Altegris Winton Futures Fund, L.P. - FORM 10-Q

Attached files

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EXCEL - IDEA: XBRL DOCUMENT - Altegris Winton Futures Fund, L.P.	Financial_Report.xls
EX-10.04 - Altegris Winton Futures Fund, L.P.	fp0012136_ex10-04.htm
EX-32.1 - Altegris Winton Futures Fund, L.P.	fp0012136_ex32-1.htm
EX-31.1 - Altegris Winton Futures Fund, L.P.	fp0012136_ex31-1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

[X]	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2014

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

For the transition period from ________ to ___________

Commission File Number: 000-53348

ALTEGRIS WINTON FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

COLORADO

(State or other jurisdiction

of incorporation or organization)

84-1496732

(I.R.S. Employer

Identification No.)

c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

(858) 459-7040

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Interests

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 this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes [X] No [ ]

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

Large accelerated filer [ ]

Accelerated filer [ ]

Non-accelerated filer [X]

Smaller reporting company [ ]

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [ ] No [X]

TABLE OF CONTENTS

		Page

PART I – FINANCIAL INFORMATION		1

Item 1.	Financial Statements	1

	Statements of Financial Condition	2

	Condensed Schedules of Investments	3

	Statements of Income (Loss)	8

	Statements of Changes in Partners’ Capital (Net Asset Value)	9

	Notes to Financial Statements	10

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	30

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	34

Item 4.	Controls and Procedures	34

PART II – OTHER INFORMATION		35

Item 1.	Legal Proceedings	35

Item 1A.	Risk Factors	35

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	35

Item 3.	Defaults Upon Senior Securities	35

Item 4.	Mine Safety Disclosure	35

Item 5.	Other Information	35

Item 6.	Exhibits	35

Signatures		37

Amendment dated July 1, 2014 to Advisory Contract

Rule 13a–14(a)/15d–14(a) Certifications

Section 1350 Certifications

PART I – FINANCIAL INFORMATION

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

SEPTEMBER 30, 2014 (Unaudited) and DECEMBER 31, 2013 (Audited)

_______________

	2014		2013
ASSETS
Equity in commodity broker account
Cash	$	3,559,930	$	-
Restricted cash		34,994,928		33,798,434
Restricted foreign currency (cost - $14,836,814 and $15,777,359)		14,499,466		15,867,408
Unrealized gain on open commodity futures contracts		5,790,691		16,363,656
Unrealized gain on open forward contracts		-		187,782

		58,845,015		66,217,280

Cash		14,252,103		11,866,529
Investment securities at value
(cost - $323,714,863 and $462,592,799)		323,736,118		462,621,851
Interest receivable		70,340		315,451

Total assets	$	396,903,576	$	541,021,111

LIABILITIES
Equity in commodity broker account
Cash	$	-	$	7,361,117
Foreign currency (proceeds - $1,330,417 and $3,104,684)		1,300,167		3,122,404
Unrealized loss on open forward contracts		3,380,133		-

		4,680,300		10,483,521

Redemptions payable		15,496,212		24,714,657
Subscriptions received in advance		3,488,800		3,604,011
Commissions payable		501,757		629,796
Management fee payable		357,313		466,800
Service fees payable		336,614		422,953
Advisory fee payable		305,379		406,433
Administrative fee payable		75,319		96,775
Incentive fee payable		657,666		4,191,156
Other liabilities		356,647		491,135

Total liabilities		26,256,007		45,507,237


PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		3,618		3,561
Limited Partners		370,643,951		495,510,313

Total partners' capital (Net Asset Value)		370,647,569		495,513,874

Total liabilities and partners' capital	$	396,903,576	$	541,021,111

See accompanying notes.

-1-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014 (Unaudited)

_______________

INVESTMENT SECURITIES

Face Value		Maturity Date	Decription	Value		% of Partners' Capital

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	5,000,000	10/1/2014	Federal Home Loan Bank Disc Note, 0.00%*	$	5,000,000		1.35	%
	40,000,000	10/15/2014	Federal Home Loan Bank Disc Note, 0.01%*		39,999,800		10.79	%
	14,000,000	10/22/2014	Federal Home Loan Bank Disc Note, 0.01%*		13,999,902		3.78	%
	8,739,000	11/19/2014	Federal Home Loan Bank Disc Note, 0.01%*		8,738,843		2.36	%
	1,000,000	11/12/2014	Federal Home Loan Bank, 0.13%		1,000,073		0.27	%
	20,000,000	11/20/2014	Federal Home Loan Bank, 0.13%		19,999,980		5.39	%
	12,000,000	1/16/2015	Federal Home Loan Bank, 0.25%		12,004,836		3.24	%
	12,000,000	3/20/2015	Federal Home Loan Bank, 0.13%		11,999,148		3.24	%
	12,000,000	8/19/2015	Federal Home Loan Bank, 0.20%		12,003,252		3.24	%
	10,000,000	9/18/2015	Federal Home Loan Bank, 0.20%		10,002,890		2.70	%
	9,400,000	4/17/2015	Federal Home Loan Mortgage Corporation, 0.50%		9,420,774		2.54	%
	10,000,000	8/28/2015	Federal Home Loan Mortgage Corporation, 0.50%		10,029,420		2.71	%
	9,000,000	6/1/2015	Federal National Mortgage Association Disc Note, 0.06%*		8,996,661		2.43	%
	20,000,000	3/16/2015	Federal National Mortgage Association, 0.38%		20,021,480		5.40	%
	15,000,000	7/2/2015	Federal National Mortgage Association, 0.50%		15,034,905		4.05	%
Total U.S. Government Agency Bonds and Notes (cost - $198,230,709)					198,251,964		53.49	%

*	The rate reported is the effective yield at time of purchase.

See accompanying notes.

-2-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

SEPTEMBER 30, 2014 (Unaudited)

_______________

INVESTMENT SECURITIES (continued)

Face Value		Maturity Date	Decription	Value		% of Partners' Capital

Fixed Income Investments (continued)

Corporate Notes
$	9,800,000	10/28/2014	American Honda Finance Corporation, 0.08%*	$	9,799,526		2.65	%
	11,740,000	10/1/2014	Automatic Data Processing, Inc., 0.03%*		11,739,990		3.17	%
	9,800,000	10/1/2014	Bank of Montreal, 0.12%*		9,800,000		2.64	%
	6,500,000	10/17/2014	The Chiba Bank, Ltd., 0.18%*		6,500,000		1.75	%
	6,500,000	10/8/2014	Danaher Corporation, 0.10%*		6,499,513		1.75	%
	5,000,000	10/6/2014	General Electric Company, 0.06%*		4,999,942		1.35	%
	9,800,000	10/16/2014	Liberty Street Funding LLC, 0.14%*		9,798,974		2.64	%
	6,500,000	10/8/2014	National Rural Utilities Cooperative Finance Corp., 0.10%*		6,499,697		1.75	%
	6,500,000	10/15/2014	PACCAR Financial Corp., 0.11%*		6,499,581		1.75	%
	13,000,000	10/3/2014	Sumitomo Mitsui Banking Corp., 0.17%*		13,000,000		3.51	%
	8,000,000	10/22/2014	Sumitomo Mitsui Trust Bank, Ltd., 0.17%*		8,000,000		2.16	%
	13,000,000	10/24/2014	Toronto Dominion Holdings (U.S.A.), Inc., 0.08%*		12,999,191		3.51	%
	9,550,000	10/8/2014	Victory Receivables Corporation, 0.12%*		9,548,965		2.58	%
	9,800,000	10/10/2014	Working Capital Management Co. L.P., 0.11%*		9,798,775		2.64	%
Total Corporate Notes (cost - $125,484,154)					125,484,154		33.85	%

Total investment securities (cost - $323,714,863)				$	323,736,118		87.34	%

*	The rate reported is the effective yield at time of purchase.

See accompanying notes.

-3-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

SEPTEMBER 30, 2014 (Unaudited)

_______________

	Range of Expiration Dates	Number of Contracts			Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Oct 14 - Mar 15		1,394		$	(4,998,802	)		(1.35	)%
Currencies	Dec-14		837			(639,120	)		(0.17	)%
Energy	Oct 14 - Nov 14		188			229,958			0.06	%
Interest Rates	Nov 14 - Sep 17		11,573			3,478,354			0.94	%
Metals	Nov 14 - Jan 15		283			(888,993	)		(0.24	)%
Stock Indices	Oct 14 - Dec 14		3,332			(2,121,264	)		(0.57	)%
Treasury Rates	Dec-14		2,501			(1,685,830	)		(0.46	)%

Total long futures contracts			20,108			(6,625,697	)		(1.79	)%

SHORT FUTURES CONTRACTS:
Agriculture	Oct 14 - Apr 15		627			707,714			0.19	%
Currencies	Dec-14		1,607			5,149,118			1.39	%
Energy	Oct 14 - Dec 14		680			2,769,682			0.75	%
Interest Rates	Dec 14 - Sep 17		152			2,200			0.00	%
Metals	Nov 14 - Aug 15		609			3,325,999			0.90	%
Stock Indices	Dec-14		114			461,675			0.12	%

Total short futures contracts			3,789			12,416,388			3.35	%

Total futures contracts			23,897		$	5,790,691			1.56	%

LONG FORWARD CONTRACTS:
Currencies	Oct 14 - Mar 15	$	233,284,856	(1)	$	(4,950,275	)		(1.34	)%

SHORT FORWARD CONTRACTS:
Currencies	Oct 14 - Mar 15	$	236,664,989	(1)		1,570,142			0.43	%

Total forward currency contracts					$	(3,380,133	)		(0.91	)%

(1)	Represents the September 30, 2014 notional amount bought or sold

See accompanying notes.

-4-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2013 (Audited)

_______________

INVESTMENT SECURITIES

Face Value		Maturity Date	Decription	Value		% of Partners' Capital

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	26,094,000	1/2/2014	Federal Farm Credit Bank Disc Note, 0.01%*	$	26,093,993		5.27	%
	7,400,000	1/9/2014	Federal Farm Credit Bank Disc Note, 0.02%*		7,399,970		1.49	%
	31,300,000	1/17/2014	Federal Farm Credit Bank, 0.14%		31,300,375		6.32	%
	10,000,000	1/2/2014	Federal Home Loan Bank Disc Note, 0.06%*		10,000,000		2.02	%
	14,000,000	2/20/2014	Federal Home Loan Bank, 0.13%		14,000,000		2.82	%
	15,000,000	3/28/2014	Federal Home Loan Bank, 0.13%		15,001,425		3.03	%
	21,200,000	4/1/2014	Federal Home Loan Bank, 0.13%		21,202,608		4.28	%
	7,300,000	4/2/2014	Federal Home Loan Bank, 0.13%		7,298,905		1.47	%
	15,000,000	6/2/2014	Federal Home Loan Bank, 0.13%		14,999,325		3.03	%
	15,000,000	7/24/2014	Federal Home Loan Bank, 0.18%		15,003,360		3.03	%
	5,000,000	9/12/2014	Federal Home Loan Bank, 0.16%		5,001,605		1.01	%
	17,000,000	9/18/2014	Federal Home Loan Bank, 0.17%		17,000,510		3.43	%
	1,000,000	11/12/2014	Federal Home Loan Bank, 0.18%		999,527		0.20	%
	20,000,000	11/20/2014	Federal Home Loan Bank, 0.14%		19,997,360		4.03	%
	8,000,000	8/14/2014	Federal Home Loan Mortgage Corporation, 0.15%		8,004,720		1.62	%
	20,000,000	8/27/2014	Federal Home Loan Mortgage Corporation, 0.11%		20,116,300		4.06	%
Total U.S. Government Agency Bonds and Notes (cost - $233,393,834)					233,419,983		47.11	%

* The rate reported is the effective yield at time of purchase.

See accompanying notes.

-5-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2013 (Audited)

_______________

INVESTMENT SECURITIES (continued)

Face Value		Maturity Date	Decription	Value		% of Partners' Capital

Fixed Income Investments (continued)

Corporate Notes
$	16,000,000	1/10/2014	Albion Capital LLC, 0.10%	$	15,998,413		3.23	%
	13,900,000	1/3/2014	Banco del Estado de Chile, 0.16%		13,900,000		2.80	%
	10,350,000	1/17/2014	Coca-Cola Company, 0.05%		10,349,482		2.09	%
	9,200,000	1/16/2014	IBM Corporation, 0.02%		9,199,617		1.86	%
	13,900,000	1/16/2014	Liberty Street Funding LLC, 0.13%		13,898,378		2.80	%
	22,000,000	1/2/2014	National Australian Bank, 0.01%		21,999,988		4.44	%
	9,150,000	1/15/2014	NetJets Inc., 0.08%		9,149,695		1.85	%
	11,400,000	1/8/2014	Norinchukin Bank, 0.16%		11,400,000		2.30	%
	13,900,000	1/2/2014	Sumitomo Mitsui Banking Corporation, 0.18%		13,899,985		2.81	%
	13,700,000	1/15/2014	Sumitomo Mitsui Trust Bank, Limited, 0.18%		13,700,000		2.76	%
	16,000,000	1/6/2014	Wal-Mart Stores, Inc., 0.02%		15,999,600		3.23	%
	12,600,000	1/17/2014	Working Capital Mmanagement, 0.11%		12,598,320		2.54	%
Total Corporate Notes (cost - $162,093,493)					162,093,478		32.71	%


U.S. Treasury Obligations
$	22,000,000	1/2/2014	United States Treasury Bill, 0.00%		22,000,000		4.44	%
	20,000,000	2/15/2014	United States Treasury Note, 0.18%		20,027,340		4.04	%
	25,000,000	4/15/2014	United States Treasury Note, 0.14%		25,081,050		5.06	%
Total United States Treasury Obligations (cost - $67,105,472)					67,108,390		13.54	%

Total investment securities (cost - $462,592,799)				$	462,621,851		93.36	%

See accompanying notes.

-6-

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2013 (Audited)

_______________

	Range of Expiration Dates	Number of Contracts			Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Jan 14 - May 14		883		$	(460,341	)		(0.09	)%
Currencies	Mar-14		2,672			1,711,481			0.35	%
Energy	Jan 14 - May 14		384			295,692			0.06	%
Interest Rates	Feb 14 - Dec 16		9,849			(2,137,600	)		(0.43	)%
Metals	Jan 14 - Dec 14		344			18,237			0.00	%
Stock Indices	Jan 14 - Mar 14		4,375			12,032,616			2.43	%
Treasury Rates	Mar-14		568			(548,047	)		(0.11	)%

Total long futures contracts			19,075			10,912,038			2.21	%

SHORT FUTURES CONTRACTS:
Agriculture	Jan 14 - May 14		1,880			1,937,715			0.39	%
Currencies	Mar-14		1,981			2,136,408			0.43	%
Energy	Jan 14 - Mar 14		163			(334,529	)		(0.07	)%
Interest Rates	Mar 14 - Dec 16		669			77,972			0.02	%
Metals	Jan 14 - Apr 14		605			1,391,804			0.28	%
Stock Indices	Jan-14		22			(1,565	)		0.00	%
Treasury Rates	Mar-14		189			243,813			0.05	%

Total short futures contracts			5,509			5,451,618			1.10	%

Total futures contracts			24,584		$	16,363,656			3.31	%

LONG FORWARD CONTRACTS:
Currencies	Jan 14 - Jun 14	$	291,034,431	(1)	$	686,943			0.14	%

SHORT FORWARD CONTRACTS:
Currencies	Jan 14 - Jun 14	$	289,637,660	(1)		(499,161	)		(0.10	)%

Total forward currency contracts					$	187,782			0.04	%

(1)	Represents the December 31, 2013 notional amount bought or sold

See accompanying notes.

-7-

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013 (Unaudited)

_______________

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2014			2013			2014			2013
TRADING GAIN (LOSS)
Gain (loss) on trading of
derivatives contracts
Realized	$	10,650,218		$	(10,098,136	)	$	40,818,391		$	16,696,202
Change in unrealized		(5,602,471	)		3,348,290			(14,140,880	)		2,522,635
Brokerage commissions		(1,474,219	)		(2,187,754	)		(4,979,634	)		(7,282,370	)

Gain (loss) from trading futures		3,573,528			(8,937,600	)		21,697,877			11,936,467

Gain (loss) on trading of securities
Realized		17,120			36,801			47,178			156,581
Change in unrealized		6,587			76,504			(7,797	)		(26,411	)

Gain (loss) from trading securities		23,707			113,305			39,381			130,170

Gain (loss) on trading of foreign currency
Realized		(139,301	)		(14,869	)		(83,529	)		9,092
Change in unrealized		(409,089	)		375,117			(379,427	)		(32,416	)

Gain (loss) from trading foreign currency		(548,390	)		360,248			(462,956	)		(23,324	)

Total trading gain (loss)		3,048,845			(8,464,047	)		21,274,302			12,043,313

NET INVESTMENT INCOME (LOSS)
Income
Interest income		88,224			139,265			295,480			546,607

Expenses
Management fee		1,073,537			1,579,815			3,560,645			5,261,065
Service fees		1,001,225			1,372,691			3,243,985			4,574,634
Advisory fee		919,932			1,361,594			3,107,257			4,515,782
Professional fees		325,561			448,672			1,074,991			1,429,749
Administrative fee		227,252			333,412			738,822			1,108,076
Incentive fee		657,666			13,634			4,383,127			604,625
Interest expense		5,207			4,729			24,323			11,840
Other expenses		117,782			198,191			341,481			327,183

Total expenses		4,328,162			5,312,738			16,474,631			17,832,954


Net investment loss		(4,239,938	)		(5,173,473	)		(16,179,151	)		(17,286,347	)


NET INCOME (LOSS)	$	(1,191,093	)	$	(13,637,520	)	$	5,095,151		$	(5,243,034	)

See accompanying notes.

-8-

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013 (Unaudited)

_______________

				Limited Partners

	Total			Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests			General Partner

Balances at December 31, 2012	$	698,786,385		$	51,080,979		$	11,284,144		$	30,846,820		$	277,100,748		$	209,186,580		$	119,283,700		$	3,414

Transfers		-			-			-			-			(3,039,909	)		(1,158	)		3,041,067			-

Capital additions		33,444,131			60,024			-			-			20,949,511			8,590,373			3,844,223			-

Capital withdrawals		(185,849,958	)		(16,554,708	)		(4,377,741	)		-			(68,361,057	)		(67,715,035	)		(28,841,417	)		-

From operations:
Net investment income (loss)		(17,286,347	)		(1,031,280	)		(141,017	)		(419,785	)		(9,676,980	)		(4,203,615	)		(1,813,592	)		(78	)
Net realized gain (loss) from investments (net of brokerage commissions)		9,579,505			714,924			149,343			347,844			3,495,784			3,075,507			1,796,064			39
Net change in unrealized gain (loss) from investments		2,463,808			125,207			73,813			99,007			1,020,205			773,798			371,767			11
Net income for the nine months ended September 30, 2013		(5,243,034	)		(191,149	)		82,139			27,066			(5,160,991	)		(354,310	)		354,239			(28	)

Balances at September 30, 2013	$	541,137,524		$	34,395,146		$	6,988,542		$	30,873,886		$	221,488,302		$	149,706,450		$	97,681,812		$	3,386

Balances at December 31, 2013	$	495,513,874		$	33,385,742		$	5,810,054		$	32,782,374		$	203,837,473		$	127,156,033		$	92,538,637		$	3,561

Transfers		-			-			-			13,484,831			(689,686	)		117,835			(12,912,980	)		-

Capital additions		18,463,539			33,989			-			-			10,573,356			1,625,044			6,231,150			-

Capital withdrawals		(148,424,995	)		(10,491,813	)		(1,110,616	)		(34,828,245	)		(45,389,232	)		(39,715,513	)		(16,889,576	)		-

From operations:
Net investment income (loss)		(16,179,151	)		(930,107	)		(131,837	)		(644,346	)		(8,795,588	)		(3,486,813	)		(2,190,344	)		(116	)
Net realized gain (loss) from investments(net of brokerage commissions)		35,802,406			2,229,085			418,901			2,229,295			15,238,242			8,698,563			6,988,023			297
Net change in unrealized gain (loss) from investments		(14,528,104	)		(897,783	)		(177,017	)		(837,808	)		(6,240,696	)		(3,556,862	)		(2,817,814	)		(124	)
Net income for the nine months ended September 30, 2014		5,095,151			401,195			110,047			747,141			201,958			1,654,888			1,979,865			57

Balances at September 30, 2014	$	370,647,569		$	23,329,113		$	4,809,485		$	12,186,101.0		$	168,533,869		$	90,838,287		$	70,947,096		$	3,618

See accompanying notes.

-9-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A.	General Description of the Partnership

Altegris Winton Futures Fund, L.P. (f/k/a Winton Futures Fund, L.P. (US)) (the “Partnership”) was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership, as amended and restated from time to time (“Agreement”). The Partnership's general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) (the “General Partner”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

B.	Method of Reporting

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of September 30, 2014 and December 31, 2013, and reported amounts of income and expenses for the three and nine months ended September 30, 2014 and 2013, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the condensed financial statements for the interim period.

C.	Fair Value

In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.

-10-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.

Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;

Level 2 - Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 - Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

The availability of valuation techniques and observable inputs can vary from assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

-11-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.

Forward currency contracts are valued at fair value using spot currency rates and adjusted for interest rates and other typical adjustment factors. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy.

The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government bonds are categorized in Levels 1 or 2 of the fair value hierarchy. As of September 30, 2014 or December 31, 2013 none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are categorized in Level 1 of the fair value hierarchy.

The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of September 30, 2014 or December 31, 2013 none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes to the Partnership’s valuation methodology during the period ended September 30, 2014 and the year ended December 31, 2013.

-12-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.	Fair Value (continued)

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2014 and December 31, 2013:

									Balance as of
September 30, 2014	Level 1			Level 2			Level 3		September 30, 2014
Assets:
Futures contracts (1)	$	18,970,898		$	-		$	-	$	18,970,898
Forward currency contracts (1)		-			1,721,510			-		1,721,510
U.S. Government agency
bonds and notes		198,251,964			-			-		198,251,964
Corporate notes		-			125,484,154			-		125,484,154

	$	217,222,862		$	127,205,664		$	-	$	344,428,526

Liabilities:
Futures contracts (1)	$	(13,180,207	)	$	-		$	-	$	(13,180,207	)
Forward currency contracts (1)		-			(5,101,643	)		-		(5,101,643	)

	$	(13,180,207	)	$	(5,101,643	)	$	-	$	(18,281,850	)

									Balance as of
December 31, 2013	Level 1			Level 2			Level 3		December 31, 2013
Assets:
Futures contracts (1)	$	21,739,925		$	-		$	-	$	21,739,925
Forward currency contracts (1)		-			2,042,925			-		2,042,925
U.S. Government agency
bonds and notes		233,419,983			-			-		233,419,983
Corporate notes		-			162,093,478			-		162,093,478
U.S. Treasury Obligations		67,108,390			-			-		67,108,390

	$	322,268,298		$	164,136,403		$	-	$	486,404,701

Liabilities:
Futures contracts (1)	$	(5,376,269	)	$	-		$	-	$	(5,376,269	)
Forward currency contracts (1)		-			(1,855,143	)		-		(1,855,143	)

	$	(5,376,269	)	$	(1,855,143	)	$	-	$	(7,231,412	)

(1)	See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.

For the nine month period ended September 30, 2014 and the year ended December 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the nine month period ended September 30, 2014 and the year ended December 31, 2013, there were no Level 3 securities.

D.	Investment Transactions and Investment Income

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.

-13-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D.	Investment Transactions and Investment Income (continued)

Gains or losses on futures contracts and options on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are incurred as an expense when contracts are opened, and are recognized as trading gains and losses.

Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, sales and maturities of foreign currency forward contracts, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on foreign currency denominated other assets and liabilities arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year end, resulting from changes in the exchange rates.

JPMorgan Chase Bank, N.A. (“Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian. Newedge USA, LLC is the Partnership’s commodity broker (the “Clearing Broker”). For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”).

E.	Option Contracts

Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold.

As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option.

As the writer of a put option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received.

-14-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E.	Option Contracts (continued)

As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition.

F.	Futures Contracts

The Partnership may engage in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain/loss on futures contracts. The Partnership recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at September 30, 2014 and December 31, 2013 are reflected within the Condensed Schedules of Investments.

G.	Forward currency contracts

Forward currency contracts may be entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized appreciation or depreciation. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at September 30, 2014 and December 31, 2013 are reflected within the Condensed Schedules of Investments.

H.	Foreign Currency Transactions

The Partnership’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statement of Financial Condition.

-15-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

H.	Foreign Currency Transactions

Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statement of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statement of Income (Loss).

Cash

Restricted cash is held as maintenance margin deposits for futures contracts.

The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.

J.	Income Taxes

As an entity taxable as a partnership for the U.S. Federal Income tax purposes; the Partnership itself is not subject to Federal Income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses.

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of September 30, 2014 and December 31, 2013. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2011.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of September 30, 2014 and December 31, 2013 and for the three and nine months ended September 30, 2014 and 2013.

K.	Reclassifications

Certain amounts in the 2013 financial statements were reclassified to conform to the 2014 presentation.

-16-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 2 - PARTNERS’ CAPITAL

A.	Capital Accounts and Allocation of Income and Losses

The Partnership accounts for subscriptions and redemptions on a per partner capital account basis.

The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”). Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the Limited Partners based on their respective capital accounts as of the end of each month, in which the items accrue pursuant to the terms of the Partnership’s Agreement. Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.

No Limited Partner shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner’s capital contributions, except as may be required by law.

B.	Subscriptions, Distributions and Redemptions

Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the nine months ended September 30, 2014 and 2013.

NOTE 3 - RELATED PARTY TRANSACTIONS

A.	General Partner Management Fee

The General Partner receives a monthly management fee from the Partnership equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% to 0.125% (0.50% to 1.5% annually) for Special Interests of the Partnership's management fee net asset value. The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.

Total management fees earned by the General Partner, for the three and nine months ended September 30, 2014 and 2013 are shown on the Statements of Income (Loss) as Management Fee.

-17-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

B.	Administrative Fee

The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and nine months ended September 30, 2014, administrative fees for Class A Interests were $145,543 and $466,784, respectively and administrative fees for Class B Interests were $81,709 and $272,038, respectively. For the three and nine months ended September 30, 2013, administrative fees for Class A Interests were $196,312 and $643,678, respectively and administrative fees for Class B Interests were $137,100 and $464,398, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

C.	Altegris Investments, Inc. and Altegris Futures, L.L.C.

Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities and Exchange Commission. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership's introducing broker. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Newedge USA, LLC, the Partnership’s commodity broker (the “Clearing Broker”) and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.

At September 30, 2014 and December 31, 2013, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $358,375 and $482,292, respectively, and service fees payable to Altegris Investments of $50,466 and $62,886, respectively. The following tables show the fees paid to Altegris Investments and Altegris Futures for the three and nine months ended September 30, 2014 and 2013:

	Three months		Nine months		Three months		Nine months
	ended		ended		ended		ended
	September 30, 2014		September 30, 2014		September 30, 2013		September 30, 2013
Altegris Futures - Brokerage
Commission fees	$	1,174,005	$	3,975,805	$	1,775,729	$	5,934,448
Altegris Investments
Service fees		153,367		492,401		194,738		636,335
Total	$	1,327,372	$	4,468,206	$	1,970,467	$	6,570,783

The amounts above are included in Brokerage Commissions and Service Fees on the Statements of Income (Loss), respectively. The amounts shown on the Statements of Income (Loss) include fees paid to non-related parties.

-18-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 4 - ADVISORY CONTRACT

The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Limited (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement). Total incentive fees earned by the Advisor for the three and nine months ended September, 2014 and 2013 are shown on the Statements of Income (Loss).

The Advisor receives a monthly management fee from the Partnership equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional Interests of the Partnership's management fee net asset value. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three and nine months ended September 30, 2014, management fees for Class A Interests were $441,042 and $1,414,500, respectively, management fees for Class B Interests were $247,604 and $824,358, respectively, management fees for Original Class B Interests were $12,384 and $39,092, respectively, management fees for Special Interests were $31,582 and $194,598, respectively and management fees for Institutional Interests were $187,320 and $634,709, respectively. For the three and nine months ended September 30, 2013, management fees for Class A Interests were $594,884 and $1,950,537, respectively, management fees for Class B Interests were $415,455 and $1,407,268, respectively, management fees for Original Class B Interests were $19,270 and $68,913, respectively, management fees for Special Interests were $76,936 and $236,103, respectively and management fees for Institutional Interests were $255,049 and $852,961, respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee.

NOTE 5 - SERVICE FEES

Original Class A Interests and Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners. Selling agents may, at their option, elect to receive the service fee for the sale of Institutional Interests. For the three and nine months ended September 30, 2014, service fees for General Partner’s Interest, were $18 and $54, respectively, service fees for Class A Interests were $873,042 and $2,809,248, respectively, service fees for Original Class A Interests were $124,656 and $422,601, respectively and service fees for Institutional Interests were $3,509 and $12,082, respectively. For the three and nine months ended September 30, 2013, service fees for General Partner’s Interest, were $17 and $52, respectively, service fees for Class A Interests were $1,175,427 and $3,880,663, respectively, service fees for Original Class A Interests were $191,571 and $675,789, respectively and service fees for Institutional Interests were $5,676 and $18,130, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners holding Institutional Interests.

-19-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 6 - BROKERAGE COMMISSIONS

The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected on the Statements of Income (Loss) as Brokerage Commissions. The Partnership pays to its clearing brokers a monthly brokerage commission equal to the greater of: (1) actual brokerage commissions, which are based upon trading volume, or (2) a flat rate of 0.125% (1.5% annually) (the "Minimum Amount") of the Partnership's management fee net asset value.

If actual brokerage commissions paid to the Clearing Broker are less than the Minimum Amount, the Partnership will pay to the introducing broker, the difference. However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions.

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

The Partnership engages in the speculative trading of futures, options on futures, and forward contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

The following presents the fair value of derivative contracts at September 30, 2014 and December 31, 2013. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statement of Financial Condition.

-20-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

September 30, 2014
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Derivatives Contracts	Fair Value		Fair Value			Fair Value

Futures Contracts
Agriculture	$	1,549,935	$	(5,841,023	)	$	(4,291,088	)
Currencies		5,286,054		(776,056	)		4,509,998
Energy		3,056,236		(56,596	)		2,999,640
Interest Rates		4,361,038		(880,484	)		3,480,554
Metals		3,326,026		(889,020	)		2,437,006
Stock Indices		1,391,609		(3,051,198	)		(1,659,589	)
Treasury Rates		-		(1,685,830	)		(1,685,830	)

	$	18,970,898	$	(13,180,207	)	$	5,790,691

Forward Currency Contracts	$	1,721,510	$	(5,101,643	)	$	(3,380,133	)

Total Gross Fair Value of Derivatives Contracts	$	20,692,408	$	(18,281,850	)	$	2,410,558

December 31, 2013
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Derivatives Contracts	Fair Value		Fair Value			Fair Value

Futures Contracts
Agriculture	$	2,192,246	$	(714,872	)	$	1,477,374
Currencies		3,919,970		(72,081	)		3,847,889
Energy		402,001		(440,838	)		(38,837	)
Interest Rates		980,354		(3,039,982	)		(2,059,628	)
Metals		1,968,925		(558,884	)		1,410,041
Stock Indices		12,032,616		(1,565	)		12,031,051
Treasury Rates		243,813		(548,047	)		(304,234	)

	$	21,739,925	$	(5,376,269	)	$	16,363,656

Forward Currency Contracts	$	2,042,925	$	(1,855,143	)	$	187,782

Total Gross Fair Value of Derivatives Contracts	$	23,782,850	$	(7,231,412	)	$	16,551,438

-21-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and nine months ended September 30, 2014 and 2013.

The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts.

Three Months ended September 30, 2014
Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed

Futures Contracts
Agricultural	$	(1,511,737	)	$	(3,243,901	)
Currencies		1,508,164			2,237,165
Energy		(1,428,084	)		2,907,362
Interest Rates		10,573,296			(3,550,670	)
Metals		(735,961	)		4,114,999
Stock Indices		1,804,369			(2,561,720	)
Treasury Rates		1,890,883			(2,093,703	)

	$	12,100,930		$	(2,190,468	)		33,528

Forward Currency Contracts	$	(1,450,712	)	$	(3,412,003	)	$	203,770,754,337	(1)

Total gain (loss) from derivatives contracts	$	10,650,218		$	(5,602,471	)

Nine Months ended September 30, 2014
Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed

Futures Contracts
Agricultural	$	(331,143	)	$	(5,768,462	)
Currencies		3,148,069			662,109
Energy		(1,025,231	)		3,038,477
Interest Rates		23,420,054			5,540,182
Metals		(3,771,437	)		1,026,965
Stock Indices		15,151,186			(13,690,640	)
Treasury Rates		3,574,476			(1,381,596	)

	$	40,165,974		$	(10,572,965	)		104,713

Forward Currency Contracts	$	652,417		$	(3,567,915	)	$	825,880,991,115	(1)

Total gain (loss) from derivatives contracts	$	40,818,391		$	(14,140,880	)

(1)	Represents the notional amount bought or sold during the three and nine months ended September 30, 2014. The number of contracts closed using average cost for long contracts of 805,559 and 763,401 and short contracts of (795,255) and (749,680) for the three and nine months ended September 30, 2014.

-22-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Three Months ended September 30, 2013
Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed

Futures Contracts
Agricultural	$	144,205		$	2,211,345
Currencies		(2,734,221	)		927,711
Energy		(7,985,006	)		1,192,361
Interest Rates		(1,581,957	)		4,802,237
Metals		473,158			(11,575,576	)
Stock Indices		5,154,814			1,961,143
Treasury Rates		(924,488	)		579,602

	$	(7,453,495	)	$	98,823			36,945

Forward Currency Contracts	$	(2,644,641	)	$	3,249,467		$	238,411,110,077	(1)

Total gain (loss) from derivatives contracts	$	(10,098,136	)	$	3,348,290

Nine Months ended September 30, 2013
Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed

Futures Contracts
Agricultural	$	4,873,216		$	2,960,735
Currencies		17,236,417			(4,925,567	)
Energy		(10,824,161	)		277,110
Interest Rates		(15,775,579	)		460,942
Metals		4,364,095			5,658,389
Stock Indices		33,573,224			(4,554,034	)
Treasury Rates		(10,425,686	)		824,931

	$	23,021,526		$	702,506			145,820

Forward Currency Contracts	$	(6,325,324	)	$	1,820,129		$	751,078,506,871	(1)

Total gain (loss) from derivatives contracts	$	16,696,202		$	2,522,635

(1)	Represents the notional amount bought or sold during the three and nine months ended September 30, 2013. The number of contracts closed using average cost for long contracts of 905,381 and 880,871 and short contracts of (883,371) and (846,952) for the three and nine months ended September 30, 2013.

-23-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding-up, liquidation or merger of the Partnership.

With respect to foreign currency forward contracts, the Partnership has entered into an agreement with the Clearing Broker, whereby the party having the greater obligation (either the Partnership or the Clearing Broker) shall deliver to the other party at the settlement date the net amount of recognized derivative assets and liabilities.

The following table summarizes the disclosure requirements for offsetting assets and liabilities:

As of September 30, 2014								Gross Amounts Not Offset in the Statement of Financial Condition
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received (1)		Net Amount

Forward contracts		1,721,510		(1,721,510	)		-		-		-		-
Commodity futures contracts		18,970,898		(13,180,207	)		5,790,691		-		-		5,790,691
Total		20,692,408		(14,901,717	)		5,790,691		-		-		5,790,691

Offsetting the Financial Liabilities and Derivative Liabilities

As of September 30, 2014									Gross Amounts Not Offset in the Statement of Financial Condition
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Pledged (1)		Net Amount

Forward contracts		(5,101,643	)		1,721,510		(3,380,133	)		-		-		(3,380,133	)
Commodity futures contracts		(13,180,207	)		13,180,207		-			-		-		-
Total		(18,281,850	)		14,901,717		(3,380,133	)		-		-		(3,380,133	)

-24-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

As of December 31, 2013								Gross Amounts Not Offset in the Statement of Financial Condition
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received (1)		Net Amount

Forward contracts		2,042,925		(1,855,143	)		187,782		-		-		187,782
Commodity futures contracts		21,739,925		(5,376,269	)		16,363,656		-		-		16,363,656
Total		23,782,850		(7,231,412	)		16,551,438		-		-		16,551,438

Offsetting the Financial Liabilities and Derivative Liabilities

As of December 31, 2013								Gross Amounts Not Offset in the Statement of Financial Condition
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Liabilities Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Pledged (1)		Net Amount

Forward contracts		(1,855,143	)		1,855,143		-		-		-		-
Commodity futures contracts		(5,376,269	)		5,376,269		-		-		-		-
Total		(7,231,412	)		7,231,412		-		-		-		-

(1)	Does not include maintenance margin deposits held at the Clearing Broker of $49,494,394 for 2014 and $49,665,842 for 2013, respectively.

NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).

The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.

-25-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)

All of the contracts currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any.

The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.

The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.

NOTE 9 - INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

-26-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three and nine months ended September 30, 2014 and 2013. This information has been derived from information presented in the financial statements.

	Three months ended September 30, 2014
	Original			Original			Special									Institutional
	Class A			Class B			Interests			Class A			Class B			Interests

Total return for Limited Partners (3)
Return prior to incentive fees		0.04	%		0.29	%		0.35	%		(0.42	)%		0.08	%		0.28	%
Incentive fees		(0.16	)%		(0.16	)%		(0.16	)%		(0.16	)%		(0.16	)%		(0.16	)%

Total return after incentive fees		(0.12	)%		0.13	%		0.19	%		(0.58	)%		(0.08	)%		0.12	%

Ratio to average net asset value
Expenses prior to incentive fees (2)		3.25	%		2.22	%		2.72	%		5.10	%		3.11	%		2.17	%
Incentive fees (3)		0.17	%		0.17	%		0.22	%		0.17	%		0.17	%		0.16	%

Total expenses		3.42	%		2.39	%		2.94	%		5.27	%		3.28	%		2.33	%

Net investment (loss) (1) (2)		(3.16	)%		(2.13	)%		(2.59	)%		(5.00	)%		(3.02	)%		(2.08	)%

	Nine months ended September 30, 2014
	Original			Original			Special									Institutional
	Class A			Class B			Interests			Class A			Class B			Interests

Total return for Limited Partners (3)
Return prior to incentive fees		2.59	%		3.34	%		3.53	%		1.20	%		2.71	%		3.33	%
Incentive fees		(0.98	)%		(0.98	)%		(0.98	)%		(0.98	)%		(0.98	)%		(0.99	)%

Total return after incentive fees		1.61	%		2.36	%		2.55	%		0.22	%		1.73	%		2.34	%

Ratio to average net asset value
Expenses prior to incentive fees (2)		3.23	%		2.20	%		2.16	%		5.09	%		3.08	%		2.22	%
Incentive fees (3)		0.99	%		0.97	%		1.23	%		0.99	%		0.99	%		1.01	%

Total expenses		4.22	%		3.17	%		3.39	%		6.08	%		4.07	%		3.23	%

Net investment (loss) (1) (2)		(3.14	)%		(2.11	)%		(2.06	)%		(5.00	)%		(2.99	)%		(2.13	)%

-27-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

	Three months ended September 30, 2013
	Original			Original			Special									Institutional
	Class A			Class B			Interests			Class A			Class B			Interests

Total return for Limited Partners (3)
Return prior to incentive fees		(2.01	)%		(1.77	)%		(1.71	)%		(2.46	)%		(1.98	)%		(1.78	)%
Incentive fees		(0.00	)%		(0.00	)%		(0.00	)%		(0.01	)%		(0.00	)%		(0.00	)%

Total return after incentive fees		(2.01	)%		(1.77	)%		(1.71	)%		(2.47	)%		(1.98	)%		(1.78	)%

Ratio to average net asset value
Expenses prior to incentive fees (2)		3.26	%		2.25	%		1.95	%		5.11	%		3.12	%		2.25	%
Incentive fees (3)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

Total expenses		3.26	%		2.25	%		1.95	%		5.11	%		3.12	%		2.25	%

Net investment (loss) (1) (2)		(3.16	)%		(2.15	)%		(1.85	)%		(5.01	)%		(3.02	)%		(2.15	)%

	Nine months ended September 30, 2013
	Original			Original			Special									Institutional
	Class A			Class B			Interests			Class A			Class B			Interests

Total return for Limited Partners (3)
Return prior to incentive fees		(0.82	)%		(0.08	)%		0.11	%		(2.17	)%		(0.70	)%		(0.10	)%
Incentive fees		(0.00	)%		(0.00	)%		(0.02	)%		(0.09	)%		(0.08	)%		(0.06	)%

Total return after incentive fees		(0.82	)%		(0.08	)%		0.09	%		(2.26	)%		(0.78	)%		(0.16	)%

Ratio to average net asset value
Expenses prior to incentive fees (2)		3.19	%		2.16	%		1.87	%		5.05	%		3.03	%		2.18	%
Incentive fees (3)		0.04	%		0.03	%		0.02	%		0.10	%		0.11	%		0.08	%

Total expenses		3.23	%		2.19	%		1.89	%		5.15	%		3.14	%		2.26	%

Net investment (loss) (1) (2)		(3.07	)%		(2.05	)%		(1.76	)%		(4.93	)%		(2.91	)%		(2.07	)%

Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.

(1)	Excludes incentive fee.

(2)	Annualized.

(3)	Not annualized.

-28-

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were issued.

From October 1, 2014 through November 14, 2014, the Partnership had subscriptions of $6,905,627 and redemptions of $11,310,221.

-29-

PART I – FINANCIAL INFORMATION (continued)

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

Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through September 30, 2014 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Partnership’s futures commission merchants and brokers may require margin in excess of minimum exchange requirements.

Contracts currently traded by the Advisor on behalf of the Partnership include exchange-traded futures contracts and over-the-counter forward currency contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. The credit risk from counterparty non-performance associated with the Partnership’s over-the-counter forward currency transactions is the net unrealized gain on such contracts plus related collateral held by the counterparty.

The Partnership bears the risk of financial failure by the Clearing Broker and Newedge Alternative Strategies, Inc. (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades.

Results of Operations

The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades. The Partnership seeks to produce long-term capital appreciation through growth, and not current income. The past performance of the Partnership is not necessarily indicative of future results.

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

-30-

Performance Summary

Three Months Ended September 30, 2014

During the third quarter of 2014, the Partnership achieved net realized and unrealized gains of $3,048,845 from its trading activities, net of brokerage commissions of $1,474,219. The Partnership accrued total expenses of $4,328,162, including $1,073,537 in management fees paid to the General Partner, $657,666 in incentive fees, and $1,326,786 in service and professional fees. The Partnership earned $88,224 in interest income during the third quarter of 2014. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2014 is set forth below.

Third Quarter 2014. The Partnership experienced a loss in July 2014. Long positions in fixed income, natural gas and crude oil futures contributed to portfolio losses. Equity markets and fixed income markets fell sharply at the end of the month following a very strong GDP number in the U.S. resulting in losses in the Partnership’s position in Dow Jones Eurostoxx 50 futures. Mild summer weather in the U.S. which is forecast to continue, has limited energy consumption and subsequently seen storage rise at the fastest rate in over 10 years, eroding the value of the Partnership’s natural gas contracts. Crude oil prices and the Partnership’s long position in crude oil futures also fell due to low level of demand. Positions in the British pound and Eurodollar also contributed to losses. Long positions in aluminum and zinc futures contracts contributed positively to performance. Long positions in the U.S. Treasuries caused by a U.S. Treasury rally early in the month contributed to the Partnership’s gain in August 2014. The Partnership’s long position in the S&P index futures and short position in Euro futures also contributed positively to performance. The Partnership incurred losses on its long positions in the British pound and its positions in futures on live cattle and soybeans. The Partnership experienced a slight loss in September 2014. The prospect of higher U.S. interest rates weighed on equity and bond prices, contributing to losses in these sectors but provided continued support for the U.S. dollar and strong performance for the Partnership’s long position against the Euro. The Partnership’s positions in gold and silver futures, Japanese Yen and Brent crude oil contributed positively to performance. The Partnership’s long position in soybean futures detracted from performance as U.S. farmers began harvesting a record crop and China suspended import approval for two genetically modified traits.

Three Months Ended September 30, 2013

During the third quarter of 2013, the Partnership incurred net realized and unrealized losses of $8,464,047 from its trading activities, net of brokerage commissions of $2,187,754. The Partnership incurred total expenses of $5,312,738, including $1,579,815 in management fees paid to the General Partner, $13,634 in incentive fees, and $1,821,363 in service and professional fees. The Partnership earned $139,265 in interest income during the third quarter of 2013. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2013 is set forth below.

Third Quarter 2013. The Partnership experienced a loss in July 2013. Although futures contracts on US and European equity indices recovered some of their June losses and the Euro rallied, these gains were offset by losses across the portfolio, primarily from a short Japanese Yen position. The Euro rallied to erase its recent losses, but these gains were offset by losses in a short Japanese Yen position. Short gold and copper positions also contributed losses in the metal markets. The energy sector exhibited a broad rally in the first half of the month, reducing the value of short positions held in heating and crude oil. Corn prices continued to fall resulting in a negative performance contribution from the crops sector. The Partnership experienced a loss in August 2013. A sell-off in equities caused losses in futures contracts on stock index positions while precious metal prices rallied leading to further losses in short gold and silver positions. Energy prices rose towards the end of the month benefiting long crude, natural gas and gasoline positions but contributed to a weakening in currencies of oil importing nations, most notably India. Crops provided the strongest sector performance for the Partnership as soybean futures posted their biggest monthly gain for over a year. The Partnership achieved a gain in September 2013 as precious metal and energy prices gave back some of the associated gains seen in August, profiting short gold and silver positions but reducing the value of crude holdings. Currencies also performed well with the US dollar losing some interest rate support leading to gains on the Euro, sterling and emerging market currencies.

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Nine Months Ended September 30, 2014

During the nine months ended September 30, 2014, the Partnership achieved net realized and unrealized gains of $21,274,302 from its trading activities, net of brokerage commissions of $4,979,634. The Partnership accrued total expenses of $16,474,631, including $3,560,645 in management fees paid to the General Partner, $4,383,127 in incentive fees, and $4,318,976 in service and professional fees. The Partnership earned $295,480 in interest income during the nine months ended September 30, 2014. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2014 is set forth below.

Second Quarter 2014. The Partnership experienced a gain in April 2014. Uncertainty relating to tensions in Ukraine and additional sanctions imposed on Russia by the US and Europe continued to weigh on investor conviction through April. These events contributed to mixed performance in the global stock market. The Partnership’s holding in futures on the Nikkei index detracted from performance. The European Central Bank’s (“ECB”) announcement to open the door to potential large-scale asset purchases benefitted the Partnership’s long fixed income positions where German Bunds provided the most significant contribution to the Partnership. Natural gas prices rose during the month along with the value of the Partnership’s long position in natural gas. The crop sector also posted positive performance, in particular the Partnership’s futures position in soybeans. The Partnership experienced a gain in May 2014. Monetary policy played a key role during the month with both the President of the ECB and the Chair of the US Federal Reserve making statements. Speculation of a cut to interest rates by the ECB at the June policy meeting put the Euro under pressure and negatively impacted the long Euro position in the Partnership’s currency portfolio. The Partnership’s long exposure to German Bunds contributed positively to performance. Improving weather conditions in the US and Russia led to declines in the price of wheat and corn, which adversely affected the Partnership’s performance. The Partnership experienced a loss in June 2014. Monetary policy by the US Federal Reserve, the ECB and the Governor of the Bank of England played an important role in the global markets during the month. These monetary policy actions provided a catalyst for a number of US indices to reach record highs, elevated the European fixed income markets and continued momentum for sterling, profiting the Partnership’s long futures positions in the S&P index, German Bund and British pound sterling. Regional instability in the Middle East contributed to rising precious metal values and subsequent losses in the Partnership’s short positions in the sector. The geopolitical conflicts in the region threatened refinery output benefitted the Partnership’s futures positions in crude oil. The Partnership’s futures contracts on corn lost value due in part to the high corn inventory levels and confirmation of record harvests in the US.

First Quarter 2014. The Partnership experienced a loss in January 2014. The markets focused on events in China, specifically the “shadow banking industry” and the possibility of the first ever Chinese trust bankruptcy. A last minute bailout plan allowed investors to get their principal back, but speculation remained about the potential for a Chinese credit crisis. Escalating political tension most notably in Ukraine, Turkey and Thailand increased pressure on emerging markets, and towards the end of the month the Partnership’s trading in futures contracts in Ruble, Rand and global equity indices contributed to losses. The Partnership achieved gains in its trading of futures contracts in the Canadian dollar. The Partnership achieved a gain in February 2014. Global equity markets rallied through February, reversing losses experienced in January with major indices revisiting record highs and adding value to the Partnership’s positions in futures in global equity indices. Mother nature had a significant influence on market performance during the month. The Partnership’s short position in coffee futures experienced losses. Overly precipitous weather in the soybean producing regions of Brazil reduced the quality of maturing crops and benefitted the Partnership’s long futures position as prices rose. Livestock values also moved higher which benefitted the Partnership’s futures position in this sector, particularly hogs. The Partnership experienced a loss in March 2014. At the forefront of investors’ minds through March were the events in the Crimean Peninsula. Russia reclaimed Crimea following a referendum which the Ukrainian parliament claimed was unconstitutional and that the United States and the European Union considered to be illegal. The resultant threat of international sanctions against Russia and the simmering geopolitical tension led to a volatile month for global markets. China’s first onshore corporate bond default added to negative sentiment with data that pointed to a third consecutive monthly decline in manufacturing growth. Markets were further destabilized when the U.S. FOMC revised their projected Fed Funds targets, signaling increased conviction for more rapid monetary policy tightening once initiated. These events contributed to the Partnership’s losses across index futures, U.S. fixed income and short U.S. dollar positions. The Partnership achieved gains in its short position in silver futures and in futures in the livestock sector.

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Nine Months Ended September 30, 2013

During the nine months ended September 30, 2013, the Partnership achieved net realized and unrealized gains of $12,043,313 from its trading activities, net of brokerage commissions of $7,282,370. The Partnership incurred total expenses of $17,832,954, including $5,261,065 in management fees paid to the General Partner, $604,625 in incentive fees, and $6,004,383 in service and professional fees. The Partnership earned $546,607 in interest income during the nine months ended September 30, 2013. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2013 is set forth below.

Third Quarter 2013. The Partnership experienced a loss in July 2013. Although futures contracts on US and European equity indices recovered some of their June losses and the Euro rallied, these gains were offset by losses across the portfolio, primarily from a short Japanese Yen position. Short gold and copper positions also contributed losses in the metal markets. The energy sector exhibited a broad rally in the first half of the month, reducing the value of short positions held in heating and crude oil. Corn prices continued to fall resulting in a negative performance contribution from the crops sector. The Partnership experienced a loss in August 2013. A sell-off in equities caused losses in futures contracts on stock index positions while precious metal prices rallied leading to further losses in short gold and silver positions. Energy prices rose towards the end of the month benefiting long crude, natural gas and gasoline positions but contributed to a weakening in currencies of oil importing nations, most notably India. Crops provided the strongest sector performance for the Partnership as soybean futures posted their biggest monthly gain for over a year. The Partnership achieved a gain in September 2013 as precious metal and energy prices gave back some of the associated gains seen in August, profiting short gold and silver positions but reducing the value of crude holdings. Currencies also performed well with the US dollar losing some interest rate support leading to gains on the Euro, sterling and emerging market currencies.

Second Quarter 2013. The Partnership experienced a gain in April 2013. Financial markets extended their rally through April, as the combination of central bank balance sheet expansion and a positive earnings season helped performance. Some momentum was lost mid-April after the release of unexpectedly soft financial data out of China. However, metal prices sold off and have struggled to recover, increasing the value of short positions in futures contracts in gold, copper and to a lesser extent, silver. Japanese markets provided the biggest outperformances as trends in the Nikkei and yen accelerated, delivering large gains. The Partnership experienced a loss in May 2013 as the combination of the ECB cutting interest rates and discussing preventative measures helped US and European equity markets post gains. In Japan there was a volatile reversal to the rally seen so far in 2013, with yields pushed higher as fixed income positions unwound, reducing the value of long holdings in Europe and the US. Emerging market currencies weakened as the differential between core and peripheral yields narrowed, negatively impacting long holding of Turkish Lira and Chilean Peso. Precious metals also extended recent losses, benefitting short gold positions in that sector. The Partnership experienced a loss in June 2013 as the markets reacted to the rise in US yields that continued despite attempts from Federal Reserve officials to reassure market participants. This momentum was not helped by generally positive US economic data and the resulting sell off in asset prices. This was particularly so in Japan, where the so-called “Abenomics” rally came to a definite end. The Partnership’s long positions across futures contracts on equity indices and fixed income markets fell in value. Losses were offset to some extent by short positions in the precious and base metal sectors.

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First Quarter 2013. The Partnership achieved a gain in January 2013 with the Partnership’s trading in futures contracts on stock indices making the most significant contribution to performance. Indications of early repayments of European Central Bank loans and the Yen stimulus package from the new Japanese government helped the short Yen and long Euro positions in the Partnership’s currency portfolio achieve large gains. Energy prices increased through the month, with a negative impact on the Partnership’s short positions in futures contracts on oil and natural gas. The Partnership experienced a loss in February 2013. February was a turbulent month for asset prices leaving the value of our positions in futures contracts on equities and currencies down on the month. This negative performance was offset in part by corresponding higher moves in bond and fixed income prices. Crop prices fell, benefitting the Partnership’s short wheat and corn positions. Precious metals also contributed to losses with a continuation of recent market falls incurring losses in the Partnership’s long silver position. The Partnership achieved a gain in March 2013 as US equity markets resumed their rally, producing strong returns for the Partnership’s long positions in futures contracts on U.S. stock indices. Uncertainty surrounding financial stability in Cyprus saw European stock indices fall in the second half of the month, additionally hurting the value of some of the Partnership’s long positions in futures contracts on emerging market currencies and the Partnership’s short gold position. The Partnership achieved gains in its trading of futures contracts in Yen and Japanese stock indices. Extended cold weather eroded natural gas storage levels, pushing prices significantly higher and helping the energy sector make gains in the Partnership’s portfolio during the month.

Off-Balance Sheet Arrangements

The Partnership does not engage in off-balance sheet arrangements with other entities.

Contractual Obligations

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The Partnership’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at September 30, 2014.

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

Due to the nature of the Partnership as a speculative commodity pool, changes from December 31, 2013 are not material.

Item 4: Controls and Procedures.

The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the General Partner’s internal controls over financial reporting with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of the evaluation.

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PART II – OTHER INFORMATION

Item 1: Legal Proceedings.

None.

Item 1A: Risk Factors.

There have been no material changes to the Partnership’s risk factors since the Partnership filed its annual report on Form 10-K with the Securities and Exchange Commission on March 31, 2014.

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

(a) The requested information has been previously reported on Form 8-K.

(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the third calendar quarter of 2014:

Month	Amount Redeemed
July 31, 2014	$	10,196,810
August 31, 2014	$	9,608,684
September 30, 2014	$	15,335,617

Item 3: Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4: Mine Safety Disclosure.

Not applicable.

Item 5: Other Information.

(a) None.

(b) Not applicable.

Item 6: Exhibits.

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Registration Statement on Form 10 (File No. 000-53348) filed on July 30, 2008.

Exhibit Number	Description of Document
3.1	Certificate of Formation of Winton Futures Fund, L.P. (US)
4.1	First Amended Agreement of Limited Partnership of Winton Futures Fund, L.P. (US)
10.1	Advisory Contract between Winton Futures Fund, L.P. (US), Rockwell Futures Management, Inc.** and Winton Capital Management Limited and Amendment thereto dated June 1, 2008
10.2	Introducing Broker Clearing Agreement between Fimat USA, LLC*** and Altegris Investments, Inc.
10.3	Form of Selling Agency Agreement

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The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53348) filed on April 18, 2011.

Exhibit Number	Description of Document
3.01	Amendment to the Certificate of Formation of Winton Futures Fund, L.P. (US), changing the registrant’s name to Altegris Winton Futures Fund, L.P.
3.02	Second Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.

The following exhibits are included herewith.

Exhibit Number	Description of Document
10.04	Amendment dated July 1, 2014 to Advisory Contract
31.01	Rule 13a-14(a)/15d-14(a) Certification
32.01	Section 1350 Certification

**	Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.

***	Fimat USA, LLC is now Newedge USA, LLC.

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SIGNATURES

Pursuant to the requirements of Section 12 of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: November 14, 2014

ALTEGRIS WINTON FUTURES FUND, L.P.

By:	ALTEGRIS PORTFOLIO MANAGEMENT, INC.
		(d/b/a Altegris Funds), its general partner

/s/ Jon C. Sundt
Jon C. Sundt, President (principal executive officer and principal financial officer)

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Attached files

Altegris Winton Futures Fund, L.P. Reports

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