $25,000. The Partnership will be liquidatedupon the first of the following to occur: December 31, 2019; the NetAsset Value of a Redeemable Unit decreases to less than $400 as of theclose of any business day; or under certain circumstances as defined inthe Limited Partnership Agreement of the Partnership (the"Limited Partnership Agreement").

Pursuant to the terms of the management agreements (the"Management Agreements"), the Partnership isobligated to pay each Advisor a monthly management fee equal to 1/6 of1% (2% per year) of month-end Net Assets allocated toeach Advisor, except for Aspect, which will receive a monthlymanagement fee equal to 1/12 of 1.25% (1.25% a year) ofmonth-end Net Assets allocated to the Advisor. Month-end Net Assets,for the purpose of calculating management fees, are Net Assets, asdefined in the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. The Partnership is obligated to pay anincentive fee payable annually equal to 20% of the New TradingProfits, as defined in the Management Agreements, earned by eachAdvisor for the Partnership.

The Partnership has entered into acustomer agreement with CGM (the "CustomerAgreement") which provides that the Partnership pays CGM(i) a monthly brokerage fee equal to 9/20 of 1% of month-end NetAssets allocated to the Advisors (5.4% per year) in lieu ofbrokerage commissions on a per trade basis. CGM pays a portion of itsbrokerage fees to its financial consultants who have sold RedeemableUnits and who are registered as associated persons with the CommodityFutures Trading Commission (the "CFTC"). ThePartnership pays for National Futures Association("NFA") fees, exchange and clearing fees,give-up and user fees and floor brokerage fees. The Customer Agreementbetween the Partnership and CGM gives the Partnership the legal rightto net unrealized gains and losses. Brokerage fees will be paid for thelife of the Partnership, although the rate at which such fees are paidmay be changed. In addition, CGM pays 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 non-competitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on whichsuch weekly rate is determined. The Customer Agreement may beterminated by either party.

(b)    Financial informationabout industry segments.    The Partnership's businessconsists of only one segment, speculative trading of commodityinterests. The Partnership does not engage in sales of 

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goods or services. The Partnership's netincome from operations for the years ended December 31, 2005, 2004 and2003 is set forth under "Item 6. Selected FinancialData". Partnership's capital as of December 31,2005, was $148,994,539.

(c)    Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    FinancialInformation About Geographic Areas.    The Partnership does notengage in sales of goods or services or own any long lived assets andtherefore this item is not applicable.

(e)    AvailableInformation.    The Partnership does not have an Internetaddress. The Partnership will provide paper copies of its annual reporton Form 10-K, quarterly reports on Form 10-Q, current reports on Form8-K and any amendments to these reports free of charge uponrequest.

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 commoditybroker are affiliates; |

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| 2.  | Each of the tradingadvisor(s), the commodity broker and their principals and affiliatesmay trade in commodity interests for their own accounts;and |

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

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

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

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

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

Item2.    Properties.

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

Item 3.    LegalProceedings.

This section describes the majorpending legal proceedings, other than ordinary routine litigationincidental to the business, to which Citigroup Global Markets HoldingsInc. ("CGMHI") or its 

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subsidiaries is a party or to which any oftheir property is subject. There are no material legal proceedingspending against the Partnership or the General Partner.

Citigroup Global Markets Inc.("CGM") is a New York corporation with itsprincipal place of business at 388 Greenwich St., New York, New York10013. CGM is registered as a broker-dealer and futures commissionmerchant ("FCM"), and provides futuresbrokerage and clearing services for institutional and retailparticipants in the futures markets. CGM and its affiliates alsoprovide investment banking and other financial services for clientsworldwide.

There have been no material administrative,civil or criminal actions within the past five years against CGM or anyof its individual principals and no such actions are currently pending,except as follows.

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.

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Research Settlement

On April 28,2003, Citigroup Global Markets announced final agreements with the SEC,the NASD, the NYSE and the New York Attorney General (as lead stateamong the 50 states, the District of Columbia and Puerto Rico) toresolve on a civil basis all of their outstanding investigations intoits research and 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 related NASD and NYSE rules relatingto research, 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.

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Enron-Related Civil Actions

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

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

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

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

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

Dynegy Inc.

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

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involving all defendants, Citigroup enteredinto a memorandum of understanding to settle this case. The amount tobe paid in settlement is covered by existing litigation reserves.

WorldCom-Related Litigation

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

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

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

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

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

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

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,

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Inc. ("TARGETS")after July 30, 1999. On October 20, 2004, the parties signed aMemorandum of Understanding setting forth the terms of a settlement ofall remaining claims in this action. The settlement was preliminarilyapproved by the Court on January 11, 2005.

A fairness hearingwas held on November 5, 2004 in connection with the proposed classsettlement between plaintiffs and the Citigroup-related defendants inIn Re: Worldcom, Inc. Securities Litigation.

Citigroup,along with other financial institutions and other defendants, enteredinto settlements resolving certain claims against Citigroup-relateddefendants in a number of WorldCom-related actions. The settlementamounts are covered by existing litigation reserves.

GlobalCrossing

On or about January 28, 2003, the lead plaintiff in aconsolidated alleged class action in the United States District Courtfor the Southern District of New York (In Re: Global Crossing, Ltd.Securities Litigation) filed a consolidated complaint on behalf ofpurchasers of the securities of Global Crossing and Asia GlobalCrossing, which names as defendants, among others, Citigroup, CitigroupGlobal Markets, Citigroup Global Markets Holdings Inc. and certainexecutive officers and current and former employees. The alleged classaction complaint asserts claims under the federal securities lawsalleging that the defendants issued research reports without areasonable basis in fact and failed to disclose conflicts of interestwith Global Crossing in connection with published investment research.On March 22, 2004, the lead plaintiff amended its consolidatedcomplaint to add claims on behalf of purchasers of the securities ofAsia Global Crossing. The added claims assert causes of action underthe federal securities laws and common law in connection with CitigroupGlobal Markets' research reports about Global Crossing and AsiaGlobal Crossing and for Citigroup Global Markets' roles as aninvestment banker for Global Crossing and as an underwriter in theGlobal Crossing and Asia Global Crossing offerings. TheCitigroup-related defendants moved to dismiss all of the claims againstthem on July 2, 2004. In March 2005, the plaintiffs and theCitigroup-related defendants reached a settlement of all claims againstthe Citigroup-related defendants, including both research andunderwriting claims and claims concerning losses in both GlobalCrossing and Asia Global Crossing, for a total of $75 million. TheCourt granted preliminary approval of the settlement on March 8,2005.

In addition, on or about January 27, 2004, the GlobalCrossing Estate Representative filed in the United States BankruptcyCourt for the Southern District of New York (i) an adversary proceedingasserting claims against, among others, Citigroup, Citigroup GlobalMarkets 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

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punitive damages. In November 2003, a similaradversary proceeding was filed by the Equity Holders Committee ofAdelphia. In June 2004, motions to dismiss were filed with respect tothe complaints of the Official Committee of Unsecured Creditors and theEquity Holders Committee. The motions are currently pending.

Inaddition, Citigroup Global Markets is among the underwriters named innumerous civil actions brought to date by investors in Adelphia debtsecurities in connection with Adelphia securities offerings betweenSeptember 1997 and October 2001. Three of the complaints also assertedclaims against Citigroup and Citibank, N.A. All of the complaintsalleged violations of federal securities laws, and certain of thecomplaints also alleged violations of state securities laws and thecommon law. The complaints sought unspecified damages. In December2003, a second amended complaint was filed and consolidated before thesame judge of the United States District Court for the SouthernDistrict of New York.

In May and July of 2005, the United StatesDistrict Court for the Southern District of New York dismissed severalclaims on statute of limitations grounds in the class and individualactions being coordinated under In Re: Adelphia CommunicationsCorporation Securities and Derivatives Litigation. With theexception of one individual action that was dismissed with prejudice,the court granted the class and individual plaintiffs leave to re-pleadcertain of those claims the court found to be time-barred. Additionalmotions to dismiss the class complaint and the remaining individualcomplaints on other grounds remain pending.

Mutual Funds

Citigroup and certain of its affiliates have been named in severalclass action litigations pending in various federal district courtsarising out of alleged violations of the federal securities laws, theInvestment Company Act and the common law (including breach offiduciary duty and unjust enrichment). The claims concern practices inconnection 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, individual

9

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actions, and arbitration demands bypurchasers of various securities alleging that they violated federalsecurities law, including Sections 10 and 20 of the Securities ExchangeAct of 1934, as amended, and certain state laws for allegedly issuingresearch reports without a reasonable basis in fact and for allegedlyfailing to disclose conflicts of interest with companies in connectionwith published investment research, including Global Crossing, Ltd.,AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network,Inc., XO Communications, Inc., Williams Communications Group Inc., andFocal Communications, Inc. The alleged class actions relating toresearch of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst 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 

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General alleges that the firms violated theWest Virginia Consumer Credit and Protection Act in connection withtheir research activities and seeks monetary penalties.

Citigroup Shareholder Litigation

In July 2002, Citigroup,Citigroup Global Markets and certain officers were named as defendantsin an alleged class action filed in the United States District Courtfor the Southern District of New York, brought on behalf of purchasersof Citigroup common stock between July 24, 1999 and July 23, 2002. Thecomplaint seeks unspecified compensatory and punitive damages foralleged violations of Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, and for common law fraud. Fourteen virtuallyidentical complaints have been filed and consolidated. The complaintsallege that Citigroup misstated the extent of its Enron-relatedexposure, and that Citigroup's stock price fell once the trueextent of Citigroup's Enron involvements became known. Plaintiffsfiled an amended complaint on March 10, 2003, which incorporated theallegations in the 15 separate actions and added new material as well.The amended complaint focuses on certain transactions between Citigroupand Enron and alleged analyst conflicts of interest. The class periodfor the consolidated amended complaint is July 24, 1999 to December 11,2002. On June 2, 2003, Citigroup filed a motion to dismiss theconsolidated amended complaint. Plaintiffs' response was filed onJuly 30, and Citigroup's reply was filed on October 3, 2003. OnAugust 10, 2004, Judge Swain granted Citigroup's motion todismiss the consolidated amended complaint. The plaintiffs filed anotice of appeal in October 2004.

NASD Settlement

InNovember 2004, Citigroup Global Markets entered into a final agreementwith the NASD to resolve the NASD's investigation into certain ofits selling practices. Without admitting or denying any allegations orfindings, Citigroup Global Markets accepted certain factual findings bythe NASD that it (i) sold units in two managed futures funds to 45customers for whom the investment was not suitable, (ii) failed tomaintain records disclosing the basis upon which its investorsuitability determinations were made and (iii) failed to adequatelydisclose the risks of investing in managed futures products on itswebsite. Citigroup Global Markets consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, Citigroup Global Markets, as a majorfutures commission merchant and broker-dealer, is a party to variousclaims and routine regulatory investigations and proceedings that theGeneral Partner believes do not have a material effect on the businessof Citigroup Global Markets.

Item 4.    Submission ofMatters to a Vote of Security Holders.

There were nomatters submitted to the security holders for a vote during the fourthquarter of the fiscal year covered by thisreport.

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PART II

Item5.    Market for Registrant's Common Equity, RelatedStockholder Matters and Issuer Purchases of Equity Securities

(a)    Market Information. The Partnership has issued nostock. There is no established public market for the Redeemable Unitsof Limited Partnership Interest.

(b)    Holders. Thenumber of holders of Redeemable Units of Limited Partnership Interestas of December 31, 2005, was 4,843.

(c)    Distribution. The Partnership did not declare adistribution in 2005 and 2004.

(d)    Use ofProceeds. There were no additional sales of units for the yearsended December 31, 2005 and 2004. For the year ended December 31, 2003,there were additional sales of 33,441.1203 Redeemable Units totaling$40,329,000. Proceeds from the sale of additional Redeemable Units areused in the trading of commodity interests including futures contracts,options and forward contracts.

Item 6.    SelectedFinancial Data.

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

|                                                                                                                                                                                                                   |  |        |             |         |  |        |             |        |  |        |             |        |  |        |             |        |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                                                              |  | 2005   |             | 2004    |  | 2003   |             | 2002   |  | 2001   |
| Realizedand unrealized trading gains (losses) and investment in Partnership netof brokerage commissions (including clearing fees), of $8,705,761,$11,084,448, $12,202,287, $7,000,104, and $3,132,288respectively |  | $      | (6,747,478  | )  |  | $      | 9,343,350   |   |  | $      | 31,238,145  |   |  | $      | 22,692,993  |   |  | $      | (1,626,277 | )  |
| Interestincome                                                                                                                                                                                                    |  |   | 1,173,369   |    |  |   | 1,593,137   |   |  |   | 1,500,941   |   |  |   | 1,445,439   |   |  |   | 1,330,414  |    |
|                                                                                                                                                                                                              |  | $      | (5,574,109  | )  |  | $      | 10,936,487  |   |  | $      | 32,739,086  |   |  | $      | 24,138,432  |   |  | $      | (295,863   | )  |
| Netincome(loss)                                                                                                                                                                                                   |  | $      | (8,982,853  | )  |  | $      | 5,440,660   |   |  | $      | 22,424,063  |   |  | $      | 17,290,120  |   |  | $      | (1,932,112 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                          |  | $      | (62.99      | )  |  | $      | 43.49       |   |  | $      | 146.42      |   |  | $      | 136.60      |   |  | $      | (30.32     | )  |
| Totalassets                                                                                                                                                                                                       |  | $      | 152,802,619 |    |  | $      | 192,831,825 |   |  | $      | 213,325,754 |   |  | $      | 166,121,040 |   |  | $      | 71,587,137 |    |
|                                                                                                                                                                                                                   |

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

Overview

The Partnership aims to achievesubstantial capital appreciation through speculative trading, directlyand indirectly, in U.S. and international markets for currencies,interest rates, stock indices, agricultural and energy products andprecious and base metals. The Partnership may employ futures, optionson futures, and forward contracts in those markets.

The GeneralPartner manages all the business affairs of the Partnership. TheGeneral Partner has delegated its responsibility for the investment ofthe Partnership's assets to JWH, Graham, Campbell and Aspect. 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

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staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the Advisors for the Partnership, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

Responsibilities of the GeneralPartner include:

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

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

|              |                                              |
|--------------|----------------------------------------------|
| •  | negotiation of the managementagreements; and |

|              |                                         |
|--------------|-----------------------------------------|
| •  | monitoring the activityof the Advisors. |

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

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

The programs traded by each Advisor on behalfof the Partnership are: Aspect – Diversified Program("Diversified"), Campbell — Financial,Metal & Energy Large Portfolio ("FMELarge"), Graham — Global Diversified Program("GDP") and JWH — Strategic AllocationProgram ("SAP"). As of December 31, 2005, thePartnership's assets were allocated among the trading Advisors inthe following approximate percentages: Aspect, 29%, Campbell,29%, Graham, 26%, and JWH, 16%.

John W.Henry & Company, Inc.

JWH specializes in managinginstitutional and individual capital in the global futures, interestrate and foreign exchange markets. Since 1981, JWH has developed andimplemented proprietary trend-following trading techniques that focuson long-term trends.

JWH trades its Strategic Allocation Program("SAP") on behalf of the Partnership, throughits investment in JWH Master. SAP's objective is capitalappreciation with the reduction of the volatility and risk of loss thattypically would be associated with an investment in any one JWHinvestment program.

JWH currently operates 11 investmentprograms including SAP. Any or all of the other ten programs may beincluded in SAP from time to time. Each investment program hasdistinctive style, timing, and market characteristics. SAP programselection and allocations are made at the discretion of the JWHInvestment Policy Committee.

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As of December 31, 2005, JWHMaster's assets were allocated among the JWH programs asfollows:

|                                                                   |  |                                                           |        |         |  |  |
|-------------------------------------------------------------------|--|-----------------------------------------------------------|--------|---------|--|--|
|                                                              |  | PercentageAllocation in JWH Master as of December 31,2005 |
| BroadlyDiversified Programs                                       |  |                                                      |   |    |
| •   OriginalInvestmentProgram                 |  |                                                      | 15     | %  |
| •   JWHGlobalAnalytics® Family ofPrograms |  |                                                      | 10     | %  |
| FinancialPrograms                                                 |  |                                                      |   |    |
| •   Financial and MetalsPortfolio             |  |                                                      | 15     | %  |
| •   GlobalFinancial & EnergyPortfolio     |  |                                                      | 15     | %  |
| •   WorldwideBond Program                     |  |                                                      | 15     | %  |
| Foreign ExchangePrograms                                          |  |                                                      |   |    |
| •   DollarPrograms                            |  |                                                      | 10     | %  |
| Multiple StylePrograms                                            |  |                                                      |   |    |
| •   Currency StrategicAllocation Program      |  |                                                      | 20     | %  |
|                                                                   |

Theallocation of SAP's assets among the investment programs, as wellas the selection of the programs used for SAP, is dynamic. WhileJWH's individual investment programs are technical,trend-following programs, the selection of programs as well as theallocation of assets among the programs in SAP are entirelydiscretionary.

Graham Capital Management, L.P.

Graham trades actively in both U.S. and foreign markets, primarilyin futures contracts, forward contracts, spot contracts and associatedderivative instruments such as options and swaps. Graham engages inexchange for physical transactions, which involve the exchange of afutures position for the underlying physical commodity without makingan open competitive trade on an exchange. Graham at times will tradecertain instruments, such as forward foreign currency contracts, as asubstitute for futures or options traded on futures exchanges.

Graham's trading systems rely primarily on technical ratherthan fundamental information as the basis for their trading decisions.Graham's systems are based on the expectation that they can overtime successfully anticipate market events using quantitativemathematical models to determine their trading activities, as opposedto attempting properly to forecast price trends using subjectiveanalysis of supply and demand

The Global Diversified Programutilizes multiple computerized trading models designed to participatein potential profit opportunities during sustained price trends. Thisprogram features broad diversification in both financial andnon-financial markets. The strategies that are utilized are primarilylong-term in nature and are intended to generate significant returnsover time with an acceptable degree of risk and volatility. Thecomputer models on a daily basis analyze the recent price action, therelative strength and the risk characteristics of each market andcompare statistically the quantitative results of this data to years ofhistorical data on each market. The Global Diversified Program tradesin approximately 80 markets.

Campbell & Company,Inc.

Campbell trades its FME Large Portfolio on behalf ofthe Partnership, through its investment in Campbell Master.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 & Company's intention to offset

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those signals to reduce unnecessary trading,but if the signals are not simultaneous, both trades will be taken andsince it is unlikely that both positions would prove profitable, inretrospect, one or both trades will appear to have been unnecessary. Itis Campbell's policy to follow trades signaled by each tradingmodel independently of the other models.

Aspect CapitalLimited.

Aspect trades its Diversified Program on behalf ofthe Partnership, through its investment in Aspect Master. TheDiversified Program is a systematic global futures trading program. Itsgoal 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 believes that its quantitativeresources are sufficient to enable it to design and implement a broadlydiversified portfolio with a significant allocation to numerousdifferent markets.

Aspect's Diversified Program tradesover 100 markets in the seven major sectors: currencies, energy,metals, stock indices, bonds, agricultural commodities and interestrates implementing momentum strategies. Aspect is constantly examiningnew liquid and uncorrelated markets to incorporate in the program withthe aim 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.

(a)    Liquidity.

The Partnership nor the Master Funds do not engage in sales of goodsor services. Their only assets are their (i) equity in their commodityfutures trading account, consisting of cash and cash equivalents, netunrealized appreciation (depreciation) on open futures positions,unrealized appreciation on forward contracts and interest receivableand, (ii) the Partnerships' investment in the Master Funds.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership and the Master Funds. Suchsubstantial losses could lead to a material loss in liquidity.

To minimize this risk relating to low margin deposits, thePartnership follows certain trading policies, including:

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

|            |                                                                                                                                                                                                                                               |
|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | An Advisor will not initiate additionalpositions in any commodity if these positions would result in aggregatepositions requiring a margin of more than66 2/3% of the Partnership's or the MasterFunds' net assets allocated to that Advisor. |

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

|            |                                                                                                                                                                                                                                                                           |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | ThePartnership and the Master Funds do not employ the trading techniquecommonly known as "pyramiding", in which thespeculator uses unrealized profits on existing positions as margin forthe purchases or sale of additional positions in the same or relatedcommodities. |

|           |                                                                                                                                                                 |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Partnership and theMaster Funds do not utilize borrowings except short-term borrowings ifthe Partnership/Master Funds take delivery of any cashcommodities. |

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|             |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)   | The Advisors may,from time to time, employ trading strategies such as spreads orstraddles on behalf of the Partnership or the Master Funds. 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 or the Master Funds will not permit the churning of theircommodity trading account. The term"churning" refers to the practice of enteringand exiting trades with a frequency unwarranted by legitimate effortsto profit from the trades, driven by the desire to generate commissionincome. |

In the normal course of business, the Partnershipdirectly, and through its investments in the Master Funds, is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments include forwards, futures, options and swaps,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 atspecified terms at specified future dates, or, in the case ofderivative commodity interests, to have a reasonable possibility to besettled in 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, swaps and certain options. Each of these instrumentsis subject to various risks similar to those relating to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership/Master Funds due to market changes, includinginterest and foreign exchange rate movements and fluctuations incommodity or security prices. Market risk is directly impacted by thevolatility and liquidity in the markets in which the related underlyingassets are traded.

Credit risk is the possibility that a lossmay occur due to the failure of a counterparty to perform according tothe terms of a contract. Credit risk with respect to exchange tradedinstruments is reduced to the extent that an exchange or clearingorganization acts as counterparty to the transactions. ThePartnership's/Master Funds' risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership/MasterFunds has credit risk and concentration risk because the solecounterparty or broker with respect to the Partnership's/MasterFunds' assets is CGM.

The General Partner monitors andcontrols the Partnership's/Master Funds' risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which thePartnership/Master Funds are subject. These monitoring systems allowthe General Partner to statistically analyze actual trading resultswith risk adjusted performance indicators and correlation statistics.In addition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions. (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 futures and swaps trading, thePartnership/Master Funds knows of no trends, demands, commitments,events or uncertainties which will result in or which are reasonablylikely to result in the Partnership's/Master Funds'liquidity increasing or decreasing in any material way. The LimitedPartnership Agreement provides that the General Partner may, in itsdiscretion, cause the Partnership/Master Funds to cease tradingoperations and liquidate all open positions under certain circumstancesincluding a decrease in Net Asset Value per Redeemable Unit to lessthan $400 as of the close of business on any business day.

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|           |                   |
|-----------|-------------------|
| (b)  | CapitalResources. |

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

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

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may cause all or some of his Redeemable Unitsto be redeemed by the Partnership at the Redemption value perRedeemable Unit thereof as of the last day of each month, ending atleast three months after such Redeemable Units have been issued, on tendays' written notice to the General Partner. No fee will becharged for redemptions. For the year ended December 31, 2005,17,808.0132 Redeemable Units were redeemed totaling $22,317,953. Forthe year ended December 31, 2004, 19,302.1662 Redeemable Units wereredeemed totaling $24,789,433. For the year ended December 31, 2003,15,846.8766 Redeemable Units were redeemed totaling $19,968,628.

The Partnership is closed and no longer offers Redeemable Units atthe Net Asset Value per Redeemable Unit as of the end of each month.For the year ended December 31, 2003, there were additional sales of33,441.1203 Redeemable Units totaling $40,329,000.

(c)    Results of Operations.

For the year endedDecember 31, 2005, the Net Asset Value per Redeemable Unit decreased4.7% from $1,347.35 to $1,284.36. For the year ended December31, 2004, the Net Asset Value per Redeemable Unit increased 3.3%from $1,303.86 to $1,347.35. For the year ended December 31, 2003, theNet Asset Value per Redeemable Unit increased 12.7% from$1,157.44 to $1,303.86.

The partnership experienced net tradinggains of $1,958,283 before commissions and expenses in 2005. Gains wereprimarily attributable to the trading of energy, U.S. interest rates,metals and indices and were partially offset by losses in currencies,grains, non-U.S. interest rates, livestock, softs and lumber.

The year 2005 was characterized by several events that made itgenerally difficult for the partnership's advisors to navigatethe markets successfully and retain profits when earned. Profits wereearned in energy, metals and stock indices as these sectors had themost pronounced price trends while losses were incurred in currencies,interest rates and agricultural markets. Over the course of the year,the general partner allocated Partnership assets to Advisors whichtended to have shorter-term and more fundamentally based tradingstrategies in effort to capitalize on evolving market conditions.

Crude oil and natural gas prices increased throughout the yeardramatically reaching their peaks post Hurricane Katrina and Rita.These markets provided extended trending patterns for thePartnership's Advisors and resulted in substantial profits forthe Partnership.

Both the precious and base or industrial metalssectors saw nearly uninterrupted rises in prices for the year whichallowed the majority of the Partnership's Advisors to tradeprofitably. Of particular note was the price of gold which rose to over$500 an ounce by the end of the year. Base metals such as zinc, copperand aluminum also experienced substantial price increases as globaldemand and speculative trading spurred prices.

In financialmarkets, foreign stock market indices were the most profitable sectorfor the partnership for the year as a resurging Japanese economy andpositive political news in Europe propelled these markets out oflong-term doldrums.

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Currency trading was notably unprofitablewith 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 aprolonged period of volatility at the beginning of the third quarterwith the Chinese governments decision to revalue the Chinese yuan.Interest rate trading was mixed with gains in non-US contracts offsetby losses in US interest rate positions.

The partnershipexperienced net trading gains of $20,427,798 before commissions andexpenses in 2004. Gains were primarily attributable to the trading ofenergy, grains, livestock and non-U.S. interest rates and werepartially offset by losses in currencies, U.S. interest rates, metals,softs and indices.

Trading results for the year 2004 can bedescribed in four distinct periods: the first two months of the yearproduced positive results of nearly 11% with trends carryingover from late 2003, the next six months which saw trend disruptionsand produced losses of approximately 19%, the third periodSeptember through November saw a recovery period with profits of over14% but from a lower base, and finally the month of Decemberwhich stands alone as basically break-even with the Partnership endingthe year up 3.3%. The results for the year were heavilyinfluenced by two historic trends: the decline 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.

2004 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 into 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. April though June 2004 was such a period fornearly all of the Partnership's advisors as they adjustedpositions from what had been profitable, long-term trends to choppy,directionless and volatile markets. Particularly treacherous and thusunprofitable was trading in U.S. and Asian interest rates and globalstock indices while energy, metals and grains provided some offsettingprofits. The fundamental economic concerns hanging over these marketswere further exacerbated by the uncertainty surrounding the tightlycontested U.S. presidential election.

With 2004 looking dismalgoing into the fall, the price of crude oil resumed its climb to $50 abarrel brought on by a deteriorating security situation in Iraq, SaudiArabia political turmoil, and renewed threats of terrorism. Longpositions in the energy sector continued to provide profits to thePartnership through the end of the third quarter and into the fourthquarter. Later in the fourth quarter the U.S. dollar began aprecipitous slide toward $1.40 to the euro. These renewed trends incurrency prices combined with declining interest rates and strongerglobal stock markets were favorable to the Partnership's advisorsand provided a solidly profitable October and November for thePartnership.

December 2004, in some respects, was a microcosm ofthe whole year with volatility across many markets especiallycurrencies and energy with the net effect being a small gain for themonth and an overall increase in net asset value per unit for thePartnership for the year.

The Partnership experienced net tradinggains of $43,440,432 before commissions and expenses in 2003. Gainswere primarily attributable to the trading of currencies, energy,grains, metals and indices and were partially offset by losses in U.S.and non-U.S. interest rates, livestock, and softs.

In theGeneral Partner's opinion, the Advisors continue to employtrading methods and produce results consistent with the objectives ofthe Partnership and expectations for the Advisors' programs. TheGeneral Partner continues to monitor the Advisors' performance ona daily, weekly, monthly and annual basis to assure these objectivesare met.

It should be noted that commodity markets are highlyvolatile. Broad price fluctuations and rapid inflation increase therisks involved in commodity trading, but also increase the possibilityof profit. The 

18

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profitability of the Partnership depends onthe existence of major price trends and the ability of the Advisors toidentify those price trends correctly. Price trends are influenced by,among other things, changing supply and demand relationships, weather,governmental, agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. To the extent that market trends exist and the Advisorsare able to identify them, the Partnership expects to increase capitalthrough operations.

(d)    Operational Risk.

The Partnership is directly exposed to market risk and credit risk,which arise in the normal course of its business activities. Slightlyless direct, but of critical importance, are risks pertaining tooperational and back office support. This is particularly the case in arapidly changing and increasingly global environment with increasingtransaction volumes and an expansion in the number and complexity ofproducts in the marketplace.

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 AccountingPolicies.

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

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) held by the Partnership are used for tradingpurposes. The commodity interests are recorded on trade date and opencontracts are recorded in the statements of financial condition at fairvalue on the last business day of the period, which represents marketvalue for those commodity interests for which market quotations arereadily available or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

Foreign currency contractsare those contracts where the Partnership agrees to receive or delivera fixed quantity of foreign currency for an agreed-upon price on anagreed future date. Foreign currency 

19

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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 partners' capital.

The General Partner believes that the accounting policies that willbe most critical to the Partnership's financial condition andresults of operations relate to the valuation of thePartnership's positions. The majority of the Partnership'spositions will be exchange-traded futures contracts, which will bevalued daily at settlement prices published by the exchanges. TheGeneral Partner expects that under normal circumstances substantiallyall of the Partnership'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 Partnership assetsand undistributed profits. This limited liability is a consequence ofthe organization of the Partnership as a limited partnership underapplicable law.

Market movements result in frequent changes inthe fair market value of the Partnership's open positions as wellas its investments in other Partnerships and, consequently, in itsearnings and cash flow and investments in other Partnerships. 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 among the Partnership's openpositions and the liquidity of the markets in which it trades.

The Partnership and the Master Funds rapidly acquire and liquidateboth 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 thePartnership's/Master Funds' past performance are notnecessarily indicative of its future results.

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

Quantifying thePartnership's Trading Value at Risk

The followingquantitative disclosures regarding the Partnership's market riskexposures contain "forward-lookingstatements" within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Actof 1934). All quantitative 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).

20

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The Partnership's risk exposure inthe various market sectors traded by the Advisors is quantified belowin terms of Value at Risk. Due to the Partnership'smark-to-market accounting, any loss in the fair value of thePartnership open positions is directly reflected in thePartnership's earnings (realized and unrealized).

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

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

Thefair value of the Partnership's futures and forward positionsdoes not have any optionality component. However, certain of theAdvisors 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, and where thisinstrument is a physical commodity, the futures-equivalent maintenancemargin has been used. This calculation is conservative in that itassumes that the fair value of an option will decline by the sameamount 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.

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The Partnership's Trading Value atRisk in Different Market Sectors

The following table indicatesthe trading Value at Risk associated with the Partnership's openpositions by market category as of December 31, 2005, and the highest,lowest and average value 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, 2005,the Partnership's total capitalization was$148,994,539.

December 31,2005

|                       |  |               |           |                          |  |                   |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|-----------------------|--|---------------|-----------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector          |  | Value at Risk |           | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies:           |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —OTC            |  | $             | 1,100,404 |                     |  |              | 0.74   | %           |  | $                    | 4,446,732 |   |  | $      | 146,939 |   |  | $      | 1,216,340 |   |
| Energy                |  |          | 25,400    |                     |  |              | 0.02   | %           |  |                 | 1,730,720 |   |  |   | 9,000   |   |  |   | 364,469   |   |
| Grains                |  |          | 11,900    |                     |  |              | 0.01   | %           |  |                 | 284,738   |   |  |   | 1,100   |   |  |   | 74,412    |   |
| InterestRatesU.S.     |  |          | 97,523    |                     |  |              | 0.07   | %           |  |                 | 1,280,710 |   |  |   | 6,143   |   |  |   | 384,388   |   |
| InterestRatesNon-U.S. |  |          | 434,640   |                     |  |              | 0.29   | %           |  |                 | 3,688,501 |   |  |   | 23,563  |   |  |   | 843,962   |   |
| Livestock             |  |          | 15,200    |                     |  |              | 0.01   | %           |  |                 | 34,400    |   |  |   | 15,200  |   |  |   | 27,333    |   |
| Metals                |  |          |      |                     |  |              |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —OTC            |  |          | 97,475    |                     |  |              | 0.07   | %           |  |                 | 1,814,076 |   |  |   | 42,744  |   |  |   | 478,673   |   |
| Softs                 |  |          | 63,723    |                     |  |              | 0.04   | %           |  |                 | 363,734   |   |  |   | 11,649  |   |  |   | 147,052   |   |
| Indices               |  |          | 1,822,830 |                     |  |              | 1.22   | %           |  |                 | 7,071,679 |   |  |   | 16,608  |   |  |   | 2,134,722 |   |
| Total                 |  | $             | 3,669,095 |                     |  |              | 2.47   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                       |

|  |
|--|
|  |  |
|  |

|  |                                                   |
|--|---------------------------------------------------|
|  | *Annual average based on month-end value at risk. |

As ofDecember 31, 2004, the Partnership's total capitalization was$180,295,345.

December 31,2004

|                        |  |               |            |                          |  |                   |        |                  |  |                      |           |        |  |        |           |        |  |        |           |        |  |  |
|------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
| MarketSector           |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies             |  |          |       |                     |  |              |   |             |  |                 |      |   |  |   |      |   |  |   |      |   |
| —Exchange Traded |  | $             | 64,500     |                     |  |              | 0.04   | %           |  | $                    | 3,226,506 |   |  | $      | 64,500    |   |  | $      | 1,292,340 |   |
| —OTC             |  |          | 6,166,155  |                     |  |              | 3.42   | %           |  |                 | 6,166,155 |   |  |   | 458,131   |   |  |   | 2,551,156 |   |
| Energy                 |  |          | 1,909,926  |                     |  |              | 1.06   | %           |  |                 | 3,934,200 |   |  |   | 360,004   |   |  |   | 1,569,524 |   |
| Grains                 |  |          | 120,688    |                     |  |              | 0.07   | %           |  |                 | 671,306   |   |  |   | 85,443    |   |  |   | 315,005   |   |
| InterestratesU.S.      |  |          | 1,285,055  |                     |  |              | 0.71   | %           |  |                 | 3,298,200 |   |  |   | 367,200   |   |  |   | 1,363,378 |   |
| InterestratesNon-U.S.  |  |          | 3,802,170  |                     |  |              | 2.11   | %           |  |                 | 8,238,149 |   |  |   | 1,905,629 |   |  |   | 4,761,466 |   |
| Livestock              |  |          | 32,800     |                     |  |              | 0.02   | %           |  |                 | 34,400    |   |  |   | 28,800    |   |  |   | 32,320    |   |
| Metals                 |  |          |       |                     |  |              |   |             |  |                 |      |   |  |   |      |   |  |   |      |   |
| —Exchange Traded |  |          | 122,000    |                     |  |              | 0.07   | %           |  |                 | 542,200   |   |  |   | 20,000    |   |  |   | 248,583   |   |
| —OTC             |  |          | 1,199,211  |                     |  |              | 0.66   | %           |  |                 | 1,735,324 |   |  |   | 206,700   |   |  |   | 716,920   |   |
| Softs                  |  |          | 311,010    |                     |  |              | 0.17   | %           |  |                 | 744,345   |   |  |   | 69,251    |   |  |   | 319,925   |   |
| Indices                |  |          | 8,852,475  |                     |  |              | 4.91   | %           |  |                 | 9,984,163 |   |  |   | 1,317,502 |   |  |   | 4,960,390 |   |
| Total                  |  | $             | 23,865,990 |                     |  |              | 13.24  | %           |  |                 |      |   |  |   |      |   |  |   |      |   |
|                        |

|  |
|--|
|  |  |
|  |

|  |                                                   |
|--|---------------------------------------------------|
|  | *Annual average based on month-end value at risk. |

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Material Limitations on Value at Risk asan Assessment of Market Risk

The face value of the marketsector instruments held by the Partnership is typically many times theapplicable maintenance margin requirement (margin requirementsgenerally range between 2% and 15% of contract facevalue) as well as many times the capitalization of the Partnership. Themagnitude of the Partnership's open positions creates a"risk of ruin" not typically found in mostother investment vehicles. Because of the size of its positions,certain market conditions — unusual, but historically recurringfrom time to time — could cause the Partnership to incur severelosses over a short period of time. The foregoing Value at Risk table— as well as the past performance of the Partnership — giveno indication of this "risk of ruin."

Non-Trading Risk

The Partnership has non-trading marketrisk on its foreign cash balances not needed for margin. However, thesebalances (as well as any market risk they represent) are considered tobe immaterial.

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

Qualitative Disclosures Regarding Primary Trading RiskExposures

The following qualitative disclosures regarding thePartnership's market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market riskexposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act and Section 21E of theSecurities Exchange Act. The Partnership's primary market riskexposures as well as the strategies used and to be used by the GeneralPartner and the Advisors for managing such exposures are subject tonumerous uncertainties, contingencies and risks, any one of which couldcause the actual results of the Partnership's risk controls todiffer materially 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. However, the Partnership also takesfutures positions on the government debt of smaller nations —e.g., Australia.

Currencies. ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic conditions. 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 currency other than dollars.

StockIndices. The Partnership's primary equity exposure is toequity price risk in the G-8 countries. The stock index futures tradedby the Partnership are limited to futures on broadly based indices. Asof 

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December 31, 2005, the Partnership'sprimary exposures were in the EURO Stoxx Index andE-MINI Nasdaq stock indices. The General Partner anticipates little, ifany, trading in non-G-8 stock indices. The Partnership is primarilyexposed to the risk of adverse price trends or static markets in themajor U.S., European and Japanese indices. (Static markets would notcause major market changes but would make it difficult for thePartnership to avoid being "whipsawed" intonumerous small losses.)

Metals. The Partnership'sprimary metal market exposure is to fluctuations in the price of basemetals Copper, Aluminum, and Zinc.

Softs. ThePartnership's primary commodities exposure is to agriculturalprice movements which are often directly affected by severe orunexpected weather conditions. Cocoa, cotton, and sugar accounted forthe substantial bulk of the Partnership's commodity exposure asof December 31, 2005.

Energy. The Partnership'sprimary energy market exposure is to natural gas and oil pricemovements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losseshave been and are expected to continue to be experienced in thismarket.

Qualitative Disclosures Regarding Non-Trading RiskExposure

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2005.

Foreign CurrencyBalances. The Partnership's primary foreign currencybalances are in Japanese yen, Euro dollar and Swiss francs. TheAdvisors regularly convert foreign currency balances to U.S. dollars inan attempt to control the Partnership's non-trading risk.

Qualitative Disclosures Regarding Means of Managing RiskExposure

The General Partner monitors and controls thePartnership's risk exposure on a daily basis through financial,credit and risk management monitoring systems and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Partnership is subject.

TheGeneral Partner monitors the Partnership's performance and theconcentration of its open positions, and consults with the Advisorsconcerning the Partnership's overall risk profile. If the GeneralPartner felt it necessary to do so, the General Partner could requirethe Advisors to close out individual positions as well as enter certainpositions traded on behalf of the Partnership. However, any suchintervention would be a highly unusual event. The General Partnerprimarily relies on the Advisors' own risk control policies whilemaintaining a general supervisory overview of the Partnership'smarket risk exposures.

The Advisors apply their own riskmanagement policies to its trading. The Advisors often followdiversification guidelines, margin limits and stop loss points to exita position. The Advisors' research of risk management oftensuggests ongoing modifications to their trading programs.

Aspart of the General Partner's risk management, the GeneralPartner periodically meets with the Advisors to discuss their riskmanagement and to look for any material changes to the Advisors'portfolio balance and trading techniques. The Advisors are required tonotify the General Partner of any material changes to theirprograms.

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Item8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY DIVERSIFIED 2000 FUTURES FUND L.P.

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | PageNumber        |
| Oath orAffirmation                                                                            |  | F-3               |
| Mangement'sReport on Internal Control over FinancialReporting                                 |  | F-4               |
| Reports of IndependentRegistered Public Accounting Firm                                       |  | F-5 –F-6    |
| FinancialStatements:                                                                          |  |              |
| Statements of Financial Condition atDecember 31, 2005 and 2004                                |  | F-7               |
| CondensedSchedules of Investments at December 31, 2005 and 2004                               |  | F-8– F-9    |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and2003          |  | F-10              |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004 and2003 |  | F-11              |
| Statements of Cash Flows for theyears ended December 31, 2005, 2004 and2003                   |  | F-12              |
| Notes to FinancialStatements                                                                  |  | F-13 – F-18 |
| SelectedUnaudited Quarterly FinancialData                                                     |  | F-19              |
| Financial Statements ofJWH Strategic Allocation Master FundLLC                                |  |              |
| Oath of Affirmation                                                                           |  | F-20              |
| Independent Auditors'Report                                                                   |  | F-21              |
| Statements of FinancialCondition at December 31, 2005 and 2004                                |  | F-22              |
| Condensed Schedules of Investments atDecember 31, 2005 and 2004                               |  | F-23 –F-24  |
| Statements of Income and Expenses for the yearsended December 31, 2005, 2004 and 2003         |  | F-25              |
| Statements of Changes in Members'Capital for the years ended December 31, 2005, 2004 and 2003 |  | F-26              |
| Statements of Cash Flows for the yearsended December 31, 2005, 2004 and 2003                  |  | F-27              |
| Notes to Financial Statements                                                                 |  | F-28– F-31  |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-32              |
| Financial Statements ofCMF Campbell Master Fund L.P.                                          |  |              |
| Oath ofAffirmation                                                                            |  | F-33              |
| Independent Auditors'Report                                                                   |  | F-34              |
| Statement of Financial Conditionat December 31, 2005                                          |  | F-35              |
| CondensedSchedule of Investments at December 31, 2005                                         |  | F-36              |
| Statement of Income and Expenses forthe year ended December 31, 2005                          |  | F-37              |
|                                                                                               |

F-1

----

|                                                                                                                                    |  |                   |  |  |  |  |
|------------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                                                               |  | PageNumber        |
| Statement of Changes in Partners'Capital for the years ended December 31, 2005                                                     |  | F-38              |
| Statementof Cash Flows for the year ended December 31, 2005                                                                        |  | F-39              |
| Notes to Financial Statements                                                                                                      |  | F-40– F-43  |
| Selected Unaudited Quarterly FinancialData                                                                                         |  | F-44              |
| Financial Statements ofCMF Aspect Master Fund L.P.                                                                                 |  |              |
| Oath ofAffirmation                                                                                                                 |  | F-45              |
| Independent Auditors'Report                                                                                                        |  | F-46              |
| Statement of Financial Conditionat December 31, 2005                                                                               |  | F-47              |
| Condensed Scheduleof Investments at December 31,2005                                                                               |  | F-48              |
| Statement of Income and Expensesfor the period from March 1, 2005 (commencement of trading operations)to December 31, 2005         |  | F-49              |
| Statement ofChanges in Partners' Capital for the period from March 1, 2005(commencement of trading operations) to December 31,2005 |  | F-50              |
| Statement of Cash Flows for theperiod from March 1, 2005 (commencement of trading operations) toDecember 31, 2005                  |  | F-51              |
| Notes to FinancialStatements                                                                                                       |  | F-52 – F-55 |
| SelectedUnaudited Quarterly FinancialData                                                                                          |  | F-56              |
|                                                                                                                                    |

F-2

----

To theLimited Partners ofSalomon Smith Barney Diversified 2000 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 Barney Diversified 2000 Futures FundL.P. |

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

F-3

----

Management's Report on InternalControl overFinancial Reporting

The management of SalomonSmith Barney Diversified 2000 Futures Fund L.P. (the"Partnership"), Citigroup Managed FuturesLLC, is responsible for establishing and maintaining adequate internalcontrol over financial reporting. The Partnership's internalcontrol system was designed to provide reasonable assurance to thePartnership's management and Board of Directors regarding thepreparation and fair presentation of published financial statements inaccordance with U.S. generally accepted accounting principles. Allinternal control systems, no matter how well designed, have inherentlimitations. Therefore, even those systems determined to be effectivecan provide only reasonable assurance with respect to financialstatement preparation and presentation.

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

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

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

F-4

----

Report of Independent Registered PublicAccounting Firm

To the Partners of Salomon SmithBarney Diversified 2000 Futures Fund L.P.:

We haveaudited management's assessment, included in the accompanyingManagement's Report on Internal Control Over FinancialReporting, that Salomon Smith Barney Diversified 2000 Futures FundL.P. (the "Partnership") maintained effectiveinternal control over financial reporting as of December 31, 2005,based on criteria established in Internal Control—IntegratedFramework issued by the Committee of Sponsoring Organizations ofthe Treadway Commission ("COSO"). ThePartnership's management is responsible for maintaining effectiveinternal control over financial reporting and for its assessment of theeffectiveness of internal control over financial reporting. Ourresponsibility is to express an opinion on management'sassessment and an opinion on the effectiveness of thePartnership's internal control over financial reporting based onour audit.

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

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

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

In our opinion, management'sassessment that Salomon Smith Barney Diversified 2000 Futures Fund L.P.maintained effective internal control over financial reporting as ofDecember 31, 2005, is fairly stated, in all material respects, based oncriteria established in Internal Control—IntegratedFramework issued by COSO. Also, in our opinion, the Partnershipmaintained, in all material respects, effective internal control overfinancial reporting as of December 31, 2005, based on criteriaestablished in Internal Control—Integrated Frameworkissued by COSO.

We also have audited, in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates), the statements of financial condition of the Partnership,including the condensed schedules of investments, as of December 31,2005 and 2004, and the related statements of income and expenses,changes in partners' capital, and cash flows for each of theyears in the three-year period ended December 31, 2005, and our reportdated March 13, 2006 expressed an unqualified opinion on thosefinancialstatements.

|  |
|--|
|  |  |
|  |

New York, New YorkMarch 13, 2006

F-5

----

Report of Independent Registered PublicAccounting Firm

To the Partners of Salomon SmithBarney Diversified 2000 Futures Fund L.P.:

We haveaudited the accompanying statements of financial condition of SalomonSmith Barney Diversified 2000 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 inaccordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we planand perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An auditincludes examining, on a test basis, evidence supporting the amountsand disclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates madeby management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of Salomon Smith Barney Diversified 2000 FuturesFund L.P. as of December 31, 2005 and 2004, and the results of itsoperations, changes in its partners' capital, and its cash flowsfor each of the years in the three-year period ended December 31, 2005,in conformity with U.S. generally accepted accounting principles.

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

|  |
|--|
|  |  |
|  |

New York, New YorkMarch 13, 2006

F-6

----

Salomon Smith Barney Diversified 2000Futures Fund L.P.Statements of Financial ConditionDecember31, 2005 and2004

|                                                                                                                                          |  |        |             |        |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                     |  | 2005   |             | 2004   |
| Assets:                                                                                                                                  |  |   |        |   |  |   |        |   |
| Investmentin Partnerships, at fair value                                                                                                 |  | $      | 109,585,351 |   |  | $      | 27,780,607  |   |
| Cash (restricted $3,917,513and $26,147,161 in 2005and 2004, respectively) (Note3c)                                                       |  |   | 40,905,518  |   |  |   | 154,424,701 |   |
| Net unrealized appreciationon open futures positions                                                                                     |  |   | 167,893     |   |  |   | 3,659,841   |   |
| Unrealized appreciation on openforward contracts                                                                                         |  |   | 2,043,605   |   |  |   | 6,760,475   |   |
|                                                                                                                                     |  |   | 152,702,367 |   |  |   | 192,625,624 |   |
| Interest receivable (Note3c)                                                                                                             |  |   | 100,252     |   |  |   | 206,201     |   |
|                                                                                                                                     |  | $      | 152,802,619 |   |  | $      | 192,831,825 |   |
| Liabilitiesand Partners'Capital:                                                                                                         |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                             |  |   |        |   |  |   |        |   |
| Unrealizeddepreciation on open forward contracts                                                                                         |  | $      | 1,173,919   |   |  | $      | 6,671,257   |   |
| Accruedexpenses:                                                                                                                         |  |   |        |   |  |   |        |   |
| Commissions (Note3c)                                                                                                                     |  |   | 695,415     |   |  |   | 851,456     |   |
| Management fees (Note3b)                                                                                                                 |  |   | 229,287     |   |  |   | 283,680     |   |
| Incentive fees (Note 3b)                                                                                                                 |  |   | 491,538     |   |  |   | 1,920,913   |   |
| Professionalfees                                                                                                                         |  |   | 31,060      |   |  |   | 157,266     |   |
| Other                                                                                                                                    |  |   | 5,748       |   |  |   | 22,107      |   |
| Redemptions payable (Note6)                                                                                                              |  |   | 1,181,113   |   |  |   | 2,629,801   |   |
|                                                                                                                                     |  |   | 3,808,080   |   |  |   | 12,536,480  |   |
| Partners'capital (Notes 1 and 6):                                                                                                        |  |   |        |   |  |   |        |   |
| GeneralPartner, 2,005.1490 unit equivalents outstanding in 2005and2004                                                                   |  |   | 2,575,333   |   |  |   | 2,701,638   |   |
| Limited Partners, 114,002.1132and 131,810.1264 Redeemable Units of Limited Partnership Interestoutstanding in 2005 and 2004,respectively |  |   | 146,419,206 |   |  |   | 177,593,707 |   |
|                                                                                                                                     |  |   | 148,994,539 |   |  |   | 180,295,345 |   |
|                                                                                                                                     |  | $      | 152,802,619 |   |  | $      | 192,831,825 |   |
|                                                                                                                                     |  |   |        |   |  |   |        |   |
|                                                                                                                                          |

Seeaccompanying notes to financial statements.

F-7

----

Salomon Smith Barney Diversified 2000Futures Fund L.P.Condensed Schedule of InvestmentsDecember31,2005

|                                                  |  |           |             |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|-------------|----------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |             | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |        |                 |  |   |   |    |
| Energy                                           |  | $         | 10,765      |                 |  |   | 0.01   | %  |
| Grains                                           |  |      | (4,253      | )               |  |   | (0.00) | *  |
| Indices                                          |  |      | 149,729     |                 |  |   | 0.10   |    |
| InterestRatesNon-U.S.                            |  |      | 88,830      |                 |  |   | 0.06   |    |
| Livestock                                        |  |      | (14,680     | )               |  |   | (0.01  | )  |
| Softs                                            |  |      | 28,762      |                 |  |   | 0.02   |    |
| InterestRatesU.S.                                |  |      | (32,534     | )               |  |   | (0.02  | )  |
| Totalfutures contractspurchased                  |  |      | 226,619     |                 |  |   | 0.16   |    |
|                                             |  |      |        |                 |  |   |   |    |
| FuturesContractsSold                             |  |      |        |                 |  |   |   |    |
| Energy                                           |  |      | 32,050      |                 |  |   | 0.02   |    |
| Grains                                           |  |      | (7,238      | )               |  |   | (0.01  | )  |
| Indices                                          |  |      | 7,526       |                 |  |   | 0.01   |    |
| InterestRatesNon-U.S.                            |  |      | 39,374      |                 |  |   | 0.03   |    |
| Softs                                            |  |      | (57,105     | )               |  |   | (0.04  | )  |
| InterestRatesU.S.                                |  |      | (73,333     | )               |  |   | (0.05  | )  |
| Totalfutures contractssold                       |  |      | (58,726     | )               |  |   | (0.04  | )  |
|                                             |  |      |        |                 |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |        |                 |  |   |   |    |
| Currencies                                       |  |      | 867,445     |                 |  |   | 0.58   |    |
| Metals                                           |  |      | 1,176,160   |                 |  |   | 0.79   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,043,605   |                 |  |   | 1.37   |    |
|                                             |  |      |        |                 |  |   |   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |        |                 |  |   |   |    |
| Currencies                                       |  |      | (534,431    | )               |  |   | (0.36  | )  |
| Metals                                           |  |      | (639,488    | )               |  |   | (0.43  | )  |
| Totalunrealized depreciation on forwardcontracts |  |      | (1,173,919  | )               |  |   | (0.79  | )  |
|                                             |  |      |        |                 |  |   |   |    |
| Investmentin Partnerships                        |  |      |        |                 |  |   |   |    |
| JWH Strategic Allocation MasterFund LLC          |  |      | 23,678,001  |                 |  |   | 15.89  |    |
| CMFCampbell Master FundLP                        |  |      | 43,271,706  |                 |  |   | 29.04  |    |
| CMF AspectMaster FundLP                          |  |      | 42,635,644  |                 |  |   | 28.62  |    |
| TotalInvestment inPartnerships                   |  |      | 109,585,351 |                 |  |   | 73.55  |    |
| Totalfairvalue                                   |  | $         | 110,622,930 |                 |  |   | 74.25  | %  |
|                                                  |

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

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

Seeaccompanying notes to financial statements

F-8

----

Salomon Smith Barney Diversified 2000Futures Fund L.P.Condensed Schedule of InvestmentsDecember31,2004

|                                                  |  |           |            |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |    |
| Currencies                                       |  | $         | 26,838     |                 |  |   | 0.01   | %  |
| Energy                                           |  |      | (101,087   | )               |  |   | (0.06  | )  |
| Grains                                           |  |      | 450        |                 |  |   | 0.00   | *  |
| Livestock                                        |  |      | (15,112    | )               |  |   | (0.01  | )  |
| InterestRates U.S.                               |  |      | 77,260     |                 |  |   | 0.04   |    |
| InterestRatesNon-U.S.                            |  |      | 1,032,685  |                 |  |   | 0.57   |    |
| Metals                                           |  |      | (3,076     | )               |  |   | (0.00) | *  |
| Softs                                            |  |      | 73,947     |                 |  |   | 0.04   |    |
| Indices                                          |  |      | 2,095,588  |                 |  |   | 1.16   |    |
| Totalfutures contractspurchased                  |  |      | 3,187,493  |                 |  |   | 1.75   |    |
|                                             |  |      |       |                 |  |   |   |    |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |    |
| Energy                                           |  |      | 391,430    |                 |  |   | 0.22   |    |
| Grains                                           |  |      | (70,432    | )               |  |   | (0.03  | )  |
| InterestRates U.S.                               |  |      | 181,780    |                 |  |   | 0.10   |    |
| InterestRatesNon-U.S.                            |  |      | (4,577     | )               |  |   | (0.00) | *  |
| Softs                                            |  |      | (17,963    | )               |  |   | (0.01  | )  |
| Indices                                          |  |      | (7,890     | )               |  |   | 0.00   | *  |
| Totalfutures contractssold                       |  |      | 472,348    |                 |  |   | 0.28   |    |
|                                             |  |      |       |                 |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | 5,369,508  |                 |  |   | 2.98   |    |
| Metals                                           |  |      | 1,390,967  |                 |  |   | 0.77   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 6,760,475  |                 |  |   | 3.75   |    |
|                                             |  |      |       |                 |  |   |   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | (5,354,064 | )               |  |   | (2.97  | )  |
| Metals                                           |  |      | (1,317,193 | )               |  |   | (0.73  | )  |
| Totalunrealized depreciation on forwardcontracts |  |      | (6,671,257 | )               |  |   | (3.70  | )  |
|                                             |  |      |       |                 |  |   |   |    |
| Investmentin Partnership                         |  |      |       |                 |  |   |   |    |
| JWH Strategic Allocation MasterFundLLC           |  |      | 27,780,607 |                 |  |   | 15.41  |    |
| Totalfairvalue                                   |  | $         | 31,529,666 |                 |  |   | 17.49  | %  |
|                                                  |

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

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

Seeaccompanying notes to financial statements

F-9

----

Salomon Smith BarneyDiversified 2000Futures Fund L.P.Statements of Income and Expensesfor theyears ended December 31, 2005, 2004 and2003

|                                                                                                                      |  |        |            |         |  |        |            |         |  |        |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                 |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                              |  |   |       |    |  |   |       |    |  |   |       |    |
| Netgains (losses) on trading of commodityinterests:                                                                  |  |   |       |    |  |   |       |    |  |   |       |    |
| Realized gains (losses) on closedpositions and foreign currencies                                                    |  | $      | (8,018,204 | )  |  | $      | 23,877,538 |    |  | $      | 48,295,728 |    |
| Netunrealized gains (losses) on open positions and investment inPartnerships                                         |  |   | 9,976,487  |    |  |   | (3,449,740 | )  |  |   | (4,855,296 | )  |
|                                                                                                                 |  |   | 1,958,283  |    |  |   | 20,427,798 |    |  |   | 43,440,432 |    |
| Interest income(Note3c)                                                                                              |  |   | 1,173,369  |    |  |   | 1,593,137  |    |  |   | 1,500,941  |    |
|                                                                                                                 |  |   | 3,131,652  |    |  |   | 22,020,935 |    |  |   | 44,941,373 |    |
| Expenses:Brokeragecommissions including clearing feesof $84,060, $356,450 and$561,647, respectively (Note 3c)        |  |   | 8,705,761  |    |  |   | 11,084,448 |    |  |   | 12,202,287 |    |
| Managementfees (Note 3b)                                                                                             |  |   | 2,823,177  |    |  |   | 3,410,250  |    |  |   | 3,730,471  |    |
| Incentivefees (Note 3b)                                                                                              |  |   | 491,538    |    |  |   | 1,920,914  |    |  |   | 6,197,474  |    |
| Professionalfees                                                                                                     |  |   | 66,645     |    |  |   | 125,214    |    |  |   | 338,257    |    |
| Otherexpenses                                                                                                        |  |   | 27,384     |    |  |   | 39,449     |    |  |   | 48,821     |    |
|                                                                                                                 |  |   | 12,114,505 |    |  |   | 16,580,275 |    |  |   | 22,517,310 |    |
| Netincome(loss)                                                                                                      |  | $      | (8,982,853 | )  |  | $      | 5,440,660  |    |  | $      | 22,424,063 |    |
| Netincome (loss) per Redeemable Unit of LimitedPartnership Interestand General Partner Unit equivalent(Notes 1 and7) |  | $      | (62.99     | )  |  | $      | 43.49      |    |  | $      | 146.42     |    |
|                                                                                                                      |

Seeaccompanying notes to financial statements.

F-10

----

Salomon Smith BarneyDiversified 2000Futures Fund L.P.Statements of Changes in Partners'Capitalfor the years endedDecember 31, 2005, 2004 and2003

|                                                                          |  |                 |             |                |  |        |           |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------|--|-----------------|-------------|----------------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                     |  | LimitedPartners |             | GeneralPartner |  | Total  |
| Partners'capital at December 31,2002                                     |  | $               | 154,538,843 |           |  | $      | 2,320,840 |    |  | $      | 156,859,683 |    |
| Netincome                                                                |  |            | 22,130,469  |           |  |   | 293,594   |    |  |   | 22,424,063  |    |
| Saleof 33,441.1203 Redeemable Units of Limited PartnershipInterest       |  |            | 40,329,000  |           |  |   | —   |    |  |   | 40,329,000  |    |
| Redemptionof 15,846.8766 Redeemable Units of Limited PartnershipInterest |  |            | (19,968,628 | )         |  |   | —   |    |  |   | (19,968,628 | )  |
| Partners'capital at December 31,2003                                     |  |            | 197,029,684 |           |  |   | 2,614,434 |    |  |   | 199,644,118 |    |
| Netincome                                                                |  |            | 5,353,456   |           |  |   | 87,204    |    |  |   | 5,440,660   |    |
| Redemptionof 19,302.1662 Redeemable Units of Limited PartnershipInterest |  |            | (24,789,433 | )         |  |   | —   |    |  |   | (24,789,433 | )  |
| Partners' capital at December 31,2004                                    |  |            | 177,593,707 |           |  |   | 2,701,638 |    |  |   | 180,295,345 |    |
| Net(loss)                                                                |  |            | (8,856,548  | )         |  |   | (126,305  | )  |  |   | (8,982,853  | )  |
| Redemption of 17,808.0132 Redeemable Units of LimitedPartnershipInterest |  |            | (22,317,953 | )         |  |   | —   |    |  |   | (22,317,953 | )  |
| Partners' capital atDecember 31, 2005                                    |  | $               | 146,419,206 |           |  | $      | 2,575,333 |    |  | $      | 148,994,539 |    |
|                                                                          |

Net assetvalue per RedeemableUnit:

|       |  |   |          |        |  |  |
|-------|--|---|----------|--------|--|--|
| 2003: |  | $ | 1,303.86 |   |
| 2004: |  | $ | 1,347.35 |   |
| 2005: |  | $ | 1,284.36 |   |
|       |

Seeaccompanying notes to financial statements.

F-11

----

Salomon Smith Barney Diversified2000 Futures Fund L.P.Statements of Cash Flowsfor the yearsended December 31, 2005, 2004 and2003

|                                                                                                  |  |        |              |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|--------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |              | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Net income(loss)                                                                                 |  | $      | (8,982,853   | )  |  | $      | 5,440,660   |    |  | $      | 22,424,063  |    |
| Adjustments to reconcile netincome (loss) to net cash provided by (used in) operatingactivities: |  |   |         |    |  |   |        |    |  |   |        |    |
| Changes in operating assets andliabilities:                                                      |  |   |         |    |  |   |        |    |  |   |        |    |
| (Increase) decrease inrestricted cash                                                            |  |   | 22,229,648   |    |  |   | 2,359,237   |    |  |   | 732,536     |    |
| Purchase of investment inPartnership's                                                           |  |   | (100,791,137 | )  |  |   | —     |    |  |   | (32,367,545 | )  |
| Proceedsfrom sale of investment inPartnership's                                                  |  |   | 25,679,725   |    |  |   | 4,634,472   |    |  |   | 1,136,451   |    |
| Netunrealized appreciation (depreciation) on investment inPartnership's                          |  |   | (6,693,332   | )  |  |   | (4,904,060  | )  |  |   | 3,720,075   |    |
| (Increase)decrease in net unrealized appreciation on open futurespositions                       |  |   | 3,491,948    |    |  |   | 3,401,470   |    |  |   | 7,068,550   |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |   | 4,716,870    |    |  |   | 2,716,203   |    |  |   | (7,917,577  | )  |
| (Increase) decrease ininterest receivable                                                        |  |   | 105,949      |    |  |   | (106,287    | )  |  |   | 26,830      |    |
| Increase (decrease) in unrealizeddepreciation on open forward contracts                          |  |   | (5,497,338   | )  |  |   | 2,477,813   |    |  |   | 2,116,120   |    |
| Accruedexpenses:                                                                                 |  |   |         |    |  |   |        |    |  |   |        |    |
| Increase (decrease) incommissions                                                                |  |   | (156,041     | )  |  |   | (107,687    | )  |  |   | 206,789     |    |
| Increase (decrease) in managementfees                                                            |  |   | (54,393      | )  |  |   | (30,734     | )  |  |   | 62,384      |    |
| Increase (decrease) incentivefees                                                                |  |   | (1,429,375   | )  |  |   | (4,276,561  | )  |  |   | 2,170,519   |    |
| Increase (decrease) inprofessionalfees                                                           |  |   | (126,206     | )  |  |   | 38,808      |    |  |   | 50,795      |    |
| Increase(decrease) in other                                                                      |  |   | (16,359      | )  |  |   | (487        | )  |  |   | 9,246       |    |
| Net cash provided by (used in)operating activities                                               |  |   | (67,522,894  | )  |  |   | 11,642,847  |    |  |   | (560,764    | )  |
| Cash flows from financingactivities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Proceeds from additions –Limted Partners                                                   |  |   | —      |    |  |   | —     |    |  |   | 40,329,000  |    |
| Payments for redemptions – Limited Partners                                                |  |   | (23,766,641  | )  |  |   | (24,035,741 | )  |  |   | (20,164,202 | )  |
| Net cash provided by (usedin) financing activities                                               |  |   | (23,766,641  | )  |  |   | (24,035,741 | )  |  |   | 20,164,798  |    |
| Net change in cash                                                                               |  |   | (91,289,535  | )  |  |   | (12,392,894 | )  |  |   | 19,604,034  |    |
| Unrestricted cash, at beginning of year                                                          |  |   | 128,277,540  |    |  |   | 140,670,434 |    |  |   | 121,066,400 |    |
| Unrestricted cash, at end ofyear                                                                 |  | $      | 36,988,005   |    |  | $      | 128,277,540 |    |  | $      | 140,670,434 |    |
|                                                                                                  |

See accompanyingnotes to financial statements.

F-12

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

|          |                           |
|----------|---------------------------|
| 1.  | Partnership Organization: |

SalomonSmith Barney Diversified 2000 Futures Fund L.P. (the"Partnership") is a limited partnership whichwas organized under the partnership laws of the State of New York onAugust  25, 1999 to engage, directly and indirectly, in thespeculative trading of a diversified portfolio of commodity interestsincluding futures contracts, options and forward contracts. Thecommodity interests that are traded by the Partnership are volatile andinvolve a high degree of market risk.

Between January 31, 2000(commencement of the offering period) and May 30, 2000, 16,045redeemable 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 May 31, 2000, at which time they were turned overto the Partnership for trading. The Partnership was authorized to sell150,000 Redeemable Units of Limited Partnership Interest during itsinitial offering period. As of November 25, 2002, the Partnership wasauthorized to sell an additional 40,000 Redeemable Units. ThePartnership no longer offers units of Limited Partnership Interest.

Citigroup Managed Futures LLC, acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of CitigroupInc.

The General Partner and each limited partner share in theprofits and losses of the Partnership in proportion to the amount ofPartnership interest owned by each except that no limited partner shallbe liable for obligations of the Partnership in excess of their initialcapital contribution and profits, if any, net of distributions.

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2019; the Net Asset Value of a Redeemable Unitdecreases to less than $400 per Redeemable Unit as of the close of anybusiness day; or under certain other circumstances as defined in theLimited Partnership Agreement.

|          |                     |
|----------|---------------------|
| 2.  | AccountingPolicies: |

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

|        |  |                                                                                                                                      |
|--------|--|--------------------------------------------------------------------------------------------------------------------------------------|
|   |  | The value of thePartnership's investment in other partnerships reflects thePartnership's proportional interest in otherpartnerships. |

|          |                                                                                                                                                       |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxes have not beenprovided as each partner is individually liable for the taxes, if any,on its share of the Partnership's income andexpenses. |

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

F-13

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner, on behalf of thePartnership, has entered into Management Agreements with John W. Henry& Company, Inc. ("JWH"), Graham CapitalManagement L.P. ("Graham"), Campbell &Company, Inc. ("Campbell"), and AspectCapital Limited ("Aspect") (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% per 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 the Advisor. 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. |

|        |                                                                                                                                                                                                                           |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | In addition,the Partnership is obligated to pay each Advisor an incentive feepayable annually equal to 20% of the New Trading Profits, asdefined in the Management Agreements, earned by each Advisor for thePartnership. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Partnership has entered into a CustomerAgreement which provides that the Partnership will pay CGM a brokeragefee equal to 5.4% per year calculated and paid monthly based on..45% of month-end Net Assets, in lieu of brokerage commissionson a per trade basis. Month-end Net Assets, for the purpose ofcalculating commissions are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of accrued expenses andredemptions payable. CGM will pay a portion of brokerage fees to itsfinancial advisors who have sold Redeemable Units in this Partnership.Brokerage fees will be paid for the life of the Partnership, althoughthe rate at which such fees are paid may be changed. The Partnershipwill pay for National Futures Association fees as well as exchange,clearing, user, give-up and floor brokerage fees. All of thePartnership's assets are deposited in the Partnership'saccount at CGM. The Partnership's cash is deposited by CGM insegregated bank accounts to the extent required by Commodity FuturesTrading Commission regulations. At December 31, 2005 and 2004, theamount of cash held for margin requirements was $3,917,513 and$26,147,161, respectively. CGM has agreed to pay the Partnershipinterest on 80% of the average daily equity maintained in cashin the Partnership's account during each month at a 30-day U.S.Treasury bill rate determined weekly by CGM based on the averagenoncompetitive yield on 3-month U.S. Treasury bills maturing in 30 daysfrom the date on which such weekly rate is determined. The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated upon notice by eitherparty. |

|          |                     |
|----------|---------------------|
| 4.  | Trading Activities: |

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

F-14

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valueof the commodity interests held by the Partnership during the yearsended December 31, 2005 and 2004, based on a monthly calculation, was$885,966 and $5,122,361, respectively.

|          |                            |
|----------|----------------------------|
| 5.  | Investment in Partnership: |

EffectiveMay 22, 2003, the Partnership allocated a portion of thePartnership's capital to the JWH Strategic Allocation Master FundLLC, a New York Limited Liability Company ("JWHMaster"). With this cash, the Partnership purchased14,370.0894 Units of the Master with a fair value of $27,367,545. JWHMaster was formed in order to permit commodity pools managed now or inthe future by JWH using the Strategic Allocation Program, JWH'sproprietary trading program, to invest together in one trading vehicle.The General Partner is the Managing Member of JWH Master. Individualand pooled accounts currently managed by JWH, including the Partnershipare permitted to be a non-managing member of JWH Master. The GeneralPartner and JWH believe that trading through this structure shouldpromote efficiency and economy in the trading process.

EffectiveJanuary 1, 2005, the assets allocated to Campbell for trading wereinvested in the CMF Campbell Master Fund L.P. ("CampbellMaster"), a limited partnership organized under thepartnership laws of the State of New York. The partnership purchased51,356.1905 Units of Campbell Master with cash equal to $50,768,573,and a contribution of open commodity futures and forward positions witha fair value of $587,618. Campbell Master was formed in order to permitcommodity pools managed now or in the future by Campbell using theFinancial, Metal and Energy ("FME") LargePortfolio, to invest together in one trading vehicle. The GeneralPartner is the general partner of Campbell Master. Individual andpooled accounts currently managed by Campbell, including thePartnership, are permitted to be a limited partner of Campbell Master.The General Partner and Campbell believe that trading through thisstructure should promote efficiency and economy in the tradingprocess.

Effective March 1, 2005, the assets allocated to Aspectfor 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 43,434.9465 Units of Aspect Master with cashequal to $40,490,894, and a contribution of open commodity futures andforward positions with a fair value of $2,944,052. Aspect Master wasformed in order to permit commodity pools managed now or in the futureby Aspect using the Diversified Program to invest together in onetrading vehicle. The General Partner is the general partner of AspectMaster. Individual and pooled accounts currently managed by Aspect,including the Partnership, are permitted to be a limited partner ofAspect Master. The General Partner and Aspect believe that tradingthrough this structure should promote efficiency and economy in thetrading process.

At December 31, 2005, the Partnership ownsapproximately 14.42% of JWH Master, 13.23% of CampbellMaster, and 21.83% of Aspect Master. It is JWH's,Campbell's, and Aspect's intention to continue to investthe assets allocated to each by the Partnership in JWH Master, CampbellMaster, and Aspect Master, respectively. The performance of thePartnership is directly affected by the performance of the MasterFunds. Expenses to investors as a result of the investment in theMaster Funds are approximately the same and redemption rights are notaffected.

JWH Master's, Campbell Master's and AspectMaster's (the "Master Funds") tradingof futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchanges and foreign commodity exchanges. The Master Funds all engagein such trading through commodity brokerage account maintained withCGM.

A non-managing member/limited partner may withdraw all orpart of their capital contribution and undistributed profits, if any,from the Master Funds in multiples of the net asset value per unit oflimited partnership interest as of the last day of a month after arequest for redemption has been made to the Managing Member/GeneralPartner at least 3 days in advance of month-end.

F-15

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

All management fees in connection with theManagement Agreement are borne by the Funds. All exchange, clearing,user, give-up, floor brokerage and National Futures Association feesare borne by the Master Funds. All other fees including CGM'sdirect brokerage commission shall be borne by theFunds.

Summarized information reflecting the total assets,liabilities and capital for theMaster.

|                |  |                         |             |                              |  |                          |            |        |  |        |             |        |  |  |
|----------------|--|-------------------------|-------------|------------------------------|--|--------------------------|------------|--------|--|--------|-------------|--------|--|--|
|           |  | December31,2005         |
|           |  | Investments'TotalAssets |             | Investments'TotalLiabilities |  | Investments'TotalCapital |
| AspectMaster   |  | $                       | 200,507,575 |                         |  | $                        | 5,680,632  |   |  | $      | 194,826,943 |   |
| CampbellMaster |  |                    | 347,366,314 |                         |  |                     | 20,975,541 |   |  |   | 326,390,773 |   |
| JWHMaster      |  |                    | 171,892,844 |                         |  |                     | 8,080,241  |   |  |   | 163,812,603 |   |
| Total          |  | $                       | 719,766,733 |                         |  | $                        | 34,736,414 |   |  | $      | 685,030,319 |   |
|                |

|           |  |                         |             |                              |  |                          |           |        |  |   |             |        |  |  |
|-----------|--|-------------------------|-------------|------------------------------|--|--------------------------|-----------|--------|--|---|-------------|--------|--|--|
|      |  | December31,2004         |
|      |  | Investments'TotalAssets |             | Investments'TotalLiabilities |  | Investments'TotalCapital |
| JWHMaster |  | $                       | 233,529,301 |                         |  | $                        | 6,199,252 |   |  | $ | 227,330,049 |   |
|           |

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

|                                      |  |                           |        |           |  |              |             |          |  |                 |            |                     |  |                      |         |        |  |        |        |        |        |        |            |         |  |                    |  |        |         |        |  |  |  |  |
|--------------------------------------|--|---------------------------|--------|-----------|--|--------------|-------------|----------|--|-----------------|------------|---------------------|--|----------------------|---------|--------|--|--------|--------|--------|--------|--------|------------|---------|--|--------------------|--|--------|---------|--------|--|--|--|--|
| Investment                           |  | %ofPartnership'sNetAssets |        | FairValue |  | Income(Loss) |             | Expenses |  | NetIncome(Loss) |            | InvestmentObjective |  | RedemptionsPermitted |
| Commissions                          |  | Other                     |
|                                 |  |                      |   |      |  |         |        |     |  |            |       |                |  |                 |    |   |  |   |   |   |        |   |       |    |  | Commodity          |  |   |    |   |
| Forthe year  ended December  31,2005 |  |                      |   |      |  |         |        |     |  |            |       |                |  |                 |    |   |  |   |        |   |   |   |
| JWHMaster                            |  |                      | 15.89  | %    |  | $            | 23,678,001  |     |  | $               | (4,319,607 | )              |  | $                    | 51,752  |   |  | $      | 8,221  |   |        | $      | (4,379,580 | )  |  | Portfolio          |  |   | Monthly |   |
|                                 |  |                      |   |      |  |         |        |     |  |            |       |                |  |                 |    |   |  |   |   |   |        |   |       |    |  |               |  |   |    |   |
| CampbellMaster                       |  |                      | 29.04  | %    |  |         | 43,271,706  |     |  |            | 6,868,332  |                |  |                 | 75,115  |   |  |   | 8,504  |   |        |   | 6,784,713  |    |  | CommodityPortfolio |  |   | Monthly |   |
|                                 |  |                      |   |      |  |         |        |     |  |            |       |                |  |                 |    |   |  |   |   |   |        |   |       |    |  |               |  |   |    |   |
| AspectMaster                         |  |                      | 28.62  | %    |  |         | 42,635,644  |     |  |            | 6,840,231  |                |  |                 | 90,936  |   |  |   | 13,727 |   |        |   | 6,735,568  |    |  | CommodityPortfolio |  |   | Monthly |   |
| Total                                |  |                      |   |      |  | $            | 109,585,351 |     |  | $               | 9,388,956  |                |  | $                    | 217,803 |   |  | $      | 30,452 |   |        | $      | 9,140,701  |    |  |               |  |   |    |   |
| For theyear  ended December  31,2004 |  |                      |   |      |  |         |        |     |  |            |       |                |  |                 |    |   |  |   |        |   |   |   |
| JWHMaster                            |  |                      | 15.41  | %    |  | $            | 27,780,607  |     |  | $               | 5,228,025  |                |  | $                    | 73,330  |   |  | $      | 8,949  |   |        | $      | 5,145,746  |    |  | CommodityPortfolio |  |   | Monthly |   |
|                                      |

|          |                               |
|----------|-------------------------------|
| 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. A limited partner may require thePartnership to redeem their Redeemable Units at their redemption valueper Redeemable Unit as of the last day of each month ending at leastthree months after their issuance on ten days' notice to theGeneral Partner. There is no fee charged to limited partners inconnection with redemptions.

F-16

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

|          |                      |
|----------|----------------------|
| 7.  | FinancialHighlights: |

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December 31, 2005, 2004 and2003 were asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | (45.13   | )  |  | $      | 70.20    |    |  | $      | 202.64   |    |
| Interestincome                                       |  |   | 9.37     |    |  |   | 10.99    |    |  |   | 9.34     |    |
| Expenses**                                           |  |   | (27.23   | )  |  |   | (37.70   | )  |  |   | (65.56   | )  |
| Increase(decrease) for theyear                       |  |   | (62.99   | )  |  |   | 43.49    |    |  |   | 146.42   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,347.35 |    |  |   | 1,303.86 |    |  |   | 1,157.44 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 1,284.36 |    |  | $      | 1,347.35 |    |  | $      | 1,303.86 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

|   |                              |
|---|------------------------------|
| * | Includesbrokeragecommissions |

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

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2005   |        | 2004     |  | 2003   |
| Ratiosto average net assets:               |  |   |   |     |  |   |   |     |  |   |   |     |
| Net investment lossbefore incentivefees*** |  |   | (6.6   | )%  |  |   | (7.0   | )%  |  |   | (7.5   | )%  |
| Operatingexpenses                          |  |   | 7.4    | %   |  |   | 7.8    | %   |  |   | 8.3    | %   |
| Incentivefees                              |  |   | 0.3    | %   |  |   | 1.0    | %   |  |   | 3.1    | %   |
| Totalexpenses                              |  |   | 7.7    | %   |  |   | 8.8    | %   |  |   | 11.4   | %   |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees          |  |   | (4.4   | )%  |  |   | 4.4    | %   |  |   | 16.1   | %   |
| Incentivefees                              |  |   | (0.3   | )   |  |   | (1.1   | )%  |  |   | (3.4   | )%  |
| Totalreturn after incentivefees            |  |   | (4.7   | )%  |  |   | 3.3    | %   |  |   | 12.7   | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | Interest income less total expenses (exclusive ofincentive fees) |

The above ratios may vary for individualinvestors based on the timing of capital transactions during the year.Additionally, these ratios are calculated for the Limited Partner classusing the Limited Partners' share of income, expenses and averagenet assets.

|          |                            |
|----------|----------------------------|
| 8.  | Financial InstrumentRisks: |

In the normal course of its business, the Partnership 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, 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.

F-17

----

SalomonSmith BarneyDiversified 2000 Futures Fund L.P. Notes toFinancial Statements

Market risk is the potential for changesin the value of the financial instruments traded by the Partnership dueto market changes, including interest and foreign exchange ratemovements and fluctuations in commodity or security prices. Market riskis directly 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 a counterpartyto the transactions. The Partnership's risk of loss in the eventof counterparty default is typically limited to the amounts recognizedin the statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership'srisk exposure on a daily basis through financial, credit and riskmanagement monitoring systems, and accordingly believes that it haseffective procedures for evaluating and limiting the credit and marketrisks to which the Partnership is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of December31, 2005. However, due to the nature of the Partnership'sbusiness, these instruments may not be held tomaturity.

F-18

----

Selectedunaudited quarterly financial data for the years ended December 31,2005 and 2004 are summarizedbelow:

|                                                                                                                      |  |                                                        |           |                                                       |  |                                                   |           |                                                      |  |        |           |        |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|--------|-----------|--------|--|--------|-------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |           | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |           | For the period from January 1, 2005 to March31, 2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 1,546,616 |                                                  |  | $                                                 | 1,836,200 |                                                 |  | $      | 6,075,361 |   |  | $      | (15,032,286 | )  |
|                                                                                                                 |  |                                                   |      |                                                  |  |                                              |      |                                                 |  |   |      |   |  |   |        |    |
| Netincome(loss)                                                                                                      |  | $                                                      | 606,794   |                                                  |  | $                                                 | 1,330,291 |                                                 |  | $      | 4,870,460 |   |  | $      | (15,790,398 | )  |
|                                                                                                                 |  |                                                   |      |                                                  |  |                                              |      |                                                 |  |   |      |   |  |   |        |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                             |  | $                                                      | 4.16      |                                                  |  | $                                                 | 11.05     |                                                 |  | $      | 39.75     |   |  | $      | (117.95     | )  |
|                                                                                                                      |

|                                                                                                                      |  |                                                       |            |                                                     |  |                                                 |          |                                                    |  |   |             |         |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|------------|-----------------------------------------------------|--|-------------------------------------------------|----------|----------------------------------------------------|--|---|-------------|---------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 toDecember 31,2004 |            | For the period fromJuly 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |          | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                     | 24,454,753 |                                                |  | $                                               | (373,113 | )                                             |  | $ | (35,696,059 | )  |  | $ | 22,550,906 |   |
| Net income(loss)                                                                                                     |  | $                                                     | 21,755,866 |                                                |  | $                                               | (727,894 | )                                             |  | $ | (33,190,785 | )  |  | $ | 17,603,473 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                             |  | $                                                     | 155.13     |                                                |  | $                                               | (4.43    | )                                             |  | $ | (222.66     | )  |  | $ | 115.45     |   |
|                                                                                                                      |

F-19

----

To theMembers ofJWH Strategic Allocation Master Fund LLC

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

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

|  | Chief FinancialOfficer and Director Citigroup Managed Futures LLCManaging Member,JWH Strategic AllocationMaster Fund LLC |
|--|--------------------------------------------------------------------------------------------------------------------------|

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

F-20

----

Independent Auditors'Report

To the Membersof    JWH Strategic Allocation Master Fund LLC:

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

We conducted our audits in accordance with generallyaccepted auditing standards as established by the Auditing StandardsBoard (United States) and in accordance with the auditing standards ofthe Public Company Accounting Oversight Board (United States). Thosestandards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. The Company 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 Company's internal controlover financial reporting. Accordingly, we express no such opinion. Anaudit also 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 audits provide a reasonable basis forour opinion.

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of JWH Strategic Allocation Master Fund LLC as ofDecember  31, 2005 and 2004, and the results of its operations,changes in its members' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

                                        New York, New York March 13,2006

F-21

----

JWHStrategic Allocation Master Fund LLCStatements of FinancialConditionDecember 31, 2005 and2004

|                                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                                    |  | 2005   |             | 2004   |
| Assets:                                                                                                                                                 |  |   |        |   |  |   |        |   |
| Equityin commodity futures trading account:Cash (restricted $23,817,475and $52,152,846 in 2005 and 2004,     respectively) (Note3c) |  | $      | 163,966,877 |   |  | $      | 200,509,589 |   |
| Netunrealized appreciation on open futurespositions                                                                                                     |  |   | —     |   |  |   | 2,816,587   |   |
| Unrealizedappreciation on open forwardcontracts                                                                                                         |  |   | 7,440,156   |   |  |   | 29,891,977  |   |
|                                                                                                                                                    |  |   | 171,407,033 |   |  |   | 233,218,153 |   |
| Interestreceivable                                                                                                                                      |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
| Liabilitiesand Members'Capital:                                                                                                                         |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                                            |  |   |        |   |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                                                                                     |  | $      | 3,646,687   |   |  | $      | —     |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                                         |  |   | 3,896,303   |   |  |   | 5,772,552   |   |
| Accruedexpenses:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                                                                        |  |   | 51,440      |   |  |   | 115,552     |   |
| Distributionpayable                                                                                                                                     |  |   | 485,811     |   |  |   | 311,148     |   |
|                                                                                                                                                    |  |   | 8,080,241   |   |  |   | 6,199,252   |   |
| Members'capital:                                                                                                                                        |  |   |        |   |  |   |        |   |
| Members'capital, 99,442.6187 and 112,131.2876 Units outstanding in 2005 and2004,respectively                                                            |  |   | 163,812,603 |   |  |   | 227,330,049 |   |
|                                                                                                                                                    |  | $      | 171,892,844 |   |  | $      | 233,529,301 |   |
|                                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-22

----

JWH Strategic Allocation Master FundLLCCondensed Schedule of InvestmentsDecember 31, 2005

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Energy                                            |  | $         | (5,388,180 | )               |  |   | (3.29  | )%  |
| Grains                                            |  |      | 4,425      |                 |  |   | 0.00   | *   |
| Indices                                           |  |      | 887,362    |                 |  |   | 0.54   |     |
| Interest Rates Non-U.S.                           |  |      | 2,450      |                 |  |   | 0.00   | *   |
| Livestock                                         |  |      | 61,790     |                 |  |   | 0.04   |     |
| Metals                                            |  |      | 2,121,145  |                 |  |   | 1.30   |     |
| Softs                                             |  |      | 1,449,421  |                 |  |   | 0.89   |     |
| Total futures contractspurchased                  |  |      | (861,587   | )               |  |   | (0.52  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | (406,499   | )               |  |   | (0.25  | )   |
| Grains                                            |  |      | (198,697   | )               |  |   | (0.12  | )   |
| InterestRates U.S.                                |  |      | (553,540   | )               |  |   | (0.34  | )   |
| InterestRatesNon-U.S.                             |  |      | (925,603   | )               |  |   | (0.56  | )   |
| Softs                                             |  |      | (700,761   | )               |  |   | (0.43  | )   |
| Totalfutures contractssold                        |  |      | (2,785,100 | )               |  |   | (1.70  | )   |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 4,917,155  |                 |  |   | 3.00   |     |
| Metals                                            |  |      | 2,523,001  |                 |  |   | 1.54   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 7,440,156  |                 |  |   | 4.54   |     |
|                                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,172,504 | )               |  |   | (1.94  | )   |
| Metals                                            |  |      | (723,799   | )               |  |   | (0.44  | )   |
|                                              |  |      | (3,896,303 | )               |  |   | (2.38  | )   |
| TotalFair Value                                   |  | $         | (102,834   | )               |  |   | (0.06  | )%  |
|                                                   |

Percentagesare based on Members' capital unless otherwiseindicated

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

See accompanying notes tofinancial statements.

F-23

----

JWH Strategic AllocationMaster FundLLCCondensed Schedule of InvestmentsDecember 31, 2004

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % ofPartners'Capital |
| FuturesContracts Purchased                        |  |      |       |                 |  |   |   |     |
| Grains                                            |  | $         | 900        |                 |  |   | 0.00   | %*  |
| Indices                                           |  |      | 794,965    |                 |  |   | 0.35   |     |
| Interest Rates -U.S.                              |  |      | (757,875   | )               |  |   | (0.33  | )   |
| Interest RatesNon-U.S.                            |  |      | (59,280    | )               |  |   | (0.03  | )   |
| Metals                                            |  |      | (825,978   | )               |  |   | (0.36  | )   |
| Softs                                             |  |      | 1,435,024  |                 |  |   | 0.63   |     |
| Total futures contractspurchased                  |  |      | 587,756    |                 |  |   | 0.26   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | 2,791,481  |                 |  |   | 1.23   |     |
| Grains                                            |  |      | 970,394    |                 |  |   | 0.43   |     |
| Indices                                           |  |      | (876,403   | )               |  |   | (0.39  | )   |
| InterestRates -U.S.                               |  |      | (234,931   | )               |  |   | (0.10  | )   |
| Livestock                                         |  |      | 53,450     |                 |  |   | 0.02   |     |
| Metals                                            |  |      | 71,100     |                 |  |   | 0.03   |     |
| Softs                                             |  |      | (546,260   | )               |  |   | (0.24  | )   |
| Totalfutures contracts sold                       |  |      | 2,228,831  |                 |  |   | 0.98   |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 26,407,028 |                 |  |   | 11.62  |     |
| Metals                                            |  |      | 3,484,949  |                 |  |   | 1.53   |     |
| Total unrealized appreciation onforward contracts |  |      | 29,891,977 |                 |  |   | 13.15  |     |
|                                              |  |      |       |                 |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (3,208,972 | )               |  |   | (1.41  | )   |
| Metals                                            |  |      | (2,563,580 | )               |  |   | (1.13  | )   |
| Totalunrealized depreciation on forwardcontracts  |  |      | (5,772,552 | )               |  |   | (2.54  | )   |
|                                              |  |      |       |                 |  |   |   |     |
| Totalfair value                                   |  | $         | 26,936,012 |                 |  |   | 11.85  | %   |
|                                                   |

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

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

Seeaccompanying notes to financial statements.

F-24

----

JWH Strategic Allocation Master FundLLCStatements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                  |  |        |             |         |  |        |            |        |  |        |           |        |  |  |
|------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|--------|--|--------|-----------|--------|--|--|
|                                                             |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                          |  |   |        |    |  |   |       |   |  |   |      |   |
| Netgains (losses) on trading of commodityinterests:              |  |   |        |    |  |   |       |   |  |   |      |   |
| Realizedgains (losses) on closed positions and foreigncurrencies |  | $      | (13,743,649 | )  |  | $      | 30,114,264 |   |  | $      | 1,507,963 |   |
| Changein unrealized gains (losses) on openpositions              |  |   | (27,038,846 | )  |  |   | 13,762,492 |   |  |   | 3,778,565 |   |
|                                                             |  |   | (40,782,495 | )  |  |   | 43,876,756 |   |  |   | 5,286,528 |   |
| Interestincome                                                   |  |   | 5,162,509   |    |  |   | 2,057,684  |   |  |   | 1,160,948 |   |
|                                                             |  |   | (35,619,986 | )  |  |   | 45,934,440 |   |  |   | 6,447,476 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Expenses:                                                        |  |   |        |    |  |   |       |   |  |   |      |   |
| Clearingfees                                                     |  |   | 426,530     |    |  |   | 491,209    |   |  |   | 438,351   |   |
| Professionalfees                                                 |  |   | (54,074     | )  |  |   | 60,000     |   |  |   | 60,000    |   |
|                                                             |  |   | 372,456     |    |  |   | 551,209    |   |  |   | 498,351   |   |
| Netincome(loss)                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231 |   |  | $      | 5,949,125 |   |
|                                                             |  |   |        |    |  |   |       |   |  |   |      |   |
| Netincome (loss) per Unit of Member Interest (Notes 1 and6)      |  | $      | (333.20     | )  |  | $      | 368.39     |   |  | $      | 202.70    |   |
|                                                                  |

Seeaccompanying notes to financial statements.

F-25

----

JWH Strategic Allocation Master FundLLCStatement of Changes in Members' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                     |  |                 |             |         |  |  |
|-----------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                                |  | Members'Capital |
| Members'capital at December 31, 2002                |  | $               | 90,459,415  |    |
| NetIncome                                           |  |            | 5,949,125   |    |
| Sale of 33,577.0811 Unitsof Members'Interest        |  |            | 63,340,545  |    |
| Redemption of 7,806.0512Units of Members'Interests  |  |            | (13,511,520 | )  |
| Distribution ofinterest to feederfunds              |  |            | (1,160,948  | )  |
| Members'capital at December 31, 2003                |  |            | 145,076,617 |    |
| NetIncome                                           |  |            | 45,383,231  |    |
| Sale of 40,227.5910 Unitsof Members'Interest        |  |            | 64,674,000  |    |
| Redemption of14,531.4863 Units of Members'Interests |  |            | (25,746,115 | )  |
| Distribution ofinterest to feederfunds              |  |            | (2,057,684  | )  |
| Members'capital at December 31, 2004                |  |            | 227,330,049 |    |
| Netloss                                             |  |            | (35,992,442 | )  |
| Sale of 30,875.5707 Unitsof Members'Interests       |  |            | 52,052,292  |    |
| Redemption of43,564.2396 Units of Members'Interests |  |            | (74,414,787 | )  |
| Distribution ofinterest to feederfunds              |  |            | (5,162,509  | )  |
| Members'capital at December 31,2005                 |  | $               | 163,812,603 |    |
|                                                     |

|                         |  |        |          |        |  |  |
|-------------------------|--|--------|----------|--------|--|--|
| NetAsset Value perUnit: |
|                    |  |   |     |   |
| 2003                    |  | $      | 1,678.44 |   |
| 2004                    |  | $      | 2,027.35 |   |
| 2005                    |  | $      | 1,647.31 |   |
|                         |

Seeaccompanying notes to financial statements.

F-26

----

JWH Strategic Allocation Master FundLLCStatements of Cash Flowsfor the years endedDecember31, 2005, 2004 and 2003

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operating activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Netincome(loss)                                                                                  |  | $      | (35,992,442 | )  |  | $      | 45,383,231  |    |  | $      | 5,949,125   |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |   |        |    |  |   |        |    |  |   |        |    |
| Changes inoperating assets and liabilities:                                                      |  |   |        |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in restrictedcash                                                             |  |   | 28,335,371  |    |  |   | (20,300,101 | )  |  |   | (16,808,433 | )  |
| (Increase)decrease in unrealized appreciation on open futurespositions                           |  |   | 2,816,587   |    |  |   | (1,339,486  | )  |  |   | 3,067,444   |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                           |  |   | 22,451,821  |    |  |   | (16,395,964 | )  |  |   | (5,967,663  | )  |
| (Increase)decrease in interest receivable                                                        |  |   | (174,663    | )  |  |   | (230,431    | )  |  |   | 3,762       |    |
| Increase(decrease) in unrealized depreciation on open futurespositions                           |  |   | 3,646,687   |    |  |   | —     |    |  |   | —     |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |   | (1,876,249  | )  |  |   | 3,972,958   |    |  |   | (878,346    | )  |
| Accruedexpenses:                                                                                 |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase (decrease) in professionalfees                                                          |  |   | (64,112     | )  |  |   | 39,147      |    |  |   | 28,582      |    |
| Netcash provided by (used in) operatingactivities                                                |  |   | 19,143,000  |    |  |   | 11,129,354  |    |  |   | (14,605,529 | )  |
| Cashflows from financing activities:                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceedsfromadditions                                                                            |  |   | 52,052,292  |    |  |   | 64,674,000  |    |  |   | 63,340,545  |    |
| Paymentforredemptions                                                                            |  |   | (74,414,787 | )  |  |   | (25,746,115 | )  |  |   | (13,511,520 | )  |
| Distributionof interest to feederfunds                                                           |  |   | (4,987,846  | )  |  |   | (1,827,253  | )  |  |   | (1,164,710  | )  |
| Netcash provided by (used in) financingactivities                                                |  |   | (27,350,341 | )  |  |   | 37,100,632  |    |  |   | 48,664,315  |    |
| Netchange incash                                                                                 |  |   | (8,207,341  | )  |  |   | 48,229,986  |    |  |   | 34,058,786  |    |
| Unrestrictedcash, at beginning ofyear                                                            |  |   | 148,356,743 |    |  |   | 100,126,757 |    |  |   | 66,067,971  |    |
| Unrestrictedcash, at end ofyear                                                                  |  | $      | 140,149,402 |    |  | $      | 148,356,743 |    |  | $      | 100,126,757 |    |
|                                                                                             |  |   |        |    |  |   |        |    |  |   |        |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-27

----

JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

1.    General:

JWHStrategic Allocation Master Fund LLC (the"Master") is a limited liability companyformed under the New York Limited Liability Company Law. TheMaster's purpose is to engage in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Master is authorized tosell an unlimited number of member interests.

Effective January26, 2001, Shearson Mid-West Futures Fund("Mid-West") and Smith Barney Mid-WestFutures Fund L.P. II ("Mid-West II")allocated substantially all of their capital to the Master. With thiscash, Mid-West and Mid-West II purchased a total of 74,020.3930 Unitsof the Master with a fair value of $74,020,393. On March 1, 2001, TheSaugatuck Fund L.P. ("Saugatuck") allocatedsubstantially all of their capital to the Master and purchased a totalof 20,750.0000 Units of the Master with cash equal to $20,750,000. OnDecember 1, 2001, The Aspetuck Fund L.P.("Aspetuck") allocated substantially all oftheir capital to the Master and purchased a total of 3,184.5305 Unitsof the Master with cash equal to $3,050,000. On November 1, 2002, JWHGlobal Strategies Limited Series ("JWH GlobalStrategies") allocated substantially all of their capitalto the Master and purchased a total of 1,338.2964 Units of the Masterwith cash equal to $2,000,000. On May 22, 2003, SSB Diversified 2000Futures Fund L.P. ("Diversified 2000")allocated a portion of their capital to the Master and purchased atotal of 14,370.0894 Units of the Master with a fair value of$27,367,545. On July 1, 2005, CMF Institutional Futures Portfolio L.P.("CMF Institutional") allocated a portion ofits capital to the Master and purchased 4,195.5111 Units of the Masterwith cash equal to $7,000,000. The Master was formed to permitcommodity pools managed now or in the future by John W. Henry &Company, Inc. (the "Advisor") using theStrategic Allocation Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master'sinvestors consist of Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies, Diversified 2000 and CMF Institutional (each a"Member", collectively the"Feeder Funds") with 10.87%,10.97%, 5.47%, 14.95%, 40.49%,14.42% and 2.83% ownerships of the Master at December 31,2005, respectively. Mid-West, Mid-West II, Aspetuck, Saugatuck, JWHGlobal Strategies and Diversified 2000 owned 11.69%,11.82%, 4.79%, 13.40%, 46.09% and12.21% ownerships of the Master at December 31, 2004,respectively, and with 17.84%, 18.11%, 5.91%,21.06%, 18.13% and 18.95% ownership of the Masterat December 31, 2003, respectively.

Citigroup Managed FuturesLLC acts as the managing member (the "ManagingMember") of the Master. The Managing Member administersthe business affairs of the Master including selecting one or moreadvisors to make trading decisions for the Master. The Master'scommodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember. The Managing Member is wholly owned by Citigroup Global MarketsHoldings Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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 thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized values on open positions are recognized in the period inwhich the contract is closed or the changes occur and are included innet gains (losses) on trading of commodity interests. |

|          |                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income and expenses and realized 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. Income taxes have notbeen provided as each member is individually liable for the taxes, ifany, on their share of the Master's income and expenses. |

F-28

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

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

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

3.    Agreements:

|          |                            |
|----------|----------------------------|
| a.  | Managing Member Agreement: |

TheManaging Member administers the business affairs of the Master.

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Managing Member, on behalf of the Master, hasentered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is not affiliated with theManaging Member or CGM and is not responsible for the organization oroperation of the Master. The Management Agreement provides that theAdvisor has sole discretion in determining the investment of the assetsof the Master allocated to it by the Managing Member. All managementfees in connection with the Management Agreement are borne by theFeeder Funds. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a Customer Agreementwith CGM whereby CGM provides services which include, among the otherthings, the execution of transactions for the Master's account inaccordance with orders placed by the Advisor. All exchange, clearing,user, give-up, floor brokerage and National Futures Association feesare borne by the Master. All other fees including CGM direct brokeragecommission shall be borne by the Feeder Funds. All of theMaster's assets are deposited in the Master's account atCGM. The Master's cash is deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. At December 31, 2005 and 2004, the amount of cash held bythe Master for margin requirements was $23,817,475 and $52,152,846,respectively. 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 commodityinstruments. 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 for the years ended December 31, 2005 and 2004,based on a monthly calculation, was $9,833,608 and $7,166,273,respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the Managing Member and at such time as the ManagingMember may decide. A Member may require the Master to redeem theirUnits at their Net Asset Value as of the last day of each month. TheManaging Member, in its sole discretion, may permit redemptions morefrequently than monthly.

F-29

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

6.    Financial Highlights:

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

|                                           |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|-------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                      |  | 2005   |          | 2004     |  | 2003   |
| Netrealized and unrealized gains(losses)* |  | $      | (380.61  | )   |  | $      | 349.49   |     |  | $      | 188.13   |     |
| Interestincome                            |  |   | 46.84    |     |  |   | 19.48    |     |  |   | 15.41    |     |
| Expenses**                                |  |   | 0.57     |     |  |   | (0.58    | )   |  |   | (0.84    | )   |
| Increase(decrease) forperiod              |  |   | (333.20  | )   |  |   | 368.39   |     |  |   | 202.70   |     |
| Distributions                             |  |   | (46.84   | )   |  |   | (19.48   | )   |  |   | (15.41   | )   |
| NetAsset Value per Unit, beginning ofyear |  |   | 2,027.35 |     |  |   | 1,678.44 |     |  |   | 1,491.15 |     |
| NetAsset Value per Unit, end ofyear       |  | $      | 1,647.31 |     |  | $      | 2,027.35 |     |  | $      | 1,678.44 |     |
| Ratioto average net assets***             |  |   |     |     |  |   |     |     |  |   |     |     |
| Netinvestmentincome****                   |  |   | 2.5      | %   |  |   | 0.9      | %   |  |   | 0.5      | %   |
| Operatingexpenses                         |  |   | (0.2     | )%  |  |   | (0.3     | )%  |  |   | (0.4     | )%  |
| Totalreturn                               |  |   | (16.4    | )%  |  |   | 21.9     | %   |  |   | 13.6     | %   |
|                                           |

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

|    |                        |
|----|------------------------|
| ** | Excludesclearing fees. |

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

The above ratios may vary for individualinvestors based on the timing of capital transactions during theyear.

7.    Financial Instrument Risks:

In the normalcourse of its business, the Master is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative 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, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Master'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 concentration risk becausethe sole counterparty or broker with respect to the Master'sassets is CGM.

F-30

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

The Managing Member monitors and controlsthe Master's risk exposure on a daily basis through financial,credit and risk management monitoring systems and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Master is subject. These monitoringsystems allow the Managing Member to statistically analyze actualtrading results with risk adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions.

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

F-31

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JWHStrategic Allocation Master Fund LLCNotes to FinancialStatements

Selected unaudited quarterly financialdata for the JWH Master for the years ended December 31, 2005 and 2004are summarizedbelow:

|                                                                                                                   |  |                                                      |            |                                                     |  |                                                 |           |                                                    |  |   |           |        |  |   |             |         |  |  |
|-------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|------------|-----------------------------------------------------|--|-------------------------------------------------|-----------|----------------------------------------------------|--|---|-----------|--------|--|---|-------------|---------|--|--|
|                                                                                                              |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |            | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |           | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized tradinggains(losses) net of brokeragecommissions and clearing feesplus interestincome |  | $                                                    | (3,798,063 | )                                              |  | $                                               | 5,054,464 |                                               |  | $ | 5,728,983 |   |  | $ | (43,031,900 | )  |
| Net Income(loss)                                                                                                  |  | $                                                    | (3,718,740 | )                                              |  | $                                               | 5,046,798 |                                               |  | $ | 5,721,400 |   |  | $ | (43,041,900 | )  |
| Increase(decrease) in Net AssetValue per Unit                                                                     |  | $                                                    | (38.83     | )                                              |  | $                                               | 44.39     |                                               |  | $ | 49.01     |   |  | $ | (387.77     | )  |
|                                                                                                                   |

|                                                                                                                 |  |                                                      |            |                                                     |  |                                                 |            |                                                    |  |   |             |         |  |   |            |        |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|------------|-----------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-------------|---------|--|---|------------|--------|--|--|
|                                                                                                            |  | Forthe period fromOctober 1, 2004 toDecember 31,2004 |            | For the period fromJuly 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |            | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized tradinggains(loss) net of brokeragecommissions and clearing feesplus interestincome |  | $                                                    | 65,465,161 |                                                |  | $                                               | 13,041,842 |                                               |  | $ | (44,742,215 | )  |  | $ | 11,678,443 |   |
| Net Income(loss)                                                                                                |  | $                                                    | 65,450,161 |                                                |  | $                                               | 13,026,842 |                                               |  | $ | (44,757,215 | )  |  | $ | 11,663,443 |   |
| Increase(decrease) in Net AssetValue per Unit                                                                   |  | $                                                    | (176.84    | )                                              |  | $                                               | 121.55     |                                               |  | $ | (445.46     | )  |  | $ | 132.36     |   |
|                                                                                                                 |

F-32

----

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-33

----

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-34

----

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-35

----

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-36

----

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-37

----

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-38

----

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-39

----

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-40

----

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-41

----

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 to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The 

F-42

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Master has creditrisk and concentration risk because the sole counterparty or brokerwith respect to the Master's assets is CGM.

The GeneralPartner monitors and controls the Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masteris subject. 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-43

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

Selected unaudited quarterlyfinancial data for Campbell Master for the year ended December 31, 2005is summarizedbelow:

|                                                                                                                    |  |                                                      |            |                                                     |  |                                                 |         |                                                    |  |   |            |        |  |   |            |         |  |  |
|--------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|------------|-----------------------------------------------------|--|-------------------------------------------------|---------|----------------------------------------------------|--|---|------------|--------|--|---|------------|---------|--|--|
|                                                                                                               |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |            | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |         | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealizedtrading gains (losses) net of brokeragecommissions and clearingfeesplus interest income |  | $                                                    | 15,970,277 |                                                |  | $                                               | 669,970 |                                               |  | $ | 38,451,824 |   |  | $ | (9,226,199 | )  |
| Net Income(loss)                                                                                                   |  | $                                                    | 15,956,477 |                                                |  | $                                               | 656,169 |                                               |  | $ | 38,438,175 |   |  | $ | (9,239,399 | )  |
| Increase (decrease) in Net AssetValueper Redeemable Unit                                                           |  | $                                                    | 56.20      |                                                |  | $                                               | 1.63    |                                               |  | $ | 137.83     |   |  | $ | (32.49     | )  |
|                                                                                                                    |

F-44

----

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-45

----

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-46

----

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-47

----

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-48

----

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-49

----

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-50

----

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-51

----

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-52

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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-53

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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-54

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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-55

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CMFAspect Master Fund L.P.

Notes to FinancialStatements

Selected unaudited quarterlyfinancial data for CMF Aspect Master L.P. for the period ended December31, 2005 is summarizedbelow:

|                                                                                                                   |  |                                                      |           |                                                     |  |                                                 |           |                                                                                     |  |   |            |        |  |   |           |        |  |  |
|-------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|-----------|-------------------------------------------------------------------------------------|--|---|------------|--------|--|---|-----------|--------|--|--|
|                                                                                                              |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |           | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |           | For the period fromMarch 1, 2005 Commencementoftrading operations)to March 31, 2005 |
| Net realized and unrealized trading gains net of brokeragecommissions and clearing fees including interest income |  | $                                                    | 6,902,322 |                                                |  | $                                               | 7,311,804 |                                                                                |  | $ | 13,144,533 |   |  | $ | 4,015,047 |   |
| Net Income                                                                                                        |  | $                                                    | 6,871,064 |                                                |  | $                                               | 7,298,154 |                                                                                |  | $ | 13,130,883 |   |  | $ | 4,010,397 |   |
| Increase in Net Asset Value per Redeemable Unit                                                                   |  | $                                                    | 40.27     |                                                |  | $                                               | 37.88     |                                                                                |  | $ | 68.19      |   |  | $ | 21.02     |   |
|                                                                                                                   |

F-56

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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(e) 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 are effective.Additionally, there were no significant changes in thePartnership's internal controls or in other factors that couldsignificantly affect these controls during the registrant's lastfiscal quarter, including any corrective actions with regard tosignificant deficiencies and material weaknesses.

There were nosignificant changes in the Partnership's internal controls or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of yearend.

Management's report on internal control over financialreporting and KPMG LLP's related opinion are included in thePartnership's annual financial statements under"Item 8. Financial Statements and SupplementaryData."

Item 9B.    OtherInformation

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

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by the Advisors.

ThePartnership has not adopted a code of ethics that applies to officersbecause it has no officers.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner. CGM, an affiliate of the General Partner, is thecommodity broker for the Partnership and receives brokerage commissionsfor such services, as described under "Item 1.Business." Brokerage commissions and clearingfees of $8,705,761 were paid for the year ended December 31, 2005.Management fees and incentive fees of $2,823,177 and $491,538,respectively, were paid or payable to the Advisors for the year endedDecember 31, 2005.

Item 12.    Security Ownership ofCertain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.The Partnership knows of no person who beneficially owns more than5% of the Redeemable Units outstanding.

(b)    Security ownership of management. Under the termsof the Limited Partnership Agreement, the Partnership's affairsare managed by the General Partner. The General Partner owns Units ofgeneral partnership interest equivalent to 2,005.1490 Redeemable Unitsof Limited Partnership Interest (1.7%) as of December 31,2005.

(c)    Changes in control. None.

25

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Item 13.    Certain Relationshipsand Related Transactions.

Citigroup Global Markets Inc.and Citigroup Managed Futures LLC, would be considered promoters forpurposes of item 404 (d) of Regulation S-K. The nature and the amountsof compensation each promoter will receive from the Partnership are setforth under "Item 1. Business","Item 8. Financial Statements and SupplementaryData," and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

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

2005                $65,000

2004                $85,620

(2)    Audit-Related Fees. None

(3)    Tax Fees. The aggregate fees billed for each ofthe last two fiscal years for professional services rendered by KPMGLLP for tax compliance and tax advice given in the preparation of thePartnership's Schedule K1s, the preparation of thePartnership's Form 1065 and preparation of all State Tax Returnsare 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 FinancialCondition at December 31, 2005 and 2004. |

|        |                                                                  |
|--------|------------------------------------------------------------------|
|   | Condensed Schedules of Investments at December31, 2005 and 2004. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income andExpenses for the years ended December 31, 2005, 2004 and 2003. |

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

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for the years endedDecember 31, 2005, 2004 and 2003. |

|        |                               |
|--------|-------------------------------|
|   | Notes toFinancial Statements. |

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

3.1 –Limited Partnership Agreement (filed as Exhibit 3.1 to the RegistrationStatement on Form  S-1 (File No. 333-87663 and incorporatedherein by reference).

3.2 – Certificate of LimitedPartnership of the Partnership as filed in the office of the Secretaryof State of the State of New York on August 25, 1999 (filed as Exhibit3.2 to the Registration Statement on Form S-1 (File No. 333-87663) 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.333-87663) and incorporated herein by reference).

26

----

10.3 – Escrow Agreementrelating to escrow of subscription funds (filed as Exhibit 10.3 to theRegistration Statement on Form S-1 (File No. 333-87663) andincorporated herein by reference).

10.4 –Management Agreement among the Partnership, the General Partner andBeacon Management Corporation (filed as Exhibit 10.4 to theRegistration Statement on Form S-1 (File No. 333-87663) andincorporated herein by reference).

10.5 –Management Agreement among the Partnership, the General Partner andBridgewater Associates, Inc. (filed as Exhibit 10.5 to the RegistrationStatement on Form S-1 (File No. 333-87663) and incorporated herein byreference).

10.6 – Management Agreement among thePartnership, the General Partner and Campbell & Company, Inc.(filed as Exhibit 10.6 to the Registration Statement on Form S-1 (FileNo. 333-87663) and incorporated herein by reference).

10.7 – Management Agreement among the Partnership, theGeneral Partner and Rabar Market Research, Inc. (filed as Exhibit 10.7to the Registration Statement on Form S-1 (File No. 333-87663) andincorporated herein by reference).

10.8 – Lettersextending Management Agreements between the General Partner andCampbell & Company, Inc., Beacon Management Corporation and RabarMarket Research, Inc. for 2002 (previously filed).

10.9– Management Agreement among the Partnership, the General Partnerand Graham Capital Management L.P. (previously filed).

10.10 – Letter from the General Partner terminatingBridgewater Associates, Inc. (previously filed).

10.10– Letter from the General Partner terminating Rabar MarketResearch, Inc. (previously filed).

10.11 –Management Agreement among the Partnership, the General Partner andAspect Capital Limited (previously filed).

10.12 –Letters extending Management Agreements between the General Partner andCampbell & Company, Inc., Beacon Management Corporation and GrahamCapital Management L.P. for 2002. (previously filed).

10.13 – Letter from the General Partner terminatingBeacon Management Corporation (previously filed).

10.14– Management Agreement among the Partnership, the General Partnerand John W. Henry and Company, Inc. (previously filed).

10.15 – Letters extending Management Agreementsbetween the General Partner and Aspect Capital Limited, Campbell &Company, Inc., and Graham Capital Management L.P. for 2003. (previouslyfiled).

10.16 – Letters extending Managementbetween the General Partner and Aspect Capital Limited, Campbell andCompany Inc., Graham Capital Management L.P. and John W. Henry andCompany, Inc. for 2004 (previously filed).

10.17 –Letters extending Management between the General Partner and AspectCapital Limited, Campbell and Company Inc., Graham Capital ManagementL.P. and John W. Henry and Company, Inc. for 2005 (filed herein)

16.1 – Letter from PricewaterhouseCoopers LLP(previously filed).

|        |                                                                                                    |
|--------|----------------------------------------------------------------------------------------------------|
|   | The exhibits required tobe filed by Item 601 of regulation S-K are incorporated herein byreference |

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

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

27

----

|        |                                                                                         |
|--------|-----------------------------------------------------------------------------------------|
|   | Exhibit 32.1 –Section 1350 Certification (Certification of President andDirector) |

|        |                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------|
|   | Exhibit 32.2 – Section 1350Certification (Certification of Chief Financial Officer andDirector) |

Supplemental Information To Be Furnished With ReportsFiled Pursuant To Section 15(d) Of The Act by Registrants Which HaveNot Registered Securities Pursuant To Section 12 Of the Act.

Annual Report to Limited Partners

No proxy materialhas been sent to Limited Partners.

28

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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 29th day of March 2006.

Salomon Smith Barney Diversified 2000 Futures FundL.P.

|           |                                                        |
|-----------|--------------------------------------------------------|
| By:  | /s/ CitigroupManaged Futures LLC(General Partner) |

|          |                                                            |
|----------|------------------------------------------------------------|
| By  | /s/ David J.Vogel David J. Vogel, President & Director |

Pursuant to the requirements of the Securities Exchange Actof 1934, this annual report on Form 10-K has been signed below by thefollowing persons on behalf of the Registrant and in the capacities andon the date indicated.

|                                                                                        |  |                                                    |  |  |  |  |
|----------------------------------------------------------------------------------------|--|----------------------------------------------------|--|--|--|--|
| /s/ David J. VogelDavid J. VogelPresident andDirector                                  |  | /s/ Shelley UllmanShelleyUllmanDirector            |
|                                                                                   |  |                                               |
| /s/Daniel R. McAuliffe, Jr. Daniel R. McAuliffe, Jr.ChiefFinancial Officer andDirector |  | /s/ JenniferMagroJennifer MagroDirector            |
|                                                                                   |  |                                               |
| /s/Maureen O'TooleMaureen O'TooleDirector                                              |  | /s/ Jerry PascucciJerryPascucciDirector            |
|                                                                                   |  |                                               |
|                                                                                   |  | /s/Ihor RakowskyIhor RakowskySecretary andDirector |
|                                                                                        |

29

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