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

FORM 10-K

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

For theyear ended December 31, 2005

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 731 Lexington Ave. – 25thNew York, New York 10022 |
| (Addressand Zip 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

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Indicated by check mark if the registrant is awell known seasonal issuer as defined in Rule 405 of the SecuritiesAct.

Yes             NoX

Indicate by check mark if the registrant is not required tofile reports pursuant to section 13 or section 15(d) of theAct.

Yes             NoX

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 a large accelerated filer, a acceleratedfiler, or an non-accelerated filer (as defined in Rule 12b-2 of theAct).

Large Accelerated Filer            Accelerated Filer             Non-accelerated FilerX

Indicate by check mark if the registrant is ashell company (as defined in rule 12b-2 of the Act.

Yes            No X

LimitedPartnership Redeemable Units with an aggregate value of $58,916,700were outstanding and held by non-affiliates as of the last business dayof the registrant's most recently completed second fiscalquarter.

As of February 28, 2006, 33,994,0887 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTSINCORPORATED BYREFERENCE

None

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PART I

Item1.    Business

(a) General development ofbusiness. Smith Barney Diversified 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, 2005 are reported in the Statement of Changes inPartners' Capital on page F-9 under "Item 8.Financial Statements and Supplementary Data."

Effective November 1, 2004, the Partnership allocated capital fortrading to CMF Winton Master L.P., a limited partnership organizedunder the partnership laws of New York State ("WintonMaster"). The Partnership purchased 15,054.1946 Units ofWinton Master with cash equal to $14,251,586, and a contribution ofopen commodity futures and forward positions with a value of $802,609.The Winton Master was formed in order to permit commodity pools managednow or in the future by Winton Capital Management Limited("Winton"), to invest together in one tradingvehicle. The General Partner is the general partner of Winton Master.Individual and pooled accounts currently managed by Winton, includingthe Partnership are permitted to be limited partners of the WintonMaster. The General Partner and Winton believe that trading throughthis structure should promote efficiency and economy in the tradingprocess. Expenses to investors as a result of the investment in theWinton Master are approximately the same and redemption rights are notaffected.

Effective January 1, 2005, the assets allocated toCampbell for trading were invested in the CMF Campbell Master Fund L.P.("Campbell Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 19,621.1422 Units of Campbell Master equal to$19,428,630, and a contribution of open commodity futures and forwardpositions with a value of $192,512. Campbell Master was formed in orderto permit commodity pools managed now or in the future by Campbell& Company, Inc. ("Campbell") using itsFinancials Metals and Energy "FME" portfolio,to invest together in one trading vehicle. The General Partner is thegeneral partner of Campbell Master. Individual and pooled accountscurrently managed by Campbell, including the Partnership are permittedto be limited partners of Campbell Master. The General Partner andCampbell believe that trading through this structure should promoteefficiency and economy in the trading process. Expenses to investors asa result of the investment in Campbell Master are approximately thesame and redemption rights are not affected.

Effective July 1,2005, the assets allocated to Willowbridge for trading were invested inthe CMF Willowbridge Argo Master Fund L.P. ("WillowbridgeMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased12,259.3490 Units of Willowbridge Master with cash equal to$11,118,119, and a contribution of open commodity futures and forwardpositions with a fair value of $1,141,230. Willowbridge Master wasformed in order to permit commodity pools managed now or in the futureby Willowbridge Associates, Inc.("Willowbridge") using its Argo TradingProgram, to invest together in one trading vehicle. The General Partneris the general partner of Willowbridge Master. Individual and pooledaccounts currently managed by Willowbridge, including the Partnershipare permitted to be limited partners of Willowbridge Master. TheGeneral Partner and Willowbridge believe that trading through thisstructure should promote efficiency and economy in the 

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trading process. Expenses to investors as aresult of the investment in Willowbridge Master are approximately thesame and redemption rights are not affected.

CampbellMaster's, Willowbridge Master's and Winton Master's(the "Master Funds") trading of futures,forwards and options contracts, if applicable, on commodities is doneprimarily on United States of America commodity exchanges and foreigncommodity exchanges. The Master Funds all engage in such tradingthrough commodity brokerage accounts maintained with CGM.

Alimited partner may withdraw all or part of its capital contributionand undistributed profits, if any, from the Master Funds in multiplesof the net asset value per unit of limited partnership interest as ofthe last day of a month after a request for redemption has been made tothe General Partner at least 3 days in advance of month-end.

Management and incentive fees are charged at the Partnership level.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master Funds. All other feesincluding CGM's direct brokerage commission are charged at thePartnership level.

At December 31, 2005 the Partnership owns4.7%, 7.4% and 8.7%, respectively of CampbellMaster, Willowbridge Master and Winton Master. At December 31, 2004 thePartnership owns 14.0% of the Winton Master. It isCampbell's, Winton's and Willowbridge's intention tocontinue to invest the assets allocated to each by the Partnership inthe Campbell Master, Winton Master and Willowbridge Master,respectively. The performance of the partnership is directly affectedby the performance of Master Funds.

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

The Partnership's trading of futures, forwards andoptions contracts, if applicable, on commodities is done on UnitedStates of America and foreign commodity exchanges. It engages in suchtrading through a commodity brokerage account maintained with CGM. Asof December 31, 2005, all commodity trading decisions are made for thePartnership by Campbell & Company, Inc.("Campbell"), Willowbridge Associates, Inc.("Willowbridge"), Winton Capital ManagementLimited ("Winton") and Graham CapitalManagement, L.P. ("Graham") (collectively,the "Advisors"). None of the Advisors areaffiliated 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 equal to 1/6 of 1% (2% per year) of month-end NetAssets allocated to the Advisor as of the end of each month. Wintonwill receive a monthly management fee equal to 1/12 of 1.50%(1.50% per year), of month-end Net Assets allocated to theAdvisor as of the end of each month. Month-end Net Assets for thepurpose of calculating management fees are Net Assets, as defined inthe Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees. 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 

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basis. Month-end Net Assets for the purpose ofcalculating commissions are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of accrued expenses andredemptions payable. Persons investing $1,000,000 or more will pay areduced brokerage fee of 7/24 of 1% of month-end Net Assets(3.5% per year), receiving the differential between this reducedfee and 5.5% per year in the form of additional RedeemableUnits. CGM pays a portion of its brokerage fees to its financialadvisors who have sold Redeemable Units and who are registered asassociated persons with the Commodity Futures Trading Commission (the"CFTC"). The Partnership pays for NationalFutures Association ("NFA") fees, exchangeand clearing fees, give-up and user fees and floor brokerage fees. TheCustomer Agreement between the Partnership and CGM gives thePartnership the legal right to net unrealized gains and losses.Brokerage fees will be paid for the life of the Partnership, althoughthe rate at which such fees are paid may be changed.

Inaddition, CGM pays the Partnership interest on 80% of theaverage daily equity maintained in cash in its account during eachmonth at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. 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 31,2005, 2004, 2003, 2002 and 2001 is set forth under "Item6. Selected Financial Data". ThePartnership's capital as of December 31, 2005 was$58,008,725.

(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 1A.    Risk Factors

Thetrading of commodity interests is speculative, volatile and involves ahigh degree of leverage. A small change in the market price of acommodity interest contract can produce major losses for thePartnership.

Due to the speculative nature of trading commodityinterests, an investor could lose all of its investment in thePartnership.

Regardless of its trading performance, thePartnership will incur fees and expenses, including brokerage andmanagement fees. Fees will be paid to the trading advisor even if thePartnership experiences a net loss for the full year.

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

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

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| 1.  | The General Partner and commoditybroker are affiliates; |

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

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

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

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

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

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

Item2.    Properties.

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

Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which CGMHI or its subsidiaries is a party or to whichany of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

CGM is a New York corporation with its principal place of businessat 388 Greenwich St., New York, New York 10013. CGM is registered as abroker-dealer and futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against Citigroup Global Markets (formerly known asSalomon Smith Barney) or any of its individual principals and no suchactions are currently pending, except as follows.

RegulatoryMatters

Both the Department of Labor and the Internal RevenueService ("IRS") have advised Citigroup GlobalMarkets that they were or are reviewing transactions in which AmeritechPension Trust purchased from Citigroup Global Markets and certainaffiliates approximately $20.9 million in participations in a portfolioof motels owned by Motels of America, Inc. and Best Inns, Inc. Withrespect to the IRS review, Citigroup Global Markets and certainaffiliated entities have consented to extensions of time for theassessment of excise taxes that may be claimed to be due with respectto the transactions for the years 1987, 1988 and 1989.

IPORegulatory Inquiries

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

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against Citigroup Global Markets and other investment banks namedin numerous alleged class actions filed in the United States DistrictCourt 

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for the Southern District of New York,alleging violations of certain federal securities laws (includingSection 11 of the Securities Act of 1933, as amended, and Section 10(b)of the Securities Exchange Act of 1934, as amended) with respect to theallocation of shares for certain initial public offerings and relatedaftermarket transactions and damage to investors caused by allegedlybiased research analyst reports. On February 19, 2003, the Court issuedan opinion denying defendants' motion to dismiss.

OnOctober 13, 2004, the court granted in part the motion to certify classactions for six focus cases in the securities litigation. CitigroupGlobal Markets is not a defendant in any of the six focus cases. Theunderwriter defendants in the focus cases have filed a petition to theUnited States Court of Appeals for the Second Circuit seeking review ofthis decision.

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

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

Research Settlement

On April 28,2003, Citigroup Global Markets announced final agreements with the SEC,the NASD, the NYSE and the New York Attorney General (as lead stateamong the 50 states, the District of Columbia and Puerto Rico) toresolve on a civil basis all of their outstanding investigations intoits research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and related NASD and NYSE rules relatingto research, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

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

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Several individual actions have been filedagainst Citigroup and Citigroup Global Markets relating to, among otherthings, research on Qwest Communications International, Inc. allegingviolations of state and federal securities laws.

EnronRegulatory Settlement

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

Enron-Related Civil Actions

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

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

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

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In April 2005, Citigroup, along with otherfinancial institution defendants, reached an agreement-in-principle tosettle four state-court actions brought by various investment funds,which were not previously consolidated or coordinated with otheractions. The four cases are OCM Opportunities Fund III, L.P., et al.v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, etal. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc.,et al. and Principal Global Investors v. Citigroup Inc., et al. Theamounts to be paid in settlement of these actions are covered byexisting litigation reserves.

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

Dynegy Inc.

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

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

WorldCom-RelatedLitigation

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

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

Numerousother actions asserting claims against Citigroup Global Markets inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States District Court for theSouthern District of New York to be consolidated with the class action.In addition 

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to the court suits, actions asserting claimsagainst Citigroup and certain of its affiliates relating to itsWorldCom research reports are pending in numerous arbitrations aroundthe country. These actions assert claims that are substantially similarto the claims asserted in the class action.

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

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

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

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

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

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

Global Crossing

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

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding 

8

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asserting claims against, among others,Citigroup, Citigroup Global Markets and certain executive officers andcurrent and former employees, under federal bankruptcy law and commonlaw in connection with Citigroup Global Markets' research reportsabout Global Crossing and for its role as an underwriter in GlobalCrossing offerings, and (ii) an adversary proceeding against Citigroupand several other financial institutions seeking to rescind the paymentof a $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

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

Adelphia Communications Corporation

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

In addition, Citigroup GlobalMarkets is among the underwriters named in numerous civil actionsbrought to date by investors in Adelphia debt securities in connectionwith Adelphia securities offerings between September 1997 and October2001. Three of the complaints also asserted claims against Citigroupand Citibank, N.A. All of the complaints alleged violations of federalsecurities laws, and certain of the complaints also alleged violationsof state securities laws and the common law. The complaints soughtunspecified 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 May andJuly of 2005, the United States District Court for the SouthernDistrict of New York dismissed several claims on statute of limitationsgrounds in the class and individual actions being coordinated underIn Re: Adelphia Communications Corporation Securities andDerivatives Litigation. With the exception of one individual actionthat was dismissed with prejudice, the court granted the class andindividual plaintiffs leave to re-plead certain of those claims thecourt found to be time-barred. Additional motions to dismiss the classcomplaint and the remaining individual complaints on other groundsremain pending.

Mutual Funds

Citigroup and certain ofits affiliates have been named in several class action litigationspending in various federal district courts arising out of allegedviolations of the federal securities laws, the Investment Company Actand the common law (including breach of fiduciary duty and unjustenrichment). The claims concern practices in connection with the saleof mutual funds, including allegations involving market timing, revenuesharing, 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 

9

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seek unspecified compensatory damages,rescissionary damages, injunctive relief, costs and fees. In theprincipal market timing cases that name Citigroup, a lead plaintiff hasbeen appointed but that plaintiff has not yet filed an amendedcomplaint. In the cases concerning revenue sharing, incentive paymentand other issues, the lead plaintiff filed a consolidated and amendedcomplaint on December 15, 2004.

Several issues in the mutualfund industry have come under the scrutiny of federal and stateregulators. Citigroup has received subpoenas and other requests forinformation from various government regulators regarding market timing,financing, fees, sales practices and other mutual fund issues inconnection with various investigations. Citigroup is cooperating withall such reviews. Additionally, Citigroup Global Markets has enteredinto a settlement agreement with the SEC with respect to revenuesharing and sales of classes of funds.

On May 31, 2005,Citigroup announced that Smith Barney Fund Management LLC and CitigroupGlobal Markets completed a settlement with the SEC resolving aninvestigation by the SEC into matters relating to arrangements betweencertain Smith Barney mutual funds, an affiliated transfer agent and anunaffiliated sub-transfer agent. Under the terms of the settlement,Citigroup agreed to pay fines totaling $208.1 million. The settlement,in which Citigroup neither admitted nor denied any wrongdoing orliability, includes allegations of willful misconduct by Smith BarneyFund Management LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Research Analyst Litigation

Since May 2002,Citigroup Global Markets and certain executive officers and current andformer employees have been named as defendants in numerous allegedclass action complaints, individual actions, and arbitration demands bypurchasers of various securities alleging that they violated federalsecurities law, including Sections 10 and 20 of the Securities ExchangeAct of 1934, as amended, and certain state laws for allegedly issuingresearch reports without a reasonable basis in fact and for allegedlyfailing to disclose conflicts of interest with companies in connectionwith published investment research,  including Global Crossing,Ltd., AT&T Corp., Level 3 Communications, Inc., Metromedia FiberNetwork, Inc., XO Communications, Inc., Williams Communications GroupInc., and Focal Communications, Inc. The alleged class actions relatingto research of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

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

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

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

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations 

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of the Investment Advisers Act of 1940 andvarious common law claims in connection with certain investors whomaintained guided portfolio management accounts at Smith Barney. Thesettlement amount is covered by existing litigation reserves. Thesettlement is subject to judicial approval.

On August 17, 2005,in Disher v. Citigroup Global Markets Inc., the United StatesCourt of Appeals for the Seventh Circuit reversed the districtcourt's grant of plaintiffs' motion to remand the case tostate court, and directed the district court to dismiss the case aspreempted under the Securities Litigation Uniform Standards Act("SLUSA"). The United States Supreme Courthas granted review in another case involving SLUSA that may affect theSeventh Circuit's dismissal of the Disher matter.

InSturm, et al. v. Citigroup, et al., an NASD arbitration seekingsignificant compensatory and punitive damages, claimants'asserted common law claims, including fraud, arising out of allegedresearch analyst conflicts of interest related to Citigroup GlobalMarkets research coverage of WorldCom.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASD issued asubpoena and letters to Citigroup Global Markets requesting documentsand information with respect to their continuing investigation ofindividuals in connection with the supervision of the research andinvestment banking departments of Citigroup Global Markets. Otherparties to the Research Settlement have received similar subpoenas andletters.

West Virginia Attorney General Suit

On June23, 2003, the West Virginia Attorney General filed an action againstCitigroup Global Markets and nine other firms that were parties to theResearch Settlement. The West Virginia Attorney General alleges thatthe firms violated the West Virginia Consumer Credit and Protection Actin connection with their research activities and seeks monetarypenalties.

Citigroup Shareholder Litigation

In July2002, Citigroup, Citigroup Global Markets and certain officers werenamed as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

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

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In the course of its business, CitigroupGlobal Markets, as a major futures commission merchant andbroker-dealer, is a party to various claims and routine regulatoryinvestigations and proceedings that the General Partner believes do nothave a material effect on the business of Citigroup Global Markets.

Item 4.    Submission of Matters to a Vote of SecurityHolders.

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

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PART II

|              |                                                                           |
|--------------|---------------------------------------------------------------------------|
| Item5.  | Market for Registrant's Common 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, 2005 was 510.

(c)    Dividends. ThePartnership did not declare a distribution in 2005 or2004.

(d)    Use of Proceeds. There were no additionalsales of Redeemable Units for the 12 months ended December 31, 2005.For the twelve months ended December 31, 2004, there were additionalsales of 1.1848 Redeemable Units totaling $1,995. For the twelve monthsended December 31, 2003, there were additional sales of 5.7407Redeemable Units totaling $8,940.

(e)    CompensationPlans. None

Proceeds from the sale of additional RedeemableUnits are used in the trading of commodity interests including futurescontracts, options and forward contracts.

Item6.    Selected Financial Data.

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

|                                                                                                                                                                                                                 |  |        |            |         |  |        |            |        |  |        |            |        |  |        |            |        |  |        |            |         |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--------|------------|---------|--|--|
|                                                                                                                                                                                                            |  | 2005   |            | 2004    |  | 2003   |            | 2002   |  | 2001   |
| Realizedand unrealized trading gains (losses) net of brokerage commissions andInvestment in Partnerships (including clearing fees) of $3,461,689,$4,095,297, $4,367,509, $3,930,667 and $4,686,916,respectively |  | $      | (4,344,661 | )  |  | $      | 7,186,726  |   |  | $      | 13,380,995 |   |  | $      | 16,374,175 |   |  | $      | (2,355,466 | )  |
|                                                                                                                                                                                                            |  |   |       |    |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Interestincome                                                                                                                                                                                                  |  |   | 501,524    |    |  |   | 640,231    |   |  |   | 575,911    |   |  |   | 816,470    |   |  |   | 2,044,447  |    |
|                                                                                                                                                                                                            |  | $      | (3,843,137 | )  |  | $      | 7,826,957  |   |  | $      | 13,956,906 |   |  | $      | 17,190,645 |   |  | $      | (311,019   | )  |
| Netincome(loss)                                                                                                                                                                                                 |  | $      | (5,366,044 | )  |  | $      | 4,444,283  |   |  | $      | 10,180,158 |   |  | $      | 12,647,726 |   |  | $      | (3,195,464 | )  |
|                                                                                                                                                                                                            |  |   |       |    |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                        |  | $      | (135.01    | )  |  | $      | 107.72     |   |  | $      | 218.21     |   |  | $      | 257.21     |   |  | $      | (52.73     | )  |
|                                                                                                                                                                                                            |  |   |       |    |  |   |       |   |  |   |       |   |  |   |       |   |  |   |       |    |
| Totalassets                                                                                                                                                                                                     |  | $      | 59,538,339 |    |  | $      | 72,723,250 |   |  | $      | 75,961,490 |   |  | $      | 71,191,000 |   |  | $      | 67,123,600 |    |
|                                                                                                                                                                                                                 |

|              |                                                                                       |
|--------------|---------------------------------------------------------------------------------------|
| 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"), 

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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 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, 2005, the Partnership's assets were allocated amongthe Advisors in the following approximate percentages: Campbell,26%, Graham, 26%, Winton, 27% and Willowbridge,21%.

Graham Capital Management, L.P.

Graham currently trades both GDP and GST on behalf of thePartnership. Of the Partnership's assets allocated to Graham,53% is currently traded using GDP and 47% 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 are

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intended to generate significant returns overtime with an acceptable degree of risk and volatility. The computermodels on a daily basis analyze the recent price action, the relativestrength and the risk characteristics of each market and comparestatistically the quantitative results of this data to years ofhistorical data on each market. GDP trades in approximately 80markets.

GST uses a mathematical model to identify certain pricepatterns that have very specific characteristics indicating that thereis a high probability that a significant directional move will occur.Although the program does not trade against the market trend, it is nota true trend-following system inasmuch as it will only participate inspecific types of market moves that meet the restrictive criteria ofthe model. In general, this program will participate only insignificant market moves that are characterized by a substantialincrease in volatility. As a result, it frequently will not participatein a market trend in which virtually all trend-following systems wouldhave a position. GST trades in approximately 70 markets.

Campbell & Company, Inc.

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

Campbell believes that utilizing multiple tradingmodels provides an important level of diversification, and is mostbeneficial when multiple contracts of each market are traded. Everytrading model may not trade every market. It is possible that onetrading model may signal a long position while another trading modelsignals a short position in the same market. It is Campbell'sintention to offset those signals to reduce unnecessary trading, but ifthe signals are not simultaneous, both trades will be taken and sinceit is unlikely that both positions would prove profitable, inretrospect, one or both trades will appear to have been unnecessary. Itis Campbell's policy to follow trades signaled by each tradingmodel independently of the other models.

WillowbridgeAssociates, Inc.

Willowbridge trades thePartnership's assets allocated to it in accordance with itsSelect Investment Program, whereby the General Partner determined theinitial allocation of the Partnership's assets among one or moreof Willowbridge's strategies and may determine subsequentreallocations (if any). Of the Partnership's assets allocated toWillowbridge, 0% is currently traded using the Vulcan TradingSystem and 100% is currently traded using the Argo TradingSystem, each of which is described below.

For each of thesesystems, risk is managed on a market by market level as well as on anoverall portfolio level. On the market level, risk is managed primarilyby utilizing proprietary volatility filters. When these filters detecta certain excessive level of volatility in the markets traded, theywill signal that the systems should no longer be trading in the marketsin which the filters have detected excessive volatility. In this way,the systems do not participate in markets in which there are extremesin market action. On the portfolio level, risk is managed by utilizinga proprietary portfolio cutback rule. When cumulative profits havereached a certain level, this rule determines that positions should behalved across the entire portfolio. In this way, risk is reduced whileallowing the systems to continue to participate in the markets, albeitat a reduced level. After the portfolio has been traded at half, theportfolio cutback rule will then determine when to increase positionsto again trade at the full level.

The Vulcan Trading System,which commenced trading in 1988, is a computerized technical tradingsystem. It is not a trend-following system, but does ride a trend whenthe opportunity arises. Vulcan uses the concepts of patternrecognition, support/resistance levels, and counter-trend liquidationsin making trading decisions. In effect, Vulcan is more akin to asystematic technical charting system, as opposed to most computersystems which are based on pure trend-following calculations.

The Vulcan System is based on general technical trading principles.It applies these principles to a diversified portfolio of commoditiesand currencies. Given that the system is based on general principles,the system parameters used are the same for all items in the portfolioand are not optimized. In this manner, the Vulcan System minimizes theproblem of data-fitting.

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

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

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

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

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

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

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 

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holding on to positions for much longer thanconventional wisdom would dictate. Winton believes that a trader whopays attention to day-to-day events could be distracted from the chanceof fully capitalizing on such trends.

The Winton system tradesin all liquid U.S. and non-U.S. futures and forward contracts. Forwardmarkets include major currencies and precious and base metals, thelatter two categories being traded on the London Metal Exchange. Wintonseeks out new opportunities to add additional markets to the portfolio,with the goal of increasing the portfolio's diversification.

Winton believes that taking positions in a variety of unrelatedmarkets will, over time, decrease system volatility. By employing asophisticated and systematic method for placing orders in a wide arrayof markets, Winton believes that profits can be realized over time.

No assurance is given that an Advisor's trading program willbe profitable or that it will not experience losses.

(a)    Liquidity

The Partnership does not engagein sales of goods or services. Its only assets are its equity in itscommodity futures trading account, consisting of cash and cashequivalents, net unrealized appreciation (depreciation) on open futurespositions, unrealized appreciation on open forward contracts andinterest receivable. Because of the low margin deposits normallyrequired in commodity futures trading, relatively small price movementsmay result in substantial losses to the Partnership. Such substantiallosses could lead to a material loss in liquidity.

To minimizethis risk relating to low margin deposits, the Partnership followscertain trading policies, including:

|           |                                                                                                                                                                                                                                                                                                                                                   |
|-----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | ThePartnership invests its assets only in commodity interests that anAdvisor believes are traded in sufficient volume to permit ease oftaking and liquidating positions. Sufficient volume, in this context,refers to a level of liquidity that the Advisor believes will permit itto enter and exit trades 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 

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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.

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

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Partnership's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership'srisk exposure on a daily basis through financial, credit and riskmanagement monitoring systems, and accordingly believes that it haseffective procedures for evaluating and limiting the credit and marketrisks to which the Partnership is subject. These monitoring systemsallow the General Partner to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions. (Seealso "Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the Notes to Financial Statements.)

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

18

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as of the last day of each month on ten dayswritten notice to the General Partner. No fee will be charged forredemptions. For the year ended December 31, 2005, 3,642.8547Redeemable Units were redeemed totaling $5,856,089. 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.

The Partnership ceasedto offer Redeemable Units effective April 1, 1996. Additional sales of1.1848 Redeemable Units totaling $1,995 for the year ending December31, 2004 and 5.7407 Redeemable Units totaling $8,940 for the yearending December 31, 2003, represent additional Redeemable Units offeredas the differential between the ordinary brokerage fee and the reducedbrokerage fee to existing limited partners investing $1,000,000 ormore.

(c)    Results of Operations.

For theyear ended December 31, 2005 the Net Asset Value per Redeemable Unitsdecreased 7.7% from $1,746.36 to $1,611.35. For the year endedDecember 31, 2004, the Net Asset Value per Redeemable Unit increased6.7% from $1,636.64 to $1,746.36. For the year ended December31, 2003, the Net Asset Value per Redeemable Unit increased15.4% from $1,418.43 to $1,636.64.

The Partnershipexperienced a net trading loss of $882,972 before brokerage commissionsand related fees in 2005. Losses were primarily attributable to thetrading of commodity futures in currencies, grains, U.S. interestrates, livestock and softs and were partially offset by gains inenergy, non – U.S. interest rates, metals, indices andlumber.

The year 2005 was characterized by several events thatmade it generally difficult for the Partnership's advisors tonavigate the markets successfully and retain profits when earned.Profits were earned in energy, metals and stock indices as thesesectors had the most pronounced price trends while losses were incurredin currency, interest rate and agricultural markets. Over the course ofthe year, the general partner allocated partnership assets to advisorswhich tended to have shorter-term and more fundamentally based tradingstrategies in effort to capitalize on evolving market conditions.

Crude oil and natural gas prices increased throughout the yeardramatically reaching their peaks post Hurricanes Katrina and Rita.These markets provided extended trending patterns for thePartnership's advisors and resulted in profits for thepartnership.

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

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

Currency trading was notably unprofitablewith the focus being the U.S. dollar versus both European and Asiancurrencies. After a prolonged decline in 2004, the U.S. dollar defiedexpectations for further weakness and rallied in January resulting inlosses for the advisors at the beginning of the year. The dollarcontinued strengthening through the second quarter but encountered aprolonged period of volatility at the beginning of the third quarterwith the Chinese governments decision to revalue the Chinese yuan.Interest rate trading was mixed with gains in non-US contracts morethan offset by losses in US interest rate positions.

ThePartnership 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 andlumber 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 

19

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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.

2004 started strongly with many of the trends from late2003 continuing into early 2004. Notably lower interest rates in theU.S. and other major countries fostered strong global economic growthand pressured commodity prices. These forces resulted in upward trendsin many sectors, especially energy, metals and grains and providedprofitable trading opportunities for the Partnership's advisors.These trends persisted until early March when economic indicators inthe U.S. and China suggested rising inflation and markets reversedprecipitously with higher interest rates, collapsing commodity pricesand the dollar reversal.

This began a protracted period oftentative 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 2004 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.

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

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

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Operational/Settlement Risk —the risk of financial and opportunity loss and legal liabilityattributable to operational problems, such as inaccurate pricing oftransactions, untimely trade execution, clearance and/or settlement, orthe inability to process large volumes of transactions. The Partnershipis subject to increased risks with respect to its trading activities inemerging market securities, where clearance, settlement, and custodialrisks are often greater than in more established markets.

Technological Risk — the risk of loss attributable totechnological limitations or hardware failure that constrain thePartnership's ability to gather, process, and communicateinformation efficiently and securely, without interruption, tocustomers, 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.

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Item 7A.    Quantitative andQualitative Disclosures About Market Risk.

Introduction

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

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of Partnership assetsand undistributed profits. This limited liability is a consequence ofthe organization of the Partnership as a limited partnership underapplicable law.

Market movements result in frequent changes inthe fair market value of the Partnership's open positions and,consequently, in its earnings and cash flow. The Partnership'smarket risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity pricelevels, the market value of financial instruments and contracts, thediversification results among the Partnership's open positionsand the liquidity of the markets in which it trades.

ThePartnership rapidly acquires and liquidates both long and shortpositions in a wide range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership's past performance is notnecessarily indicative of its future results.

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

Quantifying the Partnership's Trading Value at 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.

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In the case of market sensitiveinstruments which are not exchange traded (almost exclusivelycurrencies in the case of the Partnership), the margin requirements forthe equivalent futures positions have been used as Value at Risk. Inthose rare cases in which a futures-equivalent margin is not available,dealers' margins have been used.

The fair value of thePartnership's futures and forward positions does not have anyoptionality component. However, certain of the Advisors trade commodityoptions. The Value at Risk associated with options is reflected in thefollowing table as the margin requirement attributable to theinstrument underlying each option. Where this instrument is a futurescontract, the futures margin has been used, and where this instrumentis a physical commodity, the futures-equivalent maintenance margin hasbeen used. This calculation is conservative in that it assumes that thefair value of an option will decline by the same amount as the fairvalue of the underlying instrument, whereas, in fact, the fair valuesof the options traded by the Partnership in almost all cases fluctuateto a lesser extent than those of the underlying instruments.

Inquantifying the Partnership's Value at Risk, 100% positivecorrelation in the different positions held in each market riskcategory has been assumed. Consequently, the margin requirementsapplicable to the open contracts have simply been added to determineeach trading category's aggregate Value at Risk. Thediversification effects resulting from the fact that thePartnership's positions are rarely, if ever, 100%positively correlated have not been reflected.

ThePartnership's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Partnership's open positions by marketcategory as of December 31, 2005, and the highest, lowest and averagevalue at any point during the year. All open position trading riskexposures of the Partnership have been included in calculating thefigures set forth below. As of December 31, 2005, thePartnership's total capitalization was $58,008,725.

December 31,2005

|                       |  |               |         |                         |  |                   |        |                  |  |                      |           |        |  |        |        |        |  |        |         |        |  |  |
|-----------------------|--|---------------|---------|-------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|--------|--------|--|--------|---------|--------|--|--|
|                  |  |          |         |                    |  |              |        |             |
| MarketSector          |  | Value at Risk |         | % ofTotalCapitalization |  | HighValue at Risk |        | LowValue at Risk |  | AverageValue atRisk* |
| Currencies:           |  |          |    |                    |  |              |   |             |  |                 |      |   |  |   |   |   |  |   |    |   |
| –OTC            |  | $             | 328,390 |                    |  |              | 0.57   | %           |  | $                    | 1,514,747 |   |  | $      | 61,678 |   |  | $      | 359,471 |   |
| Energy                |  |          | 3,500   |                    |  |              | 0.01   | %           |  |                 | 1,483,500 |   |  |   | 3,500  |   |  |   | 348,192 |   |
| Grains                |  |          | 3,200   |                    |  |              | 0.00   | %**         |  |                 | 399,450   |   |  |   | 3,200  |   |  |   | 114,741 |   |
| InterestRatesU.S.     |  |          | 38,117  |                    |  |              | 0.07   | %           |  |                 | 626,050   |   |  |   | 1,535  |   |  |   | 157,249 |   |
| InterestRatesNon-U.S. |  |          | 107,222 |                    |  |              | 0.18   | %           |  |                 | 1,132,647 |   |  |   | 17,060 |   |  |   | 316,042 |   |
| Livestock             |  |          | 3,200   |                    |  |              | 0.00   | %**         |  |                 | 57,500    |   |  |   | 3,200  |   |  |   | 10,517  |   |
| Metals                |  |          |    |                    |  |              |   |             |  |                 |      |   |  |   |   |   |  |   |    |   |
| –OTC            |  |          | 15,150  |                    |  |              | 0.03   | %           |  |                 | 362,805   |   |  |   | 10,686 |   |  |   | 115,157 |   |
| Softs                 |  |          | 23,464  |                    |  |              | 0.04   | %           |  |                 | 347,992   |   |  |   | 9,784  |   |  |   | 119,264 |   |
| Indices               |  |          | 400,643 |                    |  |              | 0.69   | %           |  |                 | 1,734,749 |   |  |   | 38,655 |   |  |   | 602,265 |   |
| Total                 |  | $             | 922,886 |                    |  |              | 1.59   | %           |  |                 |      |   |  |   |   |   |  |   |    |   |
|                       |

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As of December 31, 2004, thePartnership's total capitalization was approximately$69,230,858.

December 31,2004

|                                 |  |               |           |                          |  |                   |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|--------------------------|--|-------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
| MarketSector                    |  | Value at Risk |           | % ofTotal Capitalization |  | HighValue at Risk |        | LowValue at Risk |  | AverageValue atRisk* |
| 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. |

|    |                |
|----|----------------|
| ** | dueto rounding |

Material Limitations on Value at Risk as anAssessment of Market Risk

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

Non-Trading Risk

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

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

Qualitative Disclosures Regarding Primary Trading RiskExposures

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

24

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the emergence of dominant fundamentalfactors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increasedregulation and many other factors could result in material losses aswell as in material changes to the risk exposures and the managementstrategies of the Partnership. There can be no assurance that thePartnership's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Partnership as of December 31, 2005, by marketsector.

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. The Partnership is primarily exposed to the risk ofadverse price trends or static markets in the major U.S., European andJapanese indices. (Static markets would not cause major market changesbut 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, 2005.

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.

The General Partner monitors the Partnership'sperformance and the concentration of its open positions, and consultswith the Advisors concerning the Partnership's overall riskprofile. If the General Partner felt it necessary to do so, the GeneralPartner could require certain of the Advisors to close out

25

----

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.

26

----

Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY DIVERSIFIED FUTURES FUND L.P.

INDEX TOFINANCIAL STATEMENTS

|                                                                                               |  |                   |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                          |  | PageNumber        |
| Oath orAffirmation                                                                            |  | F-3               |
| Report of Independent Registered Public AccountingFirm                                        |  | F-4               |
| FinancialStatements:                                                                          |  |              |
| Statements of FinancialCondition at December 31, 2005 and 2004                                |  | F-5               |
| Condensed Schedules of Investments at December 31, 2005 and2004                               |  | F-6 – F-7   |
| Statements ofIncome and Expenses for the years ended December 31, 2005, 2004and 2003          |  | F-8               |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005,2004 and 2003 |  | F-9               |
| Statements of CashFlows for the years ended December 31, 2005, 2004 and2003                   |  | F-10              |
| Notes to FinancialStatements                                                                  |  | F-11 – F-16 |
| SelectedUnaudited Quarterly FinancialData                                                     |  | F-17              |
| Financial Statements ofthe CMF Campbell Master Fund L.P.                                      |  |              |
| Oath orAffirmation                                                                            |  | F-18              |
| Independent Auditors'Report                                                                   |  | F-19              |
| Statement of Financial Conditionat December 31, 2005                                          |  | F-20              |
| Condensed Scheduleof Investments at December 31,2005                                          |  | F-21              |
| Statement of Income and Expensesfor the year ended December 31,2005                           |  | F-22              |
| Statement of Changes inPartners' Capital for the year ended December 31,2005                  |  | F-23              |
| Statement of Cash Flows for theyear ended December 31, 2005                                   |  | F-24              |
| Notes toFinancial Statements                                                                  |  | F-25 −F-28  |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-29              |
|                                                                                               |

F-1

----

SALOMON SMITH BARNEY DIVERSIFIED FUTURESFUND L.P.

INDEX TO FINANCIAL STATEMENTS—CONTINUED

|                                                                                                                                                                         |  |                   |        |        |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--------|--------|--|--|
|                                                                                                                                                                    |  | PageNumber        |
| FinancialStatements of CMF Willowbridge Argo Master FundL.P.                                                                                                            |  |              |   |   |
| Oath orAffirmation.                                                                                                                                                     |  | F-30              |
| IndependentAuditors' Report                                                                                                                                             |  | F-31              |
| Financial Statements:                                                                                                                                                   |  |              |
| Statementof Financial Condition at December 31, 2005.                                                                                                                   |  | F-32              |
| Condensed Schedule of Investments at December 31,2005.                                                                                                                  |  | F-33              |
| Statement of Income and Expensesfor the period July 1, 2005 (commencement of trading operations) toDecember 31, 2005                                                    |  | F-34              |
| Statement ofChanges in Partners' Capital for the period July 1, 2005(commencement of trading operations) to December 31,2005                                            |  | F-35              |
| Statement of Cash Flows for theperiod July 1, 2005 (commencement of trading operations) to December31, 2005                                                             |  | F-36              |
| Notes to FinancialStatements                                                                                                                                            |  | F-37 – F-40 |
| SelectedUnaudited Quarterly FinancialData.                                                                                                                              |  | F-41              |
| Financial Statements ofCMF Winton Master L.P.                                                                                                                           |  |              |
| Oath orAffirmation.                                                                                                                                                     |  | F-42              |
| IndependentAuditors' Report                                                                                                                                             |  | F-43              |
| Financial Statements:                                                                                                                                                   |  |              |
| Statementsof Financial Condition at December 31, 2005 and2004.                                                                                                          |  | F-44              |
| Condensed Schedules ofInvestments at December 31, 2005 and 2004.                                                                                                        |  | F-45 –F-46  |
| Statements of Income and Expenses for the yearended December 31, 2005 and the period November 1, 2004 (commencementof trading operations) to December 31, 2004          |  | F-47              |
| Statements of Changes in Partners' Capital for the yearended December 31, 2005 and the period November 1, 2004 (commencementof trading operations) to December 31, 2004 |  | F-48              |
| Statements of Cash Flows for the year endedDecember 31, 2005 and the period November 1, 2004 (commencement oftrading operations) to December 31, 2004                   |  | F-49              |
| Notes to Financial Statements                                                                                                                                           |  | F-50 –F-53  |
| Selected Unaudited Quarterly FinancialData.                                                                                                                             |  | F-54              |
|                                                                                                                                                                         |

F-2

----

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.

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

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

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

F-3

----

Report of Independent Registered PublicAccounting Firm

To the Partners of Smith BarneyDiversified Futures Fund L.P.:

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

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

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of Smith Barney Diversified Futures Fund L.P. as ofDecember 31, 2005 and 2004, 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, 2005, in conformitywith U.S. generally accepted accounting principles.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-4

----

Smith BarneyDiversified Futures FundL.P.Statements of Financial ConditionDecember 31, 2005 and2004

|                                                                                                                                        |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | 2005   |            | 2004   |
| Assets:                                                                                                                                |  |   |       |   |  |   |       |   |
| Investmentin Partnerships, at fair value (Note5)                                                                                       |  | $      | 43,555,768 |   |  | $      | 16,141,889 |   |
| Equityin commodity futures trading account:                                                                                            |  |   |       |   |  |   |       |   |
| Cash(restricted $1,000,127 and $8,098,048 in 2005 and 2004, respectively)(Note3c)                                                      |  |   | 15,272,733 |   |  |   | 52,660,336 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |   | —    |   |  |   | 1,601,032  |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |   | 672,909    |   |  |   | 2,250,162  |   |
|                                                                                                                                   |  |   | 59,501,410 |   |  |   | 72,653,419 |   |
| Interestreceivable (Note3c)                                                                                                            |  |   | 36,929     |   |  |   | 69,831     |   |
|                                                                                                                                   |  | $      | 59,538,339 |   |  | $      | 72,723,250 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |   |       |   |  |   |       |   |
| Liabilities:                                                                                                                           |  |   |       |   |  |   |       |   |
| Netunrealized depreciation on open futurespositions                                                                                    |  | $      | 30,126     |   |  | $      | —    |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  |   | 445,992    |   |  |   | 1,925,334  |   |
| Accruedexpenses:                                                                                                                       |  |   |       |   |  |   |       |   |
| Commissions (Note3c)                                                                                                                   |  |   | 275,893    |   |  |   | 329,810    |   |
| Managementfees (Note3b)                                                                                                                |  |   | 93,168     |   |  |   | 112,466    |   |
| Incentivefees (Note3b)                                                                                                                 |  |   | —    |   |  |   | 78,926     |   |
| Professionalfees                                                                                                                       |  |   | 36,227     |   |  |   | 43,717     |   |
| Other                                                                                                                                  |  |   | 12,394     |   |  |   | 17,081     |   |
| Redemptionspayable (Note6)                                                                                                             |  |   | 635,814    |   |  |   | 985,058    |   |
|                                                                                                                                   |  |   | 1,529,614  |   |  |   | 3,492,392  |   |
| Partners'capital (Notes 1 and 6)                                                                                                       |  |   |       |   |  |   |       |   |
| General Partner,1,276.7484 Unit equivalents outstanding in 2005 and2004                                                                |  |   | 2,057,289  |   |  |   | 2,229,662  |   |
| LimitedPartners, 34,723.3527 and 38,366.2074 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 55,951,436 |   |  |   | 67,001,196 |   |
|                                                                                                                                   |  |   | 58,008,725 |   |  |   | 69,230,858 |   |
|                                                                                                                                   |  | $      | 59,538,339 |   |  | $      | 72,723,250 |   |
|                                                                                                                                        |

Seeaccompanying notes to financial statements.

F-5

----

SmithBarney Diversified Futures Fund L.P. Condensed Schedule ofInvestments December 31,2005

|                                                  |  |           |            |                      |  |        |        |          |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |     |
| Energy                                           |  | $         | 590        |                 |  |   | 0.00   | %*  |
| Grains                                           |  |      | (987       | )               |  |   | (0.00) | *   |
| InterestRates Non-U.S.                           |  |      | 20,559     |                 |  |   | 0.04   |     |
| InterestRatesU.S.                                |  |      | (6,486     | )               |  |   | (0.01  | )   |
| Indices                                          |  |      | (11,212    | )               |  |   | (0.02  | )   |
| Livestock                                        |  |      | (3,091     | )               |  |   | (0.01  | )   |
| Softs                                            |  |      | 6,630      |                 |  |   | 0.01   |     |
| Totalfutures contractspurchased                  |  |      | 6,003      |                 |  |   | 0.01   |     |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |     |
| Grains                                           |  |      | (4,374     | )               |  |   | (0.01  | )   |
| InterestRates Non-U.S.                           |  |      | 10,122     |                 |  |   | 0.02   |     |
| InterestRatesU.S.                                |  |      | (19,816    | )               |  |   | (0.03  | )   |
| Softs                                            |  |      | (22,061    | )               |  |   | (0.04  | )   |
| Totalfutures contractssold                       |  |      | (36,129    | )               |  |   | (0.06  | )   |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | 276,417    |                 |  |   | 0.48   |     |
| Metals                                           |  |      | 396,492    |                 |  |   | 0.68   |     |
| Totalunrealized appreciation on forwardcontracts |  |      | 672,909    |                 |  |   | 1.16   |     |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |     |
| Currencies                                       |  |      | (192,507   | )               |  |   | (0.33  | )   |
| Metals                                           |  |      | (253,485   | )               |  |   | (0.44  | )   |
| Totalunrealized depreciation on forwardcontracts |  |      | (445,992   | )               |  |   | (0.77  | )   |
| Investmentin Partnerships                        |  |      |       |                 |  |   |   |     |
| CMF CampbellMaster FundL.P.                      |  |      | 15,349,869 |                 |  |   | 26.46  |     |
| CMFWillowbridge Argo Master FundL.P.             |  |      | 12,573,482 |                 |  |   | 21.67  |     |
| CMF WintonMasterL.P.                             |  |      | 15,632,417 |                 |  |   | 26.95  |     |
| TotalInvestments inPartnerships                  |  |      | 43,555,768 |                 |  |   | 75.08  |     |
| Totalfair value                                  |  | $         | 43,752,559 |                 |  |   | 75.42  | %   |
|                                                  |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated |

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

Seeaccompanying notes to financial statements.

F-6

----

Smith Barney Diversified Futures FundL.P. Condensed Schedule of Investments December 31,2004

|                                                  |  |           |            |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|---------|--|--|
|                                             |  | FairValue |            | % ofPartners'Capital |
| FuturesContractsPurchased                        |  |      |       |                 |  |   |   |    |
| Currencies                                       |  | $         | 423,469    |                 |  |   | 0.61   | %  |
| Energy                                           |  |      | (43,173    | )               |  |   | (0.06  | )  |
| Grains                                           |  |      | (80,231    | )               |  |   | (0.12  | )  |
| InterestRates Non-U.S.                           |  |      | 294,324    |                 |  |   | 0.43   |    |
| InterestRatesU.S.                                |  |      | 62,139     |                 |  |   | 0.09   |    |
| Indices                                          |  |      | 505,676    |                 |  |   | 0.73   |    |
| Livestock                                        |  |      | 16,491     |                 |  |   | 0.02   |    |
| Metals                                           |  |      | (22,450    | )               |  |   | (0.03  | )  |
| Softs                                            |  |      | 93,622     |                 |  |   | 0.14   |    |
| Totalfutures contractspurchased                  |  |      | 1,249,867  |                 |  |   | 1.81   |    |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |    |
| Energy                                           |  |      | 293,267    |                 |  |   | 0.42   |    |
| Grains                                           |  |      | (703       | )               |  |   | (0.00) | *  |
| InterestRates Non-U.S.                           |  |      | 325        |                 |  |   | 0.00   | *  |
| InterestRatesU.S.                                |  |      | 69,596     |                 |  |   | 0.10   |    |
| Indices                                          |  |      | 1,100      |                 |  |   | 0.00   | *  |
| Softs                                            |  |      | (12,420    | )               |  |   | (0.02  | )  |
| Totalfutures contractssold                       |  |      | 351,165    |                 |  |   | 0.50   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | 1,969,858  |                 |  |   | 2.85   |    |
| Metals                                           |  |      | 280,304    |                 |  |   | 0.40   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,250,162  |                 |  |   | 3.25   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | (1,645,688 | )               |  |   | (2.38  | )  |
| Metals                                           |  |      | (279,646   | )               |  |   | (0.40  | )  |
| Totalunrealized depreciation on forwardcontracts |  |      | (1,925,334 | )               |  |   | (2.78  | )  |
| Investmentin Partnership                         |  |      |       |                 |  |   |   |    |
| CMF WintonMasterL.P.                             |  |      | 16,141,889 |                 |  |   | 23.32  |    |
| Totalfair value                                  |  | $         | 18,067,749 |                 |  |   | 26.10  | %  |
|                                                  |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated |

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

Seeaccompanying notes to financial statements.

F-7

----

Smith BarneyDiversified Futures FundL.P.Statements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |            |         |  |        |            |         |  |        |            |        |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|------------|---------|--|--------|------------|--------|--|--|
|                                                                                                                   |  | 2005   |            | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |       |    |  |   |       |    |  |   |       |   |
| Netgains (losses) on trading of commodityinterests:                                                                    |  |   |       |    |  |   |       |    |  |   |       |   |
| Realized gains (losses) on closedpositions and foreigncurrencies                                                       |  | $      | (5,643,465 | )  |  | $      | 13,010,644 |    |  | $      | 17,063,534 |   |
| Changein unrealized gains (losses) on open positions and investment inPartnerships                                     |  |   | 4,760,493  |    |  |   | (1,728,621 | )  |  |   | 684,970    |   |
|                                                                                                                   |  |   | (882,972   | )  |  |   | 11,282,023 |    |  |   | 17,748,504 |   |
| Interestincome (Note3c)                                                                                                |  |   | 501,524    |    |  |   | 640,231    |    |  |   | 575,911    |   |
|                                                                                                                   |  |   | (381,448   | )  |  |   | 11,922,254 |    |  |   | 18,324,415 |   |
| Expenses:                                                                                                              |  |   |       |    |  |   |       |    |  |   |       |   |
| Brokeragecommissions including clearing fees of $42,034, $124,623 and$147,603, respectively (Note3c)                   |  |   | 3,461,689  |    |  |   | 4,095,297  |    |  |   | 4,367,509  |   |
| Managementfees (Note3b)                                                                                                |  |   | 1,146,268  |    |  |   | 1,334,878  |    |  |   | 1,448,067  |   |
| Incentivefees (Note3b)                                                                                                 |  |   | 296,368    |    |  |   | 1,959,015  |    |  |   | 2,258,395  |   |
| Professionalfees                                                                                                       |  |   | 53,824     |    |  |   | 65,980     |    |  |   | 61,800     |   |
| Otherexpenses                                                                                                          |  |   | 26,447     |    |  |   | 22,801     |    |  |   | 8,486      |   |
|                                                                                                                   |  |   | 4,984,596  |    |  |   | 7,477,971  |    |  |   | 8,144,257  |   |
| Netincome(loss)                                                                                                        |  | $      | (5,366,044 | )  |  | $      | 4,444,283  |    |  | $      | 10,180,158 |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and7) |  | $      | (135.01    | )  |  | $      | 109.72     |    |  | $      | 218.21     |   |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-8

----

Smith BarneyDiversified Futures FundL.P.Statements of Changes in Partners' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                                         |  |                 |            |                |  |        |           |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------|--|-----------------|------------|----------------|--|--------|-----------|---------|--|--------|------------|---------|--|--|
|                                                                    |  | LimitedPartners |            | GeneralPartner |  | Total  |
| 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 |    |
| Netloss                                                                 |  |            | (5,193,671 | )         |  |   | (172,373  | )  |  |   | (5,366,044 | )  |
| Redemptionof 3,642.8547 Redeemable Units of Limited PartnershipInterest |  |            | (5,856,089 | )         |  |   | —   |    |  |   | (5,856,089 | )  |
| Partners Capital at December 31,2005                                    |  | $               | 55,951,436 |           |  | $      | 2,057,289 |    |  | $      | 58,008,725 |    |
| NetAssets Per RedeemableUnit                                            |  |            |       |           |  |   |      |    |  |   |       |    |
| 2003    $1,636.64                                   |  |            |       |           |  |   |      |    |  |   |       |    |
| 2004    $1,746.36                                   |  |            |       |           |  |   |      |    |  |   |       |    |
| 2005    $1,611.35                                   |  |            |       |           |  |   |      |    |  |   |       |    |
|                                                                         |

Seeaccompanying notes to financial statements.

F-9

----

Smith Barney Diversified FuturesFund L.P.Statements of Cash Flowsfor the years ended December31, 2005, 2004 and2003

|                                                                                           |  |        |             |         |  |        |             |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|------------|---------|--|--|
|                                                                                      |  | 2005   |             | 2004    |  | 2003   |
| Cashflows from operating activities:                                                      |  |   |        |    |  |   |        |    |  |   |       |    |
| Net income(loss)                                                                          |  | $      | (5,366,044  | )  |  | $      | 4,444,283   |    |  | $      | 10,180,158 |    |
| Adjustments to reconcilenet income to net cash provided by (used in) operatingactivities: |  |   |        |    |  |   |        |    |  |   |       |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |  |   |        |    |  |   |       |    |
| (Increase) decreasein restrictedcash                                                      |  |   | 7,097,921   |    |  |   | 5,281,345   |    |  |   | (3,136,212 | )  |
| Purchaseof Investment inPartnerships                                                      |  |   | (31,880,491 | )  |  |   | (15,054,195 | )  |  |   | —    |    |
| Proceedsfrom sale of Investments inPartnerships                                           |  |   | 8,701,947   |    |  |   | 54,158      |    |  |   | —    |    |
| (Increase)decrease in investment in Partnerships                                          |  |   | (4,235,335  | )  |  |   | (1,141,852  | )  |  |   | —    |    |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | 1,601,032   |    |  |   | 2,076,171   |    |  |   | 1,501,489  |    |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                    |  |   | 1,577,253   |    |  |   | 2,010,319   |    |  |   | (2,358,792 | )  |
| (Increase) decrease ininterestreceivable                                                  |  |   | 32,902      |    |  |   | (29,598     | )  |  |   | 13,085     |    |
| Increase(decrease) in net unrealized depreciation on open futurespositions                |  |   | 30,126      |    |  |   | —     |    |  |   | —    |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | (1,479,342  | )  |  |   | (373,026    | )  |  |   | 172,333    |    |
| Accruedexpenses:                                                                          |  |   |        |    |  |   |        |    |  |   |       |    |
| Increase (decrease) incommissions                                                         |  |   | (53,917     | )  |  |   | (14,288     | )  |  |   | 23,281     |    |
| Increase(decrease) in managementfees                                                      |  |   | (19,298     | )  |  |   | (7,302      | )  |  |   | (23,702    | )  |
| Increase(decrease) in incentivefees                                                       |  |   | (78,926     | )  |  |   | (682,355    | )  |  |   | 706,246    |    |
| Increase(decrease) in professional fees                                                   |  |   | (7,490      | )  |  |   | 9,679       |    |  |   | (31,123    | )  |
| Increase (decrease) inother                                                               |  |   | (4,687      | )  |  |   | 9,661       |    |  |   | 1,149      |    |
| Net cash provided by (used in)operatingactivities                                         |  |   | (24,084,349 | )  |  |   | (3,417,000  | )  |  |   | 7,047,912  |    |
|                                                                                      |  |   |        |    |  |   |        |    |  |   |       |    |
| Cashflows from financing activities:                                                      |  |   |        |    |  |   |        |    |  |   |       |    |
| Proceedsfrom additions - Limited Partners                                                 |  |   | —     |    |  |   | 1,995       |    |  |   | 8,940      |    |
| Payments for redemptions - LimitedPartners                                                |  |   | (6,205,333  | )  |  |   | (6,626,887  | )  |  |   | (6,266,792 | )  |
| Netcash provided by (used in) financingactivities                                         |  |   | (6,205,333  | )  |  |   | (6,624,892  | )  |  |   | (6,257,852 | )  |
|                                                                                      |  |   |        |    |  |   |        |    |  |   |       |    |
| Netchange incash                                                                          |  |   | (30,289,682 | )  |  |   | (10,041,892 | )  |  |   | 790,060    |    |
| Unrestrictedcash, at beginning ofyear                                                     |  |   | 44,562,288  |    |  |   | 54,604,180  |    |  |   | 53,814,120 |    |
| Unrestricted cash, at end ofyear                                                          |  | $      | 14,272,606  |    |  | $      | 44,562,288  |    |  | $      | 54,604,180 |    |
|                                                                                           |

See accompanyingnotes to financial statements.

F-10

----

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

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

The Partnership will be liquidated upon the first of the followingto occur: December 31, 2013; the Net Asset Value of a Redeemable Unitdecreases to less than $400 per Redeemable Unit as of the close of anybusiness day; or under certain other circumstances as defined in theLimited Partnership Agreement.

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodityinterests (including derivative financial instruments and derivativecommodity instruments) held by the Partnership are used for tradingpurposes. The commodity interests are recorded on trade date and opencontracts are recorded in the statements of financial condition at fairvalue on the last business day of the year, which represents marketvalue for those commodity interests for which market quotations arereadily available. Investments in commodity interests denominated inforeign currencies are translated into U.S. dollars at the exchangerates prevailing on the last business day of the year. Realized gains(losses) and changes in unrealized gains (losses) on open positions arerecognized in the period in which the contract is closed or the changesoccur and are included in net gains (losses) on trading of commodityinterests. |

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

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

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

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

F-11

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

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

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 ManagementLimited ("Winton"), Graham Capital ManagementL.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 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, 2005 and 2004, the amount of cash held for margin requirements was$1,000,127 and $8,098,048, 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.

F-12

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valueduring the years ended December 31, 2005 and 2004, based on a monthlycalculation, was $557,700 and $2,973,373, respectively.

5.    Investment in Partnerships:

Effective November 1,2004, the Partnership allocated capital for trading to CMF WintonMaster L.P., a limited partnership organized under the partnership lawsof New York State ("Winton Master"). ThePartnership purchased 15,054.1946 Units of Winton Master with cashequal to $14,251,586, and a contribution of open commodity futures andforward positions with a value of $802,609. Winton Master was formed inorder to permit commodity pools managed now or in the future by Winton,to invest together in one trading vehicle. The General Partner is thegeneral partner of the Winton Master. Individual and pooled accountscurrently managed by Winton, including the Partnership are permitted tolimited partners of the Winton Master. The General Partner and Wintonbelieve that trading through this structure should promote efficiencyand economy in the trading process. Expenses to investors as a resultof the investment in Winton Master are approximately the same andredemption rights are not affected.

Effective January 1, 2005,the assets allocated to Campbell for trading were invested in the CMFCampbell Master Fund L.P. ("CampbellMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased19,621.1422 Units of Campbell Master equal to $19,428,630, and acontribution of open commodity futures and forward positions with avalue of $192,512. Campbell Master was formed in order to permitcommodity pools managed now or in the future by Campbell using itsFinancials Metals and Energy "FME" Portfolio,to invest together in one trading vehicle. The General Partner is thegeneral partner of Campbell Master. Individual and pooled accountscurrently managed by Campbell, including the Partnership are permittedto be limited partners of Campbell Master. The General Partner andCampbell believe that trading through this structure should promoteefficiency and economy in the trading process. Expenses to investors asa result of the investment in Campbell Master are approximately thesame and redemption rights are not affected.

Effective July 1,2005, the assets allocated to Willowbridge for trading were invested inthe CMF Willowbridge Master Fund L.P. ("WillowbridgeMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased12,259.3490 Units of Willowbridge Master with cash equal to$11,118,119, and a contribution of open commodity futures and forwardpositions with a fair value of $1,141,230. Willowbridge Master wasformed in order to permit commodity pools managed now or in the futureby Willowbridge using its Argo Trading Program to invest together inone trading vehicle. The General Partner is the general partner ofWillowbridge Master. Individual and pooled accounts currently managedby Willowbridge, including the Partnership are permitted to be limitedpartners of Willowbridge Master. The General Partner and Willowbridgebelieve that trading through this structure should promote efficiencyand economy in the trading process. Expenses to investors as a resultof the investment in Willowbridge Master are approximately the same andredemption rights are not affected.

Campbell Master's,Willowbridge Master's and Winton Master's (the"Master Funds"), trading of futures, forwardsand options contracts, if applicable, on commodities is done primarilyon United States of America commodity exchanges and foreign commodityexchanges. The Master Funds all engage in such trading throughcommodity brokerage accounts maintained with CGM.

A limitedpartner may withdraw all or part of their capital contribution andundistributed profits, if any, from the Master Funds in multiples ofthe net asset value per unit of limited partnership interest as of thelast day of a month after a request for redemption has been made to theGeneral Partner at least 3 days in advance of month-end.

Management and incentive fees are charged at the Partnership level.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master Funds. All other feesincluding CGM's direct brokerage commission are charged at thePartnership level.

F-13

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

At December 31, 2005 the Partnership owns4.7%, 7.4% and 8.7%, respectively of CampbellMaster, Willowbridge Master and Winton Master. At December 31, 2004 thePartnership owns 14.0% of the Winton Master. It isCampbell's, Winton's and Willowbridge's intention tocontinue to invest the assets allocated to each by the Partnership inCampbell Master, Winton Master and Willowbridge Master, respectively.The performance of the partnership is directly affected by theperformance of Campbell Master, Winton Master and WillowbridgeMaster.

Summarized information reflecting the total assets,liabilities and capital for the Master Funds are shown in the followingtable.

|                    |  |                         |             |                              |  |                          |            |                     |  |                      |             |        |  |                                  |  |         |  |  |  |  |  |  |
|--------------------|--|-------------------------|-------------|------------------------------|--|--------------------------|------------|---------------------|--|----------------------|-------------|--------|--|----------------------------------|--|---------|--|--|--|--|--|--|
|               |  | December31,2005         |             |                         |  |                     |
|               |  | Investments'TotalAssets |             | Investments'TotalLiabilities |  | Investments'TotalCapital |            | InvestmentObjective |  | RedemptionsPermitted |
| Campbell Master    |  | $                       | 347,366,314 |                         |  | $                        | 20,975,541 |                |  | $                    | 326,390,773 |   |  | Financials& Metals Portfolio |  | Monthly |
| WillowbridgeMaster |  |                    | 170,157,028 |                         |  |                     | 474,977    |                |  |                 | 169,682,051 |   |  | CommodityPortfolio               |  | Monthly |
| Winton Master      |  |                    | 182,130,723 |                         |  |                     | 3,524,134  |                |  |                 | 178,606,589 |   |  | CommodityPortfolio               |  | Monthly |
|               |  | $                       | 699,654,065 |                         |  | $                        | 24,974,652 |                |  | $                    | 674,679,413 |   |  |                             |  |    |
|                    |

|               |  |                         |             |                              |  |                          |           |                     |  |                      |             |        |  |                    |  |         |  |  |  |  |  |  |
|---------------|--|-------------------------|-------------|------------------------------|--|--------------------------|-----------|---------------------|--|----------------------|-------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
|          |  | December31,2004         |             |                         |  |                     |
|          |  | Investments'TotalAssets |             | Investments'TotalLiabilities |  | Investments'TotalCapital |           | InvestmentObjective |  | RedemptionsPermitted |
| Winton Master |  | $                       | 116,230,069 |                         |  | $                        | 1,104,740 |                |  | $                    | 115,125,329 |   |  | CommodityPortfolio |  | Monthly |
|               |

    

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

|                                    |  |                            |        |            |  |              |            |                 |  |                     |           |                      |  |        |         |        |  |        |        |        |  |        |           |        |  |                                 |  |         |  |  |  |  |  |  |
|------------------------------------|--|----------------------------|--------|------------|--|--------------|------------|-----------------|--|---------------------|-----------|----------------------|--|--------|---------|--------|--|--------|--------|--------|--|--------|-----------|--------|--|---------------------------------|--|---------|--|--|--|--|--|--|
|                               |  |                       |        |       |  |         |            | Expenses        |  |                |           |                 |  |   |
| Investment                         |  | %ofPartnership'sNet Assets |        | Fair Value |  | Income(loss) |            | NetIncome(Loss) |  | InvestmentObjective |           | RedemptionsPermitted |  |   |
| Commissions                        |  | Other                      |
| Forthe year ended December 31,2005 |  |                       |        |       |  |         |            |            |  |                |           |                 |
| CampbellMaster                     |  |                       | 26.46  | %     |  | $            | 15,349,869 |            |  | $                   | 2,342,834 |                 |  | $      | 26,931  |   |  | $      | 3,051  |   |  | $      | 2,312,852 |   |  | Financials&Metals Portfolio |  | Monthly |
| WillowbridgeMaster                 |  |                       | 21.68  | %     |  |         | 12,573,482 |            |  |                | 851,372   |                 |  |   | 25,811  |   |  |   | 2,290  |   |  |   | 823,271   |   |  | CommodityPortfolio              |  | Monthly |
| WintonMaster                       |  |                       | 26.95  | %     |  |         | 15,632,417 |            |  |                | 2,139,042 |                 |  |   | 113,572 |   |  |   | 5,768  |   |  |   | 2,019,702 |   |  | CommodityPortfolio              |  | Monthly |
|                               |  |                       |   |       |  | $            | 43,555,768 |            |  | $                   | 5,333,248 |                 |  | $      | 166,314 |   |  | $      | 11,109 |   |  | $      | 5,155,825 |   |  |                            |  |    |
| For theyear ended December 31,2004 |  |                       |   |       |  |         |       |            |  |                |      |                 |  |   |    |   |  |   |        |   |
| WintonMaster                       |  |                       | 23.32  | %     |  | $            | 16,141,889 |            |  | $                   | 1,208,997 |                 |  | $      | 25,085  |   |  | $      | 1,680  |   |  |   | 1,182,232 |   |  | CommodityPortfolio              |  | Monthly |
|                                    |

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.

F-14

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

7.    FinancialHighlights:

Changes in the Net Asset Value per Redeemable Unitof Limited Partnership Interest for the years ended December  31,2005, 2004 and 2003 are asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | (108.35  | )  |  | $      | 173.57   |    |  | $      | 286.97   |    |
| Interestincome                                       |  |   | 13.13    |    |  |   | 15.31    |    |  |   | 12.43    |    |
| Expenses**                                           |  |   | (39.79   | )  |  |   | (79.16   | )  |  |   | (81.19   | )  |
| Increase(decrease) for theyear                       |  |   | (135.01  | )  |  |   | 109.72   |    |  |   | 218.21   |    |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,746.36 |    |  |   | 1,636.64 |    |  |   | 1,418.43 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 1,611.35 |    |  | $      | 1,746.36 |    |  | $      | 1,636.64 |    |
|                                                      |

|  |
|--|
|  |  |
|  |

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

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

|                                            |  |        |        |          |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|--------|----------|--|--|
|                                       |  | 2005   |        | 2004     |  | 2003   |
| Ratiosto average net assets:               |  |   |   |     |  |   |   |     |  |   |   |     |
| Net investment lossbefore incentivefees*** |  |   | (6.8   | )%  |  |   | (7.0   | )%  |  |   | (7.4   | )%  |
| Operatingexpenses                          |  |   | 7.6    | %   |  |   | 7.9    | %   |  |   | 8.2    | %   |
| Incentivefees                              |  |   | 0.5    | %   |  |   | 2.8    | %   |  |   | 3.1    | %   |
| Totalexpenses                              |  |   | 8.1    | %   |  |   | 10.7   | %   |  |   | 11.3   | %   |
| Totalreturn:                               |  |   |   |     |  |   |   |     |  |   |   |     |
| Total return before incentivefees          |  |   | (7.3   | )%  |  |   | 9.7    | %   |  |   | 19.0   | %   |
| Incentivefees                              |  |   | (0.4   | )%  |  |   | (3.0   | )%  |  |   | (3.6   | )%  |
| Totalreturn after incentivefees            |  |   | (7.7   | )%  |  |   | 6.7    | %   |  |   | 15.4   | %   |
|                                            |

|  |
|--|
|  |  |
|  |

|     |                                                                  |
|-----|------------------------------------------------------------------|
| *** | 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 futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTCcontract.

F-15

----

SmithBarneyDiversified Futures Fund L.P. Notes to FinancialStatements

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

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

TheGeneral Partner monitors and controls the Partnership's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Partnership is subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

The majorityof these instruments mature within one year of December 31, 2005.However, due to the nature of the Partnership's business, theseinstruments may not be held tomaturity.

F-16

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 is summarizedbelow:

|                                                                                                                                                    |  |                                                      |         |                                                     |  |                                                 |         |                                                    |  |   |            |         |  |   |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|---------|-----------------------------------------------------|--|-------------------------------------------------|---------|----------------------------------------------------|--|---|------------|---------|--|---|------------|---------|--|--|
|                                                                                                                                               |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |         | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |         | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) and investment in Partnership net of brokerage commissions andclearing fees plus interest income |  | $                                                    | 206,499 |                                                |  | $                                               | 683,603 |                                               |  | $ | (1,219,332 | )  |  | $ | (3,513,907 | )  |
| Net Income(loss)                                                                                                                                   |  | $                                                    | (93,832 | )                                              |  | $                                               | 381,002 |                                               |  | $ | (1,666,949 | )  |  | $ | (3,986,265 | )  |
| Increase(decrease) in Net Asset Value per Redeemable Unit                                                                                          |  | $                                                    | (3.13   | )                                              |  | $                                               | 9.92    |                                               |  | $ | (41.49     | )  |  | $ | (100.31    | )  |
|                                                                                                                                                    |

|                                                                                                                                                    |  |                                                      |           |                                                     |  |                                                 |            |                                                    |  |   |             |         |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|---|-------------|---------|--|---|------------|--------|--|--|
|                                                                                                                                               |  | 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) and investment in Partnership net of brokerage commissions andclearing fees plus interest income |  | $                                                    | 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     |   |
|                                                                                                                                                    |

F-17

----

To theLimited Partners ofCMF Campbell Master Fund L.P.

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

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

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

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

F-18

----

Independent Auditor'sReport

To the PartnersofCMF Campbell Master Fund L.P.:

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

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

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

NewYork, New York March 13, 2006

F-19

----

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

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

Seeaccompanying notes to financial statements.

F-20

----

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

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

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

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

See accompanying notes to financialstatements.

F-21

----

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

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

Seeaccompanying notes to financial statements.

F-22

----

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

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

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

Seeaccompanying notes to financial statements.

F-23

----

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

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

Seeaccompanying notes to financialstatements.

F-24

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

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

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

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

2.    Accounting Policies:

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

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

F-25

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

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

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

3.    Agreements:

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

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

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

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

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

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

4.    Trading Activities:

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

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

5.    Distributions and Redemptions:

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

F-26

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

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

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

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

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

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

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

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

7.    Financial InstrumentRisks:

In the normal course of its business, the Master isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures and options,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, or to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The 

F-27

----

CMFCampbell Master Fund L.P.

Notes to FinancialStatements

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

The GeneralPartner monitors and controls the Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which the Masteris subject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

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

F-28

----

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

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |         |                                                      |  |   |            |        |  |   |            |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|---------|------------------------------------------------------|--|---|------------|--------|--|---|------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |         | For the period from January 1, 2005 to March31, 2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 15,970,277 |                                                  |  | $                                                 | 669,970 |                                                 |  | $ | 38,451,824 |   |  | $ | (9,226,199 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | 15,956,477 |                                                  |  | $                                                 | 656,169 |                                                 |  | $ | 38,438,175 |   |  | $ | (9,239,399 | )  |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                             |  | $                                                      | 56.20      |                                                  |  | $                                                 | 1.63    |                                                 |  | $ | 137.83     |   |  | $ | (32.49     | )  |
|                                                                                                                      |

F-29

----

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

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

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

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

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

F-30

----

Independent Auditor'sReport

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

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

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

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

New York, NewYork March 13, 2006

F-31

----

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

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

Seeaccompanying notes to financial statements.

F-32

----

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

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

Percentagesare based on Partners' capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-33

----

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

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

Seeaccompanying notes to financial statements.

F-34

----

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

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

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

Seeaccompanying notes to financial statements.

F-35

----

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

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

Seeaccompanying notes to financialstatements.

F-36

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

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

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

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

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

2.    Accounting Policies:

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

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

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

F-37

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

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

3.    Agreements:

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

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

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

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

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

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

4.    Trading Activities:

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

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

5.    Distributions and Redemptions:

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

F-38

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

6.    Financial Highlights:

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

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

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

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

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

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

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

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

7.    FinancialInstrument Risks:

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

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

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

F-39

----

CMFWillowbridge Argo Master Fund L.P.

Notes to FinancialStatements

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

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

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

F-40

----

Selectedunaudited quarterly financial data for Willowbridge Master for theperiod ended December  31, 2005 is summarizedbelow.

|                                                                                                           |  |                                                      |           |                                                                                         |  |   |           |        |  |  |
|-----------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|-----------|-----------------------------------------------------------------------------------------|--|---|-----------|--------|--|--|
|                                                                                                      |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |           | For the period fromJuly 1, 2005 (Commencementoftrading operations) toSeptember 30, 2005 |
| Netrealized and unrealized tradinggains net of brokerage commissionsand clearing fees plus interestincome |  | $                                                    | 1,894,970 |                                                                                    |  | $ | 8,540,113 |   |
| NetIncome                                                                                                 |  | $                                                    | 1,879,636 |                                                                                    |  | $ | 8,525,113 |   |
| Increasein Net Asset Value per RedeemableUnit                                                             |  | $                                                    | 10.17     |                                                                                    |  | $ | 56.64     |   |
|                                                                                                           |

F-41

----

To theLimited Partners ofCMF Winton Master L.P.

To thebest of the knowledge and belief of the undersigned, the informationcontained herein is accurate and complete.

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

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

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

F-42

----

Independent Auditor'sReport

To the PartnersofCMF Winton Master L.P.:

We have audited the accompanyingstatements of financial condition of CMF Winton Master L.P. (the"Partnership"), including the condensedschedules of investments, as of December  31, 2005, and therelated statements of income and expenses, changes in partners'capital, and cash flows for the year ended December 31, 2005 and forthe period November 1, 2004 (commencement of trading operations) toDecember 31, 2004. These financial statements are the responsibility ofthe Partnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

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

In our opinion, the financial statements referredto above present fairly, in all material respects, the financialposition of CMF Winton Master L.P. as of December  31, 2005, andthe results of its operations, changes in its partners' capital,and its cash flows for the year ended December 31, 2005 and for theperiod November 1, 2004 (commencement of trading operations) toDecember 31, 2004 in conformity with U.S. generally accepted accountingprinciples.

NewYork, New YorkMarch 13, 2006

F-43

----

CMF WintonMaster L.P.Statements of Financial ConditionDecember 31, 2005and 2004

|                                                                                                            |  |        |             |        |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                       |  | 2005   |             | 2004   |
| Assets:                                                                                                    |  |   |        |   |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                                 |  |   |        |   |  |   |        |   |
| Cash (restricted$41,364,253 and $26,264,586 in 2005 and 2004, respectively) (Note3c)                       |  | $      | 173,936,134 |   |  | $      | 113,508,857 |   |
| Net unrealized appreciationon open futures positions                                                       |  |   | 1,044,808   |   |  |   | 979,539     |   |
| Unrealized appreciation on openforward contracts                                                           |  |   | 6,659,732   |   |  |   | 1,575,476   |   |
|                                                                                                       |  |   | 181,640,674 |   |  |   | 116,063,872 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Interestreceivable                                                                                         |  |   | 490,049     |   |  |   | 166,197     |   |
|                                                                                                       |  | $      | 182,130,723 |   |  | $      | 116,230,069 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Liabilitiesand Partners'Capital:                                                                           |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                               |  |   |        |   |  |   |        |   |
| Unrealizeddepreciation on open forward contracts                                                           |  | $      | 2,976,793   |   |  | $      | 926,543     |   |
| Accruedexpenses:                                                                                           |  |   |        |   |  |   |        |   |
| Professionalfees                                                                                           |  |   | 57,292      |   |  |   | 12,000      |   |
| Distribution payable (Note5)                                                                               |  |   | 490,049     |   |  |   | 166,197     |   |
|                                                                                                       |  |   | 3,524,134   |   |  |   | 1,104,740   |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
| Partners'Capital:                                                                                          |  |   |        |   |  |   |        |   |
| Partners' Capital,150,355.1221 and 107,012.8888 Redeemable Units outstanding in 2005 and2004, respectively |  |   | 178,606,589 |   |  |   | 115,125,329 |   |
|                                                                                                       |  | $      | 182,130,723 |   |  | $      | 116,230,069 |   |
|                                                                                                       |  |   |        |   |  |   |        |   |
|                                                                                                            |

Seeaccompanying notes to financial statements.

F-44

----

CMF Winton Master L.P.CondensedSchedule of Investments December 31, 2005

|                                                   |  |           |            |                       |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|-----------------------|--|--------|--------|----------|--|--|
|                                              |  | FairValue |            | % of Partners'Capital |
| Futures ContractsPurchased                        |  |      |       |                  |  |   |   |     |
| Currencies                                        |  | $         | (532,732   | )                |  |   | (0.30  | )%  |
| Indices                                           |  |      | (689,791   | )                |  |   | (0.39  | )   |
| Interest Rates U.S.                               |  |      | (63,103    | )                |  |   | (0.03  | )   |
| Interest Rates Non-U.S.                           |  |      | 2,264,869  |                  |  |   | 1.27   |     |
| Livestock                                         |  |      | 274,805    |                  |  |   | 0.15   |     |
| Lumber                                            |  |      | (4,213     | )                |  |   | (0.00) | *   |
| Metals                                            |  |      | 464,600    |                  |  |   | 0.26   |     |
| Softs                                             |  |      | 53,290     |                  |  |   | 0.03   |     |
| Total futures contractspurchased                  |  |      | 1,767,725  |                  |  |   | 0.99   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                  |  |   |   |     |
| Currencies                                        |  |      | (319,700   | )                |  |   | (0.18  | )   |
| Energy                                            |  |      | (613,409   | )                |  |   | (0.34  | )   |
| Grains                                            |  |      | (643,317   | )                |  |   | (0.36  | )   |
| Interest Rates U.S.                               |  |      | (36,304    | )                |  |   | (0.02  | )   |
| Interest Rates Non-U.S.                           |  |      | 1,099,890  |                  |  |   | 0.62   |     |
| Livestock                                         |  |      | 3,400      |                  |  |   | 0.00   | *   |
| Softs                                             |  |      | (213,477   | )                |  |   | (0.12  | )   |
| Total futures contractssold                       |  |      | (722,917   | )                |  |   | (0.40  | )   |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| UnrealizedAppreciation on ForwardContracts        |  |      |       |                  |  |   |   |     |
| Metals                                            |  |      | 6,659,732  |                  |  |   | 3.73   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 6,659,732  |                  |  |   | 3.73   |     |
|                                              |  |      |       |                  |  |   |   |     |
|                                              |  |      |       |                  |  |   |   |     |
| UnrealizedDepreciation on ForwardContracts        |  |      |       |                  |  |   |   |     |
| Metals                                            |  |      | (2,976,793 | )                |  |   | (1.67  | )   |
| Total unrealized depreciation on forwardcontracts |  |      | (2,976,793 | )                |  |   | (1.67  | )   |
|                                              |  |      |       |                  |  |   |   |     |
| Total FairValue                                   |  | $         | 4,727,747  |                  |  |   | 2.65   | %   |
|                                                   |

Percentages are based onPartners' capital unless otherwiseindicated

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

|  |                                               |
|--|-----------------------------------------------|
|  | Seeaccompanying notes to financial statements |

F-45

----

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

|                                            |  |            |           |                     |  |        |        |         |  |  |
|--------------------------------------------|--|------------|-----------|---------------------|--|--------|--------|---------|--|--|
|                                       |  | Fair Value |           | % ofPartnersCapital |
| Futures ContractsPurchased                 |  |       |      |                |  |   |   |    |
| Currencies                                 |  | $          | 623,634   |                |  |   | 0.54   | %  |
| Indices                                    |  |       | 1,541,657 |                |  |   | 1.34   |    |
| InterestRates U.S.                         |  |       | (294,303  | )              |  |   | (0.27  | )  |
| Interest RatesNon-U.S.                     |  |       | (42,376   | )              |  |   | (0.04  | )  |
| Livestock                                  |  |       | (97,350   | )              |  |   | (0.08  | )  |
| Lumber                                     |  |       | 48,114    |                |  |   | 0.04   |    |
| Metals                                     |  |       | (524,982  | )              |  |   | (0.46  | )  |
| Softs                                      |  |       | (172,955  | )              |  |   | (0.15  | )  |
| Totalfutures contractspurchased            |  |       | 1,081,439 |                |  |   | 0.92   |    |
| FuturesContractsSold                       |  |       |      |                |  |   |   |    |
| Currencies                                 |  |       | 17,239    |                |  |   | 0.02   |    |
| Energy                                     |  |       | 160,945   |                |  |   | 0.14   |    |
| Grains                                     |  |       | (287,861  | )              |  |   | (0.25  | )  |
| InterestRates U.S.                         |  |       | (21,841   | )              |  |   | (0.02  | )  |
| InterestRatesNon-U.S.                      |  |       | (10,707   | )              |  |   | (0.00) | *  |
| Metals                                     |  |       | 69,925    |                |  |   | 0.06   |    |
| Softs                                      |  |       | (29,600   | )              |  |   | (0.03  | )  |
| Totalfutures contractssold                 |  |       | (101,900  | )              |  |   | (0.08  | )  |
| UnrealizedAppreciation on ForwardContracts |  |       |      |                |  |   |   |    |
| Metals                                     |  |       | 1,575,476 |                |  |   | 1.37   |    |
| UnrealizedDepreciation on ForwardContracts |  |       |      |                |  |   |   |    |
| Metals                                     |  |       | (926,543  | )              |  |   | (0.80  | )  |
| TotalFairValue                             |  | $          | 1,628,472 |                |  |   | 1.41   | %  |
|                                            |

Percentagesare based on Partners' capital unless otherwise indicated.

* Due to rounding

Seeaccompanying notes to financial statements.

F-46

----

CMF Winton Master L.P.Statements ofIncome and Expensesfor the year ended December 31, 2005 and theperiod November 1, 2004(commencement of trading operations)toDecember 31,2004

|                                                                   |  |        |            |        |  |        |           |         |  |  |
|-------------------------------------------------------------------|--|--------|------------|--------|--|--------|-----------|---------|--|--|
|                                                              |  | 2005   |            | 2004   |
| Income:                                                           |  |   |       |   |  |   |      |    |
| Netgains (losses) on trading of commodityinterests:               |  |   |       |   |  |   |      |    |
| Realized gains on closedpositions and foreign currencies          |  | $      | 13,732,305 |   |  | $      | 4,622,324 |    |
| Net unrealized gains on openpositions                             |  |   | 3,099,275  |   |  |   | (969,894  | )  |
|                                                              |  |   | 16,831,580 |   |  |   | 3,652,430 |    |
| Interestincome                                                    |  |   | 4,288,087  |   |  |   | 244,406   |    |
|                                                              |  |   | 21,119,667 |   |  |   | 3,896,836 |    |
| Expenses:                                                         |  |   |       |   |  |   |      |    |
| Clearingfees                                                      |  |   | 1,166,831  |   |  |   | 152,738   |    |
| Professionalfees                                                  |  |   | 56,062     |   |  |   | 12,000    |    |
|                                                              |  |   | 1,222,893  |   |  |   | 164,738   |    |
| Netincome                                                         |  | $      | 19,896,774 |   |  | $      | 3,732,098 |    |
| Net income per Unit ofLimited Partnership Interest (Notes 1 and6) |  | $      | 142.03     |   |  | $      | 78.85     |    |
|                                                                   |

Seeaccompanying notes to financial statements.

F-47

----

CMF Winton Master L.P.Statements ofChanges in Partners' Capitalfor the year ended December 31,2005 and the period from November 1, 2004 (commencement of tradingoperations)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 56,367.5633 Unitsof Limited PartnersInterest                                               |  |                    | 61,144,754  |    |
| Redemption of 1,798.7090Units of Limited PartnersInterest                                          |  |                    | (1,951,151  | )  |
| Distribution ofInterest to feeder funds                                                            |  |                    | (244,406    | )  |
| Partners' capital atDecember 31, 2004                                                              |  |                    | 115,125,329 |    |
| Net income                                                                                         |  |                    | 19,896,774  |    |
| Sale of 100,687.9895 Units ofLimited Partners' Interest                                            |  |                    | 114,746,235 |    |
| Redemption of 57,345.7562 Unitsof Limited Partners' Interest                                       |  |                    | (66,873,662 | )  |
| Distribution of Interest toFeeder Funds                                                            |  |                    | (4,288,087  | )  |
| Partners'capital at December 31, 2005                                                              |  | $                       | 178,606,589 |    |
| Net asset valueperUnit:                                                                            |  |                    |        |    |
|                                                                                                    |

|        |  |      |  |           |  |  |  |  |  |  |
|--------|--|------|--|-----------|--|--|--|--|--|--|
|   |  | 2004 |  | $1,075.81 |
|   |  | 2005 |  | $1,187.90 |
|        |

Seeaccompanying notes to financial statements.

F-48

----

CMF Winton Master L.P.Statements ofCash Flowsfor the year ended December 31, 2005 and the periodNovember 1, 2004(commencement of trading operations) toDecember 31,2004

|                                                                                           |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |             | 2004    |
| Cash flows fromoperating activities:                                                      |  |   |        |    |  |   |        |    |
| Netincome                                                                                 |  | $      | 19,896,774  |    |  | $      | 3,732,098   |    |
| Adjustments toreconcile net income to net cash provided by (used in) operatingactivities: |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |        |    |  |   |        |    |
| (Increase) decreasein restricted cash                                                     |  |   | (15,099,667 | )  |  |   | (26,264,586 | )  |
| (Increase)decrease in net unrealized appreciation on open futurespositions                |  |   | (65,269     | )  |  |   | 2,089,692   |    |
| (Increase) decrease in unrealizedappreciation on open forward contracts                   |  |   | (5,084,256  | )  |  |   | (1,336,229  | )  |
| (Increase) decrease in interestreceivable                                                 |  |   | (323,852    | )  |  |   | (166,197    | )  |
|                                                                                      |  |   |        |    |  |   |        |    |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                    |  |   | 2,050,250   |    |  |   | 216,431     |    |
| Accruedexpenses:                                                                          |  |   |        |    |  |   |        |    |
| Increase (decrease) in professionalfees                                                   |  |   | 45,292      |    |  |   | 12,000      |    |
| Net cash provided by (used in) operatingactivities                                        |  |   | 1,419,272   |    |  |   | (21,716,791 | )  |
|                                                                                      |  |   |        |    |  |   |        |    |
| Cashflows from financingactivities:                                                       |  |   |        |    |  |   |        |    |
| Proceeds fromadditions                                                                    |  |   | 114,746,235 |    |  |   | 110,990,422 |    |
| Payments forredemptions                                                                   |  |   | (66,873,662 | )  |  |   | (1,951,151  | )  |
| Distribution of interest to feederfunds                                                   |  |   | (3,964,235  | )  |  |   | (78,209     | )  |
| Net cash provided by(used in) financing activities                                        |  |   | 43,908,338  |    |  |   | 108,961,062 |    |
|                                                                                      |  |   |        |    |  |   |        |    |
| Netchange in cash                                                                         |  |   | 45,327,610  |    |  |   | 87,244,271  |    |
| Unrestricted cash, at beginningof period                                                  |  |   | 87,244,271  |    |  |   | —     |    |
| Unrestricted cash, atend of period                                                        |  | $      | 132,571,881 |    |  | $      | 87,244,271  |    |
| Non cashfinancing activities:                                                             |  |   |        |    |  |   |        |    |
| Contribution of open commodityfutures and forwards positions                              |  | $      | —     |    |  | $      | 2,598,366   |    |
|                                                                                           |

Seeaccompanying notes to financialstatements.

F-49

----

CMFWinton Master L.P.

Notes to FinancialStatements

1.    PartnershipOrganization:

CMF Winton Master 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 I L.P. ("WintonFeeder") allocated substantially all of its capital andSmith Barney Diversified Futures Fund L.P.("Diversified") and Salomon Smith BarneyOrion Futures 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 Units with cash equal to $57,471,493. On July 1, 2005 CMFInstitutional Futures Portfolio L.P. ("CMFInstitutional") allocated a portion of its capital to theMaster and purchased 5,741.8230 Units of the Master with cash equal to$7,000,000. The Master was formed to permit commodity pools managed nowor in the future by Winton Capital Management Limited (the"Advisor") using the Diversified program, theAdvisor's proprietary trading program, to invest together in onevehicle.

The Master's investors consist of Winton Feeder,Orion, Diversified, Citigroup Diversified and CMF Institutional (each a"Feeder", collectively the"Funds") with 7.7%, 30.5%,8.7%, 50.4% and 2.7% ownership of the Master atDecember 31, 2005, respectively. Winton Feeder, Orion, Diversified andCitigroup Diversified owned 3.1%, 33.4%, 14.0% and49.5% of the Master at December 31, 2004,respectively.

Citigroup Managed Futures LLC acts as the generalpartner (the "General Partner") of theMaster. The Master's commodity broker is Citigroup Global MarketsInc. ("CGM"). CGM is an affiliate of theGeneral Partner. The General Partner is wholly-owned by CitigroupGlobal Markets Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of CitigroupInc.

2.    Accounting Policies:

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

|          |                                                                                                                                                                                                                                                                                                                                                                      |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | All of the income and expenses andunrealized gains and losses on trading of commodity interests aredetermined on each valuation day and are allocated pro rata among theFunds at the time of such determination. Income taxes have not beenprovided as each Partner is individually liable for the taxes, if any,on their share of the Master's income and expenses. |

F-50

----

CMFWinton Master L.P.

Notes to FinancialStatements

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

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| d.  | Certain priorperiod amounts have been reclassified to conform to current yearpresentation. |

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.  | ManagementAgreement: |

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

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

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The Master has entered into aCustomer Agreement with CGM whereby CGM provides services whichinclude, among other things, the execution of transactions for theMaster's account in accordance with orders placed by the Advisor.All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by the Master. All other feesincluding CGM's direct brokerage commission shall be borne by theFeeder Funds. All of the Master's assets are deposited in theMaster's account at CGM. The Master's cash is deposited byCGM in segregated bank accounts to the extent required by CommodityFutures Trading Commission regulations. At December 31, 2005 and 2004,the amount of cash held by the Master for margin requirements was$41,364,253 and $26,264,586, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedupon notice by either party. |

4.    Trading Activities:

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

All of the commodity interests owned by the Masterare held for trading purposes. The average fair value for the yearended December 31, 2005 and during the period ended December 31, 2004based on a monthly calculation, was $6,930,693 and $3,595,835,respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the General Partner and at such times as the GeneralPartner may decide. A limited partner may require the Partnership toredeem their Redeemable Units at their Net Asset Value as of the lastday of each month. The General Partner at its sole discretion, maypermit redemptions more frequently than monthly, there is no feecharged in connection with redemptions.

F-51

----

CMFWinton Master L.P.

Notes to FinancialStatements

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the year ended December 31, 2005 and the period fromNovember 1, 2004 (commencement of trading operations) toDecember  31, 2004 was asfollows:

|                                                         |  |        |          |         |  |        |          |         |  |  |
|---------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                    |  | 2005   |          | 2004    |
| Net realized and unrealizedgains*                       |  | $      | 112.51   |    |  | $      | 75.92    |    |
| Interestincome                                          |  |   | 29.94    |    |  |   | 3.04     |    |
| Expenses**                                              |  |   | (0.42    | )  |  |   | (0.11    | )  |
| Increase for theperiod                                  |  |   | 142.03   |    |  |   | 78.85    |    |
| Distributions                                           |  |   | (29.94   | )  |  |   | (3.04    | )  |
| Net Asset Value Redeemable per Unit,beginning of period |  |   | 1,075.81 |    |  |   | 1,000.00 |    |
| Net Asset Value Redeemableper Unit, end of period       |  | $      | 1,187.90 |    |  | $      | 1,075.81 |    |
|                                                         |

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

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

|                              |  |        |        |         |  |        |        |             |  |  |
|------------------------------|--|--------|--------|---------|--|--------|--------|-------------|--|--|
| Ratiosto Average Net Assets: |  |   |   |    |  |   |   |        |
| Netinvestment income***      |  |   | 1.9    | %  |  |   | 0.6    | %****  |
| Operatingexpenses            |  |   | 0.8    | %  |  |   | 1.3    | %****  |
| Totalreturn                  |  |   | 13.2   | %  |  |   | 7.9    | %      |
|                              |

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

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

The above ratiosmay vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the Limited Partner class using the Limited Partners' shareof income, expense and average net assets.

7.    FinancialInstrument Risks:

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

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

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

F-52

----

CMFWinton Master L.P.

Notes to FinancialStatements

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

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

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

F-53

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CMF WintonMaster L.P.

Notes to Financial Statements

Selected unaudited quarterly financial data for the Winton Masterfor the year ended December 31, 2005 and the period ended December 31,2004 are summarizedbelow:

|                                                                                                                      |  |                                                       |         |                                                      |  |                                                 |            |                                                    |  |        |            |        |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------|---------|------------------------------------------------------|--|-------------------------------------------------|------------|----------------------------------------------------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                 |  | Forthe period fromOctober 1, 2005 to December 31,2005 |         | For the period from July 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |            | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                     | 134,872 |                                                 |  | $                                               | (1,993,310 | )                                             |  | $      | 10,861,316 |   |  | $      | 10,949,958 |   |
| NetIncome(loss)                                                                                                      |  | $                                                     | 131,646 |                                                 |  | $                                               | (2,011,115 | )                                             |  | $      | 10,843,704 |   |  | $      | 10,932,539 |   |
| Increase(decrease) in NetAsset                                                                                       |  |                                                  |    |                                                 |  |                                            |       |                                               |  |   |       |   |  |   |       |   |
| ValueperUnit                                                                                                         |  | $                                                     | (0.32   | )                                               |  | $                                               | (13.00     | )                                             |  | $      | 78.31      |   |  | $      | 77.04      |   |
|                                                                                                                      |

|                                                                                                             |  |                                                                                           |           |        |  |        |        |        |  |        |        |        |  |        |        |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|-----------|--------|--|--------|--------|--------|--|--------|--------|--------|--|--------|--------|--------|--|--|
|                                                                                                        |  | Forthe period fromNovember 1, 2004(commencement oftrading operations) to December 31,2004 |           |   |  |   |        |   |
| Net realized andunrealized trading gains net of brokerage commissions and clearing feesplus interest income |  | $                                                                                         | 3,744,098 |   |  |   |   |   |  |   |   |   |  |   |   |   |
| Net Income                                                                                                  |  | $                                                                                         | 3,732,098 |   |  |   |   |   |  |   |   |   |  |   |   |   |
| Increase in Net AssetValueperUnit                                                                           |  | $                                                                                         | 78.85     |   |  |   |   |   |  |   |   |   |  |   |   |   |
|                                                                                                             |

F-54

----

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 over financial reporting or inother factors that could significantly affect such controls subsequentto the date of their evaluation as of year end.

PART III

Item 10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. At December 31, 2005 investment decisions were made byCampbell & Company, Inc., Winton Capital Management, Graham LimitedCapital Management 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 $3,461,689 were earned by CGM for the year ended December 31,2005. Management fees and incentive fees of $1,146,268 and $296,368,respectively, were earned by the Advisors for the year ended December31, 2005.

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(3.5%) as of December 31, 2005.

(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."

27

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Item 14.    Principal AccountantFees and Services

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

|            |         |
|------------|---------|
| 2005  | $30,000 |

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

(2)    Audit-RelatedFees. None

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

|            |        |
|------------|--------|
| 2005  | $7,606 |

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

(4)    All OtherFees. None.

(5)    Not Applicable.

(6)    NotApplicable.

PART IV

Item 15.    Exhibits andFinancial Statement Schedules.

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

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

|        |                                                                  |
|--------|------------------------------------------------------------------|
|   | Condensed Schedules ofInvestments at December 31, 2005 and 2004. |

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

|        |                                                                                                |
|--------|------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and2003. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for the yearsended December 31, 2005, 2004 and 2003. |

|        |                               |
|--------|-------------------------------|
|   | 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). |

28

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|        |              |                                                                                                                                                                                                                                  |
|--------|--------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 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). |

29

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|        |               |                                                                                                                                                                                      |
|--------|---------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 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 Limited (previously filed). |

|        |              |                                                                                                                      |
|--------|--------------|----------------------------------------------------------------------------------------------------------------------|
|   | 10.33– | Management Agreement among the Partnership,the General 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 Limited, Stonebrook Structured Products, LLC and GrahamCapital Management L.P. (previouslyfiled). |

|        |               |                                                                          |
|--------|---------------|--------------------------------------------------------------------------|
|   | 10.37 – | Letter terminating Stonebrook Structured ProductsLLC (previously filed). |

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

|        |       |                                                                                                                                                                                            |
|--------|-------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.39 | Lettersextending Management Agreements with Campbell & Co. Inc.,Willowbridge Associates, Inc., Winton Capital Management Limited, andGraham Capital Management L.P. (previouslyfiled). |

|        |       |                                                                                                                                                                                     |
|--------|-------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.40 | Lettersextending Management Agreements with Campbell and Co. Inc.,Willowbridge Associates, Inc., Winton Capital Management Limited andGraham Capital Management L.P. (filedherein). |

|        |              |                                                       |
|--------|--------------|-------------------------------------------------------|
|   | 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) |

30

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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.

31

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized, in the City of New York andState of New York on the 29th day of March 2006.

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/ Jennifer Magno    |
| Maureen O'Toole             |  | Jennifer Magno        |
| Director                    |  | Director              |
| /s/ Daniel R. McAuliffe,Jr. |  | /s/ Jerry Pascucci    |
| DanielR. McAuliffe, Jr.     |  | Jerry pascucci        |
| ChiefFinancial Officerand   |  | Director              |
| Director                    |  |                  |
|                        |  | /s/Ihor Rakowsky      |
|                        |  | IhorRakowsky          |
|                        |  | Secretary andDirector |
|                             |

32

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