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EX-32.02 - CERTIFICATION - Altegris Winton Futures Fund, L.P.awff_10q-ex3202.htm
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EX-31.02 - CERTIFICATION - Altegris Winton Futures Fund, L.P.awff_10q-ex3102.htm
EX-31.01 - CERTIFICATION - Altegris Winton Futures Fund, L.P.awff_10q-ex3101.htm

 

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 


 

FORM 10-Q

 


 

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

 

For the quarterly period ended September 30, 2017

 

OR

 

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

 

For the transition period from  ________ to ___________

 

Commission File Number:    000-53348

 


 

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 ADVISORS, L.L.C.

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  ý    No  o

 

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  ý No  o

 

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

 

Large accelerated filer  o   Accelerated filer  o     Non-accelerated filer  ý     Smaller reporting company  o
Emerging growth company  o                

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

 

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

 

 

 
 

 

 

TABLE OF CONTENTS

 

     
    Page
     
PART I – FINANCIAL INFORMATION 3
     
Item 1. Financial Statements 3
     
  Statements of Financial Condition 3
     
  Condensed Schedules of Investments 4
     
Statements of Income (Loss) 10
     
  Statements of Changes in Partners’ Capital (Net Asset Value) 11
     
  Notes to Financial Statements 12
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 33
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 38
     
Item 4. Controls and Procedures 38
     
     
PART II – OTHER INFORMATION 39
     
Item 1. Legal Proceedings 39
     
Item 1A. Risk Factors 39
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 39
     
Item 3. Defaults Upon Senior Securities 39
     
Item 4. Mine Safety Disclosure 39
     
Item 5. Other Information 39
     
Item 6. Exhibits 40
     
Signatures 41
     
Rule 13a–14(a)/15d–14(a) Certifications  
     
Section 1350 Certifications  

 

 

 

 

 2 

 

PART I – FINANCIAL INFORMATION

 

Item 1: Financial Statements.

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

SEPTEMBER 30, 2017 (Unaudited) and DECEMBER 31, 2016 (Audited)

_______________

   

 

   2017   2016 
ASSETS        
Equity in commodity broker account          
Cash  $665,700   $ 
Restricted cash   14,123,989    23,843,994 
Restricted foreign currency (cost - $3,576,941 and $3,533,623)   3,623,295    3,445,473 
Foreign currency (cost - $1,764,264 and $825,062)   1,787,128    804,481 
Net unrealized gain on open futures contracts       3,073,294 
Net unrealized gain on open forward contracts       349,091 
           
    20,200,112    31,516,333 
           
Cash   4,244,686    6,210,512 
Investment securities at value
   (cost - $170,905,792 and $230,834,517)
    170,905,569       230,831,657   
Subscriptions receivable   55,494     
Interest receivable   8,706    6,163 
           
Total assets  $195,414,567   $268,564,665 
           
LIABILITIES          
Equity in commodity broker account          
Net unrealized loss on open futures contracts  $308,601   $ 
Net unrealized loss on open forward contracts   760,364     
           
    1,068,965     
           
Redemptions payable   5,428,823    9,874,875 
Security purchased payable   4,949,687     
Subscriptions received in advance   326,122    348,744 
Brokerage commissions payable   223,649    303,597 
Service fees payable   197,214    251,426 
Management fee payable   167,861    234,362 
Advisory fee payable   151,085    207,739 
Administrative fee payable   34,267    48,252 
Incentive fee payable   151    1,756 
Other liabilities   489,770    610,655 
           
Total liabilities   13,037,594    11,881,406 
           
PARTNERS' CAPITAL (NET ASSET VALUE)          
General Partner   3,583    3,699 
Limited Partners   182,373,390    256,679,560 
           
Total partners' capital (Net Asset Value)   182,376,973    256,683,259 
           
Total liabilities and partners' capital  $195,414,567   $268,564,665 

 

See accompanying notes.

 

 

 3 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017 (Unaudited)

_______________

 

 

INVESTMENT SECURITIES

 

Face Value   Maturity Date  Description  Fair Value   % of Partners'
Capital
               
Fixed Income Investments          
               
U.S. Government Agency Bonds and Notes        
$19,087,000   10/2/2017  Federal Farm Credit Bank Disc Note, 1.05%*  $19,086,629   10.47%
 27,056,000   10/2/2017  Federal Home Loan Bank Disc Note, 0.00%*   27,056,000   14.84%
 15,000,000   10/4/2017  Federal Home Loan Bank Disc Note, 0.54%*   14,999,175   8.22%
 6,900,000   10/25/2017  Federal Home Loan Bank Disc Note, 0.91%*   6,895,632   3.78%
 6,700,000   10/27/2017  Federal Home Loan Bank Disc Note, 0.92%*   6,695,390   3.67%
 12,500,000   11/15/2017  Federal Home Loan Bank Disc Note, 0.96%*   12,484,725   6.85%
 15,000,000   1/8/2018  Federal Home Loan Bank Disc Note, 1.06%*   14,955,900   8.20%
 9,963,000   10/2/2017  Federal Home Loan Mortgage Corporation Disc Note, 0.00%*   9,963,000   5.46%
                 
 Total U.S. Government Agency Bonds and Notes (cost - $112,134,656)  $112,136,451   61.49%

 

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

 

See accompanying notes.

 

 

 

 4 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

SEPTEMBER 30, 2017 (Unaudited)

_______________

 

 

INVESTMENT SECURITIES (continued)

 

Face Value   Maturity Date  Description  Fair Value   % of Partners'
Capital
               
Fixed Income Investments (continued)        
                 
Corporate Notes        
$4,950,000   10/4/2017  Automatic Data Processing Inc., 1.12%*  $4,949,231   2.71%
 5,000,000   10/6/2017  Banco del Estado de Chile, 1.23%   5,000,042   2.74%
 5,000,000   10/6/2017  Bank of Montreal, 1.24%*   4,998,793   2.74%
 4,800,000   10/2/2017  Bridgestone Americas, Inc., 1.18%*   4,799,855   2.63%
 3,300,000   10/6/2017  Bridgestone Americas, Inc., 1.18%*   3,299,487   1.81%
 5,070,000   10/6/2017  CIBC World Markets Corp., 1.18%*   5,068,837   2.78%
 1,200,000   10/2/2017  DCAT, LLC, 1.29%*   1,199,871   0.66%
 3,300,000   10/10/2017  Honeywell International Inc., 1.125%*   3,298,865   1.81%
 4,960,000   10/18/2017  MetLife Short Term Funding LLC, 1.12%*   4,957,065   2.72%
 4,900,000   10/13/2017  Sumitomo Mitsui Banking Corporation, 1.20%   4,900,020   2.69%
 3,300,000   10/11/2017  Sumitomo Mitsui Trust Bank Ltd., 1.18%   3,299,993   1.81%
 8,100,000   10/2/2017  Victory Receivables Corporation, 1.07%*   8,099,759   4.44%
 4,900,000   10/17/2017  Wal-Mart Stores Inc., 1.10%*   4,897,300   2.68%
                 
 Total Corporate Notes (cost - $58,771,136)   58,769,118   32.22%
                 
 Total investment securities (cost - $170,905,792)  $170,905,569   93.71%

 

* 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)

SEPTEMBER 30, 2017 (Unaudited)

_______________

 

 

   Range of
Expiration Dates
  Number of
Contracts
   Fair Value   % of Partners'
Capital
               
LONG FUTURES CONTRACTS:                
Agriculture  Oct 17 - Mar 18   194   $(124,802)  (0.07)%
Currencies  Dec-17   697    (831,718)  (0.46)%
Energy  Oct 17 - Dec 17   166    170,208   0.09%
Interest Rates  Dec 17 - Sep 20   2,968    (1,116,620)  (0.61)%
Metals  Nov 17 - Dec 17   227    (445,060)  (0.24)%
Stock Indices  Oct 17 - Dec 17   1,803    2,539,876   1.39%
Treasury Rates  Dec-17   295    (661,813)  (0.36)%
                 
Total long futures contracts      6,350    (469,929)  (0.26)%
                 
SHORT FUTURES CONTRACTS:                
Agriculture  Nov 17 - Apr 18   813    426,350   0.23%
Currencies  Dec-17   484    951,757   0.52%
Energy  Oct 17 - Nov 17   158    (70,890)  (0.04)%
Interest Rates  Dec 17 - Mar 18   3    505   0.00%
Metals  Nov 17 - Jan 18   65    31,296   0.02%
Stock Indices  Dec-17   330    (1,264,198)  (0.70)%
Treasury Rates  Dec-17   176    86,508   0.05%
                 
Total short futures contracts      2,029    161,328   0.08%
                 
Total futures contracts      8,379   $(308,601)  (0.18)%
                 
LONG FORWARD CONTRACTS:                
Currencies  Oct 17 - Dec 17       $(1,022,048)  (0.56)%
                 
SHORT FORWARD CONTRACTS:                
Currencies  Oct 17 - Dec 17        261,684   0.14%
                 
Total forward currency contracts          $(760,364)  (0.42)%

 

See accompanying notes.

 

 

 

 6 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Audited)

_______________

 

 

INVESTMENT SECURITIES

 

Face Value   Maturity Date  Description  Fair Value   % of Partners'
Capital
               
Fixed Income Investments       
               
U.S. Government Agency Bonds and Notes        
$12,406,000   1/3/2017  Federal Farm Credit Bank Disc Note, 0.47%*  $12,405,759   4.83%
 20,347,000   1/3/2017  Federal Home Loan Bank Disc Note, 0.40%*   20,346,661   7.93%
 15,000,000   1/25/2017  Federal Home Loan Bank Disc Note, 0.33%*   14,996,520   5.84%
 1,150,000   2/1/2017  Federal Home Loan Bank Disc Note, 0.45%*   1,149,536   0.45%
 15,000,000   2/14/2017  Federal Home Loan Bank Disc Note, 0.47%*   14,991,255   5.84%
 7,500,000   2/15/2017  Federal Home Loan Bank Disc Note, 0.47%*   7,495,523   2.92%
 15,000,000   3/10/2017  Federal Home Loan Bank Disc Note, 0.50%*   14,985,705   5.84%
 12,000,000   3/24/2017  Federal Home Loan Bank Disc Note, 0.50%*   11,986,128   4.67%
 15,000,000   5/3/2017  Federal Home Loan Bank Disc Note, 0.54%*   14,972,505   5.83%
 2,000,000   1/3/2017  Federal Home Loan Mortgage Corporation Disc Note, 0.00%*   1,999,950   0.78%
 12,000,000   2/7/2017  Federal Home Loan Mortgage Corporation Disc Note, 0.46%*   11,994,168   4.67%
                 
 Total U.S. Government Agency Bonds and Notes (cost - $127,326,570)  $127,323,710   49.60%

 

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

 

See accompanying notes.

 

 

 

 7 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2016 (Audited)

_______________

 

INVESTMENT SECURITIES (continued)

 

Face Value   Maturity Date  Description  Fair Value   % of Partners' Capital
               
Fixed Income Investments (continued)  
                 
Corporate Notes       
$6,920,000   1/3/2017  Apple Inc., 0.55%  $6,917,616   2.70%
 6,900,000   1/6/2017  Banco del Estado de Chile, 0.67%   6,900,000   2.69%
 4,615,000   1/11/2017  DCAT, LLC, 0.90%   4,612,264   1.80%
 6,920,000   1/6/2017  Exxon Mobil Corp., 0.48%   6,917,380   2.69%
 11,400,000   1/3/2017  GE Capital Treasury Services (U.S.) LLC, 0.61%   11,399,240   4.44%
 6,920,000   1/13/2017  MetLife Short Term Funding LLC, 0.59%   6,916,367   2.69%
 4,615,000   1/13/2017  National Rural Utilities Cooperative Finance Corp., 0.50%   4,612,546   1.80%
 6,925,000   1/4/2017  PACCAR Financial Corp., 0.61%   6,921,932   2.70%
 6,920,000   1/11/2017  Sumitomo Mitsui Trust Bank, Limited, 0.67%   6,920,000   2.70%
 4,615,000   1/5/2017  The Chiba Bank, Ltd., 0.71%   4,615,000   1.80%
 11,400,000   1/3/2017  The Toronto-Dominion Bank, 0.57%   11,400,000   4.45%
 6,605,000   1/3/2017  Thunder Bay Funding, LLC, 0.00%   6,604,633   2.57%
 320,000   1/3/2017  Victory Receivables Corporation, 0.00%   319,980   0.12%
 6,920,000   1/19/2017  Victory Receivables Corporation, 0.74%   6,915,387   2.69%
 6,925,000   1/11/2017  Wal-Mart Stores Inc., 0.57%   6,923,650   2.70%
 4,615,000   1/17/2017  Working Capital Management Co. L.P., 0.85%   4,611,952   1.80%
                 
 Total Corporate Notes (cost - $103,507,947)   103,507,947   40.34%
                 
                 
 Total investment securities (cost - $230,834,517)  $230,831,657   89.94%

 

See accompanying notes.

 

 

 

 8 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2016 (Audited)

_______________

   

 

   Range of
Expiration Dates
  Number of
Contracts
   Fair Value   % of Partners'
Capital
               
LONG FUTURES CONTRACTS:                
Agriculture  Jan 17 - May 17   390   $(226,941)  (0.09)%
Energy  Jan 17 - Mar 17   169    172,229   0.07%
Interest Rates  Mar 17 - Dec 19   922    248,490   0.10%
Metals  Jan 17 - Mar 17   372    (225,649)  (0.09)%
Stock Indices  Jan 17 - Mar 17   2,398    1,015,371   0.39%
Treasury Rates  Mar-17   220    18,539   0.01%
                 
Total long futures contracts      4,471    1,002,039   0.39%
                 
SHORT FUTURES CONTRACTS:                
Agriculture  Feb 17 - May 17   749    907,422   0.36%
Currencies  Mar-17   1,231    1,243,193   0.49%
Energy  Jan 17 - Feb 17   63    (129,016)  (0.05)%
Interest Rates  Mar 17 - Dec 19   1,949    362,054   0.14%
Metals  Jan 17 - Apr 17   455    (219,999)  (0.09)%
Stock Indices  Jan 17 - Mar 17   82    (14,579)  (0.01)%
Treasury Rates  Mar-17   312    (77,820)  (0.03)%
                 
Total short futures contracts      4,841    2,071,255   0.81%
                 
Total futures contracts      9,312   $3,073,294   1.20%
                 
LONG FORWARD CONTRACTS:                
Currencies  Jan 17 - Mar 17       $826,708   0.32%
                 
SHORT FORWARD CONTRACTS:                
Currencies  Jan 17 - Mar 17        (477,617)  (0.18)%
                 
Total forward currency contracts         $349,091   0.14%

 

See accompanying notes.

 

 

 

 9 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2017 AND 2016 (Unaudited)

_______________

   

 

   Three Months Ended   Nine Months Ended 
   September 30,   September 30, 
   2017   2016   2017   2016 
TRADING GAINS (LOSSES)                    
Gain (loss) on trading of derivatives contracts                                 
Net realized  $(834,219)  $11,186,360   $4,131,560   $11,212,325 
Net change in unrealized   2,275,712    (14,652,671)   (4,491,350)   (109,016)
Brokerage commissions   (730,617)   (1,153,562)   (2,522,319)   (3,560,680)
                     
Net gain (loss) from trading derivatives contracts     710,876       (4,619,873 )     (2,882,109 )     7,542,629  
                     
Gain (loss) on trading of securities                    
Net realized       100,460    257,679    244,440 
Net change in unrealized   (2,440)   (7,090)   2,637    41,919 
                     
Net gain (loss) from trading securities   (2,440)   93,370    260,316    286,359 
                     
Gain (loss) on trading of foreign currency                    
Net realized   112,670    (1,591)   212,994    21,484 
Net change in unrealized   (8,422)   21,611    177,949    51,870 
                     
Net gain (loss) from trading foreign currency   104,248    20,020    390,943    73,354 
                     
Total trading gains (losses)   812,684    (4,506,483)   (2,230,850)   7,902,342 
                     
NET INVESTMENT INCOME (LOSS)                    
Income                    
Interest income   495,225    179,409    1,044,746    589,601 
                     
Expenses                    
Service fees   515,040    822,880    1,749,435    2,528,606 
Management fee   514,059    822,747    1,775,340    2,545,518 
Advisory fee   462,337    725,025    1,596,959    2,233,164 
Professional fees   234,897    273,811    751,555    871,557 
Administrative fee   105,618    169,281    361,643    525,823 
Incentive fee   151    5,112    3,680    178,354 
Interest expense   21,240        85,075    63,638 
Other expenses   62,935    131,015    208,947    265,377 
                     
Total expenses   1,916,277    2,949,871    6,532,634    9,212,037 
                     
                     
Net investment income (loss)   (1,421,052)   (2,770,462)   (5,487,888)   (8,622,436)
                     
                     
NET INCOME (LOSS)  $(608,368)  $(7,276,945)  $(7,718,738)  $(720,094)

 

See accompanying notes.

 

 

 

 10 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 AND 2016 (Unaudited)

_______________

 

 

       Limited Partners     
                                 
       Original   Original   Special           Institutional   General 
   Total   Class A   Class B   Interests   Class A   Class B   Interests   Partner 
                                 
Balances at December 31, 2015  $325,307,634   $19,520,525    3,866,836    16,606,040    150,288,448    69,938,089    65,083,875    3,821 
                                         
Transfers                   177,456    (177,456)        
                                         
Capital additions   12,855,017        5,250        9,205,601    1,506,088    2,138,078     
                                         
Capital withdrawals   (50,795,098)   (4,081,981)   (1,085,934)   (501,242)   (18,672,377)   (19,405,260)   (7,048,304)    
                                         
From operations:                                        
Net investment income (loss)   (8,622,436)   (422,306)   (47,080)   (249,296)   (5,531,719)   (1,367,502)   (1,004,446)   (87)
Net realized gain (loss) from investments (net of brokerage commissions)   7,917,569    445,350    87,067    425,543    3,750,602    1,535,823    1,673,084    100 
Net change in unrealized gain (loss) from investments   (15,227)   16,078    15,129    (30,316)   (38,899)   158,691    (135,900)   (10)
Net income (loss) for the nine months ended September 30, 2016   (720,094)   39,122    55,116    145,931    (1,820,016)   327,012    532,738    3 
                                         
Balances at September 30, 2016  $286,647,459   $15,477,666   $2,841,268   $16,250,729   $139,179,112   $52,188,473   $60,706,387   $3,824 
                                         
Balances at December 31, 2016  $256,683,259   $13,257,409    2,258,015    15,766,935    122,209,260    47,147,538    56,040,403    3,699 
                                         
Capital additions   5,224,540    56,487        2,600,000    1,316,945    304,402    946,706     
                                         
Capital withdrawals   (71,812,088)   (3,591,798)   (1,320,585)       (33,350,011)   (12,830,480)   (20,719,214)    
                                         
From operations:                                        
Net investment income (loss)   (5,487,888)   (231,216)   (22,008)   (198,666)   (3,610,627)   (786,669)   (638,632)   (70)
Net realized gain (loss) from investments (net of brokerage commissions)   2,079,914    118,876    15,713    153,208    938,130    385,600    468,361    26 
Net change in unrealized gain (loss) from investments   (4,310,764)   (224,491)   (35,025)   (331,732)   (1,942,020)   (774,017)   (1,003,407)   (72)
Net income (loss) for the nine months ended September 30, 2017   (7,718,738)   (336,831)   (41,320)   (377,190)   (4,614,517)   (1,175,086)   (1,173,678)   (116)
                                         
Balances at September 30, 2017  $182,376,973   $9,385,267   $896,110   $17,989,745   $85,561,677   $33,446,374   $35,094,217   $3,583 

 

See accompanying notes.

 

 

 

 11 

 

 

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. (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 (“Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (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”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. 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, 2017 and December 31, 2016, and reported amounts of income and expenses for the three and nine months ended September 30, 2017 and 2016, 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 financial statements for the interim period.

 

 

 

 12 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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.

 

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.

 

 

 

 13 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C.Fair Value (continued)

 

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.

 

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.

 

Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. 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 agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of September 30, 2017 and December 31, 2016, 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. U.S. treasury obligations are categorized in Level 2 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, 2017 or December 31, 2017, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

 

 

 

 14 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C.Fair Value (continued)

 

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 nine month period ended September 30, 2017 and the year ended December 31, 2016.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as September 30, 2017 and December 31, 2016:

 

               Balance as of 
September 30, 2017  Level 1   Level 2   Level 3   September 30,
2017
 
Assets:                
Futures contracts (1)  $4,745,464   $   $   $4,745,464 
Forward currency contracts (1)       335,573        335,573 
U.S. Government agency bonds and notes           112,136,451             112,136,451  
Corporate notes       58,769,118        58,769,118 
                     
   $4,745,464   $171,241,142   $   $175,986,606 
                     
Liabilities:                    
Futures contracts (1)  $(5,054,065)  $   $   $(5,054,065)
Forward currency contracts (1)       (1,095,937)       (1,095,937)
                     
   $(5,054,065)  $(1,095,937)  $   $(6,150,002)

 

               Balance as of 
December 31, 2016  Level 1   Level 2   Level 3   December 31,
2016
 
Assets                
Futures contracts (1)  $5,931,938   $   $   $5,931,938 
Forward currency contracts (1)       1,408,337        1,408,337 
U.S. Government agency bonds and notes           127,323,710             127,323,710   
Corporate notes       103,507,947        103,507,947 
                     
   $5,931,938   $232,239,994   $   $238,171,932 
                     
Liabilities:                    
Futures contracts (1)  $(2,858,644)  $   $   $(2,858,644)
Forward currency contracts (1)       (1,059,246)       (1,059,246)
                     
   $(2,858,644)  $(1,059,246)  $   $(3,917,890)
   
(1)  See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.  

 

The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end.

 

For the nine month period ended September 30, 2017 and the year ended December 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the nine month period ended September 30, 2017 and the year ended December 31, 2016, there were no Level 3 securities.

 

 

  

 15 

 

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

 

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.

 

Gains or losses on futures contracts, options on futures contracts and forward currency 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, 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 gain (loss) on other assets and other liabilities denominated in foreign currency 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.

 

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of September 30, 2017 and December 31, 2016, the Partnership’s restricted cash balance on the Statements of Financial Condition of $14,123,989 and $23,843,994, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of September 30, 2017 and December 31, 2016, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $3,623,295 and $3,445,473, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

 

 

 

 16 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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.

 

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.

 

As of September 30, 2017 and December 31, 2016 the Partnership did not hold any option contracts.

 

F.Futures Contracts

 

The Partnership engages 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. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.

 

 

 

 17 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

F.Futures Contracts (continued)

 

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, 2017 and December 31, 2016 are reflected within the Condensed Schedules of Investments.

 

G.Forward currency contracts

 

Forward currency contracts are 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 gain or loss. 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, 2017 and December 31, 2016 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 Statements 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 Statements of Income (Loss).

 

I.Cash

 

The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. 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.

 

Both restricted cash and restricted foreign currency are held as margin collateral deposits for futures transactions.

 

 

 

 18 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

J.Offering Costs

 

Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership. These costs include, but are not limited to, legal fees pertaining to updating the Partnership’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred.

 

K.Income Taxes

 

The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes.

 

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, 2017 or December 31, 2016. 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 2013. 

 

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, 2017 and December 31, 2016 and for the three and nine months ended September 30, 2017 and 2016.

 

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.

 

 

 

 19 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 2 - PARTNERS’ CAPITAL(CONTINUED)

 

A.Capital Accounts and Allocation of Income and Losses (continued)

 

No Limited Partner of the Partnership 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, 2017 and 2016.

 

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% (0.50% annually) for Special Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “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, 2017 and 2016 are shown on the Statements of Income (Loss) as Management Fee.

 

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, 2017, administrative fees for Class A Interests were $76,560 and $261,105, respectively and administrative fees for Class B Interests were $29,058 and $100,538, respectively. For the three and nine months ended September 30, 2016, administrative fees for Class A Interests were $121,687 and $370,833, respectively and administrative fees for Class B Interests were $47,594 and $154,990, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

 

 

 

 20 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

 

C.Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C.

 

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is 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. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, 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, 2017 and December 31, 2016, the Partnership had charges for brokerage-related services payable to its introducing broker of $173,375 and $250,185, respectively, and service fees payable to Altegris Investments of $26,418 and $34,849, respectively.

 

The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and nine months ended September 30, 2017 and 2016, respectively:

 

   Three months ended
September 30, 2017
   Nine months ended
September 30, 2017
   Three months ended
September 30, 2016
   Nine months ended
September 30, 2016
 
Altegris Clearing Solutions - Brokerage Commission fees  $579,343   $2,050,530   $974,153   $2,996,444 
Altegris Investments-                
Service fees   81,199    270,200    116,727    366,514 
Total      $660,542   $2,320,730   $1,090,880   $3,362,958 

 

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.

 

NOTE 4 - ADVISORY CONTRACT

 

The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“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), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three and nine months ended September 30, 2017 and 2016 are shown on the Statements of Income (Loss).

 

 

 

 21 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 4 - ADVISORY CONTRACT (CONTINUED)

 

All Interest holders will be assessed a monthly management fee paid to Winton of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. 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, 2017, management fees for Class A Interests were $231,999 and $791,261, respectively, management fees for Class B Interests were $88,057 and $304,676, respectively, management fees for Original Class B Interests were $3,069 and $12,402, respectively, management fees for Special Interests were $45,192 and $134,939, respectively and management fees for Institutional Interests were $94,020 and $353,681, respectively. For the three and nine months ended September 30, 2016, management fees for Class A Interests were $368,749 and $1,123,733, respectively, management fees for Class B Interests were $144,223 and $469,666, respectively, management fees for Original Class B Interests were $7,399 and $23,273, respectively, management fees for Special Interests were $42,077 and $126,100, respectively and management fees for Institutional Interests were $162,577 and $490,392, 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. 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. For the three and nine months ended September 30, 2017, service fees for General Partner’s Interest, were $18 and $55, respectively, service fees for Class A Interests were $460,383 and $1,566,152, respectively, service fees for Original Class A Interests were $49,202 and $167,691, respectively and service fees for Institutional Interests were $5,437 and $15,537, respectively. For the three and nine months ended September 30, 2016, service fees for General Partner’s Interest, were $19 and $58, respectively, service fees for Class A Interests were $730,358 and $2,235,943, respectively, service fees for Original Class A Interests were $87,290 and $280,142, respectively and service fees for Institutional Interests were $5,213 and $12,463, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

 

 

 

 22 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 6 - BROKERAGE COMMISSIONS AND CHARGES

 

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).

 

If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payment of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected on the Statements of Income (Loss) as Brokerage Commissions.

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

 

The Partnership engages in the speculative trading of futures contracts, and forward currency 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 derivatives contracts at September 30, 2017 and December 31, 2016. The fair value of derivatives 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.

 

 

 

 23 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

September 30, 2017

 

Type of
Derivatives Contracts
  Asset
Derivatives
Fair Value
   Liability
Derivatives
Fair Value
   Net
Fair Value
 
Futures Contracts            
Agriculture  $579,647   $(278,099)  $301,548 
Currencies   959,082    (839,043)   120,039 
Energy   258,507    (159,189)   99,318 
Interest Rates   31,096    (1,147,211)   (1,116,115)
Metals   83,635    (497,399)   (413,764)
Stock Indices   2,746,990    (1,471,312)   1,275,678 
Treasury Rates   86,508    (661,813)   (575,305)
                
    4,745,465    (5,054,066)   (308,601)
                
Forward Currency Contracts   335,573    (1,095,937)   (760,364)
                
Total Gross Fair Value of Derivatives Contracts  $5,081,038   $(6,150,003)  $(1,068,965)

 

December 31, 2016

 

Type of
Derivatives Contracts
  Asset
Derivatives
Fair Value
   Liability
Derivatives
Fair Value
   Net
Fair Value
 
Futures Contracts            
Agriculture  $1,111,896   $(431,415)  $680,481 
Currencies   1,248,554    (5,361)   1,243,193 
Energy   172,229    (129,016)   43,213 
Interest Rates   708,726    (98,182)   610,544 
Metals   787,551    (1,233,199)   (445,648)
Stock Indices   1,884,443    (883,651)   1,000,792 
Treasury Rates   18,539    (77,820)   (59,281)
                
    5,931,938    (2,858,644)   3,073,294 
                
Forward Currency Contracts   1,408,337    (1,059,246)   349,091 
                
Total Gross Fair Value of Derivatives Contracts   $ 7,340,275     $ (3,917,890 )   $ 3,422,385   

 

 

 

 24 

 

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, 2017 and 2016.

 

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, 2017

 

Type of
Derivatives Contracts
  Realized   Change in
Unrealized
   Number of
Contracts Closed
   
Futures Contracts                 
Agricultural  $(685,294)  $317,746        
Currencies   (411,535)   94,496        
Energy   (1,360,015)   695,257        
Interest Rates   (514,345)   (42,459)       
Metals   (990,808)   (110,752)       
Stock Indices   2,049,460    2,283,004        
Treasury Rates   40,656    (269,727)       
                  
    (1,871,881)   2,967,565    13,834  (1)
                  
Forward Currency Contracts   1,037,662    (691,853)      (2)
                  
Total gain (loss) from derivatives contracts  $(834,219)  $2,275,712        

 

 

Nine Months ended September 30, 2017

 

Type of
Derivatives Contracts
  Realized   Change in
Unrealized
   Number of
Contracts Closed
   
Futures Contracts                 
Agricultural  $835,940   $(378,933)       
Currencies   (7,427,155)   (1,123,154)       
Energy   (4,547,600)   56,105        
Interest Rates   (2,063,633)   (1,726,659)       
Metals   (3,769,281)   31,884        
Stock Indices   18,225,869    274,886        
Treasury Rates   (1,174,617)   (516,024)       
    79,523    (3,381,895)   49,571  (1)
                  
Forward Currency Contracts   4,052,037    (1,109,455)      (2)
                  
Total gain (loss) from derivatives contracts  $4,131,560   $(4,491,350)       

 

(1)   These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the period.

(2)   The numbers of long contracts closed using average cost for the three and nine months ended September 30, 2017 were 447,638, and 465,862, respectively. The numbers of short contracts closed using average cost for average cost for the three and nine months ended September 30, 2017 were (348,468), and (362,838), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods.

 

 

 

 25 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

  

Three Months ended September 30, 2016

 

Type of
Derivatives Contracts

  Realized   Change in
Unrealized
   Number of
Contracts Closed
   
Futures Contracts              
Agricultural  $(489,154)  $(618,642)       
Currencies   2,145,472    (2,613,308)       
Energy   (787,478)   (1,325,991)       
Interest Rates   3,840,895    (4,554,392)       
Metals   364,972    (1,607,040)       
Stock Indices   1,335,935    981,174        
Treasury Rates   2,471,453    (3,642,944)       
                  
    8,882,095    (13,381,143)   17,686  (1)
                  
Forward Currency Contracts   2,304,265    (1,271,528)      (2)
                  
Total gain (loss) from derivatives contracts  $11,186,360   $(14,652,671)       

 

 

Nine Months ended September 30, 2016

 

Type of
Derivatives Contracts

  Realized   Change in
Unrealized
   Number of
Contracts Closed
   
Futures Contracts              
Agricultural  $(1,531,377)  $(71,603)       
Currencies   (26,541)   (495,690)       
Energy   (790,163)   (1,996,951)       
Interest Rates   15,508,286    2,724,427        
Metals   (4,688,033)   (2,256,636)       
Stock Indices   (4,615,241)   1,182,757        
Treasury Rates   4,763,296    (249,202)        
                  
    8,620,227    (1,162,898)   58,550  (1)
                  
Forward Currency Contracts   2,592,098    1,053,882       (2)
                  
Total gain (loss) from derivatives contracts  $11,212,325   $(109,016)       

 

(1) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the period.

(2) The numbers of long contracts closed using average cost for the three and nine months ended September 30, 2016 were 424,299, and 472,102, respectively. The numbers of short contracts closed using average cost for average cost for the three and nine months ended September 30, 2016 were (307,914), and (370,704), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods.

 

 

 

 26 

 

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:

 

Offsetting the Financial Assets and Derivative Assets        
         
As of September 30, 2017                                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  335,573   $(335,573)  $   $   $   $ 
Futures contracts   4,745,464    (4,745,464)                
Total   $ 5,081,037   $ (5,081,037)  $   $   $   $ 

 

 

Offsetting the Financial Liabilities and Derivative Liabilities        
         
As of September 30, 2017                                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  $(1,095,937)  $335,573   $(760,364)  $   $760,364   $ 
Futures contracts   (5,054,065)   4,745,464    (308,601)       308,601     
Total  $(6,150,002)  $5,081,037   $(1,068,965)  $   $1,068,965   $ 

 

 

 

 27 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Offsetting the Financial Assets and Derivative Assets        
         
As of December 31, 2016                               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  $1,408,337   $(1,059,246)  $349,091   $   $   $349,091 
Futures contracts   5,931,938    (2,858,644)   3,073,294            3,073,294 
Total  $7,340,275   $(3,917,890)  $3,422,385   $   $   $3,422,385 

 

 

Offsetting the Financial Liabilities and and Derivative Liabilities       
         
As of December 31, 2016                               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  $(1,059,246)  $1,059,246   $   $   $   $ 
Futures contracts   (2,858,644)   2,858,644                 
Total  $(3,917,890)  $3,917,890   $   $   $   $ 

 

(1) The Partnership posted additional collateral of $16,678,319 for 2017 and $27,289,467 for 2016, with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract.

 

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

 

The Partnership participates in the speculative trading of commodity 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.

 

 

 

 28 

 

 

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, with the exception of forward currency 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.

 

NOTE 10 - FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights of the Partnership for the three and nine months ended September 30, 2017 and 2016. This information has been derived from information presented in the financial statements.

 

 

 

 

 29 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

    Three months ended September 30, 2017
                         
    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   (0.22)%   0.02%   0.09%   (0.68)%   (0.18)%   0.01%
Incentive fees   (0.00)%   (0.00)%   (0.00)%   (0.00)%   (0.00)%   (0.00)%
                         
Total return after incentive fees   (0.22)%   0.02%   0.09%   (0.68)%   (0.18)%   0.01%
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)   3.34%   2.24%   2.13%   5.16%   3.17%   2.29%
Incentive fees (3)   0.00%   0.00%   0.00%   0.00%   0.00%   0.00%
                         
Total expenses   3.34%   2.24%   2.13%   5.16%   3.17%   2.29%
                         
Net investment (loss) (1) (2)   (2.35)%   (1.30)%   (1.14)%   (4.14)%   (2.18)%   (1.36)%

 

 

    Nine months ended September 30, 2017
                         
    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   (3.14)%   (2.42)%   (2.24)%   (4.46)%   (3.03)%   (2.45)%
Incentive fees   (0.00)%   (0.00)%   (0.00)%   (0.01)%   (0.00)%   (0.00)%
                         
Total return after incentive fees   (3.14)%   (2.42)%   (2.24)%   (4.47)%   (3.03)%   (2.45)%
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)   3.30%   2.27%   2.13%   5.15%   3.15%   2.35%
Incentive fees (3)   0.00%   0.00%   0.00%   0.00%   0.00%   0.00%
                         
Total expenses   3.30%   2.27%   2.13%   5.15%   3.15%   2.35%
                         
Net investment (loss) (1) (2)   (2.69)%   (1.72)%   (1.49)%   (4.52)%   (2.55)%   (1.78)%

 

 

 

 30 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

    Three months ended September 30, 2016
                         
    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   (2.23)%   (1.99)%   (1.93)%   (2.68)%   (2.20)%   (2.00)%
Incentive fees   (0.00)%   (0.00)%   (0.00)%   (0.00)%   (0.00)%   (0.00)%
                         
Total return after incentive fees   (2.23)%   (1.99)%   (1.93)%   (2.68)%   (2.20)%   (2.00)%
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)   3.23%   2.29%   2.03%   5.09%   3.08%   2.31%
Incentive fees (3)   0.00%   0.00%   0.00%   0.00%   0.00%   0.00%
                         
Total expenses   3.23%   2.29%   2.03%   5.09%   3.08%   2.31%
                         
Net investment (loss) (1) (2)   (3.00)%   (2.05)%   (1.80)%   (4.86)%   (2.84)%   (2.08)%

 

 

 

    Nine months ended September 30, 2016
                         
    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   0.07%   0.82%   1.02%   (1.29)%   0.20%   0.80%
Incentive fees   (0.00)%   (0.00)%   (0.17)%   (0.07)%   (0.05)%   (0.01)%
                         
Total return after incentive fees   0.07%   0.82%   0.85%   (1.36)%   0.15%   0.79%
                         
Ratio to average net asset value                        
Expenses prior to incentive fees (2)   3.24%   2.20%   2.01%   5.08%   3.05%   2.28%
Incentive fees (3)   0.00%   0.01%   0.16%   0.07%   0.05%   0.01%
                         
Total expenses   3.24%   2.21%   2.17%   5.15%   3.10%   2.29%
                         
Net investment (loss) (1) (2)   (2.99)%   (1.96)%   (1.76)%   (4.83)%   (2.80)%   (2.03)%

 

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.

 

 

 

 31 

 

 

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 available to be issued, and concluded that no events subsequent to September 30, 2017 have occurred that would require recognition or disclosure, except as noted below.

 

From October 1, 2017 through November 14, 2017, the Partnership had subscriptions of $352,598 and redemptions of $7,998,655. Management has determined there are no additional matters requiring disclosure.

 

 

 

 

 

 

 

 

 

 

 

 

 

 32 

 

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 June 30, 2017 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.

 

 

 

 33 

 

 

Performance Summary

 

Three Months Ended September 30, 2017

 

During the third quarter of 2017, the Partnership achieved net realized and unrealized losses of $812,684 from its trading activities, net of brokerage commissions of $730,617. The Partnership accrued total expenses of $1,916,277, including $514,059 in management fees paid to the General Partner, $151 in incentive fees, and $749,937 in service and professional fees. The Partnership earned $495,225 in interest income during the third quarter of 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2017 is set forth below.

 

Third Quarter 2017.  In July 2017, the Partnership sustained negative performance as gains from stock indices were cancelled out by losses in the commodity sectors. Long positions were benefited by the upward trajectory in global stock indices, with the S&P 500 being the biggest contributor to the sector’s gain, followed by the Hang Send and tech-heavy NASDAQ. Currencies were mixed as profits from the US dollar weakening against the euro and the Brazilian real were offset by a short position in the Japanese yen. The Partnership sustained losses as a result of a combination or short positions and rising prices in commodities. These losses were led by crops as coffee prices continued to rise after a steady downward trend reversed course during June, and soybean futures swung higher alongside drought conditions in parts of the US. In energies, short positions in crude oil and gasoline struggled as prices rallied during the second half of the month. In August 2017, the Partnership realized positive returns driven largely by positive contributions to performance from across the portfolio. Long fixed income positions in bund and Eurodollar futures contributed significantly to the gains against the backdrop of falling government bond yields and changing rate expectations. In commodities, short positions in markets like corn, soybeans and coffee drove returns within crops. In currencies, a short position in the British pound and long positions in emerging market currencies and the euro benefited the Partnership. Elsewhere in the portfolio, positions in stock indices continued to add value while profits from base metals and energies offset losses the livestock and precious metals sectors. In September 2017, the Partnership sustained negative performance driven primarily by losses from the fixed income and currencies sectors. Aside from the overall negative performance, the Partnership’s long positions in stock indices continued to generate profits, with the S&P 500 being the most notable. Long positions in Eurodollar and US Treasury futures were challenging for the Partnership as investors changed their expectations on interest rates and bond yields rose. The Partnerships short position in the British pound and long positions in the euro and emerging market currencies were adversely affected by the reversal in the downward sterling and US dollar trends. In commodities, small losses were led by long positions in gold and short exposure to WTI crude oil. Forecast volatility rose slightly during the month as positions in stock indices and bonds increased.

 

 

Three Months Ended September 30, 2016

 

During the third quarter of 2016, the Partnership incurred net realized and unrealized losses of $4,506,483 from its trading activities, net of brokerage commissions of $1,153,562.  The Partnership accrued total expenses of $2,949,871 including $822,747 in management fees paid to the General Partner, $5,122 in incentive fees, and $1,096,691 in service and professional fees. The Partnership earned $179,409 in interest income during the third quarter of 2016.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2016 is set forth below. 

 

Third Quarter 2016. The Partnership enjoyed slightly positive returns in July 2016. Government bonds continued to rise as yields on US ten-year Treasuries fell to an all-time low and the German government issued negative yielding ten-year bonds for the first time. Yields bounced back mid-month after positive US data releases and the Bank of England held off on an anticipated cut to interest rates, but the majority of developed sovereign bond markets still ended the month in positive territory. Currencies’ positive performance was driven by market movements on the final day of the month, due to appreciation in the Japanese yen. In commodities, oil prices retreated while precious metals continued to appreciate. The most dramatic event over the course of the month was a failed coup in Turkey, which resulted in the lira falling to a record low against the US dollar and a selloff in the country’s stock market and government bonds. The Partnership benefited in this environment from net long positions in bonds and stock indices, short positions in energies and long positions in precious metals, with equal profits from gold and silver, and also. Detractors from performance in July 2016 included long positions in crops and short-term interest rates. The Partnership’s performance was negative in August 2016, amid a particularly quiet month in terms of market volatility. Equities edged higher; government bonds lost ground overall, and the US dollar appreciated versus most major currencies. Commodity markets provided more substantial price action as speculation around supply-demand imbalances led to rallies within the energies sector and sharp selloffs in a number of soft commodities. The Partnership’s negative performance was driven by the fixed income, precious metals and energies sectors. Hawkish comments from the US Federal Reserve increased expectations of a further US rate rise in 2016 and led to losses from long positions in US government bonds and Eurodollar futures, while the strengthening US dollar weighed on the fund’s long positioning in gold and silver as well as the Japanese yen. In the energy sector, the Partnership’s short positions suffered as crude oil rallied during the first half of the month on hopes of a production freeze. The Partnership experienced flat to negative performance during September 2016, as volatility increased due to the prospect of changes in central bank policies, resulting in early gains in equities, precious metals and bonds, but later offset by losses in the Partnership’s long bond and stock index positions. Within commodities, the Partnership posted a small negative return as losses in the energies, bonds and base metals sectors outweighed profits made in currencies and precious metals. Short positioning detracted from performance in energies, while losses from long positions in US government bonds undid profits earned in German government bonds. In base metals, the Partnership experienced losses from positioning in copper, while long positions in precious metals added value over the month. Performance in currencies was driven by long exposure to the Japanese yen.

 

 

 

 34 

 

 

Nine Months Ended September 30, 2017

 

During the nine months ended September 30, 2017, the Partnership incurred net realized and unrealized losses of $2,230,850 from its trading activities, net of brokerage commissions of $2,522,319. The Partnership accrued total expenses of $6,532,634, including $1,775,340 in management fees paid to the General Partner, $3,680 in incentive fees, and $2,500,990 in service and professional fees. The Partnership earned $1,044,746 in interest income during the nine months ended September 30, 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2017 is set forth below.

 

Third Quarter 2017 In July 2017, the Partnership sustained negative performance as gains from stock indices were cancelled out by losses in the commodity sectors. Long positions were benefited by the upward trajectory in global stock indices, with the S&P 500 being the biggest contributor to the sector’s gain, followed by the Hang Send and tech-heavy NASDAQ. Currencies were mixed as profits from the US dollar weakening against the euro and the Brazilian real were offset by a short position in the Japanese yen. The Partnership sustained losses as a result of a combination or short positions and rising prices in commodities. These losses were led by crops as coffee prices continued to rise after a steady downward trend reversed course during June, and soybean futures swung higher alongside drought conditions in parts of the US. In energies, short positions in crude oil and gasoline struggled as prices rallied during the second half of the month. In August 2017, the Partnership realized positive returns driven largely by positive contributions to performance from across the portfolio. Long fixed income positions in bund and Eurodollar futures contributed significantly to the gains against the backdrop of falling government bond yields and changing rate expectations. In commodities, short positions in markets like corn, soybeans and coffee drove returns within crops. In currencies, a short position in the British pound and long positions in emerging market currencies and the euro benefited the Partnership. Elsewhere in the portfolio, positions in stock indices continued to add value while profits from base metals and energies offset losses the livestock and precious metals sectors. In September 2017, the Partnership sustained negative performance driven primarily by losses from the fixed income and currencies sectors. Aside from the overall negative performance, the Partnership’s long positions in stock indices continued to generate profits, with the S&P 500 being the most notable. Long positions in Eurodollar and US Treasury futures were challenging for the Partnership as investors changed their expectations on interest rates and bond yields rose. The Partnerships short position in the British pound and long positions in the euro and emerging market currencies were adversely affected by the reversal in the downward sterling and US dollar trends. In commodities, small losses were led by long positions in gold and short exposure to WTI crude oil. Forecast volatility rose slightly during the month as positions in stock indices and bonds increased.

 

Second Quarter 2017. In April 2017, the Partnership sustained negative performance which was driven by losses in currencies and fixed income. A short position in the euro was the largest individual detractor from returns, with the euro-US dollar exchange rate reaching its highest level since the beginning of November 2016. The appreciating British pound also cost some performance. In fixed income, losses were led by short positions in Eurodollar futures and longer-dated US government bonds against a backdrop of easing US inflation expectations. The Partnership was net long in the fixed income sectors, having been short since November. Other detractors from returns included positions in the energies and metals sectors, most notably gasoline, aluminum and gold. In terms of positive contributors to performance, positioning in stock indices and soft commodities were profitable. Equity markets maintaining their upward trend benefited the Partnership’s long exposure to stock indices, particularly the S&P 500, NASDAQ and Euro Stoxx 50. Meanwhile in soft commodities, profits were driven by short positions in falling crops markets and long positions in rising livestock markets. In May 2017, The Partnership’s positive return was driven by long positions in stock indices, most notably the S&P 500 and the NASDAQ. Outside of indices, crops were the only sector to make a noteworthy contribution to returns, with profits coming from short positions in soybeans and sugar. Currencies, energies and precious metals reduced the Partnership’s gains during the month. Losses in currencies were driven by short positions in the euro and the Japanese yen. The Partnership reduced the euro position during the month but increased short exposure to the yen. In energies, the Partnership’s mostly long positions detracted from performance, particularly in natural gas and heating oil, whereas rising gold and silver prices weighed on the Partnership’s short positions in precious metals. The volatile last week of June 2017 reversed all of the Partnership’s profits and resulted in negative performance for June 2017, with all sectors down, except for precious metals. The rise in global bond yields weighed on long positions in European and longer-dated US government bonds. The continued rally in the euro means that the Partnership’s longstanding short position in the shared currency is now much reduced, having decreased steadily since mid-April. The energies sector also detracted from returns, mostly due to the Partnership’s initial net long positions being whipsawed, by the intra-month selloff and subsequent rebound in energy prices. Losses in crops were driven by grain positions – most notably in wheat – while the Partnership gave back yearly profits from its long exposure in stock indices, with the exception of positive contributions from Asian positions.

 

 

 

 35 

 

First Quarter 2017. In January 2017, the Partnership sustained a net loss as profits from stock indices were undone by losses in the currency, commodity and fixed income sectors. Long positions in most stock indices added value over the course of the month, with the NASDAQ driving the positive contribution to returns as information technology stocks outperformed the wider US market. Short positions in the euro and the Japanese yen led the losses in currencies, but were partly offset by long positions in appreciating emerging market currencies. In commodities, the Partnership’s exposure to precious metals and energies, particularly gold and natural gas, detracted from returns, although base metals were profitable due to a long position in copper. In February 2017, the Partnership experienced net positive returns driven by stock indices and currencies. Long positions in the S&P 500 and NASDAQ led the profits in stock indices which posted gains across the board. Currencies recovered the majority of their January losses with the Partnership’s short position in the euro benefitting from the euro-US dollar exchange rate falling back to near where it started the year. Profits also came from long positions in emerging market currencies such as the Indian rupee and the Chinese yuan, where increasing positions during the month reduced the Partnership’s long exposure to the US dollar. For February 2017, the detractors from returns were concentrated in the precious metals and energies sectors. Price gains weighed on the Partnership’s short position in gold, which reduced over the course of the month, while falling natural gas prices resulted in losses from the Partnership’s long position in the market. In March 2017, the Partnership’s portfolio performance was flat, as it began the month on a positive note but gave back early profits as the dollar and US equity markets weakened. Performance overall was driven by stock indices, with European markets leading the sector to make a positive contribution to performance for the fifth consecutive month. The gains in stock indices were offset by losses in the fixed income, commodities and currencies sectors.

 

Long positioning in German government bonds weighed on returns in fixed income, while losses in commodities were led by the energies sector, where an initial long position in Brent crude detracted from returns. Performance in the currencies sector was mixed: long positions in a number of emerging markets currencies added value, most notably the Indian rupee, but these gains were overshadowed by short exposure to the appreciating Japanese yen and euro.

 

Nine Months Ended September 30, 2016

 

During the nine months ended September 30, 2016, the Partnership achieved net realized and unrealized gains of $7,902,342 from its trading activities, net of brokerage commissions of $3,560,680.  The Partnership accrued net expenses of $9,212,037, including $2,545,518 in management fees paid to the General Partner, $178,354 in incentive fees, and $3,400,163 in service and professional fees. The Partnership earned $589,601 in interest income during the nine months ended September 30, 2016. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2016 is set forth below. 

 

Third Quarter 2016. The Partnership enjoyed positive returns in July 2016. Government bonds continued to rise as yields on US ten-year Treasuries fell to an all-time low and the German government issued negative yielding ten-year bonds for the first time. Yields bounced back mid-month after positive US data releases and the Bank of England held off on an anticipated cut to interest rates, but the majority of developed sovereign bond markets still ended the month in positive territory. Currencies’ positive performance was driven by market movements on the final day of the month, due to appreciation in the Japanese yen. In commodities, oil prices retreated while precious metals continued to appreciate. The most dramatic event over the course of the month was a failed coup in Turkey, which resulted in the lira falling to a record low against the US dollar and a selloff in the country’s stock market and government bonds. The Partnership benefited in this environment from net long positions in bonds and stock indices, short positions in energies and long positions in precious metals, with equal profits from gold and silver, and also. Detractors from performance in July 2016 included long positions in crops and short-term interest rates. The Partnership’s performance was negative in August 2016, amid a particularly quiet month in terms of market volatility. Equities edged higher; government bonds lost ground overall, and the US dollar appreciated versus most major currencies. Commodity markets provided more substantial price action as speculation around supply-demand imbalances led to rallies within the energies sector and sharp selloffs in a number of soft commodities. The Partnership’s negative performance was driven by the fixed income, precious metals and energies sectors. Hawkish comments from the US Federal Reserve increased expectations of a further US rate rise in 2016 and led to losses from long positions in US government bonds and Eurodollar futures, while the strengthening US dollar weighed on the fund’s long positioning in gold and silver as well as the Japanese yen. In the energy sector, the Partnership’s short positions suffered as crude oil rallied during the first half of the month on hopes of a production freeze. The Partnership also experienced negative overall performance during September 2016, as volatility increased due to the prospect of changes in central bank policies, resulting in early gains in equities, precious metals and bonds, but later offset by losses in the Partnership’s long bond and stock index positions. Within commodities, the Partnership posted a small negative return as losses in the energies, bonds and base metals sectors outweighed profits made in currencies and precious metals. Short positioning detracted from performance in energies, while losses from long positions in US government bonds undid profits earned in German government bonds. In base metals, the Partnership experienced losses from positioning in copper, while long positions in precious metals added value over the month. Performance in currencies was driven by long exposure to the Japanese yen.

 

 

 

 36 

 

Second Quarter 2016. The Partnership’s performance was negative in April 2016, as a number of long-term trends continued to reverse. US and European government bond prices drifted lower, commodities appreciated, while gains in energy and materials stocks lifted global equity markets. Oil prices hit their highest levels since last November. Performance in this environment was driven by losses from across the portfolio. Fixed income led the detractors as long positions in bonds and short-term interest rates weighed on returns. In energies, rising prices caused short positions to detract, particularly in heating oil futures. The crops sector was another area that cost performance as corn and soybean prices surged in response to exceptionally poor weather conditions in South America. Currencies offset some of the detractors as the investment system benefited from a long position in a rallying Japanese yen at month-end. Elsewhere, the portfolio also profited from gains in the gold price and positioning across the livestock sector. The Partnership also experienced a loss for the month of May 2016, as markets reacted to an anticipated US interest rate rise, The US dollar responded by appreciating versus most major currencies and gold gave up its April gains – both moves representing a reversal in year-to-date trends. Meanwhile, global stock markets rose slightly over the month, but with offsetting positions between regions, the sector remained largely flat. Oil prices rose to just under $50 a barrel as the global supply glut finally started to ease following supply disruptions in Nigeria, Libya, Venezuela, and Canada. The value of WTI crude futures contracts climbed to a seven-month high. Against this backdrop, currencies and precious metals posted losses. Long positioning in the Japanese yen and Australian dollar held back returns, while an increased exposure to gold was responsible for most of the negative performance from the precious metals sector. In fixed income, bunds led bond sector returns, but there were losses in short-term interest rates. Crops performed well, attributable largely to profits from trading in soybeans. The Partnership enjoyed a reversal of previous-months’ losses, and experienced robust gains for June 2016, after a tumultuous period. As financial markets gradually absorbed the impact of the momentous decision resulting from the UK referendum to exit the European Union, this led to high levels of volatility in virtually all major markets traded by the Partnership and record levels in some. The referendum also had immediate political ramifications in the UK, contributing to the volatility. The resultant short-term volatility contributed to the Partnership’s positive performance across most sectors traded by the end of June 2016.

 

First Quarter 2016. In January 2016, the Partnership enjoyed modest net gains, despite a rocky start as renewed anxiety around the health of the global economy led to heavy falls in world stock markets. Central bankers responded by hinting at further accommodative policy, and the Bank of Japan surprised markets by cutting interest rates on new bank reserves on the final day of the month. Fixed income was the main driver of fund performance in this environment, most notably in Europe: Euribor and Bunds futures prices both recovered their December losses over the course of the month. Energies were another area of strength as the Partnership continued to follow the crude oil price lower amid rising stockpiles and the removal of sanctions on Iran. These gains, however, were trimmed by other parts of the portfolio, as there were losses in equities, while at the same time, short exposure to a rising gold price detracted from overall performance. The Partnership’s portfolio also experienced net investment gains in February 2016, a period when global stock markets were steadier than in January, while gold and government bond prices resumed their upwards trajectory. One of the most notable developments was the British pound sliding to a seven-year low versus the US dollar, as heightened concerns around “Brexit” took hold (i.e., the possibility of Britain exiting the European Union). The Partnership’s performance was similar to that of January 2016 in terms of sector contributions: fixed income and energies were the biggest contributors, while a reduced short exposure to gold led the precious metals positioning to detract. Within fixed income, the Partnership benefited from gains in bond futures. The Partnership also made modest gains in energies and equities during the period. The Partnership sustained a net loss in March 2016, a month characterized by a lack of meaningful diversifiers materializing within the portfolio and reversals in a number of market trends, many of which were profitable during the opening months of the year. Dovish comments from the US Federal Reserve and easing concerns around China were accompanied by a weakening US dollar and increases in commodity prices. Buoyant global stock markets recovered most of their January and February losses, whereas gold’s advances abated. Against this backdrop, the bulk of the Partnership’s losses occurred in its positioning of currencies (notwithstanding some emerging market currency positive returns) and fixed income (as yields rose for the first half of the month only to fall back to where they started by month end). The Partnership in March gave up its earlier profits in the year due to losses on its short positions in energies, as the WTI crude price recovered from around $34 a barrel to $38. Overall short exposure to stock index and crops futures resulted in the Partnership’s failure to profit from buoyant equity markets and agricultural prices 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, related option and forward currency contracts, both long (contracts to buy) and short (contracts 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 June 30, 2017.

 

 

 

 37 

 

 

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, 2016 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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 38 

 

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, 2017.

 

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 second calendar quarter of 2017:

 

Month  Amount Redeemed 
July 31, 2017  $6,913,504 
August 31, 2017  $5,844,470 
September 30, 2017  $5,045,747 

 

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.

 

 

 

 39 

 

 

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)
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

 

The following exhibit is incorporated herein by reference from the exhibit of the same number and description 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.

 

The following exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Quarterly Report on Form 10-Q (File No. 000-53348) filed on November 14, 2014.

 

Exhibit Number Description of Document  
10.04 Amendment dated July 1, 2014 to Advisory Contract
     

The following exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Annual Report on Form 10-K (File No. 000-53348) filed on March 31, 2015.

 

Exhibit Number Description of Document  
4.1 Third Amended and Restated Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.

 

The following exhibits are included herewith.

 

Exhibit Number Description of Document
31.01 Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.02 Rule 13a-14(a)/15d-14(a) Certification of Financial Executive Officer
32.01 Section 1350 Certification of Principal Executive Officer
32.02 Section 1350 Certification of Principal Financial Officer

 

101.INS XBRL Instances Document
101.SCH XBRL Taxonomy Extension Schema Document
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF XBRL Taxonomy Extension Definition Linkbase Document
101.LAB XBRL Taxonomy Extension Label Linkbase Document
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document

 

 

**Rockwell Futures Management, Inc. became Altegris Portfolio Management, Inc., which merged with and into Altegris Advisors, L.L.C.
***Fimat USA, LLC became Newedge USA, LLC, which merged with and into SG Americas Securities, 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, 2017

 

ALTEGRIS WINTON FUTURES FUND, L.P.

 

By:  ALTEGRIS ADVISORS, L.L.C.,
    its general partner

 

 

 

/s/ Martin Beaulieu
Martin Beaulieu, Principal Executive Officer and Principal Financial Officer

 

 

 

 

 

 

 

 

 

 

 

 

 

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