Table of Contents

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 Ended June 30, 2007

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 Number 333-117275

CITIGROUP DIVERSIFIED FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York			13-4224248
(State or other jurisdiction of			(I.R.S. Employer
incorporation or organization)			Identification No.)

c/o Citigroup Managed Futures LLC
731 Lexington Avenue – 25th Fl.
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 is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of ‘‘accelerated filer and large accelerated filer’’ in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer     Accelerated filer     Non-accelerated filer X

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

Yes      No X

As of July 31, 2007, 866,553.7165 Limited Partnership Redeemable Units were outstanding.

CITIGROUP 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, 2007 and December 31, 2006 (unaudited)			3
			Condensed Schedules of Investments at June 30, 2007 and December 31, 2006 (unaudited)			4 – 5
			Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2007 and 2006 (unaudited)			6
			Statements of Cash Flows for the three and six months ended June 30, 2007 and 2006 (unaudited)			7
			Notes to Financial Statements (unaudited)			8 – 15
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations					16 – 18
Item 3.			Quantitative and Qualitative Disclosures about Market Risk			19 – 23
Item 4.			Controls and Procedures			24
PART II - Other Information						25

2

Table of Contents

PART I

Item 1. Financial Statements

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

			June 30, 2007						December 31, 2006
Assets:
Investment in Partnerships, at fair value				$	840,217,450					$	829,912,762
Equity in commodity futures trading account:
Cash (restricted $7,582,805 and $16,544,858 in 2007 and 2006, respectively)					34,762,358						91,872,584
Net unrealized appreciation on open futures positions					2,417,113						2,914,545
Unrealized appreciation on open forward contracts					462,030						882,882
					877,858,951						925,582,773
Interest receivable					103,444						317,175
				$	877,962,395					$	925,899,948
Liabilities and Partners’ Capital:
Liabilities:
Unrealized depreciation on open forward contracts				$	463,032					$	292,794
Accrued expenses:
Brokerage commissions					4,021,871						4,242,366
Management fees					1,392,817						1,475,569
Incentive fees					1,401,515						161,905
Other					303,454						102,740
Redemptions payable					12,581,395						24,556,557
					20,164,084						30,831,931
Partners’ Capital:
General Partner, 8,799.7212 Unit equivalents outstanding in 2007 and 2006					8,598,384						8,234,691
Limited Partners, 869,084.2092 and 947,684.8623 Redeemable Units of Limited Partnership Interest outstanding in 2007 and 2006, respectively					849,199,927						886,833,326
					857,798,311						895,068,017
				$	877,962,395					$	925,899,948

See accompanying notes to financial statements.

3

Table of Contents

Citigroup Diversified Futures Fund L.P.
Condensed Schedule of Investments
June 30, 2007
(Unaudited)

			Fair Value						% of Partners’ Capital
Futures Contracts Purchased
Energy				$	439,429						0.05	%
Grains					299,181						0.04
Indices					(54,754	)					(0.01	)
Softs					190,085						0.02
Total futures contracts purchased					873,941						0.10
Futures Contracts Sold
Energy					385,160						0.05
Grains					109,913						0.01
Interest Rates U.S.					453,895						0.05
Interest Rates Non-U.S.					621,004						0.07
Metals					129,275						0.02
Softs					(156,075	)					(0.02	)
Total futures contracts sold					1,543,172						0.18
Unrealized Appreciation on open Forward Contracts
Currencies					462,030						0.05
Total unrealized appreciation on forward contracts					462,030						0.05
Unrealized Depreciation on open Forward Contracts
Currencies					(463,032	)					(0.05	)
Total unrealized depreciation on forward contracts					(463,032	)					(0.05	)
Investment in Partnerships
CMF Drury Capital Master Fund L.P.					97,145,011						11.33
CMF Willowbridge Argo Master Fund L.P.					79,714,177						9.29
CMF Aspect Master Fund L.P.					150,613,573						17.56
CMF Capital Fund Management Master Fund L.P.					172,577,514						20.12
CMF Winton Master L.P.					118,935,404						13.87
SB AAA Master Fund LLC					91,217,736						10.63
CMF Graham Capital Master Fund L.P.					91,818,435						10.70
CMF Avant Master Fund L.P.					38,195,600						4.45
Total investment in Partnerships					840,217,450						97.95
Total fair value				$	842,633,561						98.23	%

See accompanying notes to financial statements.

4

Table of Contents

Citigroup Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2006
(Unaudited)

			Fair Value						% of Partners’ Capital
Futures Contracts Purchased
Grains				$	483,553						0.05	%
Indices					1,034,662						0.12
Interest Rates U.S.					(1,765,267	)					(0.20	)
Interest Rates Non-U.S.					(801,897	)					(0.09	)
Softs					764,918						0.08
Total futures contracts purchased					(284,031	)					(0.04	)
Futures Contracts Sold
Energy					3,196,965						0.36
Interest Rates Non-U.S.					618,444						0.07
Metals					(751,260	)					(0.08	)
Softs					134,427						0.01
Total futures contracts sold					3,198,576						0.36
Unrealized Appreciation on open Forward Contracts
Currencies					882,882						0.10
Total unrealized appreciation on open forward contracts					882,882						0.10
Unrealized Depreciation on open Forward Contracts
Currencies					(292,794	)					(0.03	)
Total unrealized depreciation on open forward contracts					(292,794	)					(0.03	)
Investment in Partnerships
CMF Drury Capital Master Fund L.P.					102,228,507						11.42
CMF Willowbridge Argo Master Fund L.P.					92,544,156						10.34
CMF Aspect Master Fund L.P.					144,348,788						16.13
CMF Capital Fund Management Master Fund L.P.					174,536,164						19.50
CMF Winton Master L.P.					114,992,020						12.85
SB AAA Master Fund LLC					86,071,528						9.62
CMF Graham Capital Master Fund L.P.					95,725,814						10.69
CMF Avant Master Fund L.P.					19,465,785						2.17
Total investment in Partnerships					829,912,762						92.72
Total fair value				$	833,417,395						93.11	%

See accompanying notes to financial statements.

5

Table of Contents

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

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Income:
Net gains (losses) on trading of commodity interests and investment in Partnerships:
Realized gains (losses) on closed positions				$	3,695,463					$	17,301,066					$	(5,653,610	)				$	7,066,358
Change in unrealized gains on open positions and investment in Partnerships					106,459,514						17,543,568						73,980,183						70,774,120
					110,154,977						34,844,634						68,326,573						77,840,478
Interest income					526,394						1,751,084						1,362,435						3,459,855
					110,681,371						36,595,718						69,689,008						81,300,333
Expenses:
Brokerage commissions including clearing fees of $46,682, $103,978, 95,478 and $197,997, respectively					11,998,509						13,698,387						24,126,402						26,608,906
Management fees					4,132,491						4,700,259						8,314,935						9,095,537
Incentive fees					1,401,515						1,301,256						1,401,515						6,585,533
Other					207,978						241,519						424,220						422,723
					17,740,493						19,941,421						34,267,072						42,712,699
Net income					92,940,878						16,654,297						35,421,936						38,587,634
Additions – Limited Partners					19,047,000						60,983,000						51,830,000						142,740,000
Redemptions – Limited Partners					(64,586,135	)					(43,876,393	)					(124,521,642	)					(97,387,943	)
Net increase (decrease) in Partners’ Capital					47,401,743						33,760,904						(37,269,706	)					83,939,691
Partners’ Capital, beginning of period					810,396,568						907,315,083						895,068,017						857,136,296
Partners’ Capital, end of period				$	857,798,311					$	941,075,987					$	857,798,311					$	941,075,987
Net Asset Value per Redeemable Unit (877,883.9304 and 969,782.9599 Redeemable Units outstanding at June 30, 2007 and 2006, respectively)				$	977.12					$	970.40					$	977.12					$	970.40
Net income per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent				$	101.74					$	16.74					$	41.33					$	39.44

See accompanying notes to financial statements.

6

Table of Contents

Citigroup Diversified Futures Fund L.P.
Statements of Cash Flows
(Unaudited)

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Cash flows from operating activities:
Net income				$	92,940,878					$	16,654,297					$	35,421,936					$	38,587,634
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in restricted cash					4,732,115						24,778,153						8,962,053						8,458,839
Purchase of investment in Partnerships					(28,286,000	)					(163,991,482	)					(50,877,460	)					(245,748,482	)
Proceeds from sale of investment in Partnerships					52,742,935						75,245,390						115,641,370						136,156,734
Net unrealized (appreciation) depreciation on investment in Partnerships					(106,839,063	)					(34,539,883	)					(75,068,598	)					(73,705,076	)
(Increase) decrease in net unrealized appreciation on open futures positions					450,260						16,701,154						497,432						—
(Increase) decrease in unrealized appreciation on open forward contracts					157,686						2,828,670						420,852						4,643,651
(Increase) decrease in interest receivable					161,743						274,563						213,731						161,914
Increase (decrease) net in unrealized depreciation on open futures positions					—						1,202,931						—						(60,962	)
Increase (decrease) in unrealized depreciation on open forward contracts					(228,294	)					(3,736,356	)					170,238						(1,651,729	)
Accrued expenses:
Increase (decrease) in brokerage commissions					200,064						82,494						(220,495	)					287,743
Increase (decrease) in management fees					66,106						28,635						(82,752	)					100,498
Increase (decrease) in incentive fees					1,401,515						(3,983,021	)					1,239,610						(2,206,187	)
Increase (decrease) in due to CGM					—						(38,287	)					—						(94,719	)
Increase (decrease) in other					81,696						89,023						200,714						269,424
Net cash provided by (used in) operating activities					17,581,641						(68,403,719	)					36,518,631						(134,800,718	)
Cash flows from financing activities:
Proceeds from additions – Limited Partners					19,047,000						60,983,000						51,830,000						142,740,000
Payments for redemptions – Limited Partners					(70,086,384	)					(55,836,709	)					(136,496,804	)					(100,104,828	)
Net cash provided by (used in) financing activities					(51,039,384	)					5,146,291						(84,666,804	)					42,635,172
Net change in unrestricted cash					(33,457,743	)					(63,257,428	)					(48,148,173	)					(92,165,546	)
Unrestricted cash, at beginning of period					60,637,296						156,438,498						75,327,726						185,346,616
Unrestricted cash, at end of period				$	27,179,553					$	93,181,070					$	27,179,553					$	93,181,070

See accompanying notes to financial statements.

7

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

1.    General:

Citigroup Diversified Futures Fund L.P. (the ‘‘Partnership’’) is a limited partnership organized under the laws of the State of New York on December 3, 2002 to engage directly or indirectly 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 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 during the initial offering period. As of December 4, 2003, the Partnership was authorized to sell an additional 700,000 Redeemable Units. As of October 7, 2004, the Partnership was authorized to sell an additional 1,000,000 Redeemable Units. The Partnership continues to offer Redeemable Units.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the ‘‘General Partner’’) and commodity pool operator of the Partnership. The Partnership’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. (‘‘Citigroup’’).

As of June 30, 2007, all trading decisions are made for the Partnership by 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’’), Winton Capital Management Limited (‘‘Winton’’), AAA Capital Management Advisors, Ltd. (‘‘AAA’’) and Avant Capital Management L.P. (‘‘Avant’’), (each an ‘‘Advisor’’ and collectively, the ‘‘Advisors’’).

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 presentation of the Partnership’s financial condition at June 30, 2007 and December 31, 2006 and the results of its operations and its cash flows for the three and six months ended June 30, 2007 and 2006. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements and notes included in the Partnership’s annual report on Form 10-K with the Securities and Exchange Commission for the period ended December 31, 2006.

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.

8

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2007 and 2006 were as follows:

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Net realized and unrealized gains				$	107.49					$	21.29					$	50.78					$	52.45
Interest income					0.58						1.80						1.44						3.57
Expenses **					(6.33	)					(6.35	)					(10.89	)					(16.58	)
Increase for the period					101.74						16.74						41.33						39.44
Net Asset Value per Redeemable Unit, beginning of period					875.38						953.66						935.79						930.96
Net Asset Value per Redeemable Unit, end of period				$	977.12					$	970.40					$	977.12					$	970.40

* Includes brokerage commissions

** Excludes brokerage commissions

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Ratios to average net assets:***
Net investment loss before incentive fees ****					(7.6	)%					(7.2	)%					(7.5	)%					(7.2	)%
Operating expenses					7.9	%					7.9	%					7.8	%					8.0	%
Incentive fees					0.2	%					0.1	%					0.2	%					0.7	%
Total expenses					8.1	%					8.0	%					8.0	%					8.7	%
Total return:
Total return before incentive fees					11.8	%					1.9	%					4.6	%					5.0	%
Incentive fees					(0.2	)%					(0.1	)%					(0.2	)%					(0.8	)%
Total return after incentive fees					11.6	%					1.8	%					4.4	%					4.2	%

*** 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 and are discussed in Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations.

The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures positions.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value of these interests during the six months ended June 30, 2007 and the year ended December 31,

9

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

2006 based on a monthly calculation, were $2,839,783 and $6,701,538, respectively. The fair value of these commodity interests, including options thereon, if applicable, at June 30, 2007 and December 31, 2006 were $2,416,111 and $3,504,633, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options.

4.    Investment in Partnerships:

On December 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master L.P. (‘‘Winton Master’’), a limited partnership which was organized under the partnership laws of the State of New York. The Partnership purchased 52,981.2908 units of Winton Master with cash of $57,471,493. 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 is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to be limited partners of Winton Master. The General Partner and Winton 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 the 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 131,340.8450 units of Aspect Master with cash of $122,786,448 and a contribution of open commodity futures and forward positions with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the Diversified 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 July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Argo Master Fund L.P. (‘‘Willowbridge Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 95,795.8082 units of Willowbridge Master with cash of $85,442,868 and a contribution of open futures and forward positions with a fair value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Program, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to Drury for trading were invested in the CMF Drury Capital Master Fund L.P. (‘‘Drury Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 120,720.7387 units of Drury Master with cash of $117,943,205 and a contribution of open futures and forward positions with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Trend-Following Program, to invest together in one trading vehicle. The General Partner is also the general partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process.

On August 1, 2005, the assets allocated to CFM for trading were invested in the CMF Capital Fund Management Master Fund L.P. (‘‘CFM Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 159,434.0631 units of CFM Master with cash

10

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

of $157,804,021 and a contribution of open futures and forward positions with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discus Program, to invest together in one trading vehicle. The General Partner is also the general partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process.

On October 1, 2005, the assets allocated to AAA for trading were invested in the SB AAA Master Fund LLC (‘‘AAA Master’’) a limited liability company which was organized under the limited liability company laws of the State of New York. The Partnerhip purchased 13,956.1190 units of the AAA Master with cash of $50,000,000. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, to invest in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pool accounts currently managed by AAA, including the Partnership are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process.

On June 1, 2006, the assets allocated to Graham for trading were invested in the CMF Graham Capital Master Fund L.P. (‘‘Graham Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 101,486.0491 units of Graham Master with cash of $103,008,482. Graham Master was formed in order to permit accounts managed now or in the future by Graham using the Multi-Trend Program at 125% Leverage, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.

On July 1, 2006, the assets allocated to Avant for trading were invested in the CMF Avant Master Fund L.P. (‘‘Avant Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 17,941.7382 units of Avant Master with cash of $20,000,000. Avant Master was formed in order to permit accounts managed now or in the future by Avant using the Diversified Program, to invest together in one trading vehicle. The General Partner is also the general partner of Avant Master. Individual and pooled accounts currently managed by Avant, including the Partnership are permitted to be limited partners of Avant Master. The General Partner and Avant believe that trading through this structure should promote efficiency and economy in the trading process.

The Winton Master’s, Aspect Master’s, Drury Master’s, Willowbridge Master’s, CFM Master’s, AAA Master’s, Graham Master’s and Avant 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. It engages in such trading through a commodity brokerage account maintained with CGM.

A Limited Partner/non-managing member may withdraw all or part of its 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 last day of a month after a request for redemption has been made to the managing member/General Partner at least 3 days in advance of month-end.

Management and incentive fees are not directly charged to the Funds. These fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Funds. All other fees including CGM’s direct brokerage commission are charged at the Partnership level.

At June 30, 2007, the Partnership owned 92.98% of Drury Master, 47.12% of Willowbridge Master, 65.43% of Aspect Master, 90.90% of CFM Master, 30.71% of Winton Master, 8.79% of AAA Master,

11

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

40.82% of Graham Master and 59.14% of Avant Master. At December 31, 2006, the Partnership owned 94.18% of Drury Master, 50.25% of Willowbridge Master, 67.95% of Aspect Master, 94.49% of CFM Master, 42.00% of Winton Master, 8.64% of AAA Master, 42.09% of Graham Master and 52.42% of Avant Master. The performance of the Partnership is directly affected by the performance of the Funds. It is the Partnership’s intention to continue to invest in the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

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

			June 30, 2007
			Total Assets						Total Liabilities						Total Capital
Drury Master				$	104,512,343					$	321,260					$	104,191,083
Willowbridge Master					169,272,450						577,466						168,694,984
Aspect Master					233,940,188						4,408,894						229,531,294
CFM Master					189,878,181						601,982						189,276,199
Winton Master					391,048,128						4,917,702						386,130,426
AAA Master					1,272,255,493						236,573,686						1,035,681,807
Graham Master					224,962,674						675,793						224,286,881
Avant Master					74,929,289						10,533,481						64,395,808
Total				$	2,660,798,746					$	258,610,264					$	2,402,188,482

			December 31, 2006
			Total Assets						Total Liabilities						Total Capital
Drury Master				$	124,236,562					$	16,046,704					$	108,189,858
Willowbridge Master					184,225,476						657,346						183,568,130
Aspect Master					214,046,989						2,288,076						211,758,913
CFM Master					184,724,044						617,377						184,106,667
Winton Master					276,590,109						3,706,951						272,883,158
AAA Master					1,140,709,291						147,349,392						993,359,899
Graham Master					229,982,015						3,308,499						226,673,516
Avant Master					38,969,220						1,952,260						37,016,960
Total				$	2,393,483,706					$	175,926,605					$	2,217,557,101

12

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

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

			June 30, 2007												For the three months ended June 30, 2007
Investment			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (Loss)						Investment Redemptions
																					Commissions						Other												Objective			Permitted
Drury Master					11.33	%				$	97,145,011					$	14,444,538					$	56,795					$	9,127					$	14,378,616				Commodity Portfolio			Monthly
Willowbridge Master					9.29	%					79,714,177						19,271,207						55,627						4,293						19,211,287				Commodity Portfolio			Monthly
Aspect Master					17.56	%					150,613,573						22,467,218						75,323						4,827						22,387,068				Commodity Portfolio			Monthly
CFM Master					20.12	%					172,577,514						10,539,962						603,558						10,862						9,925,542				Commodity Portfolio			Monthly
Winton Master					13.87	%					118,935,404						15,134,192						61,424						3,398						15,069,370				Commodity Markets			Monthly
AAA Master					10.63	%					91,217,736						8,182,787						68,479						9,103						8,105,205				Energy Markets			Monthly
Graham Master					10.70	%					91,818,435						18,510,468						100,625						4,002						18,405,841				Commodity Portfolio			Monthly
Avant Master					4.45	%					38,195,600						(598,522	)					38,998						6,346						(643,866	)			Energy Markets			Monthly
Total										$	840,217,450					$	107,951,850					$	1,060,829					$	51,958					$	106,839,063

			June 30, 2007												For the six months ended June 30, 2007
Investment			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (Loss)						Investment Redemptions
																					Commissions						Other												Objective			Permitted
Drury Master					11.33	%				$	97,145,011					$	16,315,755					$	129,887					$	18,331					$	16,167,537				Commodity Portfolio			Monthly
Willowbridge Master					9.29	%					79,714,177						4,824,313						126,797						8,650						4,688,866				Commodity Portfolio			Monthly
Aspect Master					17.56	%					150,613,573						16,491,923						151,152						10,558						16,330,213				Commodity Portfolio			Monthly
CFM Master					20.12	%					172,577,514						10,857,562						1,209,586						21,960						9,626,016				Commodity Portfolio			Monthly
Winton Master					13.87	%					118,935,404						8,589,596						167,160						7,474						8,414,962				Commodity Portfolio			Monthly
AAA Master					10.63	%					91,217,736						8,567,670						140,624						18,128						8,408,918				Energy Markets			Monthly
Graham Master					10.70	%					91,818,435						12,040,237						178,399						8,417						11,853,421				Commodity Portfolio			Monthly
Avant Master					4.45	%					38,195,600						(355,412	)					54,550						11,373						(421,335	)			Energy Markets			Monthly
Total										$	840,217,450					$	77,331,644					$	2,158,155					$	104,891					$	75,068,598

13

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

			December 31, 2006												For the three months ended June 30, 2006
Investment			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (Loss)						Investment Redemptions
																					Commissions						Other												Objective			Permitted
Drury Master					11.42	%				$	102,228,507					$	(64,275	)				$	100,726					$	9,456					$	(174,457	)			Commodity Portfolio			Monthly
Willowbridge Master					10.34	%					92,544,156						17,680,122						102,423						4,755						17,572,944				Commodity Portfolio			Monthly
Aspect Master					16.13	%					144,348,788						2,748,571						101,774						9,089						2,637,708				Commodity Portfolio			Monthly
CFM Master					19.50	%					174,536,164						9,818,734						788,960						17,507						9,012,267				Commodity Portfolio			Monthly
Winton Master					12.85	%					114,992,020						1,803,418						98,088						-						1,705,330				Commodity Portfolio			Monthly
AAA Master					9.62	%					86,071,528						5,184,599						95,713						8,709						5,080,177				Energy Markets			Monthly
Graham Master					10.69	%					95,725,814						(1,261,145	)					31,916						1,025						(1,294,086	)			Commodity Portfolio			Monthly
Avant Master					2.17	%					19,465,785						—						—						—						—				Energy Markets			Monthly
Total										$	829,912,762					$	35,910,024					$	1,319,600					$	50,541					$	34,539,883

			December 31, 2006												For the six months ended June 30, 2006
Investment			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (Loss)						Investment Redemptions
																					Commissions						Other												Objective			Permitted
Drury Master					11.42	%				$	102,228,507					$	565,094					$	217,442					$	26,155					$	321,497				Commodity Portfolio			Monthly
Willowbridge Master					10.34	%					92,544,156						8,287,919						191,059						9,542						8,087,318				Commodity Portfolio			Monthly
Aspect Master					16.13	%					144,348,788						12,143,342						174,866						20,557						11,947,919				Commodity Portfolio			Monthly
CFM Master					19.50	%					174,536,164						25,351,397						1,786,964						43,354						23,521,079				Commodity Portfolio			Monthly
Winton Master					12.85	%					114,992,020						7,217,602						247,405						729						6,969,468				Commodity Portfolio			Monthly
AAA Master					9.62	%					86,071,528						24,340,490						171,218						17,391						24,151,881				Energy Markets			Monthly
Graham Master					10.69	%					95,725,814						(1,261,145	)					31,916						1,025						(1,294,086	)			Commodity Portfolio			Monthly
Avant Master					2.17	%					19,465,785						—						—						—						—				Energy Markets			Monthly
Total										$	829,912,762					$	76,644,699					$	2,820,870					$	118,753					$	73,705,076

14

Table of Contents

Citigroup Diversified Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership and Funds are party 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 flows, 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 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 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.

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/Funds’ risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership/Funds have credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership’s/Funds’ assets is CGM.

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 June 30, 2007. However, due to the nature of the Partnership’s/Funds’ businesses, these instruments may not be held to maturity.

15

Table of Contents

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

Liquidity and Capital Resources

The Partnership does not engage in the sale of goods or services. The Partnership’s only assets are (i) its investment in Partnerships, (ii) equity in its commodity futures trading account, consisting of cash and cash equivalents, net unrealized appreciation on open futures positions, unrealized appreciation on open 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. While substantial losses could lead to a decrease in liquidity, no such losses occurred during the second quarter of 2007.

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 commodity futures 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, 2007, Partnership capital decreased 4.2% from $895,068,017 to $857,798,311. This decrease was attributable to the redemption of 135,053.9929 Redeemable Units of Limited Partnership Interest resulting in an outflow of $124,521,642, which was partially offset by a net income from operations of $35,421,936 and additional sales of 56,453.3398 Redeemable Units of Limited Partnership Interest totaling $51,830,000. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

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

All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Partnership/Funds are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the Statements 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. The investments in other partnerships are recorded at fair value, based upon the Partnership’s proportionate interest held.

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 Statements 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 Statements of Income and Expenses and Partners’ Capital.

In July 2006, the Financial Accounting Standards Board (‘‘FASB’’) released 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 tax returns to determine whether the tax positions are ‘‘more-likely-than-not’’ of being

16

Table of Contents

sustained by the applicable tax authority.  Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.  The Partnership adopted FIN 48 as of January 1, 2007, and the application of this standard did not impact the financial statements.

In September 2006, the FASB issued Statement of Financial Accounting Standards (‘‘SFAS’’) No. 157, fair value measurements. This accounting standard establishes a single authoritative definition of fair value sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and the interim periods within those fiscal years. As of June 30, 2007, the Partnership is still evaluating the impact the adoption of SFAS No. 157 will have on the financial statement amounts; however, additional disclosures will be required about the inputs used to develop the measurements and the effect of certain measurements on changes in Partners’ Capital for the period.

Results of Operations

During the second quarter of 2007, the Partnership Net Asset Value per Redeemable Unit increased 11.6% from $875.38 to $977.12 as compared to an increase of 1.8% in the second quarter of 2006. The Partnership experienced a net trading gain (comprised of realized gains on closed positions and change in unrealized gains on open positions and investment in Partnerships) before brokerage commissions and related fees during the second quarter of 2007 of $110,154,977. Gains were primarily attributable to the Partnership/Funds’ trading in currencies, energy, U.S. and non-U.S. interest rates, softs and indices and were partially offset by losses grains, livestock, metals and lumber. The Partnership experienced a net trading gain before brokerage commissions and related fees during the second quarter of 2006 of $34,844,634. Gains were primarily attributable to the trading of commodity contracts in energy, metals, U.S. and non-U.S. interest rates and were partially offset by losses in currencies, livestock, softs, grains, indices and lumber.

Favorable trading conditions during the second quarter of 2007, especially in the financial sectors, provided gains for the Partnership. Profits earned in global and U.S. fixed income, currency and equity indices markets were sufficient enough to offset small losses accumulated in trading metals and grains.

The global economy remained stable in the quarter as relatively low interest rates and high levels of liquidity in the capital markets were the backdrop to the highest corporate activities in recent history. Gains were realized from trading in fixed income markets domestically and globally on stronger than expected economic data and increased inflationary pressures. Profits were also earned from trading currency positions as trends in the Japanese yen, the New Zealand dollar and the Pound Sterling persisted. The indices market added to gains for the quarter as the global equity rally continued unabated.

Losses were taken in metals as the U.S. dollar unexpectedly strengthened in May and signs of slowing Chinese economic growth caused prices to move erratically. Losses were also accumulated from trading wheat as prices fell as a spring freeze lowered supply expectations early in the quarter. Corn prices also remained directionless.

During the Partnership’s six months ended June 30, 2007, the Net Asset Value per Redeemable Unit increased 4.4% from $935.79 to $977.12 as compared to an increase of 4.2% during the six months ended June 30, 2006. The Partnership experienced a net trading gain (comprised of realized losses on closed positions and changed in unrealized gains on open positions and investment in Partnerships) before brokerage commissions and related fees during the six months ended June 30, 2007 of $68,326,573. Gains were primarily attributable to the Partnership/Funds’ trading in currencies, energy, non-U.S. interest rates, softs, indices and lumber and were partially offset by losses in grains, U.S. interest rates, livestock and metals. The Partnership experienced a net trading gain before brokerage commissions and related fees during the six months ended June 30, 2006 of $77,840,478. Gains were primarily attributable to the trading of commodity futures in energy, metals, indices, U.S. and non-U.S. interest rates and were partially offset by losses in softs, currencies, grains and lumber.

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

17

Table of Contents

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 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 cash and/or place all of the Partnership’s assets in 90-day Treasury bills and pay the Partnership 80% of 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, 2007 decreased $1,224,690 and $2,097,420, respectively, as compared to the corresponding periods in 2006. The decrease is due to the increase in Partnership redemptions for the three and six months ended June 30, 2007, as compared to the corresponding periods in 2006. The interest earned at the investment in Partnerships level is included in the Partnership’s share of overall net income (loss) allocated from the other Partnerships.

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. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Commissions and fees for the three and six months ended June 30, 2007 decreased $1,699,878 and $2,482,504, respectively, as compared to the corresponding periods in 2006. The decrease is due to a decrease in average net assets in 2007 as compared to 2006.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and six months ended June 30, 2007 decreased $567,768 and $780,602, respectively, as compared to the corresponding periods in 2006. The decrease is due to a decrease in average net assets in 2007 as compared to 2006.

Incentive fees paid quarterly are based on the new trading profits generated by each Advisor as defined in the management agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2007 resulted in incentive fees of $1,401,515. Trading performance of the three and six months ended June 30, 2006 resulted in incentive fees of $1,301,256 and $6,585,533, respectively.

18

Table of Contents

Item 3.    Quantitative and Qualitative Disclosures about Market Risk

The Partnership/Funds is a speculative commodity pool. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or 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 line of business.

Market movements result in frequent changes in the fair value of the Partnership’s/Funds open positions and, consequently, in its earnings and cash flow. The Partnership’s/Funds’ 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 of the Partnership’s/Funds’ open positions and the liquidity of the markets in which it trades.

The Partnership/Funds 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/Funds’ past performance is not necessarily indicative of its 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’ 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/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Partnership/Funds 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 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 table indicates the trading Value at Risk associated with the Partnership’s investments and investments in other Partnerships by market category as of June 30, 2007 and the highest, lowest and average values, during the three months ended June 30, 2007. All open position trading risk exposures have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2006. As of June 30, 2007, the Partnership’s total capitalization was $857,798,311.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– OTC Contracts				$	1,052,865						0.12	%				$	2,325,057					$	998,133					$	1,471,372
Energy					1,427,200						0.17	%					3,795,700						697,600						1,539,133
Grains					491,062						0.06	%					1,230,520						369,282						491,670
Interest Rates U.S.					507,600						0.06	%					823,000						87,122						471,217
Interest Rates Non-U.S.					1,235,371						0.14	%					2,877,661						1,194,729						1,415,237
Metals:
– Exchange Traded Contracts					832,000						0.10	%					1,732,500						14,000						820,333
Softs					448,000						0.05	%					1,772,060						263,040						813,580
Indices					633,481						0.07	%					2,106,802						440,229						1,193,213
Total				$	6,627,579						0.77	%

* Average of month-end Values at Risk

19

Table of Contents

As of June 30, 2007, Drury Master’s total capitalization was $104,191,083. The Partnership owned 92.98% of Drury Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– OTC Contracts				$	2,148,595						2.06	%				$	3,040,927					$	1,677,808					$	2,217,229
Energy					377,400						0.36	%					405,100						359,100						380,533
Grains					1,040,684						1.00	%					1,616,284						848,100						1,078,874
Interest Rates U.S.					1,369,300						1.31	%					1,369,300						206,847						1,183,290
Interest Rates Non-U.S.					2,179,693						2.10	%					2,891,147						2,149,434						2,530,736
Metals:
– OTC Contracts					1,284,312						1.23	%					2,560,195						1,284,116						1,828,482
Softs					1,413,259						1.36	%					1,851,011						1,307,610						1,560,658
Indices					1,654,836						1.59	%					1,993,526						466,187						1,542,573
Total				$	11,468,079						11.01	%

* Average of month-end Values at Risk

As of June 30, 2007, Willowbridge Master’s total capitalization was $168,694,984. The Partnership owned 47.12% of Willowbridge Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– Exchange Traded Contracts				$	3,189,836						1.89	%				$	5,480,328					$	2,665,600					$	3,958,243
Energy					5,049,600						2.99	%					11,515,000						2,275,050						5,155,200
Grains					820,800						0.49	%					1,621,620						483,840						662,240
Interest Rates U.S.					2,649,000						1.57	%					3,312,000						528,000						1,907,000
Interest Rates Non-U.S.					6,208,816						3.68	%					7,731,444						1,711,761						6,524,384
Livestock					144,000						0.09	%					148,500						4,500						48,000
Metals:
– Exchange Traded Contracts					1,248,000						0.74	%					4,047,000						768,000						2,551,333
Softs					595,200						0.35	%					1,244,600						249,600						689,933
Total				$	19,905,252						11.80	%

* Average of month-end Values at Risk

20

Table of Contents

As of June 30, 2007, Aspect Master’s total capitalization was $229,531,294. The Partnership owned 65.43% of Aspect Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– OTC Contracts				$	6,515,051						2.84	%				$	6,845,415					$	1,442,322					$	4,009,357
Energy					1,030,450						0.45	%					1,462,150						227,012						600,308
Grains					425,485						0.19	%					621,635						178,578						375,019
Interest Rates U.S.					1,631,300						0.71	%					1,793,250						353,750						1,342,633
Interest Rates Non-U.S.					6,565,535						2.86	%					7,251,434						3,124,428						6,120,581
Livestock					40,750						0.02	%					84,405						12,550						44,370
Metals:
– Exchange Traded Contracts					352,250						0.15	%					1,020,250						352,250						684,500
– OTC Contracts					1,145,094						0.50	%					3,084,837						1,145,094						2,142,578
Softs					1,009,708						0.44	%					1,265,792						950,198						1,066,595
Indices					5,892,497						2.56	%					7,736,923						3,145,113						6,238,276
Total				$	24,608,120						10.72	%

* Average of month-end Values at Risk

As of June 30, 2007, CFM Master’s total capitalization was $189,276,199. The Partnership owned 90.90% of CFM Master.

June 30, 2007

(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– Exchange Traded Contracts				$	2,121,698						1.12	%				$	7,350,840					$	803,626					$	2,164,929
Energy					2,164,575						1.14	%					2,164,575						262,120						1,232,431
Grains					59,762						0.03	%					81,350						3,407						40,946
Interest Rates U.S.					778,900						0.41	%					2,098,750						57,167						2,034,241
Interest Rates Non-U.S.					2,348,232						1.24	%					4,005,552						731,964						2,210,933
Metals:
– Exchange Traded Contracts					67,060						0.04	%					164,560						1,740						43,813
Softs					112,328						0.06	%					256,252						43,755						116,710
Indices					2,381,842						1.26	%					4,409,252						798,759						2,678,602
Total				$	10,034,397						5.30	%

* Average of month-end Values at Risk

21

Table of Contents

As of June 30, 2007, Winton Master’s total capitalization was $386,130,426. The Partnership owned 30.71% of Winton Master.

June 30, 2007

(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– Exchange Traded Contracts				$	3,908,381						1.01	%				$	4,966,647					$	3,372,271					$	4,151,347
Energy					1,263,912						0.33	%					1,520,262						766,962						1,253,446
Grains					1,598,280						0.41	%					1,761,864						1,269,309						1,495,152
Interest Rates U.S.					7,743,898						2.01	%					3,214,600						178,160						1,577,895
Interest Rates Non-U.S.					1,279,300						0.33	%					9,740,034						5,561,866						7,876,534
Livestock					92,065						0.02	%					95,785						16,176						74,861
Lumber					1,100						0.00	%**					2,200						1,100						1,100
Metals:
– Exchange Traded Contracts					577,230						0.15	%					1,046,820						577,230						764,360
– OTC Contracts					1,797,497						0.47	%					2,373,605						1,387,850						1,955,157
Softs					1,068,674						0.28	%					1,110,995						739,983						948,868
Indices					8,891,528						2.30	%					11,623,923						6,709,777						9,466,436
Total				$	28,221,865						7.31	%

* Average of month-end Values at Risk

** Due to rounding

As of June 30, 2007, AAA Master’s total capitalization was $1,035,681,807. The Partnership owned 8.79% of AAA Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Energy				$	78,555,966						7.59	%				$	85,311,921					$	65,718,285					$	73,529,778
Energy Swaps					4,720,046						0.46	%					4,720,046						4,720,046						4,720,046
Grains					460,875						0.04	%					800,333						211,209						444,899
Total				$	83,736,887						8.09	%

* Average of month-end Values at Risk

22

Table of Contents

As of June 30, 2007, Graham Master’s total capitalization was $224,286,881. The Partnership owned 40.82% of Graham Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– OTC Contracts				$	22,052,214						9.83	%				$	36,315,056					$	19,944,640					$	29,852,618
Energy					337,400						0.15	%					871,000						248,000						548,033
Grains					281,987						0.13	%					320,700						4,000						101,729
Interest Rates U.S.					2,393,000						1.07	%					3,124,000						38,467						1,711,917
Interest Rates Non-U.S.					2,492,256						1.11	%					7,772,547						2,492,256						5,841,706
Livestock					6,750						0.00	%**					6,750						3,000						4,875
Metals:
– Exchange Traded Contracts					10,000						0.01	%					144,000						4,000						45,333
– OTC Contracts					7,146						0.00	%**					598,409						3,586						117,810
Softs					147,019						0.07	%					256,809						103,845						184,967
Indices					4,762,306						2.12	%					10,593,315						633,683						7,545,680
Total				$	32,490,078						14.49	%

* Average of month-end Values at Risk

** Due to Rounding

As of June 30, 2007, Avant Master’s total capitalization was $64,395,808. The Partnership owned 59.14% of Avant Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Energy				$	1,472,599						2.29	%				$	2,604,716					$	960,323						1,460,844
Totals				$	1,472,599						2.29	%

* Average of month-end Values at Risk

23

Table of Contents

Item 4.    Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Exchange Act 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 in Rule 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2007 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’s internal control over financial reporting is 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 generally accepted accounting principles. 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 generally accepted accounting principles, 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, 2007 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

24

Table of Contents

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, 2006, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2007.

Research

Customer Class Actions.

On May 3, 2007, the District Court remanded DISHER V. CITIGROUP GLOBAL MARKETS, INC., to Illinois state court.  On June 13, 2007, Citigroup moved in state court to dismiss the action.

Mutual Funds

In May 2007, CGMI finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

IPO Securities Litigation

On May 18, 2007, the Second Circuit denied plaintiffs’ petition for rehearing en banc of the Second Circuit’s decision reversing the district court’s class certification.

IPO Antitrust Litigation

On June 18, 2007, the United States Supreme Court ruled that the securities law precludes application of the antitrust laws to the claims asserted by plaintiffs, effectively terminating the litigation.

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 on Form 10-K for the fiscal year ended December 31, 2006 and under Part II, Item 1A, ‘‘Risk Factors’’ in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2007.

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

The use of proceeds information is being disclosed for Registration Statement Nos. 333-102038 and 333-110076 and Post-Effective Amendment No. 1 to Registration Statement No. 333-110076, Post-Effective Amendment No. 2 to Registration Statement No 333-110076, Post-Effective Amendment No. 3 to Registration Statement No. 333-110076, and Post-Effective Amendment No. 4 to Registration Statement No. 333-110076, each filed pursuant to Rule 429 under the Securities Act of 1933, as amended, declared effective on March 27, 2003, December 4, 2003, September 7, 2004, April 14, 2006, April 21, 2006, and April 30, 2007 respectively.

For the account of the Partnership, the amount of Redeemable Units sold as of June 30, 2007 is 1,481,879.2302 and the aggregate offering price of the amount sold as of June 30, 2007 is $1,401,080,000.

From the effective date of the first Registration Statement to June 30, 2007, the amount of expenses incurred for the Partnership’s account in connection with the issuance and distribution of the securities registered totaled $1,150,000.

From the effective date of the first Registration Statement to June 30, 2007 the amount of net offering proceeds to the Partnership used for trading of commodity interests, including futures contracts, options, forwards and swap contracts, and to make investments in other partnerships for use for the same purposes, totaled $1,401,080,000.

Proceeds from the sale of additional Redeemable Units will be deposited in the Partnership’s commodity trading accounts at CGM and are used in the trading of commodity interests including futures contracts, options, forwards and swap contracts. Proceeds are also used to make additional investments in other Partnerships.

25

Table of Contents

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

Period			(a) Total Number of Redeemable Units Purchased*						(b) Average Price Paid per Redeemable Unit**						(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs						(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
April 1, 2007 – April 30, 2007					25,292.1797					$	908.41						N/A						N/A
May 1, 2007 – May 31, 2007					30,852.1230					$	940.91						N/A						N/A
June 1, 2007 – June 30, 2007					12,875.9983					$	977.12						N/A						N/A
					69,020.3010					$	942.15

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although 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.

Item 3.    Defaults Upon Senior Securities.

None.

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

None.

Item 5.    Other Information.

None.

Item 6.    Exhibits

	The exhibits required to be filed by Item 601 of Regulation S-1 are incorporated herein by reference to the exhibit index of the Partnership’s Annual Report on Form 10-K for the period ended December 31, 2006.

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).

26

Table of Contents

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 DIVERSIFIED FUTURES FUND L.P.

By:			Citigroup Managed Futures LLC
			(General Partner)
By:			/s/ Jerry Pascucci
			Jerry Pascucci President and Director
Date:			August 14, 2007
By:			/s/ Jennifer Magro
			Jennifer Magro Chief Financial Officer and Director
Date:			August 14, 2007

27