Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Partnership's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. (See also "Item 8. Financial Statements and Supplementary Data" for further information on financial instrument risk included in the notes to financial statements.)

Other than the risks inherent in commodity futures and swaps trading, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership's liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the General Partner may, in its discretion, cause the Partnership to cease trading operations and liquidate all open positions under certain circumstances including a decrease in Net Asset Value per Redeemable Unit to less than $400 as of the close of business on any trading day.

(b)    Capital Resources.

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

(ii)    The Partnership's capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market moves in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, 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 in interest rates. Partnership expenses consist of, among other things, commissions, advisory fees and administrative fees. The level of these expenses is dependent upon the level of trading and the ability of the Advisors to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon interest rates over which the Partnership has no control.

No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of a month on 10 days' notice to the General Partner. For the purpose of a redemption, any accrued liability for reimbursement of offering and organization expenses for the Initial Offering Period will not reduce Net Asset Value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions. For the year ended December 31, 2004 66,799.0257 Redeemable Units were redeemed totaling $62,544,352. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003, 6,310.1334 Redeemable Units were redeemed totaling $5,808,589.

Offering and organization costs of $650,000 relating to the issuance and marketing of the Partnership's Redeemable Units offered were initially paid by CGM. These costs have been recorded as due to CGM in the statement of financial condition. These costs are being reimbursed to CGM by the Partnership in 36 monthly installments (together with interest at the prime rate quoted by JPMorgan Chase & Co.).

For the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003, $196,014 and $145,318 of these costs have been reimbursed to CGM by the Partnership. In addition, the Partnership has recorded interest expense of $16,979 and $16,464 for the year ended December 31, 2004 and the period May 1, 2003 (commencement of trading operations) to December 31, 2003, respectively, which is included in other expenses.

15

The remaining liability for these costs due to CGM of $308,668 (exclusive of interest charges) will not reduce Net Asset Value per Redeemable Unit for purposes of calculating advisory and brokerage fees and the redemption value of Redeemable Units.

For the year ended December 31, 2004, there were additional sales of 592,983.3592 Redeemable Units totaling $569,528,000 and General Partner contributions representing 5,440.6521 Unit equivalents totaling $5,225.000. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 there were additional sales of 260,808.2644 Redeemable Units totaling $247,398,000 and General Partner contributions representing 2,582.5938 Unit equivalents totaling $2,451,000.

(c)    Results of Operations.

For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit increased 0.7% from $967.61 to $974.13. For the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 the Net Asset Value per Redeemable Unit decreased 3.2% from $1,000.00 to $967.61.

The Partnership experienced net trading gains of $59,337,409 before commissions and expenses in 2004. Gains were primarily attributable to the trading in currencies, grains, energy, non-U.S. interest rates and livestock and were partially offset by losses recognized in the trading of U.S. interest rates, metals, indices and softs.

Trading results for the year 2004 can be described in four distinct periods: the first two months of the year produced positive results with trends carrying over from late 2003, the next six months which saw trend disruptions and trading losses, the period September through November which saw a recovery period, and finally the month of December which stands alone as essentially break-even. The net effect of these periods was a flat year for the Partnership's overall results. The year was heavily influenced by two historic trends: the decline in the value of the U.S. dollar versus major currencies and the run-up in the price of crude oil to over $50 a barrel.

The year started strongly with many of the trends from late 2003 continuing into early 2004. Notably lower interest rates in the U.S. and other major countries fostered strong global economic growth and pressured commodity prices. These forces resulted in upward trends in many sectors, especially energy, metals and grains and provided profitable trading opportunities for the Advisors. These trends persisted into early March when economic indicators in the U.S. and China suggested rising inflation and markets reversed precipitously with higher interest rates, collapsing commodity prices and the dollar reversal.

This began a protracted period of tentative and conflicting trends across many sectors. As expected in the nature of trend-following, the strength of profitable trends is often followed by temporary but often severe periods of losses. April though June was such a period for nearly all of the Advisors as they adjusted positions from what had been profitable, long-term trends to choppy, directionless and volatile markets. Particularly treacherous and thus unprofitable was trading in U.S. and Asian interest rates and global stock indices while energy, metals and grains provided some offsetting profits. The fundamental economic concerns hanging over these markets were further exacerbated by the uncertainty surrounding the tightly contested U.S. presidential election.

With the year looking dismal going into the fall, the price of crude oil resumed its climb to $50 a barrel brought on by the deteriorating security situation in Iraq, Saudi Arabia political turmoil, and renewed threats of terrorism. Long positions in the energy sector continued to provide profits to the Fund through the end of the third quarter and into the fourth quarter. Later in the fourth quarter the U.S. dollar began a rapid slide toward $1.40 to the euro. These renewed trends in currency prices combined with declining interest rates and stronger global stock markets were favorable to the Advisors and provided a solidly profitable October and November for the Partnership.

December, in some respects, was a microcosm of the whole year with volatility across many markets, especially currencies and energy, with the net effect being a slight loss for the month and ultimately for the year.

The Partnership experienced net trading gains of $16,990,227 before commissions and expenses for the period from May 1, 2003 (commencement of trading operations) to December 31, 2003. Gains were primarily attributable to the trading in currencies, grains, metals and indices and were partially offset by losses recognized in the trading of energy, U.S. and non-U.S. interest rates, livestock and softs.

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The decrease per Redeemable Unit does not correspond with the net trading gains presented above for the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 because of the timing of additions of the Partnership's Redeemable Units in relation to the fluctuating values of the Partnership's commodity interest.

The year 2003 for this new Partnership may be viewed broadly in three segments: the first month of initial trading in May, 2003, the June through September period and finally the fourth quarter. Each of these periods had market characteristics which affected the Advisors' trading and hence the performance of the Partnership.

At the inception of trading in May, 2003, the Partnership initially participated profitably in several long term trends across many financial markets. This resulted in an approximately 7% return in the first month. The trends powering this first month had been developing and maturing over the prior 12 months, interrupted by the Iraqi war in the first quarter.

The month of June, however, witnessed a refocus by the global marketplace on macro-economic issues and the budding global recovery. The strong trends of lower interest rates and decline of the dollar were upset by the unexpected announcement of no further easing actions by the European Central Bank and the U.S. Federal Reserve. The Advisors, similar to the experience throughout the managed futures industry, experienced a giveback of open trade profits as the markets reversed and searched for new trends. Most significant losses occurred in currencies as the dollar regained some strength in fixed income contracts as rates trended higher and in precious metals which declined from 10 year highs.

This volatility continued throughout the summer and into the early fall as monthly returns alternated between positive and negative. The Partnership's structure employing multiple Advisors provided exposure in a broad range of markets employing a range of trading styles which ultimately contributed to a smoother monthly performance record. For instance, the energy markets often played an important role contributing profits when other markets were losing through this period and conversely losses in months when the financial markets were profitable.

The fourth quarter of 2003 saw the renewed dollar decline beginning in late November. In spite of the strong growth exhibited in the United States in the third quarter, the dollar began a new significant slide against both the euro and yen. This led to significant fourth quarter profits, which boosted performance for many of the Partnership's Advisors' programs. The year ended with a 7% return in the fourth quarter.

In the General Partner's opinion, the Advisors continue to employ trading methods and produce results consistent with their expected performance given market conditions and the objectives of the Partnership. The General Partner continues to monitor the Advisors' performance on a daily, weekly, monthly and annual basis to assure these objectives are met.

It should be noted that commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisors to identify 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 in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through 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. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution,

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clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.

Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's ability to gather, process, and communicate information efficiently and securely, without interruption, to customers, among Redeemable Units within the Partnership, and in the markets where the Partnership participates.

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

Financial Control Risk — the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with management's authorization, and that financial information utilized by management and communicated to external parties, including the Partnership's unit holders, creditors, and regulators, is free of material errors.

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes.

All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statement of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.

Foreign currency contracts are those contracts where the Partnership agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Partnership's net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting dates, is included in the statement of financial condition. Realized gains (losses) and changes in unrealized values on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the statement of income and expenses and partners' capital.

The General Partner believes that the accounting policies that will be most critical to the Partnership's financial condition and results of operations relate to the valuation of the Partnership's positions. The majority of the Partnership's positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Swap contracts generally will be valued by reference to published settlement prices or dealers' quotes in related markets or other measures of fair value deemed appropriate by the General Partner. The General Partner expects that under normal circumstances substantially all of the Partnership's assets will be valued by objective measures and without difficulty.

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Item 7A.    Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of Partnership assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.

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

The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership's losses in any market sector will be limited to Value at Risk or by the Partnership's attempts to manage its market risk.

Quantifying the Partnership's Trading Value at Risk

The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period).

The Partnership's risk exposure in the various market sectors traded by the Advisors is quantified below in terms of Value at Risk. Due to the Partnership's mark-to-market accounting, any loss in the fair value of the Partnership's open positions is directly reflected in the Partnership's earnings (realized and unrealized).Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%–99% of any one-day intervals. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component which is not relevant to Value at Risk.

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

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The fair value of the Partnership's futures and forward positions does not have any optionality component. However, the Advisors may trade commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures-equivalent maintenance margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments.

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

The Partnership's Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Partnership's open positions by market category as of December 31, 2004 and December 31, 2003, the highest and lowest value at any point and the average value during the years. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2004, the Partnership's total capitalization was $804,324,637.

December 31, 2004

												Year to Date
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average*
Currencies
— Exchange Traded Contracts				$	6,168,675				0.77	%		$	7,896,585			$	2,342,467			$	5,062,784
— OTC Contracts					20,212,414				2.51	%			21,558,596				1,193,312				7,636,903
Energy					6,910,590				0.86	%			20,502,971				1,889,218				10,481,798
Grains					2,502,746				0.31	%			6,367,828				1,736,123				3,917,353
Interest rates U.S.					7,116,320				0.88	%			11,627,100				2,427,725				7,439,171
Interest rates Non-U.S.					17,557,107				2.18	%			28,504,753				5,748,772				17,606,692
Livestock					83,200				0.01	%			936,000				83,200				345,892
Metals
— Exchange					3,285,500				0.41	%			8,339,000				1,189,000				3,654,350
— OTC Contracts					5,621,228				0.70	%			8,455,171				502,700				2,939,704
Softs					5,214,112				0.65	%			5,214,785				802,515				3,310,904
Indices					30,860,207				3.84	%			31,858,750				3,953,380				13,707,732
Total				$	105,532,099				13.12	%

*	annual average of month-end value at risk

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As of December 31, 2003, the Partnership's total capitalization was $284,539,258.

December 31, 2003

												Year to Date
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average*
Currencies
— Exchange Traded Contracts				$	5,491,778				1.93	%		$	7,161,607			$	445,637			$	3,623,172
— OTC Contracts					4,614,866				1.62	%			4,870,376				270,818				2,196,015
Energy					8,067,500				2.83	%			9,060,060				1,261,300				4,183,719
Grains					2,495,800				0.88	%			4,036,343				750,500				1,952,956
Interest rates U.S.					3,486,000				1.23	%			3,970,450				775,900				2,260,313
Interest rates Non-U.S.					4,317,374				1.52	%			9,180,759				1,354,865				4,356,006
Livestock					138,400				0.05	%			768,000				85,600				202,275
Metals
— Exchange					2,143,500				0.75	%			2,447,500				298,000				1,437,475
— OTC Contracts					3,137,885				1.10	%			3,225,685				653,625				1,571,827
Softs					908,575				0.32	%			3,035,912				522,728				1,274,643
Indices					8,330,436				2.93	%			9,505,051				3,045,919				5,952,274
Total				$	43,132,114				15.16	%

*	annual average of month-end value at risk

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Partnership is typically many times the applicable maintenance margin requirement (margin requirements generally range between 2% and 15% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the Partnership's open positions creates a "risk of ruin" not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Partnership — give no indication of this "risk of ruin."

Non-Trading Risk

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership's market risk exposures – except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures – constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership's primary market risk exposures as well as the strategies used and to be used by the General Partner and the Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership's risk controls to differ materially from

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the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership. There can be no assurance that the Partnership's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long- term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership as of December 31, 2004 by market sector.

Interest Rates. Interest rate movements directly affect the price of the futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Partnership's profitability. The Partnership's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-8 countries. However, the Partnership also takes futures positions on the government debt of smaller nations — e.g., Australia.

Currencies. The Partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The General Partner does not anticipate that the risk profile of the Partnership's currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the dollar-based Partnership in expressing Value at Risk in a functional currency other than dollars.

Stock Indices. The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2004 the Partnership's primary exposures were in the EUREX and Chicago Mercantile Exchange (CME) stock indices. The General Partner anticipates little, if any, trading in non-G-8 stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being "whipsawed" into numerous small losses.)

Metals. The Partnership's primary metal market exposure is to fluctuations in the price of gold and silver. Although the Advisor will from time to time trade base metals such as copper, the principal market exposures of the Partnership have consistently been in the precious metals, gold and silver.

Softs. The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Cocoa, cotton and sugar accounted for the substantial bulk of the Partnership's commodity exposure as of December 31, 2004.

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

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

Foreign Currency Balances. The Partnership's primary foreign currency balances are in Japanese yen, Euro dollar and Swiss francs. The Advisor regularly converts foreign currency balances to dollars in an attempt to control the Partnership's non-trading risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

The Advisors apply their own risk management policies to their trading. The Advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The Advisors' research of risk management often suggests ongoing modifications to their trading programs.

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

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Item 8.    Financial Statements and Supplementary Data.

CITIGROUP DIVERSIFIED FUTURES FUND L.P.

INDEX TO FINANCIAL STATEMENTS

				Page Number
Oath or Affirmation				F-2
Management Report on Internal Control over Financial Reporting				F-3
Report of Independent Registered Public Accounting Firm				F-4 – F-6
Financial Statements:
Statements of Financial Condition at December 31, 2004 and 2003.				F-7
Condensed Schedules of Investments at December 31, 2004 and 2003.				F-8 – F-9
Statements of Income and Expenses for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.				F-10
Statements of Changes in Partners' Capital for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.				F-11
Statements of Cash Flows for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.				F-12
Notes to Financial Statements.				F-13 – F-18
Selected Unaudited Quarterly Financial Data.				F-19

F-1

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To the Limited Partners of
Citigroup Diversified Futures Fund L.P.

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

/s/ Daniel R. McAuliffe, Jr.

By:   Daniel R. McAuliffe, Jr.         Chief Financial Officer and Director         Citigroup Managed Futures LLC         General Partner, Citigroup Diversified         Futures Fund L.P.

Citigroup Managed Futures LLC 399 Park Avenue 7th Floor New York, N.Y. 10022 212-559-2011

F-2

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Management's Report on Internal Control over
Financial Reporting

The management of Citigroup Diversified Futures Fund L.P. (the "Partnership"), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership's internal control system was designed to provide reasonable assurance to the Partnership's management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management's authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.

The Partnership's management assessed the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December 31, 2004, the Partnership's internal control over financial reporting is effective.

Management's assessment of the effectiveness of the Company's internal control over financial reporting as of December 31, 2004 has been audited by KPMG LLP, the Partnership's independent registered public accounting firm, as stated in their reports appearing on the following pages, which express unqualified opinions on management's assessment and on the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004.

F-3

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Report of Independent Registered Public Accounting Firm

The Partners of
Citigroup Diversified Futures Fund L.P.:

We have audited management's assessment, included in the accompanying Management's Report on Internal Control Over Financial Reporting, that Citigroup Diversified Futures Fund L.P. (the "Partnership") maintained effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). The Partnership's management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express an opinion on management's assessment and an opinion on the effectiveness of the Partnership's internal control over financial reporting based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, evaluating management's assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.

A partnership's internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A partnership's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the partnership; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management of the partnership; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the partnership's assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

In our opinion, management's assessment that Citigroup Diversified Futures Fund L.P. maintained effective internal control over financial reporting as of December 31, 2004, is fairly stated, in all material respects, based on criteria established in Internal Control—Integrated Framework issued by COSO. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by COSO.

F-4

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We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of financial condition of the Partnership, including the condensed schedules of investments, as of December 31, 2004 and 2003, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) through December 31, 2003, and our report dated March 14, 2005 expressed an unqualified opinion on those financial statements.

/s/ KPMG LLP

New York, New York
March 14, 2005

F-5

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Report of Independent Registered Public Accounting Firm

To the Partners of
Citigroup Diversified Futures Fund L.P.:

We have audited the accompanying statements of financial condition of Citigroup Diversified Futures Fund L.P. (the Partnership), including the condensed schedules of investments, as of December 31, 2004 and 2003, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) through December 31, 2003. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Citigroup Diversified Futures Fund L.P. as of December 31, 2004 and 2003, and the results of its operations, changes in its partners' capital, and its cash flows for the year ended December 31, 2004 and the period from May 1, 2003 through December 31, 2003, in conformity with U.S. generally accepted accounting principles.

We have also audited, in accordance with standards of the Public Company Accounting Oversight Board (United States), the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"), and our report dated March 14, 2005 expressed an unqualified opinion on management's assessment of, and the effective operation of, internal control over financial reporting.

/s/ KPMG LLP

New York, New York
March 14, 2005

F-6

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Citigroup Diversified Futures Fund L.P.
Statement of Financial Condition
December 31, 2004 and 2003

				2004				2003
Assets:
Investment in CMF Winton Master Fund L.P. at fair value (Note 5)				$	57,073,106			$	—
Equity in commodity futures trading account:
Cash (restricted $119,287,343 and $51,477,101 in 2004 and 2003, respectively) (Note 3c)					728,159,165				257,578,919
Net unrealized appreciation on open futures positions					19,416,585				17,800,021
Unrealized appreciation on open forward contracts					32,674,362				30,377,162
					837,323,218				305,756,102
Interest receivable (Note 3c)					976,727				156,623
				$	838,299,945			$	305,912,725
Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts				$	18,298,153			$	14,015,116
Accrued expenses:
Commissions (Note 3c)					3,819,869				1,363,440
Management fees (Note 3b)					1,328,919				492,603
Incentive fees (Note 3b)					592,879				3,882,573
Professional fees					88,888				315,490
Other					34,243				203,188
Due to CGM for offering costs (Note 7)					308,668				504,682
Redemptions payable (Note 6)					9,503,689				596,375
					33,975,308				21,373,467
Partners' capital: (Notes 1 and 6)
General Partner, 8,389.2459 and 2,948.5938 Units equivalents outstanding in 2004 and 2003, respectively					8,172,216				2,853,089
Limited Partners, 817,298.4645 and 291,114.1310 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively					796,152,421				281,686,169
					804,324,637				284,539,258
				$	838,299,945			$	305,912,725

See accompanying notes to financial statements.

F-7

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Citigroup Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2004

Sector				Contract				Fair Value
Currencies
				Futures contracts purchased 0.50%				$	4,029,221
				Futures contracts sold 0.02%					180,119
				Total futures contracts 0.52%					4,209,340
				Unrealized appreciation on forward contracts 3.07%					24,692,776
				Unrealized depreciation on forward contracts (0.99)%					(7,952,347	)
				Total forward contracts 2.08%					16,740,429
Total Currencies 2.60%									20,949,769
Energy
				Futures contracts purchased (0.15)%					(1,230,660	)
				Futures contracts sold 0.39%					3,130,707
Total Energy 0.24%									1,900,047
Grains
				Futures contracts purchased (0.00)%*					(4,696	)
				Futures contracts sold 0.12%					946,876
Total Grains 0.12%									942,180
Interest Rates U.S.
				Futures contracts purchased 0.05%					399,910
				Futures contracts sold 0.11%					916,168
Total Interest Rates U.S. 0.16%									1,316,078
Interest Rates Non-U.S.
				Futures contracts purchased 0.31%					2,491,234
				Futures contracts sold (0.01)%					(55,672	)
Total Interest Rates Non-U.S. 0.30%									2,435,562
Livestock 0.02%				Futures contracts purchased 0.02%					169,360
Metals
				Futures contracts purchased (0.09)%					(737,507	)
				Futures contracts sold (0.00)%*					(1,694	)
				Total futures contracts (0.09)%					(739,201	)
				Unrealized appreciation on forward contracts 0.99%					7,981,586
				Unrealized depreciation on forward contracts (1.28)%					(10,345,806	)
				Total forward contracts (0.29)%					(2,364,220	)
Total Metals (0.38)%									(3,103,421	)
Softs
				Futures contracts purchased 0.50%					4,024,323
				Futures contracts sold (0.11)%					(853,639	)
Total Softs 0.39%									3,170,684
Indices
				Futures contracts purchased 0.81%					6,521,468
				Futures contracts sold (0.06)%					(508,933	)
Total Indices 0.75%									6,012,535
Investment in Partnership 7.10%				CMF Winton Master Fund L.P. 7.10%					57,073,106
Total Fair Value 11.30%								$	90,865,900

Country Composition				Investments at Fair Value				% of Investments at Fair Value
Australia				$	(285,013	)			(0.31	)%
Canada					382,184				0.42
Germany					1,682,279				1.85
France					(29,128	)			(0.03	)
Hong Kong					(8,600	)			(0.01	)
Italy					(2,066	)			(0.00	)*
Japan					546,833				0.60
Netherlands					136				0.00	*
Spain					313,024				0.34
United Kingdom					262,420				0.29
United States					88,003,831				96.85
				$	90,865,900				100.00	%

Percentages are based on Partners' capital unless otherwise indicated

* Due to rounding

See accompanying notes to financial statements.

F-8

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Citigroup Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2003

Sector				Contract				Fair Value
Currencies
				Futures contracts purchased 2.51%				$	7,150,913
				Unrealized appreciation on forward contracts 3.53%					10,050,285
				Unrealized depreciation on forward contracts (1.18)%					(3,361,363	)
				Total forward contracts 2.35%					6,688,922
Total Currencies 4.86%									13,839,835
Energy 0.32%				Futures contracts purchased 0.32%					918,336
Grains
				Futures contracts purchased 1.48%					4,215,187
				Futures contracts sold (0.04)%					(121,489	)
Total Grains 1.44%									4,093,698
Interest Rates U.S. (0.28)%				Futures contracts purchased (0.28)%					(804,802	)
Interest Rates Non-U.S. 0.04%				Futures contracts purchased 0.04%					112,457
Livestock 0.02%				Futures contracts sold 0.02%					63,740
Metals
				Futures contracts purchased 1.16%					3,300,370
				Unrealized appreciation on forward contracts 7.14%					20,326,877
				Unrealized depreciation on forward contracts (3.74)%					(10,653,753	)
				Total forward contracts 3.40%					9,673,124
Total Metals 4.56%									12,973,494
Softs
				Futures contracts purchased (0.17)%					(496,910	)
				Futures contracts sold (0.03)%					(99,097	)
Total Softs (0.20)%									(596,007	)
Indices
				Futures contracts purchased 1.31%					3,720,687
				Futures contracts sold (0.06)%					(159,371	)
Total Indices 1.25%									3,561,316
Total Fair Value 12.01%								$	34,162,067

Country Composition				Investments at Fair Value				% of Investments at Fair Value
Australia				$	50,709				0.15	%
France					57,661				0.17
Germany					822,316				2.41
Hong Kong					7,677				0.02
Japan					29,424				0.09
Spain					124,523				0.36
United Kingdom					10,395,703				30.43
United States					22,674,054				66.37
				$	34,162,067				100.00	%

Percentages are based on Partners' capital unless otherwise indicated

See accompanying notes to financial statements.

F-9

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Citigroup Diversified Futures Fund L.P.
Statements of Income and Expenses
for the year ended December 31, 2004 and the period May 1, 2003
(commencement of trading operations)
to December 31, 2003

				2004				2003
Income:
Net gains (losses) on trading of commodity interests:
Realized gains (losses) on closed positions and foreign currencies				$	60,105,069			$	(17,171,840	)
Change in unrealized gains (losses) on open positions and investment in Partnership					(767,660	)			34,162,067
					59,337,409				16,990,227
Interest income (Note 3c)					6,258,171				783,265
					65,595,580				17,773,492
Expenses:
Brokerage commissions including clearing fees of $1,763,473 and $234,658, respectively (Note 3c)					38,203,750				6,933,408
Management fees (Note 3b)					11,565,417				2,250,400
Incentive fees (Note 3b)					7,218,626				3,882,573
Organizational costs					—				22,090
Professional fees					881,930				315,800
Other expenses					149,126				224,464
					58,018,849				13,628,735
Net income				$	7,576,731			$	4,144,757
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 8)				$	6.52			$(15.76)*

*	The amount shown per Redeemable Unit does not correspond with the net income presented above because of the timing of additions of the Partnership's Redeemable Units in relation to the fluctuating values of the Partnership's commodity interest.

See accompanying notes to financial statements.

F-10

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Citigroup Diversified Futures Fund L.P.
Statements of Changes in Partners' Capital
for the year ended December 31, 2004 and the period May 1, 2003
(commencement of trading operations)
to December 31, 2003

				Limited Partners				General Partner				Total
Partners' capital at May 1, 2003 (commencement of trading operations)				$	36,000,631			$	353,459			$	36,354,090
Net income					4,096,127				48,630				4,144,757
Sale of 260,808.2644 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 2,582.5938 Unit equivalents					247,398,000				2,451,000				249,849,000
Redemption of 6,310.1334 Redeemable Units of Limited Partnership Interest					(5,808,589	)			—				(5,808,589	)
Partners' capital at December 31, 2003					281,686,169				2,853,089				284,539,258
Net income					7,482,604				94,127				7,576,731
Sale of 592,983.3592 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 5,440.6521 Unit equivalents					569,528,000				5,225,000				574,753,000
Redemption of 66,799.0257 Redeemable Units of Limited Partnership Interest					(62,544,352	)			—				(62,544,352	)
Partners' capital at December 31, 2004				$	796,152,421			$	8,172,216			$	804,324,637

Net Asset Value per Redeemable Unit:

2003				$	967.61
2004				$	974.13

See accompanying notes to financial statements.

F-11

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Citigroup Diversified Futures Fund L.P.
Statement of Cash Flows
for the year ended December 31, 2004 and the period May 1, 2003
(commencement of trading operations)
to December 31, 2003

				2004				2003
Cash flows from operating activities:
Net income				$	7,576,731			$	4,144,757
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in restricted cash					(67,810,242	)			(51,477,101	)
(Increase) decrease in investment in CMF Winton Master L.P., at fair value					(57,073,106	)			—
(Increase) decrease in net unrealized appreciation on open futures positions					(1,616,564	)			(17,800,021	)
(Increase) decrease in unrealized appreciation on open forward contracts					(2,297,200	)			(30,377,162	)
(Increase) decrease in interest receivable					(820,104	)			(156,623	)
Increase (decrease) in unrealized depreciation on open forward contracts					4,283,037				14,015,116
Accrued expenses:
Increase (decrease) in commissions					2,456,429				1,363,440
Increase (decrease) in management fees					836,316				492,603
Increase (decrease) in incentive fees					(3,289,694	)			3,882,573
Increase (decrease) in professional fees					(226,602	)			315,490
Increase (decrease) in other					(168,945	)			203,188
Increase (decrease) in due to CGM					(196,014	)			(123,228	)
Increase (decrease) in redemptions payable					8,907,314				596,375
Net cash provided by (used in) operating activities					(109,438,644	)			(74,920,593	)
Cash flows from financing activities:
Proceeds from additions – Limited Partners					569,528,000				247,398,000
Proceeds from additions – General Partner					5,225,000				2,451,000
Payments for redemptions – Limited Partners					(62,544,352	)			(5,808,589	)
Net cash provided by (used in) financing activities					512,208,648				244,040,411
Net change in cash					402,770,004				169,119,818
Unrestricted cash, at beginning of period					206,101,818				36,982,000
Unrestricted cash, at end of period				$	608,871,822			$	206,101,818

See accompanying notes to financial statements.

F-12

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

1.    Partnership Organization:

Citigroup Diversified Futures Fund L.P. (the "Partnership") is a limited partnership which was organized under the partnership laws of the State of New York on December 3, 2002 to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

Between March 27, 2003 (commencement of the offering period) and April 30, 2003, 36,616 redeemable units of Limited Partnership Interest ("Redeemable Units") were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to sell 300,000 Redeemable Units of Limited Partnership Interest during its initial offering period. As of December 4, 2003, and October 7, 2004 the Partnership was authorized to sell an additional 700,000 and 1,000,000, respectively, Redeemable Units of Limited Partnership Interest. The Partnership continues to offer Redeemable Units.

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

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

The Partnership will be liquidated upon the first to occur of the following: December 31, 2022; the net asset value of a Redeemable Unit decreases to less than $400 per Redeemable Unit as of the close of any business day; or under certain other circumstances as defined in the Limited Partnership Agreement.

2.    Accounting Policies:

a.

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

b.	Income taxes have not been provided as each partner is individually liable for the taxes, if any, on their share of the Partnership's income and expenses.

c.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

F-13

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

3.    Agreements:

a.	Limited Partnership Agreement:

	The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership.

b.	Management Agreement:

The General Partner, on behalf of the Partnership, has entered into Management Agreements with Drury Capital, Inc. ("Drury"), Graham Capital Management L.P. ("Graham"), John W. Henry & Company, Inc. ("JWH"), Willowbridge Associates Inc. ("Willowbridge"), Aspect Capital Limited ("Aspect"), Capital Fund Management S.A. ("CFM") and Winton Capital Management Limited (Winton) (collectively, the "Advisors"), each of which are registered commodity trading advisors. Aspect and CFM commenced trading on January 1, 2004, and on December 1, 2004 Winton was added as an Advisor to the Partnership. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership. The Partnership will pay each Advisor a monthly management fee equal to 1/6 of 1% (2% per year), except for Aspect, which will receive a monthly management fee equal to 1/12 of 1.5% (1.5% per year), of month-end Net Assets allocated to the Advisor. Month-end Net Assets, for the purpose of calculating management fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees.

	In addition, the Partnership is obligated to pay each Advisor an incentive fee payable quarterly equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned by each Advisor for the Partnership.

c.	Customer Agreement:

The Partnership has entered into a Customer Agreement which provides that the Partnership will pay CGM a brokerage fee equal to 5.5% per year calculated and paid monthly based on ..46% of month-end Net Assets, in lieu of brokerage commissions on a per trade basis. Month-end Net Assets, for the purpose of calculating commissions are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of accrued expenses and redemptions payable. CGM will pay a portion of brokerage fees to its financial consultants who have sold Redeemable Units in the Partnership. Brokerage fees will be paid for the life of the Partnership, although the rate at which such fees are paid may be changed. The Partnership will pay for National Futures Association fees, as well as exchange, clearing, user, give-up and floor brokerage fees. All of the Partnership's assets are deposited in the Partnership's account at CGM. The Partnership's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2004 and 2003, the amount of cash held for margin requirements was $119,287,343 and $51,477,101, respectively. CGM has agreed to pay the Partnership interest on 80% of the average daily equity maintained in cash in the Partnership's account during each month. The interest is earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.

F-14

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

4.    Trading Activities:

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

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value during the year ended December 31, 2004 and the period from May 1, 2003 through December 31, 2003, based on a monthly calculation, were $29,688,849 and $15,744,707, respectively.

5.    Investment in Partnership:

During 2004, the General Partner entered into Management Agreement with Winton Capital Management Limited ("Winton"). On December 1, 2004, the cash allocated to Winton for trading was allocated to the CMF Winton Master Fund L.P. ("Winton Master") a limited partnership which was organized under the partnership laws of the State of New York. With this cash, the Partnership purchased 52,981.2908 Units of the Winton Master with a fair value of $57,471,493. The Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of the Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership (collectively, the "Feeder Funds") are permitted to be a limited partners' of the Winton Master. The General Partner and Winton believe that trading through this master/feeder structure should promote efficiency and economy in the trading process. Expenses to investors as a result of investment in the Winton Master are approximately the same and redemption rights are not affected.

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

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

Management and incentive fees are not directly charged to the investment presented below. These fees are charged at the Partnership level as discussed in Note 3. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Winton Master. All other fees including CGM's direct brokerage commission are charged at the Partnership level.

At December 31, 2004, the Partnership owns 49.5% of the Winton Master. The performance of the Partnership is directly affected by the performance of the Winton Master.

F-15

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

Summarized information reflecting the Partnership's investment in, and the operations of, the Winton Master is as shown in the following table.

Investment				% of Partnership's Net Assets				Fair Value				Income (Loss)				Expenses								Net Income (loss)				Investment Objective				Redemptions Permitted
																Commissions				Other
For the year ended December 31, 2004
CMF Winton Master Fund L.P.					7.10	%		$	57,073,106			$	(329,280	)		$	63,166			$	5,941			$	(398,387	)		Commodity Portfolio				Monthly

6.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. A limited partner may require the Partnership to redeem their Redeemable Units at their Redemption value per Redeemable Unit as of the last day of each month ending at least three months after their issuance on ten days notice to the General Partner. For the purpose of redemption, any accrued liability for reimbursement of offering and organization expenses for the initial offering period will not reduce Redemption value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions.

7.    Offering and Organization Costs:

Offering and organization costs of $650,000 relating to the issuance and marketing of the Partnership's Redeemable Units offered were initially paid by CGM. These costs have been recorded as due to CGM in the statement of financial condition. These costs are being reimbursed to CGM by the Partnership in 36 monthly installments (together with interest at the prime rate quoted by JPMorgan Chase & Co.).

For the year ended December 31, 2004 and the period from May 1, 2003 to December 31, 2003, $196,014 and $145,318, respectively of these costs have been reimbursed to CGM by the Partnership. In addition, the Partnership has recorded interest expense of $16,979 and $16,464 for the year ended December 31, 2004 and the period from May 1, 2003 to December 31, 2003, which is included in other expenses.

The remaining liability for these costs due to CGM of $308,668 (exclusive of interest charges) will not reduce Net Asset Value per Redeemable Unit for any purpose, including calculation of advisory and brokerage fees and the redemption value of Redeemable Units.

F-16

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

8.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003 were as follows:

				2004				2003
Net realized and unrealized gains*				$	34.30			$	19.70
Interest income					9.25				4.66
Expenses**					(37.03	)			(40.12	)
Increase (decrease) for the period					6.52				(15.76	)
Net asset value per Redeemable Unit, beginning of period					967.61				1,000.00
Offering cost adjustment					—				(16.63	)
Net asset value per Redeemable Unit, end of period				$	974.13			$	967.61
Redemption/subscription value per Redeemable Unit versus net asset value per Redeemable Unit					0.35				1.67
Redemption/subscription value per Redeemable Unit, end of period***				$	974.48			$	969.28

*	Includes brokerage commissions

**	Excludes brokerage commissions

***	For the purpose of a redemption/subscription, any remaining accrued liability for reimbursement of offering and organization costs will not reduce redemption/subscription net asset value per redeemable unit.

Ratios to average net assets:****
Net investment loss before incentive fees*****					(7.8	)%			(8.9	)%
Operating expenses					8.9	%			9.6	%
Incentive fees					1.3	%			2.6	%
Total expenses					10.2	%			12.2	%
Total return:
Total return before incentive fees					1.6	%			1.6	%
Incentive fees					(0.9	)%			(3.2	)%
Total return after incentive fees					0.7	%			(1.6	)%

****	Ratios to average net assets other than incentive fees are annualized.

*****	Interest income less total expenses (exclusive of incentive fees)

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

9.    Financial Instrument Risks:

In the normal course of its business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative 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 reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled

F-17

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Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements

in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options.

Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the a counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership's risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the statement of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's assets is CGM.

The General Partner monitors and controls the Partnership's risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of December 31, 2004. However, due to the nature of the Partnership's business, these instruments may not be held to maturity.

F-18

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Selected unaudited quarterly financial data for the year ended December 31, 2004 and the period from May 1, 2003 and December 31, 2003 are summarized below:

				For the period from October 1, 2004 to December 31, 2004				For the period from July 1, 2004 to September 30, 2004				For the period from April 1, 2004 to June 30, 2004				For the period from January 1, 2004 to March 31, 2004
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income				$	76,558,618			$	(1,989,096	)		$	(91,337,959	)		$	44,160,267
Net income (loss)				$	71,539,727			$	(5,429,573	)		$	(94,044,545	)		$	35,511,122
Increase (decrease) in Net Asset Value per Redeemable Unit				$	88.79			$	(8.58	)		$	(163.93	)		$	90.24

				For the period from October 1, 2003 to December 31, 2003				For the period from July 1, 2003 to September 30, 2003				For the period from May 1, 2003 (commencement of operations) to June 30, 2003
Net realized and unrealized trading gains (loss) net of brokerage commissions and clearing fees plus interest income				$	24,853,076			$	(8,478,384	)		$	(5,534,608	)
Net income (loss)				$	19,356,579			$	(9,405,415	)		$	(5,806,407	)
Increase (decrease) in Net Asset Value per Redeemable Unit				$	77.57			$	(56.44	)		$	(36.89	)

F-19

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PART III

Item 9.    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

Not applicable.

Item 9A.    Controls and Procedures.

Based on their evaluation of the Partnership's disclosure controls and procedures as of year end the President and Chief Financial Officer of the General Partner have concluded that such controls and procedures are effective.

There were no significant changes in the Partnership's internal controls or in other factors that could significantly affect such controls subsequent to the date of their evaluation as of year end.

Management's report on internal control over financial reporting and KPMG LLP's related opinion are included in the Partnership's annual financial statements under "Item 8. Financial Statements and Supplementary Data."

Item 10.    Directors and Executive Officers of the Registrant.

The Partnership has no officers or directors and its affairs are managed by its General Partner, Citigroup Managed Futures LLC. Investment decisions are made by the Advisors.

The Partnership has not adopted a code of ethics that applies to officers because it has no officers.

Item 11.    Executive Compensation.

The Partnership has no directors or officers. Its affairs are managed by Citigroup Managed Futures LLC, its General Partner. CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under "Item 1. Business." Brokerage commissions and clearing fees of $38,203,750 were earned by CGM for the year ended December 31, 2004. Management fees and incentive fees of $11,565,417 and $7,218,626, respectively, were earned by the Advisors for the year ended December 31, 2004.

Item 12.    Security Ownership of Certain Beneficial Owners and Management.

(a)    Security ownership of certain beneficial owners. As of March 1, 2005, the Partnership knows of no person who beneficially owns more than 5% of the Redeemable Units outstanding.

(b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership's affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 8,389.2459 Redeemable Units (1.0%) of Limited Partnership Interest as of December 31, 2004.

Principals who own Redeemable Units of the Partnership:

David J. Vogel         1.0000 Redeemable Unit

(c)    Changes in control. None.

Item 13.    Certain Relationship and Related Transactions.

Citigroup Global Markets Inc. and Citigroup Managed Futures LLC would be considered promoters for purposes of item 404 (d) of Regulation S-K. The nature and the amounts of compensation each promoter will receive, if any, from the Partnership are set forth under "Item 1. Business", "Item 8. Financial Statements and Supplementary Data." and "Item 11. Executive Compensation."

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Item 14.    Principal Accountant Fees and Services.

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

2004            $262,750

2003            $21,500

(2)    Audit-Related Fees. None

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

2004            $5,136

2003            $4,809

(4)    All Other Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

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PART IV

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

(a)(1)	Financial Statements:

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

Statements of Income and Expenses for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.

Statements of Changes in Partners' Capital for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.

Statements of Cash Flows for the year ended December 31, 2004 and the period from May 1, 2003 (commencement of trading operations) to December 31, 2003.

(2)	Exhibits:

	10.1	Letters extending Management Agreements with Drury Capital, Inc., Aspect Capital Limited, John W. Henry & Company, Inc., Willowbridge Associates Inc., Capital Fund Management S.A. and Graham Capital Management L.P. for 2004 (filed herein).

	10.2	Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (filed herein).

	10.3	Management Agreement among the Partnership, the General Partner and Capital Fund Management S.A. (filed herein).

	10.4	Management Agreement among the Partnership, the General Partner and Aspect Capital Limited (field herein)

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

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

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

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

32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director)

	(b)	Reports on Form 8-K: None Filed.

Supplemental Information To Be Furnished With Reports Filed Pursuant To Section 15(d) Of The Act by Registrants Which Have Not Registered Securities Pursuant To Section 12 Of the Act.

(1)    Annual Report to Limited Partners

(2)    No proxy material has been sent to Limited Partners.

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this annual report on Form 10-K to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of New York and State of New York on the 15th day of March 2005.

CITIGROUP DIVERSIFIED FUTURES FUND L.P.

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

By    /s/ David J. Vogel
          David J. Vogel
          President and Director

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

/s/ David J. Vogel   David J. Vogel President and Director				/s/ Shelley Ullman                                        Shelley Ullman Director
/s/ Maureen O'Toole   Maureen O'Toole Director				/s/ Steve J. Keltz   Steve J. Keltz Secretary and Director
/s/ Daniel R. McAuliffe, Jr.   Daniel R. McAuliffe, Jr. Chief Financial Officer and Director

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