Form 10-Q

10-Q 1 d407541d10q.htm FORM 10-Q Form 10-Q

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 September 30, 2012

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 0-53210

ABINGDON FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York

20-3845005

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue - 14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(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 October 31, 2012, there were 183,633.6002 Limited Partnership Redeemable Units of Class A outstanding, 10,287.6586 Limited Partnership Redeemable Units of Class D outstanding and 666.7152 Limited Partnership Redeemable Units of Class Z outstanding.

ABINGDON FUTURES FUND L.P.

FORM 10-Q

INDEX


			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011	3

		Statements of Income and Expenses for the three and nine months ended September 30, 2012 and 2011 (unaudited)	4

		Statements of Changes in Partners’ Capital for the nine months ended September 30, 2012 and 2011 (unaudited)	5

		Notes to Financial Statements, including the Financial Statements of CMF Winton Master L.P. (unaudited)	6 – 19

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20 – 22

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	23 – 24

	Item 4.	Controls and Procedures	25

PART II - Other Information

	Item 1.	Legal Proceedings	26

	Item 1A.	Risk Factors	27

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	27

	Item 5.	Other Information	27

	Item 6.	Exhibits	28

PART I

Item 1. Financial Statements

Abingdon Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Investment in Master, at fair value	$	224,649,649	$	239,855,276
Cash		332,159		169,845

Total assets	$	224,981,808	$	240,025,121


Liabilities and Partners’ Capital
Liabilities:
Accrued expenses:
Brokerage fees	$	810,840	$	866,663
Management fees		279,980		298,777
Administrative fees		93,327		99,592
Other		187,316		136,650
Redemptions payable		3,141,572		1,555,303

Total liabilities		4,513,035		2,956,985


Partners’ Capital:
General Partner, Class A, (0.0000 unit equivalents outstanding at September 30, 2012 and December 31, 2011)		0		0
General Partner, Class D, (0.0000 unit equivalents outstanding at September 30, 2012 and December 31, 2011)		0		0
General Partner, Class Z, (2,508.9070 and 2,212.7189 unit equivalents outstanding at September 30, 2012 and December 31, 2011, respectively)		2,385,644		2,241,197
Limited Partners, Class A, (190,083.2172 and 187,655.6606 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively)		206,376,575		222,607,691
Limited Partners, Class D, (11,535.0586 and 11,453.7739 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively)		11,072,590		11,777,664
Limited Partners, Class Z, (666.7152 and 435.9665 Redeemable Units outstanding at September 30, 2012 and December 31, 2011, respectively)		633,964		441,584

Total partners’ capital		220,468,773		237,068,136

Total liabilities and partners’ capital	$	224,981,808	$	240,025,121

Class A, net asset value per unit	$	1,085.72	$	1,186.26

Class D, net asset value per unit	$	959.91	$	1,028.28

Class Z, net asset value per unit	$	950.87	$	1,012.87

See accompanying notes to financial statements.

Abingdon Futures Fund L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Income:
Interest income allocated from Master	$	28,607		$	6,513		$	75,369		$	47,957


Expenses:
Expenses allocated from Master		64,102			38,460			208,447			101,930
Brokerage fees		2,544,841			2,463,147			7,864,363			6,719,550
Management fees		878,180			841,786			2,711,212			2,494,608
Administrative fees		292,727			280,596			903,737			757,456
Incentive fees		0			948,965			0			948,965
Other		32,274			59,423			246,009			212,224

Total expenses		3,812,124			4,632,377			11,933,768			11,234,733

Net investment income (loss)		(3,783,517	)		(4,625,864	)		(11,858,399	)		(11,186,776	)


Trading results:
Net realized gains (losses) on closed contracts allocated from Master		(1,026,726	)		14,556,945			(7,187,503	)		22,719,113
Change in net unrealized gains (losses) on open contracts allocated from Master		4,848,391			2,560,679			(1,826,013	)		(5,017,313	)

Total trading results allocated from Master		3,821,665			17,117,624			(9,013,516	)		17,701,800

Net income (loss)		38,148			12,491,760			(20,871,915	)		6,515,024


Net income (loss) allocated from Master
Class A		(44,665	)		11,833,113			(19,889,721	)		6,269,043

Class D		60,638			656,353			(787,074	)		243,687

Class Z		22,175			2,294			(195,120	)		2,294

Net asset value per redeemable unit
Class A (190,083.2172 and 175,514.3238 units outstanding at September 30, 2012 and 2011, respectively)	$	1,085.72		$	1,201.33		$	1,085.72		$	1,201.33

Class D (11,535.0586 and 10,467.2498 units outstanding at September 30, 2012 and 2011, respectively)	$	959.91		$	1,034.51		$	959.91		$	1,034.51

Class Z (3,175.6222 and 269.4696 units outstanding at September 30, 2012 and 2011, respectively)	$	950.87		$	1,017.10		$	950.87		$	1,017.10

Net income (loss) per redeemable unit*
Class A	$	(1.19	)	$	67.03		$	(100.54	)	$	37.66

Class D	$	5.26		$	62.71		$	(68.37	)	$	34.51

Class Z	$	6.98		$	17.10		$	(62.00	)	$	17.10

Weighted average units outstanding
Class A		195,158.8422			177,488.8320			197,742.0184			165,310.6803

Class D		11,535.0586			10,467.2498			11,503.5511			9,387.2231

Class Z		3,175.6222			231.3814			3,119.8009			231.3814

*	Based on change in net asset value per unit.

See accompanying notes to financial statements.

Abingdon Futures Fund L.P.

Statements of Changes in Partners’ Capital

For the Nine Months Ended September 30, 2012 and 2011

(Unaudited)


	Class A						Class D					Class Z						Total
	Amount			Units			Amount			Units		Amount			Units			Amount			Units
Partner’s Capital, December 31, 2011	$	222,607,691			187,655.6606		$	11,777,664			11,453.7739	$	2,682,781			2,648.6854		$	237,068,136			201,758.1199
Subscriptions—Limited Partners		38,279,985			32,941.0734			82,000			81.2847		231,947			230.7487			38,593,932			33,253.1068
Subscriptions—General Partner		0			0			0			0		300,000			296.1881			300,000			296.1881
Net income (loss)		(19,889,721	)		0			(787,074	)		0		(195,120	)		0			(20,871,915	)		0
Redemptions—Limited Partners		(34,621,380	)		(30,513.5168	)		0			0		0			0			(34,621,380	)		(30,513.5168	)

Partners’ Capital, September 30, 2012	$	206,376,575			190,083.2172		$	11,072,590			11,535.0586	$	3,019,608			3,175.6222		$	220,468,773			204,793.8980


Partner’s Capital, December 31, 2010	$	157,857,693			135,654.7055		$	0		$	0	$	0		$	0		$	157,857,693			135,654.7055
Subscriptions—Limited Partners		76,523,895			65,168.9096			10,584,785			10,467.2498		346,031			342.4696			87,454,711			75,978.6290
Net income (loss)		6,269,043			0			243,687			0		2,294			0			6,515,024			0
Redemptions—Limited Partners		(29,800,633	)		(25,309.2913	)		0			0		(74,248	)		(73.0000	)		(29,874,881	)		(25,382.2913	)

Partners’ Capital, September 30, 2011	$	210,849,998			175,514.3238		$	10,828,472			10,467.2498	$	274,077			269.4696		$	221,952,547			186,251.0432

See accompanying notes to financial statements.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

1. General:

Abingdon Futures Fund L.P. (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Partnership through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) 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 MSSB Holdings. Citigroup Inc. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets (“CGM”), the commodity broker and selling agent for the Partnership. 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 Inc. As of September 30, 2012, all trading decisions for the Partnership are made by the Advisor (defined below).

On February 1, 2007, the Partnership allocated substantially all of its capital to the CMF Winton Master L.P. (the “Master”), a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master was formed in order to permit accounts managed by Winton Capital Management Limited (the “Advisor”) using the Diversified Program without Equities (formerly the Diversified Program), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected.

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Unites were first issued on April 1, 2011, and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the Limited Partner, although the General Partner may determine to offer Redeemable Units to investors at its discretion. Class Z Units were offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A Units, Class D Units, and Class Z Units are identical, except that Class D Units are subject to a monthly commission fee equal to 1/12th of 1.875% (a 1.875% annual rate) of the Net Assets of Class D as of the ending of each month, and Class Z Units are subject to a monthly commission fee equal to 1/12th of 1.125% (a 1.125% annual rate) of the Net Assets of Class Z as of the ending of each month which differs from the Class A monthly commission fee of 1/12th of 4.5% (a 4.5% annual rate) of the net assets of Class A.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended September 30, 2012.

At September 30, 2012 and December 31, 2011, the Partnership owned approximately 29.1% and 29.2%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

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

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 September 30, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2012 and 2011. 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, 2011.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner 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.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2012 and 2011 are presented below:

CMF Winton Master L.P.

Statements of Financial Condition


	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Equity in trading account:
Cash	$	636,104,943	$	743,904,052
Cash margin		126,816,747		61,613,736
Net unrealized appreciation on open futures contracts		16,207,968		15,688,785
Net unrealized appreciation on open forward contracts		0		1,153,132
Options purchased, at fair value (cost $61,940 and $52,300 at September 30, 2012 and December 31, 2011, respectively)		86,525		18,204

Total assets	$	779,216,183	$	822,377,909


Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	5,716,054	$	—
Options premium received, at fair value (premium $127,630 and $107,195 at September 30, 2012 and December 31, 2011, respectively)		187,540		42,095
Accrued expenses:
Professional fees		24,709		62,038

Total liabilities		5,928,303		104,133

Partners’ Capital:
General Partner, 0.0000 unit equivalents at September 30, 2012 and December 31, 2011		0		0
Limited Partners, 325,491.7861 and 332,858.7283 units outstanding at September 30, 2012 and December 31, 2011, respectively		773,287,880		822,273,776

Total liabilities and partners’ capital	$	779,216,183	$	822,377,909

Net asset value per unit	$	2,375.75	$	2,470.34

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

September 30, 2012

(Unaudited)


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		7,169	$	590,307			0.08	%
Energy		780		552,666			0.07
Grains		3,282		(1,513,486	)		(0.20	)
Indices		7,304		(7,862,986	)		(1.02	)
Interest Rates U.S.		23,040		12,099,655			1.56
Interest Rates Non-U.S.		17,715		12,359,657			1.60
Livestock		69		(24,550	)		(0.00	)*
Metals		582		1,055,185			0.14
Softs		1,003		(313,809	)		(0.04	)

Total futures contracts purchased				16,942,639			2.19


Futures Contracts Sold
Currencies		1,474		406,144			0.05
Energy		656		(1,336,270	)		(0.17	)
Grains		17		9,700			0.00	*
Indices		174		(61,326	)		(0.01	)
Interest Rates Non-U.S.		160		(43,398	)		(0.01	)
Livestock		394		323,958			0.04
Metals		1		(865	)		(0.00	)*
Softs		266		(32,614	)		(0.00	)*

Total futures contracts sold				(734,671	)		(0.10	)


Unrealized Appreciation on Open Forward Contracts
Currencies	$	319,731,946		1,270,878			0.17
Metals		620		2,562,125			0.33

Total unrealized appreciation on open forward contracts				3,833,003			0.50


Unrealized Depreciation on Open Forward Contracts
Currencies	$	147,828,031		(1,590,691	)		(0.21	)
Metals		1,157		(7,958,366	)		(1.03	)

Total unrealized depreciation on open forward contracts				(9,549,057	)		(1.24	)


Options Purchased
Puts
Indices		131		86,525			0.01

Total options purchased				86,525			0.01


Options Premium Received
Puts
Indices		131		(187,540	)		(0.02	)

Net options premium received				(187,540	)		(0.02	)


Net fair value			$	10,390,899			1.34	%

*	Due to rounding.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2011


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		1,681	$	2,316,160			0.28	%
Energy		625		110,182			0.01
Grains		39		37,976			0.01
Indices		1,128		690,394			0.08
Interest Rates U.S.		5,207		2,104,584			0.26
Interest Rates Non-U.S.		9,189		7,688,333			0.94
Livestock		110		(229,020	)		(0.03	)
Metals		202		(3,126,860	)		(0.38	)
Softs		176		(230,591	)		(0.03	)

Total futures contracts purchased				9,361,158			1.14

Futures Contracts Sold
Currencies		3,507		6,207,281			0.76
Energy		880		804,857			0.10
Grains		1,425		(2,112,969	)		(0.26	)
Indices		591		90,767			0.01
Interest Rates U.S.		699		(72,787	)		(0.01	)
Interest Rates Non-U.S.		93		62,360			0.01
Livestock		211		35,660			0.00	*
Metals		58		(38,740	)		(0.00	)*
Softs		550		1,351,198			0.16

Total futures contracts sold				6,327,627			0.77

Unrealized Appreciation on Open Forward Contracts
Currencies	$	84,923,180		515,291			0.07
Metals		1,086		3,802,144			0.46

Total unrealized appreciation on open forward contracts				4,317,435			0.53

Unrealized Depreciation on Open Forward Contracts
Currencies	$	137,405,398		(279,763	)		(0.03	)
Metals		869		(2,884,540	)		(0.35	)

Total unrealized depreciation on open forward contracts				(3,164,303	)		(0.38	)

Options Purchased
Puts
Indices		58		18,204			0.00	*

Total options purchased				18,204			0.00	*

Options Premium Received
Puts
Indices		58		(42,095	)		(0.01	)

Total options premium received				(42,095	)		(0.01	)

Net fair value			$	16,818,026			2.05	%

*	Due to rounding.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment Income:
Interest income	$	114,220		$	29,007		$	295,519		$	271,152


Expenses:
Clearing fees		201,630			123,164			640,461			374,961
Professional fees		17,200			21,442			58,318			69,138

Total expenses		218,830			144,606			698,779			444,099

Net investment income (loss)		(104,610	)		(115,599	)		(403,260	)		(172,947	)

Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(3,430,240	)		54,296,749			(23,672,177	)		95,430,492
Change in net unrealized gains (losses) on open contracts		16,318,197			11,260,944			(6,416,332	)		(19,331,200	)

Total trading results		12,887,957			65,557,693			(30,088,509	)		76,099,292

Net income (loss)		12,783,347			65,442,094			(30,491,769	)		75,926,345
Subscriptions — Limited Partners		26,675,039			14,891,020			100,603,102			208,090,998
Redemptions — Limited Partners		(48,074,405	)		(85,791,657	)		(118,801,710	)		(337,449,728	)
Distribution of interest income to feeder funds		(114,220	)		(29,007	)		(295,519	)		(271,152	)

Net increase (decrease) in Partners’ Capital		(8,730,239	)		(5,487,550	)		(48,985,896	)		(53,703,537	)
Partners’ Capital, beginning of period		782,018,119			835,503,884			822,273,776			883,719,871

Partners’ Capital, end of period	$	773,287,880		$	830,016,334		$	773,287,880		$	830,016,334

Net asset value per unit (325,491.7861 and 337,386.9452 units outstanding at September 30, 2012 and 2011, respectively)	$	2,375.75		$	2,460.13		$	2,375.75		$	2,460.13

Net income (loss) per unit *	$	36.20		$	184.94		$	(93.69	)	$	206.00

Weighted average units outstanding		334,093.2097			360,300.0339			336,633.4537			394,312.7407

*	Based on changes in net asset value per unit.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2.	Financial Highlights:

Changes in the net asset value per unit for each Class for the three and nine months ended September 30, 2012 and 2011 were as follows:


	Three Months Ended September 30,																				For the period August 1, 2011 (commencement of operations) to September 30,
	2012												2011								2011
	Class A				Class D				Class Z				Class A				Class D				Class Z
Net realized and unrealized gains (losses)*		$	4.47			$	10.25			$	11.93			$	78.35			$	73.96			$	24.91
Interest income allocated from Master			0.14				0.12				0.12				0.03				0.03				0.02
Expenses **			(5.80	)			(5.11	)			(5.07	)			(11.35	)			(11.28	)			(7.83	)

Increase (decrease) for the period			(1.19	)			5.26				6.98				67.03				62.71				17.10
Net asset value per unit, beginning of period			1,086.91				954.65				943.89				1,134.30				971.80				1,000.00

Net asset value per unit, end of period		$	1,085.72			$	959.91			$	950.87			$	1,201.33			$	1,034.51			$	1,017.10


	Nine Months Ended September 30,												For the period April 1, 2011 (commencement of operations) to September 30,			For the period August 1, 2011 (commencement of operations) to September 30,
	2012									2011			2011			2011
	Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)*	$	(82.48	)	$	(52.56	)	$	(46.37	)	$	63.14		$	54.32		$	24.91
Interest income allocated from Master		0.35			0.31			0.31			0.30			0.06			0.02
Expenses **		(18.41	)		(16.12	)		(15.94	)		(25.78	)		(19.87	)		(7.83	)

Increase (decrease) for the period		(100.54	)		(68.37	)		(62.00	)		37.66			34.51			17.10
Net asset value per unit, beginning of period		1,186.26			1,028.28			1,012.87			1,163.67			1,000.00			1,000.00

Net asset value per unit, end of period	$	1,085.72		$	959.91		$	950.87		$	1,201.33		$	1,034.51		$	1,017.10

*	Includes Partnership brokerage fees and clearing fees allocated from Master.

**	Excludes Partnership brokerage fees and clearing fees allocated from Master.


	Three Months Ended September 30,															For the period August 1, 2011 (commencement of operations) to September 30,
	2012									2011						2011
	Class A			Class D			Class Z			Class A***			Class D***			Class Z***
Ratios to Average Net Assets:****
Net investment income (loss)		(6.8	)%		(4.0	)%		(3.3	)%		(7.3	)%		(4.7	)%		(4.8	)%
Incentive fees		—	%		—	%		—	%		0.4	%		0.6	%		0.3	%

Net investment income (loss) before incentive fees*****		(6.8	)%		(4.0	)%		(3.3	)%		(6.9	)%		(4.1	)%		(4.5	)%

Operating expenses		6.8	%		4.1	%		3.3	%		6.9	%		4.1	%		4.5	%
Incentive fees		—	%		—	%		—	%		0.4	%		0.6	%		0.3	%

Total expenses and incentive fees		6.8	%		4.1	%		3.3	%		7.3	%		4.7	%		4.8	%

Total return:
Total return before incentive fees		(0.1	)%		0.6	%		0.7	%		6.4	%		7.1	%		1.9	%
Incentive fees		—	%		—	%		—	%		(0.5	)%		(0.6	)%		(0.2	)%

Total return after incentive fees		(0.1	)%		0.6	%		0.7	%		5.9	%		6.5	%		1.7	%


	Nine Months Ended September 30,												For the period April 1, 2011 (commencement of operations) to September 30,			For the period August 1, 2011 (commencement of operations) to September 30,
	2012									2011			2011			2011
	Class A			Class D			Class Z			Class A***			Class D***			Class Z***
Ratios to Average Net Assets:****
Net investment income (loss)		(6.9	)%		(4.1	)%		(3.7	)%		(7.6	)%		(5.1	)%		(4.8	)%
Incentive fees		—	%		—	%		—	%		0.5	%		0.7	%		0.3	%

Net investment income (loss) before incentive fees *****		(6.9	)%		(4.1	)%		(3.7	)%		(7.1	)%		(4.4	)%		(4.5	)%

Operating expenses		6.9	%		4.1	%		3.7	%		7.2	%		4.4	%		4.5	%
Incentive fees		—	%		—	%		—	%		0.5	%		0.7	%		0.3	%

Total expenses and incentive fees		6.9	%		4.1	%		3.7	%		7.7	%		5.1	%		4.8	%

Total return:
Total return before incentive fees		(8.5	)%		(6.6	)%		(6.1	)%		3.7	%		4.0	%		1.9	%
Incentive fees		—	%		—	%		—	%		(0.5	)%		(0.5	)%		(0.2	)%

Total return after incentive fees		(8.5	)%		(6.6	)%		(6.1	)%		3.2	%		3.5	%		1.7	%

***	The ratios are shown net and gross of incentive fees to conform to current period presentation.

****	Annualized (other than incentive fees).

*****

Interest income allocated from Master 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 for the Classes using the limited partners’ share of income, expenses and average net assets.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Financial Highlights of the Master:


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011

Net realized and unrealized gains (losses) *	$	35.89		$	184.93		$	(94.42	)	$	205.50
Interest income		0.36			0.08			0.90			0.69
Expenses **		(0.05	)		(0.07	)		(0.17	)		(0.19	)

Increase (decrease) for the period		36.20			184.94			(93.69	)		206.00
Distribution of interest income to feeder funds		(0.36	)		(0.08	)		(0.90	)		(0.69	)
Net asset value per unit, beginning of period		2,339.91			2,275.27			2,470.34			2,254.82

Net asset value per unit, end of period	$	2,375.75		$	2,460.13		$	2,375.75		$	2,460.13

*	Includes clearing fees.

**	Excludes clearing fees.


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011

Ratios to average net assets:***
Net investment income (loss)****		(0.1)	%		(0.1)	%		(0.1)	%		(0.0)	%*****

Operating expenses		0.1	%		0.1	%		0.1	%		0.1	%

Total return		1.5	%		8.1	%		(3.8)	%		9.1	%

***	Annualized.

****	Interest income less total expenses.

*****

Due to rounding.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

3.	Trading Activities:

The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The customer agreements between the Partnership and CGM and the Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet”, have been met.

Brokerage fees are calculated as a percentage of the adjusted net asset value per class on the last day of each month and are affected by trading performance, subscriptions and redemptions.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended September 30, 2012 and 2011 were 59,630 and 25,856, respectively. The monthly average number of futures contracts traded during the nine months ended September 30, 2012 and 2011 were 53,067 and 22,943, respectively. The monthly average number of metals forward contracts traded during the three months ended September 30, 2012 and 2011 were 2,121 and 936, respectively. The monthly average number of metals forward contracts traded during the nine months ended September 30, 2012 and 2011 were 2,430 and 1,075, respectively. The average notional value of currency forward contracts during the three months ended September 30, 2012 and 2011 were $736,969,321 and $247,412,091, respectively. The average notional value of currency forward contracts during the nine months ended September 30, 2012 and 2011 were $629,831,504 and $201,875,966, respectively. The monthly average number of options contracts traded during the three months ended September 30, 2012 and 2011 were 228 and 111, respectively. The monthly average number of options contracts traded during the nine months ended September 30, 2012 and 2011 were 195 and 152, respectively.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures, forward and options contracts as separate assets and liabilities as of September 30, 2012 and December 31, 2011.


	September 30, 2012
Assets
Futures Contracts
Currencies	$	3,257,260
Energy		1,248,619
Grains		2,401,911
Indices		369,438
Interest Rates U.S.		12,553,792
Interest Rates Non-U.S.		13,287,437
Livestock		362,520
Metals		1,107,053
Softs		538,061

Total unrealized appreciation on open futures contracts	$	35,126,091


Liabilities
Futures Contracts
Currencies	$	(2,260,809	)
Energy		(2,032,223	)
Grains		(3,905,697	)
Indices		(8,293,750	)
Interest Rates U.S.		(454,137	)
Interest Rates Non-U.S.		(971,178	)
Livestock		(63,112	)
Metals		(52,733	)
Softs		(884,484	)

Total unrealized depreciation on open futures contracts	$	(18,918,123	)


Net unrealized appreciation on open futures contracts	$	16,207,968	*


Assets
Forward Contracts
Currencies	$	1,270,878
Metals		2,562,125

Total unrealized appreciation on open forward contracts	$	3,833,003


Liabilities
Forward Contracts
Currencies	$	(1,590,691	)
Metals		(7,958,366	)

Total unrealized depreciation on open forward contracts	$	(9,549,057	)


Net unrealized depreciation on open forward contracts	$	(5,716,054	)**


Assets
Options Purchased
Indices	$	86,525

Total options purchased	$	86,525	***


Liabilities
Options Premium Received
Indices	$	(187,540	)

Total options premium received	$	(187,540	)****

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

**	This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition.

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

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

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)


	December 31, 2011
Assets
Futures Contracts
Currencies	$	8,917,759
Energy		1,944,705
Grains		393,448
Indices		1,087,634
Interest Rates U.S.		2,552,715
Interest Rates Non-U.S.		8,108,532
Livestock		79,405
Metals		29,367
Softs		1,411,748

Total unrealized appreciation on open futures contracts	$	24,525,313

Liabilities
Futures Contracts
Currencies	$	(394,318	)
Energy		(1,029,666	)
Grains		(2,468,441	)
Indices		(306,473	)
Interest Rates U.S.		(520,918	)
Interest Rates Non-U.S.		(357,839	)
Livestock		(272,765	)
Metals		(3,194,967	)
Softs		(291,141	)

Total unrealized depreciation on open futures contracts	$	(8,836,528	)

Net unrealized appreciation on open futures contracts	$	15,688,785	*

Assets
Forward Contracts
Currencies	$	515,291
Metals		3,802,144

Total unrealized appreciation on open forward contracts	$	4,317,435

Liabilities
Forward Contracts
Currencies	$	(279,763	)
Metals		(2,884,540	)

Total unrealized depreciation on open forward contracts	$	(3,164,303	)

Net unrealized appreciation on open forward contracts	$	1,153,132	**

Assets
Options Purchased
Indices	$	18,204

Total options purchased	$	18,204	***

Liabilities
Options Premium Received
Indices	$	(42,095	)

Total options premium received	$	(42,095	)****

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

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

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

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

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.


	Three Months Ended September 30,						Nine Months Ended September 30,
Sector	2012			2011			2012			2011
Currencies	$	(4,124,505	)	$	(13,260,114	)	$	(43,793,680	)	$	(5,509,756	)
Energy		(6,923,256	)		(943,053	)		(19,220,978	)		4,226,611
Grains		4,490,124			(853,851	)		(1,261,388	)		(3,904,275	)
Indices		3,410,644			(10,592,871	)		(10,278,521	)		(9,971,686	)
Interest Rates U.S.		11,421,286			31,316,409			22,654,805			29,893,072
Interest Rates Non-U.S.		14,688,534			42,090,191			36,785,734			38,433,438
Livestock		201,428			(570,805	)		981,009			(366,385	)
Metals		(9,400,648	)		16,842,243			(13,082,694	)		18,812,339
Softs		(875,650	)		1,529,544			(2,872,796	)		4,485,934

Total	$	12,887,957	*****	$	65,557,693	*****	$	(30,088,509	)*****	$	76,099,292	*****

*****

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

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

4.	Fair Value Measurements:

Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit per class calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2011.

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 use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities.

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.

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards [(“IFRS”)]” . The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify the Financial Accounting Standards Board’s (“FASB”) 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. This new guidance did not have a significant impact on the Partnership’s financial statements.

The Partnership values its investment in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.


	September 30, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	224,649,649	$	—	$	224,649,649	$	—

Net fair value	$	224,649,649	$	—	$	224,649,649	$	—


	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Master	$	239,855,276	$	—	$	239,855,276	$	—

Net fair value	$	239,855,276	$	—	$	239,855,276	$	—

Master’s Investments. All commodity interests of the Master (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.

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Master’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. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

GAAP also requires the use of 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, there has not been a significant decrease in the volume and level of activity in the Master’s Level 2 assets and liabilities.

The Master 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 Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.


	September 30, 2012		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets
Futures	$	35,126,091	$	35,126,091	$	—		$	—
Forwards		3,833,003		2,562,125		1,270,878			—
Options purchased		86,525		86,525		—			—

Total Assets		39,045,619		37,774,741		1,270,878			—

Liabilities
Futures	$	18,918,123	$	18,918,123	$	—		$	—
Forwards		9,549,057		7,958,366		1,590,691			—
Options premium received		187,540		187,540		—			—

Total Liabilities		28,654,720		27,064,029		1,590,691			—

Net fair value	$	10,390,899	$	10,710,712	$	(319,813	)	$	—



	December 31, 2011		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures	$	24,525,313	$	24,525,313	$	—	$	—
Forwards		4,317,435		3,802,144		515,291		—
Options purchased		18,204		18,204		—		—

Total Assets		28,860,952		28,345,661		515,291		—

Liabilities
Futures	$	8,836,528	$	8,836,528	$	—	$	—
Forwards		3,164,303		2,884,540		279,763		—
Options premium received		42,095		42,095		—		—

Total Liabilities		12,042,926		11,763,163		279,763		—

Net fair value	$	16,818,026	$	16,582,498	$	235,528	$	—

5.	Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled 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 forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument 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 General Partner estimates that at any given time approximately 7.4% to 18.2% of the Partnership’s/Master’s contracts are traded OTC.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

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

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

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/Master’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/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s/Master’s counterparty is an exchange or clearing organization.

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

The General Partner monitors and attempts to control the Partnership’s/Master’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/Master 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, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

6.	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.

Partnership’s Investments. The Partnership values its investment in the Master at its net asset value per unit per Class as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2011.

Partnership’s and the Master’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. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

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, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Master’s Level 2 assets and liabilities.

The Partnership and the Master will separately present purchases, sales, issuances and settlements in their 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 values investments in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

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

Abingdon Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

Options. The Master 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 Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master 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 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. The 2009 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner 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 has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. In August 2012, FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

Net Income (Loss) per unit. Net income (loss) per unit for each Class 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 investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its equity in its trading accounts, consisting of cash and cash equivalents, net unrealized appreciation on open futures contracts, net unrealized appreciation on forward contracts and options. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2012.

The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any. For the nine months ended September 30, 2012, Partnership capital decreased 7.0% from $237,068,136 to $220,468,773. This decrease was attributable to a net loss of $20,871,915, coupled with redemptions of 30,513.5168 Redeemable Units of Class A totaling $34,621,380. This decrease was partially offset by subscriptions of 32,941.0734 Redeemable Units of Class A totaling $38,279,985, subscriptions of 81.2847 Redeemable Units of Class D totaling $82,000 and subscriptions of 230.7487 Redeemable Units of Class Z totaling $231,947 and 296.1881 General Partner unit equivalents of Class Z totaling $300,000.

The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the nine months ended September 30, 2012, the Master’s capital decreased 6.0% from $822,273,776 to $773,287,880. This decrease was attributable to redemptions of 48,276.4037 units totaling $118,801,710, coupled with the net loss of $30,491,769 and distribution of interest income to feeder funds totaling $295,519, which was partially offset by subscriptions of 40,909.4615 units totaling $100,603,102. 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 and assumptions 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.

Results of Operations

During the Partnership’s third quarter of 2012, the net asset value per unit for Class A decreased 0.1% from $1,086.91 to $1,085.72 as compared to an increase of 5.9% in the third quarter of 2011. During the Partnership’s third quarter of 2012, the net asset value per unit for Class D increased 0.6% from $954.65 to $959.91 as compared to an increase of 6.5% in the third quarter of 2011. During the Partnership’s third quarter of 2012, the net asset value per unit for Class Z increased 0.7% from $943.89 to $950.87 as compared to an increase of 1.7% in the third quarter of 2011. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the third quarter of 2012 of $3,821,665. Gains were primarily attributable to the Master’s trading of commodity futures in grains, indices, U.S. and non-U.S. interest rates and livestock and were partially offset by losses in currencies, energy, metals and softs. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the third quarter of 2011 of $17,117,624. Gains were primarily attributable to the Master’s trading of commodity futures in U.S. and non-U.S. interest rates, metals and softs, and were partially offset by losses in currencies, energy, grains, indices and livestock.

During the third quarter of 2012, the most significant losses were incurred within the metals complex during September from short positions in aluminum, copper, and nickel futures as prices moved higher amid signs of increased infrastructure spending by the Chinese government. Within the energy markets, losses were recorded during July from short futures positions in crude oil and its related products as prices advanced on concern that instability in the Middle East will disrupt energy supplies. Losses were also experienced within the currency sector during August and September from short positions in the euro versus the U.S. dollar as the value of the euro advanced after German Chancellor Angela Merkel reiterated her commitment to working with the European Central Bank to resolve the euro-zone’s financial turmoil. A majority of the Partnership’s losses during the third quarter was offset by gains recorded in the global interest rate sector during July from long positions in European and U.S. fixed income futures as prices advanced on concern the global economic recovery is slowing. Within the agricultural complex, gains were achieved during July and August from long futures positions in the soybean complex and corn after prices rose as a heat wave and drought in the U.S. Midwest threatened to limit output. Gains were also experienced within the global stock index markets, primarily during September from long positions in U.S. equity index futures as prices rose after the U.S. Federal Reserve’s plan to buy mortgage securities fueled demand for “riskier” assets.

During the Partnership’s nine months ended September 30, 2012, the net asset value per unit for Class A decreased 8.5% from $1,186.26 to $1,085.72 as compared to an increase of 3.2% during the nine months ended September 30, 2011. During the Partnership’s nine months ended September 30, 2012, the net asset value per unit for Class D decreased 6.6% from $1,028.28 to $959.91 as compared to an increase of 3.5% during the nine months ended September 30, 2011. During the Partnership’s nine months ended September 30, 2012, the net asset value per unit for Class Z decreased 6.1% from $1,012.87 to $950.87 as compared to an increase of 1.7% during the nine months ended September 30, 2011. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the nine months ended September 30, 2012 of $9,013,516. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, grains, metals, softs and indices, and were partially offset by gains in U.S. and non-U.S. interest rates and livestock. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage fees and related fees in the nine months ended September 30, 2011 of $17,701,800. Gains were primarily attributable to the Master’s trading of commodity futures in energy, U.S. and non-U.S. interest rates, metals and softs, and were partially offset by losses in currencies, grains, indices and livestock.

During the nine months ended September 30, 2012, the most significant losses were incurred within the currency markets during February from short positions in the euro as its value rose against the U.S. dollar on optimism Greece would receive a second bailout. Additional losses were recorded in this sector during February from long positions in the Japanese yen versus the U.S. dollar as the value of the yen declined amid an investor shift into riskier currency assets. During August and September, short positions in the euro versus the U.S. dollar resulted in losses as the value of the euro advanced after German Chancellor Angela Merkel reiterated her commitment to working with the European Central Bank to resolve the euro-zone’s financial turmoil. Within energies, losses were incurred during May from long futures positions in crude oil and its related products as prices declined after stockpiles rose in the U.S. Within the metals markets, losses were recorded during June from short positions in gold futures as prices declined after the U.S. Federal Reserve extended its bond-purchasing stimulus plan. Additional metals losses were experienced during September from short positions in aluminum, copper, and nickel futures as prices moved higher amid signs of increased infrastructure spending by the Chinese government. Within the global stock index markets, losses were experienced during April and May from long positions in U.S. and European equity index futures as prices declined amid an unexpected rise in the U.S. unemployment rate and weakening economic data from China and Europe. Additional losses were recorded during June from newly established short positions in European equity index futures as prices rose amid optimism about the containment of the European debt crisis. Losses were also experienced within the agricultural complex during May from long positions in soybean futures as prices fell amid favorable growing conditions in the U.S. During September, long futures positions in the soybean complex and corn resulted in additional losses as prices moved lower. A portion of the Partnership’s losses during the first nine months of the year was offset by gains achieved within the global interest rate sector during January from long positions in U.S. and European fixed income futures as prices advanced amid increased demand for the relative “safety” of government debt on mounting concern about the European sovereign debt crisis. Additional gains were recorded in these markets during April and May from long positions in European and U.S. fixed income futures as prices advanced after Standard & Poor’s cut Spain’s credit rating and Greece failed to form a unified government, adding to concern central banks and politicians are failing to contain the European debt crisis. During July, further gains were experienced from long positions in European and U.S. fixed income futures as prices advanced on concern the global economic recovery is slowing.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership (and the Master) 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 relationship, 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 (and the Master) expects to increase capital through operations.

Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master was earned 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. Interest income allocated from the Master for the three and nine months ended September 30, 2012 increased by $22,094 and $27,412, respectively, as compared to the corresponding periods in 2011. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Brokerage fees are calculated as a percentage of the adjusted net asset value per class on the end 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 nine months ended September 30, 2012 increased by $81,694 and $1,144,813, respectively, as compared to the corresponding periods in 2011. The increase in brokerage fees is due to higher net assets per class during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Management fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three and nine months ended September 30, 2012 increased by $36,394 and $216,604, respectively, as compared to the corresponding periods in 2011. The increase in management fees is due to higher net assets per class during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three and nine months ended September 30, 2012 increased by $12,131 and $146,281, respectively, as compared to the corresponding periods in 2011. The increase in administrative fees is due to higher net assets per class during the three and nine months ended September 30, 2012 as compared to the corresponding periods in 2011.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and the Advisor. There were no incentive fees for the three and nine months ended September 30, 2012. Trading performance for the three and nine months ended September 30, 2011 resulted in incentive fees of $948,965. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

In allocating substantially all of the assets of the Partnership to the Master, 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

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

The limited partners will not be liable for losses exceeding the current net asset value of their investment.

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

The Master 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 Master’s past performance is not necessarily indicative of its future results.

“Value at Risk” is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master’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 Master’s losses in any market sector will be limited to Value at Risk or by the Master’s attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Master 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 risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of September 30, 2012 and December 31, 2011, and the highest, lowest and average values during the three months ended September 30, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

As of September 30, 2012, the Master’s total capitalization was $773,287,880 and the Partnership owned approximately 29.1% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of September 30, 2012 was as follows:

September 30, 2012


						Three Months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	34,190,052		4.42	%	$	34,827,068	$	29,367,863	$	32,782,808
Energy		4,444,303		0.58	%		5,408,240		2,290,040		3,876,437
Grains		7,985,391		1.03	%		8,043,023		5,816,299		7,107,620
Indices		25,066,468		3.24	%		25,066,468		6,373,580		16,304,465
Interest Rates U.S.		12,862,800		1.66	%		13,743,425		12,519,050		13,117,117
Interest Rates Non-U.S.		18,406,417		2.38	%		19,637,084		17,185,649		18,409,717
Livestock		468,800		0.06	%		474,550		426,615		461,695
Lumber		6,250		0.00	%**		16,250		1,250		6,250
Metals		6,963,454		0.90	%		11,535,119		5,176,271		8,139,101
Softs		1,793,839		0.23	%		2,076,289		1,793,839		1,911,806

Total	$	112,187,774		14.50	%

*	Average of month-end values at Risk.

**	Due to rounding.

As of December 31, 2011, the Master’s total capitalization was $822,273,776 and the Partnership owned approximately 29.2% of the Master. The Partnership invests substaintially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2011 was as follows:

December 31, 2011


						Twelve Months Ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	19,312,483		2.35	%	$	19,312,483	$	6,398,762	$	12,470,587
Energy		1,525,274		0.19	%		4,524,046		1,245,529		2,842,674
Grains		2,535,708		0.31	%		4,371,245		540,481		2,326,464
Indices		6,526,149		0.79	%		17,629,694		3,776,392		10,297,535
Interest Rates U.S.		5,466,250		0.67	%		8,976,950		539,209		4,614,681
Interest Rates Non-U.S.		12,924,419		1.57	%		15,134,879		2,448,536		8,402,040
Livestock		262,550		0.03	%		340,400		42,650		213,377
Metals		6,253,557		0.76	%		7,869,347		3,994,864		5,990,862
Softs		1,583,804		0.19	%		2,456,982		329,218		1,207,483

Total	$	56,390,194		6.86	%

*	Annual average of month-end Value 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 (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 President and Chief Financial Officer (“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 President 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 September 30, 2012 and, based on that evaluation, the General Partner’s President 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 President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•

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

•

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

•

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended September 30, 2012 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

The following information supplements and amends 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, 2011, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

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

CGM (together with Citigroup Inc. and its other subsidiaries, “Citigroup”) (formerly known as Salomon Smith Barney Inc.) is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM or any of its individual principals and no such actions are currently pending, except as follows.

RMBS Litigation and Other Matters

On May 4, 2012, the district court in FEDERAL HOUSING FINANCE AGENCY v. UBS AMERICAS, INC., ET AL., a parallel case to FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL., and FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL., denied defendants’ motion to dismiss plaintiff’s securities law claims and granted defendants’ motion to dismiss plaintiff’s negligent misrepresentation claims. On June 19, 2012, the district court granted defendants’ motion to certify an interlocutory appeal to the United States Court of Appeals for the Second Circuit from the court’s statutes of repose and limitations rulings.

On May 15, 2012, Woori Bank filed a complaint in the United States District Court for the Southern District of New York against Citigroup alleging actionable misstatements and omissions in connection with Woori Bank’s $95 million investment in five collateralized debt obligations.

On May 18, 2012, the Federal Deposit Insurance Corporation filed (“FDIC”) complaints in the United States District Courts for the Southern District of New York and the Central District of California against various defendants, including Citigroup Global Markets Inc., Citicorp Mortgage Securities Inc., and CitiMortgage Inc., in connection with purchases of residential mortgage-backed securities (“RMBS”) by two failed banks for which the FDIC is acting as receiver.

On June 6, 2012, the court granted in part and denied in part defendants’ motions to dismiss in WESTERN & SOUTHERN LIFE INS. CO., ET AL. v. RESIDENTIAL FUNDING CO., LLC, ET AL.

On June 26, 2012, the court overruled defendants’ demurrer to plaintiff’s amended complaint in FEDERAL HOME LOAN BANK OF CHICAGO v. BANC OF AMERICA SECURITIES, LLC, ET AL.

On July 27, 2012, John Hancock Life Insurance Co. and several affiliated entities filed a complaint in the United States District Court for the District of Minnesota against various defendants, including CGM, asserting disclosure claims arising out of purchases of RMBS.

On August 29, 2012, the United States District Court for the Southern District of New York issued an order preliminarily approving the parties’ settlement in IN RE CITIGROUP INC. SECURITIES LITIGATION, pursuant to which Citigroup has agreed to pay $590 million. A fairness hearing is scheduled for January 15, 2013.

On August 30, 2012, Rentokil-Initial Pension Scheme filed a putative class action complaint against Citigroup on behalf of purchasers of 26 Citigroup offerings of medium term Euro Notes issued between October 12, 2005 and February 25, 2009. The complaint asserts claims under Section 90 of the Financial Services and Markets Act 2000 and includes allegations similar to those asserted in IN RE CITIGROUP INC. BOND LITIGATION.

On October 15, 2012, the United States District Court for the Southern District of New York granted lead plaintiffs’ amended motion for class certification in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL., having previously denied lead plaintiffs’ motion for class certification on January 18, 2011. Plaintiffs in this action allege violations of Sections 11, 12, and 15 of the Securities Act of 1933, as amended, and assert disclosure claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredited Loans, Inc. pursuant or traceable to prospectus materials filed on March 3, 2006 and April 3, 2007. CGM is one of the underwriter defendants.

Other Matters

Citigroup and Citibank, N.A., along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in the multidistrict litigation (MDL) proceeding before Judge Buchwald in the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION. Judge Buchwald has appointed interim lead class counsel for, and consolidated amended complaints have been filed on behalf of, three separate putative classes of plaintiffs: (1) OTC purchasers of derivative instruments tied to USD LIBOR; (2) purchasers of exchange-traded derivative instruments tied to USD LIBOR; and (3) indirect OTC purchasers of U.S. debt securities. Each of these putative classes alleges that the panel bank defendants conspired to suppress USD LIBOR in violation of the Sherman Act and/or the Commodity Exchange Act, thereby causing plaintiffs to suffer losses on the instruments they purchased. Also consolidated into the MDL proceeding are individual civil actions commenced by various Charles Schwab entities that allege that the panel bank defendants conspired to suppress the USD LIBOR rates in violation of the Sherman Act, the Racketeer Influenced and Corrupt Organizations Act, and California state law, causing the Schwab entities to suffer losses on USD LIBOR-linked financial instruments that they owned. Plaintiffs in these actions seek compensatory damages and restitution for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwab and OTC plaintiffs also seek injunctive relief.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of CGM. CGM may establish reserves from time to time in connections with such actions. Additional lawsuits containing claims similar to those described above may be filed in the future.

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012, other than as set forth below.

Speculative position and trading limits may reduce profitability.

The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person may hold or control in particular futures and options on futures. The trading instructions of an advisor may have to be modified, and positions held by the Partnership may have to be liquidated in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership by increasing transaction costs to liquidate positions and foregoing potential profits.

In October 2011, the CFTC adopted new rules governing position limits. In September 2012, these rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. It is possible, nevertheless, that these rules may take effect in some form via re-promulgation or a successful appeal by the CFTC of the District Court’s ruling. The vacated rules established position limits on certain futures contracts and any economically equivalent futures, options and swaps.

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

For the three months ended September 30, 2012, there were subscriptions of 5,587.7070 Redeemable Units of Class A totaling $6,228,771. 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. In determining the applicability of the exemption the General Partner relied on the fact that the Redeemable units were purchased by accredited investors in a private offering.

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

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

Period

(a) Total Class A

of Number of

Redeemable

Units Purchased*

(b) Class A

Average
Price Paid per
Redeemable Unit**

of Publicly

Announced

Plans or Programs

(d) Maximum Number

(or Approximate

Dollar Value) of

Redeemable Units

that May Yet Be

Purchased Under the

Plans or Programs

July 1, 2012 -

July 31, 2012

1,961.8080

$1,155.13

N/A

August 1, 2012 -

August 31, 2012

4,934.1030

$1,128.74

N/A

September 1, 2012 -

September 30, 2012

2,893.5380

$1,085.72

N/A

9,789.4490

$1,121.31

* Generally, limited partners are permitted to redeem their Redeemable Units as of the end 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.

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information

The registrant does not have a board of directors. The General Partner is managed by a board of directors.

Effective November 14, 2012, Mr. Damian George was appointed a director of the General Partner.

Damian George, age 45, has been a Director of the General Partner since November 2012. Since June 2012, Mr. George has been the Chief Financial Officer and a principal of the General Partner and is an associate member of the National Futures Association. Since August 2009, Mr. George has been employed by Morgan Stanley Smith Barney LLC, a financial services firm, where his responsibilities include oversight of budgeting, finance and Sarbanes-Oxley testing for the Alternative Investments–Managed Futures group. Since August 2009, Mr. George has been registered as an associated person of Morgan Stanley Smith Barney LLC. From November 2005 through July 2009, Mr. George was employed by Citi Alternative Investments, a division of Citigroup Inc. (“Citigroup”), a financial services firm, which administered Citigroup’s hedge fund and fund of funds business, where he served as Director and was responsible for budgeting, finance and Sarbanes-Oxley testing for the Hedge Fund Management group. From November 2004 through July 2009, Mr. George was registered as an associated person of CGM. Mr. George earned his Bachelor of Science degree in Accounting in May 1989 from Fordham University and his Master of Business Administration degree in International Finance in February 1998 from Fordham University. Mr. George is a Certified Public Accountant.

Item 6. Exhibits


3.1	(a)	Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

	(b)	Certificate of Amendment to 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 Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

	(c)	Certificate of Amendment to 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 Form 8-K filed on September 29, 2009 and incorporated herein by reference).

	(d)	Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on June 30, 2010 and incorporated herein by reference).

	(e)	Certificate of Amendment to Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference).

3.2	(a)	Third Amended and Restated Agreement of Limited Partnership, dated March 1, 2011 (filed as Exhibit 3.3(a) to the Form 10-Q filed on May 16, 2011 and incorporated herein by reference).

10.1		Customer Agreement between the Partnership, the General Partner and CGM, dated April 29, 2008 (filed as Exhibit 10.2 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

10.2	(a)	Amended and Restated Management Agreement between the Partnership, the General Partner and the Advisor, dated April 29, 2011 (filed as Exhibit 10.2 to the Form 8-K filed on May 2, 2011 and incorporated herein by reference).

	(b)	Letter from the General Partner extending Management Agreement with the Advisor for 2011, dated June 1, 2011 (filed as Exhibit 10.2(c) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference).

10.3		Agency Agreement between the Partnership, the General Partner and CGM, dated May 27, 2007 (filed as Exhibit 10.3 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference).

10.4		Form of Selling Agreement between the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Credit Suisse Securities, (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the Form 10-Q, filed on November 14, 2011 and incorporated herein by reference).

10.5		Form of Third Party Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

10.6		Form of Subscription Agreement (filed herewith).

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


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.

101.DEF		XBRL Taxonomy Extension Definition 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.

ABINGDON FUTURES FUND L.P.


By:		Ceres Managed Futures LLC
		(General Partner)

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

Date: November 14, 2012

By:		/s/ Damian George
		Damian George
		Chief Financial Officer and Director (Principal Accounting Officer)

Date: November 14, 2012

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