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

FORM 10-K/A

Amendment No. 2 toForm 10-K

Annual Report Pursuant to Section 13 or 15(d) ofthe Securities Exchange Act of 1934

For the year endedDecember 31, 2004

Commission File Number0-26132

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|----------------------------------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| SMITHBARNEY DIVERSIFIED FUTURES FUNDL.P.                                               |
| (Exact name of registrant asspecified in its charter)                                  |
| NewYork                                                                                |  | 13-3729162                         |
| (State or otherjurisdiction of incorporation or organization)                          |  | (I.R.S.Employer IdentificationNo.) |
| c/oCitigroup Managed Futures LLC 399 Park Ave. – 7th Fl. NewYork, New York 10022 |
| (Address andZip Code of principal executive offices)                                   |
| (212)559-2011                                                                          |
| (Registrant'stelephone number, including areacode)                                     |
|                                                                                        |

Securities registered pursuantto Section 12(b) of the Act: None

Securitiesregistered pursuant to Section 12(g) of the Act: Redeemable Unitsof Limited Partnership Interest

|  | (Titleof Class) |
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Indicate by check mark whether the registrant(1) has filed all reports required to be filed by Section 13 or 15(d)of the Securities Exchange Act of 1934 during the preceding 12 months(or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.

Yes X        No    

Indicate by check mark if disclosure ofdelinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best ofregistrant's knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K orany amendment to this form 10-K .

Indicate by checkmark whether the registrant is an accelerated filer (as defined in Rule12b-2 of the Act).

Yes             NoX

Limited Partnership Redeemable Units with anaggregate value of $64,018,735 were outstanding and held bynon-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

As ofFebruary 28, 2005, 37,974.9864 Limited Partnership Redeemable Unitswere outstanding.

DOCUMENTS INCORPORATED BYREFERENCE

None

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Explanatory Note

This Amendment No. 2 on Form 10-K/A ("Amendment No.2") amends the Annual Report for Smith Barney DiversifiedFutures Fund L.P. (the "Partnership") filedon Form 10-K for the year ended December 31, 2004, as initially filedwith the Securities and Exchange Commission (the"SEC") on March  31, 2005 and as amendedon December 14, 2005 (the "Original Report").This Amendment No. 2 is being filed in response to the SEC'scomments on the Original Report and amends the certifications andsignature pages attached. This Amendment No.  2 otherwisedescribes conditions as of the date of the Original Report and has notbeen updated to disclose events that may have occurred at a laterdate.

PART I

Item 1.    Business

(a) General development of business. Smith BarneyDiversified Futures Fund L.P. (the"Partnership") is a limited partnershiporganized under the partnership laws of the State of New York, onAugust 13, 1993 to engage in speculative trading of a diversifiedportfolio of commodity interests, including futures contracts, optionsand forwards. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk. ThePartnership commenced trading operations on January 12, 1994. A totalof 150,000 redeemable units of Limited Partnership Interest in thePartnership ("Redeemable Units") were offeredto the public. A Registration Statement on Form S-1 relating to thepublic offering became effective on October 29, 1993 (File No.033-68074). Between October 29, 1993 and January 11, 1994, 75,615Redeemable Units were sold to the public at $1,000 per Redeemable Unit.Proceeds of the offering were held in an escrow account and weretransferred, along with the general partner's contribution of$781,000, to the Partnership's trading account on January 12,1994 when the Partnership commenced trading. An additional 150,000Redeemable Units were registered on a Registration Statement on FormS-1 effective February 17, 1994 (File No. 033-75056). Sales ofadditional Redeemable Units and additional general partnercontributions and redemptions of Redeemable Units for the year endedDecember 31, 2004 are reported in the Statement of Changes inPartners' Capital on page F-9 under "Item 8.Financial Statements and Supplementary Data."

Citigroup Managed Futures LLC, formerly Smith Barney FuturesManagement LLC, acts as the general partner (the "GeneralPartner") of the Partnership. The Partnership'scommodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the General Partner. The General Partner iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.

The Partnership's trading offutures, forwards and options contracts, if applicable, on commoditiesis done on United States of America and foreign commodity exchanges. Itengages in such trading through a commodity brokerage accountmaintained with CGM. As of December 31, 2004, all commodity tradingdecisions are made for the Partnership by Campbell & Company, Inc.("Campbell"), Willowbridge Associates, Inc.("Willowbridge"), Winton Capital Management("Winton") and Graham Capital Management,L.P. ("Graham") (collectively, the"Advisors"). None of the Advisors isaffiliated with one another, the General Partner or CGM. The Advisorsare not responsible for the organization or operation of thePartnership.

The General Partner has agreed to make capitalcontributions, if necessary, so that its general partnership interestwill 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 31,2013; 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").

Pursuant to the terms of the management agreements with each Advisor(the "Management Agreements"), thePartnership pays Campbell, Graham and Willowbridge a monthly managementfee 

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equal to 1/6 of 1% (2% per year)of month-end Net Assets allocated to the Advisor as of the end of eachmonth. Winton will receive a monthly management fee equal to 1/12 of1.50% (1.50% per year), of month-end Net Assets allocatedto the Advisor as of the end of each month. Month-end Net Assets forthe purpose of calculating management fees are Net Assets, as definedin the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. In addition, the Partnership isobligated to pay each Advisor 20% of the New Trading Profits, asdefined in the Management Agreements, earned by each Advisor to thePartnership in each calendar quarter.

The Partnership hasentered into a customer agreement with CGM (the "CustomerAgreement") which provides that the Partnership pays CGM amonthly brokerage fee equal to 11/24 of 1% (5.5% peryear) of month-end Net Assets allocated to the Advisors in lieu ofbrokerage commissions on a per trade basis. Month-end Net Assets forthe purpose of calculating commissions are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction of accruedexpenses and redemptions payable. Persons investing $1,000,000 or morewill pay a reduced brokerage fee of 7/24 of 1% of month-end NetAssets (3.5% per year), receiving the differential between thisreduced fee and 5.5% per year in the form of additionalRedeemable Units. CGM pays a portion of its brokerage fees to itsfinancial consultants who have sold Redeemable Units and who areregistered as associated persons with the Commodity Futures TradingCommission (the "CFTC"). The Partnership paysfor National Futures Association ("NFA")fees, exchange and clearing fees, give-up and user fees and floorbrokerage fees. The Customer Agreement between the Partnership and CGMgives the Partnership the legal right to net unrealized gains andlosses. Brokerage fees will be paid for the life of the Partnership,although the rate at which such fees are paid may be changed.

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

(b) Financial information about industrysegments. The Partnership's business consists of only onesegment, speculative trading of commodity interests. The Partnershipdoes not engage in sales of goods or services. The Partnership'snet income (loss) from operations for the years ended December 31,2004, 2003, 2002, 2001 and 2000 is set forth under "Item6. Selected Financial Data". ThePartnership's capital as of December 31, 2004 was$69,230,858.

(c) Narrative description of business.

See Paragraphs (a) and (b) above.

(i) through (xii) - Notapplicable.

(xiii) - The Partnership has no employees.

(d)Financial information about geographic areas. The Partnershipdoes not engage in sales of goods or services, or own any long livedassets, and therefore this item is not applicable.

(e)Available information. The Partnership does not have anInternet address. The Partnership will provide paper copies of itsannual report on Form 10-K, quarterly reports on Form 10-Q, currentreports on Form 8-K and any amendments to these reports free of chargeupon request.

Item 2.    Properties.

ThePartnership does not own or lease any properties. The General Partneroperates out of facilities provided by its affiliate, CGM.

Item3.    Legal Proceedings.

This section describes themajor pending legal proceedings, other than ordinary routine litigationincidental to the business, to which CGMHI or its subsidiaries is aparty or to which any of their property is subject. There are nomaterial legal proceedings pending against the Partnership or theGeneral Partner.

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

There have been no material administrative, civil orcriminal actions within the past five years against Citigroup GlobalMarkets (formerly known as Salomon Smith Barney) or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised CGM that they were orare reviewing transactions in which Ameritech Pension Trust purchasedfrom CGM and certain affiliates approximately $20.9 million inparticipations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

In April 2000, CGM and several other broker-dealersentered into a settlement with the IRS and the SEC, concluding anindustry-wide investigation into the pricing of Treasury securities inadvanced refunding transactions.

IPO Regulatory Inquiries

Since April 2002, CGM and several other broker dealers have receivedsubpoenas and/or requests for information from various governmental andself-regulatory agencies and Congressional committees as part of theirresearch on IPO allocation inquiries. With respect to issues raised bythe NASD, the NYSE and the SEC about CGM's and other firms'e-mail retention practices, CGM and several other broker/dealers andthe NASD, the NYSE and the SEC entered into a settlement agreement inDecember 2002. CGM agreed to pay a penalty in the amount of $1.65million and did not admit any wrongdoing.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against CGM and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 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. CGM is not a defendant in any ofthe six focus cases. The underwriter defendants in the focus cases havefiled a petition to the United States Court of Appeals for the SecondCircuit seeking review of this decision.

Also filed in theSouthern District of New York against CGM and other investment bankswere several 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 CGM's motion to dismiss the consolidated amendedcomplaint in the antitrust case. An appeal to the Second Circuit of thedismissal granted to CGM in November 2003 with respect to the antitrustcase relating to the allocation of shares for certain initial publicofferings is pending.

Research Settlement

On April 28,2003, CGM announced final agreements with the SEC, the NASD, the NYSEand the New York Attorney General (as lead state among the 50 states,the District Columbia and Puerto Rico) 

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to resolve on a civil basis all of theiroutstanding investigations into its research and IPO allocation anddistribution practices (the "ResearchSettlement"). As part of the Research Settlement, CGM hasconsented to the entry of (1) an injunction under the federalsecurities laws to be entered in the United States District Court forthe Southern District of New York, barring CGM from violatingprovisions of the federal securities laws and related NASD and NYSErules relating to research, certain IPO allocation practices, thesafeguarding of material nonpublic information, and the maintenance ofrequired books and records and requiring CGM to adopt and enforce newrestrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring CGM to cease and desist from violations ofcorresponding NASD rules and requiring CGM to adopt and enforce thesame new restrictions; (3) an NYSE Stipulation and Consent requiringCGM to cease and desist from violations of corresponding NYSE rules andrequiring CGM to adopt and enforce the same new restrictions; and (4)an Assurance of Discontinuance with the New York Attorney Generalcontaining substantially the same or similar restrictions. The ResearchSettlement requires CGM to pay $300 million for retrospective relief,plus $25 million for investor education, and commit to spend $75million to provide independent third-party research to its clients atno charge. CGM 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 2002fourth quarter.

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 CGM and nine other investment banks. TheNASD has accepted the Letter of Acceptance, Waiver and Consent enteredinto with CGM in connection with the Research Settlement. In May 2003,the NYSE advised CGM that the Hearing Panel's Decision, in whichit accepted the Research Settlement, had become final. As required bythe Research Settlement, CGM also has entered into separate settlementagreements with numerous states and certain U.S. territories.

Several individual actions have been filed against Citigroup and CGMrelating to, among other things, research on Qwest CommunicationsInternational, Inc. alleging violations of state and federal securitieslaws.

Enron Regulatory Settlement

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

Enron-Related Civil Actions

CGM,Citigroup and various other Citigroup-related entities have been namedas defendants in over 20 civil lawsuits pending in state and federalcourts throughout the United States, alleging claims against Citigroupand CGM based on their dealings with Enron. The majority of these caseshave been brought by purchasers and sellers of Enron equity and debtsecurities and Enron-linked securities. Many of the plaintiffs in theseactions are large, institutional investors that had substantial Enronand Enron-linked 

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

ACitigroup affiliate, along with other defendants, settled all claimsagainst it in In Re: Newpower Holdings Securities Litigation, aclass action brought on behalf of certain investors in NewPowersecurities. Citigroup reached this settlement agreement withoutadmitting any wrongdoing. On September 13, 2004, the United StatesDistrict Court for the Southern District of New York preliminarilyapproved the settlement.

Dynegy Inc.

 OnJune  6, 2003, the complaint in a pre-existing putative classaction pending in the United States District Court for the SouthernDistrict of Texas (IN RE: DYNEGY  INC. SECURITIES LITIGATION)brought by purchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CGMI asdefendants. The plaintiffs allege violations of Sections 10(b) and20(a) of the Securities Exchange Act of 1934, as amended, against theCitigroup defendants. The Citigroup defendants filed a motion todismiss in March  2004, which motion was granted by the DistrictCourt in October  2004. The court denied lead plaintiff'srequest for leave to appeal.

Worldcom-Related Litigation

Citigroup, CGM and certain executive officers and current and formeremployees have been named as defendants — along with twenty-twoother investment banks, certain current and former WorldCom officersand directors, and WorldCom's former auditors — in aconsolidated class action brought on behalf of individuals and entitieswho purchased or acquired publicly traded securities of WorldCombetween April 29, 1999 and June 25, 2002 In Re: Worldcom, Inc.Securities Litigation. The class action complaint asserts claimsagainst CGM under (i) Sections 11 and 12(a)(2) of the Securities Act of1933, as amended, in connection with certain bond offerings in which itserved as underwriter, and (ii) Sections 10(b) and 20(a) of theSecurities Exchange Act of 1934, as amended, and Rule 10b-5 promulgatedunder Section 10(b), alleging that it participated in the preparationand/or issuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied CGM's motion to dismiss theconsolidated class action complaint and granted the plaintiffs'motion for class certification.

Pursuant to an order entered May28, 2003, the District Court consolidated approximately seventy-eightindividual actions with the class action for pretrial proceedings. Theclaims asserted in these individual actions are substantially similarto the claims alleged in the class action and assert state and federalsecurities law claims based on CGM's research reports concerningWorldCom and/or CGM's role as an underwriter in WorldComofferings. Plaintiffs in certain of these actions filed motions toremand their cases to state court. The District Court denied thesemotions and its rulings were upheld on appeal.

Numerous otheractions asserting claims against CGM in connection with its researchreports about WorldCom and/or its role as an investment banker forWorldCom are pending in other federal and state courts around thecountry. These actions have been remanded to various state courts, arepending in other federal courts, or have been conditionally transferredto the United States District Court for the Southern District of NewYork to be consolidated with the class action. In addition to the courtsuits, actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

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On May 10, 2004, Citigroup announced thatit had agreed to pay $2.58 billion to settle the WorldCom class actionsuits. The United States District Court for the Southern District ofNew York granted approval to the proposed settlement on November 10,2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, etal., an alleged class action against CGM and others brought onbehalf of holders of WorldCom securities asserting claims based on,among other things, CGM's research reports concerning WorldCom,was dismissed with prejudice in its entirety by the United StatesDistrict Court for the Southern District of New York. The plaintiffsnoticed an appeal of the dismissal to the United States Court ofAppeals for the Second Circuit on October 15, 2004. The parties havereached an agreement in principle on the terms of a settlement of thisaction.

Citigroup and CGM, along with a number of otherdefendants, have settled Retirement Systems of Alabama, et al. v.J.P. Morgan Chase & Co., et al., a WorldCom individual actionthat had been remanded to the Circuit Court of Montgomery County,Alabama. The settlement became final on September 30, 2004.

OnJune 28, 2004, the United States District Court for the SouthernDistrict of New York dismissed all claims under the Securities Act of1933, as amended, and certain claims under the Securities Exchange Actof 1934 in In Re: Targets Securities Litigation, an allegedclass action against Citigroup and CGM and certain former employees,leaving only claims under the 1934 Act for purchases of Targeted GrowthEnhanced Terms Securities With Respect to the Common Stock of MCIWorldCom, Inc. ("TARGETS") after July 30,1999. On October 20, 2004, the parties signed a Memorandum ofUnderstanding setting forth the terms of a settlement of all remainingclaims in this action. The settlement was preliminarily approved by theCourt on January 11, 2005.

A fairness hearing was held onNovember 5, 2004 in connection with the proposed class settlementbetween plaintiffs and the Citigroup-related defendants in In Re:Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, lead plaintiff in a consolidatedalleged class action in the United States District Court for theSouthern District of New York (In Re: Global Crossing, Ltd.Securities Litigation) filed a consolidated complaint on behalf ofpurchasers of the securities of Global Crossing and Asia GlobalCrossing, which names as defendants, among others, Citigroup, CGM, CGMHand certain executive officers and current and former employees. Thepurported class action complaint asserts claims under the federalsecurities laws alleging that the defendants issued research reportswithout a reasonable basis in fact and failed to disclose conflicts ofinterest with Global Crossing in connection with published investmentresearch. On March 22, 2004, the lead plaintiff amended itsconsolidated complaint to add claims on behalf of purchasers of thesecurities of Asia Global Crossing. The added claims assert causes ofaction under the federal securities laws and common law in connectionwith CGM's research reports about Global Crossing and Asia GlobalCrossing and for CGM's roles as an investment banker for GlobalCrossing and as an underwriter in the Global Crossing and Asia GlobalCrossing offerings. The Citigroup related defendants moved to dismissall of the claims against them on July 2, 2004. The plaintiffs and theCitigroup related defendants have reached an agreement in principle onthe terms of a settlement of this action.

In addition, on orabout January 27, 2004, the Global Crossing Estate Representative filedin the United States Bankruptcy Court for the Southern District of NewYork (i) an adversary proceeding asserting claims against, amongothers, Citigroup, CGM and certain executive officers and current andformer employees, asserting claims under federal bankruptcy law andcommon law in connection with CGM's 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.

In addition, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its Global Crossing research reports are pending innumerous arbitrations around the country. These arbitration proceedingsassert claims that are substantially similar to the claims asserted inthe alleged class action.

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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, includingCGM, Citibank, N.A., Citicorp USA, Inc., and Citigroup FinancialProducts, 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, CGM is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also assert claims against Citigroup Inc.and Citibank, N.A. All of the complaints allege violations of federalsecurities laws, and certain of the complaints also allege violationsof state securities laws and the common law. The complaint seeksunspecified damages. In December 2003, a second amended complaint wasfiled and consolidated before the same judge of the United StatesDistrict Court for the Southern District of New York. In February 2004,motions to dismiss the class and individual actions pending in theUnited States District Court for the Southern District were filed. Themotions are currently pending.

Mutual Funds

Citigroupand certain of its affiliates have been named in several class actionlitigations pending in various federal district courts arising out ofalleged violations of the federal securities laws, the InvestmentCompany Act and common law (including breach of fiduciary duty andunjust enrichment). The claims concern practices in connection with thesale of mutual funds, including allegations involving market timing,revenue sharing, incentive payments for the sale of proprietary funds,undisclosed breakpoint discounts for the sale of certain classes offunds, inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally seek unspecifiedcompensatory damages, rescissionary damages, injunctive relief, costsand fees. In the principal market timing cases that name Citigroup, alead plaintiff has been appointed but that plaintiff has not yet filedan amended complaint. In the cases concerning revenue sharing,incentive payment and other issues, the lead plaintiff filed aconsolidated and amended complaint on December 15, 2004.

Severalissues in the mutual fund industry have come under scrutiny of federaland state regulators. Citigroup has received subpoenas and otherrequests for information from various government regulators regardingmarket timing, financing, fees, sales practices and other mutual fundissues in connection with various investigations. Citigroup iscooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On 

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December 2, 2004, the Court granted in partand denied in part the Citigroup related defendants' motions todismiss the claims against it in the AT&T, Level 3, XO and Williamsactions. On January 6, 2005, the Court granted in part and denied inpart Citigroup's motion to dismiss the claims against it in theMetromedia action.

In addition to the alleged research classactions, several individual actions have been filed against Citigroupand CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGM assertingcommon law claims in connection with published investment research onbehalf of CGM customers have been dismissed by United States DistrictCourts, one of which was affirmed by the United States Court of Appealsfor the Ninth Circuit, and one of which is pending on appeal to theUnited States Courts of Appeals for the Third Circuit. Two moreputative class actions raising similar claims are pending against CGM,one in the United States District Court for the Southern District ofNew York (Norman v. Salomon Smith Barney, et al.) and the otherin Illinois state court (Disher v. CGM Inc.). On June 9, 2004,the District Court denied CGMI's motion to dismiss Norman v.Salomon Smith Barney, et al., a case which asserts violations ofthe Investment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to CGM requesting documents and information withrespect to their continuing investigation of individuals in connectionwith the supervision of the research and investment banking departmentsof CGM. 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 CGM and nine other firms that were parties to the ResearchSettlement. The West Virginia Attorney General alleges that the firmsviolated the West Virginia Consumer Credit and Protection Act inconnection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, CGM and certain officers were named as defendants inan alleged class action filed in the United States District Court forthe Southern District of New York, brought on behalf of purchasers ofCitigroup common stock between July 24, 1999 and July 23, 2002. Thecomplaint seeks unspecified compensatory and punitive damages foralleged violations of Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, and for common law fraud. Fourteen virtuallyidentical complaints have been filed and consolidated. The complaintsallege that Citigroup misstated the extent of its Enron-relatedexposure, and that Citigroup's stock price fell once the trueextent of Citigroup's Enron involvements became known. Plaintiffsfiled an amended complaint on March 10, 2003, which incorporated theallegations in the 15 separate actions and added new material as well.The amended complaint focuses on certain transactions between Citigroupand Enron and alleged analyst conflicts of interest. The class periodfor the consolidated amended complaint is July 24, 1999 to December 11,2002. On June 2, 2003, Citigroup filed a motion to dismiss theconsolidated amended complaint. Plaintiffs' response was filed onJuly 30, and Citigroup's reply was filed on October 3, 2003. OnAugust 10, 2004, Judge Swain granted Citigroup's motion todismiss the consolidated amended complaint. The plaintiffs filed anotice of appeal in October 2004.

NASD Settlement

InNovember 2004, CGM entered into a final agreement with the NASD toresolve the NASD's investigation into certain of its sellingpractices. Without admitting or denying any allegations or findings,CGM accepted certain factual findings by the NASD that it (i) soldunits in two managed futures funds 

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to 45 customers for whom the investment wasnot suitable, (ii) failed to maintain records disclosing the basis uponwhich its investor suitability determinations were made and (iii)failed to adequately disclose the risks of investing in managed futuresproducts on its website. CGM consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, CGM, as a major futures commissionmerchant and broker-dealer is a party to various claims and routineregulatory investigations and proceedings that the general partnerbelieves do not have a material adverse effect on the business ofCGM.

Item 4.    Submission of Matters to a Vote ofSecurity Holders.

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

9

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PART II

|              |                                                                           |
|--------------|---------------------------------------------------------------------------|
| Item5.  | Market for Registrant's Common Equityand Related Security Holder Matters. |

(a)    MarketInformation. The Partnership has issued no stock. There is noestablished public market for the Redeemable Units of LimitedPartnership Interest.

(b)    Holders. The number ofholders of Redeemable Units of Limited Partnership Interest as ofDecember 31, 2004 was 2,754.

(c)    Distribution. ThePartnership did not declare a distribution in 2004 or2003.

(d)    Use of Proceeds. For the twelve monthsended December 31, 2004, there were additional sales of 1.1848Redeemable Units totaling $1,995. For the twelve months ended December31, 2003, there were additional sales of 5.7407 Redeemable Unitstotaling $8,940. For the twelve months ended December 31, 2002, therewere additional sales of 9.1776 Redeemable Units totaling $11,163.

Proceeds from the sale of additional Redeemable Units are used inthe trading of commodity interests including futures contracts, optionsand forward contracts.

Item 6.    Selected FinancialData.

Realized and unrealized trading gains (losses),interest income, net income (loss) and increase (decrease) in Net AssetValue per Redeemable Unit for the years ended December 31, 2004, 2003,2002, 2001 and 2000 and total assets at December 31, 2004, 2003, 2002,2001 and 2000 were asfollows:

|                                                                                                                                                                                  |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |        |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                                                             |  | 2004   |            | 2003   |  | 2002   |            | 2001   |  | 2000   |
| Realizedand unrealized trading gains (losses) net of brokerage commissions(including clearing fees) of $4,095,297, $4,367,509, $3,930,667,$4,686,916, and $5,795,482respectively |  | $      | 7,186,726  |   |  | $      | 13,380,995 |   |  | $      | 16,374,175 |   |  | $      | (2,355,466 | )  |  | $      | (8,911,325 | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |  |   |       |    |
| Interestincome                                                                                                                                                                   |  |   | 640,231    |   |  |   | 575,911    |   |  |   | 816,470    |   |  |   | 2,044,447  |    |  |   | 4,241,957  |    |
|                                                                                                                                                                             |  | $      | 7,826,957  |   |  | $      | 13,956,906 |   |  | $      | 17,190,645 |   |  | $      | (311,019   | )  |  | $      | (4,669,368 | )  |
| Netincome(loss)                                                                                                                                                                  |  | $      | 4,444,283  |   |  | $      | 10,180,158 |   |  | $      | 12,647,726 |   |  | $      | (3,195,464 | )  |  | $      | (7,766,838 | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |  |   |       |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                         |  | $      | 107.72     |   |  | $      | 218.21     |   |  | $      | 257.21     |   |  | $      | (52.73     | )  |  | $      | (89.14     | )  |
|                                                                                                                                                                             |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |  |   |       |    |
| Totalassets                                                                                                                                                                      |  | $      | 72,723,250 |   |  | $      | 75,961,490 |   |  | $      | 71,191,000 |   |  | $      | 67,123,600 |    |  | $      | 83,024,864 |    |
|                                                                                                                                                                                  |

|              |                                                                                       |
|--------------|---------------------------------------------------------------------------------------|
| Item7.  | Management's Discussion and Analysisof Financial Condition and Results of Operations. |

Overview

The Partnership aims to achieve substantialcapital appreciation through speculative trading, directly andindirectly, in U.S. and international markets for currencies, interestrates, stock indices, agricultural and energy products and precious andbase metals. The Partnership may employ futures, options on futures,and forward contracts in those markets.

The General Partnermanages all business of the Partnership. The General Partner hasdelegated its responsibility for the investment of thePartnership's assets to Campbell & Company, Inc.("Campbell"), Graham Capital Management, L.P.("Graham"), Winton Capital Management Limited("Winton") and Willowbridge Associates, Inc.("Willowbridge"), (collectively, the"Advisors"). The General Partner employs ateam of approximately 20 professionals whose primary emphasis is onattempting to maintain 

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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:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligenceexaminations 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 annuallythe brokerage rates charged to commodity pools similar to 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"), Graham – Global Diversified Program("GDP") and Graham Selective Trading Program("GST"), Winton – Diversified Program,and Willowbridge – Argo and Vulcan Trading Systems. As ofDecember 31, 2004, the Partnership's assets were allocated amongthe Advisors in the following approximate percentages: Campbell,28%, Graham, 30%, Winton, 23% and Willowbridge,19%.

Graham Capital Management, L.P.

Graham currently trades both GDP and GST on behalf of thePartnership. Of the Partnership's assets allocated to Graham,45% is currently traded using GDP and 55% is currentlytraded using GST, each of which is described below.

Grahamtrades actively in both U.S. and foreign markets, primarily in futurescontracts, forward contracts, spot contracts and associated derivativeinstruments such as options and swaps. Graham engages in exchange forphysical transactions, which involve the exchange of a futures positionfor the underlying physical commodity without making an opencompetitive trade on an exchange. Graham at times will trade certaininstruments, such as forward foreign currency contracts, as asubstitute for futures or options traded on futures exchanges.

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

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.

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GST uses a mathematical model to identifycertain price patterns that have very specific characteristicsindicating that there is a high probability that a significantdirectional move will occur. Although the program does not tradeagainst the market trend, it is not a true trend-following systeminasmuch as it will only participate in specific types of market movesthat meet the restrictive criteria of the model. In general, thisprogram will participate only in significant market moves that arecharacterized by a substantial increase in volatility. As a result, itfrequently will not participate in a market trend in which virtuallyall trend-following systems would have a position. GST trades inapproximately 70 markets.

Campbell & Company,Inc.

Campbell trades its FME Large Portfolio for thePartnership. Campbell's trading models are designed to detect andexploit medium-term to long-term price changes, while also applyingrisk management and portfolio management principles.

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

Willowbridge Associates, Inc.

Willowbridge trades the Partnership's assets allocated to itin accordance with its Select Investment Program, whereby the GeneralPartner determined the initial allocation of the Partnership'sassets among one or more of Willowbridge's strategies and maydetermine subsequent reallocations (if any). Of the Partnership'sassets allocated to Willowbridge, 0% is currently traded usingthe Vulcan Trading System and 100% is currently traded using theArgo Trading System, each of which is described below.

For eachof these systems, risk is managed on a market by market level as wellas on an overall portfolio level. On the market level, risk is managedprimarily by utilizing proprietary volatility filters. When thesefilters detect a certain excessive level of volatility in the marketstraded, they will signal that the systems should no longer be tradingin the markets in which the filters have detected excessive volatility.In this way, the systems do not participate in markets in which thereare extremes in market action. On the portfolio level, risk is managedby utilizing a proprietary portfolio cutback rule. When cumulativeprofits have reached a certain level, this rule determines thatpositions should be halved across the entire portfolio. In this way,risk is reduced while allowing the systems to continue to participatein the markets, albeit at a reduced level. After the portfolio has beentraded at half, the portfolio cutback rule will then determine when toincrease positions to again trade at the full level.

The VulcanTrading System, which commenced trading in 1988, is a computerizedtechnical trading system. It is not a trend-following system, but doesride a trend when the opportunity arises. Vulcan uses the concepts ofpattern recognition, support/resistance levels, and counter-trendliquidations in making trading decisions. In effect, Vulcan is moreakin to a systematic technical charting system, as opposed to mostcomputer systems which are based on pure trend-followingcalculations.

The Vulcan System is based on general technicaltrading principles. It applies these principles to a diversifiedportfolio of commodities and currencies. Given that the system is basedon general principles, the system parameters used are the same for allitems in the portfolio and are not optimized. In this manner, theVulcan System minimizes the problem of data-fitting.

The ArgoTrading System commenced trading in 1988. Argo essentially incorporatesVulcan's concepts of pattern recognition, support/resistancelevels and counter-trend liquidations to trade a portfolio similar toVulcan. However, Argo has a relatively slower time horizon than Vulcanand attempts to capture longer-term price moves.

Patternrecognition, support/resistance levels and counter-trend liquidationsare defined as follows:

Pattern recognition is the ability toidentify patterns that appear to have acted as precursors of priceadvances or declines in the past.

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A support level is a previous low—aprice level under the current market price at which point buyinginterest is expected to be sufficiently strong to overcome sellingpressure.

A resistance level is a previous high—a pricelevel over the current market price at which point selling pressure isexpected to overcome buying pressure and a price advance is expected tobe turned back.

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

Winton Capital ManagementLimited

The portion of the Partnership's assets thatare currently allocated to Winton for trading are not invested incommodity interests directly. Winton's allocation of thePartnership's assets is currently invested in the Winton Master.Winton trades its Diversified Program on behalf of the Partnership. TheDiversified Program trades approximately 95 futures and forwardcontracts on United States and non- United States exchanges andmarkets.

Winton employs a fully computerized, technical,trend-following trading system developed by its principals. This systemtracks the daily price movements from these markets around the world,and carries out certain computations to determine each day how long orshort the portfolio should be in an attempt to maximize profit within acertain range of risk. If rising prices in a particular market areanticipated, a long position will be established in that market; ifprices in a particular market are expected to fall, a short position inthat market will be established.

Technical analysis refers toanalysis based on data intrinsic to a market, such as price and volume.In contrast, fundamental analysis relies on factors external to amarket, such as supply and demand. The Diversified Winton Programemploys no fundamental factors.

A trend-following system is onethat attempts to take advantage of the observable tendency of themarkets to trend, and to tend to make exaggerated movements in bothupward and downward directions as a result of such trends. Theseexaggerated movements are largely explained as a result of theinfluence of crowd psychology or the "herdinstinct" among market participants.

Atrend-following system does not anticipate a trend. In fact,trend-following systems are frequently unprofitable for long periods oftime in particular markets or market groups, and occasionally they areunprofitable for periods of more than a year. However, the principalsbelieve that such an approach will, in the long term, beprofitable.

Trade selection is not subject to intervention byWinton's principals and therefore is not subject to theinfluences of individual judgment. As a mechanical trading system, theWinton model embodies all the expert knowledge required to analyzemarket data and direct trades, thus eliminating the risk of basing atrading program on one indispensable person. Equally as important isthe fact that mechanical systems can be tested in simulation for longperiods of time and the model's empirical characteristics can bemeasured.

The system's output is rigorously adhered to intrading the portfolio and intentionally no importance is given to anyexternal or fundamental factors. While it may be seen as unwise toignore information of obvious value, such as that pertaining topolitical or economic developments, Winton believes that thedisadvantage of this approach is far outweighed by the advantage of thediscipline that rigorous adherence to such a system instills. Wintonbelieves that significant profits may be realized by the Winton systemby holding on to positions for much longer than conventional wisdomwould dictate. Winton believes that a trader who pays attention today-to-day events could be distracted from the chance of fullycapitalizing on such trends.

The Winton system trades in allliquid U.S. and non-U.S. futures and forward contracts. Forward marketsinclude major currencies and precious and base metals, the latter twocategories being traded on the London Metal Exchange. Winton seeks outnew opportunities to add additional markets to the portfolio, with thegoal of increasing the portfolio's diversification.

Wintonbelieves that taking positions in a variety of unrelated markets will,over time, decrease system volatility. By employing a sophisticated andsystematic method for placing orders in a wide array of markets, Wintonbelieves that profits can be realized over time.

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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 and cash equivalents, net unrealized appreciation(depreciation) on open futures positions, unrealized appreciation onopen forward contracts and interest receivable. Because of the lowmargin deposits normally required in commodity futures trading,relatively small price movements may result in substantial losses tothe Partnership. Such substantial losses could lead to a material lossin liquidity.

To minimize this risk relating to low margindeposits, 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 than 66  2/3% of thePartnership's net assets allocated to that Advisor. |

|             |                                                                                                                                                                                                                                                             |
|-------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Partnership may occasionally acceptdelivery of a commodity. Unless such delivery is disposed of promptlyby retendering the warehouse receipt representing the delivery to theappropriate clearinghouse, the physical commodity position is fullyhedged. |

|            |                                                                                                                                                                                                                                                         |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Partnership will not employthe 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, to purchase or sellother 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.

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Market risk is the potential for changesin the value of the financial instruments traded by the Partnership dueto market changes, including interest and foreign exchange ratemovements and fluctuations in commodity or security prices. Market riskis directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as counterpartyto the transactions. The Partnership's risk of loss in the eventof counterparty default is typically limited to the amounts recognizedin the statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership'srisk exposure on a daily basis through financial, credit and riskmanagement monitoring systems, and accordingly believes that it haseffective procedures for evaluating and limiting the credit and marketrisks to which the Partnership is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions. (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 General Partner may, in itsdiscretion, cause the Partnership to cease trading operations andliquidate all open positions under certain circumstances including adecrease in Net Asset Value per Redeemable Unit to less than $400 as ofthe close of business on any business day.

(b)    CapitalResources.

|           |                                                                           |
|-----------|---------------------------------------------------------------------------|
| (i)  | The Partnership has madeno material commitments for capital expenditures. |

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

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may cause all 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, 2004, 4,184.0716 Redeemable Units were redeemed totaling$6,942,766. For the year ended December 31, 2003, 4,164.0183 RedeemableUnits were redeemed totaling $6,523,699. For the year ended December31, 2002, 9,179.2695 Redeemable Units were redeemed totaling$10,965,683.

The Partnership ceased to offer Redeemable Unitseffective April 1, 1996. Additional sales of 1.1848 Redeemable Unitstotaling $1,995 for the year ending December 31, 2004, 5.7407Redeemable Units totaling $8,940 for the year ending December 31, 2003and 9.1776 Redeemable Units totaling $11,163 for the year endingDecember 31, 2002, represent additional Redeemable Units offered as thedifferential between the ordinary brokerage fee and the reducedbrokerage fee to existing limited partners investing $1,000,000 ormore.

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(c)    Results ofOperations.

For the year ended December 31, 2004, the NetAsset Value per Redeemable Unit increased 6.7% from $1,636.64 to$1,746.36. For the year ended December 31, 2003, the Net Asset Valueper Redeemable Unit increased 15.4% from $1,418.43 to $1,636.64.For the year ended December 31, 2002, the Net Asset Value perRedeemable Unit increased 22.1% from $1,161.22 to $1,418.43.

The Partnership experienced net trading gains of $11,282,023 beforecommissions and expenses in 2004. Gains were primarily attributable tothe trading of energy, grains, non-U.S. interest rates, livestock andwood and were partially offset by losses recognised in the trading ofcurrencies, U.S. interest rates, metals, softs andindices.

Trading results for the year 2004 can be described inthree distinct periods: the first three months of the year producedpositive results of nearly 13% with trends carrying over fromlate 2003, the next five months which saw trend disruptions andproduced losses of approximately 18%, and the last four months,September through December, witnessed a recovery period with anincrease in net asset value per unit of over 14%. ThePartnership ended the year up 6.7%. The results for the yearwere heavily influenced by two historic trends: the decline andsubsequent volatility in the value of the U.S. dollar versus majorcurrencies and the run-up in the price of crude oil to over $50 abarrel.

The year started strongly with many of the trends fromlate 2003 continuing into early 2004. Notably lower interest rates inthe U.S. and other major countries fostered strong global economicgrowth and pressured commodity prices. These forces resulted in upwardtrends in many sectors, especially energy, metals and grains andprovided profitable trading opportunities for the Partnership'sadvisors. These trends persisted until early March when economicindicators in the U.S. and China suggested rising inflation and marketsreversed precipitously with higher interest rates, collapsing commodityprices and the dollar reversal.

This began a protracted periodof tentative and conflicting trends across many sectors. As expected inthe nature of trend-following, the strength of profitable trends isoften followed by temporary but often severe periods of losses. Aprilthrough August was such a period for nearly all of thePartnership's advisors as they adjusted positions from what hadbeen profitable, long-term trends to choppy, directionless and volatilemarkets. Trading was treacherous and thus unprofitable in U.S. andAsian interest rates and global stock indices while energy, metals andgrains provided some offsetting profits. The fundamental economicconcerns hanging over these markets were further exacerbated by theuncertainty surrounding the tightly contested U.S. presidentialelection.

With the year looking dismal going into the fall, theprice of crude oil resumed its climb to $50 a barrel brought on by adeteriorating security situation in Iraq, Saudi Arabia politicalturmoil, and renewed threats of terrorism. Long positions in the energysector contributed to a profitable September for the Partnership. Asthe fourth quarter began, the U.S. dollar began a precipitous slidetoward $1.40 to the euro. These renewed trends in currency pricescombined with declining interest rates and stronger global stockmarkets were favorable to the Partnership's advisors and provideda solidly profitable last four months of the year.

ThePartnership experienced net trading gains of $17,748,504 beforecommissions and expenses in 2003. Gains were primarily attributable tothe trading of currencies, grains, livestock, metals and indices andwere partially offset by losses recognized in the trading of energy,U.S. and non-U.S. interest rates, softs and lumber.

On a verybroad basis, the year 2003 can be divided into three periods: the timeleading up to and shortly after the Iraq War (January through May), thetransition to greater world economic growth (June through October), andthe renewed dollar decline (November and December).

The Iraq warwas the focus for much of the first half of the year. With uncertaintyconcerning when hostilities would begin and the possible impact ofthese events, investors showed a desire to move to a defensive andconservative stance. Equity markets moved lower, as did, the dollaragainst other major currencies. Gold prices rose, bond markets rallied,and the energy markets exhibited a risk premium concerning potentialsupply disruptions. This was a continuation of many of the trendscarried over from 2002. During the first two months of the year, theAdvisors had strong performance, up nearly 19%.

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Just prior to the inception of thehostilities in Iraq, several of the Advisors reduced leverage inexpectation of higher volatility in the markets. Markets were morevolatile with a reduction of liquidity in response to events in March2003. During this period, bond prices declined, the dollar stabilized,crude oil prices declined significantly, and the stock market startedto rally. Even with this reduced leverage the markets were volatile andprior trends were disrupted leading to losses for the month of March.Positions returned to normal leverage in late April and May saw asubstantial recovery in the Partnership's performance withprofits coming from short dollar, long interest rate and long commoditypositions.

In a transition to economic recovery and growth, themajor markets began to reflect changing expectations in the middle ofJune. Consistently positive macroeconomic news led to the unexpectedpronouncement of no further easing actions by the European Central Bankand the U.S. Federal Reserve Bank. Consequently, there was a trendchange, as interest rates moved up off 40 year lows and the dollarrallied reversing the decline from earlier in the year.

Whilethere were gains in stock index futures trading, the Advisors'exposure in these markets has been relatively low; hence they were notable to make a substantial impact on performance. In addition to thenegative market action in interest rates and currencies, there werefurther increases in volatility in the energy sector and growingvolatility within a relatively tight range for many agriculturalmarkets. The second quarter ended unprofitably and this carried throughthe summer and into the early fall as the Partnership alternatedbetween profits and losses on a monthly basis.

The final periodof 2003 was marked by another decline in the dollar beginning in lateNovember. The dollar began a new significant decline against both theeuro and yen. This led to significant fourth quarter profits, whichboosted performance for many of the Advisors and the Partnership endedthe year up 15.4%.

In the General Partner'sopinion, the Advisors continue to employ trading methods and produceresults consistent with the objectives of the Partnership andexpectations for the Advisors' programs. The General Partnercontinues to monitor the Advisors' performance on a daily,weekly, monthly and annual basis to assure these objectives aremet.

The Partnership experienced net trading gains of$20,304,842 before commissions and expenses in 2002. Gains wereprimarily attributable to the trading of U.S. and non-U.S. interestrates, currencies, livestock, indices and grains and were partiallyoffset by losses recognized in the trading of energy, softs andmetals.

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 profitability of the Partnership depends on theexistence 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.

17

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Technological Risk — the riskof loss attributable to technological limitations or hardware failurethat constrain the Partnership's ability to gather, process, andcommunicate information efficiently and securely, without interruption,to customers, among Redeemable Units within the Partnership, and in themarkets where the Partnership participates.

Legal/Documentation Risk — the risk of lossattributable to deficiencies in the documentation of transactions (suchas trade confirmations) and customer relationships (such as masternetting agreements) or errors that result in noncompliance withapplicable legal and regulatory requirements.

FinancialControl Risk — the risk of loss attributable to limitationsin financial systems and controls. Strong financial systems andcontrols ensure that assets are safeguarded, that transactions areexecuted in accordance with management's authorization, and thatfinancial information utilized by management and communicated toexternal parties, including the Partnership's Redeemable Unitholders, creditors, and regulators, is free of material errors.

(e)    Critical Accounting Policies.

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, revenues and expenses, and relateddisclosures of contingent assets and liabilities in the financialstatements and accompanying notes.

All commodity interests(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values oncommodity interests and foreign currencies are recognized in the periodin which the contract is closed or the changes occur and are includedin net gains (losses) on trading of commodity interests.

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statements of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statements of income andexpenses and partners' capital.

The General Partnerbelieves that the 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.

18

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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 ofPartnership 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 results 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).

The Partnership's risk exposure in the variousmarket sectors traded by the Advisors is quantified below in terms ofValue at Risk. Due to the Partnership's mark-to-marketaccounting, any loss in the fair value of the Partnership's openpositions is directly reflected in the Partnership's earnings(realized and unrealized) and cash flows.

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

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

Thefair value of the Partnership's futures and forward positionsdoes not have any optionality component. However, certain of theAdvisors trade commodity options. The Value at Risk associated withoptions is reflected in the following table as the margin requirementattributable to the instrument underlying each option. Where thisinstrument is a futures contract, the futures margin has been used, and

19

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where this instrument is a physicalcommodity, the futures-equivalent maintenance margin has been used.This calculation is conservative in that it assumes that the fair valueof an option will decline by the same amount as the fair value of theunderlying instrument, whereas, in fact, the fair values of the optionstraded by the Partnership in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Partnership's Value at Risk, 100% positive correlationin the different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Partnership's positions arerarely, if ever, 100% positively correlated have not beenreflected.

The Partnership's Trading Value at Risk inDifferent Market Sectors

The following table indicates thetrading Value at Risk associated with the Partnership's openpositions by market category as of December 31, 2004, 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, 2004,the Partnership's total capitalization was $69,230,858.

December 31,2004

|                                 |  |               |           |                          |  |                   |        |                              |  |          |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|--------------------------|--|-------------------|--------|------------------------------|--|----------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector                    |  | Value at Risk |           | % ofTotal Capitalization |  | HighValue at Risk |        | Year toDate Low Value atRisk |  | Average* |
| Currencies                      |  |          |      |                     |  |              |   |                         |  |     |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  | $             | 613,200   |                     |  |              | 0.89   | %                       |  | $        | 1,621,311 |   |  | $      | 553,365 |   |  | $      | 757,544   |   |
| –OTCContracts             |  |          | 1,506,611 |                     |  |              | 2.18   | %                       |  |     | 1,760,811 |   |  |   | 422,027 |   |  |   | 703,756   |   |
| Energy                          |  |          | 605,970   |                     |  |              | 0.88   | %                       |  |     | 2,366,300 |   |  |   | 45,571  |   |  |   | 1,338,683 |   |
| Grains                          |  |          | 21,900    |                     |  |              | 0.03   | %                       |  |     | 638,578   |   |  |   | 8,250   |   |  |   | 327,178   |   |
| InterestratesU.S.               |  |          | 335,650   |                     |  |              | 0.48   | %                       |  |     | 1,249,450 |   |  |   | 219,200 |   |  |   | 746,988   |   |
| InterestratesNon-U.S.           |  |          | 921,228   |                     |  |              | 1.33   | %                       |  |     | 3,239,942 |   |  |   | 914,524 |   |  |   | 1,869,724 |   |
| Livestock                       |  |          | 16,000    |                     |  |              | 0.02   | %                       |  |     | 148,100   |   |  |   | 13,590  |   |  |   | 94,933    |   |
| Metals                          |  |          |      |                     |  |              |   |                         |  |     |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  |          | 183,000   |                     |  |              | 0.26   | %                       |  |     | 545,000   |   |  |   | 97,000  |   |  |   | 195,725   |   |
| –OTCContracts             |  |          | 277,036   |                     |  |              | 0.40   | %                       |  |     | 602,346   |   |  |   | 45,015  |   |  |   | 171,157   |   |
| Softs                           |  |          | 164,700   |                     |  |              | 0.24   | %                       |  |     | 341,479   |   |  |   | 4,000   |   |  |   | 211,144   |   |
| Indices                         |  |          | 2,453,501 |                     |  |              | 3.54   | %                       |  |     | 3,077,151 |   |  |   | 592,175 |   |  |   | 1,648,240 |   |
| **Total**                       |  | $             | 7,098,796 |                     |  |              | 10.25  | %                       |  |     |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

|   |                                                 |
|---|-------------------------------------------------|
| * | Annualaverage based on month-end value at risk. |

20

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As of December 31, 2003, thePartnership's total capitalization was approximately$71,727,346.

December 31,2003

|                                 |  |               |            |                          |  |                   |        |                            |  |          |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|-------------------|--------|----------------------------|--|----------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector                    |  | Value at Risk |            | % ofTotal Capitalization |  | HighValue at Risk |        | Year toDateLowValue atRisk |  | Average* |
| Currencies                      |  |          |       |                     |  |              |   |                       |  |     |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  | $             | 1,549,590  |                     |  |              | 2.16   | %                     |  | $        | 1,594,443 |   |  | $      | 352,353 |   |  | $      | 1,216,549 |   |
| –OTCContracts             |  |          | 1,184,457  |                     |  |              | 1.65   | %                     |  |     | 1,610,335 |   |  |   | 766,266 |   |  |   | 1,107,265 |   |
| Energy                          |  |          | 2,205,700  |                     |  |              | 3.08   | %                     |  |     | 2,554,300 |   |  |   | 125,200 |   |  |   | 1,314,797 |   |
| Grains                          |  |          | 344,461    |                     |  |              | 0.48   | %                     |  |     | 524,832   |   |  |   | 193,841 |   |  |   | 368,879   |   |
| InterestratesU.S.               |  |          | 786,100    |                     |  |              | 1.10   | %                     |  |     | 1,346,600 |   |  |   | 89,950  |   |  |   | 637,283   |   |
| InterestratesNon-U.S.           |  |          | 1,256,380  |                     |  |              | 1.75   | %                     |  |     | 3,238,751 |   |  |   | 535,816 |   |  |   | 1,470,425 |   |
| Livestock                       |  |          | 45,065     |                     |  |              | 0.06   | %                     |  |     | 182,200   |   |  |   | 21,410  |   |  |   | 68,886    |   |
| Metals                          |  |          |       |                     |  |              |   |                       |  |     |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  |          | 334,400    |                     |  |              | 0.47   | %                     |  |     | 409,400   |   |  |   | 76,600  |   |  |   | 265,392   |   |
| –OTCContracts             |  |          | 423,765    |                     |  |              | 0.59   | %                     |  |     | 676,175   |   |  |   | 36,750  |   |  |   | 353,390   |   |
| Softs                           |  |          | 143,156    |                     |  |              | 0.20   | %                     |  |     | 537,712   |   |  |   | 89,942  |   |  |   | 278,701   |   |
| Indices                         |  |          | 3,064,676  |                     |  |              | 4.27   | %                     |  |     | 3,991,683 |   |  |   | 120,907 |   |  |   | 2,007,311 |   |
| Lumber                          |  |          | 2,800      |                     |  |              | 0.00   | %**                   |  |     | 12,000    |   |  |   | 1,100   |   |  |   | 2,613     |   |
| **Total**                       |  | $             | 11,340,550 |                     |  |              | 15.81  | %                     |  |     |      |   |  |   |    |   |  |   |      |   |
|                                 |

|  |
|--|
|  |  |
|  |

|   |                                                |
|---|------------------------------------------------|
| * | Annualaverage based on month-end value atrisk. |

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

Material Limitations on Value at Risk as an Assessment of MarketRisk

The face value of the market sector instruments held bythe Partnership is typically many times the applicable maintenancemargin requirement (margin requirements generally range between2% and 15% of contract face value) as well as many timesthe capitalization of the Partnership. The magnitude of thePartnership's open positions creates a "risk ofruin" not typically found in most other investmentvehicles. Because of the size of its positions, certain marketconditions — unusual, but historically recurring from time totime — could cause the Partnership to incur severe losses over ashort period of time. The foregoing Value at Risk table — as wellas the past performance of the Partnership — give no indicationof this "risk of ruin."

Non-TradingRisk

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

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

Qualitative Disclosures Regarding Primary TradingRisk Exposures

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

21

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the objectives of such strategies.Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, an influx of newmarket participants, increased regulation and many other factors couldresult in material losses as well as in material changes to the riskexposures and the management strategies of the Partnership. There canbe no assurance that the Partnership's current market exposureand/or risk management strategies will not change materially or thatany such strategies 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, 2004, bymarket sector.

Interest Rates. Interest rate movementsdirectly affect the price of the futures positions held by thePartnership and indirectly the value of its stock index and currencypositions. Interest rate movements in one country as well as relativeinterest rate movements between countries materially impact thePartnership's profitability. The Partnership's primaryinterest rate exposure is to interest rate fluctuations in the UnitedStates and 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, 2004, the Partnership's primaryexposures were in the EUREX (Germany) and Chicago Mercantile Exchange(U.S.) stock indices. The Partnership is primarily exposed to the riskof adverse price trends or static markets in the major U.S., Europeanand Japanese indices. (Static markets would not cause major marketchanges but would make 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 gold and copper.

Softs. The Partnership's primary commodities exposureis to agricultural price movements which are often directly affected bysevere or unexpected weather conditions.

Energy. ThePartnership's primary energy market exposure is to gas and oilprice movements, often resulting from political developments in theMiddle East. Oil prices can be volatile and substantial profits andlosses have been and are expected to continue to be experienced in thismarket.

Qualitative Disclosures Regarding Non-Trading RiskExposure

The following were the only non-trading risk exposuresof the Partnership as of December 31, 2004.

Foreign CurrencyBalances. The Partnership's primary foreign currencybalances are in Japanese yen, Euro dollar, British pounds and Swissfrancs. The Advisor regularly converts foreign currency balances toU.S. dollars in an attempt to control the Partnership'snon-trading risk.

Qualitative Disclosures Regarding Means ofManaging Risk Exposure.

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

22

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The General Partner monitors thePartnership's performance and the concentration of its openpositions, and consults with the Advisors concerning thePartnership's overall risk profile. If the General Partner feltit necessary to do so, the General Partner could require certain of theAdvisors to close out individual positions as well as enter intocertain positions 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.

23

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Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.

INDEX TOFINANCIAL STATEMENTS

|                                                                                                                                       |  |                   |  |  |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                                                                  |  | PageNumber        |
| Oath orAffirmation                                                                                                                    |  | F-2               |
| Report of Independent Registered Public AccountingFirm                                                                                |  | F-3               |
| FinancialStatements:                                                                                                                  |  |              |
| Statements of FinancialCondition at December 31, 2004 and 2003                                                                        |  | F-4               |
| Condensed Schedules of Investments at December 31, 2004 and2003                                                                       |  | F-5 – F-6   |
| Statements ofIncome and Expenses for the years ended December 31, 2004, 2003and 2002                                                  |  | F-7               |
| Statements of Changes inPartners' Capital for the years ended December 31, 2004,2003 and 2002                                         |  | F-8               |
| Statements of CashFlows for the years ended December 31, 2004, 2003 and2002                                                           |  | F-9               |
| Notes to FinancialStatements                                                                                                          |  | F-10 – F-14 |
| SelectedUnaudited Quarterly FinancialData                                                                                             |  | F-15              |
| Financial Statements ofthe CMF Winton Master Fund L.P.                                                                                |  |              |
| Oath orAffirmation                                                                                                                    |  | F-16              |
| Independent Auditors'Report                                                                                                           |  | F-17              |
| Statements of FinancialCondition at December 31,2004                                                                                  |  | F-18              |
| Condensed Schedule of Investmentsat December 31, 2004                                                                                 |  | F-19              |
| Statements ofIncome and Expenses for the Period November 1, 2004 (commencement oftrading operations) to December 31,2004              |  | F-20              |
| Statements of Changes inMembers' Capital for the Period from November 1, 2004(commencement of trading operations) to December 31,2004 |  | F-21              |
| Statements of Cash Flows for thePeriod from November 1, 2004 (commencement of trading operations) endedto December 31, 2004           |  | F-22              |
| Notes to FinancialStatements                                                                                                          |  | F-23 −F-26  |
| Selected Unaudited Quarterly FinancialData                                                                                            |  | F-27              |
|                                                                                                                                       |

F-1

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

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

|  | /s/ Daniel R. McAuliffe,Jr. |
|--|-----------------------------|

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

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

|  | **Citigroup Managed Futures LLC**399 ParkAvenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofSmith BarneyDiversified Futures Fund L.P.:

We have audited theaccompanying statements of financial condition of Smith BarneyDiversified Futures Fund L.P. (the Partnership), including thecondensed schedules of investments, as of December 31, 2004 and 2003,and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2004. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

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

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of Smith Barney Diversified Futures Fund L.P. as ofDecember 31, 2004 and 2003, and the results of its operations, changesin its partners' capital, and its cash flows for each of theyears in the three-year period ended December 31, 2004, in conformitywith U.S. generally accepted accounting principles.

/s/ KPMG LLP

New York, NewYorkMarch 14, 2005

F-3

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Smith BarneyDiversified Futures FundL.P.Statements of Financial ConditionDecember 31, 2004 and2003

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2004   |            | 2003   |
| **Assets:**                                                                                                                            |  |   |       |   |  |   |       |   |
| Investmentin the CMF Winton Master Fund L.P., at fair value (Note5)                                                                    |  | $      | 16,141,889 |   |  | $      | —    |   |
| Equityin commodity futures trading account:                                                                                            |  |   |       |   |  |   |       |   |
| Cash(restricted $8,098,048 and $13,379,393 in 2004 and 2003, respectively)(Note3c)                                                     |  |   | 52,660,336 |   |  |   | 67,983,573 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |   | 1,601,032  |   |  |   | 3,677,203  |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |   | 2,250,162  |   |  |   | 4,260,481  |   |
|                                                                                                                                   |  |   | 72,653,419 |   |  |   | 75,921,257 |   |
| Interestreceivable (Note3c)                                                                                                            |  |   | 69,831     |   |  |   | 40,233     |   |
|                                                                                                                                   |  | $      | 72,723,250 |   |  | $      | 75,961,490 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                           |  |   |       |   |  |   |       |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  | $      | 1,925,334  |   |  | $      | 2,298,360  |   |
| Accruedexpenses:                                                                                                                       |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                   |  |   | 329,810    |   |  |   | 344,098    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 112,466    |   |  |   | 119,768    |   |
| Incentivefees (Note3b)                                                                                                                 |  |   | 78,926     |   |  |   | 761,281    |   |
| Professionalfees                                                                                                                       |  |   | 43,717     |   |  |   | 34,038     |   |
| Other                                                                                                                                  |  |   | 17,081     |   |  |   | 7,420      |   |
| Redemptionspayable (Note6)                                                                                                             |  |   | 985,058    |   |  |   | 669,179    |   |
|                                                                                                                                   |  |   | 3,492,392  |   |  |   | 4,234,144  |   |
| Partners'capital (Notes 1 and 6)                                                                                                       |  |   |       |   |  |   |       |   |
| General Partner,1,276.7484 Unit equivalents outstanding in 2004 and2003                                                                |  |   | 2,229,662  |   |  |   | 2,089,578  |   |
| LimitedPartners, 38,366.2074 and 42,549.0942 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 67,001,196 |   |  |   | 69,637,768 |   |
|                                                                                                                                   |  |   | 69,230,858 |   |  |   | 71,727,346 |   |
|                                                                                                                                   |  | $      | 72,723,250 |   |  | $      | 75,961,490 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-4

----

SmithBarney Diversified Futures Fund L.P.Condensed Schedule ofInvestmentsDecember 31,2004

|                                   |  |                                                    |        |           |            |         |        |        |  |  |
|-----------------------------------|--|----------------------------------------------------|--------|-----------|------------|---------|--------|--------|--|--|
| Sector                            |  | Contract                                           |        | FairValue |
| Currencies                        |  |                                               |   |      |            |    |   |   |
|                              |  | Futurescontracts purchased0.61%                    |        | $         | 423,469    |    |
|                              |  | Unrealizedappreciation on forward contracts2.85%   |        |      | 1,969,858  |    |
|                              |  | Unrealizeddepreciation on forward contracts(2.38)% |        |      | (1,645,688 | )  |
|                              |  | Totalforward contracts0.47%                        |        |      | 324,170    |    |
| TotalCurrencies1.08%              |  |                                               |        |      | 747,639    |    |
| Energy                            |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased(0.06%)                  |        |      | (43,173    | )  |
|                              |  | Futurescontracts sold0.42%                         |        |      | 293,267    |    |
| TotalEnergy0.36%                  |  |                                               |        |      | 250,094    |    |
| Grains                            |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased(0.12)%                  |        |      | (80,231    | )  |
|                              |  | Futurescontracts sold(0.00)%*                      |        |      | (703       | )  |
| TotalGrains(0.12)%                |  |                                               |        |      | (80,934    | )  |
| InterestRates U.S.                |  |                                               |        |      |       |    |
|                              |  | Futures contracts purchased0.09%                   |        |      | 62,139     |    |
|                              |  | Futurescontracts sold0.10%                         |        |      | 69,596     |    |
| TotalInterest Rates U.S.0.19%     |  |                                               |        |      | 131,735    |    |
| InterestRates Non-U.S.            |  |                                               |        |      |       |    |
|                              |  | Futures contracts purchased0.43%                   |        |      | 294,324    |    |
|                              |  | Futurescontracts sold0.00%*                        |        |      | 325        |    |
| TotalInterest Rates Non-U.S.0.43% |  |                                               |        |      | 294,649    |    |
| Livestock0.02%                    |  | Futures contracts purchased0.02%                   |        |      | 16,491     |    |
| Metals                            |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased(0.03)%                  |        |      | (22,450    | )  |
|                              |  | Unrealizedappreciation on forward contracts0.40%   |        |      | 280,304    |    |
|                              |  | Unrealizeddepreciation on forward contracts(0.40)% |        |      | (279,646   | )  |
|                              |  | Totalforward contracts0.00%*                       |        |      | 658        |    |
| TotalMetals(0.03)%                |  |                                               |        |      | (21,792    | )  |
| Softs                             |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased0.14%                    |        |      | 93,622     |    |
|                              |  | Futurescontracts sold(0.02)%                       |        |      | (12,420    | )  |
| TotalSofts0.12%                   |  |                                               |        |      | 81,202     |    |
| Indices                           |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased0.73%                    |        |      | 505,676    |    |
|                              |  | Futurescontracts sold0.00%*                        |        |      | 1,100      |    |
| TotalIndices0.73%                 |  |                                               |        |      | 506,776    |    |
| Investmentin Partnership 23.32%   |  | CMF Winton Master Fund L.P.23.32%                  |        |      | 16,141,889 |    |
| TotalFair Value26.10%             |  |                                               |        | $         | 18,067,749 |    |
|                                   |

|                    |  |                           |            |                              |  |        |        |         |  |  |
|--------------------|--|---------------------------|------------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |            | % ofInvestments at FairValue |
| Australia          |  | $                         | 737        |                         |  |   | 0.00*  | %  |
| Canada             |  |                      | (725       | )                       |  |   | (0.00) | *  |
| France             |  |                      | (1,582     | )                       |  |   | (0.01  | )  |
| Germany            |  |                      | 176,133    |                         |  |   | 0.97   |    |
| HongKong           |  |                      | 257        |                         |  |   | 0.00   | *  |
| Japan              |  |                      | 72,974     |                         |  |   | 0.40   |    |
| Spain              |  |                      | 53,523     |                         |  |   | 0.30   |    |
| UnitedKingdom      |  |                      | 167,316    |                         |  |   | 0.93   |    |
| UnitedStates       |  |                      | 17,599,116 |                         |  |   | 97.41  |    |
|               |  | $                         | 18,067,749 |                         |  |   | 100.00 | %  |
|                    |

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

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

See accompanying notes to financialstatements.

F-5

----

Smith Barney Diversified Futures FundL.P.Condensed Schedule of InvestmentsDecember 31,2003

|                                   |  |                                                    |        |           |            |         |        |        |  |  |
|-----------------------------------|--|----------------------------------------------------|--------|-----------|------------|---------|--------|--------|--|--|
| Sector                            |  | Contract                                           |        | FairValue |
| Currencies                        |  |                                               |   |      |            |    |   |   |
|                              |  | Futurescontracts purchased2.31%                    |        | $         | 1,653,934  |    |
|                              |  | Futurescontracts sold(0.14)%                       |        |      | (100,293   | )  |
|                              |  | Totalfutures contracts2.17%                        |        |      | 1,553,641  |    |
|                              |  | Unrealizedappreciation on forward contracts2.65%   |        |      | 1,897,711  |    |
|                              |  | Unrealizeddepreciation on forward contracts(1.56)% |        |      | (1,116,272 | )  |
|                              |  | Totalforward contracts1.09%                        |        |      | 781,439    |    |
| TotalCurrencies3.26%              |  |                                               |        |      | 2,335,080  |    |
| Energy(0.11)%                     |  | Futures contracts purchased(0.11)%                 |        |      | (76,535    | )  |
| Grains                            |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased0.95%                    |        |      | 680,144    |    |
|                              |  | Futurescontracts sold(0.09)%                       |        |      | (66,550    | )  |
| TotalGrains0.86%                  |  |                                               |        |      | 613,594    |    |
| InterestRates U.S. (0.17)%        |  | Futures contracts purchased(0.17)%                 |        |      | (119,927   | )  |
| InterestRates Non-U.S.            |  |                                               |        |      |       |    |
|                              |  | Futures contracts purchased0.22%                   |        |      | 159,634    |    |
|                              |  | Futurescontracts sold(0.04)%                       |        |      | (28,643    | )  |
| TotalInterest Rates Non-U.S.0.18% |  |                                               |        |      | 130,991    |    |
| Livestock                         |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased(0.02)%                  |        |      | (13,500    | )  |
|                              |  | Futurescontracts sold0.01%                         |        |      | 9,408      |    |
| TotalLivestock(0.01)%             |  |                                               |        |      | (4,092     | )  |
| Lumber0.01%                       |  | Futures contracts purchased0.01%                   |        |      | 6,402      |    |
| Metals                            |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased0.58%                    |        |      | 413,768    |    |
|                              |  | Futurescontracts sold (0.00)%*                     |        |      | (1,550     | )  |
|                              |  | Totalfutures contracts0.58%                        |        |      | 412,218    |    |
|                              |  | Unrealizedappreciation on forward contracts3.29%   |        |      | 2,362,770  |    |
|                              |  | Unrealizeddepreciation on forward contracts(1.65)% |        |      | (1,182,088 | )  |
|                              |  | Totalforward contracts1.64%                        |        |      | 1,180,682  |    |
| TotalMetals2.22%                  |  |                                               |        |      | 1,592,900  |    |
| Softs                             |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased(0.14)%                  |        |      | (99,050    | )  |
|                              |  | Futurescontracts sold0.03%                         |        |      | 22,953     |    |
| TotalSofts(0.11)%                 |  |                                               |        |      | (76,097    | )  |
| Indices                           |  |                                               |        |      |       |    |
|                              |  | Futurescontracts purchased1.67%                    |        |      | 1,195,478  |    |
|                              |  | Futurescontracts sold0.06%                         |        |      | 41,530     |    |
| TotalIndices1.73%                 |  |                                               |        |      | 1,237,008  |    |
| TotalFair Value7.86%              |  |                                               |        | $         | 5,639,324  |    |
|                                   |

|                    |  |                           |           |                              |  |        |        |         |  |  |
|--------------------|--|---------------------------|-----------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments at Fair Value |           | % ofInvestments at FairValue |
| Australia          |  | $                         | 57,663    |                         |  |   | 1.02   | %  |
| Canada             |  |                      | 35,485    |                         |  |   | 0.63   |    |
| France             |  |                      | 33,586    |                         |  |   | 0.60   |    |
| Germany            |  |                      | 312,479   |                         |  |   | 5.54   |    |
| HongKong           |  |                      | 3,903     |                         |  |   | 0.07   |    |
| Italy              |  |                      | (10,477   | )                       |  |   | (0.19  | )  |
| Japan              |  |                      | 27,224    |                         |  |   | 0.48   |    |
| Spain              |  |                      | 113,433   |                         |  |   | 2.01   |    |
| UnitedKingdom      |  |                      | 1,411,139 |                         |  |   | 25.02  |    |
| UnitedStates       |  |                      | 3,654,889 |                         |  |   | 64.82  |    |
|               |  | $                         | 5,639,324 |                         |  |   | 100.00 | %  |
|                    |

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

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

See accompanying notes to financialstatements.

F-6

----

Smith BarneyDiversified Futures FundL.P.Statements of Income and Expensesfor the years endedDecember 31, 2004, 2003 and2002

|                                                                                                                 |  |        |            |         |  |        |            |        |  |        |            |        |  |  |
|-----------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                            |  | 2004   |            | 2003    |  | 2002   |
| Income:                                                                                                         |  |   |       |    |  |   |       |   |  |   |       |   |
| Netgains (losses) on trading of commodityinterests:                                                             |  |   |       |    |  |   |       |   |  |   |       |   |
| Realized gains on closed positionsand foreigncurrencies                                                         |  | $      | 13,010,644 |    |  | $      | 17,063,534 |   |  | $      | 17,151,149 |   |
| Changein unrealized gains (losses) on open positions and investment inPartnership                               |  |   | (1,728,621 | )  |  |   | 684,970    |   |  |   | 3,153,693  |   |
|                                                                                                            |  |   | 11,282,023 |    |  |   | 17,748,504 |   |  |   | 20,304,842 |   |
| Interestincome (Note3c)                                                                                         |  |   | 640,231    |    |  |   | 575,911    |   |  |   | 816,470    |   |
|                                                                                                            |  |   | 11,922,254 |    |  |   | 18,324,415 |   |  |   | 21,121,312 |   |
| Expenses:                                                                                                       |  |   |       |    |  |   |       |   |  |   |       |   |
| Brokeragecommissions including clearing fees of $124,623, $147,603 and$163,483, respectively (Note3c)           |  |   | 4,095,297  |    |  |   | 4,367,509  |   |  |   | 3,930,667  |   |
| Managementfees (Note3b)                                                                                         |  |   | 1,334,878  |    |  |   | 1,448,067  |   |  |   | 1,591,520  |   |
| Incentivefees (Note3b)                                                                                          |  |   | 1,959,015  |    |  |   | 2,258,395  |   |  |   | 2,865,987  |   |
| Professionalfees                                                                                                |  |   | 65,980     |    |  |   | 61,800     |   |  |   | 73,032     |   |
| Otherexpenses                                                                                                   |  |   | 22,801     |    |  |   | 8,486      |   |  |   | 12,380     |   |
|                                                                                                            |  |   | 7,477,971  |    |  |   | 8,144,257  |   |  |   | 8,473,586  |   |
| Netincome                                                                                                       |  | $      | 4,444,283  |    |  | $      | 10,180,158 |   |  | $      | 12,647,726 |   |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unit equivalent (Notes 1 and7) |  | $      | 109.72     |    |  | $      | 218.21     |   |  | $      | 257.21     |   |
|                                                                                                                 |

Seeaccompanying notes to financial statements.

F-7

----

Smith BarneyDiversified Futures FundL.P.Statements of Changes in Partners' Capitalfor theyears ended December 31, 2004, 2003 and2002

|                                                                                                                           |  |                 |            |                |  |        |           |         |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                      |  | LimitedPartners |            | GeneralPartner |  | Total  |
| Partners'capital at December  31,2001                                                                                     |  | $               | 63,989,482 |           |  | $      | 2,379,259 |    |  | $      | 66,368,741  |    |
| Netincome                                                                                                                 |  |            | 12,216,008 |           |  |   | 431,718   |    |  |   | 12,647,726  |    |
| Saleof 9.1776 Redeemable Units of Limited PartnershipInterest                                                             |  |            | 11,163     |           |  |   | —   |    |  |   | 11,163      |    |
| Redemptionof 8,407.0871 Redeemable Units of Limited Partnership Interest and772.1824 Units of General PartnershipInterest |  |            | (9,965,684 | )         |  |   | (999,999  | )  |  |   | (10,965,683 | )  |
| Partners'capital at December  31,2002                                                                                     |  |            | 66,250,969 |           |  |   | 1,810,978 |    |  |   | 68,061,947  |    |
| Netincome                                                                                                                 |  |            | 9,901,558  |           |  |   | 278,600   |    |  |   | 10,180,158  |    |
| Saleof 5.7407 Redeemable Units of LimitedPartnershipInterest                                                              |  |            | 8,940      |           |  |   | —   |    |  |   | 8,940       |    |
| Redemptionof 4,164.0183 Redeemable Units of Limited PartnershipInterest                                                   |  |            | (6,523,699 | )         |  |   | —   |    |  |   | (6,523,699  | )  |
| Partners'capital at December  31,2003                                                                                     |  |            | 69,637,768 |           |  |   | 2,089,578 |    |  |   | 71,727,346  |    |
| Netincome                                                                                                                 |  |            | 4,304,199  |           |  |   | 140,084   |    |  |   | 4,444,283   |    |
| Saleof 1.1848 Redeemable Units of LimitedPartnershipInterest                                                              |  |            | 1,995      |           |  |   | —   |    |  |   | 1,995       |    |
| Redemptionof 4,184.0716 Redeemable Units of Limited PartnershipInterest                                                   |  |            | (6,942,766 | )         |  |   | —   |    |  |   | (6,942,766  | )  |
| Partners'capital at December  31,2004                                                                                     |  | $               | 67,001,196 |           |  | $      | 2,229,662 |    |  | $      | 69,230,858  |    |
| NetAssets Per RedeemableUnits                                                                                             |  |            |       |           |  |   |      |    |  |   |        |    |
| 2002    $1,418.43                                                                                     |  |            |       |           |  |   |      |    |  |   |        |    |
| 2003    $1,636.64                                                                                     |  |            |       |           |  |   |      |    |  |   |        |    |
| 2004    $1,746.36                                                                                     |  |            |       |           |  |   |      |    |  |   |        |    |
|                                                                                                                           |

Seeaccompanying notes to financial statements.

F-8

----

Smith Barney Diversified Futures FundL.P.Statements of Cash Flowsfor the years ended December 31,2004, 2003 and2002

|                                                                                           |  |        |             |         |  |        |            |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2004   |             | 2003    |  | 2002   |
| Cash flows from operatingactivities:                                                      |  |   |        |    |  |   |       |    |  |   |        |    |
| Net income                                                                                |  | $      | 4,444,283   |    |  | $      | 10,180,158 |    |  | $      | 12,647,726  |    |
| Adjustments to reconcile net income to netcash provided by (used in) operatingactivities: |  |   |        |    |  |   |       |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |  |   |       |    |  |   |        |    |
| (Increase) decreasein restrictedcash                                                      |  |   | 5,281,345   |    |  |   | (3,136,212 | )  |  |   | (1,756,095  | )  |
| (Increase)decrease in investment in CMF Winton Master Fund L.P. at fairvalue              |  |   | (16,141,889 | )  |  |   | —    |    |  |   | —     |    |
| (Increase)decrease in unrealized appreciation on open futurespositions                    |  |   | 2,076,171   |    |  |   | 1,501,489  |    |  |   | (3,582,572  | )  |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                    |  |   | 2,010,319   |    |  |   | (2,358,792 | )  |  |   | (794,148    | )  |
| (Increase)decrease in commodity options owned, at fairvalue                               |  |   | —     |    |  |   | —    |    |  |   | 849,250     |    |
| (Increase)decrease in interestreceivable                                                  |  |   | (29,598     | )  |  |   | 13,085     |    |  |   | 23,776      |    |
| Increase (decrease) in unrealized depreciation on openforwardcontracts                    |  |   | (373,026    | )  |  |   | 172,333    |    |  |   | 2,126,027   |    |
| Accruedexpenses:                                                                          |  |   |        |    |  |   |       |    |  |   |        |    |
| Increase (decrease) incommissions                                                         |  |   | (14,288     | )  |  |   | 23,281     |    |  |   | 12,572      |    |
| Increase (decrease) in managementfees                                                     |  |   | (7,302      | )  |  |   | (23,702    | )  |  |   | (9,872      | )  |
| Increase (decrease) in incentivefees                                                      |  |   | (682,355    | )  |  |   | 706,246    |    |  |   | 55,035      |    |
| Increase (decrease) in professionalfees                                                   |  |   | 9,679       |    |  |   | (31,123    | )  |  |   | 1,333       |    |
| Increase (decrease) in other                                                              |  |   | 9,661       |    |  |   | 1,149      |    |  |   | (5,583      | )  |
| Increase(decrease) in redemptionspayable                                                  |  |   | 315,879     |    |  |   | 256,907    |    |  |   | 194,682     |    |
| Net cashprovided by (used in) operatingactivities                                         |  |   | (3,101,121  | )  |  |   | 7,304,819  |    |  |   | 9,762,131   |    |
|                                                                                      |  |   |        |    |  |   |       |    |  |   |        |    |
| Cash flowsfrom financingactivities:                                                       |  |   |        |    |  |   |       |    |  |   |        |    |
| Proceeds fromadditions - Limited Partners                                                 |  |   | 1,995       |    |  |   | 8,940      |    |  |   | 11,163      |    |
| Payments forredemptions - Limited Partners                                                |  |   | (6,942,766  | )  |  |   | (6,523,699 | )  |  |   | (9,965,684  | )  |
| Paymentsfor redemptions - GeneralPartner                                                  |  |   | —     |    |  |   | —    |    |  |   | (999,999    | )  |
|                                                                                      |  |   |        |    |  |   |       |    |  |   |        |    |
| Net cash providedby (used in) financingactivities                                         |  |   | (6,940,771  | )  |  |   | (6,514,759 | )  |  |   | (10,954,520 | )  |
|                                                                                      |  |   |        |    |  |   |       |    |  |   |        |    |
| Net change incash                                                                         |  |   | (10,041,892 | )  |  |   | 790,060    |    |  |   | (1,192,389  | )  |
| Unrestricted cash, at beginning ofyear                                                    |  |   | 54,604,180  |    |  |   | 53,814,120 |    |  |   | 55,006,509  |    |
| Unrestricted cash, at end ofyear                                                          |  | $      | 44,562,288  |    |  | $      | 54,604,180 |    |  | $      | 53,814,120  |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-9

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

1.    PartnershipOrganization:

Smith Barney Diversified Futures Fund L.P. (the"Partnership") is a limited partnership whichwas organized on August 13, 1993 under the partnership laws of theState of New York to engage in the speculative trading of a diversifiedportfolio of commodity interests including futures contracts, optionsand forward contracts. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk. ThePartnership was authorized to sell 300,000 redeemable units of LimitedPartnership Interest ("Redeemable Units")during its initial offering period.

Citigroup Managed FuturesLLC, formerly Smith Barney Futures Management LLC, acts as the generalpartner (the "General Partner") of thePartnership. The Partnership's commodity broker is CitigroupGlobal Markets Inc. ("CGM"), formerly SalomonSmith Barney Inc. CGM is an affiliate of the General Partner. TheGeneral Partner is wholly owned by Citigroup Global Markets HoldingsInc. ("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.

The General Partner and eachlimited partner share in the profits and losses of the Partnership inproportion to the amount of partnership interest owned by each exceptthat 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 of the following to occur: December 31, 2013;the Net Asset Value of a Redeemable Unit decreases to less than $400per Redeemable Unit as of the close of any business day; or undercertain other circumstances as defined in the Limited PartnershipAgreement.

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 statements 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.  | The Partnership may purchase andwrite (sell) options. An option is a contract allowing, but notrequiring, 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 financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                          |
|----------|------------------------------------------------------------------------------------------|
| e.  | Certain prior yearamounts have been reclassified to conform to current yearpresentation. |

F-10

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

3.    Agreements:

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

|        |                                                                                                                                                                        |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Limited Partnership Agreement provides thatthe General Partner shall manage the business of the Partnership andmay make all trading decisions for the Partnership. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The General Partner has entered into ManagementAgreements with Campbell & Co., Inc.("Campbell"), Winton Capital Management("Winton"), Graham Capital Management L.P.("Graham") and Willowbridge Associates, Inc.("Willowbridge"), (collectively, the"Advisors"), each of which are registeredcommodity trading advisors. The Advisors are not affiliated with oneanother, are not affiliated with the General Partner or CGM and are notresponsible for the organization or operation of the Partnership. ThePartnership will pay Campbell, Graham and Willowbridge a monthlymanagement fee equal to 1/6 of 1% (2% per year) of NetAssets allocated to the Advisors as of the end of each month. Wintonwill receive a monthly management fee equal to 1/12 of 1.5%(1.5% per year) of Net Assets allocated to it as of the end ofeach month. 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 20% of the New Trading Profits, asdefined in the Management Agreements, earned by each Advisor for thePartnership in each calendar quarter. |

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Partnership has entered into a CustomerAgreement which provides that the Partnership will pay CGM a monthlybrokerage fee equal to 11/24 of 1% (5.5% per year) ofmonth-end Net Assets in lieu of brokerage commissions on a per tradebasis. Month-end Net Assets, for the purpose of calculating commissionsare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of accrued expenses and redemptions payable. CGM willpay a portion of brokerage fees to its financial consultants who havesold Redeemable Units in this offering. Brokerage fees will be paid forthe life of the Partnership, although the rate at which such fees arepaid may be changed. The Partnership will pay for National FuturesAssociation fees as well as exchange, clearing, user, give-up and floorbrokerage fees. All of the Partnership's assets are deposited inthe Partnership's account at CGM. The Partnership's cash isdeposited by CGM in segregated bank accounts to the extent required byCommodity Futures Trading Commission regulations. At December31, 2004 and 2003, the amount of cash held for margin requirements was$8,098,048 and $13,379,393, respectively. CGM has agreed to pay thePartnership interest on 80% of the average daily equitymaintained in cash in its account during each month at a 30-day U.S.Treasury bill rate determined weekly by CGM based on the averagenoncompetitive yield on 3-month U.S. Treasury bills maturing in 30 daysfrom the date on which such weekly rate is determined. The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated upon notice by either party. |

4.    Trading Activities:

The Partnership wasformed for the purpose of trading contracts in a variety of commodityinterests, including derivative financial instruments and derivativecommodity instruments. The results of the Partnership's tradingactivities are shown in the statements of income and expenses.

All of the commodity interests owned by the Partnership are held fortrading purposes. The average fair value during the years endedDecember 31, 2004 and 2003, based on a monthly calculation, was$2,973,373 and $4,386,216, respectively.

F-11

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

5.    Investment inPartnership:

Effective November 1, 2004, the Partnershipallocated capital for trading to the CMF Winton Master Fund L.P., alimited partnership organized under the partnership laws of New YorkState (the "Winton Master"). The Partnershippurchased 15,054.1946 Units of the Winton Master with cash equal to$14,251,586 and a contribution of open commodity futures and forwardpositions with a value of $802,609. The Winton Master was formed inorder to permit accounts managed now or in the future by Winton, toinvest together in one trading vehicle. The General Partner of thePartnership is the general partner of the Winton Master. Individual andpooled accounts currently managed by Winton, including the Partnership(collectively, the "Feeder Funds"), arepermitted to be limited partners of the Winton Master. The GeneralPartner and Winton believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of investment in the Winton Masterare approximately the same and redemption rights are notaffected.

The Winton Master's trading of futures, forwardsand options contracts, if applicable, on commodities is done primarilyon United States of America commodity exchanges and foreign commodityexchanges. It engages in such trading through a commodity brokerageaccount maintained with CGM.

A limited partner may withdraw allor part of his capital contribution and undistributed profits, if any,from the Winton Master in multiples of the net asset value per unit oflimited partnership interest as of the last day of a month after arequest for redepmtion has been made to the general partner at least 3days in advance of month-end.

All management fees in connectionwith the management agreement are borne by the Feeder Funds. Allexchange, clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Winton Master. All other feesincluding CGM's direct brokerage commission shall be borne by theFeeder Funds.

As of December 31, 2004, the Partnership ownedapproximately 14.0% of the Winton Master. The performance of thePartnership is directly affected by the performance of the WintonMaster.

Summarized information reflecting the Partnership'sinvestment in, and the operations of, the Winton Master is a shown inthe followingtable.

|                                         |  |                            |        |           |  |        |            |          |  |           |           |                     |  |                      |        |        |  |        |        |        |  |        |           |        |  |        |                    |        |  |        |         |        |  |  |
|-----------------------------------------|--|----------------------------|--------|-----------|--|--------|------------|----------|--|-----------|-----------|---------------------|--|----------------------|--------|--------|--|--------|--------|--------|--|--------|-----------|--------|--|--------|--------------------|--------|--|--------|---------|--------|--|--|
| Investment                              |  | %ofPartnership'sNet Assets |        | FairValue |  | Income |            | Expenses |  | NetIncome |           | InvestmentObjective |  | RedemptionsPermitted |
| Commissions                             |  | Other                      |
| **For the year ended December 31,2004** |  |                       |   |      |  |   |       |     |  |      |      |                |  |                 |   |   |  |   |   |   |  |   |      |   |
| CMFWinton Master FundLLC                |  |                       | 23.32  | %    |  | $      | 16,141,889 |     |  | $         | 1,208,997 |                |  | $                    | 25,085 |   |  | $      | 1,680  |   |  | $      | 1,182,232 |   |  |   | CommodityPortfolio |   |  |   | Monthly |   |
|                                         |

F-12

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

6.    Distributions andRedemptions:

Distributions of profits, if any, will be made atthe sole discretion of the General Partner and at such times as theGeneral Partner may decide. A limited partner may require thePartnership to redeem their Redeemable Units at their Net Asset Valueas of the last day of each month on 10 days notice to the GeneralPartner. No fee will be charged for redemptions.

7.    Financial Highlights:

Changes in the Net Asset Valueper Redeemable Unit of Limited Partnership Interest for the years endedDecember  31, 2004, 2003 and 2002 are asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2004   |          | 2003    |  | 2002   |
| Netrealized and unrealizedgains*                     |  | $      | 173.57   |    |  | $      | 286.97   |    |  | $      | 330.00   |    |
| Interestincome                                       |  |   | 15.31    |    |  |   | 12.43    |    |  |   | 15.57    |    |
| Expenses**                                           |  |   | (79.16   | )  |  |   | (81.19   | )  |  |   | (88.36   | )  |
| Increasefor theyear                                  |  |   | 109.72   |    |  |   | 218.21   |    |  |   | 257.21   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,636.64 |    |  |   | 1,418.43 |    |  |   | 1,161.22 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 1,746.36 |    |  | $      | 1,636.64 |    |  | $      | 1,418.43 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

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

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

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2004   |        | 2003     |  | 2002   |
| Ratiosto average net assets:               |  |   |   |     |  |   |   |     |  |   |   |     |
| Net investment lossbefore incentivefees*** |  |   | (7.0   | )%  |  |   | (7.4   | )%  |  |   | (7.5   | )%  |
| Operatingexpenses                          |  |   | 7.9    | %   |  |   | 8.2    | %   |  |   | 8.8    | %   |
| Incentivefees                              |  |   | 2.8    | %   |  |   | 3.1    | %   |  |   | 4.5    | %   |
| Totalexpenses                              |  |   | 10.7   | %   |  |   | 11.3   | %   |  |   | 13.3   | %   |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees          |  |   | 9.7    | %   |  |   | 19.0   | %   |  |   | 27.3   | %   |
| Incentivefees                              |  |   | (3.0   | )%  |  |   | (3.6   | )%  |  |   | (5.2   | )%  |
| Totalreturn after incentivefees            |  |   | 6.7    | %   |  |   | 15.4   | %   |  |   | 22.1   | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | 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 net assets.

8.    Financial Instrument Risks:

In the normal course ofits business, the Partnership is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified future

F-13

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership 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 provideaccount analysis of futures, forwards and options positions by sector,margin requirements, gain and loss transactions and collateralpositions.

The majority of these instruments mature within oneyear of December 31, 2004. However, due to the nature of thePartnership's business, these instruments may not be held tomaturity.

F-14

----

Selectedunaudited quarterly financial data for the years ended December 31,2004 and 2003 are summarizedbelow:

|                                                                                                                      |  |                                                      |           |                                                     |  |                                                 |            |                                                    |  |   |             |         |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-------------|---------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period fromOctober 1, 2004 toDecember 31,2004 |           | For the period fromJuly 1, 2004 toSeptember 30,2004 |  | For the period fromApril 1, 2004 toJune 30,2004 |            | For the period fromJanuary 1, 2004 toMarch 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                    | 8,831,288 |                                                |  | $                                               | (1,411,120 | )                                             |  | $ | (10,847,664 | )  |  | $ | 11,254,453 |   |
| Net income (loss)                                                                                                    |  | $                                                    | 8,401,206 |                                                |  | $                                               | (1,734,480 | )                                             |  | $ | (11,199,369 | )  |  | $ | 8,976,926  |   |
| Increase (decrease) in Net Asset Valueper Redeemable Unit                                                            |  | $                                                    | 206.37    |                                                |  | $                                               | (41.39     | )                                             |  | $ | (262.34     | )  |  | $ | 207.08     |   |
|                                                                                                                      |

|                                                                                                                    |  |                                                      |           |                                                     |  |                                                 |            |                                                     |  |   |           |        |  |   |           |        |  |  |
|--------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|------------|-----------------------------------------------------|--|---|-----------|--------|--|---|-----------|--------|--|--|
|                                                                                                               |  | Forthe period fromOctober 1, 2003 toDecember 31,2003 |           | For the period fromJuly 1, 2003 toSeptember 30,2003 |  | For the period fromApril 1, 2003 toJune 30,2003 |            | For the period from January 1, 2003 toMarch 31,2003 |
| Net realized and unrealized trading gains(loss) net of brokerage commissions and clearing fees plus interestincome |  | $                                                    | 7,116,170 |                                                |  | $                                               | (3,308,315 | )                                              |  | $ | 2,478,366 |   |  | $ | 7,670,685 |   |
| Net income (loss)                                                                                                  |  | $                                                    | 6,002,299 |                                                |  | $                                               | (3,665,355 | )                                              |  | $ | 1,599,820 |   |  | $ | 6,243,394 |   |
| Increase (decrease) in Net Asset Valueper Redeemable Unit                                                          |  | $                                                    | 135.19    |                                                |  | $                                               | (79.85     | )                                              |  | $ | 33.34     |   |  | $ | 129.53    |   |
|                                                                                                                    |

F-15

----

To theLimited Partners ofCMF Winton 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,           CMFWinton Master Fund L.P. |
|--|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup ManagedFutures LLC**399 Park Avenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-16

----

Independent Auditor'sReport

To the Partnersof    CMF Winton Master Fund L.P.:

We have audited theaccompanying statement of financial condition of the CMF Winton MasterFund (the Partnership), including the condensed schedule ofinvestments, as of December 31, 2004, and the related statements ofincome and expenses, changes in partners' capital, and cash flowsfor the period from November 1, 2004 (commencement of tradingoperations) through December 31, 2004. These financial statements arethe 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 withauditing standards generally accepted in the United States of America.Those standards require that we plan and perform the audit to obtainreasonable assurance about whether the financial statements are free ofmaterial misstatement. An audit includes 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 theCompany's internal control over financial reporting. Accordingly,we express no such opinion. 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 CMF Winton MasterFund L.P. as of December 31, 2004, and the results of its operations,changes in its partners' capital, and its cash flows for theperiod from November 1, 2004 (commencement of trading operations)through December 31, 2004, in conformity with U.S. accountingprinciples generally accepted in the United States of America.

New York, New YorkMarch 14,2005

F-17

----

CMF WintonMaster Fund L.P.Statement of Financial ConditionDecember 31,2004

|                                                         |  |        |             |        |  |  |
|---------------------------------------------------------|--|--------|-------------|--------|--|--|
|                                                    |  | 2004   |
| **Assets:**                                             |  |   |        |   |
| Equityin commodity futures tradingaccount:              |  |   |        |   |
| Cash (restricted$26,264,586) (Note3c)                   |  | $      | 113,508,857 |   |
| Net unrealizedappreciation on open futurespositions     |  |   | 979,539     |   |
| Unrealizedappreciation on open forwardcontracts         |  |   | 1,575,476   |   |
|                                                    |  |   | 116,063,872 |   |
|                                                    |  |   |        |   |
| Interestreceivable (Note3c)                             |  |   | 166,197     |   |
|                                                    |  | $      | 116,230,069 |   |
|                                                    |  |   |        |   |
| **Liabilitiesand Partners'Capital:**                    |  |   |        |   |
| Liabilities:                                            |  |   |        |   |
| Unrealizeddepreciation on open forwardcontracts         |  | $      | 926,543     |   |
| Accruedexpenses:                                        |  |   |        |   |
| Professionalfees                                        |  |   | 12,000      |   |
| Distribution payable(Note5)                             |  |   | 166,197     |   |
|                                                    |  |   | 1,104,740   |   |
|                                                    |  |   |        |   |
| Partners'Capital:                                       |  |   |        |   |
| Partners' Capital,107,012.8888 Units outstanding in2004 |  |   | 115,125,329 |   |
|                                                    |  | $      | 116,230,069 |   |
|                                                    |  |   |        |   |
|                                                         |

Seeaccompanying notes to financial statements.

F-18

----

CMF Winton Master Fund L.P.CondensedSchedule of InvestmentsDecember 31,2004

|                                       |  |                                                    |          |           |           |         |        |        |  |  |
|---------------------------------------|--|----------------------------------------------------|----------|-----------|-----------|---------|--------|--------|--|--|
| Sector                                |  | Contract                                           |          | FairValue |
| Currencies                            |  |                                               |     |      |           |    |   |   |
|                                  |  | Futurescontracts sold0.02%                         |          | $         | 17,239    |    |
|                                  |  | Futurescontracts purchased0.54%                    |          |      | 623,634   |    |
| TotalCurrencies0.56%                  |  |                                               |          |      | 640,873   |    |
|                                  |  |                                               |          |      |      |    |
| Energy0.14%                           |  | Futures contracts sold0.14%                        |          |      | 160,945   |    |
|                                  |  |                                               |          |      |      |    |
| Grains(0.25)%                         |  | Futures contracts sold(0.25)%                      |          |      | (287,861  | )  |
| InterestRates Non-U.S.                |  |                                               |          |      |      |    |
|                                  |  | Futurescontracts sold(0.00)%*                      |          |      | (10,707   | )  |
|                                  |  | Futurescontracts purchased(0.27)%                  |          |      | (294,303  | )  |
| TotalInterest Rates Non - U.S.(0.27)% |  |                                               | (305,010 | )    |
| InterestRates                         |  |                                               |          |      |      |    |
|                                  |  | Futures contractssold(0.02)%                       |          |      | (21,841   | )  |
|                                  |  | Futurescontracts purchased(0.04)%                  |          |      | (42,376   | )  |
| TotalInterest Rates(0.06)%            |  |                                               |          |      | (64,217   | )  |
|                                  |  |                                               |          |      |      |    |
| Livestock(0.08)%                      |  | Futures contracts purchased(0.08)%                 |          |      | (97,350   | )  |
|                                  |  |                                               |          |      |      |    |
| Lumber0.04%                           |  | Futures contracts purchased0.04%                   |          |      | 48,114    |    |
|                                  |  |                                               |          |      |      |    |
| Metals                                |  |                                               |          |      |      |    |
|                                  |  | Futurescontracts sold0.06%                         |          |      | 69,925    |    |
|                                  |  | Futurescontracts purchased(0.46)%                  |          |      | (524,982  | )  |
|                                  |  | TotalFutures Contracts(0.40)%                      |          |      | (455,057  | )  |
|                                  |  |                                               |          |      |      |    |
|                                  |  | Unrealizeddepreciation on forward contracts(0.80)% |          |      | (926,543  | )  |
|                                  |  | Unrealizedappreciation on forward contracts1.37%   |          |      | 1,575,476 |    |
|                                  |  | Totalforward contracts0.57%                        |          |      | 648,933   |    |
| TotalMetals0.17%                      |  |                                               |          |      | 193,876   |    |
|                                  |  |                                               |          |      |      |    |
| Softs                                 |  | Futurescontracts sold(0.03)%                       |          |      | (29,600   | )  |
|                                  |  | Futurescontracts purchased(0.15)%                  |          |      | (172,955  | )  |
| TotalSofts(0.18)%                     |  |                                               |          |      | (202,555  | )  |
|                                  |  |                                               |          |      |      |    |
| Indices1.34%                          |  | Futures contracts purchased1.34%                   |          |      | 1,541,657 |    |
|                                  |  |                                               |          |      |      |    |
| TotalFair Value1.41%                  |  |                                               |          | $         | 1,628,472 |    |
|                                       |

|                    |  |                         |           |                              |  |        |        |               |  |  |
|--------------------|--|-------------------------|-----------|------------------------------|--|--------|--------|---------------|--|--|
| CountryComposition |  | Investmentsat FairValue |           | % of Investmentsat FairValue |
| Australia          |  | $                       | (157,768  | )                       |  |   | (9.69  | )%       |
| Canada             |  |                    | 213,007   |                         |  |   | 13.08  |          |
| France             |  |                    | (32,906   | )                       |  |   | (2.02  | )        |
| Germany            |  |                    | (175,358  | )                       |  |   | (10.77 | )        |
| HongKong           |  |                    | 6,625     |                         |  |   | 0.41   |          |
| Italy              |  |                    | 31,413    |                         |  |   | 1.93   |          |
| Japan              |  |                    | 359,079   |                         |  |   | 22.05  |          |
| Spain              |  |                    | 16,654    |                         |  |   | 1.02   |          |
| UnitedKingdom      |  |                    | 989,218   |                         |  |   | 60.75  |          |
| UnitedStates       |  |                    | 378,508   |                         |  |   | 23.24  |  %  |
|               |  | $                       | 1,628,472 |                         |  |   | 100.00 |          |
|                    |

Percentagesare based on Partners' capital unless otherwise indicated.

* Due to rounding

Seeaccompanying notes to financial statements.

F-19

----

CMF Winton Master Fund L.P.Statementof Income and Expensesfor the period November 1,2004(commencement of trading operations)to December 31,2004

|                                                                              |  |        |           |         |  |  |
|------------------------------------------------------------------------------|--|--------|-----------|---------|--|--|
|                                                                         |  | 2004   |
| Income:                                                                      |  |   |      |    |
| Netgains (losses) on trading of commodityinterests:                          |  |   |      |    |
| Realized gains on closedpositions and foreigncurrencies                      |  | $      | 4,622,324 |    |
| Net unrealizedlosses on openpositions                                        |  |   | (969,894  | )  |
|                                                                         |  |   | 3,652,430 |    |
| Interestincome (Note3c)                                                      |  |   | 244,406   |    |
|                                                                         |  |   | 3,896,836 |    |
| Expenses:                                                                    |  |   |      |    |
| Clearingfees                                                                 |  |   | 152,738   |    |
| Professionalfees                                                             |  |   | 12,000    |    |
|                                                                         |  |   | 164,738   |    |
| Netincome                                                                    |  | $      | 3,732,098 |    |
| Net income perRedeemable Unit of Limited Partnership Interest (Notes 1 and6) |  | $      | 78.85     |    |
|                                                                              |

Seeaccompanying notes to financial statements.

F-20

----

CMF Winton Master Fund L.P.Statementof Changes in Partners' Capitalfor the period from November1, 2004 (commencement of trading operations)to December 31,2004

|                                                                                                    |  |                         |             |         |  |  |
|----------------------------------------------------------------------------------------------------|--|-------------------------|-------------|---------|--|--|
|                                                                                               |  | LimitedPartners'Capital |
| Initialcapital contribution from Limited Partners at November 1, 2004representing 52,444.0345Units |  | $                       | 52,444,034  |    |
| Netincome                                                                                          |  |                    | 3,732,098   |    |
| Sale of 56,367.5633Redeemable Units of Limited PartnershipInterest                                 |  |                    | 61,144,754  |    |
| Redemption of 1,798.7090Redeemable Units of Limited PartnershipInterest                            |  |                    | (1,951,151  | )  |
| Distribution ofInterest to feeder funds                                                            |  |                    | (244,406    | )  |
| Partners' capital atDecember 31,2004                                                               |  | $                       | 115,125,329 |    |
| Netasset value per RedeemableUnit:                                                                 |  |                    |        |    |
|                                                                                                    |

|        |  |       |  |           |  |  |  |  |  |  |
|--------|--|-------|--|-----------|--|--|--|--|--|--|
|   |  | 2004: |  | $1,075.81 |
|        |

Seeaccompanying notes to financial statements.

F-21

----

CMF Winton Master Fund L.P.Statementof Cash Flowsfor the period November 1, 2004(commencement oftrading operations) to December 31,2004

|                                                                                           |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2004   |
| Cashflows from operating activities:                                                      |  |   |        |    |
| Netincome                                                                                 |  | $      | 3,732,098   |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |
| (Increase) decreasein restrictedcash                                                      |  |   | (26,264,586 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 2,089,692   |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                    |  |   | (1,336,229  | )  |
| (Increase) decrease ininterestreceivable                                                  |  |   | (166,197    | )  |
|                                                                                      |  |   |        |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | 216,431     |    |
| Accruedexpenses:                                                                          |  |   |        |    |
| Increase (decrease) in professionalfees                                                   |  |   | 12,000      |    |
| Increase (decrease) indistributionpayable                                                 |  |   | 166,197     |    |
| Net cashprovided by (used in) operatingactivities                                         |  |   | (21,550,594 | )  |
|                                                                                      |  |   |        |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |
| Proceeds fromadditions                                                                    |  |   | 110,990,422 |    |
| Payments forredemptions                                                                   |  |   | (1,951,151  | )  |
| Distribution ofinterest to feederfunds                                                    |  |   | (244,406    | )  |
| Net cashprovided by (used in) financingactivities                                         |  |   | 108,794,865 |    |
|                                                                                      |  |   |        |    |
| Netchange in cash                                                                         |  |   | 87,244,271  |    |
| Unrestrictedcash, at beginning ofperiod                                                   |  |   | —     |    |
| Unrestrictedcash, at end ofperiod                                                         |  | $      | 87,244,271  |    |
| Noncash financing activities:                                                             |  |   |        |    |
| Contribution of opencommodity futures and forwardspositions                               |  | $      | 2,598,366   |    |
|                                                                                           |

Seeaccompanying notes to unaudited financialstatements.

F-22

----

CMFWinton Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

On November 1, 2004 (date Mastercommenced trading), CMF Winton Feeder Fund L.P. ("WintonFeeder") allocated substantially all of its capital andSmith Barney Diversified Futures Fund L.P.("Diversified") and Smith Barney OrionFutures Fund L.P. ("Orion") allocated aportion of their capital to the Master. Winton Feeder purchased2,000.0000 Units of the Master with cash equal to $2,000,000. Orionpurchased 35,389.8399 Units of the Master with cash equal to$33,594,083 and a contribution of open commodity futures and forwardpositions with a fair value of $1,795,757. Diversified purchased15,054.1946 Units of the Master with cash equal to $14,251,586 and acontribution of open commodity futures and forward positions with afair value of $802,609. On December 1, 2004, Citigroup DiversifiedFutures Fund L.P. ("Citigroup Diversified")allocated a portion of its capital to the Master and purchased52,981.2908 Redeemable Units with cash equal to $57,471,493. The Masterwas formed to permit commodity pools managed now or in the future byWinton Capital Management Limited (the"Advisor") using the Diversified program, theAdvisor's proprietary trading program, to invest together in onevehicle.

The Master operates under a "master/feederfund" structure where its investors consist of WintonFeeder, Orion, Diversified and Citigroup Diversified (each a"Feeder", collectively the"Feeder Funds") with 3.1%,33.4%, 14.0% and 49.5% investments in the Masterat December 31, 2004, respectively.

Citigroup Managed FuturesLLC, formerly Smith Barney Futures Management LLC, acts as the generalpartner (the "General Partner") of theMaster. The Master's commodity broker is Citigroup Global MarketsInc. ("CGM"), formerly Salomon Smith BarneyInc. CGM is an affiliate of the General Partner. The General Partner iswholly-owned by Citigroup Global Markets Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly-ownedsubsidiary of Citigroup Inc. Effective as of December 31, 2004, alltrading decisions for the Master are made by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | 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 statement of financial condition at fair value on thelast business day of the year, which represents market value for thosecommodity interests for which market quotations are readily available.Investments in commodity interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the year. Realized gains (losses) and changesin unrealized gains (losses) on open positions are recognized in theperiod in which the contract is closed or the changes occur and areincluded in net gains (losses) on trading of commodity interests. |

|          |                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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. |

F-23

----

CMFWinton Master Fund L.P.

Notes to FinancialStatements

3.    Agreements:

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

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

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

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. All exchange,clearing, user, give-up, floor brokerage and National FuturesAssociation fees are borne by the Master. All other fees includingCGM's direct brokerage commission shall be borne by the FeederFunds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2004, theamount of cash held by the Master for margin requirements was$26,264,586. 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, 2004 basedon a monthly calculation, was $3,595,835.

5.    Distributionsand Redemptions:

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

F-24

----

CMFWinton Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the period from November 1, 2004 (commencement of tradingoperations) to December  31, 2004 was asfollows:

|                                                        |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------|----------|---------|--|--|
|                                                   |  | 2004   |
| Netrealized and unrealized gains(losses)*              |  | $      | 75.92    |    |
| Interestincome                                         |  |   | 3.04     |    |
| Expenses**                                             |  |   | (0.11    | )  |
| Increase(decrease) for theperiod                       |  |   | 78.85    |    |
| Distributions                                          |  |   | (3.04    | )  |
| Netasset value per Redeemable Unit, beginning ofperiod |  |   | 1,000.00 |    |
| Net asset valueper Redeemable Unit, end ofperiod       |  | $      | 1,075.81 |    |
|                                                        |

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

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

|                                  |  |        |        |         |  |  |
|----------------------------------|--|--------|--------|---------|--|--|
| Ratiosto Average Net Assets:**** |  |   |   |    |
| Netinvestmentincome***           |  |   | 0.6    | %  |
| Operatingexpenses                |  |   | 1.3    | %  |
| Totalreturn                      |  |   | 7.9    | %  |
|                                  |

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

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

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

7.    Financial Instrument Risks:

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

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

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

F-25

----

CMFWinton 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, 2004. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-26

----

CMFWinton Master Fund L.P.

Notes to FinancialStatements

Selected unaudited quarterly financialdata for the Master for the period from November 1, 2004 (commencementof trading operations) to December 31, 2004 is summarizedbelow:

|                                                                                                                      |  |                                                       |           |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|-----------|--------|--|--|
|                                                                                                                 |  | Forthe period fromNovember 1, 2004 toDecember 31,2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                     | 3,744,098 |   |
| Net income(loss)                                                                                                     |  | $                                                     | 3,732,098 |   |
| Increase (decrease) in NetAsset Value per RedeemableUnit                                                             |  | $                                                     | 78.85     |   |
|                                                                                                                      |

F-27

----

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

None

Item 9A.    Controlsand Procedures.

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 or in other factors that couldsignificantly affect such controls subsequent to the date of theirevaluation as of year end.

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. At December 31, 2003, investment decisions were made byCampbell & Company, Inc., Winton Capital Management, Graham CapitalManagement L.P., and Willowbridge Associates, Inc.

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

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner. CGM, an affiliate of the General Partner, is thecommodity broker for the Partnership and receives brokerage commissionsfor such services, as described under "Item 1.Business." Brokerage commissions and clearingfees of $4,095,297 were earned by CGM for the year ended December 31,2004. Management fees and incentive fees of $1,334,878 and $1,959,015,respectively, were earned by the Advisors for the year ended December31, 2004.

Item 12.    Security Ownership of CertainBeneficial Owners and Management.

(a)    Securityownership of certain beneficial owners. As of March 1, 2005, thePartnership knows of no person who beneficially owns more than5% of the Redeemable Units outstanding.

(b)    Security ownership of management. Under the termsof the Limited Partnership Agreement, the Partnership's affairsare managed by the General Partner. The General Partner owns Units ofgeneral partnership interest equivalent to 1,276.7484 Unit equivalents(3.2%) as of December 31, 2004.

(c)    Changes incontrol. None.

Item 13.    Certain Relationship andRelated Transactions.

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

24

----

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:

|            |         |
|------------|---------|
| 2004  | $31,670 |

|            |         |
|------------|---------|
| 2003  | $31,136 |

(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:

|            |        |
|------------|--------|
| 2004  | $5,136 |

|            |        |
|------------|--------|
| 2003  | $4,809 |

(4)    All OtherFees. None.

(5)    Not Applicable.

(6)    NotApplicable.

PART IV

Item 15.    Exhibits,Financial Statement Schedules, and Reports on Form 8-K.

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

|        |                                                                 |
|--------|-----------------------------------------------------------------|
|   | Statements of Financial Condition at December 31,2004 and 2003. |

|        |                                                                  |
|--------|------------------------------------------------------------------|
|   | Condensed Schedules ofInvestments at December 31, 2004 and 2003. |

|        |                                                                                        |
|--------|----------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses for the yearsended December 31, 2004, 2003 and 2002. |

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners' Capitalfor the years ended December 31, 2004, 2003 and2002. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for the yearsended December 31, 2004, 2003 and 2002. |

|        |                               |
|--------|-------------------------------|
|   | Notesto Financial Statements. |

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

|        |             |                                                                                                                                                      |
|--------|-------------|------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.1 – | LimitedPartnership Agreement (filed as Exhibit 3.1 to the RegistrationStatement on Form S-1 (File No. 33-75056 and incorporated herein byreference). |

|        |             |                                                                                                                                                                                                                                                                |
|--------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 3.2 – | Certificate of Limited Partnership of thePartnership as filed in the office of the County Clerk of New YorkCounty on October 13, 1993 (filed as Exhibit 3.2 to the RegistrationStatement on Form S-1 (File No. 33-75056) and incorporated herein byreference). |

|        |             |                                                                                                                                                                                      |
|--------|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.1– | Customer Agreement between the Partnershipand Smith Barney (filed as Exhibit 10.1 to the Registration Statementon Form S-1 (File No. 33-75056) and incorporated herein byreference). |

|        |             |                                                                                                                                                                                       |
|--------|-------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.3– | Escrow Instructions relating to escrow ofsubscription funds (filed as Exhibit 10.3 to the Registration Statementon Form S-1 (File No. 33-75056) and incorporated herein byreference). |

|        |              |                                                                                                                                                                                                                           |
|--------|--------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.5 – | Management Agreement among the Partnership, theGeneral Partner and Campbell & Company, Inc. (filed as Exhibit 10.5to the Registration Statement on Form S-1 (File No. 33-75056) andincorporated herein by reference). |

25

----

|        |              |                                                                                                                                                                                                                                  |
|--------|--------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.6 – | Management Agreement among the Partnership, theGeneral Partner and Colorado Commodity Management Corp. (filed asExhibit 10.6 to the Registration Statement on Form S-1 (File No.33-75056) and incorporated herein by reference). |

|        |              |                                                                                                                                                                                                                               |
|--------|--------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.7 – | ManagementAgreement among the Partnership, the General Partner and John W. Henry& Company, Inc. (filed as Exhibit 10.7 to the RegistrationStatement on Form S-1 (File No. 33-75056) and incorporated herein byreference). |

|        |              |                                                                                                                                                                                                                       |
|--------|--------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.8 – | Management Agreement among the Partnership, theGeneral Partner and Hyman Beck & Company (filed as Exhibit 10.8 tothe Registration Statement on Form S-1 (File No. 33-75056) andincorporated herein by reference). |

|        |             |                                                                                                                                                    |
|--------|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.9– | Letter dated May 19, 1994 from the GeneralPartner to Colorado Commodities Management Corp. terminating theManagement Agreement (previously filed). |

|        |               |                                                                                                                |
|--------|---------------|----------------------------------------------------------------------------------------------------------------|
|   | 10.10 – | ManagementAgreement among the Partnership, the General Partner and ChesapeakeCapital Corp. (previously filed). |

|        |              |                                                                                                                                                                                  |
|--------|--------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.11– | Letters extending Management Agreementswith John W. Henry & Company, Inc., Hyman Beck & Company,Campbell & Co., Inc. and Chesapeake Capital Corp. (previouslyfiled). |

|        |               |                                                                                                           |
|--------|---------------|-----------------------------------------------------------------------------------------------------------|
|   | 10.12 – | Management Agreement among the Partnership, theGeneral Partner and Abraham Trading Co. (previouslyfiled). |

|        |               |                                                                                                                  |
|--------|---------------|------------------------------------------------------------------------------------------------------------------|
|   | 10.13 – | Management Agreement among the Partnership, theGeneral Partner and Rabar Market Research Inc. (previouslyfiled). |

|        |               |                                                                                                                    |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------|
|   | 10.14 – | Management Agreement among the Partnership, theGeneral Partner and AIS Futures Management, Inc. (previouslyfiled). |

|        |               |                                                                                                                                          |
|--------|---------------|------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.15 – | Letter dated October 1, 1996 from the GeneralPartner to Hyman Beck & Company terminating the ManagementAgreement (previously filed). |

|        |               |                                                                                                                                                                           |
|--------|---------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.16 – | Management Agreement among the Partnership, theGeneral Partner and Telesis Management Inc. (filed as Exhibit 10.16 tothe Form 10-K for the year ended December 31, 1997). |

|        |               |                                                                                                                                                          |
|--------|---------------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.17 – | Letterterminating Management Agreement with Chesapeake Capital Corporation(filed as Exhibit 10.17 to the Form 10-K for the year ended December31, 1997). |

|        |               |                                                                                                                                                |
|--------|---------------|------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.18 – | Letter terminating Management Agreement withAbraham Trading Co. (filed as Exhibit 10.18 to the Form 10-K for theyear ended December 31, 1997). |

|        |               |                                                                                                                                                                              |
|--------|---------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.19 – | Management Agreement among the Partnership, theGeneral Partner and Trendview Management, Inc. (filed as Exhibit 10.19to the Form 10-K for the year ended December 31, 1997). |

|        |               |                                                                                                                                                                                                                                                                                           |
|--------|---------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.20 – | Lettersextending Management Agreements with Campbell & Co., ChesapeakeCapital Corp., John W. Henry & Company Inc., AIS Futures ManagementL.L.C., Abraham Trading Co. and Rabar Market Research Inc. (filed asExhibit 10.20 to the Form 10-K for the year ended December 31,1997). |

|        |               |                                                                    |
|--------|---------------|--------------------------------------------------------------------|
|   | 10.21 – | Letter terminating AIS Futures Management, Inc.(previously filed). |

|        |               |                                                               |
|--------|---------------|---------------------------------------------------------------|
|   | 10.22 – | Letter terminating Telesis Management Inc.(previously filed). |

|        |               |                                                                                                                                                                               |
|--------|---------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.23 – | Letters extending Management Agreements withCampbell & Co., John W. Henry & Company Inc., Rabar MarketResearch Inc. and Trendview Management Inc. (previously filed). |

|        |               |                                                                                                                                                                                |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.24 – | ManagementAgreement among the Partnership, the General Partner and WillowbridgeAssociates, Inc. (filed as Exhibit 10.24 to the Form 10-K for the yearended December 31, 1999). |

26

----

|        |               |                                                                                                                                                                                      |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.25 – | Management Agreement among the Partnership, theGeneral Partner and Stonebrook Capital Management, Inc. (filed asExhibit 10.25 to the Form 10-K for the year ended December 31,1999). |

|        |              |                                                                                                                                                                                    |
|--------|--------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.26– | Letters extending Management Agreements withCampbell & Co., Inc., John W. Henry & Company Inc., RabarMarket Research Inc. and Trendview Management Inc. (previouslyfiled). |

|        |               |                                                                                                                                  |
|--------|---------------|----------------------------------------------------------------------------------------------------------------------------------|
|   | 10.27 – | Letters terminating John W. Henry & CompanyInc., Rabar Market Research Inc. and Trendview Management Inc.(previously filed). |

|        |               |                                                                                                                    |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------|
|   | 10.28 – | Management Agreement among the Partnership, theGeneral Partner and Bridgewater Associates, Inc. (previouslyfiled). |

|        |               |                                                                                                                         |
|--------|---------------|-------------------------------------------------------------------------------------------------------------------------|
|   | 10.29 – | Management Agreement among the Partnership, theGeneral Partner and Dominion Capital Management, Inc. (previouslyfiled). |

|        |               |                                                                                                                                                                |
|--------|---------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.30 – | Letters extending Management Agreements withCampbell & Co., Inc., Willowbridge Associates, Inc. and StonebrookStructured Products, LLC (previously filed). |

|        |               |                                                                    |
|--------|---------------|--------------------------------------------------------------------|
|   | 10.31 – | Letterterminating Bridgewater Associates, Inc. (previously filed). |

|        |               |                                                                                                                 |
|--------|---------------|-----------------------------------------------------------------------------------------------------------------|
|   | 10.32 – | ManagementAgreement among the Partnership, the General Partner and Winton CapitalManagement (previously filed). |

|        |               |                                                                                                                      |
|--------|---------------|----------------------------------------------------------------------------------------------------------------------|
|   | 10.33 – | Management Agreement among the Partnership, theGeneral Partner and Graham Capital Management L.P. (previouslyfiled). |

|        |               |                                                                                                                                                                                                  |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.34 – | Letters extending Management Agreements withCampbell & Co., Inc., Willowbridge Associates, Inc., DominionCapital Management, Inc. and Stonebrook Structured Products, LLC(previously filed). |

|        |               |                                                                         |
|--------|---------------|-------------------------------------------------------------------------|
|   | 10.35 – | Letter terminating Dominion Capital Management,Inc. (previously filed). |

|        |               |                                                                                                                                                                                                                          |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.36 – | Letters extending Management Agreements withCampbell & Co., Inc., Willowbridge Associates, Inc., Winton CapitalManagement, Stonebrook Structured Products, LLC and Graham CapitalManagement L.P. (previously filed). |

|        |              |                                                                          |
|--------|--------------|--------------------------------------------------------------------------|
|   | 10.37– | Letter terminating Stonebrook StructuredProducts LLC (previously filed). |

|        |               |                                                                                                                                                                                       |
|--------|---------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.38 – | Letters extending Management Agreements withCampbell & Co., Inc., Willowbridge Associates, Inc., Winton CapitalManagement, and Graham Capital Management L.P. (previously filed). |

|        |       |                                                                                                                                                                                 |
|--------|-------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.39 | Letters extendingManagement Agreements with Campbell & Co. Inc., WillowbridgeAssociates, Inc., Winton Capital Management, and Graham CapitalManagement L.P. (filed herein). |

|        |              |                                                       |
|--------|--------------|-------------------------------------------------------|
|   | 16.1 – | Letter from PricewaterhouseCoopers (previouslyfiled). |

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

|        |              |                                                                                |
|--------|--------------|--------------------------------------------------------------------------------|
|   | 31.1 – | Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector) |

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

|        |              |                                                                     |
|--------|--------------|---------------------------------------------------------------------|
|   | 32.1 – | Section 1350Certification (Certification of President and Director) |

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

|           |                                 |
|-----------|---------------------------------|
| (b)  | Reports on Form 8-K: NoneFiled. |

27

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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 proxy material has been sent to LimitedPartners.

28

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 31st day of March 2005.

SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.

By:    Citigroup Managed Futures LLC           (General Partner)

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

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

|                             |  |                        |  |  |  |  |
|-----------------------------|--|------------------------|--|--|--|--|
| /s/ David J. Vogel          |  | /s/ ShelleyUllman      |
| David J. Vogel              |  | ShelleyUllman          |
| President andDirector       |  | Director               |
| /s/ MaureenO'Toole          |  | /s/ Steven J. Keltz    |
| Maureen O'Toole             |  | Steven J. Keltz        |
| Director                    |  | Secretary and Director |
| /s/ Daniel R. McAuliffe,Jr. |  |                   |
| Daniel R. McAuliffe,Jr.     |  |                   |
| Chief Financial Officerand  |  |                   |
| Director                    |  |                   |
|                             |

29

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