##### Table of Contents



UNITED STATES
    SECURITIES AND EXCHANGE COMMISSION
    WASHINGTON, D.C. 20549
  FORM 10-Q
  (X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
    15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
  For the quarterly period ended March 31, 2011
  OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR
    15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
  
  0-53210
  ABINGDON FUTURES FUND L.P.
    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 -
    14th
    Floor
 New York, New York 10036
    (212) 296-1999
      Yes X  No
    Yes   No
  Rule 12b-2
  Large accelerated filer

Accelerated filer

Non-accelerated filerX

Smaller reporting company  rule 12b-2
  Yes   No X




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##### 



ABINGDON FUTURES FUND L.P.
 FORM 10-Q
 INDEX
 PageNumberPART I - Financial Information:Item 1.


Financial Statements:Statements of Financial Condition at
March 31, 2011 (unaudited) and December 31, 2010

3Statements of Income and Expenses and Changes
in Partners Capital for the three  months ended
March 31, 2011 and 2010 (unaudited)

4Notes to Financial Statements, including the Financial Statements of CMF Winton Master L.P. (unaudited)

5  19Item 2.


Managements Discussion and Analysis of
Financial Condition and Results of Operations

20  22Item 3.


Quantitative and Qualitative Disclosures about Market Risk

23  24Item 4.


Controls and Procedures

25PART II - Other Information

26  29Exhibits EX - 31.1
    
    CertificationEX - 31.2
    
    CertificationEX - 32.1
    
    CertificationEX - 32.2
    
    CertificationEX-3.3.AEX-31.1EX-31.2EX-32.1EX-32.2
  2




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PART I
 
 Item 1. Financial Statements
 
 Abingdon Futures Fund L.P.
Statements of Financial Condition
 (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Investment in Master, at fair value
    
    $
    185,589,137
    
    
    $
    161,648,425Cash
    
    
    257,803
    
    
    
    223,010Total assets
    
    $
    185,846,940
    
    
    $
    161,871,435Liabilities and Partners CapitalLiabilities:Accrued expenses:Brokerage fees
    
    $
    696,926
    
    
    $
    607,018Management fees
    
    
    308,309
    
    
    
    268,559Administrative fees
    
    
    77,077
    
    
    
    67,140Other
    
    
    164,619
    
    
    
    128,893Redemptions payable
    
    
    7,550,545
    
    
    
    2,942,132Total liabilities
    
    
    8,797,476
    
    
    
    4,013,742Partners Capital:General Partner, 1,878.6760 unit equivalents outstanding at
March 31, 2011 and December 31, 2010
    
    
    2,200,925
    
    
    
    2,186,159Limited Partners, 149,248.6256 and 133,776.0295 Redeemable Units
outstanding at March 31, 2011 and December 31, 2010, respectively
    
    
    174,848,539
    
    
    
    155,671,534Total partners capital
    
    
    177,049,464
    
    
    
    157,857,693Total liabilities and partners capital
    
    $
    185,846,940
    
    
    $
    161,871,435Net asset value per unit
    
    $
    1,171.53
    
    
    $
    1,163.67
  3




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Abingdon Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
 Three MonthsEnded March 31,2011
    
    
    2010Investment Income:Interest income allocated from Master
    
    $
    34,037
    
    
    $
    15,263Expenses:Expenses allocated from Master
    
    
    30,709
    
    
    
    36,331Brokerage fees
    
    
    2,009,476
    
    
    
    1,415,782Management fees
    
    
    888,959
    
    
    
    626,201Administrative fees
    
    
    222,239
    
    
    
    156,550Other
    
    
    72,292
    
    
    
    82,070Total expenses
    
    
    3,223,675
    
    
    
    2,316,934Net investment income (loss)
    
    
    (3,189,638
    )
    
    
    (2,301,671
    )Trading
results:Net realized gains (losses) on closed contracts allocated from Master
    
    
    6,739,094
    
    
    
    1,362,478Change in net unrealized gains (losses) on open contracts allocated from Master
    
    
    (2,403,258
    )
    
    
    4,647,148Total
trading results allocated from Master
    
    
    4,335,836
    
    
    
    6,009,626Net income (loss)
    
    
    1,146,198
    
    
    
    3,707,955Subscriptions  Limited Partners
    
    
    30,851,703
    
    
    
    9,293,000Subscriptions  General Partner
    
    
    
    
    
    
    200,000Redemptions  Limited Partners
    
    
    (12,806,130
    )
    
    
    (5,550,042
    )Net increase
(decrease) in Partners Capital
    
    
    19,191,771
    
    
    
    7,650,913Partners Capital, beginning of period
    
    
    157,857,693
    
    
    
    120,785,979Partners Capital, end of period
    
    $
    177,049,464
    
    
    $
    128,436,892Net asset value per unit
(151,127.3016 and 117,009.1563 units
outstanding at March 31, 2011 and 2010, respectively)
    
    $
    1,171.53
    
    
    $
    1,097.67Net income (loss) per unit *
    
    $
    7.86
    
    
    $
    31.13Weighted average units outstanding
    
    
    151,700.3311
    
    
    
    117,545.6149
 
 *
    
    Based on change in net asset value per unit.  4




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Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 1. General:
         5




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
   6




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  CMF Winton Master L.P.
Statements of Financial Condition
 (Unaudited)March 31,
    
    
    December 31,2011
    
    
    2010Assets:Equity in trading account:Cash
    
    $
    872,482,889
    
    
    $
    807,251,910Cash margin
    
    
    50,922,271
    
    
    
    49,613,732Net unrealized appreciation on open futures contracts
    
    
    15,560,624
    
    
    
    23,451,496Net unrealized appreciation on open forward contracts
    
    
    
    
    
    
    3,491,675Options purchased, at fair value (cost $57,904 and $46,200
at March 31, 2011 and December 31, 2010, respectively)
    
    
    10,264
    
    
    
    33,670Total assets
    
    $
    938,976,048
    
    
    $
    883,842,483Liabilities and Partners Capital:Liabilities:Net unrealized depreciation on open forward contracts
    
    $
    790,644
    
    
    $
    Options premium received, at fair value (premium $111,855 and $85,275
at March 31, 2011 and December 31, 2010, respectively)
    
    
    23,517
    
    
    
    65,795Accrued expenses:Professional fees
    
    
    75,464
    
    
    
    56,817Total liabilities
    
    
    889,625
    
    
    
    122,612Partners Capital:General Partner, 0.0000 unit equivalents at March 31, 2011
and December 31, 2010
    
    
    
    
    
    
    Limited Partners, 405,970.1565 and 391,924.9266 units
outstanding at March 31, 2011 and December 31, 2010, respectively
    
    
    938,086,423
    
    
    
    883,719,871Total liabilities and partners capital
    
    $
    938,976,048
    
    
    $
    883,842,483Net asset value per unit
    
    $
    2,310.73
    
    
    $
    2,254.82
 7




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 CMF Winton Master L.P.
Condensed Schedule of Investments
March 31, 2011
(Unaudited)
 Notional ($)/Number of
    
    
    
    
    
    
    % of PartnersContracts
    
    

Fair
Value
    
    

CapitalFutures Contracts PurchasedCurrencies
    
    
    3,711
    
    
    $
    4,401,268
    
    
    
    0.47
    %Energy
    
    
    1,045
    
    
    
    2,584,608
    
    
    
    0.28Grains
    
    
    1,381
    
    
    
    258,933
    
    
    
    0.03Indices
    
    
    2,938
    
    
    
    4,709,455
    
    
    
    0.50Interest Rates U.S.
    
    
    1,923
    
    
    
    (374,349
    )
    
    
    (0.04
    )Interest Rates Non-U.S.
    
    
    1,108
    
    
    
    (37,196
    )
    
    
    (0.00
    )*Livestock
    
    
    64
    
    
    
    90,970
    
    
    
    0.01Metals
    
    
    633
    
    
    
    1,466,073
    
    
    
    0.15Softs
    
    
    177
    
    
    
    215,182
    
    
    
    0.02Total futures contracts purchased
    
    
    
    
    
    
    13,314,944
    
    
    
    1.42Futures Contracts SoldEnergy
    
    
    297
    
    
    
    (416,583
    )
    
    
    (0.04
    )Indices
    
    
    47
    
    
    
    4,789
    
    
    
    0.00
    *Interest Rates U.S.
    
    
    615
    
    
    
    (165,805
    )
    
    
    (0.02
    )Interest Rates Non-U.S.
    
    
    3,870
    
    
    
    2,116,029
    
    
    
    0.22Livestock
    
    
    48
    
    
    
    (106,848
    )
    
    
    (0.01
    )Softs
    
    
    398
    
    
    
    814,098
    
    
    
    0.09Total futures contracts sold
    
    
    
    
    
    
    2,245,680
    
    
    
    0.24Unrealized Appreciation on Open Forward
ContractsCurrencies
    
    $
    104,914,597
    
    
    
    431,178
    
    
    
    0.05Metals
    
    
    537
    
    
    
    1,434,070
    
    
    
    0.15Total unrealized appreciation on open forward
contracts
    
    
    
    
    
    
    1,865,248
    
    
    
    0.20Unrealized Depreciation on Open Forward
ContractsCurrencies
    
    $
    41,827,565
    
    
    
    (452,851
    )
    
    
    (0.05
    )Metals
    
    
    439
    
    
    
    (2,203,041
    )
    
    
    (0.24
    )Total unrealized depreciation on open forward
contracts
    
    
    
    
    
    
    (2,655,892
    )
    
    
    (0.29
    )Options PurchasedPutsIndices
    
    
    73
    
    
    
    10,264
    
    
    
    0.00
    *Total options purchased
    
    
    
    
    
    
    10,264
    
    
    
    0.00
    *Options Premium ReceivedPutsIndices
    
    
    73
    
    
    
    (23,517
    )
    
    
    (0.00
    )*Total options premium received
    
    
    
    
    
    
    (23,517
    )
    
    
    (0.00
    )*Net fair value
    
    
    
    
    
    $
    14,756,727
    
    
    
    1.57
    %
 
 *
    
    Due to rounding. 8




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Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 CMF Winton Master
    L.P.Condensed Schedule of InvestmentsDecember 31, 2010
   Notional ($)/Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


3,180


$
9,643,771



1.09
%Energy


853



1,746,824



0.20Grains


1,967



6,773,822



0.77Indices


3,730



802,802



0.09Interest Rates U.S.


460



75,260



0.01Interest Rates
    Non-U.S.


2,060



180,335



0.02Livestock


258



440,485



0.05Metals


661



5,059,533



0.57Softs


466



1,890,590



0.21Total futures contracts purchased






26,613,422



3.01Futures Contracts SoldCurrencies


619



(1,141,369
)


(0.13
)Energy


237



(565,450
)


(0.06
)Indices


145



66,307



0.01Interest Rates U.S.


1,002



(480,409
)


(0.05
)Interest Rates
    Non-U.S.


1,369



(1,041,005
)


(0.12
)Total futures contracts sold






(3,161,926
)


(0.35
)Unrealized Appreciation on Open Forward ContractsCurrencies

$
28,330,202



473,215



0.05Metals


686



6,967,880



0.79Total unrealized appreciation on open forward contracts






7,441,095



0.84Unrealized Depreciation on Open Forward ContractsCurrencies

$
59,051,932



(318,217
)


(0.04
)Metals


382



(3,631,203
)


(0.41
)Total unrealized depreciation on open forward contracts






(3,949,420
)


(0.45
)Options PurchasedPutsIndices


75



33,670



0.00
*Total options purchased






33,670



0.00
*Options Premium ReceivedPutsIndices


75



(65,795
)


(0.01
)Total options premium received






(65,795
)


(0.01
)Total fair value





$
26,911,046



3.04
% 
 *
    
    Due to rounding. 9




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 CMF Winton Master L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
 Three Months EndedMarch 31,2011
    
    
    2010Investment Income:Interest income
    
    $
    203,136
    
    
    $
    90,775Expenses:Clearing fees
    
    
    126,854
    
    
    
    169,844Professional fees
    
    
    29,997
    
    
    
    17,365Total expenses
    
    
    156,851
    
    
    
    187,209Net investment income (loss)
    
    
    46,285
    
    
    
    (96,434
    )Trading results:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    
    34,373,975
    
    
    
    7,610,946Change in net unrealized gains (losses) on open contracts
    
    
    (12,139,443
    )
    
    
    24,692,676Total trading results
    
    
    22,234,532
    
    
    
    32,303,622Net income (loss)
    
    
    22,280,817
    
    
    
    32,207,188Subscriptions  Limited Partners
    
    
    78,593,342
    
    
    
    118,054,225Redemptions  Limited Partners
    
    
    (46,304,471
    )
    
    
    (34,674,898
    )Distribution of interest income to feeder funds
    
    
    (203,136
    )
    
    
    (90,775
    )Net increase (decrease) in Partners Capital
    
    
    54,366,552
    
    
    
    115,495,740Partners Capital, beginning of period
    
    
    883,719,871
    
    
    
    574,408,313Partners Capital, end of period
    
    $
    938,086,423
    
    
    $
    689,904,053Net asset value per unit(405,970.1565 and 342,147.2055 units outstandingat March 31, 2011 and 2010, respectively)
    
    $
    2,310.73
    
    
    $
    2,016.40Net income (loss) per unit *
    
    $
    56.42
    
    
    $
    92.61Weighted average units outstanding
    
    
    404,074.2195
    
    
    
    334,646.8834
 
 *
    
    Based on changes in net asset value per unit 10




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 2.
    
    Financial Highlights:
  Three Months EndedMarch 31,2011
    
    
    2010Net realized and unrealized gains (losses) allocated from Master *
    
    $
    15.47
    
    
    $
    38.37Interest income allocated from Master
    
    
    0.23
    
    
    
    0.12Expenses **
    
    
    (7.84
    )
    
    
    (7.36
    )Increase (decrease) for the period
    
    
    7.86
    
    
    
    31.13Net asset value per  unit, beginning of period
    
    
    1,163.67
    
    
    
    1,066.54Net asset value per  unit, end of period
    
    $
    1,171.53
    
    
    $
    1,097.67
 
 *
    
    Includes Partnership brokerage fees and clearing fees allocated from
 Master.**
    
    Excludes Partnership brokerage fees and clearing fees allocated from
 Master. Three Months EndedMarch 31,2011
    
    
    2010Ratio to average net assets:***Net investment income (loss) before incentive fees****
    
    
    (7.6
    )%
    
    
    (7.6
    )%Operating expenses
    
    
    7.7
    %
    
    
    7.7
    %Incentive fees
    
    
    
    %
    
    
    
    %Total expenses
    
    
    7.7
    %
    
    
    7.7
    %Total return:Total return before incentive fees
    
    
    0.7
    %
    
    
    2.9
    %Incentive fees
    
    
    
    %
    
    
    
    %Total return after incentive fees
    
    
    0.7
    %
    
    
    2.9
    %
 
 ***
    
    Annualized (other than incentive fees).****
    
    Interest income allocated from Master less total expenses.  11




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  Three Months EndedMarch 31,2011
    
    
    2010Net realized and unrealized gains (losses) *
    
    $
    55.98
    
    
    $
    92.39Interest income
    
    
    0.51
    
    
    
    0.27Expenses **
    
    
    (0.07
    )
    
    
    (0.05
    )Increase (decrease) for the period
    
    
    56.42
    
    
    
    92.61Distribution of interest income to feeder funds
    
    
    (0.51
    )
    
    
    (0.27
    )Net asset value per unit, beginning of period
    
    
    2,254.82
    
    
    
    1,924.06Net asset value per unit, end of period
    
    $
    2,310.73
    
    
    $
    2,016.40
 
 *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months EndedMarch 31,2011
    
    
    2010Ratios to average net assets:***Net
investment income (loss)****
    
    
    0.0
    %*****
    
    
    (0.1
    )%Operating expenses
    
    
    0.1
    %
    
    
    0.1
    %Total return
    
    
    2.5
    %
    
    
    4.8
    %
 
 ***
    
    Annualized.****
    
    Interest income less total expenses.*****
    
    Due to rounding.  3.
    
    Trading Activities:
     12




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##### Table of Contents

\

Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  March 31, 2011AssetsFutures
ContractsCurrencies
    
    $
    4,764,588Energy
    
    
    2,610,668Grains
    
    
    1,225,130Indices
    
    
    4,773,135Interest Rates U.S.
    
    
    105,601Interest Rates Non-U.S.
    
    
    2,289,247Livestock
    
    
    90,970Metals
    
    
    1,775,743Softs
    
    
    1,244,682Total unrealized appreciation on open futures contracts
    
    $
    18,879,764LiabilitiesFutures
ContractsCurrencies
    
    $
    (363,320
    )Energy
    
    
    (442,643
    )Grains
    
    
    (966,197
    )Indices
    
    
    (58,891
    )Interest Rates U.S.
    
    
    (645,755
    )Interest Rates Non-U.S.
    
    
    (210,414
    )Livestock
    
    
    (106,848
    )Metals
    
    
    (309,670
    )Softs
    
    
    (215,402
    )Total unrealized depreciation on open futures contracts
    
    $
    (3,319,140
    )Net unrealized appreciation on open futures contracts
    
    $
    15,560,624
    *March 31, 2011AssetsForward
ContractsCurrencies
    
    $
    431,178Metals
    
    
    1,434,070Total unrealized appreciation on open forward contracts
    
    $
    1,865,248LiabilitiesForward
ContractsCurrencies
    
    $
    (452,851
    )Metals
    
    
    (2,203,041
    )Total unrealized depreciation on open forward contracts
    
    $
    (2,655,892
    )Net unrealized appreciation on open forward contracts
    
    $
    (790,644
    )**AssetsOptions
PurchasedIndices
    
    $
    10,264Total options purchased
    
    $
    10,264
    ***LiabilitiesOptions
Premium ReceivedIndices
    
    $
    (23,517
    )Total options premium received
    
    $
    (23,517
    )****
 
 *
    
    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. 13




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  December 31, 2010AssetsFutures ContractsCurrencies

$
9,644,271Energy


1,844,471Grains


6,777,945Indices


1,799,439Interest Rates U.S.


204,140Interest Rates
    Non-U.S.


455,439Livestock


440,768Metals


5,063,713Softs


1,906,919Total unrealized appreciation on open futures contracts

$
28,137,105LiabilitiesFutures ContractsCurrencies

$
(1,141,869
)Energy


(663,097
)Grains


(4,123
)Indices


(930,330
)Interest Rates U.S.


(609,289
)Interest Rates
    Non-U.S.


(1,316,109
)Livestock


(283
)Metals


(4,180
)Softs


(16,329
)Total unrealized depreciation on open futures contracts

$
(4,685,609
)Net unrealized appreciation on open futures contracts

$
23,451,496
*December 31, 2010AssetsForward ContractsCurrencies

$
473,215Metals


6,967,880Total unrealized appreciation on open forward contracts

$
7,441,095LiabilitiesForward ContractsCurrencies

$
(318,217
)Metals


(3,631,203
)Total unrealized depreciation on open forward contracts

$
(3,949,420
)Net unrealized appreciation on open forward contracts

$
3,491,675
**AssetsOptions PurchasedIndices

$
33,670Total options purchased

$
33,670
***LiabilitiesOptions Premium ReceivedIndices

$
(65,795
)Total options premium received

$
(65,795
)****   *
    
    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.  
  14




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
  Three Months EndedMarch 31,Sector
    

2011
    
    
    2010Currencies
    
    $
    (849,368
    )
    
    $
    9,979,296Energy
    
    
    13,818,350
    
    
    
    787,486Grains
    
    
    1,224,065
    
    
    
    1,251,692Indices
    
    
    5,485,757
    
    
    
    5,725,874Interest Rates U.S.
    
    
    (4,086,218
    )
    
    
    437,841Interest Rates Non-U.S.
    
    
    261,695
    
    
    
    8,557,012Livestock
    
    
    208,880
    
    
    
    86,010Metals
    
    
    2,777,281
    
    
    
    3,162,829Softs
    
    
    3,394,090
    
    
    
    2,315,582Total
    
    $
    22,234,532
    ****
    
    $
    32,303,622
    ****
 
 ****
    
    This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in
Partners Capital. 15




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 4.   Fair Value Measurements:
 Partnerships Investments.
 Partnerships
Fair Value Measurements.
    Quoted Pricesin Active Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    Unobservable3/31/2011
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Master
    
    $
    185,589,137
    
    
    $
    
    
    
    $
    185,589,137
    
    
    $
    Net fair value
    
    $
    185,589,137
    
    
    $
    
    
    
    $
    185,589,137
    
    
    $
    
 Quoted Pricesin Active Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    Unobservable12/31/2010
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Master
    
    $
    161,648,425
    
    
    $
    
    
    
    $
    161,648,425
    
    
    $
    Net fair value
    
    $
    161,648,425
    
    
    $
    
    
    
    $
    161,648,425
    
    
    $
    
 Masters Investments.
 16




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 Masters Fair Value
 Measurements.
    Quoted Prices in
    
    
    
    
    
    
    SignificantActive Markets for
    
    
    Significant Other
    
    
    UnobservableIdentical sets
    
    
    Observable Inputs
    
    
    Inputs3/31/2011
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures
    
    $
    18,879,764
    
    
    $
    18,879,764
    
    
    $
    
    
    
    $
    Forwards
    
    
    1,865,248
    
    
    
    1,434,070
    
    
    
    431,178
    
    
    
    Options purchased
    
    
    10,264
    
    
    
    10,264
    
    
    
    
    
    
    
    Total Assets
    
    
    20,755,276
    
    
    
    20,324,098
    
    
    
    431,178
    
    
    
    LiabilitiesFutures
    
    
    3,319,140
    
    
    
    3,319,140
    
    
    
    
    
    
    
    Forwards
    
    
    2,655,892
    
    
    
    2,203,041
    
    
    
    452,851
    
    
    
    Options premium
received
    
    
    23,517
    
    
    
    23,517
    
    
    
    
    
    
    
    Total Liabilities
    
    
    5,998,549
    
    
    
    5,545,698
    
    
    
    452,851
    
    
    
    Total fair value
    
    $
    14,756,727
    
    
    $
    14,778,400
    
    
    $
    (21,673
    )
    
    $
    
 Quoted Prices in
    
    
    
    
    
    
    SignificantActive Markets for
    
    
    Significant Other
    
    
    UnobservableIdentical sets
    
    
    Observable Inputs
    
    
    Inputs12/31/2010*
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures
    
    $
    28,137,105
    
    
    $
    28,137,105
    
    
    $
    
    
    
    $
    Forwards
    
    
    7,441,095
    
    
    
    6,967,880
    
    
    
    473,215
    
    
    
    Options purchased
    
    
    33,670
    
    
    
    33,670
    
    
    
    
    
    
    
    Total Assets
    
    
    35,611,870
    
    
    
    35,138,655
    
    
    
    473,215
    
    
    
    LiabilitiesFutures
    
    
    4,685,609
    
    
    
    4,685,609
    
    
    
    
    
    
    
    Forwards
    
    
    3,949,420
    
    
    
    3,631,203
    
    
    
    318,217
    
    
    
    Options premium
received
    
    
    65,795
    
    
    
    65,795
    
    
    
    
    
    
    
    Total Liabilities
    
    
    8,700,824
    
    
    
    8,382,607
    
    
    
    318,217
    
    
    
    Total fair value
    
    $
    26,911,046
    
    
    $
    26,756,048
    
    
    $
    154,998
    
    
    $
    
  
 5.   Financial Instrument Risks:
    17




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
     6. Critical
Accounting Policies:
 Use of Estimates.
 Partnerships Investments.
 Partnerships and the Masters Fair Value Measurements.
     Futures
Contracts.
 18




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
 Forward Foreign Currency Contracts
  London Metals Exchange Forward Contracts.
 Options.
 Income Taxes.
   Subsequent
Events.
 Net Income (Loss) per
 unit
 19




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##### Table of Contents



Item 2. Managements Discussion and Analysis of Financial Condition and Results of
Operations.
 Liquidity
and Capital Resources
      Critical Accounting Policies
   20




---



##### Table of Contents



Results of Operations
     21




---



##### Table of Contents



22




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##### Table of Contents



Item 3. Quantitative and Qualitative Disclosures about Market Risk
         March 31, 2011
 Three Months ended March 31, 2011% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    9,794,825
    
    
    
    1.04
    %
    
    $
    15,140,134
    
    
    $
    8,078,809
    
    
    $
    10,435,543Energy
    
    
    4,245,784
    
    
    
    0.45
    %
    
    
    4,245,784
    
    
    
    2,892,420
    
    
    
    3,605,810Grains
    
    
    2,874,571
    
    
    
    0.31
    %
    
    
    4,371,245
    
    
    
    2,837,661
    
    
    
    3,353,776Indices
    
    
    13,132,023
    
    
    
    1.40
    %
    
    
    17,629,694
    
    
    
    12,196,809
    
    
    
    15,223,697Interest Rates U.S.
    
    
    635,935
    
    
    
    0.07
    %
    
    
    1,592,375
    
    
    
    635,935
    
    
    
    1,052,308Interest Rates
Non-U.S.
    
    
    4,987,691
    
    
    
    0.53
    %
    
    
    6,560,642
    
    
    
    3,725,576
    
    
    
    6,008,676Livestock
    
    
    44,375
    
    
    
    0.00
    %**
    
    
    274,700
    
    
    
    44,375
    
    
    
    162,775Metals
    
    
    6,804,273
    
    
    
    0.73
    %
    
    
    7,869,347
    
    
    
    6,413,729
    
    
    
    7,090,013Softs
    
    
    1,220,236
    
    
    
    0.13
    %
    
    
    1,476,652
    
    
    
    463,289
    
    
    
    916,355Total
    
    $
    43,739,713
    
    
    
    4.66
    %
   23




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##### Table of Contents



December 31, 2010
    
    
    Twelve Months ended December 31, 2010Low
    
    
    Average% of Total
    
    
    High
    
    
    Value at
    
    
    Value atMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Risk
    
    
    Risk*Currencies
    
    $
    8,969,665
    
    
    
    1.01
    %
    
    $
    13,529,797
    
    
    $
    3,127,432
    
    
    $
    9,858,603Energy
    
    
    3,277,769
    
    
    
    0.37
    %
    
    
    4,944,082
    
    
    
    236,988
    
    
    
    2,213,508Grains
    
    
    3,992,796
    
    
    
    0.45
    %
    
    
    4,064,389
    
    
    
    556,164
    
    
    
    2,285,359Indices
    
    
    15,987,691
    
    
    
    1.81
    %
    
    
    22,020,780
    
    
    
    2,382,812
    
    
    
    12,021,182Interest Rates U.S.
    
    
    1,387,025
    
    
    
    0.16
    %
    
    
    10,348,050
    
    
    
    275,672
    
    
    
    5,195,958Interest Rates Non-U.S.
    
    
    3,521,207
    
    
    
    0.40
    %
    
    
    13,490,861
    
    
    
    1,949,046
    
    
    
    7,347,287Livestock
    
    
    268,200
    
    
    
    0.03
    %
    
    
    437,350
    
    
    
    158,080
    
    
    
    263,226Metals
    
    
    6,416,979
    
    
    
    0.73
    %
    
    
    8,963,451
    
    
    
    3,939,668
    
    
    
    5,989,765Softs
    
    
    1,393,632
    
    
    
    0.16
    %
    
    
    2,071,953
    
    
    
    538,916
    
    
    
    1,029,710Total
    
    $
    45,214,964
    
    
    
    5.12
    %
 
 *
    
    Annual average of month-end Value at Risk. 24




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##### Table of Contents



Item 4. Controls and Procedures
    internal control over financial reporting
 
    
    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.
  25




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##### Table of Contents



PART II. OTHER INFORMATION
 Item 1. Legal Proceedings
    Mutual Funds
    FINRA Settlement
  26




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##### Table of Contents



Auction Rate Securities
   Subprime Mortgage-Related Actions
    Credit Crisis Related Matters
    27




---



##### Table of Contents



Item 1A. Risk Factors
  Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
    (d) Maximum Number(or Approximate(c) Total Number
    
    
    Dollar Value) of(a) Total
    
    
    
    
    
    
    
    of Redeemable Units
    
    
    Redeemable Units thatNumber of
    
    
    (b) Average
    
    
    Purchased as Part
    
    
    May Yet BeRedeemable
    
    
    Price Paid per
    
    
    of Publicly Announced
    
    
    Purchased Under thePeriod
    
    
    Units Purchased*
    
    
    Redeemable Unit**
    
    
    Plans or Programs
    
    
    Plans or ProgramsJanuary 1,
2011 -
January 31, 2011
    
    
    
    2,359.6717
    
    
    
    $
    1,159.35
    
    
    
    
    N/A
    
    
    
    
    N/AFebruary 1,
2011 -
February 28, 2011
    
    
    
    2,140.0424
    
    
    
    $
    1,177.50
    
    
    
    
    N/A
    
    
    
    
    N/AMarch 1,
2011 -
March 31, 2011
    
    
    
    6,445.0294
    
    
    
    $
    1,171.53
    
    
    
    
    N/A
    
    
    
    
    N/A10,944.7435
    
    
    
    $
    1,170.07
   Item 3. Defaults Upon Senior Securities  None
 Item 4. [Removed and Reserved]
 Item 5. Other Information
  28




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##### Table of Contents



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).3.2
    
    (a)
    
    Second Amended and Restated Agreement of Limited Partnership, dated December 21, 2009 (filed as
Exhibit 3.1 to the Form 8-K filed on December 23, 2009 and incorporated herein by reference).3.3
    
    (a)
    
    Third Amended and Restated
Agreement of Limited Partnership, dated March 1, 2011 (filed herein).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)
    
    Management Agreement among the
Partnership, the General Partner and the Advisor, dated November 21, 2006 (filed as Exhibit 10.1 to the Registration on Form 10-12G filed on April 30, 2008 and
incorporated herein by reference).(b)
    
    Letter from the General Partner
extending Management Agreement with the Advisor for 2010, dated June 1, 2010 (filed as Exhibit 10.2(c) to
the Form 10-K filed on March 31, 2011 and incorporated herein by reference).(c)
    
    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).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 Third Party Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference).10.5
    
    
    
    Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference).10.6
    
    
    
    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).The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference31.1
    
    
    
    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)
 29




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##### Table of Contents



SIGNATURES
  ABINGDON FUTURES FUND L.P.By:
    Ceres Managed Futures LLC(General Partner)By:

/s/
Walter DavisWalter DavisPresident and DirectorDate: May 16, 2011By:
    /s/ Jennifer MagroJennifer MagroChief Financial Officer and Director
(Principal Accounting Officer)Date: May 16, 2011   30