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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 June 30, 2011
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                      to                     
Commission File Number 000-52603
WARRINGTON FUND L.P.
 
(Exact name of registrant as specified in its charter)
     
New York   20-3845577
 
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification No.)
c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036
 
(Address of principal executive offices) (Zip Code)
(212) 296-1999
 
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes X  No -
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes X  No -
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
             
Large accelerated filer -   Accelerated filer -   Non-accelerated filer X
  Smaller reporting company -
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes -  No X
As of July 31, 2011, 166,936.0003 Limited Partnership Redeemable Units were outstanding.

 


 

WARRINGTON FUND L.P.
FORM 10-Q
INDEX
                 
            Page
            Number
PART I — Financial Information:        
 
               
 
  Item 1.   Financial Statements:      
 
               
 
      Statements of Financial Condition at
June 30, 2011 (unaudited) and December 31, 2010
    3  
 
               
 
      Condensed Schedules of Investments at
June 30, 2011 (unaudited) and December 31, 2010
    4 – 5  
 
               
 
      Statements of Income and Expenses and
Changes in Partners’ Capital for the three and six months ended June 30, 2011 and 2010 (unaudited)
    6  
 
               
 
      Notes to Financial Statements
(unaudited)
    7 – 12  
 
               
 
  Item 2.   Management’s Discussion and Analysis
of Financial Condition and Results of
Operations
    13 – 15  
 
               
 
  Item 3.   Quantitative and Qualitative Disclosures about Market Risk     16 – 17  
 
               
 
  Item 4.   Controls and Procedures     18  
 
               
PART II — Other Information     19 – 20  
 
               
Exhibits        
Ex. 31.1 Certification
       
Ex. 31.2 Certification
       
Ex. 32.1 Certification
       
Ex. 32.2 Certification
       
101. INS XBRL Instance Document.
101. SCH XBRL Taxonomy Extension Schema Document.
101. CAL XBRL Taxonomy Extension Calculation Linkbase Document.
101. LAB XBRL Taxonomy Extension Label Linkbase Document.
101. PRE XBRL Taxonomy Extension Presentation Linkbase Document.
 EX-3.2.B
 EX-31.1
 EX-31.2
 EX-32.1
 EX-32.2
 EX-101 INSTANCE DOCUMENT
 EX-101 SCHEMA DOCUMENT
 EX-101 CALCULATION LINKBASE DOCUMENT
 EX-101 LABELS LINKBASE DOCUMENT
 EX-101 PRESENTATION LINKBASE DOCUMENT
 EX-101 DEFINITION LINKBASE DOCUMENT

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

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Warrington Fund L.P.
Condensed Schedule of Investments
June 30, 2011
(Unaudited)
                         
    Number of             % of Partners’  
    Contracts     Fair Value     Capital  
 
                   
Options Premium Received
                       
Indices
                       
Calls
    6,800     $ (85,000 )     (0.04 )%
Puts
    2,610       (68,875 )     (0.04 )
 
                   
Total options premium received
            (153,875 )     (0.08 )
 
                   
 
                       
Net fair value
          $ (153,875 )     (0.08 )%
 
                   
See accompanying notes to financial statements.

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Table of Contents

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.

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Warrington Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
                                 
    Three Months Ended     Six Months Ended  
    June 30,     June 30,  
    2011     2010     2011     2010  
Investment Income:
                               
Interest income
  $ 7,195     $ 69,161     $ 49,155     $ 103,408  
 
                       
 
                               
Expenses:
                               
Brokerage fees including clearing fees
    2,066,535       2,906,507       4,474,278       5,822,962  
Management fees
    986,435       1,367,054       2,064,336       2,766,232  
Administrative fees
    246,609       341,764       516,084       691,559  
Other
    58,493       75,022       116,343       152,337  
 
                       
Total expenses
    3,358,072       4,690,347       7,171,041       9,433,090  
 
                       
Net investment income (loss)
    (3,350,877 )     (4,621,186 )     (7,121,886 )     (9,329,682 )
 
                       
 
                               
Trading Results:
                               
Net gains (losses) on trading of commodity interests:
                               
Net realized gains (losses) on closed contracts
    22,886,625       (44,700,770 )     22,352,000       (28,931,556 )
Change in net unrealized gains (losses) on open contracts
    (10,091,713 )     2,493,063       (1,224,215 )     75,813  
 
                       
Total trading results
    12,794,912       (42,207,707 )     21,127,785       (28,855,743 )
 
                       
Net income (loss)
    9,444,035       (46,828,893 )     14,005,899       (38,185,425 )
Subscriptions-Limited Partners
    1,463,664       32,902,000       3,267,464       57,575,000  
Subscriptions-General Partner
          250,000             250,000  
Redemptions-Limited Partners
    (22,505,750 )     (20,134,030 )     (50,293,758 )     (32,369,543 )
Redemptions-General Partner
    (200,000 )           (200,000 )      
 
                       
Net increase (decrease) in Partners’ Capital
    (11,798,051 )     (33,810,923 )     (33,220,395 )     (12,729,968 )
Partners’ Capital, beginning of period
    200,819,537       284,134,149       222,241,881       263,053,194  
 
                       
Partners’ Capital, end of period
  $ 189,021,486     $ 250,323,226     $ 189,021,486     $ 250,323,226  
 
                       
Net asset value per unit (173,373.5614 and 252,899.5544 units outstanding at June 30, 2011 and 2010, respectively)
  $ 1,090.26     $ 989.81     $ 1,090.26     $ 989.81  
 
                       
Net income (loss) per unit*
  $ 51.75     $ (179.77 )   $ 74.48     $ (143.80 )
 
                       
Weighted average units outstanding
    183,984.9144       259,436.6473       197,160.7995       250,114.9618  
 
                       
 
*   Based on change in net asset value per unit.
See accompanying notes to financial statements.

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Table of Contents

Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
1.   General:
Warrington Fund L.P. (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and options contracts. The Partnership trades futures in the stock indices sector. The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in of MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in of MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.
As of June 30, 2011, all trading decisions for the Partnership are made by Warrington Advisors, LLC (the “Advisor”). In addition, Warrington Trading LLC, an affiliate of the Advisor, is a special limited partner (the “Special Limited Partner”) of the Partnership.
The General Partner and each limited partner of the Partnership (each, a “Limited Partner”) share in the profits and loss of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of Partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions.
The Partnership’s trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America and foreign commodity exchanges. It engages in such trading through a commodity brokerage account maintained with CGM.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2011 and December 31, 2010 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

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Table of Contents

Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
2.   Financial Highlights:
Changes in net asset value per unit for the three and six months ended June 30, 2011 and 2010 were as follows:
                                 
    Three Months Ended     Six Months Ended  
    June 30,     June 30,  
    2011     2010     2011     2010  
Net realized and unrealized gains (losses) *
  $ 58.73     $ (173.16 )   $ 87.95     $ (129.75 )
Interest income
    0.04       0.27       0.24       0.41  
Expenses and allocation to Special Limited Partner **
    (7.02 )     (6.88 )     (13.71 )     (14.46 )
 
                       
Increase (decrease) for the period
    51.75       (179.77 )     74.48       (143.80 )
Net asset value per unit, beginning of period
    1,038.51       1,169.58       1,015.78       1,133.61  
 
                       
Net asset value per unit, end of period
  $ 1,090.26     $ 989.81     $ 1,090.26     $ 989.81  
 
                       
 
*   Includes brokerage fees including clearing fees.
**   Excludes brokerage fees including clearing fees.
                                 
    Three Months Ended     Six Months Ended  
    June 30,     June 30,  
    2011     2010     2011     2010  
Ratios to average net assets:***
                               
 
                               
Net investment income (loss) before allocation to Special Limited Partner****
    (7.0) %     (6.8 )%     (7.1) %     (7.0 )%
 
                       
 
   
Operating expense
    7.0 %     6.9 %     7.2 %     7.1 %
Allocation to Special Limited Partner
    %     %     %     %
 
                       
Total expenses
    7.0 %     6.9 %     7.2 %     7.1 %
 
                       
 
                               
Total return:
                               
Total return before allocation to Special Limited Partner
    5.0 %     (15.4 )%     7.3 %     (12.7 )%
Allocation to Special Limited Partner
    %     %     %     %
 
                       
Total return after allocation to Special Limited Partner
    5.0 %     (15.4 )%     7.3 %     (12.7 )%
 
                       
 
***   Annualized (except allocation to Special Limited Partner, if applicable).
 
****   Interest income less total expenses.
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.
3.   Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.
The Customer Agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership are held for trading purposes. The average number of futures contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 0 and 368, respectively. The average number of futures contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 145 and 184, respectively. The average number of option contracts traded during the three months ended June 30, 2011 and 2010 based on a monthly calculation were 13,452 and 13,814, respectively. The average number of option contracts traded during the six months ended June 30, 2011 and 2010 based on a monthly calculation were 18,107 and 15,014, respectively.
Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

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Table of Contents

Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
The following table indicates the gross fair values of derivative instruments of option contracts as separate assets and liabilities as of June 30, 2011 and December 31, 2010.
                 
    June 30, 2011     December 31, 2010  
Assets
           
Options Purchased
               
Indices
  $     $ 1,517,063  
 
           
Total options purchased
  $ *   $ 1,517,063 *
 
           
 
               
Liabilities
               
Options Premium Received
               
Indices
  $ (153,875 )   $ (1,423,500 )
 
           
Total options premium received
  $ (153,875 )**   $ (1,423,500 )**
 
           
 
*   This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.
 
**   This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2011 and 2010.
                                 
    Three Months Ended     Six Months Ended  
    June 30,     June 30,  
Sector   2011     2010     2011     2010  
Indices
  $ 12,794,912     $ (42,207,707 )   $ 21,127,785     $ (28,855,743 )
 
                       
Total
  $ 12,794,912 ***   $ (42,207,707) ***   $ 21,127,785 ***   $ (28,855,743) ***
 
                       
 
***   This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

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Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
4.   Fair Value Measurements:
Partnership’s Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
     Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Partnership’s Level 1 assets and liabilities are actively traded.
     The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of forwards and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
                                          
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    June 30, 2011     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
Liabilities
                               
Options premium received
  $ 153,875     $ 153,875     $     $  
 
                       
Total liabilities
    153,875       153,875              
 
                       
Net fair value
  $ (153,875 )   $ (153,875 )   $     $  
 
                       
                                          
            Quoted Prices in              
            Active Markets     Significant Other     Significant  
            for Identical     Observable Inputs     Unobservable  
    December 31, 2010     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
Assets
                               
Options purchased
  $ 1,517,063     $ 1,517,063     $     $  
 
                       
Total assets
  $ 1,517,063     $ 1,517,063     $     $  
 
                       
Liabilities
                               
Options premium received
  $ 1,423,500     $ 1,423,500     $     $  
 
                       
Total liabilities
    1,423,500       1,423,500              
 
                       
Net fair value
  $ 93,563     $ 93,563     $     $  
 
                       

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Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
5.   Financial Instrument Risks:
In the normal course of business, the Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
The risk to the Limited Partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership is exposed to market risk equal to the value of futures contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has credit risk and concentration risk, as the sole counterparty or broker with respect to the Partnership’s assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM, the Partnership’s counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership does not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Partnership’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and options positions by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s business, these instruments may not be held to maturity.
6.   Critical Accounting Policies
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

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Warrington Fund L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
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, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended June 30, 2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were priced by broker-dealers that derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
Options. The Partnership may purchase and write (sell), both exchange listed and OTC, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.
Subsequent Events.  The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between U.S GAAP and IFRS. However, some of the amendments clarify the FASB’s intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. The ASU is effective for annual and interim periods beginning after December 15, 2011 for public entities. This new guidance is not expected to have a material impact on the Partnership’s financial statements.
Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

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Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its equity in its trading account, consisting of cash, options contracts and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a substantial decrease in liquidity, no such illiquidity occurred in the second quarter of 2011.
The Partnership’s capital consists of capital contributions of its partners, as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2011, the Partnership’s capital decreased approximately 14.9% from $222,241,881 to $189,021,486. This decrease was attributable to the redemption of 48,405.4207 Redeemable Units totaling $50,293,758 and 186.6438 General Partner unit equivalents totaling $200,000, which was partially offset by the net income from operations of $14,005,899 coupled with subscriptions of 3,175.6265 Redeemable Units totaling $3,267,464. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
     The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 6 of the Financial Statements.
     The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

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Results of Operations
During the Partnership’s second quarter of 2011, the net asset value per unit increased 5.0% from $1,038.51 to $1,090.26 as compared to a decrease of 15.4% in the second quarter of 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the second quarter of 2011 of $12,794,912. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures and the S&P 500 Index Puts, and were partially offset by losses in the S&P 500 Index Calls. The Partnership experienced a net trading loss before brokerage fees and related fees in the second quarter of 2010 of $42,207,707. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index futures, the S&P 500 Index Calls and the S&P 500 Index Puts.
The Partnership generated positive gains during the second quarter of 2011, from ratio put spread positions in the S&P 500 Index. The S&P 500 Index generally declined during the latter half of April and most of May on fears of an economic slowdown in the United States and a Standard & Poor’s downgrade to their outlook for the AAA rating of U.S. Treasury debt. Further gains by the Partnership in May were recorded as the concerns that spurred the decline in the S&P 500 Index at the end of April continued. In May, ratio put spread positions profited as the S&P 500 Index declined 5.2% from the first trading day of the month to May 25th and the Partnership gradually reduced positions into the end of the month. June also saw gains but the S&P 500 Index rallied strongly during the latter two weeks of the month erasing some of the earlier profits made in the month.
During the Partnership’s six months ended June 30, 2011, the net asset value per unit increased 7.3% from $1,015.78 to $1,090.26 as compared to a decrease of 12.7% for the six months ended June 30, 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the six months ended June 30, 2011 of $21,127,785. Gains were primarily attributable to the trading of commodity futures in the S&P 500 Index futures and the S&P 500 Index Puts, and were partially offset by losses in the S&P 500 Index Calls. The Partnership experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2010 of $28,855,743. Losses were primarily attributable to the trading of commodity futures in the S&P 500 Index Puts and were partially offset by gains in the S&P 500 Index futures and the S&P 500 Index Calls.
During the six months ended 2011, performance in January was relatively flat, but modest gains were recorded trading the S&P 500 Index in February and March. The Partnership continued to experience positive returns in April and May, as well as during June. U.S. equity market volatility had abated heading into the New Year and remained at more moderate levels throughout the first quarter as the Partnership had some success trading in this type of market environment. Gains were generated in February and March as the overall market moved more in accordance with the good and bad news about the U.S. economy and earnings announcements. April and May also saw strong results by the Partnership as poor economic and job data and concerns about a global growth slowdown weighed on the S&P 500 Index. Ratio put spread positions in April and May were able to generate solid gains as the markets declined on fears of a U.S. debt downgrade, a continued debate about the U.S. debt ceiling and poor unemployment numbers released in June. Gains during April and May were largely driven by the two sharp declines in the S&P 500 Index in April and the majority of May as the Partnership held onto ratio put spread positions during this prolonged, gradual decline in the S&P 500 Index. June saw gains as well but the Partnership gave some of the gains back at the end of the month as the S&P 500 rallied during the last two weeks of the month.
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increases the potential profit or loss. The profitability of the Partnership depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership expects to increase capital through operations.
     Interest income on 80% of the Partnership’s daily average equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days is paid to the Partnership. Interest income for the three and six months ended June 30, 2011 decreased by $61,966 and $54,253, respectively as compared to the corresponding periods in 2010. The decrease in interest income is due to lower U.S. Treasury bill rates and lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership.

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Brokerage fees are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and six months ended June 30, 2011 decreased by $839,972, and $1,348,684, respectively, as compared to the corresponding periods in 2010. The decrease in brokerage fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.
Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three and six months ended June 30, 2011 decreased by $380,619, and $701,896, respectively, as compared to the corresponding periods in 2010. The decrease in management fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.
Administrative fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three and six months ended June 30, 2011 decreased by $95,155, and $175,475, respectively, as compared to the corresponding periods in 2010. The decrease in administrative fees is due to lower average net assets during the three and six months ended June 30, 2011, as compared to the corresponding periods in 2010.
Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits earned by the Advisor on behalf of the Partnership, at the end of the quarter, as defined in the advisory agreement among the Partnership, the General Partner and the Advisor. There were no profit share allocations made for the three and six months ended June 30, 2011 and 2010, respectively. The Special Limited Partner will not receive a profit share allocation until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
In allocating the assets of the Partnership to the Advisor, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.

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

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Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Partnership’s open contracts by market category as of June 30, 2011 and December 31, 2010 and the highest, lowest and average values during the three months ended June 30, 2011, and twelve months ended December 31, 2010. All open contracts trading risk exposures of the Partnership have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2010. As of June 30, 2011, the Partnership’s total capital was $189,021,486.
June 30, 2011
                                         
                    Three months ended June 30, 2011
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capital     Value at Risk     Value at Risk     Value at Risk*  
Indices
  $ 66,422,380       35.14 %   $ 114,886,613     $ 23,501,940     $ 75,079,918  
 
                                       
Total
  $ 66,422,380       35.14 %                        
 
                                       
 
*   Average of month-end Values at Risk.
     As of December 31, 2010, the Partnership’s total capitalization was $222,241,881.
December 31, 2010
                                         
                    Twelve months ended December 31, 2010
            % of Total     High     Low     Average *  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk  
Indices
  $ 35,745,980       16.08 %   $ 153,426,986     $ 1,694,925     $ 57,779,840  
 
                                   
Total
  $ 35,745,980       16.08 %                        
 
                                   
 
*   Annual average of month-end Values at Risk.

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Item 4.   Controls and Procedures
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (the “CEO”) and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
  pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
 
  provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and
 
  provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION
        
Item 1.   Legal Proceedings
      There are no material changes to the discussion set forth under Part I, Item 3, “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.

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Item 1A. Risk Factors
There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended June 30, 2011, there were subscriptions of 1,400.0475 Redeemable Units totaling $1,463,664. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D.
Proceeds of net offering were used in the trading of commodity interests including futures contracts and options.
     The following chart sets forth the purchases of Redeemable Units by the Partnership.
                                             
 
                                      (d) Maximum Number  
                            (c) Total Number     (or Approximate  
                            of Shares (or     Dollar Value) of Shares  
        (a) Total Number     (b) Average     Redeemable Units)     (or Redeemable Units)  
        of Shares     Price Paid per     Purchased as Part     that May Yet Be  
        (or Redeemable     Share (or     of Publicly Announced     Purchased Under the  
  Period     Units) Purchased*     Redeemable Unit)**     Plans or Programs     Plans or Programs  
 
April 1, 2011 – April 30, 2011
      12,763.1950         $1,050.39         N/A         N/A    
 
May 1, 2011 –
May 31, 2011
      5,985.4228       $ 1,071.56         N/A         N/A    
 
June 1, 2011 –
June 30, 2011
      2,463.3368       $ 1,090.26         N/A         N/A    
 
 
      21,211.9546       $ 1,060.99                        
 
 
*   Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption although, to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.
 
**   Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.
Item 3.   Defaults Upon Senior Securities – None
Item 4.   [Removed and Reserved]
Item 5.   Other Information
On June 15, 2011, the Partnership’s limited partnership agreement (the “Agreement”) was amended and restated to offer multiple classes of Redeemable Units and to incorporate other minor revisions into the Agreement.

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Item 6.   Exhibits
         
3.1
  (a)   Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York on November 21, 2005 (filed as Exhibit 3.1 to general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
 
  (c)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
 
       
 
  (d)   Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of New York, dated June 30, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).
 
       
3.2
  (a)   Third Amended and Restated Limited Partnership Agreement, dated December 21, 2009 (filed as Exhibit 3.2 to the current report on Form 8-K filed on December 21, 2009 and incorporated herein by reference).
 
       
  (b)   Fourth Amended and Restated Limited Partnership Agreement, dated June 15, 2011 (filed herewith)
 
       
10.1
  (a)   Management Agreement among the Partnership, the General Partner and Warrington, dated December 31, 2005 (filed as Exhibit 10.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
 
  (b)   Letter from the General Partner to Warrington extending Management Agreement for 2010 (filed as Exhibit 10.1(b) to the annual report on Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
       
10.2
      Customer Agreement between the Partnership, the General Partner and CGM, dated February 17, 2005 (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
10.3
      Amended and Restated Agency Agreement between the Partnership, the General Partner and CGM, dated April 26, 2007 (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference).
 
       
10.4
      Selling Agreement between the Partnership, the General Partner, CGM and Credit Suisse Securities (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.5
      Form of Subscription Agreement (filed as Exhibit 10.5 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.6
      Form of Third Party Subscription Agreement (filed as Exhibit 10.6 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.9
      Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC, dated June 1, 2009 (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and incorporated herein by reference).
 
       
10.10
      Escrow Agreement among the Partnership, the General Partner, CGM and JPMorgan Chase Bank, N.A., dated December 23, 2005 (filed as Exhibit 10.9 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 
       
10.11
      Selling Agreement dated January 6, 2011 by and among the Registrant, the General Partner, CGM and Baird (filed as Exhibit 10.11 to current report on Form 8-K filed on January 7, 2011).
 
       
10.12
      Services Agreement dated January 6, 2011 by and among the Registrant, the General Partner, CGM and Baird (filed as Exhibit 10.12 to current report on Form 8-K filed on January 7, 2011).
31.1   Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).
 
   
31.2   Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).
 
   
32.1   Section 1350 Certification (Certification of President and Director).
 
   
32.2   Section 1350 Certification (Certification of Chief Financial Officer and Director).
 
   
101. INS   XBRL Instance Document.
 
   
101. SCH   XBRL Taxonomy Extension Schema Document.
 
   
101. CAL   XBRL Taxonomy Extension Calculation Linkbase Document.
 
   
101. LAB   XBRL Taxonomy Extension Label Linkbase Document.
 
   
101. PRE   XBRL Taxonomy Extension Presentation Linkbase Document.

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Table of Contents

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
WARRINGTON FUND L.P.
         
By:
  Ceres Managed Futures LLC    
 
  (General Partner)    
 
       
By:
  /s/ Walter Davis    
     
 
  Walter Davis    
 
  President and Director    
 
       
Date:
  August 15, 2011
 
   
 
       
By:
  /s/ Jennifer Magro    
     
 
  Jennifer Magro    
 
  Chief Financial Officer and Director  
 
  (Principal Accounting Officer)    
 
       
Date:
  August 15, 2011