Managed Futures Premier Warrington 10-Q 2008 Q3 Quarterly report

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, 2008
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 Number000-52603

SMITH BARNEY 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 Citigroup Managed Futures LLC
55 East 59th Street – 10th Floor
New York, New York 10022

(Address of principal executive offices) (Zip Code)

(212) 559-2011

(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 is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See the definitions of “large accelerated filer” and “accelerated filer” in Rule12b-2 of the Exchange Act. (Check one):

Large accelerated filer   Accelerated filer   Non-accelerated filer X

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

Yes    No X

As of October 31, 2008, 243,929.4913 Limited Partnership Redeemable Units were outstanding.

SMITH BARNEY 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, 2008 and December 31, 2007 (unaudited)	3
	Schedules of Investments at September 30, 2008 and December 31, 2007 (unaudited)	4 – 5
	Statements of Income and Expenses and Partners’ Capital for the three and nine months ended September 30, 2008 and 2007 (unaudited)	6
	Notes to Financial Statements (unaudited)	7 – 10
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	11 – 13
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	14
Item 4T.	Controls and Procedures	15
PART II — Other Information		16 – 20

2

PART I

Item 1. Financial Statements

Smith Barney Warrington Fund L.P.
Statements of Financial Condition
(Unaudited)

	September 30,		December 31,
	2008		2007
Assets:
Equity in commodity futures trading account:
Cash	$	245,601,406	$	283,948,547
Cash margin		34,696,790		376,750
Commodity options owned, at fair value (cost $34,874,491 and $0 in 2008 and 2007, respectively)		37,510,600		—
Interest receivable		222,106		558,569
Total assets	$	318,030,902	$	284,883,866
Liabilities and Partners’ Capital:
Liabilities:
Commodity options written, at fair value (premium $23,899,125 and $825,425 in 2008 and 2007, respectively)	$	34,180,300	$	37,675
Accrued expenses:
Brokerage commissions		887,033		890,144
Management fees		471,400		473,067
Administrative fees		117,850		118,267
Other		123,744		115,828
Redemptions payable		4,360,312		3,021,944
Total liabilities		40,140,639		4,656,925
Partners’ Capital:
General Partner, 200.1037 and 1,831.1037 Unit equivalents outstanding in 2008 and 2007, respectively		220,534		2,287,891
Special Limited Partner, 0 and 4,127.7584 Redeemable Units of Limited Partnership Interest outstanding in 2008 and 2007, respectively		—		5,157,469
Limited Partners, 251,946.2313 and 218,318.9916 Redeemable Units of Limited Partnership Interest outstanding in 2008 and 2007, respectively		277,669,729		272,781,581
Total partners’ capital		277,890,263		280,226,941
Total liabilities and partners’ capital	$	318,030,902	$	284,883,866

See accompanying notes to financial statements.

3

Smith Barney Warrington Fund L.P.
Schedule of Investments
September 30, 2008
(Unaudited)

				% of Partners’
	Fair Value			Capital
Options Owned
Indices	$	37,510,600			13.50	%
Options Written
Indices		(34,180,300	)		(12.30	)
Total fair value	$	3,330,300			1.20	%

See accompanying notes to financial statements.

4

Smith Barney Warrington Fund L.P.
Schedule of Investments
December 31, 2007
(Unaudited)

				% of Partners’
	Fair Value			Capital
Options Written Indices	$	(37,675	)		(0.01	)%
Total fair value	$	(37,675	)		(0.01	)%

See accompanying notes to financial statements.

5

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

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2008			2007			2008			2007
Income:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed positions	$	(36,629,779	)	$	4,759,822		$	(14,006,419	)	$	(644,693	)
Change in net unrealized gains (losses) on open positions		(7,733,291	)		452,125			(8,432,816	)		5,155,689
Gain (loss) from trading, net		(44,363,070	)		5,211,947			(22,439,235	)		4,510,996
Interest income		958,317			2,170,536			3,078,412			7,880,561
Total income (loss)		(43,404,753	)		7,382,483			(19,360,823	)		12,391,557
Expenses:
Brokerage commissions, including clearing fees of $95,367, $228,655, $221,407 and $595,345, respectively		3,203,053			3,074,532			9,448,969			9,711,640
Management fees		1,560,131			1,257,498			4,616,951			4,252,489
Administrative fees		390,033			314,375			1,154,239			1,063,122
Other		85,903			181,267			251,267			209,038
Total expenses		5,239,120			4,827,672			15,471,426			15,236,289
Net income (loss) before allocation to Special Limited Partner		(48,643,873	)		2,554,811			(34,832,249	)		(2,844,723	)
Allocation to Special Limited Partner		—			—			(2,378,053	)		—
Net income (loss) after allocation to Special Limited Partner		(48,643,873	)		2,554,811			(37,210,302	)		(2,844,732	)
Additions—Limited Partners		18,290,000			3,801,000			81,761,635			26,270,630
Additions—Special Limited Partner		—			—			2,378,053			—
Redemptions—General Partner		—			—			(1,973,412	)		—
Redemptions—Limited Partners		(6,583,420	)		(30,895,527	)		(39,805,053	)		(77,936,303	)
Redemptions—Special Limited Partner		(5,429,797	)		—			(7,487,599	)		(785,163	)
Net increase (decrease) in Partners’ Capital		(42,367,090	)		(24,539,716	)		(2,336,678	)		(55,295,568	)
Partners’ Capital, beginning of period		320,257,353			266,563,555			280,226,941			297,319,407
Partners’ Capital, end of period	$	277,890,263		$	242,023,839		$	277,890,263		$	242,023,839
Net Asset Value per Unit (252,146.3350 and 216,115.4774 Units outstanding at September 30, 2008 and 2007, respectively)	$	1,102.10		$	1,119.88		$	1,102.10		$	1,119.88
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit Equivalent	$	(189.99	)	$	16.20		$	(147.36	)	$	2.13	*

* This amount shown per Redeemable Unit does not correspond with the loss presented above because of the timing of the additions of the Partnership’s Redeemable Units in relation to the fluctuating values of the Partnership’s commodity interests.

See accompanying notes to financial statements.

6

Smith Barney Warrington Fund L.P.
Notes to Financial Statements
September 30, 2008
(Unaudited)

1.   General:

Smith Barney Warrington Fund L.P. (the “Partnership”) is a limited partnership which was organized on November 28, 2005 under the partnership laws of the State of New York to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. 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 up to 400,000 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.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The Partnership’s commodity broker is Citigroup Global Markets Inc. (“CGM”). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (“CGMHI”), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. As of September 30, 2008, all trading decisions for the Partnership are made by Warrington Management L.P. (the “Advisor”). In addition, the Advisor is a Special Limited Partner of the Partnership.

The accompanying financial statements 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, 2008 and December 31, 2007 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2008 and 2007. 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 onForm 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2007.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. Actual results could differ from these estimates.

The Partnership has elected not to provide a Statement of Cash Flows as permitted by Statement of Financial Accounting Standards No. 102 “Statement of Cash Flows-Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

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.

2.   Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and nine months ended September 30, 2008 and 2007 were as follows:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2008			2007			2008			2007
Net realized and unrealized gains (losses)*	$	(185.74	)	$	14.48		$	(126.07	)	$	(6.53	)
Interest income		3.78			9.30			12.39			29.95
Expenses and allocation to Special Limited Partner**		(8.03	)		(7.58	)		(33.68	)		(21.29	)
Increase (decrease) for the period		(189.99	)		16.20			(147.36	)		2.13
Net Asset Value per Redeemable Unit, beginning of period		1,292.09			1,103.68			1,249.46			1,117.75
Net Asset Value per Redeemable Unit, end of period	$	1,102.10		$	1,119.88		$	1,102.10		$	1,119.88

*	Includes brokerage commissions.
**	Excludes brokerage commissions.

7

Smith Barney Warrington Fund L.P.
Notes to Financial Statements
September 30, 2008
(Unaudited)

2.   Financial Highlights (continued):

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2008			2007			2008			2007
Ratios to average net assets:***
Net investment income (loss) before allocation to Special Limited Partner****		(5.5	)%		(4.3	)%		(5.5	)%		(3.6	)%
Operating expense		6.7	%		7.7	%		6.9	%		7.4	%
Allocation to Special Limited Partner		—	%		—	%		0.8	%		—	%
Total expenses		6.7	%		7.7	%		7.7	%		7.4	%
Total return:
Total return before allocation to Special Limited Partner		(14.7	)%		1.5	%		(11.0	)%		0.2	%
Allocation to Special Limited Partner		—	%		—	%		(0.8	)%		—	%
Total return after allocation to Special Limited Partner		(14.7	)%		1.5	%		(11.8	)%		0.2	%

***  Annualized (except for 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 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 positions.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the nine months ended September 30, 2008 and the year ended December 31, 2007, based on a monthly calculation, were $932,453 and $2,373,193, respectively. The fair values of these commodity interests, including options thereon, if applicable, at September 30, 2008 and December 31, 2007, were $3,330,300 and $(37,675), respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair value deemed appropriate by the General Partner.

Brokerage commissions 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, additions and redemptions.

4.   Fair Value Measurements:

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

8

Smith Barney Warrington Fund L.P.
Notes to Financial Statements
September 30, 2008
(Unaudited)

measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income and Expenses and Partners’ Capital.

Fair Value Measurements.  The Partnership adopted Statements of Financial Accounting Standards No. 157,Fair Value Measurements(“SFAS 157”) as of January 1, 2008. SFAS 157 defines fair value 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. This statement establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. 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. The Partnership did not apply the deferral allowed by FASB Staff PositionsNo. FAS 157-2,Effective Date of FASB Statement No. 157, for nonfinancial assets and liabilities measured at fair value on a nonrecurring basis.

The Partnership considers prices for exchange traded commodity futures and options contracts to be based on 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 who derive fair values for those assets from observable inputs (Level 2). As of September 30, 2008, the Partnership did not hold any derivative instruments that are 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
	9/30/2008		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Options owned	$	37,510,600	$	37,510,600	$	—	$	—
Total Assets	$	37,510,600	$	37,510,600	$	—	$	—
Liabilities
Options written	$	34,180,300	$	34,180,300	$	—	$	—
Total liabilities		34,180,300		34,180,300		—		—
Total fair value	$	3,330,300	$	3,330,300	$	—	$	—

5.   Financial Instrument Risks:

In the normal course of its 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 forwards, 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 flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. 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.

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

9

Smith Barney Warrington Fund L.P.
Notes to Financial Statements
September 30, 2008
(Unaudited)

assets are traded. The Partnership is exposed to a market risk equal to the value of futures and forward 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. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership’s risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership’s assets is CGM.

The Advisor will concentrate the Partnership’s trading in stock index futures and options markets. Concentration in a limited number of commodity interests may subject the Partnership’s account to greater volatility than if a more diversified portfolio of contracts were traded on behalf of the Partnership.

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 as described in FASB Interpretation No. 45, “Guarantor’s Accounting and Disclosure Requirements for Guarantees” (“FIN 45”).

The General Partner monitors and controls 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 is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forward and option 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.

10

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 commodity futures trading account, consisting of cash, net unrealized appreciation on open futures and option 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 losses occurred in the third quarter of 2008.

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

For the nine months ended September 30, 2008, Partnership capital decreased approximately 0.8% from $280,226,941 to $277,890,263. This decrease was attributable to a net loss from operations of $37,210,302, coupled with the redemption of 28,222.8654 Redeemable Units of Limited Partnership Interest totaling $39,805,053 and 5,968.2288 Redeemable Units of Special Limited Partnership Interest totaling $7,487,599, and 1,631.0000 General Partner Unit equivalents totaling $1,973,412, which was partially offset by additional sales of 66,090.5755 Redeemable Units of Limited Partnership Interest totaling $81,761,635 and 1,840.4704 Redeemable Units of Special Limited Partnership Interest totaling $2,378,053. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

Use of Estimates.  The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. Actual results could differ from these estimates.

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 in equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income and Expenses and Partners’ Capital.

Fair Value Measurements.  For disclosures related to fair value measurements pursuant to SFAS 157, refer to note 4 in the notes to financial statements.

11

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

Options.  The Partnership may purchase and write (sell) options. 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.

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

In 2007, the Partnership adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 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” of being 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 the adoption of FIN 48 had no impact on the operations of the Partnership for the nine months ended September 30, 2008 and that no provision for income tax is required in the Partnership’s financial statements.

The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States – 2006.

Recent Accounting Pronouncements.  On March 19, 2008, Financial Accounting Standards Board released Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (FAS 161). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. The Standard expands the disclosure requirements for derivatives and hedged items and has no impact on how the Partnership accounts for derivatives (the Partnership does not have hedged items). Management is evaluating the enhanced disclosure requirements and does not believe that there will be any material impact on the financial statement disclosures.

Results of Operations

During the Partnership’s third quarter of 2008, the Net Asset Value per Redeemable Unit decreased approximately 14.7% from $1,292.09 to $1,102.10 as compared to an increase of 1.5% in the same period of 2007. The Partnership experienced a net trading loss (comprised of realized gains (losses) on closed positions and changes in unrealized gains (losses) on open positions) before brokerage commissions and related fees in the third quarter of 2008 of $44,363,070. Losses were primarily attributable to the trading of commodity futures in S&P 500 Index and S&P Puts and were partially offset by gains in S&P Calls. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2007 of $5,211,947. Gains were primarily attributable to the trading of commodity futures in S&P 500 Index and were partially offset by losses in S&P Calls and S&P Puts.

The third quarter of 2008 finished with one of the most unstable and volatile months in the history of the U.S. financial markets. During the quarter, the world’s credit markets virtually seized up, commodity prices plunged and most major equity indices declined significantly, while some of the largest U.S. financial institutions were under pressure. High volatility across most market sectors was a manifestation of investor fears and anxiety. The lingering but still powerful effect of the housing and sub-prime credit crisis continued to wreak havoc on Wall Street, while generating social and political acrimony across the U.S. as the nation debated the cost and merit of the government’s policy response. Amid these events, the Partnership suffered losses for the quarter from trading in the S&P 500 Index.

The Partnership’s strategy realized small profits in July and August as the equity index traded within a range with relatively low volatility. However, the final month in the quarter has proven to be the most difficult month in the Partnership’s history, roughly equivalent to the Partnership’s previous worst drawdown in 2001. During September, the average daily range in the market, both up and down, was 3.67% per day. This number is not artificially inflated by a single volatile day, but of the 21 trading days in the month, one third of them experienced daily ranges exceeding 4.3%, and no day had a range lower than 1.2%. To put that into perspective, since the credit crisis began in July 2007, the S&P 500 has averaged a 1.71% daily range. The market has not seen this kind of volatility in years, with July 2002 being the last month with an average daily range on par with September. While the Partnership is down for the year, it continues to outperform its underlying security, the S&P 500, and other equity market strategies.

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During the Partnership’s nine months ended September 30, 2008, the Net Asset Value per Redeemable Unit decreased approximately 11.8% from $1,249.46 to $1,102.10 as compared to an increase of 0.2% in the same period of 2007. The Partnership experienced a net trading loss (comprised of realized gains (losses) on closed positions and changes in unrealized gains (losses) on open positions) before brokerage commissions and related fees in the third quarter of 2008 of $22,439,235. Losses were primarily attributable to the trading of commodity futures in S&P 500 Index and S&P Puts and were partially offset by gains in S&P Calls. The partnership experienced a net trading gain before brokerage commissions and related fees in the nine months ended September 30, 2007 of $4,510,996. Gains were primarily attributable to the trading of commodity futures in S&P Index, and were partially offset by losses in S&P Calls and S&P Puts.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership 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 was earned at a30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on3-month U.S. Treasury bills maturing in 30 days. CGM may continue to maintain the Partnership’s assets in cashand/or place all of the Partnership’s assets in90-day Treasury bills and pay the Partnership 80% of the interest earned on the Treasury bills purchased. CGM will retain 20% of any interest earned on Treasury bills. Interest income for the three and nine months ended September 30, 2008 decreased by $1,212,219 and $4,802,149, respectively as compared to the corresponding periods in 2007. The decrease is due to lower U.S. Treasury bill rates during the three and nine months ended September 30, 2008, as compared to the corresponding periods in 2007.

Brokerage commissions are calculated on the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, additions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Commissions and fees for the three months ended September 30, 2008 increased by $128,521 as compared to the corresponding periods in 2007. The increase in brokerage commissions and fees is due to higher average net assets during the three months ended September 30, 2008, as compared to the corresponding period in 2007. Commissions and fees for the nine months ended September 30, 2008 decreased by $262,671, as compared to the corresponding periods in 2007. The decrease in brokerage commissions and fees is due to lower floor brokerage, exchange, clearing, give up, user and NFA fees which are payable on a per transaction basis during the nine months ended September 30, 2008, as compared to the corresponding periods in 2007.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for three and nine months ended September 30, 2008 increased by $302,633 and $364,462, respectively, as compared to the corresponding periods in 2007. The increase in management fees is due to higher average net assets during the three and nine months ended September 30, 2008, as compared to the corresponding periods in 2007.

Administrative fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Administrative fees for the three and nine months ended September 30, 2008 increased by $75,658 and $91,117, respectively, as compared to the corresponding periods in 2007. The increase in administrative fees is due to higher average net assets during the three and nine months ended September 30, 2008, as compared to the corresponding periods in 2007.

Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the advisory agreements between the Partnership, the General Partner and the Advisor. The profit share allocations for the three and nine months ended September 30, 2008 were $0 and $2,378,053, respectively. There were no profit share allocations earned for the three and nine months ended September 30, 2007.

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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.

Market movements result in frequent changes in the fair value of the Partnership’s open positions and, consequently, in its earnings and cash flow. 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 positions and the liquidity of the markets in which the Partnership 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 anyone-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.

The following table indicates the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2008 and the highest, lowest and average values during the three months ended September 30, 2008. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of September 30, 2008, the Partnership’s total capital was $277,890,263. There has been no material change in the trading Value at Risk information previously disclosed in the Annual Report onForm 10-K filed with the Securities Exchange Commission for the year ended December 31, 2007.

September 30, 2008

(Unaudited)

						Three months ended September 30, 2008
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capital			Value at Risk		Value at Risk		Value at Risk*
Indices	$	30,421,672		10.95	%	$	113,370,192	$	1,464,006	$	23,444,221
Total	$	30,421,672		10.95	%

* Average of month-end Values at Risk

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Item 4T.   Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934 (the “Exchange Act”) is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management 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 inRule 13a-15(e) and15d-15(e) under the Exchange Act) as of September 30, 2008 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’sinternal control over financial reportingis 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 U.S. generally accepted accounting principles. 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 U.S. generally accepted accounting principles, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

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

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended September 30, 2008 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

The following information supplements and amends our discussion set forth under Part I, Item 3 “Legal Proceedings” in our Annual Report onForm 10-K for the fiscal year ended December 31, 2007, as updated by our Quarterly Report onForm 10-Q for the quarters ended March 31, 2008 and June 30, 2008.

Research Analyst Litigation

     On September 30, 2008, the Court of Appeals for the Second Circuit vacated the District Court’s order granting class certification in the matter IN RE SALOMON ANALYST METROMEDIA. Thereafter, on October 1, 2008, the parties reached a settlement pursuant to which Citigroup will pay $35 million to members of the settlement class that purchased or otherwise acquired MFN securities during the class period. The settlement is subject to judicial approval. The proposed settlement amount is covered by existing litigation reserves.

Subprime-Mortgage-Related Litigation

     Citigroup Inc., Citigroup Global Markets Inc. and several current and former officers and directors, and numerous other financial institutions, have been named as defendants in a class action lawsuit filed on September 30, 2008, alleging violations of Sections 11, 12 and 15 of the Securities Act of 1933 arising out of offerings of Citigroup securities issued in 2006 and 2007. This action, LOUISIANA SHERIFFS’ PENSION AND RELIEF FUND v. CITIGROUP INC., et al., is currently pending in New York state court.

     Citigroup Global Markets Inc., along with numerous other firms, has been named as a defendant in several lawsuits by shareholders of Ambac Financial Group, Inc. for which CGMI underwrote securities offerings. These actions assert that CGMI violated Sections 11 and 12 of the Securities Act of 1933 arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with those offerings. Several of these actions have been consolidated under the caption IN RE AMBAC FINANCIAL GROUP, INC. SECURITIES LITIGATION, pending in the United States District Court for the Southern District of New York, and in which a consolidated amended class action complaint was filed on August 22, 2008.

     On September 12, 2008, defendants, including Citigroup Inc. and Citigroup Global Markets Inc., moved to dismiss the complaint in IN RE AMERICAN HOME MORTGAGE SECURITIES LITIGATION.

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Auction Rate Securities-Related Litigation

     On September 19, 2008, MILLER v. CALAMOS GLOBAL DYNAMIC INCOME FUND, et al., which had been pending in the United States District Court for the Southern District of New York and in which Citigroup Global Markets Inc. had been named as a defendant, was voluntarily dismissed.

     On August 25, 2008, Lead Plaintiffs in IN RE CITIGROUP AUCTION RATE SECURITIES LITIGATION, pending in the United States District Court for the Southern District of New York, filed an amended consolidated class action complaint.

     Citigroup Inc. and Citigroup Global Markets Inc., along with numerous other financial institutions, have been named as defendants in several lawsuits alleging that defendants artificially restrained trade in the market for auction rate securities in violation of the Sherman Act. These actions are (1) MAYOR AND CITY COUNCIL OF BALTIMORE, MARYLAND v. CITIGROUP INC., et al., and (2) MAYFIELD v. CITIGROUP INC., et al., and both are pending in the United States District Court for the Southern District of New York.

     On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the Securities and Exchange Commission, and other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par ARS that are not auctioning from all Citigroup individual investors, small institutions (as defined by the terms of the settlement), and charities that purchased ARS from Citigroup prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State of New York and a $50 million fine to the other state regulatory agencies.

     A consolidated amended class action complaint was filed in IN RE MAT FIVE SECURITIES LITIGATION on October 2, 2008.

     On July 21, 2008, the Court approved the voluntary dismissal without prejudice of FERGUSON FAMILY TRUST v. FALCON STRATEGIES TWO LLC, et al.

     Citigroup and its administration and investment committees filed a motion to dismiss the purported class action complaint in LEBER v. CITIGROUP, INC., et al., on August 29, 2008. The motion is currently pending.

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Item 1A.   Risk Factors

There are no material changes from the risk factors set forth under Part  I, Item 1A. “Risk Factors” in our Annual Report onForm 10-K for the fiscal year ended December 31, 2007 and under Part II, Item 1A. “Risk Factors” in our Quarterly Report on Form 10-Q for the quarters ended March 31, 2008 and June 30, 2008.

In June 2008, several bills were proposed in the U.S. Congress in response to record energy and agricultural prices. Some of the pending legislation, if enacted, could limit trading by speculators in futures markets. Other potentially adverse regulatory initiatives could develop suddenly and without notice. At this time management is unable to determine the potential impact on the Partnership.

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

For the three months ended September 30, 2008, there were additional sales of 14,174.4738 Redeemable Units totaling $18,290,000. 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 units were purchased by accredited investors as defined in Regulation D.

Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options and forwards contracts.

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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
July 1, 2008 – July 31, 2008	3,867.6405	$1,291.64	N/A	N/A
August 1, 2008 – August 31, 2008	2,064.0873	$1,287.40	N/A	N/A
September 1, 2008 – September 30, 2008	3,956.3670	$1,102.10	N/A	N/A
	9,888.0948	$1,214.92

*

Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

**

Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day.

Item 3.   Defaults Upon Senior Securities – None

Item 4.   Submission of Matters to a Vote of Security Holders – None

Item 5.   Other Information – None

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Item 6.   Exhibits

The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibit index of the Annual Report onForm 10-K for the year ended December 31, 2007 and quarterly report on Form 10-Q for the quarters ended March 31, 2008 and June 30, 2008.

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

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

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

Exhibit – 32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director).

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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.

SMITH BARNEY WARRINGTON FUND L.P.

By:  Citigroup Managed Futures LLC

(General Partner)

By:  /s/  Jerry Pascucci

Jerry Pascucci

President and Director

Date:  November 14, 2008

By:  /s/  Jennifer Magro

Jennifer Magro

Chief Financial Officer and Director

Date:  November 14, 2008

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