##### 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 September 30, 2010
  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
September 30, 2010 (unaudited) and December 31, 2009

3Statements of Income and Expenses and Changes
in Partners Capital for the three and nine months ended September 30, 2010 and 2009 (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

23Item 4.


Controls and Procedures

24PART II - Other Information

25  27Exhibits EX - 31.1
    
    CertificationEX - 31.2
    
    CertificationEX - 32.1
    
    CertificationEX - 32.2
    
    CertificationEX-31.1EX-31.2EX-32.1EX-32.2
  2




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##### Table of Contents



PART I
 
 Item 1. Financial Statements
 
 Abingdon Futures Fund L.P.
Statements of Financial Condition
 (Unaudited)September 30,
    
    
    December 31,2010
    
    
    2009Assets:Investment in Master, at fair value
    
    $
    147,477,951
    
    
    $
    123,045,654Cash
    
    
    238,428
    
    
    
    250,959Total assets
    
    
    147,716,379
    
    
    $
    123,296,613Liabilities and Partners CapitalLiabilities:Accrued expenses:Brokerage fees
    
    $
    553,936
    
    
    $
    462,362Management fees
    
    
    245,028
    
    
    
    204,490Administrative fees
    
    
    61,257
    
    
    
    51,123Other
    
    
    145,755
    
    
    
    139,960Redemptions payable
    
    
    2,281,391
    
    
    
    1,652,699Total liabilities
    
    
    3,287,367
    
    
    
    2,510,634Partners Capital:General
Partner, 1,878.6760 and 1,689.1726 unit equivalents
outstanding at September 30, 2010
and December 31, 2009, respectively
    
    
    2,119,071
    
    
    
    1,801,570Limited Partners, 126,165.3773 and 111,560.6462 Redeemable Units outstanding at September 30, 2010
and December 31, 2009, respectively
    
    
    142,309,941
    
    
    
    118,984,409Total partners capital
    
    
    144,429,012
    
    
    
    120,785,979Total liabilities and partners capital
    
    $
    147,716,379
    
    
    $
    123,296,613Net asset
value per unit
    
    $
    1,127.96
    
    
    $
    1,066.54
  3




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##### Table of Contents



Abingdon Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
 Three Months
    
    
    Nine MonthsEnded September 30,
    
    
    Ended September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net realized gains (losses) on closed contracts allocated from Master
    
    $
    786,971
    
    
    $
    (1,895,240
    )
    
    $
    9,424,785
    
    
    $
    (9,062,306
    )Change in net unrealized gains (losses) on open contracts allocated from Master
    
    
    3,958,831
    
    
    
    3,636,122
    
    
    
    5,418,708
    
    
    
    1,875,545Interest income allocated from Master
    
    
    38,284
    
    
    
    26,695
    
    
    
    86,789
    
    
    
    79,377Expenses allocated from Master
    
    
    (32,521
    )
    
    
    (25,913
    )
    
    
    (109,607
    )
    
    
    (66,971
    )Total income (loss)
    
    
    4,751,565
    
    
    
    1,741,664
    
    
    
    14,820,675
    
    
    
    (7,174,355
    )Expenses:Brokerage fees
    
    
    1,618,953
    
    
    
    1,381,164
    
    
    
    4,561,932
    
    
    
    4,176,129Management fees
    
    
    716,114
    
    
    
    610,767
    
    
    
    2,017,931
    
    
    
    1,846,815Administrative fees
    
    
    179,029
    
    
    
    152,691
    
    
    
    504,482
    
    
    
    461,702Other
    
    
    68,410
    
    
    
    84,562
    
    
    
    229,582
    
    
    
    310,764Total expenses
    
    
    2,582,506
    
    
    
    2,229,184
    
    
    
    7,313,927
    
    
    
    6,795,410Net income (loss)
    
    
    2,169,059
    
    
    
    (487,520
    )
    
    
    7,506,748
    
    
    
    (13,969,765
    )Additions  Limited Partners
    
    
    13,501,500
    
    
    
    8,827,000
    
    
    
    34,647,500
    
    
    
    48,062,000Additions  General Partner
    
    
    
    
    
    
    
    
    
    
    200,000
    
    
    
    Redemptions  Limited Partners
    
    
    (9,248,905
    )
    
    
    (8,045,921
    )
    
    
    (18,711,215
    )
    
    
    (28,504,585
    )Net increase (decrease) in Partners Capital
    
    
    6,421,654
    
    
    
    293,559
    
    
    
    23,643,033
    
    
    
    5,587,650Partners Capital, beginning of period
    
    
    138,007,358
    
    
    
    120,039,091
    
    
    
    120,785,979
    
    
    
    114,745,000Partners Capital, end of period
    
    $
    144,429,012
    
    
    $
    120,332,650
    
    
    $
    144,429,012
    
    
    $
    120,332,650Net asset
value per unit
(128,044.0533 and 111,821.4860 units
outstanding at September 30, 2010 and 2009, respectively)
    
    $
    1,127.96
    
    
    $
    1,076.11
    
    
    $
    1,127.96
    
    
    $
    1,076.11Net income
(loss) per Redeemable Unit and
General Partner unit equivalents
    
    $
    16.93
    
    
    $
    (4.76
    )
    
    $
    61.42
    
    
    $
    (128.09
    )Weighted average units outstanding
    
    
    128,881.0191
    
    
    
    114,658.8977
    
    
    
    122,764.6729
    
    
    
    109,928.3141
  4




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 1. General:
         5




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
   6




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
  CMF Winton Master L.P.
Statements of Financial Condition
 (Unaudited)
September 30,
    
    
    December 31,2010
    
    
    2009Assets:Equity in trading account:Cash
    
    $
    700,014,244
    
    
    $
    533,704,028Cash margin
    
    
    68,980,823
    
    
    
    38,915,256Net unrealized appreciation on open futures contracts
    
    
    29,852,725
    
    
    
    144,283Net unrealized appreciation on open forward contracts
    
    
    751,322
    
    
    
    1,698,400Options
purchased, at fair value (cost $48,885 and $34,613
at September 30, 2010 and December 31, 2009, respectively)
    
    
    37,260
    
    
    
    17,723Total assets
    
    $
    799,636,374
    
    
    $
    574,479,690Liabilities and Partners Capital:Liabilities:Options
premium received, at fair value (premium $96,145 and $77,101 at
September 30, 2010 and December 31, 2009, respectively)
    
    
    77,115
    
    
    
    40,733Accrued expenses:Professional fees
    
    
    39,826
    
    
    
    30,644Total liabilities
    
    
    116,941
    
    
    
    71,377Partners Capital:General
Partner, 0.0000 unit equivalents at September 30, 2010
and December 31, 2009
    
    
    
    
    
    
    Limited Partners, 372,335.1656 and 298,540.2381 units outstanding at September 30, 2010 and December 31, 2009, respectively
    
    
    799,519,433
    
    
    
    574,408,313Total liabilities and partners capital
    
    $
    799,636,374
    
    
    $
    574,479,690Net asset
value per unit
    
    $
    2,147.31
    
    
    $
    1,924.06
 7




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 CMF Winton Master L.P.
Condensed Schedule of Investments
September 30, 2010
(Unaudited)
 Notional ($)/
Number of
    
    
    
    
    
    
    % of PartnersContracts
    
    
    Fair Value
    
    
    CapitalFutures Contracts PurchasedCurrencies
    
    
    4,349
    
    
    $
    11,752,393
    
    
    
    1.47
    %Energy
    
    
    160
    
    
    
    421,310
    
    
    
    0.05Grains
    
    
    2,467
    
    
    
    1,865,521
    
    
    
    0.23Indices
    
    
    3,000
    
    
    
    546,201
    
    
    
    0.07Interest Rates U.S.
    
    
    10,029
    
    
    
    10,911,608
    
    
    
    1.36Interest Rates Non-U.S.
    
    
    10,129
    
    
    
    2,079,258
    
    
    
    0.26Livestock
    
    
    448
    
    
    
    67,973
    
    
    
    0.01Metals
    
    
    1,050
    
    
    
    9,133,800
    
    
    
    1.14Softs
    
    
    175
    
    
    
    28,675
    
    
    
    0.00
    *Total futures contracts purchased
    
    
    
    
    
    
    36,806,739
    
    
    
    4.59Futures Contracts SoldCurrencies
    
    
    745
    
    
    
    (5,176,494
    )
    
    
    (0.65
    )Energy
    
    
    717
    
    
    
    (1,585,958
    )
    
    
    (0.20
    )Indices
    
    
    157
    
    
    
    (112,299
    )
    
    
    (0.01
    )Interest Rates Non-U.S.
    
    
    157
    
    
    
    (600
    )
    
    
    (0.00
    )*Softs
    
    
    460
    
    
    
    (78,663
    )
    
    
    (0.01
    )Total futures contracts sold
    
    
    
    
    
    
    (6,954,014
    )
    
    
    (0.87
    )Unrealized Appreciation on Open Forward ContractsCurrencies
    
    $
    45,745,333
    
    
    
    539,959
    
    
    
    0.07Metals
    
    
    274
    
    
    
    1,483,348
    
    
    
    0.19Total unrealized appreciation on open forward contracts
    
    
    
    
    
    
    2,023,307
    
    
    
    0.26Unrealized Depreciation on Open Forward ContractsCurrencies
    
    $
    25,942,664
    
    
    
    (246,671
    )
    
    
    (0.03
    )Metals
    
    
    165
    
    
    
    (1,025,314
    )
    
    
    (0.13
    )Total unrealized depreciation on open forward contracts
    
    
    
    
    
    
    (1,271,985
    )
    
    
    (0.16
    )Options PurchasedPutsIndices
    
    
    86
    
    
    
    37,260
    
    
    
    0.01Total options purchased
    
    
    
    
    
    
    37,260
    
    
    
    0.01Options Premium ReceivedPutsIndices
    
    
    86
    
    
    
    (77,115
    )
    
    
    (0.01
    )Total options premium received
    
    
    
    
    
    
    (77,115
    )
    
    
    (0.01
    )Total fair value
    
    
    
    
    
    $
    30,564,192
    
    
    
    3.82
    %
 
 *
    
    Due to rounding. 8




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 CMF Winton Master L.P.
Condensed Schedule of Investments
December 31, 2009
 Number of





% of PartnersContracts


Fair Value


CapitalFutures Contracts PurchasedCurrencies


2,173


$
(1,932,735
)


(0.34
)%Energy


81



105,489



0.02Grains


396



285,441



0.05Indices


3,920



2,883,282



0.50Interest Rates U.S.


1,552



(374,223
)


(0.06
)Interest Rates
    Non-U.S.


4,180



(115,797
)


(0.02
)Livestock


76



38,000



0.01Metals


664



(417,248
)


(0.07
)Softs


356



476,861



0.08Total futures contracts purchased






949,070



0.17Futures Contracts SoldCurrencies


227



(127,300
)


(0.02
)Energy


192



(494,271
)


(0.09
)Grains


501



(17,304
)


(0.00
)*Indices


12



(10,333
)


(0.00
)*Interest Rates U.S.


180



44,187



0.01Interest Rates
    Non-U.S.


166



(31,275
)


(0.01
)Livestock


111



(56,000
)


(0.01
)Softs


129



(112,491
)


(0.02
)Total futures contracts sold






(804,787
)


(0.14
)Unrealized Appreciation on Open Forward ContractsMetals


310



2,433,189



0.43Total unrealized appreciation on open forward contracts






2,433,189



0.43Unrealized Depreciation on Open Forward ContractsMetals


163



(734,789
)


(0.13
)Total unrealized depreciation on open forward contracts






(734,789
)


(0.13
)Options PurchasedPutsIndices


65



17,723



0.00
*Total options purchased






17,723



0.00Options Premium ReceivedPutsIndices


65



(40,733
)


(0.01
)Total options premium received






(40,733
)


(0.01
)Total fair value





$
1,819,673



0.32
% 
 *
    
    Due to rounding. 9




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 CMF Winton Master L.P.
Statements of Income and Expenses and Changes in Partners Capital

(Unaudited)
 Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    $
    4,515,767
    
    
    $
    (7,818,170
    )
    
    $
    51,771,595
    
    
    $
    (36,243,688
    )Change in net unrealized gains (losses) on open contracts
    
    
    21,535,038
    
    
    
    15,140,518
    
    
    
    28,749,291
    
    
    
    6,933,522Gain (loss) from trading, net
    
    
    26,050,805
    
    
    
    7,322,348
    
    
    
    80,520,886
    
    
    
    (29,310,166
    )Interest income
    
    
    239,637
    
    
    
    124,689
    
    
    
    538,018
    
    
    
    373,952Total income (loss)
    
    
    26,290,442
    
    
    
    7,447,037
    
    
    
    81,058,904
    
    
    
    (28,936,214
    )Expenses:Clearing fees
    
    
    147,999
    
    
    
    99,035
    
    
    
    503,702
    
    
    
    253,440Professional fees
    
    
    28,252
    
    
    
    8,728
    
    
    
    80,947
    
    
    
    27,410Total expenses
    
    
    176,251
    
    
    
    107,763
    
    
    
    584,649
    
    
    
    280,850Net income (loss)
    
    
    26,114,191
    
    
    
    7,339,274
    
    
    
    80,474,255
    
    
    
    (29,217,064
    )Additions  Limited Partners
    
    
    51,571,191
    
    
    
    60,412,948
    
    
    
    258,288,119
    
    
    
    190,738,991Redemptions  Limited Partners
    
    
    (38,471,822
    )
    
    
    (40,126,283
    )
    
    
    (113,113,236
    )
    
    
    (184,586,494
    )Distribution of interest income to feeder funds
    
    
    (239,637
    )
    
    
    (124,689
    )
    
    
    (538,018
    )
    
    
    (373,952
    )Net increase (decrease) in Partners Capital
    
    
    38,973,923
    
    
    
    27,501,250
    
    
    
    225,111,120
    
    
    
    (23,438,519
    )Partners Capital, beginning of period
    
    
    760,545,510
    
    
    
    496,811,774
    
    
    
    574,408,313
    
    
    
    547,751,543Partners Capital, end of period
    
    $
    799,519,433
    
    
    $
    524,313,024
    
    
    $
    799,519,433
    
    
    $
    524,313,024Net asset
value per unit 
(372,335.1656 and 274,881.5114 units outstanding
at September 30, 2010 and 2009, respectively)
    
    $
    2,147.31
    
    
    $
    1,907.41
    
    
    $
    2,147.31
    
    
    $
    1,907.41Net income
(loss) per unit
    
    $
    70.15
    
    
    $
    26.25
    
    
    $
    224.76
    
    
    $
    (112.46
    )Weighted average units outstanding
    
    
    377,043.0866
    
    
    
    279,170.7223
    
    
    
    358,649.4945
    
    
    
    279,196.2744
 10




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 2.
    
    Financial Highlights:
  Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized and unrealized gains (losses) allocated from Master *
    
    $
    24.16
    
    
    $
    2.42
    
    
    $
    83.26
    
    
    $
    (104.79
    )Interest income allocated from Master
    
    
    0.30
    
    
    
    0.24
    
    
    
    0.69
    
    
    
    0.73Expenses **
    
    
    (7.53
    )
    
    
    (7.42
    )
    
    
    (22.53
    )
    
    
    (24.03
    )Increase (decrease) for the period
    
    
    16.93
    
    
    
    (4.76
    )
    
    
    61.42
    
    
    
    (128.09
    )Net asset value per  unit, beginning of period
    
    
    1,111.03
    
    
    
    1,080.87
    
    
    
    1,066.54
    
    
    
    1,204.20Net asset value per  unit, end of period
    
    $
    1,127.96
    
    
    $
    1,076.11
    
    
    $
    1,127.96
    
    
    $
    1,076.11
 
 *
    
    Includes Partnership brokerage fees and clearing fees allocated from
 Master.**
    
    Excludes Partnership brokerage fees and clearing fees allocated from
 Master. Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Ratio to average net assets:***Net investment income (loss) before incentive fees****
    
    
    (7.3
    )%
    
    
    (7.4
    )%
    
    
    (7.5
    )%
    
    
    (7.6
    )%Operating expenses
    
    
    7.4
    %
    
    
    7.5
    %
    
    
    7.6
    %
    
    
    7.7
    %Incentive fees
    
    
    
    %
    
    
    
    %
    
    
    
    %
    
    
    
    %Total expenses
    
    
    7.4
    %
    
    
    7.5
    %
    
    
    7.6
    %
    
    
    7.7
    %Total return:Total return before incentive fees
    
    
    1.5
    %
    
    
    (0.4
    )%
    
    
    5.8
    %
    
    
    (10.6
    )%Incentive fees
    
    
    
    %
    
    
    
    %
    
    
    
    %
    
    
    
    %Total return after incentive fees
    
    
    1.5
    %
    
    
    (0.4
    )%
    
    
    5.8
    %
    
    
    (10.6
    )%
 
 ***
    
    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
September 30, 2010
(Unaudited)
  Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized and unrealized gains (losses) *
    
    $
    69.57
    
    
    $
    25.82
    
    
    $
    223.48
    
    
    $
    (113.76
    )Interest income
    
    
    0.65
    
    
    
    0.46
    
    
    
    1.51
    
    
    
    1.39Expenses **
    
    
    (0.07
    )
    
    
    (0.03
    )
    
    
    (0.23
    )
    
    
    (0.09
    )Increase (decrease) for the period
    
    
    70.15
    
    
    
    26.25
    
    
    
    224.76
    
    
    
    (112.46
    )Distribution of interest income to feeder funds
    
    
    (0.65
    )
    
    
    (0.46
    )
    
    
    (1.51
    )
    
    
    (1.39
    )Net asset value per unit, beginning of period
    
    
    2,077.81
    
    
    
    1,881.62
    
    
    
    1,924.06
    
    
    
    2,021.26Net asset value per unit, end of period
    
    $
    2,147.31
    
    
    $
    1,907.41
    
    
    $
    2,147.31
    
    
    $
    1,907.41
 
 *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Ratios to average net assets:***Net
investment income (loss)****
    
    
    0.0
    %*****
    
    
    0.0
    %*****
    
    
    (0.0
    )%*****
    
    
    0.0
    %*****Operating expenses
    
    
    0.1
    %
    
    
    0.1
    %
    
    
    0.1
    %
    
    
    0.1
    %Total return
    
    
    3.4
    %
    
    
    1.4
    %
    
    
    11.7
    %
    
    
    (5.6
    )%
 
 ***
    
    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
September 30, 2010
(Unaudited)
  September 30, 2010AssetsFutures ContractsCurrencies
    
    $
    11,832,741Energy
    
    
    880,485Grains
    
    
    2,993,329Indices
    
    
    1,088,799Interest Rates U.S.
    
    
    11,034,355Interest Rates Non-U.S.
    
    
    5,108,328Livestock
    
    
    188,330Metals
    
    
    9,134,690Softs
    
    
    271,957Total unrealized appreciation on open futures contracts
    
    $
    42,533,014LiabilitiesFutures ContractsCurrencies
    
    $
    (5,256,842
    )Energy
    
    
    (2,045,133
    )Grains
    
    
    (1,127,808
    )Indices
    
    
    (654,897
    )Interest Rates U.S.
    
    
    (122,747
    )Interest Rates Non-U.S.
    
    
    (3,029,670
    )Livestock
    
    
    (120,357
    )Metals
    
    
    (890
    )Softs
    
    
    (321,945
    )Total unrealized depreciation on open futures contracts
    
    $
    (12,680,289
    )Net unrealized appreciation on open futures contracts
    
    $
    29,852,725
    *September 30, 2010AssetsForward ContractsCurrencies
    
    $
    539,959Metals
    
    
    1,483,348Total unrealized appreciation on open forward contracts
    
    $
    2,023,307LiabilitiesForward ContractsCurrencies
    
    $
    (246,671
    )Metals
    
    
    (1,025,314
    )Total unrealized depreciation on open forward contracts
    
    $
    (1,271,985
    )Net unrealized appreciation on open forward contracts
    
    $
    751,322
    **AssetsOptions OwnedIndices
    
    $
    37,260Total options owned
    
    $
    37,260
    ***LiabilitiesOptions WrittenIndices
    
    $
    (77,115
    )Total options written
    
    $
    (77,115
    )****
 
 *
    
    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. 13




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 December 31, 2009AssetsFutures ContractsCurrencies

$
410,679Energy


128,203Grains


629,534Indices


3,222,389Interest Rates U.S.


639,524Interest Rates
    Non-U.S.


1,473,596Livestock


53,810Metals


771,738Softs


598,000Total unrealized appreciation on open futures contracts

$
7,927,473LiabilitiesFutures ContractsCurrencies

$
(2,470,714
)Energy


(516,987
)Grains


(361,398
)Indices


(349,439
)Interest Rates U.S.


(969,559
)Interest Rates
    Non-U.S.


(1,620,668
)Livestock


(71,810
)Metals


(1,188,985
)Softs


(233,630
)Total unrealized depreciation on open futures contracts

$
(7,783,190
)Net unrealized appreciation on open futures contracts

$
144,283
* December 31, 2009AssetsForward ContractsMetals

$
2,433,189Total unrealized appreciation on open forward contracts

$
2,433,189LiabilitiesForward ContractsMetals

$
(734,789
)Total unrealized depreciation on open forward contracts

$
(734,789
)Net unrealized appreciation on open forward contracts

$
1,698,400
**AssetsOptions PurchasedIndices

$
17,723Total options purchased

$
17,723
***LiabilitiesOptions Premium ReceivedIndices

$
(40,733
)Total options premium received

$
(40,733
)****  
  *
    
    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
September 30, 2010
(Unaudited)
  Three Months Ended
    
    
    Three Months Ended
    
    
    Nine Months Ended
    
    
    Nine Months EndedSeptember 30, 2010
    
    
    September 30, 2009
    
    
    September 30, 2010
    
    
    September 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    (3,994,348
    )
    
    $
    7,154,195
    
    
    $
    22,355,794
    
    
    $
    (860,139
    )Energy
    
    
    (5,518,499
    )
    
    
    (3,131,070
    )
    
    
    (13,818,858
    )
    
    
    (5,955,585
    )Grains
    
    
    (5,061,389
    )
    
    
    15,843
    
    
    
    (3,994,112
    )
    
    
    3,595,168Indices
    
    
    (1,821,598
    )
    
    
    (7,377,972
    )
    
    
    (17,490,188
    )
    
    
    (17,043,647
    )Interest Rates U.S.
    
    
    23,202,559
    
    
    
    3,241,481
    
    
    
    40,216,662
    
    
    
    (3,648,606
    )Interest Rates Non-U.S.
    
    
    14,344,001
    
    
    
    5,938,051
    
    
    
    44,624,569
    
    
    
    (862,634
    )Livestock
    
    
    399,058
    
    
    
    348,748
    
    
    
    (109,005
    )
    
    
    1,016,361Lumber
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    (4,378
    )Metals
    
    
    5,238,304
    
    
    
    1,534,478
    
    
    
    8,491,941
    
    
    
    (4,690,207
    )Softs
    
    
    (737,283
    )
    
    
    (401,406
    )
    
    
    244,083
    
    
    
    (856,499
    )Total
    
    $
    26,050,805
    *****
    
    $
    7,322,348
    *****
    
    $
    80,520,886
    *****
    
    $
    (29,310,166
    )*****
 
 *****
    
    This amount is in Gain(loss) from trading,
net 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
September 30, 2010
(Unaudited)
 4.   Fair Value Measurements :
 Partnerships Investments.
 Partnerships Fair Value Measurements.
   Quoted Pricesin Active Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    Unobservable9/30/2010
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Master
    
    $
    147,477,951
    
    
    $
    
    
    
    $
    147,477,951
    
    
    $
    Total fair value
    
    $
    147,477,951
    
    
    $
    
    
    
    $
    147,477,951
    
    
    $
    
 Quoted Pricesin Active Markets
    
    
    Significant Other
    
    
    Significantfor Identical
    
    
    Observable Inputs
    
    
    Unobservable12/31/2009
    
    
    Assets (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsInvestment in Master
    
    $
    123,045,654
    
    
    $
    
    
    
    $
    123,045,654
    
    
    $
    Total fair value
    
    $
    123,045,654
    
    
    $
    
    
    
    $
    123,045,654
    
    
    $
    
 Masters Investments.
 16




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
 Masters Fair Value Measurements.
  Quoted Prices in
    
    
    
    
    
    
    SignificantActive Markets for
    
    
    Significant Other
    
    
    UnobservableIdentical sets
    
    
    Observable Inputs
    
    
    Inputs9/30/2010
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures
    
    $
    29,852,725
    
    
    $
    29,852,725
    
    
    $
    
    
    
    $
    Forwards
    
    
    751,322
    
    
    
    458,034
    
    
    
    293,288
    
    
    
    Options purchased
    
    
    37,260
    
    
    
    37,260
    
    
    
    
    
    
    
    Total Assets
    
    
    30,641,307
    
    
    
    30,348,019
    
    
    
    293,288
    
    
    
    LiabilitiesOptions premium received
    
    
    77,115
    
    
    
    77,115
    
    
    
    
    
    
    
    Total Liabilities
    
    
    77,115
    
    
    
    77,115
    
    
    
    
    
    
    
    Total fair value
    
    $
    30,564,192
    
    
    $
    30,270,904
    
    
    $
    293,288
    
    
    $
    
 Quoted Prices in
    
    
    
    
    
    
    SignificantActive Markets for
    
    
    Significant Other
    
    
    UnobservableIdentical Assets
    
    
    Observable Inputs
    
    
    Inputs12/31/2009
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures
      
       $
144,283
       
      
       $
144,283
       
      
       $

       
      
       $
Forwards
      
       
         1,698,400
       
      
       
         1,698,400
       
      
       
         
       
      
       
         Options
purchased
      
       
         17,723
       
      
       
         17,723
       
      
       
         
       
      
       
         Total assets
      
       
         1,860,406
       
      
       
         1,860,406
       
      
       
         
       
      
       
         LiabilitiesOptions premium
received
      
       
         40,733
       
      
       
         40,733
       
      
       
         
       
      
       
         Total liabilities
      
       
         40,733
       
      
       
         40,733
       
      
       
         
       
      
       
         Total fair value
      
       $
1,819,673
       
      
       $
1,819,673
       
      
       $

       
      
       $
 5.   Financial Instrument Risks:
   17




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##### Table of Contents



Abingdon Futures Fund L.P.
Notes to Financial Statements
September 30, 2010
(Unaudited)
     6. Critical
Accounting Policies:
 Use of Estimates.
 Statement of Cash Flows.
 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
September 30, 2010
(Unaudited)
 Forward Foreign Currency Contracts
  London Metals Exchange Forward Contracts.
 Options.
 Income Taxes.
   Subsequent Events.
 Recent Accounting Pronouncements.
  Net Income (Loss) per
Redeemable Unit and General Partner Unit Equivalents
 7. Subsequent Event:
  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
 Partnerships Investments.
 Partnerships and the Masters Fair Value Measurements.
   Futures Contracts.
 20




---



##### Table of Contents



Forward Foreign Currency Contracts
  London Metals Exchange Forward Contracts.
 Options.
 Results of Operations
        21




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22




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##### Table of Contents



Item 3. Quantitative and Qualitative Disclosures about Market Risk
         September 30, 2010
(Unaudited)
 Three Months ended September 30, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Currencies
    
    $
    12,513,875
    
    
    
    1.57
    %
    
    $
    13,529,797
    
    
    $
    5,424,505
    
    
    $
    9,313,786Energy
    
    
    2,057,205
    
    
    
    0.26
    %
    
    
    3,640,200
    
    
    
    236,988
    
    
    
    1,971,144Grains
    
    
    3,529,016
    
    
    
    0.44
    %
    
    
    3,529,016
    
    
    
    556,164
    
    
    
    2,253,529Interest Rates U.S.
    
    
    8,956,850
    
    
    
    1.12
    %
    
    
    10,348,050
    
    
    
    7,407,050
    
    
    
    8,348,717Interest Rates Non-U.S.
    
    
    11,102,130
    
    
    
    1.39
    %
    
    
    13,490,861
    
    
    
    8,749,852
    
    
    
    10,172,949Livestock
    
    
    401,450
    
    
    
    0.05
    %
    
    
    401,450
    
    
    
    190,900
    
    
    
    286,400Metals
    
    
    6,530,911
    
    
    
    0.82
    %
    
    
    6,530,911
    
    
    
    3,939,668
    
    
    
    4,957,860Softs
    
    
    1,283,742
    
    
    
    0.16
    %
    
    
    1,283,742
    
    
    
    708,094
    
    
    
    1,055,530Indices
    
    
    12,569,037
    
    
    
    1.56
    %
    
    
    12,569,037
    
    
    
    2,382,812
    
    
    
    6,125,469Total
    
    $
    58,944,216
    
    
    
    7.37
    %
  23




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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.
  24




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##### Table of Contents



PART II. OTHER INFORMATION
 Item 1. Legal Proceedings
  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 ProgramsJuly 1, 2010 -
July 31, 2010
    
    
    
    3,617.6807
    
    
    
    $
    1,073.23
    
    
    
    
    N/A
    
    
    
    
    N/AAugust 1, 2010 -
August 31, 2010
    
    
    
    2,740.9976
    
    
    
    $
    1,125.47
    
    
    
    
    N/A
    
    
    
    
    N/ASeptember 1, 2010 -
September 30, 2010
    
    
    
    2,022.5816
    
    
    
    $
    1,127.96
    
    
    
    
    N/A
    
    
    
    
    N/A8,381.2599
    
    
    
    $
    1,103.52
   Item 3. Defaults Upon Senior Securities  None
 Item 4. [Removed and Reserved]
 Item 5. Other Information  None
 25




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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).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 Adviser, 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 Adviser for 2009, dated June 9, 2009 (filed as Exhibit 10.2(c) to the Form 10-K filed on March 31, 2010 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, Secretary and Director)32.1
    
    
    
    Section 1350 Certification (Certification of President and Director)32.2
    
    
    
    Section 1350 Certification
(Certification of Chief Financial Officer, Secretary and Director)
 26




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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: November 12, 2010By:
    /s/ Jennifer MagroJennifer MagroChief Financial Officer, Secretary and Director
(Principal Accounting Officer)Date: November 12, 2010   27