e10vq

0000950123-11-077522.txt : 20110815 0000950123-11-077522.hdr.sgml : 20110815 20110815154514 ACCESSION NUMBER: 0000950123-11-077522 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 12 CONFORMED PERIOD OF REPORT: 20110630 FILED AS OF DATE: 20110815 DATE AS OF CHANGE: 20110815 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WARRINGTON FUND LP CENTRAL INDEX KEY: 0001353282 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 203845577 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-52603 FILM NUMBER: 111035970 BUSINESS ADDRESS: STREET 1: C/O CERES MANAGED FUTURES LLC STREET 2: 55 EAST 59TH STREET - 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10022 BUSINESS PHONE: 212-559-2011 MAIL ADDRESS: STREET 1: C/O CERES MANAGED FUTURES LLC STREET 2: 55 EAST 59TH STREET - 10TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10022 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY WARRINGTON FUND LP DATE OF NAME CHANGE: 20090625 FORMER COMPANY: FORMER CONFORMED NAME: SMITH BARNEY WARRINGTON FUND L P DATE OF NAME CHANGE: 20060214 10-Q 1 y05028fe10vq.htm FORM 10-Q e10vq

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, 2011

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 000-52603

WARRINGTON FUND L.P.

(Exact name of registrant as specified in its charter)


New York		20-3845577

(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(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 the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X 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 in Rule 12b-2 of the Exchange Act).

Yes - No X

As of July 31, 2011, 166,936.0003 Limited Partnership Redeemable Units were outstanding.

WARRINGTON FUND L.P.
FORM 10-Q
INDEX


			Page
			Number
PART I — Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010		3

		Condensed Schedules of Investments at June 30, 2011 (unaudited) and December 31, 2010		4 – 5

		Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2011 and 2010 (unaudited)		6

		Notes to Financial Statements (unaudited)		7 – 12

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		13 – 15

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		16 – 17

	Item 4.	Controls and Procedures		18

PART II — Other Information				19 – 20

Exhibits
Ex. 31.1 Certification
Ex. 31.2 Certification
Ex. 32.1 Certification
Ex. 32.2 Certification
101. INS XBRL Instance Document.
101. SCH XBRL Taxonomy Extension Schema Document.
101. CAL XBRL Taxonomy Extension Calculation Linkbase Document.
101. LAB XBRL Taxonomy Extension Label Linkbase Document.
101. PRE XBRL Taxonomy Extension Presentation Linkbase Document.
EX-3.2.B
EX-31.1
EX-31.2
EX-32.1
EX-32.2
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT

PART I

Item 1. Financial Statements

Warrington Fund L.P.

Statements of Financial Condition


	(Unaudited)
	June 30,		December 31,
	2011		2010
Assets:
Equity in trading account:
Cash	$	109,797,497	$	189,733,118
Cash margin		83,181,850		44,588,913
Options purchased, at fair value (cost $0 and $4,225,973 at June 30, 2011 and December 31, 2010, respectively)		—		1,517,063

Total trading equity		192,979,347		235,839,094
Interest receivable		1,880		15,288

Total assets	$	192,981,227	$	235,854,382


Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $1,649,000 and $6,851,750 at June 30, 2011 and December 31, 2010, respectively)	$	153,875	$	1,423,500
Accrued expenses:
Brokerage fees		602,585		732,597
Management fees		320,179		389,302
Administrative fees		80,045		97,326
Other		117,379		116,899
Redemptions payable		2,685,678		10,852,877

Total liabilities		3,959,741		13,612,501


Partners’ Capital:
General Partner, 2,463.8345 and 2,650.4783 unit equivalents outstanding at June 30, 2011 and December 31, 2010, respectively		2,686,220		2,692,303
Limited Partners, 170,909.7269 and 216,139.5211 Redeemable Units outstanding at June 30, 2011 and December 31, 2010, respectively		186,335,266		219,549,578

Total partners’ capital		189,021,486		222,241,881

Total liabilities and partners’ capital	$	192,981,227	$	235,854,382

Net asset value per unit	$	1,090.26	$	1,015.78

See accompanying notes to financial statements.

Warrington Fund L.P.

Condensed Schedule of Investments

June 30, 2011

(Unaudited)


	Number of					% of Partners’
	Contracts		Fair Value			Capital

Options Premium Received
Indices
Calls		6,800	$	(85,000	)		(0.04	)%
Puts		2,610		(68,875	)		(0.04	)

Total options premium received				(153,875	)		(0.08	)


Net fair value			$	(153,875	)		(0.08	)%

See accompanying notes to financial statements.

Warrington Fund L.P.
Condensed Schedule of Investments
December 31, 2010


	Number of					% of Partners’
	Contracts		Fair Value			Capital
Options Purchased
Indices
Puts		2,465	$	1,517,063			0.68	%

Total options purchased				1,517,063			0.68

Options Premium Received
Indices
Calls		4,840		(60,500	)		(0.03	)
Puts		11,020		(1,363,000	)		(0.61	)

Total options premium received				(1,423,500	)		(0.64	)

Net fair value			$	93,563			0.04	%

See accompanying notes to financial statements.

Warrington Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Investment Income:
Interest income	$	7,195		$	69,161		$	49,155		$	103,408


Expenses:
Brokerage fees including clearing fees		2,066,535			2,906,507			4,474,278			5,822,962
Management fees		986,435			1,367,054			2,064,336			2,766,232
Administrative fees		246,609			341,764			516,084			691,559
Other		58,493			75,022			116,343			152,337

Total expenses		3,358,072			4,690,347			7,171,041			9,433,090

Net investment income (loss)		(3,350,877	)		(4,621,186	)		(7,121,886	)		(9,329,682	)


Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		22,886,625			(44,700,770	)		22,352,000			(28,931,556	)
Change in net unrealized gains (losses) on open contracts		(10,091,713	)		2,493,063			(1,224,215	)		75,813

Total trading results		12,794,912			(42,207,707	)		21,127,785			(28,855,743	)

Net income (loss)		9,444,035			(46,828,893	)		14,005,899			(38,185,425	)
Subscriptions-Limited Partners		1,463,664			32,902,000			3,267,464			57,575,000
Subscriptions-General Partner		—			250,000			—			250,000
Redemptions-Limited Partners		(22,505,750	)		(20,134,030	)		(50,293,758	)		(32,369,543	)
Redemptions-General Partner		(200,000	)		—			(200,000	)		—

Net increase (decrease) in Partners’ Capital		(11,798,051	)		(33,810,923	)		(33,220,395	)		(12,729,968	)
Partners’ Capital, beginning of period		200,819,537			284,134,149			222,241,881			263,053,194

Partners’ Capital, end of period	$	189,021,486		$	250,323,226		$	189,021,486		$	250,323,226

Net asset value per unit (173,373.5614 and 252,899.5544 units outstanding at June 30, 2011 and 2010, respectively)	$	1,090.26		$	989.81		$	1,090.26		$	989.81

Net income (loss) per unit*	$	51.75		$	(179.77	)	$	74.48		$	(143.80	)

Weighted average units outstanding		183,984.9144			259,436.6473			197,160.7995			250,114.9618


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

General:

Warrington Fund L.P. (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and options contracts. The Partnership trades futures in the stock indices sector. The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in of MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in of MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of June 30, 2011, all trading decisions for the Partnership are made by Warrington Advisors, LLC (the “Advisor”). In addition, Warrington Trading LLC, an affiliate of the Advisor, is a special limited partner (the “Special Limited Partner”) of the Partnership.

The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and loss of the Partnership, after the allocation to the Special Limited Partner, 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 its capital contribution and profits, if any, net of distributions.

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

The accompanying financial statements and accompanying notes 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, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2011 and 2010. 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 on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“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.

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.

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

Financial Highlights:

Changes in net asset value per unit for the three and six months ended June 30, 2011 and 2010 were as follows:


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Net realized and unrealized gains (losses) *	$	58.73		$	(173.16	)	$	87.95		$	(129.75	)
Interest income		0.04			0.27			0.24			0.41
Expenses and allocation to Special Limited Partner **		(7.02	)		(6.88	)		(13.71	)		(14.46	)

Increase (decrease) for the period		51.75			(179.77	)		74.48			(143.80	)
Net asset value per unit, beginning of period		1,038.51			1,169.58			1,015.78			1,133.61

Net asset value per unit, end of period	$	1,090.26		$	989.81		$	1,090.26		$	989.81


*		Includes brokerage fees including clearing fees.
**		Excludes brokerage fees including clearing fees.


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Ratios to average net assets:***

Net investment income (loss) before allocation to Special Limited Partner****		(7.0)	%		(6.8	)%		(7.1)	%		(7.0	)%


Operating expense		7.0	%		6.9	%		7.2	%		7.1	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%

Total expenses		7.0	%		6.9	%		7.2	%		7.1	%


Total return:
Total return before allocation to Special Limited Partner		5.0	%		(15.4	)%		7.3	%		(12.7	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%

Total return after allocation to Special Limited Partner		5.0	%		(15.4	)%		7.3	%		(12.7	)%


***		Annualized (except allocation to Special Limited Partner, if applicable).

****		Interest income less total expenses.

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.

Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in 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 contracts on the Statements of Financial Condition.

All of the commodity interests owned by the Partnership are held for trading purposes. The average number of futures contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 0 and 368, respectively. The average number of futures contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 145 and 184, respectively. The average number of option contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 13,452 and 13,814, respectively. The average number of option contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 18,107 and 15,014, respectively.

Brokerage fees 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, subscriptions and redemptions.

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

The following table indicates the gross fair values of derivative instruments of option contracts as separate assets and liabilities as of June 30, 2011 and December 31, 2010.


	June 30, 2011			December 31, 2010
Assets
Options Purchased
Indices	$	—		$	1,517,063

Total options purchased	$	—	*	$	1,517,063	*


Liabilities
Options Premium Received
Indices	$	(153,875	)	$	(1,423,500	)

Total options premium received	$	(153,875	)**	$	(1,423,500	)**


*		This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

**		This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2011 and 2010.


	Three Months Ended						Six Months Ended
	June 30,						June 30,
Sector	2011			2010			2011			2010
Indices	$	12,794,912		$	(42,207,707	)	$	21,127,785		$	(28,855,743	)

Total	$	12,794,912	***	$	(42,207,707)	***	$	21,127,785	***	$	(28,855,743)	***


***		This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

Fair Value Measurements:

Partnership’s 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. Net 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 Changes in Partners’ Capital.

Partnership’s Fair Value Measurements. Fair value is defined 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 under current market conditions. 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. GAAP also requires 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. Management has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded.

The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were 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
	June 30, 2011			Assets (Level 1)			(Level 2)		Inputs (Level 3)
Liabilities
Options premium received	$	153,875		$	153,875		$	—	$	—

Total liabilities		153,875			153,875			—		—

Net fair value	$	(153,875	)	$	(153,875	)	$	—	$	—


			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	December 31, 2010		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Options purchased	$	1,517,063	$	1,517,063	$	—	$	—

Total assets	$	1,517,063	$	1,517,063	$	—	$	—

Liabilities
Options premium received	$	1,423,500	$	1,423,500	$	—	$	—

Total liabilities		1,423,500		1,423,500		—		—

Net fair value	$	93,563	$	93,563	$	—	$	—

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

Financial Instrument Risks:

In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards and options, 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 option contracts. OTC contracts are negotiated between contracting parties and include certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. 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.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures 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 risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as the sole counterparty or broker with respect to the Partnership’s 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 counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership 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 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 does not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures 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 business, these instruments may not be held to maturity.

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.

Warrington Fund L.P.

Notes to Financial Statements

June 30, 2011

(Unaudited)

The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

Options. The Partnership may purchase and write (sell), both exchange listed and OTC, 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 writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and 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 concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s financial statements.

Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.


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 equity in its trading account, consisting of cash, options contracts and 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 substantial decrease in liquidity, no such illiquidity occurred in the second quarter of 2011.

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

For the six months ended June 30, 2011, the Partnership’s capital decreased approximately 14.9% from $222,241,881 to $189,021,486. This decrease was attributable to the redemption of 48,405.4207 Redeemable Units totaling $50,293,758 and 186.6438 General Partner unit equivalents totaling $200,000, which was partially offset by the net income from operations of $14,005,899 coupled with subscriptions of 3,175.6265 Redeemable Units totaling $3,267,464. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 6 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s second quarter of 2011, the net asset value per unit increased 5.0% from $1,038.51 to $1,090.26 as compared to a decrease of 15.4% in the second quarter of 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the second quarter of 2011 of $12,794,912. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures and the S&P 500 Index Puts, and were partially offset by losses in the S&P 500 Index Calls. The Partnership experienced a net trading loss before brokerage fees and related fees in the second quarter of 2010 of $42,207,707. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index futures, the S&P 500 Index Calls and the S&P 500 Index Puts.

The Partnership generated positive gains during the second quarter of 2011, from ratio put spread positions in the S&P 500 Index. The S&P 500 Index generally declined during the latter half of April and most of May on fears of an economic slowdown in the United States and a Standard & Poor’s downgrade to their outlook for the AAA rating of U.S. Treasury debt. Further gains by the Partnership in May were recorded as the concerns that spurred the decline in the S&P 500 Index at the end of April continued. In May, ratio put spread positions profited as the S&P 500 Index declined 5.2% from the first trading day of the month to May 25^th and the Partnership gradually reduced positions into the end of the month. June also saw gains but the S&P 500 Index rallied strongly during the latter two weeks of the month erasing some of the earlier profits made in the month.

During the Partnership’s six months ended June 30, 2011, the net asset value per unit increased 7.3% from $1,015.78 to $1,090.26 as compared to a decrease of 12.7% for the six months ended June 30, 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the six months ended June 30, 2011 of $21,127,785. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures and the S&P 500 Index Puts, and were partially offset by losses in the S&P 500 Index Calls. The Partnership experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2010 of $28,855,743. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index Puts and were partially offset by gains in the S&P 500 Index futures and the S&P 500 Index Calls.

During the six months ended 2011, performance in January was relatively flat, but modest gains were recorded trading the S&P 500 Index in February and March. The Partnership continued to experience positive returns in April and May, as well as during June. U.S. equity market volatility had abated heading into the New Year and remained at more moderate levels throughout the first quarter as the Partnership had some success trading in this type of market environment. Gains were generated in February and March as the overall market moved more in accordance with the good and bad news about the U.S. economy and earnings announcements. April and May also saw strong results by the Partnership as poor economic and job data and concerns about a global growth slowdown weighed on the S&P 500 Index. Ratio put spread positions in April and May were able to generate solid gains as the markets declined on fears of a U.S. debt downgrade, a continued debate about the U.S. debt ceiling and poor unemployment numbers released in June. Gains during April and May were largely driven by the two sharp declines in the S&P 500 Index in April and the majority of May as the Partnership held onto ratio put spread positions during this prolonged, gradual decline in the S&P 500 Index. June saw gains as well but the Partnership gave some of the gains back at the end of the month as the S&P 500 rallied during the last two weeks of the month.

Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increases the potential profit or loss. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor 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 Advisor is able to identify them, the Partnership expects to increase capital through operations.

Interest income on 80% of the Partnership’s daily average equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days is paid to the Partnership. Interest income for the three and six months ended June 30, 2011 decreased by $61,966 and $54,253, respectively as compared to the corresponding periods in 2010. The decrease in interest income is due to lower U.S. Treasury bill rates and lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership.

Brokerage fees are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and six months ended June 30, 2011 decreased by $839,972, and $1,348,684, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.

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, subscriptions and redemptions. Management fees for the three and six months ended June 30, 2011 decreased by $380,619, and $701,896, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.

Administrative 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, subscriptions and redemptions. Administrative fees for the three and six months ended June 30, 2011 decreased by $95,155, and $175,475, respectively, as compared to the corresponding periods in 2010. The decrease in administrative fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.

Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits earned by the Advisor on behalf of the Partnership, at the end of the quarter, as defined in the advisory agreement among the Partnership, the General Partner and the Advisor. There were no profit share allocations made for the three and six months ended June 30, 2011 and 2010, respectively. The Special Limited Partner will not receive a profit share allocation until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership to the Advisor, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

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

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

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

Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day 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.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Partnership’s open contracts by market category as of June 30, 2011 and December 31, 2010 and the highest, lowest and average values during the three months ended June 30, 2011, and twelve months ended December 31, 2010. All open contracts trading risk exposures of the Partnership 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 Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2010. As of June 30, 2011, the Partnership’s total capital was $189,021,486.

June 30, 2011


						Three months ended June 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capital			Value at Risk		Value at Risk		Value at Risk*
Indices	$	66,422,380		35.14	%	$	114,886,613	$	23,501,940	$	75,079,918

Total	$	66,422,380		35.14	%


*		Average of month-end Values at Risk.

As of December 31, 2010, the Partnership’s total capitalization was $222,241,881.

December 31, 2010


						Twelve months ended December 31, 2010
			% of Total			High		Low		Average *
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk
Indices	$	35,745,980		16.08	%	$	153,426,986	$	1,694,925	$	57,779,840

Total	$	35,745,980		16.08	%


*		Annual average of month-end Values at Risk.

Item 4. 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, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure 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 (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner 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 Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2011 and, based on that evaluation, the General Partner’s 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 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 process during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION


Item 1.		Legal Proceedings

There are no material changes to the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.

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

For the three months ended June 30, 2011, there were subscriptions of 1,400.0475 Redeemable Units totaling $1,463,664. The Redeemable Units were issued 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 Redeemable Units were purchased by accredited investors as defined in Regulation D.

Proceeds of net offering were used in the trading of commodity interests including futures contracts and options.

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

(d) Maximum Number

(c) Total Number

(or Approximate

of Shares (or

Dollar Value) of Shares

(a) Total Number

(b) Average

Redeemable Units)

(or Redeemable Units)

of Shares

Price Paid per

Purchased as Part

that May Yet Be

(or Redeemable

Share (or

of Publicly Announced

Purchased Under the

Period

Units) Purchased*

Redeemable Unit)**

Plans or Programs

April 1, 2011 – April 30, 2011

12,763.1950

$1,050.39

N/A

May 1, 2011 –
May 31, 2011

5,985.4228

1,071.56

N/A

June 1, 2011 –
June 30, 2011

2,463.3368

1,090.26

N/A

21,211.9546

1,060.99


*		Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on three business 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. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities – None

Item 4. [Removed and Reserved]

Item 5. Other Information

On June 15, 2011, the Partnership’s limited partnership agreement (the “Agreement”) was amended and restated to offer multiple classes of Redeemable Units and to incorporate other minor revisions into the Agreement.

Item 6. Exhibits


3.1	(a)	Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York on November 21, 2005 (filed as Exhibit 3.1 to general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).

	(b)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(c)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).

	(d)	Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated June 30, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).

3.2	(a)	Third Amended and Restated Limited Partnership Agreement, dated December 21, 2009 (filed as Exhibit 3.2 to the current report on Form 8-K filed on December 21, 2009 and incorporated herein by reference).

	(b)	Fourth Amended and Restated Limited Partnership Agreement, dated June 15, 2011 (filed herewith)

10.1	(a)	Management Agreement among the Partnership, the General Partner and Warrington, dated December 31, 2005 (filed as Exhibit 10.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).

	(b)	Letter from the General Partner to Warrington extending Management Agreement for 2010 (filed as Exhibit 10.1(b) to the annual report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).

10.2		Customer Agreement between the Partnership, the General Partner and CGM, dated February 17, 2005 (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).

10.3		Amended and Restated Agency Agreement between the Partnership, the General Partner and CGM, dated April 26, 2007 (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).

10.4		Selling Agreement between the Partnership, the General Partner, CGM and Credit Suisse Securities (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.5		Form of Subscription Agreement (filed as Exhibit 10.5 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.6		Form of Third Party Subscription Agreement (filed as Exhibit 10.6 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.9		Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).

10.10		Escrow Agreement among the Partnership, the General Partner, CGM and JPMorgan Chase Bank, N.A., dated December 23, 2005 (filed as Exhibit 10.9 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.11		Selling Agreement dated January 6, 2011 by and among the Registrant, the General Partner, CGM and Baird (filed as Exhibit 10.11 to current report on Form 8-K filed on January 7, 2011).

10.12		Services Agreement dated January 6, 2011 by and among the Registrant, the General Partner, CGM and Baird (filed as Exhibit 10.12 to current report on Form 8-K filed on January 7, 2011).

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

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

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

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

101. INS		XBRL Instance Document.

101. SCH		XBRL Taxonomy Extension Schema Document.

101. CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101. LAB		XBRL Taxonomy Extension Label Linkbase Document.

101. PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

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.

WARRINGTON FUND L.P.


By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Walter Davis

		Walter Davis
		President and Director

Date:		August 15, 2011

By:		/s/ Jennifer Magro

		Jennifer Magro
		Chief Financial Officer and Director
		(Principal Accounting Officer)

Date:		August 15, 2011

EX-3.2.B 2 y05028fexv3w2wb.htm EX-3.2.B exv3w2wb

EXHIBIT 3.2(b)

Fourth Amended and Restated Limited Partnership Agreement
of Warrington Fund L.P.

This Fourth Amended and Restated Limited Partnership Agreement (this “Agreement”), dated and effective as of June 15, 2011, is by and among Ceres Managed Futures LLC (formerly Citigroup Managed Futures LLC) (the “General Partner”), Warrington Trading, LLC (the “Special Limited Partner”) and those other parties who shall execute this Agreement, whether in counterpart or by attorney-in-fact, as limited partners. (The Special Limited Partner and such other parties who are limited partners are hereinafter collectively referred to as the “Limited Partners.” The General Partner and the Limited Partners may be collectively referred to herein as “Partners.”) This Agreement amends and restates the Third Amended and Restated Limited Partnership Agreement dated as of December 21, 2009 (the “Third Amended and Restated Limited Partnership Agreement”) by and among the General Partner, the Special Limited Partner and the other limited partners party thereto.

W I T N E S S E T H :

WHEREAS, on November 28, 2005, Warrington Fund L.P. (formerly Smith Barney Warrington Fund L.P.) (the “Partnership”) was formed for the purpose of trading in commodity interests, as described in Paragraph 3 hereof, pursuant to the Partnership’s limited partnership agreement, dated as of November 28, 2005 (the “Initial Agreement” and together with the Amended and Restated Limited Partnership Agreement dated as of June 30, 2008, the Second Amended and Restated Limited Partnership Agreement dated as of June 30, 2009, and the Third Amended and Restated Limited Partnership Agreement, the “Prior Agreement”)) by and among the General Partner, a special limited partner, an initial limited partner (the “Initial Limited Partner”) and the other limited partners party thereto; and

WHEREAS, the Partnership commenced trading on February 21, 2006; and

WHEREAS, this Agreement has been amended previously, among other things, (a) to name a commodity trading advisor of the Partnership, (b) to admit a replacement special limited partner, (c) to remove the requirement that a Limited Partner must hold Units of Limited Partnership Interest (as defined below) for three (3) full months before such Units may be withdrawn and (d) to reflect changes to the names of the General Partner and the Partnership; and

WHEREAS, the General Partner has deemed it advisable to amend the Prior Agreement to (i) offer multiple classes of Units of Limited Partnership Interest, and (ii) reduce the notice period for redemption requests; and

WHEREAS, the General Partner, consistent with the requirements of Paragraph 18(a) of the Prior Agreement, has determined that such amendments are not adverse to and do not require the consent of the Limited Partners; and

WHEREAS, the General Partner, consistent with the requirements of Paragraph 18(a) of the Prior Agreement, has determined to make other conforming amendments to the Prior Agreement;

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NOW, THEREFORE, in consideration of the mutual premises and agreements herein made and intending to be legally bound hereby, the parties hereto agree to amend and restate the Prior Agreement in its entirety as follows:

1. Formation and Name.

The Partnership was formed as a limited partnership under the New York Revised Uniform Limited Partnership Act (the “Partnership Act”) on November 28, 2005. The name of the limited partnership is Warrington Fund L.P. The General Partner has executed and filed a Certificate of Limited Partnership in accordance with the provisions of the Partnership Act and shall execute, file, record and publish, as appropriate, such amendments, restatements and other documents as are or become necessary or advisable, as determined by the General Partner.

2. Principal Office.

The principal office of the Partnership shall be 522 5^th Avenue, 14^th Floor, New York, New York 10036, or such other place as the General Partner may designate from time to time.

3. Business.

(a) The Partnership’s business and purpose is to trade, buy, sell or otherwise acquire, hold or dispose of interests, directly or indirectly, in commodities of all descriptions (including futures contracts, commodity options, forward contracts and any other rights or interests pertaining thereto, including swaps and interests in commodity pools). The objective of the Partnership business is appreciation of its assets through speculative trading.

(b) The Partnership shall not:

(1) engage in the pyramiding of its positions by using unrealized profits on existing positions as margin for the purchase or sale of additional positions in the same or related commodities;

(2) utilize borrowings except short-term borrowings if the Partnership takes delivery of cash commodities; or

(3) permit the churning of its account.

(c) The Partnership shall make no loans. Assets of the Partnership will not be commingled with assets of any other entity. Deposit of assets with a commodity broker or dealer as margin shall not constitute commingling.

4. Term, Dissolution and Fiscal Year.

(a) Term. The term of the Partnership commenced on the date the Certificate of Limited Partnership was filed in the office of the Secretary of State, State of New York, and shall end as soon as practicable upon the first to occur of the following: (1) December 31, 2025; (2) receipt by the General Partner of an election to dissolve the Partnership at a specified time by Limited Partners owning more than 50% of all Classes (as defined below) of Units of Limited

A-2

Partnership Interest then outstanding, notice of which is sent by registered mail to the General Partner not less than 90 days prior to the effective date of such dissolution; (3) assignment by the General Partner of all of its interest in the Partnership, withdrawal, removal, bankruptcy or any other event that causes the General Partner to cease to be a general partner under the Partnership Act (unless the Partnership is continued pursuant to Paragraph 18); (4) the Net Asset Value per Unit of Limited Partnership Interest of any Class declines on any business day after trading to less than $400; or (5) any event which shall make it unlawful for the existence of the Partnership to be continued. In addition, the General Partner may, in its sole discretion, cause the Partnership to dissolve if the aggregate Net Assets of the Partnership decline to less than $1,000,000.

(b) Dissolution. Upon dissolution of the Partnership, the assets of the Partnership shall be distributed to creditors, including any Partners who may be creditors, to the extent otherwise permitted by law, in satisfaction of liabilities of the Partnership (whether by payment or the making of reasonable provision for payment thereof) other than liabilities for which reasonable provision for payment has been made and liabilities for distributions to Partners; to Partners and former Partners in satisfaction of liabilities for distributions; and to Partners in accordance with Paragraph 7(b)(5). Following distributions of the assets of the Partnership, a Certificate of Cancellation for the Partnership shall be filed as required by the Partnership Act.

(c) Fiscal Year. The fiscal year of the Partnership will commence on January 1 and end on December 31 each year (“fiscal year”). Each fiscal year of the Partnership is divided into four fiscal quarters commencing on the first day of January, April, July and October (“fiscal quarter”).

5. Net Worth of General Partner.

The General Partner shall not be obligated to maintain a Net Worth in excess of such amount, if any, as may be required to ensure that the Partnership will continue to be treated as a partnership for federal income tax purposes. For the purposes of this Paragraph 5, Net Worth shall be based upon current fair market value of the assets of the General Partner.

6. Capital Contributions and Units of Partnership Interest.

The General Partner may, but shall not be obligated to, contribute capital to the Partnership unless required to ensure that the Partnership will continue to be treated as a partnership for federal income tax purposes. The General Partner’s contribution shall be evidenced by “Units of General Partnership Interest.”

Interests in the Partnership, other than those of the General Partner, shall be evidenced by Class A or Class D Units of Limited Partnership Interest which the General Partner on behalf of the Partnership shall, in accordance with the Private Placement Offering Memorandum and Disclosure Document (the “Memorandum”) referred to in Paragraph 12, sell to persons desiring to become Limited Partners who satisfy the investment and minimum capital contribution requirements specific to each Class. Identical rights, powers, duties and obligations attach to each class of Units of Limited Partnership Interest, except that purchasers of Class D units may be subject to reduced brokerage charges. The Class of units that a Limited Partner receives will generally depend upon the amount invested in the Partnership, although the General Partner may

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determine to offer Class A or Class D units to a Limited Partner in its sole discretion, regardless of investment amount. Generally, Limited Partners investing up to $4,999,999 in the Partnership will receive Class A units, while Limited Partners investing $5,000,000 or more in the Partnership will receive Class D units (the “Class D Account Minimum”). The General Partner may, without the consent of the Limited Partners, offer additional classes of Units of Limited Partnership Interest (together with Class A Units of Limited Partnership Interest and Class D Units of Limited Partnership Interest, the “Classes”) as it may determine in its sole discretion from time to time. Units of General Partnership Interest and Units of Limited Partnership Interest allocated to the Special Limited Partner as the Profit Share (defined below) shall be subject to the brokerage fees payable by Class A units. For any Unit (or partial unit rounded to four decimal places) of Limited Partnership Interest purchased (except as noted below with respect to the Special Limited Partner), a Limited Partner shall contribute to the capital of the Partnership an amount equal to the Net Asset Value of such Unit of Limited Partnership Interest (or partial unit, as the case may be) as of the close of business on the day preceding the effective date of such purchase, and shall pay in addition the selling commission, if any, which must be paid with respect to such purchase.

Notwithstanding the provisions of Paragraph 8, the Special Limited Partner shall make a capital contribution to the Partnership (and shall maintain an interest in the Partnership for as long as the Special Limited Partner is a special limited partner of the Partnership) in an amount greater than or equal to either (i) one-quarter of 1% of the Net Assets of the Partnership (as such term is defined in Paragraph 7(d)(2)); or (ii) $100,000, whichever is greater.

The Special Limited Partner will receive a quarterly Profit Share (as such term is defined below) allocation in Units of Limited Partnership Interest as described in Paragraph 8. The aggregate of all contributions shall be available to the Partnership to carry on its business, and no interest shall be paid on any such contribution. All subscriptions for Units of Limited Partnership Interest made pursuant to this private placement of the Units of Limited Partnership Interest (the “Private Placement”) must be on the form provided in the Memorandum. All subscribers who have been accepted by the General Partner shall be deemed admitted as Limited Partners at the time they are reflected as such in the books and records of the Partnership.

7. Allocation of Profits and Losses.

(a) Capital Accounts. A capital account shall be established for each Partner. The initial balance of each Partner’s capital account shall be the amount of his initial capital contribution to the Partnership. A Partner’s capital account shall be increased by the amount of any additional capital contributions to the Partnership by such Partner, and shall be further adjusted as provided in Paragraph 7(b).

(b) Allocations. As of the close of business on the last day of each month during each fiscal year of the Partnership, and on such other dates as the General Partner in its discretion shall determine (each, an “Allocation Date”), the following determinations and allocations shall be made:

(1) The Net Asset Value per Class (as defined in Paragraph 7(d)(1)) and the Net Assets of the Partnership (as defined in Paragraph 7(d)(2)), but before any advisory and administrative fees or Profit Share allocations as of such date shall be determined.

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(2) Monthly advisory fees, if any, payable by the Partnership as of such date shall then be charged against the Net Asset Value per Class for each outstanding Class.

(3) Monthly administrative fees, if any, payable by the Partnership to the General Partner as of such date shall then be charged against the Net Asset Value per Class for each outstanding Class.

(4) Any increase or decrease in the Net Asset Value per Class from the previous Allocation Date (or, with respect to the first calendar month of operations, from the first day of operations) allocable to Limited Partners or the General Partner, as the case may be, shall then be credited or charged to the capital accounts of the Limited Partners or the General Partner, as the case may be, in the ratio that the balance of each such Partner’s capital account bears to the balance of all such relevant Partners’ capital accounts. For the purpose of this Paragraph 7(b)(4), Net Asset Value per Class shall be determined without regard to (A) any Profit Share allocations to the Special Limited Partner pursuant to Paragraph 7(b)(5), (B) distributions and withdrawals described in Paragraph 7(b)(6), and (C) any contributions made to the Partnership by a Partner during such month.

(5) As of each calendar quarter-end, the aggregate amount of net increase in the Net Asset Value per Class allocated pursuant to Paragraph 7(b)(4) shall be adjusted by charging the capital accounts of the Partners, in the ratio that the balance of each such Partner’s capital account bears to the balance of all such relevant Partners’ capital accounts, an amount equal to the Special Limited Partner’s Profit Share allocation to be made as of such calendar quarter-end, pursuant to Paragraph 8 and by crediting such amount to the Special Limited Partner’s capital account.

(6) The amount of any distribution to a Partner and any amount paid to a Partner upon withdrawal of capital from the Partnership with respect to such month shall be charged against the Partner’s capital account. Upon liquidation of the Partnership, the balance of the proceeds of liquidation after payment of Partnership obligations shall be distributed to the Partners in proportion to their remaining positive capital account balances after adjustment for prior distributions and allocations.

(c) Allocations for Tax Purposes. All items of income, gains, losses, deductions and credits of the Partnership for each fiscal year will be allocated among the Partners for income tax purposes in a manner that reflects, as closely as possible, the amounts and the components credited or debited to each Partner’s capital account pursuant to this Paragraph 7. Allocations pursuant to this Paragraph 7(c) will not be credited or debited to capital accounts.

(d) Definitions.

(1) Net Assets per Class. Net Assets per Class shall mean the total assets attributable to each Class, as determined by the General Partner, including all cash, Treasury bills, accrued interest and the market value of all open commodity positions maintained by the Partnership for such Class, less all liabilities attributable to each Class, as determined by the General Partner, including brokerage charges accrued and other liabilities, determined in accordance with generally accepted accounting principles under the accrual basis of accounting. The value of a

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commodity futures or option contract is the unrealized gain or loss on the contract that is determined by marking it to the current settlement price for a like contract acquired on the valuation date. Physical commodities, options, forward contracts, futures contracts and swaps, when no market quote is available, will be valued at their fair market value as determined in good faith by the General Partner. U.S. Treasury securities and other interest bearing obligations will be valued at cost plus accrued interest. Interests in other commodity pools will be valued at their net asset value as determined by the pool operator, or, if the General Partner has not received such determination or believes that fairness so requires, at fair value determined by the General Partner. Net Assets per Class equals Net Asset Value per Class.

(2) Net Assets of the Partnership. The Net Assets of the Partnership equals the sum of Net Assets per Class, of all outstanding Classes.

(3) Net Asset Value per Unit. The Net Asset Value per Unit of each Unit of Limited Partnership Interest and each Unit of General Partnership Interest for each Class shall be determined by dividing the Net Asset Value per Class by the aggregate number of Units of Limited and General Partnership Interest outstanding in such Class.

(e) Expenses and Limitation Thereof. The Partnership shall be obligated to pay all liabilities incurred by it, including, without limitation, all expenses incurred in connection with its trading activities, and any advisory fees or other expenses. The General Partner shall bear all other operating expenses except legal, accounting, filing, data processing and reporting fees and extraordinary expenses. Appropriate reserves may be created, accrued and charged against Net Assets of the Partnership for contingent liabilities, if any, as of the date any such contingent liability becomes known to the General Partner.

(f) Limited Liability of Limited Partners.

(1) Each Unit of Limited Partnership Interest, when purchased by a Limited Partner (or allocated to the Special Limited Partner), subject to the qualifications set forth below, shall be fully paid and non-assessable.

(2) A Limited Partner shall have no liability in excess of his obligation to make contributions to the capital of the Partnership and his share of the Partnership’s assets and undistributed profits, subject to the qualifications provided in the Partnership Act.

(g) Return of Limited Partner’s Capital Contribution. Except to the extent that a Limited Partner shall have the right to withdraw capital through redemption of Units of Limited Partnership Interest, no Limited Partner shall have any right to demand the return of his capital contribution or any profits added thereto, except upon dissolution and termination of the Partnership in accordance with Paragraph 7(b)(5). In no event shall a Limited Partner be entitled to demand and receive property other than cash.

8. Profit Share Allocation to the Special Limited Partner.

The Special Limited Partner shall receive a quarterly profit share (a “Profit Share”) allocation to its capital account in the Partnership in the form of additional Units and/or partial Units of Limited Partnership Interest, the value of which shall be equal to 20% of New Trading

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Profits of the Partnership as of each calendar quarter-end. The Profit Share allocation shall be made to the Special Limited Partner within 10 business days following the end of each calendar quarter.

New Trading Profits means the excess, if any, of Net Assets of the Partnership managed by the Advisor at the end of the calendar quarter over Net Assets of the Partnership managed by the Advisor at the end of the highest previous calendar quarter or Net Assets of the Partnership allocated to the Advisor at the date trading commences, whichever is higher, and as further adjusted to eliminate the effect on Net Assets of the Partnership resulting from new capital contributions, redemptions, reallocations or capital distributions, if any, made during the calendar quarter decreased by interest or other income not directly related to trading activity, earned on the Partnership’s assets during the calendar quarter whether the assets are held separately or in margin accounts. Ongoing expenses will be attributed to the Advisor based on the Advisor’s proportionate share of Net Assets of the Partnership. Ongoing expenses above shall not include expenses of litigation not involving the activities of the Advisor on behalf of the Partnership. Ongoing expenses above shall include offering and organizational expenses of the Partnership. No Profit Share shall be allocable until the end of the first full calendar quarter of trading, which allocation shall be based on New Trading Profits earned from the commencement of trading operations by the Partnership through the end of the first full calendar quarter. Interest income earned, if any, will not be taken into account in computing New Trading Profits.

If any Profit Share allocation is made to the Special Limited Partner with respect to New Trading Profits, and the Partnership thereafter incurs a net loss for a subsequent period, the Special Limited Partner will retain the Profit Share previously allocated in respect of New Trading Profits. If Net Assets of the Partnership allocated to the Advisor are reduced due to net redemptions, distributions or reallocations (net of additions), there will be a corresponding proportional reduction in the related loss carryforward amount that must be recouped before the Special Limited Partner is eligible to receive another Profit Share. However, the Special Limited Partner would not be allocated any Profit Share thereafter until all of such losses were recovered and the Partnership achieved additional New Trading Profits.

If the Partnership is terminated or the Advisor is removed as Advisor of the Partnership on a date other than a calendar quarter-end, the Profit Share allocation described above shall be determined and made as if such date were a calendar quarter-end.

9. Management of the Partnership.

The General Partner, to the exclusion of all Limited Partners, shall conduct, control and manage the business of the Partnership, including, without limitation, the investment of the funds of the Partnership. The General Partner may, but is not obliged to, delegate its rights, duties and powers hereunder, including but not limited to the duty to make trading decisions for the Partnership. The General Partner has selected the Advisor to make trading decisions for the Partnership pursuant to a management agreement dated June 30, 2008 by and among the General Partner, the Partnership and the Advisor (the “Management Agreement”). Except as provided herein, no Partner shall be entitled to any salary, draw or other compensation from the Partnership. Each Limited Partner hereby undertakes to advise the General Partner of such additional information as may be deemed by the General Partner to be required or appropriate to open and

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maintain an account or accounts with commodity brokerage firms for the purpose of trading in commodity futures contracts.

Subject to Paragraph 5 hereof, the General Partner may engage in other business activities and shall not be required to refrain from any other activity nor disgorge any profits from any such activity, whether as general partner of additional partnerships for investment in commodity futures contracts or otherwise. The General Partner may engage and compensate on behalf of the Partnership from funds of the Partnership, such persons, firms or corporations, including any affiliated person or entity, as the General Partner in its sole judgment shall deem advisable for the conduct and operation of the business of the Partnership.

No person dealing with the General Partner shall be required to determine its authority to make any undertaking on behalf of the Partnership, nor to determine any fact or circumstance bearing upon the existence of its authority.

The General Partner shall monitor the trading and performance of any trading advisor for the Partnership and shall not permit the “churning” of the Partnership’s account. The General Partner has been authorized to enter into the Agency Agreement with Citigroup Global Markets Inc. (“CGM”), the Management Agreement with the Advisor, and the Customer Agreement with CGM, each as described in the Memorandum and to cause the Partnership to pay the fees and/or make the allocations described therein and to negotiate agency, customer and management agreements with other selling agents, brokers or futures commission merchants, and advisors, respectively, in the future on those or other terms. The General Partner may take such other actions as it deems necessary or desirable to manage the business of the Partnership, including, but not limited to, the following: opening bank accounts with state or national banks; paying, or authorizing the payment of expenses of the Partnership, such as advisory fees, legal and accounting fees, printing and reporting fees, and registration and other fees of governmental agencies; and investing or directing the investment of funds of the Partnership not being utilized as margin deposits.

The General Partner shall maintain a list of the names and addresses of, and interests owned by, all Partners, a copy of which shall be furnished to Limited Partners upon request either in person or by mail and upon payment of the cost of reproduction and mailing for a purpose reasonably related to such Limited Partner’s interest as a limited partner in the Partnership, and such other books and records relating to the business of the Partnership as it deems necessary or advisable at the principal office of the Partnership. The General Partner shall retain such records for a period of not less than six years. The Limited Partners shall be given reasonable access to the books and records of the Partnership for a purpose reasonably related to such Limited Partner’s interest as a limited partner in the Partnership.

The Partnership shall pay the General Partner a monthly administrative fee in return for its services to the Partnership. The administrative fee shall equal 1/12 of 1/2% (1/2% per year) of month-end adjusted Net Assets per Class for each outstanding Class. The fee may be increased or decreased at the discretion of the General Partner. For purposes of calculating the administrative fee, adjusted Net Assets per Class are “Net Assets per Class” increased by the current month’s advisory fee, Profit Share allocation accrual, the general partner’s administrative fee and any redemptions or distributions as of the end of such month.

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Except as provided herein and in the Memorandum, the Partnership shall not enter into any contract with any of its affiliates or with any trading advisor which has a term of more than one year. Except as provided herein and in the Memorandum: (a) no person may receive, directly or indirectly, any advisory fee for investment advice or management who shares or participates in commodity brokerage commissions or fees from transactions for the Partnership; (b) no broker may pay, directly or indirectly, rebates or give ups to any trading advisor; and (c) such prohibitions shall not be circumvented by any reciprocal business arrangements. On loans made available to the Partnership by the General Partner or any of its affiliates, the lender may not receive interest in excess of its interest costs, nor may the lender receive interest in excess of the amounts which would be charged the Partnership (without reference to the lender’s financial abilities or guarantees) by unrelated banks on comparable loans for the same purpose and the lender shall not receive points or other financing charges or fees regardless of the amounts.

10. Audits and Reports to Limited Partners.

The Partnership’s books and records shall be audited annually by independent accountants. The Partnership will cause each Partner to receive (a) within 90 days after the close of each fiscal year, audited financial statements, including a balance sheet and statements of income and partners’ equity for the fiscal year then ended, and (b) within 75 days after the close of each fiscal year such tax information as is necessary for him to complete his federal income tax return. In addition, within 30 days of the end of each month the Partnership will provide each Limited Partner with reports showing Net Assets of the Partnership, Net Asset Value per Class and Net Asset Value per Unit of Limited Partnership Interest for each Class as of the end of such month, as well as information relating to the fees and other expenses incurred by the Partnership during such month. Both annual and monthly reports shall include such additional information as the Commodity Futures Trading Commission may require under the Commodity Exchange Act to be given to participants in commodity pools such as the Partnership. The General Partner shall calculate the Net Asset Value per Unit of Limited and General Partnership Interest for each Class daily and shall make such information available upon the request of a Limited Partner for a purpose reasonably related to such Limited Partner’s interest as a Limited Partner in the Partnership.

In addition, if any of the following events occur, notice of such event shall be mailed to each Limited Partner within seven business days of the occurrence of the event: (1) a decrease in the Net Asset Value of a Unit of Limited Partnership Interest of any Class to $400 or less as of the end of any trading day; (2) any change in trading advisor(s); (3) any change in the General Partner; (4) any change in commodity broker(s); or (5) any material change in the Partnership’s trading policies or in an advisor’s trading strategies.

11. Transfer, Redemption and Conversion of Units.

(a) Initial Limited Partner. The Initial Agreement allowed the Initial Limited Partner to redeem his Unit of Limited Partnership Interest for $1,000 and withdraw from the Partnership.

(b) Transfer. Each Limited Partner expressly agrees that he will not assign, transfer or dispose of, by gift or otherwise, any of his Units of Limited Partnership Interest or any

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part or all of his right, title and interest in the capital or profits of the Partnership without giving written notice of the assignment, transfer or disposition to the General Partner and that no assignment, transfer or disposition shall be effective against the Partnership or the General Partner until the first day of the month next succeeding the month in which the General Partner receives the written notice described below. Any assignment, transfer or disposition by an assignee of Units of Limited Partnership Interest of his interest in the capital or profits of the Partnership shall not be effective against the Partnership or the General Partner until the first day of the month next succeeding the month in which the General Partner receives the written notice described below.

If the General Partner receives an opinion of counsel to the effect that a transfer should be prohibited in order to protect the Partnership from being treated as a publicly traded partnership, such transfer shall be prohibited. Upon advice of counsel, the General Partner shall eliminate or modify any restrictions on substitutions or assignment at such time as the restriction is no longer necessary. If an assignment, transfer or disposition occurs by reason of the death or by termination of a Limited Partner or assignee, such written notice may be given by the duly authorized representative of the estate of the Limited Partner or assignee and shall be supported by such proof of legal authority and valid assignment as may reasonably be requested by the General Partner. The written notice required by this paragraph shall specify the name and residence address of the assignee and the date of the assignment, shall include a statement by the assignee that he agrees to give the above-described written notice to the General Partner upon any subsequent assignment, and shall be signed by the assignor and assignee. The General Partner may, in its sole discretion, waive receipt of the above-described notice or waive any defect therein. Any such assignee shall become a substituted Limited Partner only upon the consent of the General Partner (which consent may only be withheld for the purpose of preserving the Partnership’s tax status or to avoid adverse legal consequences to the Partnership), upon the execution of a Power of Attorney by such assignee appointing the General Partner as his attorney-in-fact in the form contained in Paragraph 14 hereof. The estate or any beneficiary of a deceased Limited Partner or assignee shall have no right to withdraw any capital or profits from the Partnership except by redemption of Units of Limited Partnership Interest. Upon the death of a Limited Partner, his estate shall have any rights of inventory, accounting, appraisal or examination of Partnership records as are granted by law. A substituted Limited Partner shall have all the rights and powers and shall be subject to all the restrictions and liabilities of a limited partner of the Partnership. A substituted Limited Partner is also liable for the obligations of his assignor to make contributions to the Partnership, but shall not be liable for the obligations of his assignor under the Partnership Act to return distributions received by the assignor; provided, however, that a substituted Limited Partner shall not be obligated for liabilities unknown to him at the time he became a substituted Limited Partner and which could not be ascertained from this Agreement. Each Limited Partner agrees that with the consent of the General Partner any assignee may become a substituted Limited Partner without the further act or approval of any Limited Partner. If the General Partner withholds consent, an assignee shall not become a substituted Limited Partner and shall not have any of the rights of a Limited Partner except that the assignee shall be entitled to receive that share of capital or profits and shall have that right of redemption to which his assignor would otherwise have been entitled. An assigning Limited Partner shall remain liable to the Partnership as provided in the Partnership Act, regardless of whether his assignee becomes a substituted Limited Partner. The transfer of Units of Limited Partnership Interest shall be subject to all applicable securities laws. The transferor or assignor shall bear the cost related to such transfer or assignment. Certificates representing Units of Limited Partnership Interest may bear appropriate legends to the foregoing effect. Except for transfers by

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gift, inheritance, intrafamily transfers, family dissolutions and transfers to affiliates, no transfer may be made that results in either the transferor or the transferee holding fewer than three Units.

(c) Redemption. A Limited Partner (or any assignee thereof) may withdraw all or part of his capital contribution and undistributed profits, if any, from the Partnership in multiples of the Net Asset Value per Unit of a Class of Limited Partnership Interest (such withdrawal being herein referred to as “redemption”) as of the last day of a month (the “Redemption Date”) after a request for redemption has been made to the General Partner; provided that all liabilities, contingent or otherwise, of the Partnership, except any liability to Partners on account of their capital contributions, have been paid or there remains property of the Partnership sufficient to pay them. If a Limited Partner redeems less than its entire capital contribution and, after the redemption, the amount of such Limited Partner’s aggregate capital contributions is less than the Class D Account Minimum, any Class D Units of Limited Partnership Interest held by such Limited Partner shall be converted to Class A Units of Limited Partnership Interest as described in Section 10(d) below. As used herein, “request for redemption” shall mean a written or oral request in a form specified by the General Partner and received by the General Partner at least three business days in advance of the Redemption Date, or such other notice period as the General Partner shall determine. The General Partner, in its discretion, may waive the three business day notice requirement. A form of Request for Redemption may be obtained by written request to the General Partner. Redemption of partial Units of Limited Partnership Interest will be permitted at the General Partner’s discretion. Upon redemption, a Limited Partner (or any assignee thereof) shall receive, per Unit of Limited Partnership Interest redeemed, an amount equal to the Net Asset Value per Unit of Limited Partnership Interest for such Class as of the Redemption Date, less any amount owing by such Partner (and his assignee, if any) to the Partnership. If redemption is requested by an assignee, all amounts owed by the Partner to whom such Unit of Limited Partnership Interest was sold by the Partnership as well as all amounts owed by all assignees of such Unit of Limited Partnership Interest shall be deducted from the Net Asset Value per Unit of Limited Partnership Interest for such Class upon redemption by any assignee. Payment will be made within 10 business days after the Redemption Date. The General Partner may temporarily suspend redemptions if necessary in order to liquidate commodity positions in an orderly manner and may permit less frequent redemptions if it has received an opinion from counsel that such action is advisable to prevent the Partnership from being considered a publicly traded partnership by the Internal Revenue Service.

The General Partner may, at its sole discretion and upon notice to the Limited Partners, declare a special Redemption Date on which date Limited Partners may redeem their Units of Limited Partnership Interest at Net Asset Value per Unit of such Class, provided that the Limited Partners submit requests for redemption in a form acceptable to the General Partner.

The General Partner may require that any Limited Partner redeem his Units of Limited Partnership Interest on 10 days’ notice to the Limited Partner if, in the sole discretion of the General Partner, it is in the best interests of the Partnership to require such redemption.

(d) Conversion. As of the close of business on the last day of each month during each fiscal year:

(1) Class A Units of Limited Partnership Interest will be converted to an economically equivalent amount of Class D Units of Limited Partnership Interest when the amount

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of a Limited Partner’s aggregate capital contributions is equal to or greater than the Class D Account Minimum.

(2) Class D Units of Limited Partnership Interest will be converted to an economically equivalent amount of Class A Units of Limited Partnership Interest when the amount of a Limited Partner’s aggregate capital contributions is less than the Class D Account Minimum.

Each such conversion of Units of Limited Partnership Interest shall be converted at the Net Asset Value per Unit of Class A and Class D Units of Limited Partnership Interest as of the last day of each month and is subject to the terms and restrictions described herein and in the Memorandum.

12. Private Placement of Units of Limited Partnership Interest.

The General Partner on behalf of the Partnership shall (a) cause to be filed a Private Placement Offering Memorandum and Disclosure Document, and such amendments thereto as the General Partner deems advisable, with the United States Commodity Futures Trading Commission and/or the National Futures Association for private placement of the Units of Limited Partnership Interest, and (b) qualify the Units of Limited Partnership Interest for sale under the securities laws of such States of the United States as the General Partner shall deem advisable. The General Partner may make such other arrangements for the sale of the Units of Limited Partnership Interest as it deems appropriate including, without limitation, the execution on behalf of the Partnership of an agency agreement with CGM as an agent of the Partnership for the offer and sale of the Units of Limited Partnership Interest as contemplated in the Memorandum.

13. Admission of Additional Partners.

After the Private Placement of the Units of Limited Partnership Interest has been terminated by the General Partner, no additional General Partner will be admitted to the Partnership except as described in Paragraph 18(c). The General Partner may take such actions as may be necessary or appropriate at any time to offer new Units or partial Units of Limited Partnership Interest and to admit new or substituted Limited Partners to the Partnership. All subscribers who have been accepted by the General Partner shall be deemed admitted as Limited Partners at the time they are reflected as such in the books and records of the Partnership.

14. Special Power of Attorney.

Each Limited Partner does irrevocably constitute and appoint the General Partner, and each other person or entity that shall after the date of this Agreement become a general partner of the Partnership, with the power of substitution, as his true and lawful attorney-in-fact, in his name, place and stead, to execute, acknowledge, swear to, file and record in his behalf in the appropriate public offices and publish (a) this Agreement and a Certificate of Limited Partnership, including amendments and/or restatements thereto; (b) all instruments which the General Partner deems necessary or appropriate to reflect any amendment, change or modification of the Partnership in accordance with the terms of this Agreement, including any instruments necessary to dissolve the Partnership; (c) Certificates of Assumed Name; (d) management agreements with Warrington Advisors, LLC, or other advisory firms; and (e) customer agreements with CGM or other commodity brokerage firms. The Power of Attorney granted herein shall be irrevocable and

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deemed to be a power coupled with an interest and shall survive and not be affected by the subsequent incapacity, disability or death of a Limited Partner. Each Limited Partner hereby agrees to be bound by any representation made by the General Partner and by any successor thereto, acting in good faith pursuant to such Power of Attorney and each Limited Partner hereby waives any and all defenses which may be available to contest, negate or disaffirm the action of the General Partner and any successor thereto, taken in good faith under such Power of Attorney. In the event of any conflict between this Agreement and any instruments filed by such attorney pursuant to the Power of Attorney granted in this Paragraph, this Agreement shall control.

15. Withdrawal of a Partner.

The Partnership shall be dissolved and its affairs wound up upon the assignment by the General Partner of all of its interest in the Partnership, withdrawal, removal, bankruptcy, or any other event that causes the General Partner to cease to be a general partner under the Partnership Act (unless the Partnership is continued pursuant to Paragraph 18). The General Partner shall not withdraw from the Partnership without giving the Limited Partners 90 days’ prior written notice. The death, incompetency, withdrawal, insolvency or dissolution of a Limited Partner shall not (in and of itself) dissolve the Partnership, and such Limited Partner, his estate, custodian or personal representative shall have no right to withdraw or value such Limited Partner’s interest in the Partnership except as provided in Paragraph 11 hereof. Each Limited Partner (and any assignee of such Partner’s interest) expressly agrees that, in the event of his death, he waives on behalf of himself and his estate, and he directs the legal representative of his estate and any person interested therein to waive, the furnishing of any inventory, accounting, or appraisal of the assets of the Partnership and any right to an audit or examination of the books of the Partnership; provided, however, that this waiver in no way limits the rights of the Limited Partners or their representatives to have access to the Partnership’s books and records as described in Paragraph 9 hereof.

16. No Personal Liability for Return of Capital.

The General Partner, subject to Paragraph 17 hereof, shall not be personally liable for the return or repayment of all or any portion of the capital or profits of any Partner (or assignee), it being expressly agreed that any such return of capital or profits made pursuant to this Agreement shall be made solely from the assets (which shall not include any right of contribution from the General Partner) of the Partnership.

17. Indemnification.

(a) The General Partner and its Affiliates shall have no liability to the Partnership or to any Partner for any loss suffered by the Partnership which arises out of any action or inaction of the General Partner or its Affiliates if the General Partner or its Affiliates in good faith determined that such course of conduct was in the best interest of the Partnership and such course of conduct did not constitute negligence or misconduct of the General Partner or its Affiliates. To the fullest extent permitted by law, the General Partner and its Affiliates shall be indemnified by the Partnership against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by them in connection with the Partnership, provided that the same were not the result of negligence or misconduct on the part of the General Partner or its Affiliates.

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(b) Notwithstanding subparagraph (a) above, the General Partner and its Affiliates shall not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of federal or state securities laws in connection with the offer or sale of Units of Limited Partnership Interest.

(c) The Partnership shall not incur the cost of that portion of any insurance which insures any party against any liability the indemnification of which is herein prohibited.

(d) For purposes of this Paragraph 17, the term “Affiliates” shall mean any person performing services on behalf of the Partnership and acting within the scope of the General Partner’s authority as set forth in this Agreement who: (1) directly or indirectly controls, is controlled by, or is under common control with the General Partner; or (2) owns or controls 10% or more of the outstanding voting securities of the General Partner; or (3) is an officer or director of the General Partner.

(e) The provision of advances from Partnership funds to the General Partner and its Affiliates for legal expenses and other costs incurred as a result of any legal action initiated against the General Partner by a Limited Partner of the Partnership is prohibited.

(f) Any indemnification under subparagraph (a) above, unless ordered by a court, shall be made by the Partnership only as authorized in the specific case and only upon a determination by independent legal counsel in a written opinion that indemnification of the General Partner or its Affiliates is proper in the circumstances because it has met the applicable standard of conduct set forth in subparagraph (a) above.

18. Amendments; Meetings.

(a) Amendments with Consent of the General Partner. If at any time during the term of the Partnership the General Partner shall deem it necessary or desirable to amend this Agreement (including the Partnership’s basic investment policies set forth in Paragraph 3(b) hereof), such amendment shall be effective only if approved in writing by the General Partner and, except as specified in this subparagraph (a), by Limited Partners owning more than 50% of each Class of Units of Limited Partnership Interest then outstanding and if made in accordance with the Partnership Act. Any such supplemental or amendatory agreement shall be adhered to and have the same effect from and after its effective date as if the same had originally been embodied in and formed a part of this Agreement.

The General Partner may amend this Agreement without the consent of the Limited Partners in order (1) to clarify any clerical inaccuracy or ambiguity or reconcile any inconsistency (including any inconsistency between this Agreement and the Memorandum); (2) to delete or add any provision of or to this Agreement required to be deleted or added by the staff of any federal or state agency; or (3) to make any amendment to this Agreement which the General Partner deems advisable (including but not limited to amendments necessary to effect the allocations proposed herein) provided that such amendment is not adverse to the Limited Partners, or is required by law.

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The General Partner may, however, change the trading policies in Paragraph 3(b) of this Agreement without the approval of the Limited Partners when such change is deemed to be in the best interests of the Partnership. In addition, if the General Partner determines to offer Units of Limited Partnership Interest to the public in the future, the General Partner may amend this Agreement as necessary to effect such public offering without obtaining the consent of the Limited Partners, provided, however, that such amendments are deemed to be in the best interests of the Limited Partners. (Amendments that are consistent with the North American Securities Administrators Association’s Guidelines for the Registration of Commodity Pools will be presumed to be in the best interests of the Limited Partners.)

(b) Meetings. Upon receipt of a written request, signed by Limited Partners owning at least 10% of each Class of Units of Limited Partnership Interest then outstanding, that a meeting of the Partnership be called to vote upon any matter which the Limited Partners may vote upon pursuant to this Agreement, the General Partner shall, by written notice to each Limited Partner of record mailed within 15 days after receipt of such request, call a meeting of the Partnership. Such meeting shall be held at least 30 but not more than 60 days after the mailing of such notice, and such notice shall specify the date, a reasonable place and time, and the purpose of such meeting.

(c) Amendments and Actions without Consent of the General Partner. At any meeting called pursuant to Paragraph 18(b), upon the approval by an affirmative vote (which may be in person or by proxy) of Limited Partners owning more than 50% of each Class of Units of Limited Partnership Interest then outstanding, the following actions may be taken: (1) this Agreement may be amended in accordance with and only to the extent permissible under the Partnership Act; (2) the Partnership may be dissolved; (3) the General Partner may be removed and a new general partner may be admitted immediately prior to the removal of the General Partner provided that the new general partner of the Partnership shall continue the business of the Partnership without dissolution; (4) if the General Partner elects to withdraw from the Partnership, a new general partner or general partners may be admitted immediately prior to the withdrawal of the General Partner provided that the new general partner of the Partnership shall continue the business of the Partnership without dissolution; (5) any contracts with the General Partner, any of its Affiliates or any commodity trading advisor to the Partnership may be terminated on sixty days’ notice without penalty; and (6) the sale of all of the assets of the Partnership may be approved; provided, however, that no such action may be taken unless the Partnership has been furnished with an opinion of counsel that the action to be taken will not adversely affect the liability of the Limited Partners and that the action is permitted by the Partnership Act.

(d) Continuation. Upon the assignment by the General Partner of all of its interest in the Partnership, the withdrawal, removal, bankruptcy or any other event that causes the General Partner to cease to be a general partner under the Partnership Act, the Partnership is not dissolved and is not required to be wound up by reason of such event if, (1) there is a remaining general partner who continues the business of the Partnership or (2) within 90 days after such event, all remaining Partners agree in writing to continue the business of the Partnership and to the appointment, effective as of the date of such event, of a successor General Partner.

A-15

19. Governing Law.

The validity and construction of this Agreement shall be determined and governed by the laws of the State of New York.

20. Miscellaneous.

(a) Priority among Limited Partners. With the exception of the Profit Share allocation to the Special Limited Partner, no Limited Partner shall be entitled to any priority or preference over any other Limited Partner with regard to the return of contributions of capital or to the distribution of any profits or otherwise in the affairs of the Partnership.

(b) Notices. All notices under this Agreement, other than reports by the General Partner to the Limited Partners, shall be in writing and shall be effective upon personal delivery, or, if sent by registered or certified mail, postage prepaid, addressed to the last known address of the party to whom such notice is to be given, upon the deposit of such notice in the United States mail. Reports by the General Partner to the Limited Partners shall be in writing and shall be sent by first class mail to the last known address of each Limited Partner.

(c) Binding Effect. This Agreement shall inure to and be binding upon all of the parties, their successors, permitted assigns, custodians, estates, heirs and personal representatives. For purposes of determining the rights of any Partner or assignee hereunder, the Partnership and the General Partner may rely upon the Partnership records as to who are Partners and assignees and all Partners and assignees agree that their rights shall be determined and that they shall be bound thereby, including all rights which they may have under Paragraph 18 hereof.

(d) Captions. Captions in no way define, limit, extend or describe the scope of this Agreement nor the effect of any of its provisions.

A-16

IN WITNESS WHEREOF, the parties hereto have executed this Agreement as of the day first mentioned above.


	General Partner: Ceres Managed Futures LLC
	By:	/s/ Walter Davis
		Walter Davis
		President and Director


	Special Limited Partner: Warrington Trading, LLC
	By:	/s/ Scott C. Kimple
		Scott C. Kimple
		President

Limited Partners:

All Limited Partners now and hereafter admitted as limited partners of the Partnership pursuant to powers of attorney now and hereafter executed in favor of and delivered to the General Partner.



	By:	CERES MANAGED FUTURES LLC
		ATTORNEY-IN-FACT



	By:	/s/ Walter Davis
		Walter Davis
		President and Director

A-17

EX-31.1 3 y05028fexv31w1.htm EX-31.1 exv31w1

Exhibit 31.1

CERTIFICATION

I, Walter Davis, certify that:

1.		I have reviewed this Quarterly Report on Form 10-Q of Warrington Fund L.P. (the “registrant”);

2.		Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.		Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;

4.		The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

	a)		Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

	b)		Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

	c)		Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

	d)		Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

	a)		All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

	b)		Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 15, 2011



	/s/ Walter Davis
	Walter Davis
	Ceres Managed Futures LLC President and Director

EX-31.2 4 y05028fexv31w2.htm EX-31.2 exv31w2

Exhibit 31.2

CERTIFICATION

I, Jennifer Magro, certify that:

1.		I have reviewed this Quarterly Report on Form 10-Q of Warrington Fund L.P. (the “registrant”);

2.		Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.		Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;

4.		The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

	a)		Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

	b)		Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

	c)		Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

	d)		Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

	a)		All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

	b)		Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 15, 2011



	/s/ Jennifer Magro
	Jennifer Magro
	Ceres Managed Futures LLC Chief Financial Officer and Director

EX-32.1 5 y05028fexv32w1.htm EX-32.1 exv32w1

Exhibit 32.1

CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Warrington Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2011 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Walter Davis, President and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.



/s/ Walter Davis
Walter Davis
Ceres Managed Futures LLC President and Director

Date: August 15, 2011

EX-32.2 6 y05028fexv32w2.htm EX-32.2 exv32w2

Exhibit 32.2

CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of Warrington Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2011 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jennifer Magro, Chief Financial Officer and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.



/s/ Jennifer Magro
Jennifer Magro
Ceres Managed Futures LLC Chief Financial Officer and Director

Date: August 15, 2011

EX-101.INS 7 warri-20110630.xml EX-101 INSTANCE DOCUMENT 0001353282 us-gaap:GeneralPartnerMember 2011-04-01 2011-06-30 0001353282 us-gaap:GeneralPartnerMember 2011-01-01 2011-06-30 0001353282 us-gaap:LimitedPartnerMember 2011-04-01 2011-06-30 0001353282 us-gaap:LimitedPartnerMember 2011-01-01 2011-06-30 0001353282 us-gaap:LimitedPartnerMember 2010-04-01 2010-06-30 0001353282 us-gaap:GeneralPartnerMember 2010-04-01 2010-06-30 0001353282 us-gaap:GeneralPartnerMember 2010-01-01 2010-06-30 0001353282 us-gaap:LimitedPartnerMember 2010-01-01 2010-06-30 0001353282 2011-03-31 0001353282 2010-06-30 0001353282 2010-03-31 0001353282 2009-12-31 0001353282 warri:OptionPremiumReceivedIndicesMember 2011-06-30 0001353282 us-gaap:CallOptionMember 2011-06-30 0001353282 us-gaap:PutOptionMember 2011-06-30 0001353282 us-gaap:PutOptionMember 2010-12-31 0001353282 us-gaap:CallOptionMember 2010-12-31 0001353282 warri:OptionsPurchasedIndicesMember 2010-12-31 0001353282 us-gaap:PutOptionsPurchasedMember 2010-12-31 0001353282 warri:OptionPremiumReceivedIndicesMember 2010-12-31 0001353282 2010-12-31 0001353282 2011-04-01 2011-06-30 0001353282 2010-04-01 2010-06-30 0001353282 2010-01-01 2010-06-30 0001353282 2011-06-30 0001353282 2011-01-01 2011-06-30 iso4217:USD xbrli:shares xbrli:pure xbrli:shares iso4217:USD

<div align="left" style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="left"> </div>   <div align="center" style="font-size: 10pt; margin-top: 0pt"><b></b> </div> <div align="center" style="font-size: 10pt"><b></b></div> <div align="center" style="font-size: 10pt"><b></b></div> <div align="center" style="font-size: 10pt"><b></b></div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>1.</b></td> <td width="2%"> </td> <td><b>General:</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">Warrington Fund L.P. (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and options contracts. The Partnership trades futures in the stock indices sector. The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in of MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in of MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">As of June 30, 2011, all trading decisions for the Partnership are made by Warrington Advisors, LLC (the “Advisor”). In addition, Warrington Trading LLC, an affiliate of the Advisor, is a special limited partner (the “Special Limited Partner”) of the Partnership. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and loss of the Partnership, after the allocation to the Special Limited Partner, 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 its capital contribution and profits, if any, net of distributions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The accompanying financial statements and accompanying notes 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, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2011 and 2010. 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 on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“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. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">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. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="center" style="font-size: 10pt; margin-top: 0pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> </div>

<div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>2.</b></td> <td width="2%"> </td> <td><b>Financial Highlights:</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">Changes in net asset value per unit for the three and six months ended June 30, 2011 and 2010 were as follows: </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Three Months Ended</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Six Months Ended</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Net realized and unrealized gains (losses) * </div></td> <td> </td> <td align="left">$</td> <td align="right">58.73</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(173.16</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">87.95</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(129.75</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest income </div></td> <td> </td> <td> </td> <td align="right">0.04</td> <td> </td> <td> </td> <td> </td> <td align="right">0.27</td> <td> </td> <td> </td> <td> </td> <td align="right">0.24</td> <td> </td> <td> </td> <td> </td> <td align="right">0.41</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Expenses and allocation to Special Limited Partner ** </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7.02</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(6.88</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(13.71</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(14.46</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Increase (decrease) for the period </div></td> <td> </td> <td> </td> <td align="right">51.75</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(179.77</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">74.48</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(143.80</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Net asset value per unit, beginning of period </div></td> <td> </td> <td> </td> <td align="right">1,038.51</td> <td> </td> <td> </td> <td> </td> <td align="right">1,169.58</td> <td> </td> <td> </td> <td> </td> <td align="right">1,015.78</td> <td> </td> <td> </td> <td> </td> <td align="right">1,133.61</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net asset value per unit, end of period </div></td> <td> </td> <td align="left">$</td> <td align="right">1,090.26</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">989.81</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,090.26</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">989.81</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 1pt; margin-top: 6pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">*</td> <td> </td> <td>Includes brokerage fees including clearing fees.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">**</td> <td> </td> <td>Excludes brokerage fees including clearing fees.</td> </tr> </table> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Three Months Ended</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Six Months Ended</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Ratios to average net assets:*** </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net investment income (loss) before allocation to Special Limited Partner**** </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7.0) </td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(6.8</td> <td nowrap="nowrap">)%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7.1) </td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7.0</td> <td nowrap="nowrap">)%</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">  </div></td> <td> </td> <td align="left" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Operating expense </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">6.9</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.2</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.1</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Allocation to Special Limited Partner </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Total expenses </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">6.9</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.2</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.1</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total return: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Total return before allocation to Special Limited Partner </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">5.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(15.4</td> <td nowrap="nowrap">)%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(12.7</td> <td nowrap="nowrap">)%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Allocation to Special Limited Partner </div></td> <td> </td> <td> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Total return after allocation to Special Limited Partner </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">5.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(15.4</td> <td nowrap="nowrap">)%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(12.7</td> <td nowrap="nowrap">)%</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 1pt; margin-top: 6pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">***</td> <td> </td> <td>Annualized (except allocation to Special Limited Partner, if applicable).</td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">****</td> <td> </td> <td>Interest income less total expenses.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">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. </div> </div>

<div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div style="margin-top: 12pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>3.</b></td> <td width="2%"> </td> <td><b>Trading Activities:</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures contracts on the Statements of Financial Condition. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">All of the commodity interests owned by the Partnership are held for trading purposes. The average number of futures contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 0 and 368, respectively. The average number of futures contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 145 and 184, respectively. The average number of option contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 13,452 and 13,814, respectively. The average number of option contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 18,107 and 15,014, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">Brokerage fees 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, subscriptions and redemptions. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="center" style="font-size: 10pt; margin-top: 0pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The following table indicates the gross fair values of derivative instruments of option contracts as separate assets and liabilities as of June 30, 2011 and December 31, 2010. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>June 30, 2011</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center" style="border-bottom: 1px solid #000000"><b>December 31, 2010</b></td> <td> </td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets</b> </div> </td> <td nowrap="nowrap"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="3"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><u>Options Purchased</u> </div> </td> <td nowrap="nowrap"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Indices </div> </td> <td nowrap="nowrap"> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,517,063</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total options purchased </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">—</td> <td nowrap="nowrap">*</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">1,517,063</td> <td nowrap="nowrap">*</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr> <tr valign="bottom">  <td> <div style="margin-left:15px; text-indent:-15px">  </div> </td> <td nowrap="nowrap"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b> </div> </td> <td nowrap="nowrap"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><u>Options Premium Received</u> </div> </td> <td nowrap="nowrap"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Indices </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(153,875</td> <td nowrap="nowrap">)</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,423,500</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total options premium received </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(153,875</td> <td nowrap="nowrap">)**</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,423,500</td> <td nowrap="nowrap">)**</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div> </td> <td nowrap="nowrap"> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 16pt; width: 18%; border-top: 1px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">*</td> <td> </td> <td>This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.</td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">**</td> <td> </td> <td>This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2011 and 2010. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Three Months Ended</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"><b>Six Months Ended</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>June 30,</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 1px solid #000000">Sector</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td> </td> </tr>   <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Indices </div></td> <td> </td> <td align="left">$</td> <td align="right">12,794,912</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(42,207,707</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">21,127,785</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(28,855,743</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">12,794,912 </td> <td nowrap="nowrap">***</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(42,207,707)</td> <td nowrap="nowrap">***</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">21,127,785 </td> <td nowrap="nowrap">***</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(28,855,743)</td> <td nowrap="nowrap">***</td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 16pt; width: 18%; border-top: 1px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">***</td> <td> </td> <td>This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.</td> </tr> </table>   </div>  <div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="center" style="font-size: 10pt; margin-top: 0pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> </div>

<div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>4.</b></td> <td width="2%"> </td> <td><b>Fair Value Measurements:</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Partnership’s Investments. </i>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. Net 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 Changes in Partners’ Capital. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">     <i>Partnership’s Fair Value Measurements. </i> Fair value is defined 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 under current market conditions. 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. GAAP also requires 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. Management has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">     The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="45%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Quoted Prices in</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Active Markets</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Significant Other</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Significant</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>for Identical</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Observable Inputs</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Unobservable</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>June 30, 2011</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>Assets (Level 1)</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>(Level 2)</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>Inputs (Level 3)</b></td> <td> </td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Options premium received </div></td> <td> </td> <td align="left">$</td> <td align="right">153,875</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">153,875</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Total liabilities </div></td> <td> </td> <td> </td> <td align="right">153,875</td> <td> </td> <td> </td> <td> </td> <td align="right">153,875</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net fair value </div></td> <td> </td> <td align="left">$</td> <td align="right">(153,875</td> <td>)</td> <td> </td> <td align="left">$</td> <td align="right">(153,875</td> <td>)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="45%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Quoted Prices in</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Active Markets</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Significant Other</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Significant</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>for Identical</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Observable Inputs</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>Unobservable</b></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>December 31, 2010</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>Assets (Level 1)</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>(Level 2)</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000"><b>Inputs (Level 3)</b></td> <td> </td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Options purchased </div></td> <td> </td> <td align="left">$</td> <td align="right">1,517,063</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,517,063</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Total assets </div></td> <td> </td> <td align="left">$</td> <td align="right">1,517,063</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,517,063</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Options premium received </div></td> <td> </td> <td align="left">$</td> <td align="right">1,423,500</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,423,500</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total liabilities </div></td> <td> </td> <td> </td> <td align="right">1,423,500</td> <td> </td> <td> </td> <td> </td> <td align="right">1,423,500</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Net fair value </div></td> <td> </td> <td align="left">$</td> <td align="right">93,563</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">93,563</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 3px double #000000"> </td> <td> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="center" style="font-size: 10pt; margin-top: 0pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> </div>

<div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>5.</b></td> <td width="2%"> </td> <td><b>Financial Instrument Risks:</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards and options, 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 option contracts. OTC contracts are negotiated between contracting parties and include certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. 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. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under applicable law. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">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 risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as the sole counterparty or broker with respect to the Partnership’s 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 counterparty is an exchange or clearing organization. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">As both a buyer and seller of options, the Partnership 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 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 does not consider these contracts to be guarantees. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and options positions by sector, margin requirements, gain and loss transactions and collateral positions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s business, these instruments may not be held to maturity. </div> </div>

<div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div style="margin-top: 12pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>6.</b></td> <td width="2%"> </td> <td><b>Critical Accounting Policies</b></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Use of Estimates. </i>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. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif; margin-left: 0%"> <div align="center" style="font-size: 10pt; margin-top: 0pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="center" style="font-size: 10pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Partnership’s Investments. </i>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. Net 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 Changes in Partners’ Capital. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">     <i>Partnership’s Fair Value Measurements. </i> Fair value is defined 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 under current market conditions. 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. GAAP also requires 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. Management has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">     The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Options. </i>The Partnership may purchase and write (sell), both exchange listed and OTC, 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 writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Income Taxes. </i>Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and 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 concluded that no provision for income tax is required in the Partnership’s financial statements. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%">The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Subsequent Events.</i>  The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Recent Accounting Pronouncements. </i>In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s financial statements. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt; text-indent: 4%"><i>Net Income (Loss) per Unit. </i>Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”. </div> </div>

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Operating Expenses Total expenses Other Expenses Other Floor Brokerage, Exchange and Clearance Fees Brokerage fees including clearing fees Operating Expenses [Abstract] Expenses Interest and Dividend Income, Operating [Abstract] Investment Income Weighted Average Number of Limited Partnership and General Partnership Unit Outstanding, Basic and Diluted Weighted average units outstanding Net Asset Value Units Outstanding Net asset value,units outstanding, Income Statement [Abstract] Organization, Consolidation and Presentation of Financial Statements [Abstract] General [Abstract] Brokers and Dealers [Abstract] Trading Activities [Abstract] Brokers and Dealers Disclosure [Text Block] Trading Activities Fair Value Disclosures [Abstract] Fair Value Measurements [Abstract] Accounting Policies [Abstract] Critical Accounting Policies [Abstract] Significant Accounting Policies [Text Block] Critical Accounting Policies Gain (Loss) on Sale of Commodity Contracts Net realized gains (losses) on closed contracts Unrealized Gain (Loss) on Commodity Contracts Change in net unrealized gains (losses) on open contracts Increase (Decrease) in Partners' Capital Net increase (decrease) in Partners' Capital Net Income (Loss), Per Outstanding Limited Partnership and General Partnership Unit, Basic and Diluted Net income (loss) per unit Margin Deposit Assets Cash margin Financial Instruments, Owned, at Fair Value Financial Instruments, Owned, at Fair Value, Total Options purchased, at fair value (cost $0 and $4,225,973 at June 30, 2011 and December 31, 2010, respectively) Equity In Trading Account Total trading equity Equity in trading account. 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Statements of Financial Condition (Unaudited) (Parenthetical) (USD $)	Jun. 30, 2011	Dec. 31, 2010
Equity in trading account:
Cost of Option Purchased	$ 0	$ 4,225,973
Liabilities and Partners' Capital
Premium Value	$ 1,649,000	$ 6,851,750
Partners' Capital:
General Partners' Capital Account, Units Outstanding	2,463.8345	2,650.4783
Limited Partners' Capital Account, Units Outstanding	170,909.7269	216,139.5211

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Condensed Schedules of Investments (USD $)	Jun. 30, 2011	Dec. 31, 2010
Summary of Investment Holdings [Line Items]
Fair Value	$ (153,875)	$ 93,563
% of Partners' Capital	(0.08%)	0.04%
Option Premium Received Indices
Summary of Investment Holdings [Line Items]
Fair Value	(153,875)	(1,423,500)
% of Partners' Capital	(0.08%)	(0.64%)
Calls
Summary of Investment Holdings [Line Items]
Number of Contracts	6,800	4,840
Fair Value	(85,000)	(60,500)
% of Partners' Capital	(0.04%)	(0.03%)
Puts
Summary of Investment Holdings [Line Items]
Number of Contracts	2,610	11,020
Fair Value	(68,875)	(1,363,000)
% of Partners' Capital	(0.04%)	(0.61%)
Options Purchased Indices
Summary of Investment Holdings [Line Items]
Fair Value		1,517,063
% of Partners' Capital		0.68%
Options Purchased Puts
Summary of Investment Holdings [Line Items]
Number of Contracts		2,465
Fair Value		$ 1,517,063
% of Partners' Capital		0.68%

- Definition

Value of the investment at close of period. For schedules of investments that are categorized, the value would be aggregated by category. For investment in and advances to affiliates, if operations of any controlled companies are different in character from those of the company, group such affiliates within divisions and by type of activities.

+ References

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Balance held at close of period in number of contracts.

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Document and Entity Information (USD $)	6 Months Ended
Document and Entity Information (USD $)	Jun. 30, 2011
Document and Entity Information [Abstract]
Entity Registrant Name	WARRINGTON FUND LP
Entity Central Index Key	0001353282
Document Type	10-Q
Document Period End Date	Jun. 30, 2011
Amendment Flag	false
Document Fiscal Year Focus	2011
Document Fiscal Period Focus	Q2
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Public Float	$ 200,339,684

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Critical Accounting Policies

6 Months Ended

Jun. 30, 2011

Accounting Policies [Abstract]

Critical Accounting Policies

Critical Accounting Policies

The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

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

Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

- Definition

The entire disclosure for all significant accounting policies of the reporting entity.

+ References+ Details

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Financial Highlights

6 Months Ended

Jun. 30, 2011

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Financial Highlights

Financial Highlights:

Changes in net asset value per unit for the three and six months ended June 30, 2011 and 2010 were as follows:


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Net realized and unrealized gains (losses) *	$	58.73		$	(173.16	)	$	87.95		$	(129.75	)
Interest income		0.04			0.27			0.24			0.41
Expenses and allocation to Special Limited Partner **		(7.02	)		(6.88	)		(13.71	)		(14.46	)

Increase (decrease) for the period		51.75			(179.77	)		74.48			(143.80	)
Net asset value per unit, beginning of period		1,038.51			1,169.58			1,015.78			1,133.61

Net asset value per unit, end of period	$	1,090.26		$	989.81		$	1,090.26		$	989.81


*		Includes brokerage fees including clearing fees.
**		Excludes brokerage fees including clearing fees.


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Ratios to average net assets:***

Net investment income (loss) before allocation to Special Limited Partner****		(7.0)	%		(6.8	)%		(7.1)	%		(7.0	)%


Operating expense		7.0	%		6.9	%		7.2	%		7.1	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%

Total expenses		7.0	%		6.9	%		7.2	%		7.1	%


Total return:
Total return before allocation to Special Limited Partner		5.0	%		(15.4	)%		7.3	%		(12.7	)%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%

Total return after allocation to Special Limited Partner		5.0	%		(15.4	)%		7.3	%		(12.7	)%


***		Annualized (except allocation to Special Limited Partner, if applicable).

****		Interest income less total expenses.

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Statements of Income and Expenses and Changes in Partners' Capital (Unaudited) (Parenthetical)	3 Months Ended		6 Months Ended
	Jun. 30, 2011	Jun. 30, 2010	Jun. 30, 2011	Jun. 30, 2010
Trading Results
Net Asset Value Units Outstanding	173,373.5614	252,899.5544	173,373.5614	252,899.5544

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Trading Activities

6 Months Ended

Jun. 30, 2011

Brokers and Dealers [Abstract]

Trading Activities

Trading Activities:

The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures contracts on the Statements of Financial Condition.

Brokerage fees 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, subscriptions and redemptions.

The following table indicates the gross fair values of derivative instruments of option contracts as separate assets and liabilities as of June 30, 2011 and December 31, 2010.


	June 30, 2011			December 31, 2010
Assets
Options Purchased
Indices	$	—		$	1,517,063

Total options purchased	$	—	*	$	1,517,063	*


Liabilities
Options Premium Received
Indices	$	(153,875	)	$	(1,423,500	)

Total options premium received	$	(153,875	)**	$	(1,423,500	)**


*		This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

**		This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2011 and 2010.


	Three Months Ended						Six Months Ended
	June 30,						June 30,
Sector	2011			2010			2011			2010
Indices	$	12,794,912		$	(42,207,707	)	$	21,127,785		$	(28,855,743	)

Total	$	12,794,912	***	$	(42,207,707)	***	$	21,127,785	***	$	(28,855,743)	***


***		This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

- Definition

The entire disclosure for financial services, specifically for brokers and dealers, for the accounting period and at the balance sheet date. Disclosure may include amounts receivable from and payable to broker-dealers and clearing organizations, including securities failed to receive, deposits received for securities loaned, amounts payable to clearing organizations related to open transactions, floor brokerage payables and payables for commodities futures accounts liquidating to an equity balance on a broker-dealer's records. May also include disclosure on company's consolidation policy and a note indicating the amount of the broker-dealer's actual net capital and the amount of required net capital.

+ References+ Details

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Fair Value Measurements

6 Months Ended

Jun. 30, 2011

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements:


				Quoted Prices in
				Active Markets			Significant Other		Significant
				for Identical			Observable Inputs		Unobservable
	June 30, 2011			Assets (Level 1)			(Level 2)		Inputs (Level 3)
Liabilities
Options premium received	$	153,875		$	153,875		$	—	$	—

Total liabilities		153,875			153,875			—		—

Net fair value	$	(153,875	)	$	(153,875	)	$	—	$	—


			Quoted Prices in
			Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	December 31, 2010		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Options purchased	$	1,517,063	$	1,517,063	$	—	$	—

Total assets	$	1,517,063	$	1,517,063	$	—	$	—

Liabilities
Options premium received	$	1,423,500	$	1,423,500	$	—	$	—

Total liabilities		1,423,500		1,423,500		—		—

Net fair value	$	93,563	$	93,563	$	—	$	—

- Definition

The entire disclosure for a company's election to apply the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items; (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected: (i) information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures and (ii) the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (d) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (e) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (f) for investments that would have been accounted for under the equity method if the entity had not chosen to apply the fair value option, the information required for such investments, if material either individually or in the aggregate; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) a description of how interest and dividends are measured and where they are reported in the income statement; (c) for loans and other receivables held as assets: (i) the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk and (ii) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (d) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk, (ii) qualitative information about the reasons for those changes, and (iii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

+ References+ Details

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Financial Instrument Risks
6 Months Ended

Jun. 30, 2011

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Financial Instrument Risks

5. Financial Instrument Risks:

In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards and options, 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 option contracts. OTC contracts are negotiated between contracting parties and include certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. 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.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures 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 risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as the sole counterparty or broker with respect to the Partnership’s 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 counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership 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 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 does not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures 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 business, these instruments may not be held to maturity.

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Statements of Income and Expenses and Changes in Partners' Capital (Unaudited) (USD $)
3 Months Ended 6 Months Ended

Jun. 30, 2011

Jun. 30, 2010

Jun. 30, 2011

Jun. 30, 2010

Investment Income

Interest income $ 7,195 $ 69,161 $ 49,155 $ 103,408

Expenses

Brokerage fees including clearing fees 2,066,535 2,906,507 4,474,278 5,822,962

Management fees 986,435 1,367,054 2,064,336 2,766,232

Administrative fees 246,609 341,764 516,084 691,559

Other 58,493 75,022 116,343 152,337

Total expenses 3,358,072 4,690,347 7,171,041 9,433,090

Net investment income (loss) (3,350,877) (4,621,186) (7,121,886) (9,329,682)

Net gains (losses) on trading of commodity interests

Net realized gains (losses) on closed contracts 22,886,625 (44,700,770) 22,352,000 (28,931,556)

Change in net unrealized gains (losses) on open contracts (10,091,713) 2,493,063 (1,224,215) 75,813

Total trading results 12,794,912 (42,207,707) 21,127,785 (28,855,743)

Net income (loss) 9,444,035 (46,828,893) 14,005,899 (38,185,425)

Net increase (decrease) in Partners' Capital (11,798,051) (33,810,923) (33,220,395) (12,729,968)

Partners' Capital, beginning of period 200,819,537 284,134,149 222,241,881 263,053,194

Partners' Capital, end of period 189,021,486 250,323,226 189,021,486 250,323,226

Net Asset Value Per Unit $ 1,090.26 $ 989.81 $ 1,090.26 $ 989.81

Net income (loss) per unit $ 51.75 $ (179.77) $ 74.48 $ (143.80)

Weighted average units outstanding 183,984.9144 259,436.6473 197,160.7995 250,114.9618

Limited Partner [Member]

Net gains (losses) on trading of commodity interests

Subscriptions 1,463,664 32,902,000 3,267,464 57,575,000

Redemptions (22,505,750) (20,134,030) (50,293,758) (32,369,543)

General Partner [Member]

Net gains (losses) on trading of commodity interests

Subscriptions 250,000 250,000

Redemptions $ (200,000) $ (200,000)

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XML 26 R7.htm IDEA: XBRL DOCUMENT v2.3.0.11

General
6 Months Ended

Jun. 30, 2011

Accounting Policies [Abstract]

General

1. General:

Warrington Fund L.P. (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and options contracts. The Partnership trades futures in the stock indices sector. The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in of MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in of MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.

As of June 30, 2011, all trading decisions for the Partnership are made by Warrington Advisors, LLC (the “Advisor”). In addition, Warrington Trading LLC, an affiliate of the Advisor, is a special limited partner (the “Special Limited Partner”) of the Partnership.

The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and loss of the Partnership, after the allocation to the Special Limited Partner, 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 its capital contribution and profits, if any, net of distributions.

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

The accompanying financial statements and accompanying notes 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, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2011 and 2010. 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 on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“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.

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.

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Statements of Financial Condition (Unaudited) (USD $)

Jun. 30, 2011

Dec. 31, 2010

Equity in trading account:

Cash $ 109,797,497 $ 189,733,118

Cash margin 83,181,850 44,588,913

Options purchased, at fair value (cost $0 and $4,225,973 at June 30, 2011 and December 31, 2010, respectively) 0 1,517,063

Interest receivable 1,880 15,288

Total trading equity 192,979,347 235,839,094

Total assets 192,981,227 235,854,382

Liabilities and Partners' Capital

Options premium received, at fair value (premium $1,649,000 and $6,851,750 at June 30, 2011 and December 31, 2010, respectively) 153,875 1,423,500

Accrued expenses:

Brokerage fees 602,585 732,597

Management fees 320,179 389,302

Administrative Fees 80,045 97,326

Other 117,379 116,899

Redemptions payable 2,685,678 10,852,877

Total liabilities 3,959,741 13,612,501

Partners' Capital:

General Partner, 2,463.8345 and 2,650.4783 unit equivalents outstanding at June 30, 2011 and December 31, 2010, respectively 2,686,220 2,692,303

Limited Partners, 170,909.7269 and 216,139.5211 Redeemable Units outstanding at June 30, 2011 and December 31, 2010, respectively 186,335,266 219,549,578

Total partners' capital 189,021,486 222,241,881

Total liabilities and partners' capital $ 192,981,227 $ 235,854,382

Net asset value per unit $ 1,090.26 $ 1,015.78

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Statements of Financial Condition (Unaudited) (USD $)	Jun. 30, 2011	Dec. 31, 2010
Equity in trading account:
Cash	$ 109,797,497	$ 189,733,118
Cash margin	83,181,850	44,588,913
Options purchased, at fair value (cost $0 and $4,225,973 at June 30, 2011 and December 31, 2010, respectively)	0	1,517,063
Interest receivable	1,880	15,288
Total trading equity	192,979,347	235,839,094
Total assets	192,981,227	235,854,382
Liabilities and Partners' Capital
Options premium received, at fair value (premium $1,649,000 and $6,851,750 at June 30, 2011 and December 31, 2010, respectively)	153,875	1,423,500
Accrued expenses:
Brokerage fees	602,585	732,597
Management fees	320,179	389,302
Administrative Fees	80,045	97,326
Other	117,379	116,899
Redemptions payable	2,685,678	10,852,877
Total liabilities	3,959,741	13,612,501
Partners' Capital:
General Partner, 2,463.8345 and 2,650.4783 unit equivalents outstanding at June 30, 2011 and December 31, 2010, respectively	2,686,220	2,692,303
Limited Partners, 170,909.7269 and 216,139.5211 Redeemable Units outstanding at June 30, 2011 and December 31, 2010, respectively	186,335,266	219,549,578
Total partners' capital	189,021,486	222,241,881
Total liabilities and partners' capital	$ 192,981,227	$ 235,854,382
Net asset value per unit	$ 1,090.26	$ 1,015.78