Ceres Abingdon (ABFF) 10-Q 2009 Q2 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 June 30, 2009

OR ( ) TRANSITION REPORT PURSUANT SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          

Commission File Number0-53210

CITIGROUP ABINGDON FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York	20-3845005
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Citigroup Managed Futures LLC

55 East 59^th Street - 10^th 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 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    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” inRule 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 inrule 12b-2 of the Exchange Act).

Yes     No X

As of July 31, 2009, 108,465.4888 Limited Partnership Redeemable Units were outstanding.

CITIGROUP ABINGDON FUTURES FUND L.P.

FORM 10-Q

INDEX

			Page
			Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Statements of Financial Condition at June 30, 2009 and December 31, 2008 (unaudited)	3
		Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2009 and 2008 (unaudited)	4
		Notes to Financial Statements, including the Financial Statements of CMF Winton Master L.P. (unaudited)	5 – 14
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	15 – 18
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	19 – 20
	Item 4T.	Controls and Procedures	21
PART II - Other Information			22 – 25
Exhibits
EX-10: Joinder Agreement
EX-31.1: Certification
EX-31.2: Certification
EX-32.1: Certification
EX-32.2: Certification

2

PART I

Item 1. Financial Statements

Citigroup Abingdon Futures Fund L.P.
Statements of Financial Condition
(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Investment in Master, at fair value	$	123,554,519	$	119,196,221
Cash		221,718		123,784
Total assets	$	123,776,237	$	119,320,005
Liabilities and Partners’ Capital
Liabilities:
Accrued expenses:
Brokerage commissions	$	464,161	$	447,450
Management fees		205,289		197,963
Administrative fees		51,322		49,491
Incentive fees		—		379,396
Other		138,905		94,701
Redemptions payable		2,877,469		3,406,004
Total liabilities		3,737,146		4,575,005
Partners’ Capital:
General Partner, 2,621.7839 Unit equivalent outstanding at June 30, 2009 and December 31, 2008, respectively		2,833,808		3,157,152
Limited Partners, 108,436.1614 and 92,665.2839 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		117,205,283		111,587,848
Total partners’ capital		120,039,091		114,745,000
Total liabilities and partners’ capital	$	123,776,237	$	119,320,005

See accompanying notes to financial statements.

3

Citigroup Abingdon Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

	Three Months						Six Months
	Ended June 30,						Ended June 30,
	2009			2008			2009			2008
Income:
Net realized gains (losses) on closed contracts allocated from Master	$	(8,369,573	)	$	2,377,235		$	(7,167,066	)	$	17,382,512
Change in net unrealized gains (losses) on open contracts allocated from Master		527,094			5,710,634			(1,760,577	)		3,391,342
Interest income allocated from Master		25,359			334,168			52,682			764,387
Expenses allocated from Master		(23,711	)		(26,576	)		(41,058	)		(66,612	)
Total income (loss)		(7,840,831	)		8,395,461			(8,916,019	)		21,471,629
Expenses:
Brokerage commissions		1,400,821			1,309,912			2,794,965			2,516,167
Management fees		619,487			579,835			1,236,048			1,113,766
Administrative fees		154,871			144,959			309,011			278,442
Incentive fees		—			1,194,909			—			3,341,970
Other		87,607			52,896			226,202			90,989
Total expenses		2,262,786			3,282,511			4,566,226			7,341,334
Net income (loss)		(10,103,617	)		5,112,950			(13,482,245	)		14,130,295
Additions — Limited Partners		18,685,000			27,093,000			39,235,000			40,827,000
Redemptions — Limited Partners		(5,859,132	)		(18,560,370	)		(20,458,664	)		(33,294,745	)
Net increase (decrease) in Partners’ Capital		2,722,251			13,645,580			5,294,091			21,662,550
Partners’ Capital, beginning of period		117,316,840			98,711,986			114,745,000			90,695,016
Partners’ Capital, end of period	$	120,039,091		$	112,357,566		$	120,039,091		$	112,357,566
Net Asset Value per Unit (111,057.9453 and 94,422.7585 Units outstanding at June 30, 2009 and 2008, respectively)	$	1,080.87		$	1,189.94		$	1,080.87		$	1,189.94
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent	$	(90.64	)	$	48.77		$	(123.33	)	$	147.51

See accompanying notes to financial statements.

4

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

1.   General:

Citigroup Abingdon Futures Fund L.P. (the “Partnership”) is a limited partnership which was formed on November 8, 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 sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Master (as defined below) are volatile and involve a high degree of market risk. The Partnership privately and continuously offers up to 200,000 redeemable units of Limited Partnership Interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of 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. Through July 31, 2009, the General Partner was wholly owned by Citigroup Global Markets Holdings Inc. (“CGMHI”), a wholly owned subsidiary of Citigroup Inc. (“Citigroup”). On July 31, 2009, the General Partner was transferred from CGMHI to Morgan Stanley Smith Barney Holdings LLC, as further described in Item 5, “Other Information.”

Citigroup Global Markets Inc. (“CGM”) is the commodity broker and a selling agent for the Partnership. CGM is an affiliate of the General Partner and is wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of CGMHI.

On February 1, 2007, the Partnership invested substantially all of its capital in the CMF Winton Master L.P. (the “Master”), a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 Redeemable Units of the Master with cash equal to $12,945,000. The Master was formed in order to permit accounts managed by Winton Capital Management Limited (the “Advisor”) using the Diversified Program, the Advisor’s proprietary trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through thismaster/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected.

At June 30, 2009 and December 31, 2008, the Partnership owned approximately 24.9% and 21.7%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s Statements of Financial Condition, Schedule of Investments and Statements of Income and Expenses and Partners’ Capital are included herein.

The General Partner and each Limited Partner share in the profits and losses of the Partnership 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 their initial capital contribution and profits, if any, net of distributions.

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 June 30, 2009 and December 31, 2008 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2009 and 2008. 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, 2008.

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, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through August 14, 2009, which is the date the financial statements were issued. As a result, 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.

Certain prior period amounts have been reclassified to conform to current period presentation.

5

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The Master’s Statements of Financial Condition and Schedule of Investments as of June 30, 2009 and December 31, 2008 and Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2009 and 2008 are presented below:

CMF Winton Master L.P.
Statements of Financial Condition
(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Equity in trading account:
Cash	$	465,211,031	$	512,248,576
Cash margin		30,704,831		26,405,684
Net unrealized appreciation on open futures contracts		3,037,199		6,936,356
Net unrealized appreciation on open forward contracts		—		2,179,569
Options owned, at fair value (cost $1,750 at June 30, 2009)		625		—
Total assets	$	498,953,686	$	547,770,185
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	2,129,070	$	—
Options written, at fair value (premium $3,600 at June 30, 2009)		1,675		—
Accrued expenses:
Professional fees		11,167		18,642
Total liabilities		2,141,912		18,642
Partners’ Capital:
General Partner, 0.0000 Unit equivalents at June 30, 2009 and December 31, 2008		—		—
Limited Partners’ Capital, 264,034.0929 and 270,994.4921 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		496,811,774		547,751,543
Total liabilities and partners’ capital	$	498,953,686	$	547,770,185

6

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

CMF Winton Master L.P.
Schedule of Investments
June 30, 2009
(Unaudited)

	Number of					% of Partners’
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		2,617	$	2,408,838			0.48	%
Energy		24		7,379			0.00	*
Grains		405		(570,092	)		(0.12	)
Indices		55		42,015			0.01
Interest Rates U.S.		2,401		(269,793	)		(0.05	)
Interest Rates Non-U.S.		4,990		793,762			0.16
Livestock		18		49,325			0.01
Metals		187		(592,238	)		(0.12	)
Softs		272		323,442			0.07
Total futures contracts purchased				2,192,638			0.44
Futures Contracts Sold
Currencies		457		19,028			0.01
Energy		210		214,340			0.04
Grains		664		1,440,224			0.29
Indices		1,094		(32,863	)		(0.01	)
Interest Rates U.S.		638		(939,447	)		(0.19	)
Interest Rates Non-U.S.		241		(35,352	)		(0.01	)
Livestock		195		92,010			0.02
Metals		3		(5,175	)		(0.00	)*
Softs		49		91,796			0.02
Total futures contracts sold				844,561			0.17
Unrealized Appreciation on Open Forward Contracts
Metals		212		411,989			0.08
Total unrealized appreciation on open forward contracts				411,989			0.08
Unrealized Depreciation on Open Forward Contracts
Metals		496		(2,541,059	)		(0.51	)
Total unrealized depreciation on open forward contracts				(2,541,059	)		(0.51	)
Options Owned
Indices		2		625			0.00	*
Total options owned				625			0.00	*
Options Written
Indices		2		(1,675	)		0.00	*
Total options written				(1,675	)		0.00	*
Total fair value			$	907,079			0.18	%

* Due to rounding.

7

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

CMF Winton Master L.P.
Schedule of Investments
December 31, 2008
(Unaudited)

	Number of					% of Partners
	Contracts		Fair Value			Capital
Futures Contracts Purchased
Currencies		496	$	928,233			0.17	%
Indices		5		1,935			0.00	*
Interest Rates U.S.		2,417		4,977,464			0.91
Interest Rates Non-U.S.		4,453		6,479,517			1.18
Livestock		30		30,960			0.01
Softs		97		218,297			0.04
Total futures contracts purchased				12,636,406			2.31
Futures Contracts Sold
Currencies		896		(3,144,184	)		(0.57	)
Energy		208		727,901			0.13
Grains		891		(2,623,430	)		(0.48	)
Indices		252		(239,475	)		(0.05	)
Interest Rates U.S.		58		(13,766	)		(0.00	)*
Livestock		71		86,500			0.02
Lumber		1		3,806			0.00	*
Metals		90		(478,272	)		(0.09	)
Softs		426		(19,130	)		(0.00	)*
Total futures contracts sold				(5,700,050	)		(1.04	)
Unrealized Appreciation on Open Forward Contracts
Metals		276		2,996,261			0.55
Total unrealized appreciation on open forward contracts				2,996,261			0.55
Unrealized Depreciation on Open Forward Contracts
Metals		138		(816,692	)		(0.15	)
Total unrealized depreciation on open forward contracts				(816,692	)		(0.15	)
Total fair value			$	9,115,925			1.67	%

*      Due to rounding.

8

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

CMF Winton Master L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Income:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(33,779,156	)		10,503,195			(28,425,518	)		83,068,424
Change in net unrealized gains (losses) on open contracts		1,942,550			26,034,336			(8,206,996	)		15,276,914
Gain (loss) from trading, net		(31,836,606	)		36,537,531			(36,632,514	)		98,345,338
Interest income		114,301			1,727,729			249,263			4,069,531
Total income (loss)		(31,722,305	)		38,265,260			(36,383,251	)		102,414,869
Expenses:
Clearing fees		86,538			113,528			154,405			299,671
Professional fees		9,452			9,436			18,682			17,331
Total expenses		95,990			122,964			173,087			317,002
Net income (loss)		(31,818,295	)		38,142,296			(36,556,338	)		102,097,867
Additions – Limited Partners		70,398,741			37,716,677			130,326,043			71,840,414
Redemptions – Limited Partners		(74,936,608	)		(45,597,431	)		(144,460,211	)		(60,488,089	)
Distribution of interest income to feeder funds		(114,301	)		(1,727,729	)		(249,263	)		(4,069,531	)
Net increase (decrease) in Partners’ Capital		(36,470,463	)		28,533,813			(50,939,769	)		109,380,661
Partners’ Capital, beginning of period		533,282,237			537,891,981			547,751,543			457,045,133
Partners’ Capital, end of period		496,811,774			566,425,794			496,811,774			566,425,794
Net Asset Value per Redeemable Unit (264,034.0929 and 294,567.6577 Redeemable Units outstanding at June 30, 2009 and 2008, respectively)	$	1,881.62		$	1,922.91		$	1,881.62		$	1,922.91
Net income (loss) per Redeemable Unit of Limited Partnership Interest	$	(120.99	)	$	129.68		$	(138.71	)	$	348.51

9

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

2.   Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2009 and 2008 were as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Net realized and unrealized gains (losses) allocated from Master*	$	(83.15	)	$	64.69		$	(107.21	)	$	189.90
Interest income allocated from Master		0.23			3.32			0.49			7.97
Expenses**		(7.72	)		(19.24	)		(16.61	)		(50.36	)
Increase (decrease) for the period		(90.64	)		48.77			(123.33	)		147.51
Net Asset Value per Redeemable Unit, beginning of period		1,171.51			1,141.17			1,204.20			1,042.43
Net Asset Value per Redeemable Unit, end of period		1,080.87			1,189.94			1,080.87			1,189.94
Redemption/subscription value per Redeemable Unit versus Net Asset Value per Redeemable Unit		—			0.35			—			0.35
Redemption/subscription value per Redeemable Unit, end of period ***	$	1,080.87		$	1,190.29		$	1,080.87		$	1,190.29
*      Includes Partnership brokerage commissions and expenses allocated from the Master.
**    Excludes Partnership brokerage commissions and expenses allocated from the Master.
*** For the purpose of a redemption/subscription, any remaining accrued liability for reimbursement of offering and organization costs will not reduce redemption/subscription net asset value per redeemable unit.
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Ratio to average net assets:****
Net investment income (loss) before incentive fees*****		(7.5	)%		(6.7	)%		(7.7	)%		(6.5	)%
Operating expenses		7.6	%		8.0	%		7.8	%		8.0	%
Incentive fees		—	%		1.1	%		—	%		3.3	%
Total expenses		7.6	%		9.1	%		7.8	%		11.3	%
Total return:
Total return before incentive fees		(7.7	)%		5.4	%		(10.2	)%		17.5	%
Incentive fees		—			(1.1	)%		—			(3.3	)%
Total return after incentive fees		(7.7	)%		4.3	%		(10.2	)%		14.2	%

****	Annualized (other than incentive fee)
*****	Interest income allocated from Master 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.

10

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Financial Highlights of the Master:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Net realized and unrealized gains (losses)*	$	(121.40	)	$	123.81		$	(139.58	)	$	334.70
Interest income		0.44			5.90			0.93			13.86
Expenses **		(0.03	)		(0.03	)		(0.06	)		(0.05	)
Increase (decrease) for income the period		(120.99	)		129.68			(138.71	)		348.51
Distribution of interest income to feeder funds		(0.44	)		(5.90	)		(0.93	)		(13.86	)
Net Asset Value per Redeemable Unit, beginning of period		2,003.05			1,799.13			2,021.26			1,588.26
Net Asset Value per Redeemable Unit, end of period	$	1,881.62		$	1,922.91		$	1,881.62		$	1,922.91
*   Includes clearing fees.
** Excludes clearing fees.
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Ratios to average net assets:***
Net investment income (loss)****		0.0	%*****		1.2	%		0.0	%*****		1.5	%
Operating expense		0.1	%		0.1	%		0.1	%		0.1	%
Total return		(6.0	)%		7.2	%		(6.9	)%		21.9	%

***	Annualized
****	Interest income less total expenses
*****	Due to rounding

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 Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses and Partners’ Capital.

The customer agreement between the Partnership and CGM and the Master and CGM gives the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under FASB Interpretation No. 39, “Offsetting of Amounts Related to Certain Contracts” (“FIN No. 39”) have been met.

All of the commodity interests owned by the Master are held for trading purposes. The average fair values of these interests during the six and twelve months ended June 30, 2009 and December 31, 2008, based on a monthly calculation, were $(426,291) and $10,226,644, respectively. The fair values of these commodity interests,

11

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

including options written thereon, if applicable, at June 30, 2009 and December 31, 2008, were $907,079 and $9,115,925, 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.

The Master adopted Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”) as of January 1, 2009 which 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. FAS 161 only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Partners’ Capital. The contracts outstanding at the period ended June 30, 2009, are indicative of volume traded during the period. See the Schedule of Investments. The following table indicates the fair values of derivative instruments of futures, forward and options contracts as separate assets and liabilities.

	June 30, 2009				June 30, 2009
Assets				Assets
Futures Contracts				Forward Contracts
Currencies	$	2,912,007		Metals	$	411,989
Energy		497,168		Total unrealized appreciation on open forward contracts	$	411,989
Grains		1,638,481
Indices		289,626		Liabilities
Interest Rates U.S.		266,162		Forward Contracts
Interest Rates Non-U.S.		1,313,240		Metals	$	(2,541,059	)
Livestock		260,728		Total unrealized depreciation on open forward contracts	$	(2,541,059	)
Softs		452,054
Total unrealized appreciation on open futures contracts	$	7,629,466		Net unrealized depreciation on open forward contracts	$	(2,129,070	)**
Liabilities
Futures Contracts
Currencies	$	(484,141	)	Assets
Energy		(275,449	)	Options Owned
Grains		(768,349	)	Indices	$	625
Indices		(280,474	)	Total options owned	$	625	***
Interest Rates U.S.		(1,475,402	)
Interest Rates Non-U.S.		(554,830	)	Liabilities
Livestock		(119,393	)	Options Written
Metals		(597,413	)	Indices	$	(1,675	)
Softs		(36,816	)	Total options written	$	(1,675	)****
Total unrealized depreciation on open futures contracts	$	(4,592,267	)
Net unrealized appreciation on open futures contracts	$	3,037,199	*

*	This amount is included in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
**	This amount is included in “Net unrealized depreciation on open forward contracts” on the Statements of Financial Condition.
***	This amount is included in “Options owned, at fair value” on the Statements of Financial Condition.
****	This amount is included in “Options written, 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, 2009.

	Three Months Ended			Six Months Ended
	June 30, 2009			June 30, 2009
Sector	Gain (loss) from trading			Gain (loss) from trading
Currencies	$	(655,705	)	$	(8,014,334	)
Energy		(4,333,919	)		(2,824,515	)
Grains		1,434,481			3,579,325
Indices		(12,313,686	)		(9,665,675	)
Interest Rates U.S.		(4,680,915	)		(6,890,087	)
Interest Rates Non-U.S.		(6,805,754	)		(6,800,685	)
Livestock		443,190			667,613
Softs		(192,145	)		(455,093	)
Lumber		(5,280	)		(4,378	)
Metals		(4,726,873	)		(6,224,685	)
Total	$	(31,836,606	)	$	(36,632,514	)

4.  Fair Value Measurements :

Investments.  The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2008.

Fair Value Measurements.  The Partnership adopted Statement of Financial Accounting Standards No. 157,Fair Value Measurements  (“SFAS 157”) as of January 1, 2008 which 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. SFAS 157 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 nonfinancial liabilities measured at fair value on a nonrecurring basis.

The Partnership values investment in Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investments in the Master reflects its proportional interest in the Master. As of June 30, 2009 and December 31, 2008, the Partnership did not hold any derivative instruments that are based on quoted prices in active markets for identical assets (Level 1) or 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
	6/30/2009		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Master	$	123,554,519	$	—	$	123,554,519	$	—
Total fair value	$	123,554,519	$	—	$	123,554,519	$	—

			Quoted Prices
			in Active Markets		Significant Other		Significant
			for Identical		Observable Inputs		Unobservable
	12/31/2008		Assets (Level 1)		(Level 2)		Inputs (Level 3)
Assets
Investment in Master	$	119,196,221	$	—	$	119,196,221	$	—
Total fair value	$	119,196,221	$	—	$	119,196,221	$	—

12

Citigroup Abingdon Futures Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Investments.  All commodity interests of the Master (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. 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 Partners’ Capital.

Fair Value Measurements.  The Master adopted SFAS 157 as of January 1, 2008 which 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. SFAS 157 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 Master did not apply the deferral allowed by FASB Staff PositionsNo. FAS 157-2,Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded 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 June 30, 2009 and December 31, 2008, the Master did not hold any derivative instruments 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) or 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				Significant
			Active Markets for		Significant Other		Unobservable
			Identical sets		Observable Inputs		Inputs
	6/30/2009		(Level 1)		(Level 2)		(Level 3)
Assets
Futures	$	3,037,199	$	3,037,199	$		$
Options owned		625		625		—		—
Total assets		3,037,824		3,037,824		—		—
Liabilities
Forwards	$	2,129,070	$	2,129,070	$		$
Options written		1,675		1,675		—		—
Total liabilities		2,130,745		2,130,745		—		—
Total fair value	$	907,079	$	907,079	$	—	$	—

			Quoted Prices in				Significant
			Active Markets for		Significant Other		Unobservable
			Identical Assets		Observable Inputs		Inputs
	12/31/2008		(Level 1)		(Level 2)		(Level 3)
Assets
Futures	$	6,936,356	$	6,936,356	$	—	$	—
Forwards		2,179,569		2,179,569		—		—
Total assets		9,115,925		9,115,925		—		—
Total fair value	$	9,115,925	$	9,115,925	$	—	$	—

13

5.  Financial Instrument Risks:

In the normal course of its business, the Partnership, through its investment in the Master, 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, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or 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 orover-the-counter (“OTC”). Exchange traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. 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/Master 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/Master 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. The Partnership’s/Master’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 not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/Master’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/Master’s counterparty is an exchange or clearing organization.

The General Partner monitors and controls the Partnership’s/Master’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/Master are 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, forwards 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/Master’s business, these instruments may not be held to maturity.

14

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 investment in Master and cash. The Master does not engage in sales of goods or services. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such losses occurred in the second quarter of 2009.

The Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2009, Partnership capital increased 4.6% from $114,745,000 to $120,039,091. This increase was attributable to additional sales of 33,335.7871 Redeemable Units of Limited Partnership Interest totaling $39,235,000, which was partially offset by the redemption of 17,564.9096 Redeemable Units of Limited Partnership Interest totaling $20,458,664 and a net loss of $13,482,245. Future redemptions can impact the amount of funds available for investment in the Master in subsequent periods.

The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Units and distributions of profits, if any.

For the six months ended June 30, 2009, the Master’s capital decreased 9.3% from $547,751,543 to $496,811,774. This decrease was attributable to the net loss from operations of $36,556,338 coupled with the redemption of 72,479.9040 Redeemable Units of Limited Partnership Interest totaling $144,460,211 and distribution of interest income to feeder funds totaling $249,263, which was partially offset by the additional sales of 65,519.5048 Redeemable Units of Limited Partnership Interest totaling $130,326,043. 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 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.

     Statement of Cash Flows.The Partnership has elected not to provide a Statement of Cash Flows as permitted by FAS 102.

     Investments.The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2008.

     Fair Value Measurements.The Partnership and the Master adopted SFAS 157 as of January 1, 2008 which 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. The Partnership and the Master did not apply the deferral allowed by FASB Staff Positions No. FAS 157-2, Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

15

     The Partnership values investments in Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of June 30, 2009, the Partnership did not hold any derivative instruments that are are based on quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded 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). Investments in partnerships (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Master are priced based on the end of the day net asset value (Level 2). As of June 30, 2009, the Master did not hold any derivative instruments 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) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     Futures Contracts.The Master trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Partners’ Capital.

     London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of Aluminum, Copper, Lead, Nickel, Tin or Zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. A contract is considered offset when all long positions have been matched with short positions. When the contract is closed at the prompt date, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Partners’ Capital.  

     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” 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 continued to evaluate the application of FIN 48 and has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the six months ended June 30, 2009 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 – 2007.

16

      Recent Accounting Pronouncements. In 2009, the Partnership adopted FSP FAS 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP”). The FSP reaffirms that fair value is 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 FSP also reaffirms 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. The application of the FSP is required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, there has not been a decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities. The adoption of the FSP had no effect on the Partnership’s Financial Statements.

     Subsequent Events.In 2009, the Partnership adopted FASB Statement of Accounting Standards No. 165, “Subsequent Events” (“SFAS 165”). The objective of SFAS 165 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.

Results of Operations

     During the Partnership’s second quarter of 2009, the Net Asset Value per Redeemable Unit decreased 7.7% from $1,171.51 to $1,080.87 as compared to an increase of 4.3% in the second quarter of 2008. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage commissions and related fees in the second quarter of 2009 of $7,842,479. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, metals, softs, indices, lumber and were partially offset by gains in grains and livestock. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage commissions and fees in the second quarter of 2008 of $8,087,869. Gains were primarily attributable to the trading of commodity futures in currencies, indices, non-U.S. interest rates, energy, lumber, grains, softs and were partially offset by losses in U.S. interest rates, metals and livestock.

     The second quarter of 2009 presented a challenging trading environment with non-directional volatility in several markets. Some markets continued to demonstrate the trends established earlier in the year, but in general, markets were trend-less with relatively high volatility. The Master was profitable in livestock and grains while losses were seen in currencies, fixed income, energy, metals, agricultural softs and stock indices.

     In livestock, the Master registered gains primarily from lean hogs. In grains, modest gains were seen mostly from the soybean complex.

     In currencies, the Master registered losses from G7 currencies although modest gains were seen in Australian Dollar and New Zealand Dollar. The foreign exchange markets were mostly volatile with the U.S. Dollar weakening against some of the major currencies, reversing a strong trend that lasted through the end of last year. In the energy sector, the Master recorded losses across the petroleum complex while recording minor gains in Natural Gas, which demonstrated a strong bearish trend punctuated by periodic spikes. In the fixed income sector, the Master registered losses as the yield curve steepened relative to last quarter. The interest rates on the longer maturity treasury securities continued to rise while the shorter term securities remained relatively flat but volatile. In the metals sector, losses were seen both in industrial and precious metals which reflected the general economic sentiment and remained volatile and trend-less. Losses were seen in agricultural softs, mostly from cocoa, coffee and cotton. Losses were also registered in the stock indices, as most of the equity markets across the world remained volatile and seemed to be range bound after the strong resurgence in the earlier quarter.

During the Partnership’s six months ended June 30, 2009, the Net Asset Value per Redeemable Unit decreased 10.2% from $1,204.20 to $1,080.87 as compared to an increase of 14.2% during the six months ended June 30, 2008. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage commissions and related fees in the six months ended June 30, 2009 of $8,927,643. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, metals, softs, indices, lumber and were partially offset by gains in grains and livestock. The Partnership, through its investment in the Master, experienced a net trading gain before brokerage commissions and related fees in the six months ended June 30, 2008 of $20,773,854. Gains were primarily attributable to the trading of commodity futures in currencies, indices, U.S. and non-U.S. interest rates, metals, energy, lumber, grains, softs and were partially offset by losses in livestock.

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 (and the Master) 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 (and the Master) expects to increase capital through operations.

Interest income on 80% of the Partnership’s daily average equity allocated to it by the Master 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 Master’s assets in cashand/or place all of the Master’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 allocated from the Master for the three and six month ended June 30, 2009 decreased by $308,809 and $711,705, respectively as compared to the corresponding periods in 2008. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008.

17

     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. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage commissions and fees for the three and six months ended June 30, 2009 increased by $90,909 and $278,798, respectively as compared to the corresponding periods in 2008. The increase in brokerage commissions and fees is due to higher net assets during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008.

     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 the three and six months ended June 30, 2009 increased by $39,652 and $122,282, respectively as compared to the corresponding periods in 2008. The increase in management fees is due to higher net assets during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008.

     Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These 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 six months ended June 30, 2009 increased by $9,912 and $30,569 as compared to the corresponding periods in 2008. The increase in administrative fees is due to an increase in net assets during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008.

     Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreements between the Partnership, the General Partner and the Advisor. There were no incentive fees for the three and six months ended June 30, 2009. Trading performance for the three and six months ended June 30, 2008 resulted in incentive fees of $1,194,909 and $3,341,970. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

18

Item 3.   Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Master 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 Master’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 Master’s main line of business.

Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash flow. The Master’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 Master’s open positions and the liquidity of the markets in which it trades.

The Master 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 Master’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master’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 Master’s losses in any market sector will be limited to Value at Risk or by the Master’s attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Master 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.

19

The following table indicates the trading Value at Risk associated with the Master’s open positions by market category as of June 30, 2009, and the highest, lowest and average values during the three months ended June 30, 2009. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of June 30, 2009, the Master’s total capitalization was $496,811,774. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form10-K for the year ended December 31, 2008.

June 30, 2009
(Unaudited)

						Three Months ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	8,859,097		1.78	%	$	8,859,097	$	3,479,307	$	5,498,936
Energy		1,328,142		0.27	%		2,627,998		421,858		1,607,888
Grains		1,735,598		0.35	%		1,751,852		1,506,767		1,639,557
Interest Rates U.S.		1,956,170		0.39	%		4,289,355		1,412,777		2,653,818
Interest Rates Non-U.S.		4,517,638		0.91	%		6,588,104		2,841,339		4,285,101
Livestock		235,616		0.05	%		425,655		235,616		381,686
Metals		2,026,388		0.41	%		2,629,647		849,000		2,287,274
Softs		479,423		0.10	%		1,269,508		479,423		950,433
Indices		5,803,898		1.17	%		6,425,774		2,321,055		5,287,835
Total	$	26,941,970		5.43	%

* 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 by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the Commission’s rules and forms. Disclosed 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 (“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 inRules 13a-15(e) and15d-15(e) under the Exchange Act) as of June 30, 2009 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 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 during the fiscal quarter ended June 30, 2009 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 on Form 10-K for the fiscal year ended December 31, 2008, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009. There are no material legal proceedings pending against the Partnership or the General Partner.

Enron-Related Civil Actions

     On May 14, 2009, a settlement agreement was executed among the parties inAcquisition Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al.,andAvenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al.On June 3, 2009, a settlement agreement was executed among the parties inUniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.The three actions, which were consolidated and pending trial in the United States District Court for the Southern District of New York, were brought against Citigroup and certain of its affiliates, including CGM) and JPMorgan Chase and certain of its affiliates, in their capacity as co-agents on certain Enron revolving credit facilities. Pursuant to the settlements, the cases were dismissed with prejudice.

Subprime Mortgage-Related Litigation

     On May 7, 2009,Buckingham v. Citigroup Inc., et al.andChen v. Citigroup Inc., et al.were consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 11, 2009, a putative class actionAsher, et al. v. Citigroup Inc., et al.was filed in the United States District Court for the Southern District of New York alleging violations of the Securities Act of 1933 in connection with plaintiffs’ investments in certain offerings of preferred stock issued by the Citigroup. On May 15, 2009, plaintiffs inIn re Citigroup Inc. Bond Litigation requested thatAsher, et al. v. Citigroup Inc., et al.andPellegrini v. Citigroup Inc., et al.be consolidated withIn re Citigroup Inc. Bond Litigation.

     On May 20, 2009,Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al.was designated as related toIn re Citigroup Inc. Securities Litigation. On June 10 and June 24, 2009, defendants filed motions to dismiss the verified complaint.

Auction Rate Securities-Related Litigation

     Securities Actions.    On June 10, 2009, the Judicial Panel on Multidistrict Litigation granted CGM’s motion to transferAmerican Eagle Outfitters, Inc., et al. v. Citigroup Global Markets Inc.from the United States District Court for the Western District of Pennsylvania to the United States District Court for the Southern District of New York, where it will be coordinated withIn re Citigroup Inc. Auction Rate Securities LitigationandFinn v. Smith Barney, et al.On June 17, 2009, the Judicial Panel on Multidistrict Litigation issued an order conditionally transferring three other individual auction rate securities actions pending against CGM in other federal courts to the United States District Court for the Southern District of New York. Plaintiffs in those actions have opposed their transfer.

     On April 1, 2009,Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.was filed in Texas state court asserting violations of state securities law by CGM, BNY Capital Markets, Inc. and Morgan Stanley & Co., Inc. Defendants removed the case to the United States District Court for the Northern District of Texas, and plaintiff has moved to have it remanded to state court. On May 8, 2009, CGM filed a motion to sever the claims against it from the claims against its co-defendants.

     Governmental and Regulatory Actions.    Citigroup and certain of its affiliates are subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to auction rate securities. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

Falcon and ASTA/MAT-Related Litigation

     Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al.    On June 19, 2009, the Delaware Supreme Court denied the appeal of the settlement objectors from the Delaware Chancery Court’s approval of the settlement of this matter and affirmed the order approving the settlement.

     In re MAT Five Securities Litigation.    On July 8, 2009, the United States District Court for the Southern District of New York approved the voluntary dismissal of this action.

     ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al.    On May 1, 2009, the United States District Court for the Southern District of New York denied plaintiffs’ motion to remand this action to state court. On July 15, 2009, plaintiffs filed an amended complaint.

     Zentner v. Citigroup, et al.    (Putative class action concerningIn re MAT Two Securities Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.)On July 8, 2009, the United States District Court for the Southern District of New York dismissed this action, without prejudice, in connection with the dismissal ofIn re MAT Five Securities Litigation.

     Zentner v. Citigroup, et al.    (Putative class action concerning Falcon Plus.) On May 19, 2009, the New York Supreme Court issued a letter order, stating that it would approve a settlement of plaintiff’s individual claims. Plaintiff filed a stipulation dismissing this action on July 6, 2009.

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Other Matters

     Underwriting Actions.In its capacity as a member of various underwriting syndicates, CGM has been named as a defendant in several subprime-related actions asserted against various issuers of debt and other securities. Most of these actions involve claims asserted on behalf of putative classes of purchasers of securities for alleged violations of Sections 11 and 12(a)(2) of the Securities Act of 1933.

     American Home Mortgage.    On July 7, 2009, lead plaintiffs filed a motion inIn re American Home Mortgage Securities Litigationfor preliminary approval of settlements reached with all defendants (including Citigroup and CGM).

     American International Group.    On March 20, 2009, four putative class actions were consolidated by the United States District Court for the Southern District of New York under the captionIn re American International Group, Inc. 2008 Securities Litigation. Plaintiffs filed a consolidated amended complaint on May 19, 2009. These actions allege violations of Sections 11, 12, and 15 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 offerings of American International Group debt securities and common stock, some of which were underwritten by CGM.

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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 on Form 10-K for the fiscal year ended December 31, 2008 and under Part II, 1A, “Risk Factors” in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009.

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

For the three months ended June 30, 2009, there were additional sales of 16,264.8021 Redeemable Units totaling $18,685,000. 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 there under.

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

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

These units were purchased by accredited investors as defined in Regulation D.

							(d) Maximum Number
							(or Approximate
					(c) Total Number		Dollar Value) of
	(a) Total				of Redeemable Units		Redeemable Units that
	Number of		(b) Average		Purchased as Part		May Yet Be
	Redeemable		Price Paid per		of Publicly Announced		Purchased Under the
Period	Units Purchased*		Redeemable Unit**		Plans or Programs		Plans or Programs
April 1, 2009 - April 30, 2009		797.9414	$	1,131.21		N/A		N/A
May 1, 2009 - May 31, 2009		1,888.5970	$	1,100.83		N/A		N/A
June 1, 2009 - June 30, 2009		2,662.1788	$	1,080.87		N/A		N/A
		5,348.7172	$	1,095.43

* 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

Morgan Stanley/Citigroup Joint Venture

On June 1, 2009, Morgan Stanley and Citigroup entered into a joint venture that combined Morgan Stanley’s Global Wealth Management Group and the Smith Barney division of CGM. The joint venture created Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings owns Morgan Stanley Smith Barney LLC (“MSSB”), a newly registered non-clearing futures commission merchant and a member of the National Futures Association. MSSB acts as an additional selling agent for the Partnership. As of July 31, 2009, Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings, CGM directly owns 49% of MSSB Holdings, and Citigroup, indirectly through its intermediate subsidiaries, wholly owns CGM.

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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 Partnership’s Annual Report on Form 10-K for the period ended December 31, 2008.

Exhibit – 10 – Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC.

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.

CITIGROUP ABINGDON FUTURES FUND L.P.

By:   Citigroup Managed Futures LLC

(General Partner)

By:   /s/ Jerry Pascucci

Jerry Pascucci

President and Director

Date: August 14, 2009

By:   /s/ Jennifer Magro

Jennifer Magro

Chief Financial Officer and Director

Date: August 14, 2009

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