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

FORM 10-K

Annual Report Pursuant toSection 13 or 15(d) of the Securities Exchange Act of 1934

For the year ended December 31, 2005

CommissionFile Number 0-22491

SMITH BARNEY DIVERSIFIEDFUTURES FUND L.P.II

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(Exact name ofregistrant as specified in its charter)

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| NewYork                                                       |  | 13-3769020                          |
| (State or otherjurisdiction of incorporation or organization) |  | (I.R.S.Employer Identification No.) |
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c/o CitigroupManaged Futures LLC 731 Lexington Ave - 25th Fl. New York, NewYork10022

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(Addressand Zip Code of principal executive offices)

(212)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 the Act:Redeemable Units of Limited Partnership Interest

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Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405of the Securities Act.

Yes            No X

Indicate by check markif the registrant is not required to file reports pursuant to Section13 or Section 15(d) of the Act.

Yes            No X

Indicate bycheck mark whether the registrant (1) has filed all reports required tobe filed by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subjectto such filing requirements for the past 90 days.

YesX        No     

Indicate bycheck mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, tothe best of registrant's knowledge, in definitive proxy orinformation statements incorporated by reference in Part III of thisForm 10-K or any amendment to this form 10-K 

Indicate bycheck mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer (as defined in Rule 12b-2of the Act).

Large accelerated filer         Accelerated filer         Non-accelerated filer X

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

Yes             NoX

Limited Partnership Redeemable Units with anaggregate value of $55,489,256 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

As ofFebruary 28, 2006, 36,832.5996 Limited Partnership Redeemable Unitswere outstanding.

DOCUMENTS INCORPORATED BYREFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Smith Barney Diversified Futures Fund L.P. II (the"Partnership") is a limited partnershiporganized on May 10, 1994 under the partnership laws of the State ofNew York. The Partnership commenced trading operations on January 17,1996. The Partnership engages in speculative trading of commodityinterests, including forward contracts on foreign currencies, commodityoptions and commodity futures contracts and other financialinstruments, foreign currencies and stock indices.

ARegistration Statement on Form S-1 (File No. 033-79244) relating to thepublic offering became effective on August 21, 1995. Beginning August21, 1995, 100,000 redeemable units of Limited Partnership Interest("Redeemable Units") were publicly offered at$1,000 per Redeemable Unit for a period of ninety days, subject toincrease for up to an additional sixty days at the sole discretion ofthe general partner. Between August 21, 1995 (commencement of theoffering period) and January 16, 1996, 8,529 Redeemable Units were soldat $1,000 per Redeemable Unit. Proceeds of the offering were held in anescrow account and were transferred, along with the generalpartner's contribution of $87,000, to the Partnership'strading account on January 17, 1996 when the Partnership commencedtrading. An additional 100,000 Redeemable Units were registered on aRegistration Statement on Form S-1 (File No. 333-03538) effective May29, 1996 and an additional 150,000 Redeemable Units were registered ona Registration Statement on Form S-1 (File No. 333-25239) effectiveApril 15, 1997.

Citigroup Managed Futures LLC, acts as thegeneral partner (the "General Partner") ofthe Partnership. Sales of additional Redeemable Units and additionalGeneral Partner contributions and redemptions of Redeemable Units forthe year ended December 31, 2005 are reported in the Statement ofChanges in Partners' Capital on page F-8 under "Item8. Financial Statements and SupplementaryData."

The General Partner has agreed to makecapital contributions, if necessary, so that its General Partnershipinterest will be equal to the greater of (i) an amount to entitle it to1% of each material item of Partnership income, loss, deductionor credit and (ii) the greater of (a) 1% of the partners'contributions to the Partnership or (b) $25,000. The Partnership willbe liquidated upon the first of the following to occur: December 31,2014; the Net Asset Value per Redeemable Unit falls below $400 as ofthe close of any business day; or under certain circumstances asdefined in the limited partnership agreement of the Partnership (the"Limited Partnership Agreement").

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

The Partnership'strading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America and foreigncommodity exchanges. It engages in such trading through a commoditybrokerage account maintained with CGM.

Effective January 1,2005, the assets allocated to Campbell and Company Inc.("Campbell") for trading were invested in theCMF Campbell Master Fund L.P. ("CampbellMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased18,800.3931 Redeemable Units of Campbell Master with cash equal to$18,587,905 and a contribution of open commodity futures and forwardpositions with a fair value of $212,488. Campbell Master was formed inorder to permit commodity pools managed now or in the future byCampbell using Campbell's Financials, Metals and Energy portfolio("FME"), to invest together in one tradingvehicle. The General Partner of the Partnership is the general partnerof Campbell Master. Individual and pooled accounts currently managed byCampbell, including the Partnership, are permitted to be a limitedpartner of Campbell Master. The General Partner and Campbell believethat trading through this structure should promote efficiency andeconomy in the trading process.

Effective July 1, 2005, theassets allocated to Willowbridge Associates Inc.("Willowbridge") for trading were invested inthe CMF Willowbridge Argo Master Fund L.P. ("WillowbridgeMaster"), a 

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limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased10,980.9796 Redeemable Units of Willowbridge Master with cash equal to$9,895,326 and a contribution of open commodity futures and forwardpositions with a fair value of $1,085,654. Willowbridge Master wasformed in order to permit commodity pools managed now or in the futureby Willowbridge using its Argo Trading Program to invest together inone trading vehicle. The General Partner is the general partner ofWillowbridge Master. Individual and pooled accounts currently managedby Willowbridge, including the Partnership are permitted to be alimited partner of Willowbridge Master. The General Partner andWillowbridge believe that trading through this structure should promoteefficiency and economy in the trading process.

CampbellMaster's and Willowbridge Master's trading of futures,forwards and options contracts, if applicable, on commodities is doneprimarily on United States of America commodity exchanges and foreigncommodity exchanges. Campbell Master and Willowbridge Master engage insuch trading through a commodity brokerage account maintained withCGM.

A limited partner may withdraw all or part of its capitalcontribution and undistributed profits, if any, from Campbell Masterand Willowbridge Master (the "Master Funds")in multiples of the net asset value per unit of limited partnershipinterest as of the last day of a month after a request for redemptionhas been made to the General Partner at least 3 days in advance ofmonth-end.

Management and incentive fees are not directlycharged to the investment presented below. These fees are charged atthe Partnership level. All exchange, clearing, user, give-up, floorbrokerage and National Futures Association fees are borne by the MasterFunds. All other fees, including CGM's direct brokeragecommissions, are charged at the Partnership level.

As ofDecember 31, 2005, the Partnership owns 5.4% and 6.6%,respectively, of Campbell Master and Willowbridge Master. Theperformance of the Partnership is directly affected by the performanceof Campbell Master and Willowbridge Master. It is Campbell's andWillowbridge's intention to continue to invest the assetsallocated to each by the Partnership in Campbell Master andWillowbridge Master. The performance of the Partnership is directlyaffected by the performance of the Master Funds. Expenses to investorsas a result of the investment in the Master Funds are approximately thesame and redemption rights are not affected.

As of December 31,2005, all commodity trading decisions are made for the Partnership byGraham Capital Management L.P. ("Graham"),Campbell, Willowbridge, and Capital Fund Management("CFM") (collectively, the"Advisors"). None of the Advisors areaffiliated with the General Partner or CGM. The Advisors are notresponsible for the organization or operation of the Partnership.

Pursuant to the terms of the management agreements (the"Management Agreements"), the Partnershippays each Advisor a monthly management fee equal to 1/6 of 1%(2% per year) of month-end Net Assets allocated to the Advisor.Month-end Net Assets for the purpose of calculating management fees areNet Assets, as defined in the Limited Partnership Agreement, prior tothe reduction of redemptions and incentive fees. In addition, thePartnership is obligated to pay each Advisor an incentive fee, payablequarterly, equal to 20% of the New Trading Profits, as definedin the Management Agreements, earned by each Advisor for thePartnership, except Graham, which will receive an incentive fee of10% of New Trading Profits on the first $5,000,000 and20% of New Trading Profits for all such profits in excess of$5,000,000.

The Partnership has entered into a customeragreement with CGM (the "CustomerAgreement"), which provides that the Partnership pays CGMa monthly brokerage fee equal to 1/2 of 1% of month-end NetAssets allocated to the Advisors (6% per year) in lieu ofbrokerage commissions on a per trade basis. Month-end Net Assets forthe purpose of calculating brokerage commissions are Net Assets, asdefined in the Limited Partnership Agreement prior to the reduction ofexpenses and redemptions payable. CGM also 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. Brokerage fees will bepaid for the life of the Partnership, although the rate at which suchfees are paid may be changed. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses.

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In addition, CGM pays the Partnershipinterest on 80% of the average daily equity maintained in cashin its account 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.

(b)    Financialinformation about industry segments. The Partnership'sbusiness consists of only one segment, speculative trading of commodityinterests (including, but not limited to, futures contracts, optionsand forward contracts on U.S. Treasury Bills, other financialinstruments, foreign currencies, stock indices and physicalcommodities). The Partnership does not engage in sales of goods orservices. The Partnership's net income (loss) from operations forthe years ended December 31, 2005, 2004, 2003 2002, and 2001 is setforth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2005, was $57,739,377.

(c)    Narrative description ofbusiness.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) - The Partnership has no employees.

(d)    Financial information about geographic areas. ThePartnership does not engage in sales of goods or services or own anylong lived assets, and therefore this item is notapplicable.

(e)    Available information. ThePartnership does not have an Internet address. The Partnership willprovide paper copies of its annual report on Form 10-K, quarterlyreports on Form 10-Q, current reports on Form 8-K and any amendments tothese reports free of charge upon request.

Item1A.    Risk Factors.

The trading of commodityinterests is speculative, volatile and involves a high degree ofleverage. A small change in the market price of a commodity interestcontract can produce major losses for the Partnership.

Due tothe speculative nature of trading commodity interests, an investorcould lose all of its investment in the Partnership.

Regardlessof its trading performance, the Partnership will incur fees andexpenses, 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.

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Item 2.    Properties.

The Partnership does not own or lease any properties. The GeneralPartner operates out of facilities provided by its affiliate, CGM.

Item 3.    Legal Proceedings.

This sectiondescribes the major pending legal proceedings, other than ordinaryroutine litigation incidental to the business, to which CitigroupGlobal Markets Holdings Inc. ("CGMHI") or itssubsidiaries is a party or to which any of their property is subject.There are no material legal proceedings pending against the Partnershipor the General Partner.

CGM is a New York corporation with itsprincipal place of business at 388 Greenwich Street, 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 administrative, civil or criminalactions pending, on appeal or concluded against CGM or any of itsindividual principals within the past five years that managementbelieves may have a material impact on CGM's ability to act as anFCM. In the ordinary course of its business, CGM is a party to variousclaims and regulatory inquiries.

Regulatory Matters

Both the Department 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.

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On June 30, 2005, the United States Courtof Appeals for the Second Circuit entered an order in In Re: InitialPublic Offering Securities Litigation agreeing to review thedistrict court's order granting plaintiffs' motion forclass certification.

Also filed in the Southern District of NewYork against Citigroup Global Markets and other investment banks wereseveral alleged class actions that were consolidated into a singleclass action alleging violations of certain federal and state antitrustlaws in connection with the allocation of shares in initial publicofferings when acting as underwriters. On November 3, 2003, the courtgranted Citigroup Global Markets' motion to dismiss theconsolidated amended complaint in the antitrust case. On September 28,2005, the United States Court of Appeals for the Second Circuit inIn Re: Initial Public Offering Antitrust Litigation vacated thedistrict court's order dismissing these actions and remanded forfurther proceedings.

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 

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committing or causing violations of provisionsof the federal securities laws, and (2) agreed to pay $120 million($101.25 million allocable to Enron and $18.75 million allocable toDynegy). Citigroup entered into this settlement without admitting ordenying any wrongdoing or liability, and the settlement does notestablish wrongdoing or liability for purposes of any other proceeding.On July 28, 2003, Citibank, N.A. entered into an agreement with theOffice of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CitigroupGlobal Markets, Citigroup and various other Citigroup-related entitieshave been named as defendants in over 20 civil lawsuits pending instate and federal courts throughout the United States, alleging claimsagainst Citigroup and Citigroup Global Markets based on their dealingswith Enron. The majority of these cases have been brought by purchasersand sellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup and/orits affiliates and subsidiaries, among other things, federal securitiesfraud, state law claims of negligent misrepresentation, fraud, breachof fiduciary duty, aiding and abetting a breach of fiduciary duty andrelated claims. In most of these lawsuits, Citigroup is named as aco-defendant along with other investment banks alleged to have haddealings with Enron. The majority of cases pending in the federalcourts have been, or are in the process of being, consolidated before asingle judge in the United States District Court for the SouthernDistrict of Texas. In addition, in five adversary proceedings in theEnron Chapter 11 bankruptcy, Enron and, in one case, its co-debtoraffiliates and subsidiaries, and the Official Committee of UnsecuredCreditors of Enron Corp., et al., have named Citigroup and/or itsaffiliates or subsidiaries as defendants.

On June 13, 2005,Citigroup announced a settlement of the Enron class action litigation(Newby, et al. v. Enron Corp., et al.) currently pending in theUnited States District Court for the Southern District of Texas,Houston Division. This settlement resolves all claims against Citigroupbrought on behalf of the class of purchasers of publicly traded equityand debt securities issued by Enron and Enron-related entities betweenSeptember 9, 1997 and December 2, 2001. The settlement, which involvesa pre-tax payment of $2.0 billion to the settlement class, is fullycovered by Citigroup's existing litigation reserves. It issubject to approval by the Board of Regents of the University ofCalifornia (the lead plaintiff), the Citigroup Board and the DistrictCourt in Texas.

A Citigroup affiliate, along with otherdefendants, settled all claims against it in In Re: NewpowerHoldings Securities Litigation, a class action brought on behalf ofcertain investors in NewPower securities. Citigroup reached thissettlement agreement without admitting any wrongdoing. On September 13,2004, the United States District Court for the Southern District of NewYork preliminarily approved the settlement.

In April 2005,Citigroup, along with other financial institution defendants, reachedan agreement-in-principle to settle four state-court actions brought byvarious investment funds, which were not previously consolidated orcoordinated with other actions. The four cases are OCM OpportunitiesFund III, L.P., et al. v. Citigroup Inc., et al.; Pacific InvestmentManagement Co. LLC, et al. v. Citigroup Inc., et al.; AUSA LifeInsurance v. Citigroup Inc., et al. and Principal Global Investors v.Citigroup Inc., et al. The amounts to be paid in settlement ofthese actions are covered by existing litigation reserves.

OnAugust 26, 2005, a group of 15 plaintiffs filed an action in the UnitedStates District Court for the Southern District of Texas (AvenueCapital Management II, L.P., et al. v. J.P. Morgan-Chase & Co., etal.). The complaint names as defendants Citigroup Inc., Citibank,N.A., Citigroup Global Markets, and several J.P. Morgan entities andalleges fraud, breach of fiduciary duty and breach of contract arisingout of Enron bank debt incurred under two syndicated revolving creditfacilities and a syndicated letter of credit facility.

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Dynegy Inc.

On June  6,2003, the complaint in a pre-existing alleged class action pending inthe United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

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

WorldCom-RelatedLitigation

Citigroup, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants — along with twenty-two other investment banks,certain current and former WorldCom officers and directors, andWorldCom's former auditors — in a consolidated class actionbrought on behalf of individuals and entities who purchased or acquiredpublicly traded securities of WorldCom between April 29, 1999 and June25, 2002 in In Re: Worldcom, Inc. Securities Litigation. Theclass action complaint asserts claims against Citigroup Global Marketsunder (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, asamended, in connection with certain bond offerings in which it servedas underwriter, and (ii) Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, and Rule 10b-5 promulgated underSection 10(b), alleging that it participated in the preparation and/orissuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied Citigroup Global Markets' motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

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

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

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

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

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Citigroup and Citigroup Global Markets,along with a number of other defendants, have settled RetirementSystems of Alabama, et al. v. J.P. Morgan Chase & Co., et al.,a WorldCom individual action that had been remanded to the CircuitCourt of Montgomery County, Alabama. The settlement became final onSeptember 30, 2004.

On June 28, 2004, the United States DistrictCourt for the Southern District of New York dismissed all claims underthe Securities Act of 1933, as amended, and certain claims under theSecurities Exchange Act of 1934 in In Re: Targets SecuritiesLitigation, an alleged class action against Citigroup and CitigroupGlobal Markets and certain former employees, leaving only claims underthe 1934 Act for purchases of Targeted Growth Enhanced Terms SecuritiesWith Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

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

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

Global Crossing

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

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

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

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Adelphia Communications Corporation

On July 6, 2003, an adversary proceeding was filed by the OfficialCommittee of Unsecured Creditors on behalf of Adelphia CommunicationsCorporation against certain lenders and investment banks, includingCitigroup Global Markets, Citibank, N.A., Citicorp USA, Inc., andCitigroup Financial Products, Inc. (together, the"Citigroup Parties"). The complaint allegesthat the Citigroup Parties and numerous other defendants committed actsin violation of the Bank Holding Company Act and the common law. Thecomplaint seeks equitable relief and an unspecified amount ofcompensatory and 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 

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$208.1 million. The settlement, in whichCitigroup neither admitted nor denied any wrongdoing or liability,includes allegations of willful misconduct by Smith Barney FundManagement LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Research Analyst Litigation

Since May 2002,Citigroup Global Markets and certain executive officers and current andformer employees have been named as defendants in numerous allegedclass action complaints, individual 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 

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connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. Other parties to the Research Settlement have received similarsubpoenas and letters.

West Virginia Attorney General Suit

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

Citigroup Shareholder Litigation

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

NASD Settlement

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

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

Item4.    Submission of Matters to a Vote of SecurityHolders.

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

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PART II

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

Market Information. The Partnershiphas issued no stock. There is no public market for the Redeemable Unitsof Limited Partnership Interest.

Holders. The number ofholders of Redeemable Units of Limited Partnership Interest as ofDecember 31, 2005 was 2,253.

Dividends. The Partnershipdid not declare a distribution in 2005 or 2004.

Use ofProceeds.    There were no additional sales during the twelvemonths ended December 31, 2005. During the twelve months ended December31, 2004 there were General Partner contributions representing 21.6705Unit equivalents totaling $31,432. There were no additional salesduring the twelve months ended December 31, 2003.

Proceeds fromthe sale of additional Redeemable Units are used in the trading ofcommodity interests including futures contracts, options and forwardcontracts.

Compensation Plans.    None

Item6.    Selected Financial Data.

Realized andunrealized trading gains (losses), interest income, net income (loss)and increase (decrease) in Net Asset Value per Redeemable Unit for theyears ended December 31, 2005, 2004, 2003, 2002 and 2001 and totalassets at December 31, 2005, 2004, 2003, 2002 and 2001 were asfollows:

|                                                                                                                                                                                  |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                             |  | 2005   |            | 2004   |  | 2003   |            | 2002   |  | 2001   |
| Realizedand unrealized trading gains (losses) net of brokerage commissions(including clearing fees) of $4,126,362, $4,322,086, $4,867,218,$4,514,105 and $5,109,439,respectively |  | $      | 2,003,548  |   |  | $      | 3,868,542  |   |  | $      | 14,129,201 |   |  | $      | 14,296,353 |   |  | $      | (5,744,771 | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Interestincome                                                                                                                                                                   |  |   | 803,510    |   |  |   | 635,140    |   |  |   | 569,919    |   |  |   | 799,484    |   |  |   | 2,121,645  |    |
|                                                                                                                                                                             |  | $      | 2,807,058  |   |  | $      | 4,503,682  |   |  | $      | 14,699,120 |   |  | $      | 15,095,837 |   |  | $      | (3,623,126 | )  |
| Netincome(loss)                                                                                                                                                                  |  | $      | 605,508    |   |  | $      | 1,598,257  |   |  | $      | 10,452,183 |   |  | $      | 10,902,122 |   |  | $      | (6,137,603 | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                         |  | $      | 25.88      |   |  | $      | 40.44      |   |  | $      | 199.53     |   |  | $      | 205.86     |   |  | $      | (87.64     | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Totalassets                                                                                                                                                                      |  | $      | 59,855,686 |   |  | $      | 67,161,630 |   |  | $      | 71,276,280 |   |  | $      | 68,703,203 |   |  | $      | 68,118,842 |    |
|                                                                                                                                                                                  |

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

Overview

ThePartnership aims to achieve substantial capital appreciation throughspeculative trading, directly and indirectly, in U.S. and internationalmarkets for currencies, interest rates, stock indices, agricultural

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and energy products and precious and basemetals. The Partnership may employ futures, options on futures, andforward contracts in those markets.

The General Partner managesall business of the Partnership. The General Partner has delegated itsresponsibility for the investment of the Partnership's assets toCampbell & Company, Inc. ("Campbell"),Capital Fund Management SA ("CFM"), GrahamCapital Management, L.P. ("Graham") andWillowbridge Associates, Inc.("Willowbridge"), (collectively, the"Advisors"). The General Partner employs ateam of approximately 20 professionals whose primary emphasis is onattempting to maintain quality control among the advisors to thepartnerships operated or managed by the General Partner. A full-timestaff of due diligence professionals use state-of-the-art technologyand on-site evaluations to monitor new and existing futures moneymanagers. The accounting and operations staff provide processing oftrading activity and reporting to limited partners and regulatoryauthorities. In selecting the Advisors for the Partnership, the GeneralPartner considered past performance, trading style, volatility ofmarkets traded and fee requirements.

Responsibilities of theGeneral Partner include:

|              |                                           |
|--------------|-------------------------------------------|
| •  | duediligence examinations of theAdvisors; |

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

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

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

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

The General Partnerseeks the best prices and services available in its commodity futuresbrokerage transactions. The General Partner reviews at least annually,the brokerage rates charged to commodity pools similar to those of thePartnership to determine whether the brokerage fee the Partnership paysis competitive with other rates.

The programs traded by eachAdvisor on behalf of the Partnership are: Campbell – Financial,Metal & Energy Large Portfolio ("FMELarge"), CFM – Discus Program("Discus"), Graham – Global DiversifiedProgram ("GDP") and Graham Selective TradingProgram ("GST"), and Willowbridge –Argo and Vulcan Trading Systems. As of December 31, 2005, thePartnership's assets were allocated among the Advisors in thefollowing approximate percentages: Campbell, 30%, CFM,32%, Graham, 19%, and Willowbridge, 19%.

Campbell & Company, Inc.

Campbell trades its FMELarge Portfolio for the Partnership. Campbell's trading modelsare designed to detect and exploit medium-term to long-term pricechanges, while also applying risk management and portfolio managementprinciples.

Campbell believes that utilizing multiple tradingmodels provides an important level of diversification, and is mostbeneficial when multiple contracts of each market are traded. Everytrading model may not trade every market. It is possible that onetrading model may signal a long position while another trading modelsignals a short position in the same market. It is Campbell'sintention to offset those signals to reduce unnecessary trading, but ifthe signals are not simultaneous, both trades will be taken and sinceit 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.

Capital FundManagement SA

CFM will trade the Partnership's assetsallocated to it in accordance with its Discus Program. All of thetrading decisions result from proprietary trading and risk managementprograms developed by CFM. 

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Discus is 100% statistical andsystematic in nature. The only information fed into the system arehistorical price statistics. The system does not use any form ofqualitative information and, most importantly, the system is neveroverridden by human opinion. The program continuously appliesproprietary filters to review price data in an attempt to select themost efficient trading strategy with respect to a particular time frame(short, medium or long term), contracts traded, contract and marketsector concentration and risk exposure. Discus trades more than 50futures contracts on exchanges around the world.

GrahamCapital Management, L.P.

Graham currently trades both GDPand GST on behalf of the Partnership. Of the Partnership's assetsallocated to Graham, 46% is currently traded using GDP and54% is currently traded using GST, each of which is describedbelow.

Graham trades actively in both U.S. and foreign markets,primarily in futures contracts, forward contracts, spot contracts andassociated derivative instruments such as options and swaps. Grahamengages in exchange for physical transactions, which involve theexchange of a futures position for the underlying physical commoditywithout making an open competitive trade on an exchange. Graham attimes will trade certain instruments, such as forward foreign currencycontracts, as a substitute for futures or options traded on futuresexchanges.

Graham's trading systems rely primarily ontechnical rather than fundamental information as the basis for theirtrading decisions. Graham's systems are based on the expectationthat over time they can successfully anticipate market events usingquantitative mathematical models to determine their trading activities,as opposed to attempting properly to forecast price trends usingsubjective analysis of supply and demand.

GDP utilizes multiplecomputerized trading models designed to participate in potential profitopportunities during sustained price trends. This program featuresbroad diversification in both financial and non-financial markets. Thestrategies that are utilized are primarily long-term in nature and areintended to generate significant returns over time with an acceptabledegree of risk and volatility. The computer models on a daily basisanalyze the recent price action, the relative strength and the riskcharacteristics of each market and compare statistically thequantitative results of this data to years of historical data on eachmarket. GDP trades in approximately 80 markets.

GST uses amathematical model to identify certain price patterns that have veryspecific characteristics indicating that there is a high probabilitythat a significant directional move will occur. Although the programdoes not trade against the market trend, it is not a truetrend-following system inasmuch as it will only participate in specifictypes of market moves that meet the restrictive criteria of the model.In general, this program will participate only in significant marketmoves that are characterized by a substantial increase in volatility.As a result, it frequently will not participate in a market trend inwhich virtually all trend-following systems would have a position. GSTtrades in approximately 70 markets.

Willowbridge Associates,Inc.

Willowbridge trades the Partnership's assetsallocated to it in accordance with its Select Investment Program,whereby the General Partner determined the initial allocation of thePartnership's assets among one or more of Willowbridge'sstrategies and may determine subsequent reallocations (if any). Of thePartnership's assets allocated to Willowbridge, 0% iscurrently traded using the Vulcan Trading System and 100% iscurrently traded using the Argo Trading System, each of which isdescribed below.

For each of these systems, risk is managed on amarket by market level as well as on an overall portfolio level. On themarket level, risk is managed primarily by utilizing proprietaryvolatility filters. When these filters detect a certain excessive levelof volatility in the markets traded, they will signal that the systemsshould no longer be trading in the markets in which the filters havedetected excessive volatility. In this way, the systems do notparticipate in markets in which there are extremes in market action. Onthe portfolio level, risk is managed by utilizing a proprietaryportfolio cutback rule. When cumulative profits have reached a certainlevel, this rule determines that positions should be halved across theentire portfolio. In this way, risk is reduced while allowing thesystems to continue to participate in the markets, albeit at a reducedlevel. After the portfolio has been traded at half, the portfoliocutback rule will then determine when to increase positions to againtrade at the full level.

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The Vulcan Trading System, which commencedtrading in 1988, is a computerized technical trading system. It is nota trend-following system, but does ride a trend when the opportunityarises. Vulcan uses the concepts of pattern recognition,support/resistance levels, and counter-trend liquidations in makingtrading decisions. In effect, Vulcan is more akin to a systematictechnical charting system, as opposed to most computer systems whichare based on pure trend-following calculations.

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

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

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

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

A support level is a previous low — a price levelunder the current market price at which point buying interest isexpected to be sufficiently strong to overcome selling pressure.

A resistance level is a previous high — a price level over thecurrent market price at which point selling pressure is expected toovercome buying pressure and a price advance is expected to be turnedback.

A counter-trend liquidation is the closing out of aposition after a significant price move on the assumption that themarket is due for a correction.

No assurance is given that anAdvisor's trading program will be profitable or that it will notexperience losses.

(a)    Liquidity.

ThePartnership does not engage in sales of goods or services. Its onlyassets are its equity in its commodity futures trading account,consisting of cash, net unrealized appreciation (depreciation) on openfutures positions, unrealized appreciation on open forward contracts,its investments in other partnerships and interest receivable. Becauseof the low margin deposits normally required in commodity futurestrading, relatively small price movements may result in substantiallosses to the Partnership. Such substantial losses could lead to amaterial loss in liquidity.

To minimize this risk relating tolow margin deposits, the Partnership follows certain trading policies,including:

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

|            |                                                                                                                                                                                                                               |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | No Advisor will initiate additional positionsin any commodity interest if these positions would result in aggregatepositions requiring a margin of more than66 2/3% of the Partnership's net assetsallocated to that Advisor. |

|             |                                                                                                                                                                                                                                                             |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | ThePartnership may occasionally accept delivery of a commodity. Unlesssuch delivery is disposed of promptly by retendering the warehousereceipt representing the delivery to the appropriate clearinghouse, thephysical commodity position is fully hedged. |

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

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

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

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

In the normal course of business,the Partnership is party to financial instruments with off-balancesheet risk, including derivative financial instruments and derivativecommodity instruments. These financial instruments include forwards,futures, options and swaps, whose values are based upon an underlyingasset, index or reference rate, and generally represent futurecommitments to exchange currencies or cash flows, or to purchase orsell other financial instruments at specified terms at specified futuredates, or, in the case of derivative commodity 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, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

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

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Partnership'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 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. (Seealso "Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the Notes to Financial Statements.)

Other thanthe risks inherent in commodity trading, the Partnership knows of notrends, demands, commitments, events or uncertainties which will resultin or which are reasonably likely to result in the Partnership'sliquidity increasing or decreasing in any material way. The LimitedPartnership Agreement provides that the Partnership will cease tradingoperations and liquidate all open positions upon the first

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to occur of the following: (i) December 31,2014; (ii) the vote to dissolve the Partnership by limited partnersowning more than 50% of the Redeemable Units; (iii) assignmentby the General Partner of all of its interest in the Partnership orwithdrawal, removal, bankruptcy or any other event that causes theGeneral Partner to cease to be a General Partner under the New YorkRevised Limited Partnership Act unless the Partnership is continued asdescribed in the Limited Partnership Agreement; (iv) Net Asset Valueper Redeemable Unit falls to less than $400 as of the end of anytrading day; or (v) the occurrence of any event which shall make itunlawful for the existence of the Partnership to be continued.

(b)    Capital Resources.

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

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

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may cause all of their Redeemable Units to beredeemed by the Partnership at the Net Asset Value thereof as of thelast day of each month on ten days' written notice to the GeneralPartner. No fee will be charged for redemptions. For the year endedDecember 31, 2005, 5,231.2307 Redeemable Units were redeemed totaling$7,419,395. For the year ended December 31, 2004, 3,795.4046 RedeemableUnits were redeemed totaling $5,352,153. For the year ended December31, 2003, 5,671.3005 Redeemable Units were redeemed totaling$8,154,406.

(c)    Results of Operations.

Forthe year ended December 31, 2005, the Net Asset Value per RedeemableUnit increased 1.7% from $1,490.89 to $1,516.77. For the yearended December 31, 2004 the Net Asset Value per Redeemable Unitincreased 2.8% from $1,450.45 to $1,490.89. For the year endedDecember 31, 2003, the Net Asset Value per Redeemable Unit increased16.0% from $1,250.92 to $1,450.45.

The Partnershipexperienced a net trading gain of $6,129,910 before commissions andexpenses for the year ended December 31, 2005. Gains were primarilyattributable to the trading of energy, U.S. and non-U.S. interestrates, metals and indices and were partially offset by the lossesincurred in the trading of currencies, grains, livestock andsofts.

The year 2005 was characterized by several events thatmade it generally difficult for the Partnership's Advisors tonavigate the markets successfully and to retain profits when earned.Profits were earned in energy, metals, interest rates and stock indiceswhile losses were incurred in currencies and agricultural markets. Overthe course of the year, the general partner allocated partnershipassets to Advisors, which tended to have shorter-term tradingstrategies in an effort to capitalize on evolving marketconditions.

Crude oil and natural gas prices increasedthroughout the year dramatically reaching their peaks post HurricanesKatrina and Rita. These markets provided extended trending patterns forthe Partnership's Advisors and resulted in profits for thepartnership.

Both the precious and base (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.

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In financial markets, foreign stock marketindices were the most profitable sector for the Partnership for theyear as a resurging Japanese economy and positive political news inEurope propelled these markets out of long-term doldrums. Interest ratetrading was positive with gains in both U.S. and non-U.S.contracts.

Currency trading was unprofitable with the focusbeing the U.S. dollar versus both European and Asian currencies. Aftera prolonged decline in 2004, the U.S. dollar defied expectations forfurther weakness and rallied in January resulting in losses for theadvisors at the beginning of the year. The dollar continuedstrengthening through the second quarter but encountered a prolongedperiod of volatility at the beginning of the third quarter with theChinese government's decision to revalue the Chinese yuan.

The Partnership experienced a net trading gain of $8,190,628before commissions and expenses for the year ended December 31, 2004.Gains were primarily attributable to the trading of currencies, grains,livestock, metals and indices and were partially offset by the lossesincurred in the trading of energy, U.S. and Non-U.S. interest rates andsofts.

Trading results for the year 2004 can be described inthree distinct periods: the first two months of the year producedpositive results of 10% with trends carrying over from late2003, the next seven months which saw trend disruptions and producedlosses of approximately 18%, and the last quarter whichwitnessed a recovery period with net asset value per unit increasing13%. The Partnership ended the year up 2.8%. The resultsfor the year were heavily influenced by two historic trends: thedecline and subsequent volatility in the value of the U.S. dollarversus major currencies and the run-up in the price of crude oil toover $50 a barrel.

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

Thisbegan a protracted period of tentative and conflicting trends acrossmany sectors. As expected in the nature of trend-following, thestrength of profitable trends is often followed by temporary but oftensevere periods of losses. March through September 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. Trading was treacherous and thusunprofitable in U.S. and Asian interest rates and global stock indiceswhile energy, metals and grains provided some offsetting profits. Thefundamental economic concerns hanging over these markets were furtherexacerbated by the uncertainty surrounding the tightly contested U.S.presidential election.

With 2004 looking dismal going into thefall, the price of crude oil resumed its climb to $50 a barrel broughton by a deteriorating security situation in Iraq, Saudi Arabiapolitical turmoil, and renewed threats of terrorism. Long positions inthe energy sector contributed to profits towards the end of the thirdquarter and into the fourth quarter. Later in the fourth quarter theU.S. dollar began a precipitous slide toward $1.40 to the euro. Theserenewed trends in currency prices combined with declining interestrates and stronger global stock markets were favorable to thePartnership's advisors and provided a solidly profitable lastthree months of the year.

The Partnership experienced a nettrading gain of $18,996,419 before commissions and expenses for theyear ended December 31, 2003. Gains were primarily attributable to thetrading of currencies, grains, livestock, metals and indices and werepartially offset by the losses incurred in the trading of energy, U.S.and non-U.S. interest rates and softs.

In the GeneralPartner's opinion, the Advisors continue to employ tradingmethods and produce results consistent with the objectives of thePartnership 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 Accounting Policies.

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

Allcommodity interests (including derivative financial instruments andderivative commodity instruments) 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 period, which represents market value forthose commodity interests for which market quotations are readilyavailable 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 contracts are valued daily, andthe Partnership's net equity therein, representing unrealizedgain or loss 

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on the contracts as measured by thedifference between the forward foreign exchange rates at the dates ofentry into the contracts and the forward rates at the reporting dates,is included in the statements of financial condition. Realized gains(losses) and changes in unrealized values on foreign currency contractsare recognized in the period in which the contract is closed or thechanges occur and are included in the statements of income and expensesand partners' capital.

The General Partner believes thatthe accounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Partnership's positions. Themajority of the Partnership's positions will be exchange-tradedfutures contracts, which will be valued daily at settlement pricespublished by the exchanges. Swap contracts generally will be valued byreference to published settlement prices or dealers' quotes inrelated markets or other measures of fair value deemed appropriate bythe General Partner. The General Partner expects that under normalcircumstances substantially all of the Partnership's assets willbe valued by objective measures and without difficulty.

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk.

Introduction

The Partnership is aspeculative commodity pool. The market sensitive instruments held by itare acquired for speculative trading purposes, and all or substantiallyall of the Partnership's assets are subject to the risk oftrading loss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

The risk to the limited partners thathave purchased interests in the Partnership is limited to the amount oftheir capital contributions to the Partnership and their share of thePartnership assets and undistributed profits. This limited liability isa consequence of the organization of the Partnership as a limitedpartnership under applicable law.

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

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

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

Quantifying the Partnership's Trading Valueat Risk

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

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

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

The fair value of the Partnership's futures and forwardpositions does not have any optionality component. However, certain ofthe Advisors trade commodity options. The Value at Risk associated withoptions is reflected in the following table as the margin requirementattributable to the instrument underlying each option. Where thisinstrument is a futures contract, the futures margin, 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$57,739,377.

December 31,2005

|                        |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|------------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector           |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies:            |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —ExchangeTraded  |  | $             | 312,800   |                    |  |             | 0.54   | %           |  | $                    | 617,796   |   |  | $      | 136,544 |   |  | $      | 386,414   |   |
| —OTC             |  |          | 242,913   |                    |  |             | 0.42   | %           |  |                 | 1,186,271 |   |  |   | 57,577  |   |  |   | 323,277   |   |
| Energy                 |  |          | 77,839    |                    |  |             | 0.13   | %           |  |                 | 1,568,712 |   |  |   | 48,620  |   |  |   | 477,557   |   |
| Grains                 |  |          | 2,825     |                    |  |             | 0.01   | %           |  |                 | 355,075   |   |  |   | 2,600   |   |  |   | 111,810   |   |
| InterestRatesU.S.      |  |          | 97,221    |                    |  |             | 0.17   | %           |  |                 | 929,050   |   |  |   | 22,369  |   |  |   | 379,830   |   |
| InterestRates Non-U.S. |  |          | 404,410   |                    |  |             | 0.70   | %           |  |                 | 1,731,834 |   |  |   | 132,720 |   |  |   | 706,504   |   |
| Livestock              |  |          | 2,400     |                    |  |             | 0.01   | %           |  |                 | 58,300    |   |  |   | 800     |   |  |   | 9,563     |   |
| Metals                 |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —OTC             |  |          | 11,810    |                    |  |             | 0.02   | %           |  |                 | 561,965   |   |  |   | 10,802  |   |  |   | 153,727   |   |
| Softs                  |  |          | 19,588    |                    |  |             | 0.03   | %           |  |                 | 353,492   |   |  |   | 9,284   |   |  |   | 115,980   |   |
| Indices                |  |          | 822,729   |                    |  |             | 1.42   | %           |  |                 | 2,791,360 |   |  |   | 294,025 |   |  |   | 1,132,281 |   |
| Total                  |  | $             | 1,994,535 |                    |  |             | 3.45   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                        |

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

As ofDecember 31, 2004, the Partnership's total capitalization was$64,553,264.

December 31,2004

|                       |  |               |           |                         |  |                  |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|-----------------------|--|---------------|-----------|-------------------------|--|------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector          |  | Value at Risk |           | % ofTotalCapitalization |  | HighValue atRisk |        | LowValue at Risk |  | Average*Value atRisk |
| Currencies            |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —ExchangeTraded |  | $             | 691,200   |                    |  |             | 1.07   | %           |  | $                    | 1,301,984 |   |  | $      | 359,759 |   |  | $      | 697,350   |   |
| —OTC            |  |          | 1,761,706 |                    |  |             | 2.73   | %           |  |                 | 1,761,706 |   |  |   | 470,744 |   |  |   | 881,520   |   |
| Energy                |  |          | 597,540   |                    |  |             | 0.93   | %           |  |                 | 1,859,700 |   |  |   | 41,821  |   |  |   | 917,049   |   |
| Grains                |  |          | 21,900    |                    |  |             | 0.04   | %           |  |                 | 534,950   |   |  |   | 8,800   |   |  |   | 189,601   |   |
| InterestratesU.S.     |  |          | 502,650   |                    |  |             | 0.78   | %           |  |                 | 1,163,900 |   |  |   | 210,700 |   |  |   | 639,675   |   |
| InterestratesNon-U.S. |  |          | 1,034,608 |                    |  |             | 1.60   | %           |  |                 | 3,163,467 |   |  |   | 673,367 |   |  |   | 1,725,098 |   |
| Livestock             |  |          | 15,200    |                    |  |             | 0.02   | %           |  |                 | 104,400   |   |  |   | 800     |   |  |   | 53,333    |   |
| Metals                |  |          |      |                    |  |             |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| —ExchangeTraded |  |          | 181,500   |                    |  |             | 0.28   | %           |  |                 | 480,000   |   |  |   | 70,500  |   |  |   | 176,292   |   |
| —OTC            |  |          | 354,465   |                    |  |             | 0.55   | %           |  |                 | 500,209   |   |  |   | 12,800  |   |  |   | 146,566   |   |
| Softs                 |  |          | 163,700   |                    |  |             | 0.25   | %           |  |                 | 257,987   |   |  |   | 3,400   |   |  |   | 132,787   |   |
| Indices               |  |          | 3,203,747 |                    |  |             | 4.96   | %           |  |                 | 4,059,152 |   |  |   | 573,245 |   |  |   | 1,746,903 |   |
| Total                 |  | $             | 8,528,216 |                    |  |             | 13.21  | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                       |

|  |
|--|
|  |  |
|  |

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

MaterialLimitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by thePartnership is typically many times the applicable maintenance marginrequirement (margin requirements generally range between 2% and15% of contract face value) as well as many times thecapitalization of the Partnership. The magnitude of the 

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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) areimmaterial.

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

Currencies.   ThePartnership's currency exposure is to exchange rate fluctuations,primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well aspolitical and general economic 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 U.S. dollar-based Partnership in expressingValue at Risk in a functional currency other than U.S. dollars.

Stock Indices.   The Partnership's primary equityexposure is to equity price risk in the G-8 countries. The stock indexfutures traded by the Partnership are limited to futures on broadlybased indices. As of December 31, 2005, the Partnership's primaryexposures were in stock indices on the Chicago Mercantile Exchange(U.S.) and the EUREX (Germany). The Partnership is primarily exposed tothe risk of adverse price trends or static markets in the major U.S.,European and Japanese indices. (Static markets would 

23

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not cause major market changes but wouldmake it difficult for the Partnership to avoid being"whipsawed" into numerous small losses.)

Metals.   The Partnership's primary metal marketexposure is to fluctuations in the price of aluminum, platinum andzinc.

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

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

QualitativeDisclosures Regarding Non-Trading Risk Exposure

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

Foreign Currency Balances.   ThePartnership's primary foreign currency balances are in Japaneseyen, Euro dollar, British pounds and Swiss francs. The Advisorregularly converts foreign currency balances to U.S. dollars in anattempt 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 requirecertain of the Advisors to close out individual positions as well asenter into programs 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.

Each Advisor applies its 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.

SMITH BARNEY DIVERSIFIED FUTURES FUND L.P. II

INDEX TOFINANCIALSTATEMENTS

|                                                                                                                                   |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                                                              |  | PageNumber        |
| Oath orAffirmation                                                                                                                |  | F-3               |
| Report of Independent Registered Public AccountingFirm                                                                            |  | F-4               |
| FinancialStatements:                                                                                                              |  |              |
| Statements of Financial Condition atDecember 31, 2005 and 2004                                                                    |  | F-5               |
| CondensedSchedules of Investments at December 31, 2005 and 2004                                                                   |  | F-6– F-7    |
| Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and2003                                              |  | F-8               |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004and 2003                                     |  | F-9               |
| Statements of Cash Flows forthe years ended December 31, 2005, 2004 and2003                                                       |  | F-10              |
| Notes to FinancialStatements                                                                                                      |  | F-11 – F-16 |
| SelectedUnaudited Quarterly FinancialData                                                                                         |  | F-17              |
| Financial Statements ofCMF Willowbridge Argo Master Fund L.P.                                                                     |  |              |
| Oathof Affirmation                                                                                                                |  | F-18              |
| IndependentAuditors' Report                                                                                                       |  | F-19              |
| Statement ofFinancial Condition at December 31, 2005                                                                              |  | F-20              |
| Condensed Schedule of Investments at December 31,2005                                                                             |  | F-21              |
| Statement of Income and Expensesfor the period from July 1, 2005(commencement of tradingoperations) to December 31, 2005          |  | F-22              |
| Statement of Changes in Partners' Capital for the periodfrom July 1, 2005(commencement of trading operations) to December31, 2005 |  | F-23              |
| Statement of Cash Flows forthe period from July 1, 2005(commencement of trading operations)to December 31, 2005                   |  | F-24              |
| Notes toFinancial Statements                                                                                                      |  | F-25 − F-28 |
| Selected Unaudited Quarterly FinancialData                                                                                        |  | F-29              |
| Financial Statements ofCMF Campbell Master Fund L.P.                                                                              |  |              |
| Oath ofAffirmation                                                                                                                |  | F-30              |
| IndependentAuditor's Report                                                                                                       |  | F-31              |
| Statement ofFinancial Condition at December 31, 2005                                                                              |  | F-32              |
| Condensed Schedule of Investments at December 31,2005                                                                             |  | F-33              |
| Statement of Income and Expensesfor the year ended December 31, 2005                                                              |  | F-34              |
|                                                                                                                                   |

F-1

----

|                                                                              |  |                   |  |  |  |  |
|------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                         |  | PageNumber        |
| Statement of Changes inPartners' Capital for the year ended December 31,2005 |  | F-35              |
| Statement of Cash Flows for theyear ended December 31, 2005                  |  | F-36              |
| Notes toFinancial Statements                                                 |  | F-37 − F-40 |
| Selected Unaudited Quarterly FinancialData                                   |  | F-41              |
|                                                                              |

F-2

----

To theLimited Partners ofSmith Barney Diversified Futures Fund L.P.II

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

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

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Smith BarneyDiversified          Futures Fund L.P. II |
|--|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

F-3

----

Report ofIndependent Registered Public Accounting Firm

To the PartnersofSmith Barney Diversified Futures Fund L.P. II

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

We conducted our audits in accordance withthe standards 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. An audit includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principlesused and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believethat our audits provide a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly,in all material respects, the financial position of Smith BarneyDiversified Futures Fund L.P. II as of December 31, 2005 and 2004, andthe results of its operations, changes in its partners' capital,and its cash flows for each of the years in the three-year period endedDecember 31, 2005, in conformity with U.S. generally acceptedaccountingprinciples.

|  |
|--|
|  |  |
|  |

NewYork, New YorkMarch 13, 2006

F-4

----

Smith Barney DiversifiedFutures FundL.P. IIStatements of Financial ConditionDecember 31, 2005 and2004

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2005   |            | 2004   |
| Assets:                                                                                                                                |  |   |       |   |  |   |       |   |
| Investmentsin Partnerships, at fairvalue                                                                                               |  | $      | 28,908,505 |   |  | $      | —    |   |
| Equityin commodity futures trading account:                                                                                            |  |   |       |   |  |   |       |   |
| Cash(restricted $2,290,590 and $10,268,476, in 2005 and 2004, respectively)(Note3c)                                                    |  |   | 30,196,314 |   |  |   | 63,248,424 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |   | 204,096    |   |  |   | 1,695,113  |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |   | 472,362    |   |  |   | 2,134,245  |   |
|                                                                                                                                   |  |   | 59,781,277 |   |  |   | 67,077,782 |   |
| Interestreceivable (Note3c)                                                                                                            |  |   | 74,409     |   |  |   | 83,848     |   |
|                                                                                                                                   |  | $      | 59,855,686 |   |  | $      | 67,161,630 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                           |  |   |       |   |  |   |       |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  | $      | 308,472    |   |  | $      | 1,815,840  |   |
| Accruedexpenses:                                                                                                                       |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                   |  |   | 303,446    |   |  |   | 332,085    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 100,540    |   |  |   | 110,036    |   |
| Incentivefees (Note3b)                                                                                                                 |  |   | 497,394    |   |  |   | —    |   |
| Professionalfees                                                                                                                       |  |   | 38,556     |   |  |   | 37,522     |   |
| Other                                                                                                                                  |  |   | 16,254     |   |  |   | 19,748     |   |
| Redemptionspayable (Note5)                                                                                                             |  |   | 851,647    |   |  |   | 293,135    |   |
|                                                                                                                                   |  |   | 2,116,309  |   |  |   | 2,608,366  |   |
| Partners'capital (Notes 1 and 5)                                                                                                       |  |   |       |   |  |   |       |   |
| General Partner,884.3120 Unit equivalents outstanding in 2005 and 2004                                                                 |  |   | 1,341,298  |   |  |   | 1,318,412  |   |
| LimitedPartners, 37,182.8909 and 42,414.1216 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 56,398,079 |   |  |   | 63,234,852 |   |
|                                                                                                                                   |  |   | 57,739,377 |   |  |   | 64,553,264 |   |
|                                                                                                                                   |  | $      | 59,855,686 |   |  | $      | 67,161,630 |   |
|                                                                                                                                        |

Seeaccompanying notes to financialstatements.

F-5

----

SmithBarney DiversifiedFutures Fund L.P. IICondensed Schedule ofInvestmentsDecember 31,2005

|                                                  |  |           |            |                       |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|-----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |            | % of Partners'Capital |
| Futures ContractsPurchased                       |  |      |       |                  |  |   |   |     |
|                                             |  |      |       |                  |  |   |   |     |
| Currencies                                       |  | $         | (24,300    | )                |  |   | (0.04  | )%  |
| Energy                                           |  |      | 22,099     |                  |  |   | 0.04   |     |
| Grains                                           |  |      | (987       | )                |  |   | (0.00) | *   |
| Indices                                          |  |      | (5,316     | )                |  |   | (0.01  | )   |
| InterestRates Non-U.S.                           |  |      | 54,366     |                  |  |   | 0.09   |     |
| InterestRatesU.S.                                |  |      | 35,085     |                  |  |   | 0.06   |     |
| Livestock                                        |  |      | (2,318     | )                |  |   | (0.00) | *   |
| Metals                                           |  |      | 841        |                  |  |   | 0.00   | *   |
| Softs                                            |  |      | 8,274      |                  |  |   | 0.01   |     |
| Totalfutures contractspurchased                  |  |      | 87,744     |                  |  |   | 0.15   |     |
| FuturesContractsSold                             |  |      |       |                  |  |   |   |     |
| Currencies                                       |  |      | 38,888     |                  |  |   | 0.07   |     |
| Energy                                           |  |      | (2,094     | )                |  |   | (0.00) | *   |
| Grains                                           |  |      | (4,000     | )                |  |   | (0.01  | )   |
| Indices                                          |  |      | 94,597     |                  |  |   | 0.16   |     |
| InterestRates Non-U.S.                           |  |      | 12,752     |                  |  |   | 0.02   |     |
| InterestRatesU.S.                                |  |      | (8,947     | )                |  |   | (0.01  | )   |
| Softs                                            |  |      | (14,844    | )                |  |   | (0.03  | )   |
| Totalfutures contractssold                       |  |      | 116,352    |                  |  |   | 0.20   |     |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                  |  |   |   |     |
| Currencies                                       |  |      | 210,967    |                  |  |   | 0.37   |     |
| Metals                                           |  |      | 261,395    |                  |  |   | 0.45   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 472,362    |                  |  |   | 0.82   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                  |  |   |   |     |
| Currencies                                       |  |      | (150,798   | )                |  |   | (0.26  | )   |
| Metals                                           |  |      | (157,674   | )                |  |   | (0.27  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (308,472   | )                |  |   | (0.53  | )   |
| InvestmentinPartnerships                         |  |      |       |                  |  |   |   |     |
| CMFWillowbridge Argo Master FundL.P.             |  |      | 11,215,353 |                  |  |   | 19.42  |     |
| CMF CampbellMaster FundL.P.                      |  |      | 17,693,152 |                  |  |   | 30.64  |     |
| TotalInvestment inPartnerships                   |  |      | 28,908,505 |                  |  |   | 50.06  |     |
| Totalfair value                                  |  | $         | 29,276,491 |                  |  |   | 50.70  | %   |
|                                                  |

|  |                                                                                       |
|--|---------------------------------------------------------------------------------------|
|  | Percentages are basedon Partners' capital unless otherwise indicated* Due torounding. |

See accompanying notes to financialstatements.

F-6

----

Smith Barney DiversifiedFutures FundL.P. IICondensed Schedule of InvestmentsDecember 31,2004

|                                                  |  |           |            |                       |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|------------|-----------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |            | % of Partners'Capital |
| Futures ContractsPurchased                       |  |      |       |                  |  |   |   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Currencies                                       |  | $         | 432,672    |                  |  |   | 0.67   | %  |
| Energy                                           |  |      | (33,698    | )                |  |   | (0.05  | )  |
| InterestRates U.S.                               |  |      | 74,707     |                  |  |   | 0.11   |    |
| InterestRates Non-U.S.                           |  |      | 282,007    |                  |  |   | 0.44   |    |
| Metals                                           |  |      | (21,440    | )                |  |   | (0.03  | )  |
| Softs                                            |  |      | 96,047     |                  |  |   | 0.15   |    |
| Indices                                          |  |      | 475,304    |                  |  |   | 0.74   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Totalfutures contracts purchased                 |  |      | 1,305,599  |                  |  |   | 2.03   |    |
|                                             |  |      |       |                  |  |   |   |    |
| FuturesContractsSold                             |  |      |       |                  |  |   |   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Currencies                                       |  |      | 24,888     |                  |  |   | 0.04   |    |
| Energy                                           |  |      | 293,608    |                  |  |   | 0.45   |    |
| Grains                                           |  |      | (22,252    | )                |  |   | (0.03  | )  |
| InterestRates U.S.                               |  |      | 81,640     |                  |  |   | 0.13   |    |
| InterestRates Non-U.S.                           |  |      | 4,653      |                  |  |   | 0.00   | *  |
| Livestock                                        |  |      | 17,132     |                  |  |   | 0.03   |    |
| Softs                                            |  |      | (11,385    | )                |  |   | (0.02  | )  |
| Indices                                          |  |      | 1,230      |                  |  |   | 0.00   | *  |
|                                             |  |      |       |                  |  |   |   |    |
| Totalfutures contracts sold                      |  |      | 389,514    |                  |  |   | 0.60   |    |
|                                             |  |      |       |                  |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                  |  |   |   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Currencies                                       |  |      | 1,866,625  |                  |  |   | 2.89   |    |
| Metals                                           |  |      | 267,620    |                  |  |   | 0.41   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,134,245  |                  |  |   | 3.30   |    |
|                                             |  |      |       |                  |  |   |   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                  |  |   |   |    |
|                                             |  |      |       |                  |  |   |   |    |
| Currencies                                       |  |      | (1,536,667 | )                |  |   | (2.38  | )  |
| Metals                                           |  |      | (279,173   | )                |  |   | (0.43  | )  |
|                                             |  |      |       |                  |  |   |   |    |
| Totalunrealized depreciation on forwardcontracts |  |      | (1,815,840 | )                |  |   | (2.81  | )  |
|                                             |  |      |       |                  |  |   |   |    |
| Totalfair value                                  |  | $         | 2,013,518  |                  |  |   | 3.12   | %  |
|                                                  |

|  |                                                                                       |
|--|---------------------------------------------------------------------------------------|
|  | Percentagesare based on Partners' capital unless otherwise indicated*Due to rounding. |

See accompanying notes tofinancial statements.

F-7

----

Smith Barney DiversifiedFutures FundL.P. IIStatements of Income and Expenses for the yearsended December 31, 2005, 2004, and2003

|                                                                                                                 |  |        |           |        |  |        |            |         |  |        |            |        |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|--------|-----------|--------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                            |  | 2005   |           | 2004   |  | 2003   |
| Income:                                                                                                         |  |   |      |   |  |   |       |    |  |   |       |   |
| Netgains (losses) on trading of commodityinterests:                                                             |  |   |      |   |  |   |       |    |  |   |       |   |
| Realized gains on closed positionsand foreigncurrencies                                                         |  | $      | 3,136,171 |   |  | $      | 10,224,679 |    |  | $      | 18,893,985 |   |
| Changein unrealized gains (losses) on open positions                                                            |  |   | 2,993,739 |   |  |   | (2,034,051 | )  |  |   | 102,434    |   |
|                                                                                                            |  |   | 6,129,910 |   |  |   | 8,190,628  |    |  |   | 18,996,419 |   |
| Interestincome (Note3c)                                                                                         |  |   | 803,510   |   |  |   | 635,140    |    |  |   | 569,919    |   |
|                                                                                                            |  |   | 6,933,420 |   |  |   | 8,825,768  |    |  |   | 19,566,338 |   |
| Expenses:                                                                                                       |  |   |      |   |  |   |       |    |  |   |       |   |
| Brokeragecommissions including clearing fees of $422,596, $195,363, and$276,506, respectively (Note3c)          |  |   | 4,126,362 |   |  |   | 4,322,086  |    |  |   | 4,867,218  |   |
| Managementfees (Note3b)                                                                                         |  |   | 1,166,141 |   |  |   | 1,311,722  |    |  |   | 1,492,670  |   |
| Incentivefees (Note3b)                                                                                          |  |   | 949,901   |   |  |   | 1,522,062  |    |  |   | 2,663,950  |   |
| Professionalfees                                                                                                |  |   | 51,660    |   |  |   | 45,348     |    |  |   | 67,078     |   |
| Otherexpenses                                                                                                   |  |   | 33,848    |   |  |   | 26,293     |    |  |   | 23,239     |   |
|                                                                                                            |  |   | 6,327,912 |   |  |   | 7,227,511  |    |  |   | 9,114,155  |   |
| Netincome                                                                                                       |  | $      | 605,508   |   |  | $      | 1,598,257  |    |  | $      | 10,452,183 |   |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unit equivalent (Notes 1 and6) |  | $      | 25.88     |   |  | $      | 40.44      |    |  | $      | 199.53     |   |
|                                                                                                                 |

Seeaccompanying notes to financial statements.

F-8

----

Smith Barney DiversifiedFutures FundL.P. IIStatements of Changes in Partners' Capitalforthe years ended December 31, 2005, 2004 and2003

|                                                                          |  |                 |            |                |  |        |           |        |  |        |            |         |  |  |
|--------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|-----------|--------|--|--------|------------|---------|--|--|
|                                                                     |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners' capital atDecember 31,2002                                     |  | $               | 64,898,855 |           |  | $      | 1,079,096 |   |  | $      | 65,977,951 |    |
| Netincome                                                                |  |            | 10,280,061 |           |  |   | 172,122   |   |  |   | 10,452,183 |    |
| Redemptionof 5,671.3005 Redeemable Units of Limited Partnership Interest |  |            | (8,154,406 | )         |  |   | —   |   |  |   | (8,154,406 | )  |
| Partners'capital at December 31,2003                                     |  |            | 67,024,510 |           |  |   | 1,251,218 |   |  |   | 68,275,728 |    |
| Netincome                                                                |  |            | 1,562,495  |           |  |   | 35,762    |   |  |   | 1,598,257  |    |
| Saleof 21.6705 units of General PartnershipInterest                      |  |            | —    |           |  |   | 31,432    |   |  |   | 31,432     |    |
| Redemptionof 3,795.4046 Redeemable Units of Limited PartnershipInterest  |  |            | (5,352,153 | )         |  |   | —   |   |  |   | (5,352,153 | )  |
| Partners'capital at December 31,2004                                     |  |            | 63,234,852 |           |  |   | 1,318,412 |   |  |   | 64,553,264 |    |
| Netincome                                                                |  |            | 582,622    |           |  |   | 22,886    |   |  |   | 605,508    |    |
| Redemptionof 5,231.2307 Redeemable Units of Limited PartnershipInterest  |  |            | (7,419,395 | )         |  |   | —   |   |  |   | (7,419,395 | )  |
| Partners'capital at December 31,2005                                     |  | $               | 56,398,079 |           |  | $      | 1,341,298 |   |  | $      | 57,739,377 |    |
|                                                                          |

Netasset value per RedeemableUnit:

|      |  |   |          |        |  |  |
|------|--|---|----------|--------|--|--|
| 2003 |  | $ | 1,450.45 |   |
| 2004 |  | $ | 1,490.89 |   |
| 2005 |  | $ | 1,516.77 |   |
|      |

Seeaccompanying notes to financial statements.

F-9

----

Smith Barney Diversified FuturesFund L.P. IIStatements of Cash Flowsfor the yearsendedDecember 31, 2005, 2004 and2003

|                                                                                           |  |        |             |         |  |        |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                      |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operating activities:                                                      |  |   |        |    |  |   |       |    |  |   |       |    |
| Netincome                                                                                 |  | $      | 605,508     |    |  | $      | 1,598,257  |    |  | $      | 10,452,183 |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |  |   |       |    |  |   |       |    |
| Changes inoperating assets andliabilities:                                                |  |   |        |    |  |   |       |    |  |   |       |    |
| (Increase) decrease inrestrictedcash                                                      |  |   | 7,977,886   |    |  |   | 2,115,701  |    |  |   | (5,522,303 | )  |
| Purchaseof Investment inPartnership's                                                     |  |   | (29,781,373 | )  |  |   | —    |    |  |   | —    |    |
| Proceedsfrom sale of investment inPartnership's                                           |  |   | 3,661,327   |    |  |   | —    |    |  |   | —    |    |
| Netunrealized appreciation (depreciation) on investment inPartnership's                   |  |   | (2,788,459  | )  |  |   | —    |    |  |   | —    |    |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 1,491,017   |    |  |   | 1,138,888  |    |  |   | 1,195,611  |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                    |  |   | 1,661,883   |    |  |   | 846,174    |    |  |   | (1,157,327 | )  |
| (Increase)decrease in interestreceivable                                                  |  |   | 9,439       |    |  |   | (45,336    | )  |  |   | 13,386     |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | (1,507,368  | )  |  |   | 48,989     |    |  |   | (140,718   | )  |
| Accruedexpenses:                                                                          |  |   |        |    |  |   |       |    |  |   |       |    |
| Increase (decrease) incommissions                                                         |  |   | (28,639     | )  |  |   | (22,127    | )  |  |   | (5,560     | )  |
| Increase(decrease) in managementfees                                                      |  |   | (9,496      | )  |  |   | (7,330     | )  |  |   | (33,835    | )  |
| Increase(decrease) in incentivefees                                                       |  |   | 497,394     |    |  |   | (347,867   | )  |  |   | 347,867    |    |
| Increase(decrease) in professionalfees                                                    |  |   | 1,034       |    |  |   | (10,385    | )  |  |   | (7,119     | )  |
| Increase(decrease) inother                                                                |  |   | (3,494      | )  |  |   | 6,711      |    |  |   | (992       | )  |
| Netcash provided by (used in) operatingactivities                                         |  |   | (18,213,341 | )  |  |   | 5,321,675  |    |  |   | 5,141,193  |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |  |   |       |    |  |   |       |    |
| Proceeds from additions– GeneralPartner                                             |  |   | —     |    |  |   | 31,432     |    |  |   | —    |    |
| Paymentsfor redemptions – LimitedPartners                                           |  |   | (6,860,883  | )  |  |   | (5,412,330 | )  |  |   | (8,038,749 | )  |
| Netcash provided by (used in) financingactivities                                         |  |   | (6,860,883  | )  |  |   | (5,380,898 | )  |  |   | (8,038,749 | )  |
| Netchange incash                                                                          |  |   | (25,074,224 | )  |  |   | (59,223    | )  |  |   | (2,897,556 | )  |
| Unrestrictedcash, at beginning ofyear                                                     |  |   | 52,979,948  |    |  |   | 53,039,171 |    |  |   | 55,936,727 |    |
| Unrestrictedcash, at end ofyear                                                           |  | $      | 27,905,724  |    |  | $      | 52,979,948 |    |  | $      | 53,039,171 |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-10

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

1.    PartnershipOrganization:

Smith Barney Diversified Futures Fund L.P. II(the "Partnership") is a limited partnershipwhich was organized on May  10, 1994 under the partnership lawsof the State of New York to engage in the speculative trading of adiversified portfolio of commodity interests including futurescontracts, options and forward contracts. The commodity interests thatare traded by the Partnership are volatile and involve a high degree ofmarket risk. The Partnership was authorized to sell 100,000 redeemableunits of Limited Partnership Interest ("RedeemableUnits") during its initial offering period.

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 Citigroup Inc.("Citigroup").

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

The Partnership will beliquidated upon the first to occur of the following: December31, 2014; the Net Asset Value of a Redeemable Unit decreases to lessthan $400 per Redeemable Unit as of a close of any business day; orunder certain other circumstances as defined in the Limited PartnershipAgreement.

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 commodityinterests. |

The value of the Partnership'sinvestment in other partnerships reflects the Partnership'sproportional interest in otherpartnerships.

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

|          |                                                                                                                                                          |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | Income taxes have not beenprovided as each partner is individually liable for the taxes, if any,on their share of the Partnership's income and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | The preparation of financial statementsin conformity with accounting principles generally accepted in theUnited States of America requires management to make estimates andassumptions that affect the reported amounts of assets and liabilities,disclosure of contingent assets and liabilities at the date of thefinancial statements and the reported amounts of revenues and expensesduring the reporting period. Actual results could differ from theseestimates. |

F-11

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

3.    Agreements:

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

|        |                                                                                                                                                                   |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner administers the business andaffairs of the Partnership including selecting one or more advisors tomake trading decisions for the Partnership. |

|          |                        |
|----------|------------------------|
| b.  | Management Agreements: |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner, on behalf of thePartnership, has entered into Management Agreements with Graham CapitalManagement L.P. ("Graham"), Capital FundManagement SA ("CFM"), Campbell & Co.,Inc. ("Campbell") and Willowbridge AssociatesInc. ("Willowbridge") (collectively, the"Advisors"), registered commodity tradingadvisors. The Advisors are not affiliated with one another, are notaffiliated with the General Partner or CGM and are not responsible forthe organization or operation of the Partnership. The Partnership willpay each Advisor a monthly management fee equal to  1/6of 1% (2% per year) of month-end Net Assets allocated tothe Advisor. Month-end Net Assets, for the purpose of calculatingmanagement fees are Net Assets, as defined in the Limited PartnershipAgreement, prior to the reduction of redemptions and incentivefees. |

|        |                                                                                                                                                                                                                                                                                                                                                                                                                  |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | In addition, the Partnership isobligated to pay each Advisor an incentive fee, payable quarterly,equal to 20% of the New Trading Profits, as defined in theManagement Agreements, earned by each Advisor for the Partnership,except Graham, which will receive an incentive fee of 10% of NewTrading Profits on the first $5,000,000 and 20% of New TradingProfits for all such profits in excess of $5,000,000. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Partnership has entered into a CustomerAgreement which provides that the Partnership will pay CGM a monthlybrokerage fee equal to 1⁄2 of 1% (6% peryear) of month-end Net Assets, in lieu of brokerage commissions on aper trade basis. CGM will pay a portion of brokerage fees to itsfinancial consultants who have sold Redeemable Units in thisPartnership. Month-end Net Assets, for the purpose of calculatingcommissions are Net Assets, as defined in the Limited PartnershipAgreement, prior to the reduction of accrued expenses and redemptionspayable. Brokerage fees will be paid for the life of the Partnership,although the rate at which such fees are paid may be changed. ThePartnership will pay for National Futures Association fees as well asexchange, 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 $2,290,590 and$10,268,476, respectively. CGM has agreed to pay the Partnershipinterest on 80% of the average daily equity maintained in cashin its account during each month at a 30-day U.S. Treasury bill ratedetermined weekly by CGM based on the average noncompetitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on whichsuch weekly rate is determined. The Customer Agreement between thePartnership and CGM gives the Partnership the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party. |

F-12

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

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

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

All of the commodityinterests owned by the Partnership are held for trading purposes. Theaverage fair value during the years ended December 31, 2005 and 2004,based on a monthly calculation, was $814,501 and $2,626,672,respectively.

|          |                           |
|----------|---------------------------|
| 5.  | Investment inPartnerships |

Effective January 1, 2005, the assets allocated toCampbell for trading were invested in the CMF Campbell Master Fund L.P.("Campbell Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased $18,800.3931 Units of Campbell Master with cashequal to $18,587,905 and a contribution of open commodity futures andforward positions with a fair value of $212,488. Campbell Master wasformed in order to permit commodity pools managed now or in the futureby Campbell using Campbell's Financials, Metals and Energyportfolio ("FME"), to invest together in onetrading vehicle. The General Partner of the Partnership is the GeneralPartner of Campbell Master. Individual and pooled accounts currentlymanaged by Campbell, including the Partnership (collectively, the"Funds"), are permitted to be a limitedpartner of Campbell Master. The General Partner and Campbell believethat trading through this structure should promote efficiency andeconomy in the trading process.

Effective July 1, 2005, theassets allocated to Willowbridge for trading were invested in the CMFWillowbridge Argo Master Fund L.P. ("WillowbridgeMaster"), a limited partnership organized under thepartnership laws of the State of New York. The partnership purchased10,980.9796 Units of Willowbridge Master with cash equal to $9,895,326and a contribution of open commodity futures and forward positions witha fair value of $1,085,654. Willowbridge Master was formed in order topermit commodity pools managed now or in the future by usingWillowbridge's Argo Trading Program, to invest together in onetrading vehicle. The General Partner is the General Partner ofWillowbridge Master. Individual and pooled accounts currently managedby Willowbridge, including the Partnership (collectively, the"Funds") are permitted to be a limitedpartner of Willowbridge Master. The General Partner and Willowbridgebelieve that trading through this structure should promote efficiencyand economy in the trading process.

As of December 31, 2005, thePartnership owns 5.4% and 6.6%, respectively, of CampbellMaster and Willowbridge Master (the "MasterFunds"). It is the Master Funds' intention tocontinue to invest the assets allocated to each by the Partnership inthe Master Funds'. The performance of the Partnership is directlyaffected by the performance of the Master Funds. Expenses to investorsas a result of the investment in the Master Funds are approximately thesame and redemption rights are not affected.

The Master Fundstrading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchange and foreign commodity exchanges. The Master Funds engage insuch trading through a commodity brokerage account maintained withCGM.

A limited partner may withdraw all or part of its capitalcontribution and undistributed profits, if any, from the Master Fundsin multiples of the net asset value per unit of limited partnershipinterest as of the last day of a month after a request for redemptionhas been made to the General Partner at least 3 days in advance ofmonth-end.

Management and incentive fees are not directly chargedto the investment presented below. These fees are charged at thePartnership level. All exchange, clearing, user, give-up, floorbrokerage and National Futures Association fees are borne by the MasterFunds. All other fees, including CGM's direct brokeragecommissions, are charged at the Partnership level.

F-13

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

Summarized information reflecting thetotal assets, liabilities and capital for the Master Funds is shown inthe following table.

|                    |  |                          |             |                               |  |                           |            |        |  |        |             |        |  |  |
|--------------------|--|--------------------------|-------------|-------------------------------|--|---------------------------|------------|--------|--|--------|-------------|--------|--|--|
|               |  | December31,2005          |
|               |  | Investments'Total Assets |             | Investments' TotalLiabilities |  | Investments' TotalCapital |
| CampbellMaster     |  | $                        | 347,366,314 |                          |  | $                         | 20,975,541 |   |  | $      | 326,390,773 |   |
| WillowbridgeMaster |  |                     | 170,157,028 |                          |  |                      | 474,977    |   |  |   | 169,682,051 |   |
| Total              |  | $                        | 517,523,342 |                          |  | $                         | 21,450,518 |   |  | $      | 496,072,824 |   |
|                    |

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

|                                    |  |                            |        |           |  |              |            |          |  |                 |           |                     |  |                      |        |        |  |        |        |        |  |        |           |        |  |                    |  |         |  |  |  |  |  |  |
|------------------------------------|--|----------------------------|--------|-----------|--|--------------|------------|----------|--|-----------------|-----------|---------------------|--|----------------------|--------|--------|--|--------|--------|--------|--|--------|-----------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                         |  | %ofPartnership'sNet Assets |        | FairValue |  | Income(Loss) |            | Expenses |  | NetIncome(Loss) |           | InvestmentObjective |  | RedemptionsPermitted |
| Commissions                        |  | Other                      |
| Forthe year ended December 31,2005 |  |                       |   |      |  |         |       |     |  |            |      |                |  |                 |   |   |  |   |   |   |  |   |      |   |
| WillowbridgeMaster                 |  |                       | 19.42  | %    |  | $            | 11,215,253 |     |  | $               | 764,281   |                |  | $                    | 23,085 |   |  | $      | 2,049  |   |  | $      | 739,147   |   |  | CommodityPortfolio |  | Monthly |
| CampbellMaster                     |  |                       | 30.64  | %    |  |         | 17,693,152 |     |  |            | 2,633,808 |                |  |                 | 28,618 |   |  |   | 3,218  |   |  |   | 2,601,972 |   |  | CommodityPortfolio |  | Monthly |
| Total                              |  |                       |   |      |  | $            | 28,908,405 |     |  | $               | 3,398,089 |                |  | $                    | 51,703 |   |  | $      | 5,267  |   |  | $      | 3,341,119 |   |  |               |  |    |
|                                    |

|          |                               |
|----------|-------------------------------|
| 6.  | Distributionsand Redemptions: |

Distributions of profits, if any, will be madeat the sole discretion of the General Partner; however, beginning withthe quarter ended June 30, 1996, a limited partner may require thePartnership to redeem their Redeemable Units at their Net Asset Valueas of the last day of any month on 10 days notice to the GeneralPartner provided that no redemption may result in the limited partnerholding fewer than 3 Redeemable Units after the redemption is effected.There is no fee charged to limited partners in connection withredemptions.

|          |                       |
|----------|-----------------------|
| 7.  | Financial Highlights: |

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

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Net realized and unrealizedgains*                    |  | $      | 60.57    |    |  | $      | 89.34    |    |  | $      | 271.30   |    |
| Interestincome                                       |  |   | 19.59    |    |  |   | 14.06    |    |  |   | 11.32    |    |
| Expenses**                                           |  |   | (54.28   | )  |  |   | (62.96   | )  |  |   | (83.09   | )  |
| Increase for theyear                                 |  |   | 25.88    |    |  |   | 40.44    |    |  |   | 199.53   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,490.89 |    |  |   | 1,450.45 |    |  |   | 1,250.92 |    |
| Net asset value perRedeemable Unit, end of year      |  | $      | 1,516.77 |    |  | $      | 1,490.89 |    |  | $      | 1,450.45 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

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

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

F-14

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

|                                             |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|---------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                        |  | 2005   |        | 2004     |  | 2003   |
| Ratios to averagenet assets:                |  |   |   |     |  |   |   |     |  |   |   |     |
| Net investment loss beforeincentive fees*** |  |   | (7.9   | )%  |  |   | (7.8   | )%  |  |   | (8.3   | )%  |
| Operatingexpenses                           |  |   | 9.3    | %   |  |   | 8.8    | %   |  |   | 9.1    | %   |
| Incentivefees                               |  |   | 1.6    | %   |  |   | 2.3    | %   |  |   | 3.8    | %   |
| Totalexpenses                               |  |   | 10.9   | %   |  |   | 11.1   | %   |  |   | 12.9   | %   |
| Totalreturn:                                |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees           |  |   | 3.4    | %   |  |   | 5.2    | %   |  |   | 20.5   | %   |
| Incentivefees                               |  |   | (1.7   | )%  |  |   | (2.4   | )%  |  |   | (4.5   | )%  |
| Totalreturn after incentivefees             |  |   | 1.7    | %   |  |   | 2.8    | %   |  |   | 16.0   | %   |
|                                             |

|  |
|--|
|  |  |
|  |

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

Theabove ratios may vary for individual investors based on the timing ofcapital transactions during the year. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average netassets.

8.    Financial Instrument Risks:

In thenormal course of its business, the Partnership is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures and options, whose values arebased upon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards 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 Partnership due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

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

The General Partner monitors and controls thePartnership's risk exposure on a daily basis through financial,credit and risk management monitoring systems, and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Partnership is subject. These monitoringsystems allow the General Partner to statistically analyze actualtrading results with risk adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems

F-15

----

SmithBarney DiversifiedFutures Fund L.P. II Notes to FinancialStatements

provide account analysis of futures, forwardsand options positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Partnership's business, these instrumentsmay not be held to maturity.

F-16

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and December 31, 2004 is 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 |
| Netrealized and unrealized trading gains (losses) net of brokeragecommissions and clearing fees plus interestincome |  | $                                                      | 3,354,298 |                                                  |  | $                                                 | 3,599,937 |                                                |  | $      | 438,343 |   |  | $      | (4,585,520 | )  |
|                                                                                                                |  |                                                   |      |                                                  |  |                                              |      |                                                |  |   |    |   |  |   |       |    |
| NetIncome(loss)                                                                                                     |  | $                                                      | 2,535,397 |                                                  |  | $                                                 | 2,842,692 |                                                |  | $      | 133,397 |   |  | $      | (4,905,978 | )  |
|                                                                                                                |  |                                                   |      |                                                  |  |                                              |      |                                                |  |   |    |   |  |   |       |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                            |  | $                                                      | 63.50     |                                                  |  | $                                                 | 70.57     |                                                |  | $      | 5.18    |   |  | $      | (113.37    | )  |
|                                                                                                                     |

|                                                                                                                     |  |                                                        |           |                                                       |  |                                                   |            |                                                     |  |        |            |         |  |        |            |        |  |  |
|---------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|------------|-----------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                |  | Forthe period from October 1, 2004 to December 31,2004 |           | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31,2004 |
| Netrealized and unrealized trading gains (losses) net of brokeragecommissions and clearing fees plus interestincome |  | $                                                      | 7,882,826 |                                                  |  | $                                                 | (2,152,606 | )                                              |  | $      | (9,626,155 | )  |  | $      | $8,399,617 |   |
|                                                                                                                |  |                                                   |      |                                                  |  |                                              |       |                                                |  |   |       |    |  |   |       |   |
| NetIncome(loss)                                                                                                     |  | $                                                      | 7,555,082 |                                                  |  | $                                                 | (2,468,247 | )                                              |  | $      | (9,975,010 | )  |  | $      | 6,486,432  |   |
|                                                                                                                |  |                                                   |      |                                                  |  |                                              |       |                                                |  |   |       |    |  |   |       |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                            |  | $                                                      | 171.94    |                                                  |  | $                                                 | (54.41     | )                                              |  | $      | (215.87    | )  |  | $      | 138.78     |   |
|                                                                                                                     |

F-17

----

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

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

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

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

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

F-18

----

Independent Auditor'sReport

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

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

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

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

New York, New York March 13,2006

F-19

----

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

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

Seeaccompanying notes to financial statements.

F-20

----

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

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

Percentagesare based on Partners' capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-21

----

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

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

Seeaccompanying notes to financial statements.

F-22

----

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

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

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

Seeaccompanying notes to financial statements.

F-23

----

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

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

Seeaccompanying notes to financialstatements.

F-24

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

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

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

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

2.    Accounting Policies:

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

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

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

F-25

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

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

3.    Agreements:

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

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

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

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

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

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

4.    Trading Activities:

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

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

5.    Distributions and Redemptions:

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

F-26

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

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

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

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

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

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

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

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

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

7.    FinancialInstrument Risks:

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

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

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

F-27

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

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

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

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

F-28

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

Selected unaudited quarterlyfinancial data for Willowbridge Master for the period endedDecember  31, 2005 is summarizedbelow:

|                                                                                                             |  |                                                        |           |                                                                                           |  |   |           |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------------------------------------------|--|---|-----------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2005 to December 31,2005 |           | For the period from July 1, 2005 (Commencementof trading operations) to September 30,2005 |
| Net realized and unrealized trading gains netof brokerage commissions and clearing fees plus interestincome |  | $                                                      | 1,894,970 |                                                                                      |  | $ | 8,540,113 |   |
| NetIncome                                                                                                   |  | $                                                      | 1,879,636 |                                                                                      |  | $ | 8,525,113 |   |
| Increasein Net Asset Value per RedeemableUnit                                                               |  | $                                                      | 10.17     |                                                                                      |  | $ | 56.64     |   |
|                                                                                                             |

F-29

----

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-30

----

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-31

----

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-32

----

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-33

----

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-34

----

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-35

----

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-36

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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-37

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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-38

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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-39

----

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 tomaturity.

F-40

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

Selected unaudited quarterlyfinancial data for Campbell Master for the year ended December31, 2005 is summarizedbelow:

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                 |         |                                                    |  |   |            |        |  |   |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|-------------------------------------------------|---------|----------------------------------------------------|--|---|------------|--------|--|---|------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September30, 2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |         | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 15,970,277 |                                                  |  | $                                               | 669,970 |                                               |  | $ | 38,451,824 |   |  | $ | (9,226,199 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | 15,956,477 |                                                  |  | $                                               | 656,169 |                                               |  | $ | 38,438,175 |   |  | $ | (9,239,399 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                             |  | $                                                      | 56.20      |                                                  |  | $                                               | 1.63    |                                               |  | $ | 137.83     |   |  | $ | (32.49     | )  |
|                                                                                                                      |

F-41

----

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

None

Item 9A.    Controls andProcedures.

Based on their evaluation of thePartnership's disclosure controls and procedures as of year endthe Chief Executive Officer and Chief Financial Officer of the GeneralPartner have concluded that such controls and procedures areeffective.

There were no significant changes in thePartnership's internal controls over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

PART III

Item 10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. As of December 31, 2005, investment decisions were beingmade by Graham Capital Management L.P., Campbell and Company Inc.,Willowbridge Associates Inc., and Capital Fund Management.

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 the General Partner. CGM, anaffiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item1.    Business." Brokerage commissions andclearing fees of $4,126,362 were earned by CGM for the year endedDecember 31, 2005. Management fees and incentive fees of $1,166,141 and$949,901, respectively, were earned by the Advisors for the year endedDecember 31, 2005.

Item 12.    Security Ownership ofCertain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners.As of March 1, 2006, the Partnership knows of no person whobeneficially owns more than 5% of the Redeemable Unitsoutstanding.

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 884.3120 (2.3%) Unit equivalents as of December 31, 2005.

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLCwould be considered promoters for purposes of item 404 (d) ofRegulation S-K. The nature and the amounts of compensation eachpromoter will receive from the Partnership are set forth under"Item 1.    Business","Item 8.    Financial Statements and SupplementaryData" and "Item 11.    ExecutiveCompensation."

25

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Item 14.    Principal AccountantFees and Services

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

2005            $40,000

2004            $31,670

(2)    Audit-RelatedFees. None

(3)    Tax Fees. The aggregate feesbilled for each of the last two fiscal years for professional servicesrendered by KPMG LLP for tax compliance and tax advice given in thepreparation of the Partnership's Schedule K1s, the preparation ofthe Partnership's Form 1065 and preparation of all State TaxReturns are as follows:

2005            $7,606

2004            $5,136

(4)    All OtherFees. None.

(5)    Not Applicable.

(6)    NotApplicable.

26

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PART IV

Item15.    Exhibits and Financial Statement Schedules.

|               |                       |
|---------------|-----------------------|
| (a) (1)  | Financial Statements: |

Statements of Financial Condition at December 31,2005 and 2004.

Condensed Schedules ofInvestments at December 31, 2005 and 2004.

Statements of Income and Expenses for the yearsended December 31, 2005, 2004 and 2003.

Statements of Changes in Partners' Capital forthe 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 asExhibit 3.1 to the Registration Statement on Form S-1 (File No.33-79244 and incorporated herein by reference).

3.2 – Certificate of Limited Partnership ofthe Partnership as filed in the office of the County Clerk of New YorkCounty (filed as Exhibit 3.2 to the Registration Statement on Form S-1(File No. 33-79244) and incorporated herein byreference).

10.1 – Customer Agreementbetween the Partnership and Smith Barney (filed as Exhibit 10.1 to theRegistration Statement on Form S-1 (File No. 33-79244) and incorporatedherein by reference).

10.2 – SubscriptionAgreement (filed as Exhibit 10.2 to the Registration Statement on FormS-1 (File No. 33-29144) and incorporated herein byreference).

10.3 – Escrow Instructionsrelating to escrow of subscription funds (filed as Exhibit 10.3 to theRegistration Statement on Form S-1 (File No. 33-79244) and incorporatedherein by reference).

10.4 – ManagementAgreement among the Partnership, the General Partner and ChesapeakeCapital Corporation (filed as Exhibit 10.5 to the RegistrationStatement on Form S-1 (File No. 33-79244) and incorporated herein byreference).

10.5 – Management Agreementamong the Partnership, the General Partner and John W. Henry & Co.Inc. (filed as Exhibit 10.6 to the Registration Statement on Form S-1(File No. 33-79244) and incorporated herein byreference).

10.6 – Management Agreementamong the Partnership, the General Partner and Millburn RidgefieldCorporation (filed as Exhibit 10.7 to the Registration Statement onForm S-1 (File No. 33-79244) and incorporated herein byreference).

10.7 – Management Agreementamong the Partnership, the General Partner and Willowbridge AssociatesInc. (filed as Exhibit 10.7 to the Form 10-K for the year endedDecember 31, 1997).

10.8 – ManagementAgreement among the Partnership, the General Partner and ARA PortfolioManagement Company, L.L.C. (filed as Exhibit 10.8 to the Form 10-K forthe year ended December 31, 1997).

10.9 –Letter from General Partner terminating Management Agreement withChesapeake Capital Corporation (filed as Exhibit 10.9 to the Form 10-Kfor the year ended December 31, 1997).

10.10– Management Agreement among the Partnership, the General Partnerand Campbell & Co., Inc. (filed as Exhibit 10.10 to the Form 10-Kfor the year ended December 31, 1997).

27

----

10.11 – Lettersextending Management Agreements with John W. Henry & Company Inc.,Chesapeake Capital Corporation and Millburn Ridgefield Corporation for1996 and 1997 (filed as Exhibit 10.11 to the Form 10-K for the yearended December 31, 1997).

10.12 – Lettersfrom the General Partner terminating Management Agreement with MillburnRidgefield Corporation (previously filed).

10.13– Letter from the General Partner terminating ManagementAgreement with ARA Portfolio Management (previouslyfiled).

10.14 – Management Agreement amongthe Partnership, the General Partner and Beacon Management Corporation(previously filed).

10.15 – ManagementAgreement among the Partnership, the General Partner and Roy G.Neiderhoffer Co., Inc. (previously filed).

10.16– Letters extending Management Agreements with John W. Henry& Company Inc., Campbell & and Company, Inc. and WillowbridgeAssociates Inc. for 1998 (previouslyfiled).

10.17 – Letters extending theManagement Agreements with John W. Henry & Company Inc., Campbell& Company, Inc., Willowbridge Associates Inc. and Beacon ManagementCorporation for 1999 (previously filed).

10.18– Letter from the General Partner terminating ManagementAgreement with Roy G. Neiderhoffer Co., Inc. (previouslyfiled).

10.19 – Letter from the GeneralPartner terminating Management Agreement with John W. Henry &Company Inc. (previously filed).

10.20 –Management Agreement among the Partnership, the General Partner andStonebrook Structured Products, LLC (previouslyfiled).

10.21 – Management Agreement amongthe Partnership, the General Partner and Graham Capital Management L.P.(previously filed).

10.22 – Lettersextending the Management Agreements with Campbell & Company, Inc.,Willowbridge Associates Inc. and Beacon Management Corporation for 2000(previously filed).

10.23 – Lettersextending the Management Agreements with Campbell & Company, Inc.,Willowbridge Associates Inc., Beacon Management Corporation, StonebrookStructured Products and Graham Capital Management L.P. for 2001(previously filed).

10.24 – ManagementAgreement among the Partnership, the General Partner and Capital FundManagement (previously filed).

10.25 –Letters extending the Management Agreements with Campbell & CompanyInc., Willowbridge Associates Inc., Beacon Management Corporation,Stonebrook Structured Products and Graham Capital Management L.P. for2002 (previously filed).

10.26 – Letterfrom the General Partner Terminating Management Agreement with BeaconCapital Management (previously filed).

10.27– Letters extending the management Agreements with Campbell &Company Inc., Willowbridge Associates Inc., Capital Fund Management andGraham Capital Management L.P. for 2003 (previouslyfiled).

10.28 – Letter from the GeneralPartner Terminating Management Agreement with Stonebrook StructuredProducts LLC (previously filed).

10.29 –Letters extending the management agreements with Campbell & CompanyInc., Willowbridge Associates Inc., Capital Fund Management andGraham Capital Management L.P. for 2004 (previouslyfiled).

10.30 – Letters extending themanagement agreements with Campbell & Company Inc., WillowbridgeAssociates Inc., Capital Fund Management and Graham Capital ManagementL.P. for 2005 (filed herein).

28

----

16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed).

The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference.

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

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

32.1 –Section 1350 Certification (Certification of President andDirector).

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

29

----

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

Annual Report to Limited Partners

No proxymaterial has been sent to LimitedPartners.

30

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SIGNATURES

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

Smith Barney Diversified Futures Fund L.P. II

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

By    /s/ DavidJ. Vogel            David J. Vogel, President andDirector

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

|                             |  |                       |  |  |  |  |
|-----------------------------|--|-----------------------|--|--|--|--|
| /s/ David J. Vogel          |  | /s/ ShelleyUllman     |
| David J. Vogel              |  | ShelleyUllman         |
| President andDirector       |  | Director              |
| /s/ Daniel R. McAuliffe,Jr. |  | /s/ Ihor Rakowsky     |
| DanielR. McAuliffe, Jr.     |  | Ihor Rakowsky         |
| ChiefFinancial Officer and  |  | Secretary andDirector |
| Director                    |  |                  |
| /s/Maureen O'Toole          |  | /s/ JenniferMagro     |
| Maureen O'Toole             |  | JenniferMagro         |
| Director                    |  | Director              |
|                        |  | /s/ JerryPascucci     |
|                        |  | JerryPascucci         |
|                        |  | Director              |
|                             |

31

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