MANAGED FUTURES PREMIER WARRINGTON L.P. - FORM 10-Q

Attached files

file	filename
EXCEL - IDEA: XBRL DOCUMENT - MANAGED FUTURES PREMIER WARRINGTON L.P.	Financial_Report.xls
EX-32.2 - EX-32.2 - MANAGED FUTURES PREMIER WARRINGTON L.P.	y05250exv32w2.htm
EX-31.2 - EX-31.2 - MANAGED FUTURES PREMIER WARRINGTON L.P.	y05250exv31w2.htm
EX-32.1 - EX-32.1 - MANAGED FUTURES PREMIER WARRINGTON L.P.	y05250exv32w1.htm
EX-31.1 - EX-31.1 - MANAGED FUTURES PREMIER WARRINGTON L.P.	y05250exv31w1.htm

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, 2011

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 000-52603

WARRINGTON FUND L.P.

(Exact name of registrant as specified in its charter)


New York		20-3845577

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

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

(Address of principal executive offices) (Zip Code)

(212) 296-1999

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X No -

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X No -

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer -		Accelerated filer -		Non-accelerated filer X		Smaller reporting company -

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

Yes - No X

As of October 31, 2011, 150,582.1369 Limited Partnership Redeemable Units of Class A were outstanding, 4,629.5010 Limited Partnership Redeemable Units of Class D outstanding.

WARRINGTON FUND L.P.
FORM 10-Q
INDEX


			Page
			Number
PART I — Financial Information:

	Item 1.	Financial Statements:

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

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

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

		Notes to Financial Statements (unaudited)		7 – 13

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		14 – 16

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		17 – 18

	Item 4.	Controls and Procedures		19

PART II — Other Information				20 – 21

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

PART I

Item 1. Financial Statements

Warrington Fund L.P.

Statements of Financial Condition


	(Unaudited)
	September 30,		December 31,
	2011		2010
Assets:
Equity in trading account:
Cash	$	162,490,072	$	189,733,118
Cash margin		12,212,119		44,588,913
Options purchased, at fair value (cost $11,086,500 and $4,225,973 at September 30, 2011 and December 31, 2010, respectively)		15,485,000		1,517,063

Total trading equity		190,187,191		235,839,094
Interest receivable		0		15,288

Total assets	$	190,187,191	$	235,854,382


Liabilities and Partners’ Capital:
Liabilities:
Options premium received, at fair value (premium $13,415,560 and $6,851,750 at September 30, 2011 and December 31, 2010, respectively)	$	14,639,312	$	1,423,500
Accrued expenses:
Brokerage fees		548,587		732,597
Management fees		291,517		389,302
Administrative fees		72,879		97,326
Other		88,975		116,899
Redemptions payable		13,295,490		10,852,877

Total liabilities		28,936,760		13,612,501


Partners’ Capital:
General Partner, Class A, 2,463.8345 and 2,650.4783 unit equivalents outstanding at September 30, 2011 and December 31, 2010, respectively		2,538,070		2,692,303
Limited Partners, Class A, 154,070.6176 and 216,139.5211 Redeemable Units outstanding at September 30, 2011 and December 31, 2010, respectively		158,712,361		219,549,578

Total partners’ capital		161,250,431		222,241,881

Total liabilities and partners’ capital	$	190,187,191	$	235,854,382

Net asset value per unit, Class A	$	1,030.13	$	1,015.78

See accompanying notes to financial statements.

Warrington Fund L.P.

Condensed Schedule of Investments

September 30, 2011

(Unaudited)


	Number of					% of Partners’
	Contracts		Fair Value			Capital

Options Purchased
Indices
Calls		380	$	4,750			0.00	%*
Puts		2,470		15,480,250			9.60

Total options purchased				15,485,000			9.60

Options Premium Received
Indices
Calls		3,405		(42,562	)		(0.03	)
Puts		7,220		(14,596,750	)		(9.05	)

Total options premium received				(14,639,312	)		(9.08	)

Net fair value			$	845,688			0.52	%


*		Due to rounding.

See accompanying notes to financial statements.

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


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

Total options purchased				1,517,063			0.68

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

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

Net fair value			$	93,563			0.04	%

See accompanying notes to financial statements.

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


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Investment Income:
Interest income	$	5,284		$	67,225		$	54,439		$	170,633


Expenses:
Brokerage fees including clearing fees		1,850,418			2,627,210			6,324,696			8,450,172
Management fees		891,110			1,268,577			2,955,446			4,034,809
Administrative fees		222,777			317,144			738,861			1,008,703
Other		33,651			75,128			149,994			227,465

Total expenses		2,997,956			4,288,059			10,168,997			13,721,149

Net investment income (loss)		(2,992,672	)		(4,220,834	)		(10,114,558	)		(13,550,516	)


Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(9,002,200	)		8,753,275			13,349,800			(20,178,281	)
Change in net unrealized gains (losses) on open contracts		1,679,623			1,926,400			455,408			2,002,213

Total trading results		(7,322,577	)		10,679,675			13,805,208			(18,176,068	)

Net income (loss)		(10,315,249	)		6,458,841			3,690,650			(31,726,584	)
Subscriptions-Limited Partners		3,207,500			7,447,000			6,474,964			65,022,000
Subscriptions-General Partner		0			0			0			250,000
Redemptions-Limited Partners		(20,663,306	)		(20,710,415	)		(70,957,064	)		(53,079,958	)
Redemptions-General Partner		0			0			(200,000	)		0

Net increase (decrease) in Partners’ Capital		(27,771,055	)		(6,804,574	)		(60,991,450	)		(19,534,542	)
Partners’ Capital, Class A beginning of period		189,021,486			250,323,226			222,241,881			263,053,194

Partners’ Capital, Class A end of period	$	161,250,431		$	243,518,652		$	161,250,431		$	243,518,652

Net asset value per unit, Class A (156,534.4521 and 239,838.4977 units outstanding at September 30, 2011 and 2010, respectively)	$	1,030.13		$	1,015.34		$	1,030.13		$	1,015.34

Net income (loss) per unit*	$	(60.13	)	$	25.53		$	14.35		$	(118.27	)

Weighted average units outstanding		171,146.8666			252,023.6499			188,489.4886			250,751.1912


*		Based on change in net asset value per unit.

See accompanying notes to financial statements.

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

General:

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

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

On June 15, 2011, the Partnership began offering “Class A” units and “Class D“ units pursuant to the offering memorandum. All outstanding units on June 15,2011, were Class A units. The rights, powers, duties and obligations associated with the investment in Class A units were not changed. On October 1, 2011, the first Class D units were issued to Limited Partners Redeemable Units. Class A and Class D will each be referred to as a “Class” and collectively referred to as the “Classes”. The Class of Redeemable Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer units to investors at its discretion.

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

The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and loss of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions.

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

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

Financial Highlights:

Changes in net asset value per unit for Class A for the three and nine months ended September 30, 2011 and 2010 were as follows:


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Net realized and unrealized gains (losses) *	$	(53.45	)	$	31.85		$	34.50		$	(97.90	)
Interest income		0.03			0.26			0.27			0.67
Expenses and allocation to Special Limited Partner **		(6.71	)		(6.58	)		(20.42	)		(21.04	)

Increase (decrease) for the period		(60.13	)		25.53			14.35			(118.27	)
Net asset value per unit, Class A beginning of period		1,090.26			989.81			1,015.78			1,133.61

Net Asset value per unit, Class A end of period	$	1,030.13		$	1,015.34		$	1,030.13		$	1,015.34


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


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
Ratios to average net assets:***
Net investment income (loss) before allocation to Special Limited Partner ****		(6.8)	%		(6.8	)%		(7.0)	%		(6.9	)%

Operating expense		6.8	%		6.9	%		7.1	%		7.0	%
Allocation to Special Limited Partner		—	%		—	%		—	%		—	%

Total expenses		6.8	%		6.9	%		7.1	%		7.0	%


Total return :
Total return before allocation to Special Limited Partner		(5.5	)%		2.6	%		1.4	%		(10.4	)%
Allocation to Special Limited Partner		—			—			—			—

Total return after allocation to Special Limited Partner		(5.5	)%		2.6	%		1.4	%		(10.4	)%


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

****		Interest income less total expenses.

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

Trading Activities:

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

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

All of the commodity interests owned by the Partnership are held for trading purposes. The average number of futures contracts traded during the three months ended September 30, 2011 and 2010 based on a monthly calculation was 0. The average number of futures contracts traded during the nine months ended September 30, 2011 and 2010 based on a monthly calculation were 97 and 123, respectively. The average number of option contracts traded during the three months ended September 30, 2011 and 2010 based on a monthly calculation were 13,092 and 12,354, respectively. The average number of option contracts traded during the nine months ended September 30, 2011 and 2010 based on a monthly calculation were 16,435 and 14,127, respectively.

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

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

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


	September 30, 2011			December 31, 2010
Assets
Options Purchased
Indices	$	15,485,000		$	1,517,063

Total options purchased	$	15,485,000	*	$	1,517,063	*


Liabilities
Options Premium Received
Indices	$	(14,639,312	)	$	(1,423,500	)

Total options premium received	$	(14,639,312	)**	$	(1,423,500	)**


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

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

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


	Three Months Ended						Nine Months Ended
	September 30,						September 30,
Sector	2011			2010			2011			2010
Indices	$	(7,322,577	)	$	10,679,675		$	13,805,208		$	(18,176,068	)

Total	$	(7,322,577	)***	$	10,679,675	***	$	13,805,208	***	$	(18,176,068	)***


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

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

Fair Value Measurements:

Partnership’s Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded.

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

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


			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	September 30, 2011		(Level 1)		(Level 2)		(Level 3)
Assets
Options purchased	$	15,485,000	$	15,485,000	$	—	$	—

Total assets		15,485,000		15,485,000		—		—


Liabilities
Options premium received	$	14,639,312	$	14,639,312	$	—	$	—

Total liabilities		14,639,312		14,639,312		—		—

Net fair value	$	845,688	$	845,688	$	—	$	—


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

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

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

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

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

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

Financial Instrument Risks:

In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnership’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership does not consider these contracts to be guarantees.

The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

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

Critical Accounting Policies

Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

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

Options. The Partnership may purchase and write (sell), both exchange listed and OTC, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.

Warrington Fund L.P.

Notes to Financial Statements

September 30, 2011

(Unaudited)

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2008 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

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

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

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 U.S. 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 the 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, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership is currently evaluating the impact that this proposed update would have on the financial statements.

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


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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its equity in its trading account, consisting of cash, cash equivalents and options contracts. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a substantial decrease in liquidity, no such illiquidity occurred in the third quarter of 2011.

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

For the nine months ended September 30, 2011, the Partnership’s capital decreased approximately 27.4% from $222,241,881 to $161,250,431. This decrease was attributable to the redemption of 68,323.4846 Redeemable Units of Class A totaling $70,957,064 and 186.6438 General Partner unit equivalents of Class A totaling $200,000, which was partially offset by the net income from operations of $3,690,650 coupled with subscriptions of 6,254.5811 Redeemable Units of Class A totaling $6,474,964. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

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

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

Results of Operations

During the Partnership’s third quarter of 2011, the net asset value per unit of Class A decreased 5.5% from $1,090.26 to $1,030.13 as compared to an increase of 2.6% in the third quarter of 2010. The Partnership experienced a net trading loss before brokerage fees and related fees in the third quarter of 2011 of $7,322,577. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index Calls and the S&P 500 Index Puts, and were partially offset by gains in the S&P 500 Index futures. The Partnership experienced a net trading gain before brokerage fees and related fees in the third quarter of 2010 of $10,679,675. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures, and were partially offset by losses in the S&P 500 Index Calls and the S&P 500 Index Puts.

The Partnership recorded losses during the third quarter from ratio put spread positions in the S&P 500 Index. Losses were incurred from trading in the S&P 500 Index during July and August from ratio put spread positions as the S&P 500 Index declined on concerns regarding the financial health of the United States. Losses in July were incurred as the S&P 500 Index experienced significant volatility as the market rallied approximately 3% in the first six trading days followed by a decline of 5.1% at the end of the month, thus the Partnership’s ratio put spread positions were negatively impacted. Further losses were incurred as the S&P 500 Index declined by over 16% during the first six trading days of August forcing the Partnership to incur losses and hedge existing positions. A portion of the losses during the third quarter was offset by gains in September from trading ratio put spread positions in the S&P 500 Index. Further gains were recorded in September as continued volatility in the S&P 500 Index generated several significant market moves during the month enabling the Partnership to profit from spread positions in the S&P 500 Index. Gains during September were driven by the increased uncertainty in the financial markets as concerns about the U.S. economy, as well as the Greece crisis, weighed on investor confidence in U.S. equities.

During the Partnership’s nine months ended September 30, 2011, the net asset value per unit of Class A increased 1.4% from $1,015.78 to $1,030.13 as compared to a decrease of 10.4% for the nine months ended September 30, 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the nine months ended September 30, 2011 of $13,805,208. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures and were partially offset by losses in the S&P 500 Index Calls and the S&P 500 Index Puts. The Partnership experienced a net trading loss before brokerage fees and related fees in the nine months ended September 30, 2010 of $18,176,068. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index Calls and the S&P 500 Index Puts and were partially offset by gains in the S&P 500 Index futures.

Performance in January was slightly positive, though more significant gains were recorded trading S&P 500 Index futures and options in February and March. Gains were recorded in February and March as the overall market moved more in accordance with the good and bad news about the U.S. economy and companies’ earnings announcements. Further gains were recorded in April and May as the Partnership's ratio put spread positions benefited from a price decline in equities as poor economic data and concerns about a global growth slowdown weighed on the S&P 500 Index. Lastly, the Partnership recorded gains in September as continued volatility in the S&P 500 Index benefited ratio put spread positions as growing concerns about the global economy continued to weigh on the markets. A portion of these gains was offset by losses from trading ratio put spread positions in August as the S&P 500 index in August as ratio put spread positions suffered as the S&P 500 Index declined approximately 16% during the first 6 trading days of the month on growing concerns about the United States’ financial health, as well as the Greek debt crisis. Smaller losses were incurred by the Partnership in July.

Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increases the potential profit or loss. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership expects to increase capital through operations.

Interest income on 80% of the Partnership’s daily average equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days is paid to the Partnership. Interest income for the three and nine months ended September 30, 2011 decreased by $61,941 and $116,194, respectively, as compared to the corresponding periods in 2010. The decrease in interest income is due to lower U.S. Treasury bill rates and lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s account and upon interest rates over which neither the Partnership nor CGM has control.

Brokerage fees are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and nine months ended September 30, 2011 decreased by $776,792, and $2,125,476, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three and nine months ended September 30, 2011 decreased by $377,467 and $1,079,363, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

Administrative fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three and nine months ended September 30, 2011 decreased by $94,367, and $269,842, respectively, as compared to the corresponding periods in 2010. The decrease in administrative fees is due to lower average net assets during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.

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

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

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

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

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

Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Partnership’s open contracts by market category as of September 30, 2011 and December 31, 2010 and the highest, lowest and average values during the three months ended September 30, 2011, and twelve months ended December 31, 2010. All open contracts trading risk exposures of the Partnership have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2010. As of September 30, 2011, the Partnership’s total capital was $161,250,431.

September 30, 2011


						Three months ended September 30, 2011
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capital			Value at Risk		Value at Risk		Value at Risk*
Indices	$	10,446,245		6.48	%	$	86,626,240	$	5,101,770	$	31,334,250

Total	$	10,446,245		6.48	%


*		Average of month-end Values at Risk.

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

December 31, 2010


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

Total	$	35,745,980		16.08	%


*		Annual average of month-end Values at Risk.

Item 4. Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION


Item 1.		Legal Proceedings

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, 2010, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.

Subprime-Mortgage Related Actions

On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in connection with the SEC’s investigation into the structuring and sale of CDOs. Pursuant to the proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment interest, and a civil penalty of $95 million relating to CGM’s role in the structuring and sale of the Class V Funding III CDO transaction. Additional information relating to this matter is publicly available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.

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

For the three months ended September 30, 2011, there were subscriptions of 3,078.9546 Redeemable Units totaling $3,207,500. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D.

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

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

(d) Maximum Number

(c) Total Number

(or Approximate

Class A

of Shares (or

Dollar Value) of Shares

(a) Total Number

(b) Average

Redeemable Units)

(or Redeemable Units)

of Shares

Price Paid per

Purchased as Part

that May Yet Be

(or Redeemable

Share (or

of Publicly Announced

Purchased Under the

Period

Units) Purchased*

Redeemable Unit)**

Plans or Programs

July 1, 2011 – July 31, 2011

4,517.1750

$1,069.30

N/A

August 1, 2011 –
August 31, 2011

2,494.2756

1,017.37

N/A

September 1, 2011 –
September 30, 2011

12,906.6133

1,030.13

N/A

19,918.0639

1,037.42


*		Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption although, to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

**		Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities – None

Item 4. [Removed and Reserved]

Item 5. Other Information – None

Item 6. Exhibits


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

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

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

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

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

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

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

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

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

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

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

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

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

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

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


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

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

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

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

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

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

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

101. INS		XBRL Instance Document.

101. SCH		XBRL Taxonomy Extension Schema Document.

101. CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101. LAB		XBRL Taxonomy Extension Label Linkbase Document.

101. PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

WARRINGTON FUND L.P.


By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Walter Davis

		Walter Davis
		President and Director

Date:		November 14, 2011

By:		/s/ Brian Centner

		Brian Centner
		Chief Financial Officer
		(Principal Accounting Officer)

Date:		November 14, 2011

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MANAGED FUTURES PREMIER WARRINGTON L.P. Reports

MANAGED FUTURES PREMIER WARRINGTON L.P. - FORM 10-Q - November 14, 2011

Attached files

MANAGED FUTURES PREMIER WARRINGTON L.P. Reports