Global Diversified Futures Fund (GDFF) 10-Q 2009 Q2 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period EndedJune 30, 2009

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          .

Commission File Number000-30455

CITIGROUP GLOBAL DIVERSIFIED FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York	13-4015586
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Citigroup Managed Futures LLC

55 East 59th Street  – 10th Floor

New York, New York 10022

(Address of principal executive offices) (Zip Code)

(212) 559-2011

(Registrant’s telephone number, including area code)

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 file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X  No  

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes    No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer   Accelerated filer   Non-accelerated filer X Smaller reporting company  

Indicate by check mark whether the registrant is a shell company (as defined inRule 12b-2 of the Exchange Act).

Yes    No X

As of July 31, 2009, 15,996.8236 Limited Partnership Redeemable Units were outstanding.

CITIGROUP GLOBAL DIVERSIFIED FUTURES FUND L.P.

FORM 10-Q

INDEX

		Page
		Number
PART I — Financial Information:
Item 1.	Financial Statements:
	Statements of Financial Condition at June 30, 2009 and December 31, 2008 (unaudited)	3
	Schedules of Investments at June 30, 2009 and December 31, 2008 (unaudited)	4 – 5
	Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2009 and 2008 (unaudited)	6
	Notes to Financial Statements (unaudited)	7 – 14
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	15 – 18
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	19 – 20
Item 4T.	Controls and Procedures	21
PART II — Other Information		22 – 24
Exhibits
EX-10 JOINDER AGREEMENT
EX-31.1 CERTIFICATION
EX-31.2 CERTIFICATION
EX-32.1 CERTIFICATION
EX-32.2 CERTIFICATION

2

PART I

Item 1. Financial Statements

Citigroup Global Diversified Futures Fund L.P.
Statements of Financial Condition
(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Investment in Partnerships, at fair value	$	26,290,599	$	37,284,594
Equity in trading account:
Cash		5,562,479		5,558,203
Cash margin		228,247		—
Net unrealized appreciation on open futures contracts		2,603		—
Net unrealized appreciation on open forward contracts		23,819		—
		32,107,747		42,842,797
Interest receivable		369		82
Total assets	$	32,108,116	$	42,842,879
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions	$	144,487	$	192,793
Management fees		47,648		62,786
Incentive fees		73,753		1,958,313
Other		36,137		52,504
Redemptions payable		462,904		1,356,599
Total liabilities		764,929		3,622,995
Partners’ Capital:
General Partner, 213.0484 and 421.6204 Unit equivalents outstanding at June 30, 2009 and December 31, 2008, respectively		409,426		892,777
Limited Partners, 16,096.6617 and 18,100.2695 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		30,933,761		38,327,107
Total partners’ capital		31,343,187		39,219,884
Total liabilities and partners’ capital	$	32,108,116	$	42,842,879

See accompanying notes to financial statements.

3

Citigroup Global Diversified Futures Fund L.P.
June 30, 2009
Schedule of Investments
(Unaudited)

	Notional($)/
	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		6	$	(1,363	)		(0.00	)%*
Interest Rates Non-U.S.		57		14,565			0.04
Total futures contracts purchased				13,202			0.04
Futures Contracts Sold
Indices		6		(10,599	)		(0.03	)
Total futures contracts sold				(10,599	)		(0.03	)
Unrealized Appreciation on Open Forward Contracts
Currencies		1,066,461		36,318			0.12
Total unrealized appreciation on open forward contracts				36,318			0.12
Unrealized Depreciation on Open Forward Contracts
Currencies		639,094		(12,499	)		(0.04	)
Total unrealized depreciation on open forward contracts				(12,499	)		(0.04	)
Investment in Partnerships
CMF Campbell Master Fund L.P.				6,240,090			19.91
CMF Aspect Master Fund L.P.				8,938,423			28.52
CMF Altis Partners Master Fund L.P.				11,112,086			35.45
Total Investment in Partnerships				26,290,599			83.88
Total fair value			$	26,317,021		$	83.97	%

* Due to rounding.

See accompanying notes to financial statements.

4

Citigroup Global Diversified Futures Fund L.P.
Schedule of Investments
December 31, 2008
(Unaudited)

			% of Partners’
	Fair Value		Capital
Investment in Partnerships
CMF Campbell Master Fund L.P.	$	8,558,897		21.82	%
CMF Aspect Master Fund L.P.		13,187,938		33.63
CMF Altis Partners Master Fund L.P.		15,537,759		39.62
Total fair value	$	37,284,594		95.07	%

See accompanying notes to financial statements.

5

Citigroup Global Diversified Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Income:
Net gains (losses) on trading of commodity interests and investment in Partnerships:
Net realized gains (losses) on closed contracts	$	920,512		$	—		$	550,450		$	—
Net realized gains (losses) on investment in Partnerships		(1,990,826	)		2,074,154			(671,911	)		8,374,151
Change in net unrealized gains (losses) on open contracts		28,269			—			26,422			—
Change in net unrealized gains (losses) on investments in Partnerships		258,518			4,115,045			(1,882,659	)		1,538,356
Gain (loss) from trading, net		(783,527	)		6,189,199			(1,977,698	)		9,912,507
Interest income		1,065			—			2,189			—
Interest income from investment in Partnerships		5,628			119,151			12,630			294,249
Total income (loss)		(776,834	)		6,308,350			(1,962,879	)		10,206,756
Expenses:
Brokerage commissions including clearing fees		458,544			587,582			973,221			1,185,228
Management fees		147,340			183,753			311,595			367,515
Incentive fees		73,753			1,005,668			73,753			1,526,048
Other		42,057			28,988			69,686			50,715
Total expenses		721,694			1,805,991			1,428,255			3,129,506
Net income (loss)		(1,498,528	)		4,502,359			(3,391,134	)		7,077,250
Redemptions — Limited Partners		(1,029,688	)		(900,650	)		(4,076,188	)		(1,918,159	)
Redemptions — General Partner		(409,375	)		(2,500,000	)		(409,375	)		(2,500,000	)
Net increase (decrease) in Partners’ Capital		(2,937,591	)		1,101,709			(7,876,697	)		2,659,091
Partners’ Capital, beginning of period		34,280,778			41,676,953			39,219,884			40,119,571
Partners’ Capital, end of period	$	31,343,187		$	42,778,662		$	31,343,187		$	42,778,662
Net asset value per Unit (16,309.7101 and 20,904.7551 Units outstanding at June 30, 2009 and 2008, respectively)	$	1,921.75		$	2,046.36		$	1,921.75		$	2,046.36
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent	$	(89.57	)	$	215.97		$	(195.74	)	$	326.45

See accompanying notes to financial statements.

6

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

1.   General:

Citigroup Global Diversified Futures Fund L.P., formerly Salomon Smith Barney Global Diversified Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on June 15, 1998 to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts on United States exchanges and certain foreign exchanges. The sectors traded include currencies, energy, grains, indices, metals, softs, livestock and U.S. and non-U.S. interest rates. The Partnership commenced trading on February 2, 1999. The Partnership and the Funds (as defined in note 5 “Investment in Partnerships”) may trade futures and options contracts of any kind. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. Through July 31, 2009, the General Partner was wholly owned by Citigroup Global Markets Holdings Inc. (“CGMHI”), a wholly owned subsidiary of Citigroup Inc. (“Citigroup”). On July 31, 2009, the General Partner was transferred from CGMHI to Morgan Stanley Smith Barney Holdings LLC, as further described in Item 5, “Other Information.”

Citigroup Global Markets Inc. (“CGM”) is the commodity broker and a selling agent for the Partnership. CGM is an affiliate of the General Partner and is wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of CGMHI.

As of June 30, 2009, all trading decisions are made for the Partnership by Campbell & Company, Inc. (“Campbell”), Aspect Capital Limited (“Aspect”), Altis Partners (Jersey) Ltd. (“Altis”) and Waypoint Capital Management LLC (“Waypoint”) (each an “Advisor” and collectively, the “Advisors”) each of which is a registered commodity trading advisor.

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 accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2009 and December 31, 2008 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s annual report onForm 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2008.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosure of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through August 14, 2009, which is the date the financial statements were issued. As a result, actual results could differ from these estimates.

The Partnership has elected not to provide a Statement of Cash Flows as permitted by Statement of Financial Accounting Standards No. 102 “Statement of Cash Flows-Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Certain prior period amounts have been reclassified to conform to current period presentation.

7

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

2.   Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2009 and 2008 were as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Net realized and unrealized gains (losses) *	$	(74.30	)	$	268.34		$	(170.33	)	$	402.42
Interest income		0.40			5.51			0.85			13.06
Expenses **		(15.67	)		(57.88	)		(26.26	)		(89.03	)
Increase (decrease) for the period		(89.57	)		215.97			(195.74	)		326.45
Net Asset Value per Redeemable Unit, beginning of period		2,011.32			1,830.39			2,117.49			1,719.91
Net Asset Value per Redeemable Unit, end of period	$	1,921.75		$	2,046.36		$	1,921.75		$	2,046.36

* Includes brokerage commissions

** Excludes brokerage commissions

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Ratios to Average Net Assets:***
Net investment income (loss) before incentive fees****		(7.8	)%		(6.9	)%		(7.8	)%		(6.7	)%
Operating expense		7.9	%		8.1	%		7.9	%		8.3	%
Incentive fees		0.2	%		2.5	%		0.2	%		3.9	%
Total expenses		8.1	%		10.6	%		8.1	%		12.2	%
Total return:
Total return before incentive fees		(4.2	)%		14.4	%		(9.0	)%		23.2	%
Incentive fees		(0.3	)%		(2.6	)%		(0.2	)%		(4.2	)%
Total return after incentive fees		(4.5	)%		11.8	%		(9.2	)%		19.0	%

*** Annualized (other than incentive fees)

**** 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 period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

3.   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 resulting from its investment in other partnerships are shown in the Statements of Income and Expenses and Partners’ Capital.

The customer agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures and forward contracts. The Partnership nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under Financial Accounting Standards Board (“FASB”) Interpretation No. 39, “Offsetting of Amounts Related to Certain Contracts” (“FIN No. 39”) have been met.

8

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the six months ended June 30, 2009, based on a monthly calculation, was $203,796. The fair values of these commodity interests, including options thereon, if applicable, at June 30, 2009, was $26,422. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair value deemed appropriate by the General Partner.

Brokerage commissions are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, additions and redemptions.

The Partnership adopted Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”) as of January 1, 2009 which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. FAS 161 only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Partners’ Capital. The contracts outstanding at the period ended June 30, 2009, are indicative of volume traded during the period. See the Schedule of Investments. The following table indicates the fair values of derivative instruments of futures and forward contracts as separate assets and liabilities.

	June 30, 2009				June 30, 2009
Assets				Assets
Futures Contracts				Forward Contracts
Currencies	$	925		Currencies	$	36,318
Indices		1,482		Total unrealized appreciation on open forward contracts	$	36,318
Interest Rates Non-U.S.		19,304
Total unrealized appreciation on open futures contracts	$	21,711
Liabilities				Liabilities
Futures Contracts				Forward Contracts
Currencies	$	(2,288	)	Currencies	$	(12,499	)
Indices		(12,081	)	Total unrealized depreciation on open forward contracts	$	(12,499	)
Interest Rates Non-U.S.		(4,739	)
Total unrealized depreciation on open futures contracts	$	(19,108	)
Net unrealized appreciation on open futures contracts	$	2,603	*	Net unrealized appreciation on open forward contracts	$	23,819	**

*	This amount is included in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
**	This amount is included in “Net unrealized appreciation on open forward contracts” on the Statements of Financial Condition.

9

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2009.

	Three Months Ended			Six Months Ended
	June 30, 2009			June 30, 2009
Sector	Gain (loss) from trading			Gain (loss) from trading
Currencies		$525,387			$345,485
Energy		8,540			23,390
Grains		(950	)		(9,338	)
Indices		209,388			198,866
Interest Rates U.S.		17,985			(49,181	)
Interest Rates Non-U.S.		206,165			102,280
Metals		(27,460	)		(25,902	)
Softs		9,726			(8,728	)
Total		$948,781			$576,872

4.   Fair Value Measurements:

Investments.  All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Partners’ Capital.

Fair Value Measurements.  The Partnership and the Funds (as defined in note 5 “Investment in Partnerships”) adopted Statement of Financial Accounting Standards No. 157,Fair Value Measurements (“SFAS 157”) as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Partnership and the Funds did not apply the deferral allowed by FASB Staff PositionNo. FAS 157-2,Effective Date of FASB Statement No. 157 (“FAS 157-2”), for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available, are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of June 30, 2009 and December 31, 2008, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	6/30/2009		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Futures	$	2,603	$	2,603	$	—	$	—
Forwards		23,819		—		23,819		—
Investment in Partnerships		26,290,599		—		26,290,599		—
Total assets		26,317,021		2,603		26,314,418		—
Total fair value	$	26,317,021	$	2,603	$	26,314,418	$	—

			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	12/31/2008		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Partnerships	$	37,284,594	$	—	$	37,284,594	$	—
Total fair value	$	37,284,594	$	—	$	37,284,594	$	—

10

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

5.   Investment in Partnerships:

On January 1, 2005, the assets allocated to Campbell for trading were invested in CMF Campbell Master Fund L.P. (“Campbell Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 17,534.8936 Units of Campbell Master with cash of $17,341,826 and a contribution of open futures and forward contracts with a fair value of $193,067. Campbell Master was formed in order to permit commodity pools managed now or in the future by Campbell using Campbell’s Financials, Metals and Energy (“FME”) Portfolio, to invest together in one trading vehicle. The General Partner is also the general partner of Campbell Master. Individual and pooled accounts currently managed by Campbell, including the Partnership, are permitted to be limited partners of Campbell Master. The General Partner and Campbell believe that trading through this structure should promote efficiency and economy in the trading process.

On March 1, 2005, the assets allocated to Aspect for trading were invested in CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 16,015.3206 Units of Aspect Master with cash of $14,955,106 and a contribution of open futures and forward contracts with a fair value of $1,060,214. Aspect Master was formed in order to permit commodity pools managed now or in the future by Aspect using Aspect’s Diversified Portfolio Program, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2005, the assets allocated to Altis for trading were invested in CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 13,013.6283 Units of the Altis Master with cash of $11,227,843 and a contribution of open futures and forwards contracts with a fair value of $1,785,785. Altis Master was formed to permit commodity pools managed now and in the future by Altis using Altis’s Diversified Portfolio Program, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

Campbell Master’s, Aspect Master’s and Altis Master’s (the “Funds”) trading of futures, forwards, swaps and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained by CGM.

11

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

A Limited Partner may withdraw all or part of their capital contribution and undistributed profits, if any from the Funds in multiples of the Net Asset Value per Redeemable Unit of Limited Partnership Interest as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the Limited Partner elects to redeem, and inform the Funds.

Management and incentive fees are not charged at the Partnership level. All exchange, clearing, user,give-up, floor brokerage and National Futures Association fees are borne by the Partnership and through its investment in the Funds. All other fees including CGM’s direct brokerage commissions are charged at the Partnership level.

At June 30, 2009, the Partnership owned approximately 7.8%, 5.4% and 13.1% of Campbell Master, Aspect Master and Altis Master, respectively. At December 31, 2008, the Partnership owned approximately 6.7%, 5.5% and 15.7% of Campbell Master, Aspect Master and Altis Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to the investors as a result of the investment in the Funds are approximately the same and redemption rights are not affected.

Summarized information reflecting the Total Assets, Liabilities and Capital of the Funds are shown in the following tables.

	June 30, 2009
	Total Assets		Total Liabilities		Total Capital
Campbell Master	$	80,156,520	$	125,661	$	80,030,859
Aspect Master		165,591,176		1,355,048		164,236,128
Altis Master		84,903,096		9,439		84,893,657
Total	$	330,650,792	$	1,490,148	$	329,160,644
	December 31, 2008
	Total Assets		Total Liabilities		Total Capital
Campbell Master	$	127,587,225	$	112,263	$	127,474,962
Aspect Master		240,236,167		881,834		239,354,333
Altis Master		99,300,545		17,963		99,282,582
Total	$	467,123,937	$	1,012,060	$	466,111,877

12

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Summarized information reflecting the Partnership’s investment in, and the operations of the Funds are as shown in the following tables.

	June 30, 2009					For the three months ended June 30, 2009
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Fund	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Campbell Master		19.91	%	$	6,240,090	$	(451,682	)	$	947	$	723	$	(453,352	)	FME Portfolio	Monthly
Aspect Master		28.52	%		8,938,423		(1,252,269	)		3,914		472		(1,256,655	)	Commodity Portfolio	Monthly
Altis Master		35.45	%		11,112,086		(22,729	)		2,557		1,686		(26,972	)	Commodity Portfolio	Monthly
Total				$	26,290,599	$	(1,726,680	)	$	7,418	$	2,881	$	(1,736,979	)
	June 30, 2009					For the six months ended June 30, 2009
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Investment	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Campbell Master		19.91	%	$	6,240,090	$	(421,090	)	$	2,090	$	1,538	$	(424,718	)	FME Portfolio	Monthly
Aspect Master		28.52	%		8,938,423		(1,393,574	)		5,881		975		(1,400,430	)	Commodity Portfolio	Monthly
Altis Master		35.45	%		11,112,086		(727,276	)		8,394		3,226		(738,896	)	Commodity Portfolio	Monthly
Total				$	26,290,599	$	(2,541,940	)	$	16,365	$	5,739	$	(2,564,044	)
	December 31, 2008					For the three months ended June 30, 2008
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Fund	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Campbell Master		21.82	%	$	8,558,897	$	577,050		$	1,698	$	459	$	574,893		FME Portfolio	Monthly
Aspect Master		33.62	%		13,187,938		894,788			5,477		667		888,644		Commodity Portfolio	Monthly
Altis Master		39.62	%		15,537,759		4,836,512			7,367		1,985		4,827,160		Commodity Portfolio	Monthly
Total				$	37,284,594	$	6,308,350		$	14,542	$	3,111	$	6,290,697
	December 31, 2008					For the six months ended June 30, 2008
	% of								Expenses				Net
	Partnership’s			Fair		Income							Income			Investment	Redemptions
Fund	Net Assets			Value		(Loss)			Commissions		Other		(Loss)			Objective	Permitted
Campbell Master		21.82	%	$	8,558,897	$	725,172		$	3,761	$	906	$	720,505		FME Portfolio	Monthly
Aspect Master		33.62	%		13,187,938		2,945,074			12,290		1,073		2,931,711		Commodity Portfolio	Monthly
Altis Master		39.62	%		15,537,759		6,536,510			17,804		4,020		6,514,686		Commodity Portfolio	Monthly
Total				$	37,284,594	$	10,206,756		$	33,855	$	5,999	$	10,166,902

13

Citigroup Global Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

6.   Financial Instrument Risks:

In the normal course of its business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled 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 forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. 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 counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds 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. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

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. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership/Funds pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees as described in FASB Interpretation No. 45, “Guarantor”s Accounting and Disclosure Requirements for Guarantees” (“FIN 45”).

The General Partner monitors and controls the Partnership’s/Funds’ 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/Funds are 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 the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity.

14

Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its (i) investment in the Partnerships (ii) equity in futures trading account, consisting of cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on forward contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such losses occurred during the second quarter of 2009.

The Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, additions and redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2009, Partnership capital decreased 20.1% from $39,219,884 to $31,343,187. This decrease was attributable to the net loss from operations of $3,391,134, coupled with the redemptions of 2,003.6078 Redeemable Units of Limited Partnership Interest and 208.5720 of the General Partnership Interest, which resulted in an outflow of $4,485,563. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

     Use of Estimates.The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

     Statement of Cash Flows.The Partnership has elected not to provide a Statement of Cash Flows as permitted by FAS 102.

     Investments.All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Partners’ Capital.

     Fair Value Measurements.The Partnership and the Funds adopted SFAS 157 as of January 1, 2008, which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership and the Funds did not apply the deferral allowed by FASB Staff PositionNo. FAS 157-2,Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

15

     The Partnership and the Funds consider prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available, are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in partnerships reflects its proportional interest in the partnerships. As of June 30, 2009, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     Futures Contracts.The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery can not occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Partners’ Capital.

     Forward Foreign Currency Contracts.Foreign currency contracts are those contracts where the Partnership and the Funds agree 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 date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Income and Expenses and Partners’ Capital.

     The Partnership and the Funds do not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Partners’ Capital.

     London Metals Exchange Forward Contracts.Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of Aluminum, Copper, Lead, Nickel, Tin or Zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with short positions. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Partners’ Capital.

     Options.The Partnership and the Funds may purchase and write (sell) both exchange listed and over the counter options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership and the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership and the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Partners’ Capital.

     Income Taxes.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.

     In 2007, the Partnership adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has continued to evaluate the application of FIN 48 and has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the six months ended June 30, 2009 and that no provision for income tax is required in the Partnership’s financial statements.

     The following is the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States — 2005.

      Recent Accounting Pronouncements. In 2009, the Partnership adopted FSP FAS 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP”). The FSP reaffirms that fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The FSP also reaffirms the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The application of the FSP is required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, there has not been a decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities. The adoption of the FSP had no effect on the Partnership’s Financial Statements.

16

Subsequent Events. In 2009, the Partnership adopted FASB Statement of Accounting Standards No. 165, “Subsequent Events” (“SFAS 165”). The objective of SFAS 165 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.

Results of Operations

During the Partnership’s second quarter of 2009 the Net Asset Value per Redeemable Unit decreased 4.5% from $2,011.32 to $1,921.75 as compared to an increase of 11.8% in the second quarter of 2008. The Partnership experienced a net trading loss, before brokerage commissions and related fees in the second quarter of 2009 of $783,527. Losses were primarily attributable to the Partnership/Funds’ trading in energy, U.S. and non-U.S. interest rates, metals, softs and lumber, and were partially offset by gains in currencies, grains, livestock and indices. The Partnership experienced a net trading gain, through its investments in the Funds before brokerage commissions and related fees in the second quarter of 2008 of $6,189,196. Gains were primarily attributable to the trading by the Funds of commodity futures in currencies, energy, grains, non-U.S. interest rates, metals, lumber and indices and were partially offset by losses in softs, U.S. interest rates and livestock.

The markets expressed a broad increase in risk tolerance during the second quarter of 2009 as government programs encouraged the re-leveraging of the financial system. Equities and crude oil rose, while yield curves steepened and the U.S. dollar fell. The positive economic sentiment returned in April and spilled over into May as investors became increasingly convinced that the worst of the economic crisis was behind them. However, this optimism turned towards the end of the quarter due to some worse than expected economic data, fears about the lack of action by the European Central Bank and a lack of clarity in the economic environment. The Partnership realized losses for the quarter, primarily in fixed income, metals, and energy markets.

Losses were recorded in fixed income as prices of long-dated bonds fell. U.S. fixed income continues to be affected by supply and demand factors. While the U.S. Treasury continued to sell record levels of debt to finance various stimulus packages, the Federal Reserve was seen purchasing Treasuries as part of their quantitative easing activities. In base metals, losses were realized in trading aluminum as prices whipsawed in the second half of the quarter. In precious metals, prices came under pressure as a rally in the U.S. dollar reduced investor demand for precious and base metals. The prices of gold and silver declined as stocks rose and demand waned for the precious metal as a safe haven investment. Improving economic conditions and stalling inventory growth saw WTI crude oil prices rally to six month highs. Prices were also supported by refinery fires in the U.S. and supply disruptions in Nigeria, resulting in losses for the sector.

During the Partnership’s six months ended June 30, 2009, the Net Asset Value per Redeemable Unit decreased 9.2% from $2,117.49 to $1,921.75, as compared to an increase 19.0% during the six months ended June 30, 2008. The Partnership experienced a net trading loss, before brokerage commissions and related fees during the six months ended June 30, 2009 of $1,977,698. Losses were primarily attributable to the Partnership/Funds trading in currencies, grains, U.S. and non-U.S. interest rates, metals and softs, and were partially offset by gains in energy, livestock and lumber. The Partnership experienced a net trading gain, through its investments in the Funds before brokerage commissions and related fees during the six months ended June 30, 2008 of $9,912,507. Gains were primarily attributable to the trading by the Funds of commodity futures in currencies, energy, grains, U.S. and non-U.S. interest rates, indices, livestock, metals and softs.

17

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. 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.

Interest income on 80% of the Partnership’s average daily equity maintained in cash was earned at the monthly average 30-day U.S. Treasury bill yield. CGM may continue to maintain the Partnership’s assets in cashand/or place all of the Partnership’s assets in90-day Treasury bills and pay the Partnership 80% on the interest earned on the Treasury bills purchased. CGM will retain 20% of any interest earned on Treasury bills. Interest income for the three and six months ended June 30, 2009 decreased by $112,458 and $279,430, respectively, as compared to the corresponding periods in 2008. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008. The interest earned at the investment in Partnerships level is included in the Partnership’s share of overall net income (loss) allocated from the Funds.

Brokerage commissions are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage commissions and fees for the three and six months ended June 30, 2009 decreased by $129,038 and $212,007, respectively, as compared to the corresponding periods in 2008. The decrease in brokerage commissions was due to lower average net assets as compared to the corresponding periods in 2008.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three and six months ended June 30, 2009 decreased by $36,413 and $55,920, respectively, as compared to the corresponding periods in 2008. The decrease in management fees for the three and six months ended June 30, 2009 was due to lower average net assets as compared to the corresponding periods in 2008.

Incentive fees are based on the new trading profits generated by each Advisor as defined in the management agreement between the Partnership, the General Partner and each Advisor and are payable annually. Trading performance for the three and six months ended June 30, 2009 resulted in an incentive fee accrual of $73,753. Trading performance for the three and six months ended June 30, 2008 resulted in an incentive fee accrual of $1,005,668 and $1,526,048, respectively.

18

Item 3.   Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and substantially all of the Partnership’s/Funds’ 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 lines of business.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open contracts and, consequently in their earnings and cash balances. The Partnership’s/Funds’ market risks are influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the value of financial instruments and contracts, the diversification effects of the Partnership’s/Funds’ open positions and the liquidity of the market in which they trade.

The Partnership/Funds rapidly acquire and liquidate 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/Funds’ past performances are not necessarily indicative of their future results.

Value at Risk is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds 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/Funds’ experiences 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/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risks.

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their 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 anyone-day interval. 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.

The following tables indicate the trading Value at Risk associated with the Partnership’s investments and investments in other Partnerships by market category as of June 30, 2009 and the highest, lowest and average values at any point during the three months ended June 30, 2009. All open position trading risk exposures have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report onForm 10-K for the year ended December 31, 2008. As of June 30, 2009, the Partnership’s total capitalization was $31,343,187.

June 30, 2009
   (Unaudited)

						Three months ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	92,932		0.30	%	$	773,310	$	87,405	$	501,282
Indices		75,432		0.24	%		133,799		28,653		92,872
Interest Rates Non -U.S.		83,701		0.26	%		287,002		24,723		175,144
Total	$	252,065		0.80	%

^* Average month-end Values at Risk

As of June 30, 2009, Campbell Master’s total capitalization was $80,030,859. The Partnership owned approximately 7.8% of Campbell Master.

June 30, 2009
   (Unaudited)

						Three Months ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	2,013,076		2.51	%	$	4,303,193	$	1,742,660	$	2,784,978
Energy		591,618		0.74	%		930,274		316,689		610,620
Interest Rates U.S.		753,260		0.94	%		1,097,280		75,539		684,291
Interest Rates Non-U.S.		812,683		1.02	%		2,212,147		812,683		1,544,432
Metals		396,401		0.50	%		506,772		29,024		295,206
Indices		1,690,660		2.11	%		3,249,010		1,217,508		2,021,045
Total	$	6,257,698		7.82	%

* Average month-end Values at Risk

19

As of June 30, 2009, Aspect Master’s total capitalization was $164,236,128. The Partnership owned approximately 5.4% of Aspect Master.

June 30, 2009
(Unaudited)

						Three Months Ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	3,925,302		2.39	%	$	9,657,630	$	3,162,167	$	4,807,028
Energy		1,745,360		1.06	%		4,972,100		949,573		2,527,497
Grains		739,855		0.45	%		1,461,017		526,909		881,585
Interest Rates U.S.		1,834,830		1.12	%		3,009,169		308,273		1,037,083
Interest Rates Non-U.S.		6,195,402		3.77	%		8,835,309		3,165,359		5,000,595
Livestock		548,370		0.33	%		704,364		230,850		461,213
Lumber		1,650		0.00	%**		6,600		1,650		3,224
Metals		2,478,975		1.51	%		4,707,270		813,671		2,616,935
Softs		1,533,107		0.93	%		2,057,410		1,031,420		1,521,979
Indices		1,869,030		1.14	%		2,687,927		994,524		1,771,268
Total	$	20,871,881		12.70	%

*	Average month-end Values at Risk
**	Due to rounding

As of June 30, 2009, Altis Master’s total capitalization was $84,893,657. The Partnership owned approximately 13.1% of Altis Master.

June 30, 2009
(Unaudited)

						Three Months Ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk *
Currencies	$	1,747,946		2.06	%	$	1,940,441	$	851,727	$	1,367,987
Energy		1,011,103		1.19	%		2,143,145		1,011,103		1,506,509
Grains		493,049		0.58	%		698,597		319,102		530,722
Interest Rates U.S.		379,512		0.45	%		1,317,330		345,620		836,690
Interest Rates Non -U.S.		1,249,102		1.47	%		1,818,335		974,328		1,412,354
Livestock		173,070		0.20	%		266,895		126,014		194,043
Metals		1,565,322		1.84	%		1,740,683		507,229		1,268,397
Softs		477,137		0.56	%		782,168		310,795		498,749
Indices		1,040,595		1.23	%		1,692,522		38,250		1,136,022
Lumber		4,950		0.01	%		46,200		4,950		27,602
Total	$	8,141,786		9.59	%

* Average month-end Values at Risk

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Item 4T.   Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the Commission’s rules and forms. Disclosed controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined inRules 13a-15(e) and15d-15(e) under the Exchange Act) as of June 30, 2009 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•   pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•   provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

•   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.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended June 30, 2009 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1.    Legal Proceedings

     The following information supplements and amends our discussion set forth under Part I, Item 3 “Legal Proceedings” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2008, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009. There are no material legal proceedings pending against the Partnership or the General Partner.

Enron-Related Civil Actions

     On May 14, 2009, a settlement agreement was executed among the parties inAcquisition Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al.,andAvenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al.On June 3, 2009, a settlement agreement was executed among the parties inUniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.The three actions, which were consolidated and pending trial in the United States District Court for the Southern District of New York, were brought against Citigroup and certain of its affiliates, including CGM) and JPMorgan Chase and certain of its affiliates, in their capacity as co-agents on certain Enron revolving credit facilities. Pursuant to the settlements, the cases were dismissed with prejudice.

Subprime Mortgage-Related Litigation

     On May 7, 2009,Buckingham v. Citigroup Inc., et al.andChen v. Citigroup Inc., et al.were consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 11, 2009, a putative class actionAsher, et al. v. Citigroup Inc., et al.was filed in the United States District Court for the Southern District of New York alleging violations of the Securities Act of 1933 in connection with plaintiffs’ investments in certain offerings of preferred stock issued by the Citigroup. On May 15, 2009, plaintiffs inIn re Citigroup Inc. Bond Litigation requested thatAsher, et al. v. Citigroup Inc., et al.andPellegrini v. Citigroup Inc., et al.be consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 20, 2009,Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al.was designated as related toIn re Citigroup Inc. Securities Litigation. On June 10 and June 24, 2009, defendants filed motions to dismiss the verified complaint.

Auction Rate Securities-Related Litigation

     Securities Actions. On June 10, 2009, the Judicial Panel on Multidistrict Litigation granted CGM’s motion to transferAmerican Eagle Outfitters, Inc., et al. v. Citigroup Global Markets Inc.from the United States District Court for the Western District of Pennsylvania to the United States District Court for the Southern District of New York, where it will be coordinated withIn re Citigroup Inc. Auction Rate Securities LitigationandFinn v. Smith Barney, et al.On June 17, 2009, the Judicial Panel on Multidistrict Litigation issued an order conditionally transferring three other individual auction rate securities actions pending against CGM in other federal courts to the United States District Court for the Southern District of New York. Plaintiffs in those actions have opposed their transfer.

     On April 1, 2009,Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.was filed in Texas state court asserting violations of state securities law by CGM, BNY Capital Markets, Inc. and Morgan Stanley & Co., Inc. Defendants removed the case to the United States District Court for the Northern District of Texas, and plaintiff has moved to have it remanded to state court. On May 8, 2009, CGM filed a motion to sever the claims against it from the claims against its co-defendants.

     Governmental and Regulatory Actions. Citigroup and certain of its affiliates are subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to auction rate securities. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

Falcon and ASTA/MAT-Related Litigation

     Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al. On June 19, 2009, the Delaware Supreme Court denied the appeal of the settlement objectors from the Delaware Chancery Court’s approval of the settlement of this matter and affirmed the order approving the settlement.

     In re MAT Five Securities Litigation. On July 8, 2009, the United States District Court for the Southern District of New York approved the voluntary dismissal of this action.

     ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al. On May 1, 2009, the United States District Court for the Southern District of New York denied plaintiffs’ motion to remand this action to state court. On July 15, 2009, plaintiffs filed an amended complaint.

     Zentner v. Citigroup, et al. (Putative class action concerningIn re MAT Two Securities Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.)On July 8, 2009, the United States District Court for the Southern District of New York dismissed this action, without prejudice, in connection with the dismissal ofIn re MAT Five Securities Litigation.

     Zentner v. Citigroup, et al. (Putative class action concerning Falcon Plus.) On May 19, 2009, the New York Supreme Court issued a letter order, stating that it would approve a settlement of plaintiff’s individual claims. Plaintiff filed a stipulation dismissing this action on July 6, 2009.

Other Matters

     Underwriting Actions.In its capacity as a member of various underwriting syndicates, CGM has been named as a defendant in several subprime-related actions asserted against various issuers of debt and other securities. Most of these actions involve claims asserted on behalf of putative classes of purchasers of securities for alleged violations of Sections 11 and 12(a)(2) of the Securities Act of 1933.

     American Home Mortgage. On July 7, 2009, lead plaintiffs filed a motion inIn re American Home Mortgage Securities Litigationfor preliminary approval of settlements reached with all defendants (including Citigroup and CGM).

     American International Group. On March 20, 2009, four putative class actions were consolidated by the United States District Court for the Southern District of New York under the captionIn re American International Group, Inc. 2008 Securities Litigation. Plaintiffs filed a consolidated amended complaint on May 19, 2009. These actions allege violations of Sections 11, 12, and 15 of the Securities Act of 1933 arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with offerings of American International Group debt securities and common stock, some of which were underwritten by CGM.

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Item 1A. Risk Factors.

There are no material changes from the risk factors set forth under Part  I, Item 1A. “Risk Factors” in our Annual Report onForm 10-K for the fiscal year ended December 31, 2008 and under Part II, Item 1A. “Risk Factors” in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009.

Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds.

The Redeemable Units were issued to accredited investors in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder.

The following chart sets forth the purchases of Redeemable Units by the Partnership.

							(d) Maximum Number
					(c) Total Number		(or Approximate Dollar
					of Redeemable Units		Value) of Redeemable
	(a) Total Number		(b) Average		Purchased as Part of		Units that May Yet Be
	of Redeemable Units		Price Paid per		Publicly Announced		Purchased Under the
Period	Purchased*		Redeemable Unit**		Plans or Programs		Plans or Programs
April 1, 2009 – April 30, 2009		92.0000	$	1,962.75		N/A		N/A
May 1, 2009 – May 31, 2009		192.7326	$	2,003.87		N/A		N/A
June 1, 2009 – June 30, 2009		240.8762	$	1,921.75		N/A		N/A
		525.6088	$	1,959.04

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3.   Defaults Upon Senior Securities – None

Item 4.   Submission of Matters to a Vote of Security Holders – None

Item 5.   Other Information

Morgan Stanley/Citigroup Joint Venture

On June 1, 2009, Morgan Stanley and Citigroup entered into a joint venture that combined Morgan Stanley’s Global Wealth Management Group and the Smith Barney division of CGM. The joint venture created Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings owns Morgan Stanley Smith Barney LLC (“MSSB”), a newly registered non-clearing futures commission merchant and a member of the National Futures Association. MSSB acts as an additional selling agent for the Partnership. As of July 31, 2009, Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings, CGM directly owns 49% of MSSB Holdings, and Citigroup, indirectly through its intermediate subsidiaries, wholly owns CGM.

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Item 6.   Exhibits

The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibit index of the Partnership’s Annual Report onForm 10-K for the year ended December 31, 2008.

Exhibit – 10 – Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC.

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

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

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

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

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

CITIGROUP GLOBAL DIVERSIFIED FUTURES FUND L.P.

By:    Citigroup Managed Futures LLC

(General Partner)

By:    /s/  Jerry Pascucci

Jerry Pascucci

President and Director

Date: August 14, 2009

By:    /s/  Jennifer Magro

Jennifer Magro

Chief Financial Officer and Director

Date: August 14, 2009

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