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EX-31.01 - Altegris Winton Futures Fund, L.P.efc9-1022_ex3101.htm
EX-32.01 - Altegris Winton Futures Fund, L.P.efc9-1022_ex3201.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.  20549
 

FORM 10-Q 

 
x
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended September 30, 2009
 
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
 

WINTON FUTURES FUND, L.P. (US)
(Exact name of registrant as specified in its charter) 


COLORADO
 
84-1496732
(State or other jurisdiction
of incorporation or organization)
 
(I.R.S. Employer
Identification No.)

c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices)
 
 
(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 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  o No  o
 
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See definition of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

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

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934).
 
 
     Yes  o No  ý
 
 

 
TABLE OF CONTENTS
 

 
Page
PART I – FINANCIAL INFORMATION
Item 1. Financial Statements
 
Statements of Financial Condition
          2
Condensed Schedules of Investments
      3-7
Statements of Operations
          8
Statements of Changes in Partners’ Capital (Net Asset Value)
          9
Notes to Financial Statements
  10-17
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
   18-21
Item 3. Quantitative and Qualitative Disclosures About Market Risk
      21
Item 4T. Controls and Procedures
        22
   
PART II – OTHER INFORMATION
 
Item 1. Legal Proceedings
        23
Item 1A. Risk Factors
        23
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
        23
Item 3. Defaults Upon Senior Securities
        23
Item 4. Submission of Matters to a Vote of Security Holders
        23
Item 5. Other Information
        23
Item 6. Exhibits
        24
Signatures
        25
Rule 13a–14(a)/15d–14(a) Certifications
      S-1
Section 1350 Certifications
      S-2
 
 
1


 
PART I – FINANCIAL INFORMATION

Item 1: Financial Statements

WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2009 (Unaudited ) and DECEMBER 31, 2008 (Audited)



   
2009
   
2008
 
ASSETS
           
    Equity in Newedge USA, LLC account
           
        Cash
  $ 39,742,269     $ 154,396,738  
        Unrealized gain on open commodity futures contracts
    15,248,892       4,174,311  
        Long options (cost $23,605 and $0)
    15,253       0  
        Interest receivable
    0       14,426  
                 
      55,006,414       158,585,475  
                 
    Cash and cash equivalents
    19,449,065       3,384,626  
    Investment securities at value
               
      (cost - $419,011,661 and $132,744,996)
    419,996,260       132,860,018  
    Interest receivable
    681,100       161,545  
Total assets
  $ 495,132,839     $ 294,991,664  
                 
LIABILITIES
               
    Short options (proceeds $54,120 and $0)
  $ 44,065     $ 0  
    Payable for securities purchased
    0       5,000,000  
    Commissions payable
    118,705       30,216  
    Management fee payable
    694,164       314,556  
    Administrative fee payable
    61,957       16,198  
    Service fees payable
    373,428       229,428  
    Incentive fee payable
    292,980       3,053,989  
    Redemptions payable
    3,218,104       4,043,596  
    Subscriptions received in advance
    19,322,230       23,079,459  
    Other liabilities
    221,026       176,744  
                 
                Total liabilities
    24,346,659       35,944,186  
                 
                 
PARTNERS’ CAPITAL (NET ASSET VALUE)
               
    General Partner
    3,200       3,491  
    Limited Partners
    470,782,980       259,043,987  
                Total partners’ capital (Net Asset Value)
    470,786,180       259,047,478  
Total liabilities and partners’ capital
  $ 495,132,839     $ 294,991,664  
 

See accompanying notes.
 
2

 
WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2009 (Unaudited)
_______________


INVESTMENT SECURITIES






Face Value
 
Maturity Date
 
Description
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States
           
                     
U.S. Government Agency Bonds and Notes
           
 
$5,000,000
 
3/18/2010
 
 Federal Farm Credit Bank, 1.05%
  $ 5,017,200       1.07 %
5,000,000
 
3/23/2011
 
 Federal Farm Credit Bank, 1.85%
    5,026,550       1.07 %
5,000,000
 
5/5/2011
 
 Federal Farm Credit Bank, 1.375%
    5,025,000       1.07 %
8,000,000
 
6/17/2011
 
 Federal Farm Credit Bank, 1.2%
    8,020,000       1.70 %
15,000,000
 
7/7/2011
 
 Federal Farm Credit Bank, 1.45%
    15,004,650       3.19 %
2,800,000
 
11/20/2009
 
 Federal Home Loan Bank, 0.24%
    2,800,140       0.59 %
5,000,000
 
12/29/2010
 
 Federal Home Loan Bank, 2.05%
    5,015,650       1.07 %
10,000,000
 
8/27/2010
 
 Federal Home Loan Bank, 1.375%
    10,078,100       2.14 %
5,000,000
 
9/13/2010
 
 Federal Home Loan Bank, 1.5%
    5,045,300       1.07 %
15,000,000
 
6/15/2011
 
 Federal Home Loan Bank, 1.3%
    15,084,450       3.20 %
11,165,000
 
7/18/2011
 
 Federal Home Loan Bank, 1.125%
    11,199,946       2.38 %
7,000,000
 
7/22/2011
 
 Federal Home Loan Bank, 1.5%
    7,004,410       1.49 %
1,035,000
 
8/5/2011
 
 Federal Home Loan Bank, 1.375%
    1,044,377       0.22 %
5,000,000
 
9/10/2010
 
 Federal Home Loan Bank, 1.4%
    5,040,650       1.07 %
10,000,000
 
9/30/2010
 
 Federal Home Loan Bank, 1.25%
    10,068,800       2.14 %
5,000,000
 
2/9/2011
 
 Federal Home Loan Mortgage Corporation, 1.75%
    5,022,650       1.07 %
10,000,000
 
3/16/2011
 
 Federal Home Loan Mortgage Corporation, 2%
    10,059,100       2.14 %
5,000,000
 
7/6/2010
 
 Federal National Mortgage Association, 1.5%
    5,045,300       1.07 %
3,000,000
 
2/11/2011
 
 Federal National Mortgage Association, 2%
    3,015,000       0.64 %
10,000,000
 
4/1/2011
 
 Federal National Mortgage Association, 2%
    10,078,100       2.14 %
5,000,000
 
9/30/2010
 
 Federal National Mortgage Association, 1.2%
    5,031,250       1.07 %
10,000,000
 
4/8/2011
 
 Federal National Mortgage Association, 1.875%
    10,062,500       2.14 %
10,000,000
 
5/27/2011
 
 Federal National Mortgage Association, 1.5%
    10,062,500       2.14 %
15,000,000
 
5/27/2011
 
 Federal National Mortgage Association, 1.35%
    15,075,000       3.20 %
5,000,000
 
7/1/2011
 
 Federal National Mortgage Association, 1.6%
    5,000,000       1.06 %
7,420,000
 
8/17/2011
 
 Federal National Mortgage Association, 1.5%
    7,431,575       1.58 %
10,000,000
 
9/28/2011
 
 Federal National Mortgage Association, 1.25%
    10,015,600       2.13 %
                         
Total U.S. Government Agency Bonds and Notes (cost - $205,389,199)
    206,373,798       43.85 %
 

 
See accompanying notes.
 
3

 
WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2009 (Unaudited)

 
INVESTMENT SECURITIES (continued)


Face Value
 
Maturity Date
 
Description
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States (continued)
           
Corporate Notes and Repurchase Agreements
               
 $     20,945,000
 
10/1/2009
 
 Avery Dennison Corp Disc Note, 0.30%
  $ 20,944,825       4.45 %
         4,550,000
 
10/1/2009
 
 Bank of America Repo, 0.01%
    4,550,000       0.97 %
        21,500,000
 
10/14/2009
 
 BNP Paribas Finance Inc Disc Note, 0.20%
    21,496,894       4.57 %
          9,975,000
 
10/2/2009
 
 Consolidated Edison Inc Disc Note, 0.30%
    9,974,418       2.12 %
         9,000,000
 
10/1/2009
 
 Consolidated Edison Inc Disc Note, 0.20%
    8,999,950       1.91 %
       14,328,000
 
10/16/2009
 
 Dexia Delaware LLC Disc Note, 0.28%
    14,324,657       3.04 %
         7,172,000
 
10/2/2009
 
 Dexia Delaware LLC Disc Note, 0.27%
    7,170,386       1.52 %
       19,000,000
 
10/5/2009
 
 Elsevier Fin Sa Disc Note, 0.35%
    18,998,707       4.04 %
         5,780,000
 
10/5/2009
 
 Harley-Davidson Dealer Funding Corp, 0.46%
    5,779,494       1.23 %
       15,000,000
 
10/6/2009
 
 Harley-Davidson Funding Corp Disc Note, 0.38%
    14,998,921       3.19 %
       19,465,000
 
10/6/2009
 
 Lloyds Bank Plc Disc Note, 0.16%
    19,464,481       4.13 %
       20,000,000
 
10/5/2009
 
 OGE Energy Corp Disc Note, 0.30%
    19,999,000       4.25 %
         1,525,000
 
10/5/2009
 
 Reed Elsevier Inc Disc Note, 0.30%
    1,524,911       0.32 %
       21,500,000
 
10/1/2009
 
 Royal Bank of Scotland Plc Disc Note, 0.23%
    21,496,140       4.57 %
         1,000,000
 
10/5/2009
 
 Time Warner Entertainment Co DiscNote, 0.33%
    999,945       0.21 %
       20,900,000
 
10/1/2009
 
 Vodafone Group PLC Disc Note, 0.30%
    20,899,826       4.44 %
         2,000,000
 
10/5/2009
 
 Wellpoint Inc Disc Note, 0.28%
    1,999,907       0.42 %
                         
Total Corporate Notes and Repurchase Agreements (cost - $213,622,462)
    213,622,462       45.38 %
                         
                         
Total investment securities - United States (cost - $419,011,661)
  $ 419,996,260       89.23 %
 




See accompanying notes.
 
4

 
WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2009 (Unaudited)

 

 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
LONG FUTURES CONTRACTS:
                 
Agriculture
Oct 09 - May 10
    219     $ (228,117 )     (0.05 )%
Currencies
Dec 09 - Dec 11
    4,486       7,344,473       1.56 %
Energy
Nov 09
    19       6,741       0.00 %
Interest Rates
Oct 09 - Sep 11
    5,415       3,696,521       0.79 %
Metals
Nov 09 - Jan 10
    620       1,890,563       0.40 %
Stock Indices
Oct 09 - Dec 09
    1,949       1,078,780       0.23 %
Treasury Rates
Dec 09
    1,740       2,028,335       0.43 %
                           
Total long futures contracts
      14,448       15,817,296       3.36 %
                           
SHORT FUTURES CONTRACTS:
                       
Agriculture
Oct 09 - Aug 10
    1,048       132,504       0.03 %
Currencies
Oct 09 - Dec 09
    442       14,714       0.00 %
Energy
Oct 09 - Jan 10
    230       (703,490 )     (0.15 )%
Interest Rates
Dec 09 - Sep 10
    71       35,809       0.01 %
Metals
Nov 09 - Jan 10
    77       (92,566 )     (0.02 )%
Stock Indices
Dec 09
    19       44,625       0.01 %
                           
Total short futures contracts
      1,887       (568,404 )     (0.12 )%
                           
Total futures contracts
      16,335     $ 15,248,892       3.24 %
                           
LONG OPTIONS CONTRACTS:
                       
Stock Indices (cost of $23,605)
Oct 09
    45     $ 15,253       0.00 %
                           
SHORT OPTIONS CONTRACTS:
                       
Stock Indices (proceeds of $54,120)
Oct 09
    45     $ (44,065 )     (0.01 )%
                           
 



See accompanying notes.
 
5

 
WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

INVESTMENT SECURITIES
 


Face Value
 
Maturity Date
 
Description
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States
           
                     
U.S. Government Agency Bonds and Notes
           
$3,000,000
 
11/17/2009
 
Federal Farm Credit Bank, 2.05%
  $ 3,005,640       1.16 %
6,000,000
 
12/23/2010
 
Federal Farm Credit Bank, 2.37%
    6,011,280       2.32 %
4,000,000
 
7/10/2009
 
Federal Home Loan Bank, 4.35%
    4,002,280       1.54 %
3,250,000
 
5/1/2009
 
Federal Home Loan Bank, 3.00%
    3,253,998       1.26 %
3,600,000
 
5/20/2009
 
Federal Home Loan Bank, 2.04%
    3,603,744       1.39 %
2,800,000
 
11/20/2009
 
Federal Home Loan Bank, 2.04%
    2,802,128       1.08 %
5,000,000
 
12/29/2010
 
Federal Home Loan Bank, 2.05%
    5,018,750       1.94 %
5,000,000
 
8/21/2009
 
Federal Home Loan Bank, 0.44%
    4,994,250       1.93 %
5,000,000
 
4/28/2009
 
Federal Home Loan Bank, 2.50%
    5,007,800       1.93 %
5,000,000
 
4/29/2010
 
Federal Home Loan Bank, 3.05%
    5,039,050       1.95 %
4,000,000
 
4/30/2009
 
Federal Home Loan Bank, 2.60%
    4,030,000       1.56 %
5,000,000
 
12/30/2009
 
Federal Home Loan Mortgage Corporation, 1.00%
    4,993,750       1.93 %
4,000,000
 
11/10/2009
 
Federal Home Loan Mortgage Corporation, 2.05%
    4,005,040       1.55 %
5,000,000
 
7/6/2010
 
Federal Home Loan Mortgage Corporation, 1.50%
    5,000,000       1.93 %
1,180,000
 
1/7/2009
 
Federal Home Loan Bank Disc Note, 0.03%
    1,179,993       0.46 %
6,600,000
 
2/4/2009
 
Federal Home Loan Mortgage Corp Disc, 0.05%
    6,599,670       2.55 %
Total U.S. Government Agency Bonds and Notes (cost - $68,432,351)
    68,547,373       26.48 %
                         
Corporate Notes and Repurchase Agreements
               
$27,893,000
 
1/2/2009
 
Bank of America Repo, 0.01%
    27,893,000       10.77 %
6,000,000
 
1/6/2009
 
Chevron Corp Note, 0.02%
    6,000,000       2.32 %
2,124,000
 
1/5/2009
 
Hershey Foods Corp Disc Note, 0.15%
    2,123,947       0.82 %
   896,000
 
1/2/2009
 
L’Oreal USA Inc Disc Note, 0.15%
    895,974       0.35 %
6,000,000
 
1/5/2009
 
Nestle Capital Disc Note, 0.01%
    5,999,991       2.32 %
6,000,000
 
1/5/2009
 
Northern Illinois Gas Disc Note, 0.07%
    5,999,930       2.32 %
6,000,000
 
1/6/2009
 
Rabobank USA Financial Corp Disc Note, 0.05%
    5,999,942       2.32 %
3,400,000
 
1/2/2009
 
Societe General North America Disc Note, 0.21%
    3,399,861       1.31 %
6,000,000
 
1/2/2009
 
Toyota Financial Service Puerto Rico, 0.10%
    6,000,000       2.32 %
Total Corporate Notes and Repurchase Agreements (cost - $64,312,645)
    64,312,645       24.85 %
                         
Total investment securities - United States (cost - $132,744,996)
  $ 132,860,018       51.33 %
 

 
See accompanying notes.
 
6

 
 
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2008

 

 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners Capital
 
                     
LONG FUTURES CONTRACTS:
                   
Agriculture
Feb - Jun 09
    60     $ 120,994       0.05 %
Currencies
Mar 09 - Jun 10
    1,439       1,600,723       0.62 %
Interest Rates
Jan 09 - Jun 10
    1,533       2,662,065       1.03 %
Metals
Jan 09
    75       (205,661 )     (0.08 )%
Stock Indices
Mar 09
    2       875       0.00 %
Treasury Rates
Mar 09 - Dec 09
    563       1,542,447       0.60 %
                           
Total long futures contracts
      3,672       5,721,443       2.22 %
                           
SHORT FUTURES CONTRACTS:
                         
Agriculture
Feb 09 - Nov 10
    667       (1,242,086 )     (0.48 )%
Currencies
Mar 09
    441       (1,489,992 )     (0.58 )%
Energy
Jan 09 - Dec 10
    94       302,182       0.12 %
Metals
Jan - Apr 09
    175       998,975       0.39 %
Stock Indices
Jan - Mar 09
    119       (112,475 )     (0.04 )%
Treasury Rates
Mar 09
    18       (3,736 )     0.00 %
                           
Total short futures contracts
      1,514       (1,547,132 )     (0.59 )%
                           
Total futures contracts
      5,186     $ 4,174,311       1.63 %
 


See accompanying notes.
 
7

 
WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF OPERATIONS
FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008 (Unaudited)

 

   
Three Months Ended
   
Nine Months Ended
 
   
September 30,
   
September 30,
 
    2009     2008     2009     2008  
TRADING GAINS (LOSSES)
                       
    Gain (loss) on trading of
                       
commodity futures and options contracts
                   
Realized
  $ (6,676,953 )   $ (7,717,632 )   $ (32,901,444 )   $ 13,744,650  
Change in unrealized
    14,560,617       (7,827,198 )     11,076,284       (1,270,058 )
Brokerage commissions
    (1,709,663 )     (141,601 )     (3,732,248 )     (396,715 )
                                 
                Gain (loss) from trading futures
    6,174,001       (15,686,431 )     (25,557,408 )     12,077,877  
                                 
    Gain (loss) on trading of securities
                               
Realized
    0       162       (3,188 )     162  
Change in unrealized
    327,321       (278,747 )     869,577       (278,747 )
                                 
                Gain (loss) from trading securities
    327,321       (278,585 )     866,389       (278,585 )
                                 
    Foreign currency translation gains (losses)
    428,566       (466,259 )     (322,976 )     (146,434 )
                                 
                Total trading gains (losses)
    6,929,888       (16,431,275 )     (25,013,995 )     11,652,858  
                                 
NET INVESTMENT INCOME (LOSS)
                               
    Income
                               
        Interest income
    913,735       1,120,176       2,124,189       3,053,004  
                                 
    Expenses
                               
Management fee
    2,032,711       706,380       4,984,113       1,641,201  
Administrative fee
    176,102       12,683       400,215       12,683  
Service fees
    1,064,057       539,485       2,803,017       1,219,259  
Incentive fee
    292,980       14,473       297,698       5,631,196  
Professional fees
    335,387       136,704       883,509       221,317  
                                 
                Total expenses
    3,901,237       1,409,725       9,368,552       8,725,656  
                                 
                                 
                Net investment (loss)
    (2,987,502 )     (289,549 )     (7,244,363 )     (5,672,652 )
                                 
                                 
                NET INCOME (LOSS)
  $ 3,942,386     $ (16,720,824 )   $ (32,258,358 )   $ 5,980,206  
 


See accompanying notes.
 
8

 
WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009 AND 2008 (Unaudited)

 

         
Limited Partners
       
                                                 
                     
 
               
 
       
         
Original
   
Original
   
Special
   
 
   
 
   
Institutional
   
General
 
   
Total
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
   
Partner
 
                                                 
Balances at December 31, 2008
  $ 259,047,478     $ 106,046,677     $ 16,246,048     $ 3,150,480     $ 31,171,321     $ 28,262,426     $ 74,167,035     $ 3,491  
                                                                 
Transfers
    0       (496,647 )     533,421       0       (216,944 )     180,170       0       0  
                                                                 
Capital additions
    284,918,681       143,470       638       37,650,000       119,958,699       71,764,361       55,401,513       0  
                                                                 
Capital withdrawals
    (40,840,617 )     (14,017,191 )     (1,139,451 )     (8,581,457 )     (5,219,739 )     (3,052,155 )     (8,830,624 )     0  
                                                                 
Net (loss) for the nine months
                                                               
ended September 30, 2009
    (32,258,358 )     (8,453,088 )     (1,177,807 )     (1,859,585 )     (8,357,508 )     (5,232,504 )     (7,177,576 )     (290 )
                                                                 
Offering costs
    (81,004 )     (25,934 )     (3,965 )     (1,671 )     (15,832 )     (12,292 )     (21,309 )     (1 )
                                                                 
Balances at September 30, 2009
  $ 470,786,180     $ 83,197,287     $ 14,458,884     $ 30,357,767     $ 137,319,997     $ 91,910,006     $ 113,539,039     $ 3,200  
                                                                 
Balances at December 31, 2007
  $ 95,514,861     $ 35,501,499     $ 50,243,852     $ 9,766,611     $ 0     $ 0     $ 0     $ 2,899  
                                                                 
Transfers
    0       (3,402,661 )     (63,975,368 )     0       22,062       (22,062 )     67,378,029       0  
                                                                 
Capital additions
    138,893,933       64,322,008       32,627,859       0       14,763,397       10,230,667       16,950,002       0  
                                                                 
Capital withdrawals
    (32,138,981 )     (1,740,410 )     (13,737,386 )     (3,837,000 )     (60,289 )     0       (12,763,896 )     0  
                                                                 
Net income (loss) for the nine months
                                                         
ended September 30, 2008
    5,980,206       1,731,766       9,804,997       827,673       (490,464 )     (248,702 )     (5,645,285 )     221  
                                                                 
Offering costs
    (105,154 )     (53,702 )     (27,451 )     (5,471 )     (1,240 )     (766 )     (16,522 )     (2 )
                                                                 
                                                                 
Balances at September 30, 2008
  $ 208,144,865     $ 96,358,500     $ 14,936,503     $ 6,751,813     $ 14,233,466     $ 9,959,137     $ 65,902,328     $ 3,118  



See accompanying notes.
 
9

 
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS



NOTE 1 -  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

General Description of the Partnership
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 First Amended Agreement of Limited Partnership (“Agreement”).  The Partnership’s general partner is Altegris Portfolio Management, Inc. (d/b/a APM Funds) (the “General Partner”).  The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests.  The objective of the Partnership’s business is appreciation of its assets.

Method of Reporting
The Partnership follows accounting standards set by the Financial Accounting Standards Board, commonly referred to as the “FASB.” The FASB sets generally accepted accounting principles (GAAP) that the Partnership follows to ensure consistent reporting of the Partnership’s financial condition, results of operations, and changes in partners’ capital. References to GAAP issued by the FASB in these footnotes are to the FASB Accounting Standards Codification referred to as the “ASC.”  The FASB finalized the ASC effective for periods ending on or after September 15, 2009.

The Partnership’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which require the use of certain estimates made by the Partnership’s management.  Actual results could differ from those estimates.

The Partnership has elected not to provide a Statement of Cash Flows as permitted by the FASB ASC.

Cash and Cash Equivalents
Cash and cash equivalents include cash and other highly liquid investments with financial institutions with maturity dates of 90 days or less.

Fair Value
The Partnership adopted the provisions of FASB ASC 820, Fair Value Measurements and Disclosures, which defines fair value, establishes a framework for measuring fair value and expands disclosure about fair value measurement.  Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  A fair value hierarchy is required that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels:  quoted market prices in active markets for identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3).

The adoption of FASB ASC 820 did not have a material impact on the Partnership’s financial statements.

The following summarizes the Partnership’s net investments accounted for at fair value at September 30, 2009 and December 31, 2008, using the fair value hierarchy:
 
   
September 30, 2009
   
December 31, 2008
 
             
Futures and options on futures contracts (Level 1)
  $ 15,220,080     $ 4,174,311  
U.S. Government agency obligations (Level 1)
  $ 206,373,798     $ 68,547,373  
Corporate Notes and Repurchase Agreements (Level 2)
  $ 213,622,462     $ 64,312,645  
                 
 
 
10

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Futures and Options on Futures Contracts

Gains or losses are realized when contracts are liquidated.  Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the statement of financial condition.  Futures and options on futures contracts are valued using the primary exchange’s closing price (Level 1).  Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.  Brokerage commissions on futures and options on futures contracts include other trading fees and are charged to expense when contracts are opened.

Investment Securities

United States government agency securities are generally valued based on quoted prices in active markets (Level 1).  Corporate notes and repurchase agreements are generally valued at cost given their short duration from the time of purchase (Level 2).

Security transactions are recorded on the trade date.  Realized gains and losses from security transactions are determined using the identified cost method.  Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.  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 the accrual basis.

Foreign Currency Transactions

The Partnership’s functional currency is the United States (“U.S.”) dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition.  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 income currently.

Capital Accounts and Allocation of Income and Losses

The Partnership accounts for subscriptions, allocations 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 only issued to Limited Partners on a limited basis.  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 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 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.

Income Taxes

The Partnership is not subject to federal income taxes; each partner reports its allocable share of income, gain, loss, deductions or credits on its own income tax return.

The Partnership classifies interest and penalties, if any, as interest expense.  The Partnership files U.S. federal and state tax returns.  The 2006 through 2008 tax years generally remain subject to examination by U.S. federal and most state tax authorities.
 
11

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments

Effective January 1, 2009, the Partnership adopted the provisions of FASB ASC 815, Derivatives and Hedging, which require presentation of qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts and gains and losses on derivatives.
 
Derivatives not designated as hedging instruments
As of September 30, 2009

 
 Type of
 
Asset
   
Liability
   
 
 
 Futures and
 
Derivatives
   
Derivatives
   
Net
 
 Options Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                   
 Agriculture
  $ 831,808     $ (927,421 )   $ (95,613 )
 
                       
 Currencies
    7,792,071       (432,884 )     7,359,187  
 
                       
 Energy
    56,908       (753,657 )     (696,749 )
 
                       
 Interest Rates
    3,773,143       (40,813 )     3,732,330  
 
                       
 Metals
    2,423,105       (625,108 )     1,797,997  
 
                       
 Stock Indices
    1,523,311       (428,718 )     1,094,593  
 
                       
 Treasury Rates
    2,033,008       (4,673 )     2,028,335  
                         
    $ 18,433,354     $ (3,213,274 )   $ 15,220,080  
 
The above reported fair values are included in equity in Newedge USA, LLC account – Unrealized gain on open commodity futures and options on futures contracts on the statement of financial condition.

Trading Revenue For the
 
Trading Revenue For the
 
Three Months Ended September 30, 2009
 
Nine Months Ended September 30, 2009
 
               
Type of Futures and Options Contract
 
Total
 
Type of Futures and Options Contract
 
Total
 
               
Agriculture
  $ (78,848 )
Agriculture
  $ 2,313,360  
Currencies
    8,804,971  
Currencies
    (1,315,023 )
Energy
    (2,800,902 )
Energy
    ( 5,375,849 )
Interest Rates
    5,325,939  
Interest Rates
    2,320,102  
Metals
    1,381,260  
Metals
    (3,314,636 )
Stock Indices
    (5,455,501 )
Stock Indices
    (10,348,885 )
Treasury Rates
    706,745  
Treasury Rates
    ( 6,104,229 )
Total
  $ 7,883,664  
Total
  $ (21,825,160 )

The above reported trading revenue amounts are included in gain (loss) on trading of commodity futures and options on futures contracts realized and unrealized in the statement of operations.
 
12

 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

For the three and nine months ended September 30, 2009, the monthly average of futures and options on futures contracts bought and sold was approximately 8,500 and 6,700, in each case.

See Note 3 for additional information on the Partnership’s purpose for entering into derivatives not designed as hedging instruments and its overall risk management strategies.

Interim Financial Statements

The financial statements included herein were prepared by us without audit according to the rules and regulations of the Securities and Exchange Commission.  Certain information and footnote disclosures normally included in financial statements prepared in accordance with accounting principles generally accepted in the United States of America may be omitted pursuant to such rules and regulations.  The financial statements reflect, in the opinion of management, all adjustments necessary that were of normal and recurring nature and adequate disclosures to present fairly the financial position and results of operations as of and for the periods indicated.  The results of operations for the three and nine months ended September 30, 2009 and 2008 are not necessarily indicative of the results to be expected for the full year or for any other period.

These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Form 10-K previously filed with the Securities and Exchange Commission.

Recently Adopted Accounting Pronouncements

The Partnership adopted the provisions of FASB ASC 855, Subsequent Events, which establishes general standards of, accounting for, and disclosure of, events that occur after the balance sheet date but before financial statements are issued or available to be issued.  FASB ASC 855 is effective for financial statements issued for the Partnership’s first interim and annual period ending after June 15, 2009.

The Partnership adopted FASB ASC on September 30, 2009.  The FASB ASC is the single source of authoritative non-governmental U.S. GAAP.  The FASB ASC does not change U.S. GAAP but combines all authoritative standards into a comprehensive, topically organized online database.  Effective with the FASB ASC launch on July 1, 2009 only one level of authoritative GAAP will exist, other than guidance issued by the SEC.  All other accounting literature excluded from the FASB ASC will be considered non-authoritative.  The FASB ASC impacted the Partnership’s financial statement disclosures by either eliminating prior FASB references, as all references to authoritative accounting literature will be references made in accordance with the FASB ASC.

NOTE 2 - AGREEMENTS AND RELATED PARTIES

Advisory Contract

The Partnership’s trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Limited (the “Advisor”).  The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined).  However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined).  Effective July 1, 2008, the Advisor receives from the Partnership a monthly management fee equal to 0.083% (1.00% annually) for Class A, Class B and Institutional Interests of the Partnership’s management fee net asset value (as defined).  In addition, the General Partner has assigned a portion of its management fees earned to the Advisor.  Total management fees earned by the Advisor for the nine months ended September 30, 2009 and 2008 were $2,202,950 and $610,075, respectively.  Such management fees for the three months ended September 30, 2009 and 2008 were $926,260 and $263,633, respectively.
 
13

 
NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)

Brokerage Agreements

Newedge USA, LLC is the Partnership’s commodity broker (the “Clearing Broker”), pursuant to the terms of a brokerage agreement.  The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf.
 
General Partner Management Fee
 
The General Partner receives from the Partnership a monthly management fee equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% to 0.125% (0.50% to 1.5% annually) for Special Interests of the Partnership’s management fee net asset value (as defined).  Effective July 1, 2008, the General Partner receives from the Partnership a monthly management fee 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 (as defined).  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, net of such management fees assigned to the Advisor, for the nine months ended September 30, 2009 and 2008 were $2,781,163 and $1,031,126, respectively.  Such management fees for the three months ended September 30, 2009 and 2008 were $1,106,451 and $442,747, respectively.  Management fees payable to the General Partner as of September 30, 2009 and December 31, 2008 were $377,539 and $190,491, respectively.
 
Administrative Fee
 
Effective July 1, 2008, the General Partner receives from the Partnership a monthly administrative fee equal to 0.0275% (0.33% annually) of the Partnership’s management fee net asset value (as defined) attributable to Class A and Class B Interests.
 
Service Fees
 
Original Class A Interests and Class A Interests pay selling agents an ongoing 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.  Effective March 1, 2009 selling agents may, at their option, elect to receive a service fee for the sale of Institutional Interests.
 
If the selling agent so elects, the Partnership will charge an ongoing payment of 0.0417% (0.50% 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.
 
Related Party
 
Altegris Investments, Inc. (“Altegris”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities and Exchange Commission and is an independent introducing broker registered with the Commodity Futures Trading Commission.  Altegris has entered into a selling agreement with the Partnership under which it receives 2% per annum as continuing compensation for interests sold by Altegris that are outstanding at month-end.  Altegris, as the Partnership’s introducing broker, also receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Effective March 1, 2009, the Partnership pays to its clearing brokers and Altegris, at a minimum, monthly brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value (as defined).  Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.  For the nine months ended September 30, 2009 and 2008, charges, commissions and continuing compensation received by Altegris amounted to $4,289,583 and $1,132,373, respectively.  Such charges, commissions and continuing compensation received by Altegris for the three months ended September 30, 2009 and 2008 amounted to $1,822,525 and $504,147, respectively.
 
 
14

 
NOTE 2 -
AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance or rejection 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 in the Agreement.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.

NOTE 3 -
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures and options on futures 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 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 to perform under the terms of their contracts (credit risk).

All of the contracts currently traded by the Partnership are exchange-traded.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its individual counterparties.  However if, in the future, 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 because the sole counterparty to all domestic futures contracts is each respective exchange’s 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 cash deposited with Wilmington Trust Company (the “Custodian”).  For cash not held with the Clearing Broker, the Partnership expanded its agreement with the Custodian in August 2008 to include provision of cash management services by an affiliate of the Custodian, Wilmington Trust Investment Management (“WTIM”).  The Partnership has a substantial portion of its assets on deposit with WTIM in U.S. Government agency bonds and notes and corporate notes and repurchase agreements.  Risks arise from investments in bonds, notes and repurchase agreements due to possible illiquidity and the potential for default by the issuer or counterparty.  Such instruments are also particularly sensitive to changes in interest rates and economic conditions.
 
NOTE 4 -
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 5 -
SUBSEQUENT EVENTS
 
Management of the Partnership evaluated subsequent events through November 13, 2009, the date these financial statements were issued.  There are no subsequent events to disclose.
 
15

 
NOTE 6 -
FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three and nine months ended September 30, 2009 and 2008.  This information has been derived from information presented in the financial statements.
 
 
 
Three months ended
       
   
September 30, 2009
       
   
Original
   
Original
   
Special
    (5)     (5)    
(5)
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                         
Total return for Limited Partners (4)
    0.85 %     1.10 %     1.09 %     0.28 %     0.80 %     1.06 %
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.06 %     2.04 %     1.84 %     4.89 %     2.88 %     2.05 %
  Incentive fees (4)
    0.00 %     0.00 %     0.05 %     0.11 %     0.10 %     0.04 %
                                                 
    Total expenses
    3.06 %     2.04 %     1.89 %     5.00 %     2.98 %     2.09 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.26 )%     (1.24 )%     (1.04 )%     (4.09 )%     (2.08 )%     (1.25 )%
                                                 
   
Three months ended
       
   
September 30, 2008
       
   
Original
   
Original
   
Special
    (5)     (5)    
(5)
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners (4)
    (7.78 )%     (7.56 )%     (7.50 )%     (8.24 )%     (7.79 )%     (7.56 )%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.04 %     2.09 %     1.84 %     4.88 %     2.91 %     2.09 %
  Incentive fees (4)
    0.00 %     0.00 %     0.00 %     0.04 %     0.07 %     0.01 %
                                                 
    Total expenses
    3.04 %     2.09 %     1.84 %     4.92 %     2.98 %     2.10 %
                                                 
  Net investment income (loss) (1) (2) (3)
    (0.97 )%     (0.02 )%     0.23 %     (2.81 )%     (0.84 )%     (0.02 )%
                                                 
 
16

 

NOTE 6 -
FINANCIAL HIGHLIGHTS (CONTINUED)

 
   
Nine months ended
       
   
September 30, 2009
         
                                   (5)  
   
Original
   
Original
   
Special
    (5)     (5)    
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                         
Total return for Limited Partners (4)
    (8.35 )%     (7.66 )%     (7.60 )%     (9.74 )%     (8.35 )%     (7.71 )%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.07 %     2.08 %     1.83 %     4.89 %     2.91 %     2.08 %
  Incentive fees (4)
    0.00 %     0.01 %     0.08 %     0.15 %     0.12 %     0.05 %
                                                 
    Total expenses
    3.07 %     2.09 %     1.91 %     5.04 %     3.03 %     2.13 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.37 )%     (1.38 )%     (1.07 )%     (4.15 )%     (2.17 )%     (1.36 )%
                                                 
   
Nine months ended
       
   
September 30, 2008
         
                                      (5)  
   
Original
   
Original
   
Special
      (5)       (5)    
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners (4)
    7.50 %     8.35 %     8.56 %     (8.24 )%     (7.79 )%     (7.56 )%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.03 %     1.94 %     1.71 %     4.88 %     2.91 %     2.09 %
  Incentive fees (4)
    3.25 %     5.21 %     4.00 %     0.04 %     0.07 %     0.01 %
                                                 
    Total expenses
    6.28 %     7.15 %     5.71 %     4.92 %     2.98 %     2.10 %
                                                 
  Net investment income (loss) (1) (2) (3)
    (0.67 )%     0.69 %     0.81 %     (2.81 )%     (0.84 )%     (0.02 )%
 
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)
Includes offering costs, if any.
 
(2)
Excludes incentive fee.
 
(3)
Annualized.
 
(4)
Not annualized.
 
(5)
Class A, Class B and Institutional Interests were first issued effective July 1, 2008.

17

PART I – FINANCIAL INFORMATION (continued)


Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations
 
Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

Liquidity
 
The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed.  Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so.  Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading.  A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities.  Through September 30, 2009, the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources
 
Interests may be offered for sale as of the beginning of, and may be redeemed as of the end of, each month.
 
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 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 Partnership participates in the speculative trading of commodity futures contracts and options on futures 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 (“FCMs”) and brokers may require margin in excess of minimum exchange requirements.
 
All of the futures contracts currently traded by the Advisor on behalf of 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 trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange.  In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.
 
The Partnership bears the risk of financial failure by the Clearing Broker, Newedge Alternative Strategies, Inc. (“NAST”) (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
 
Performance Summary
 
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 intends 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.
 
18

PART I – FINANCIAL INFORMATION (continued)

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.

Three Months Ended September 30, 2009

The Partnership experienced a net gain of $3,942,386 for the third quarter of 2009.  Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized gains of $6,174,001, while brokerage commissions of $1,709,663 were incurred.  Securities held for cash management purposes achieved net realized and unrealized gains of $327,321 during the period.  During the third quarter, the Partnership incurred total expenses of $3,901,237, including $292,980 in incentive fees, $2,032,711 in management fees and $1,575,546 in administrative, service and professional fees.  The Partnership earned $913,735 in interest income during the third quarter of 2009.

The Partnership experienced a loss in July 2009 as initial economic pessimism, driven by weaker than expected employment data, was reversed mid-month by strong earnings announcements in the U.S.  Crude started the month by falling, but swiftly bounced back, mirroring the rally in stocks.  Against a background of uncertainty in the fixed income markets, the Partnership’s returns were dominated by losses in the equity and bond sectors, with short-term interest rates posting modest gains.  The Partnership’s currency positions continued to bring some diversification to the Partnership’s portfolio.  August 2009 saw continued signs of economic recovery, with a further stream of positive data being released.  The Federal Reserve Board again committed to leaving interest rates near zero while the Bank of England moved to continue its program of quantitative easing.  The U.S. equity markets were up from lows set in March of 2009 and the Advisor’s stock index systems were slow to reverse their short positions, meaning that the Partnership gave back a portion of last year’s gain in stock indices.  The global stock indices continued their strong rally into September 2009, while gold came close to its all time high, as the effective nationalization of debt by Governments created a fear of future inflation in debtor economies.  Currencies were the strongest performing sector in September of 2009 as the Partnership benefited from the falling exchange rates of the U.S. Dollar.  Short-term interest rates registered further gains and became the Partnership’s best performing sector for the nine months ended September 30, 2009.

Three Months Ended September 30, 2008

The Partnership experienced a net loss of $16,720,824 for the third quarter of 2008.  Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized losses of $15,686,431, while brokerage commissions of $141,601 were incurred.  Securities held for cash management purposes achieved net realized and unrealized losses of $278,585 during the period.  During the third quarter, the Partnership incurred total expenses of $1,409,725, including $14,473 in incentive fees, $706,380 in management fees and $688,872 in service and professional fees.  The Partnership earned $1,120,176 in interest income during the third quarter of 2008.
 
A loss in July of 2008 occurred as volatility returned to the commodity markets, with both the energy and grain sectors experiencing dramatic price fluctuations, and grain sectors falling significantly.  The Partnership again experienced losses in August, although less dramatically than in the previous month.  Profits were realized from a long bias in fixed income sectors, but suffered in the currency sector as the long-standing negative trend in the U.S. dollar reversed.  With these two financial sectors offsetting each other, the net decline in August came from commodities – primarily crude oil, precious metals and grains.  In September, the Partnership experienced a small net decline amidst high volatility, and sizeable losses in some sectors were offset by sizeable profits elsewhere in the portfolio. Losses in September were recorded in commodities and currencies as the dollar’s violent rally and accompanying commodity sell off continued to inflict damage on residual exposures. These were almost offset by erratic declines in stock indices and renewed strength in government bonds worldwide.
 
Nine Months Ended September 30, 2009

The Partnership experienced a net loss of $32,258,358 for the nine months ended September 30, 2009.  Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized losses of $25,557,408, while brokerage commissions of $3,732,248 were incurred.  Securities held for cash management purposes achieved net realized and unrealized gain of $866,389 during the period.  During the period, the Partnership incurred total expenses of $9,368,552, including $297,698 in incentive fees, $4,984,113 in management
 
19

PART I – FINANCIAL INFORMATION (continued)
 
fees and $4,086,741 in administrative, service and professional fees.  The Partnership earned $2,124,189 in interest income during the nine months ended September 30, 2009.

Third Quarter 2009.  The Partnership experienced a loss in July 2009 as initial economic pessimism, driven by weaker than expected employment data, was reversed mid-month by strong earnings announcements in the U.S.  Crude started the month by falling, but swiftly bounced back, mirroring the rally in stocks.  Against a background of uncertainty in the fixed income markets, the Partnership’s returns were dominated by losses in the equity and bond sectors, with short-term interest rates posting modest gains.  The Partnership’s currency positions continued to bring some diversification to the Partnership’s portfolio.  August 2009 saw continued signs of economic recovery, with a further stream of positive data being released.  The Federal Reserve Board again committed to leaving interest rates near zero while the Bank of England moved to continue its program of quantitative easing.  The U.S. equity markets were up from lows set in March of 2009 and the Advisor’s stock index systems were slow to reverse their short positions, meaning that the Partnership gave back a portion of last year’s gain in stock indices.  The global stock indices continued their strong rally into September 2009, while gold came close to its all time high, as the effective nationalization of debt by Governments created a fear of future inflation in debtor economies.  Currencies were the strongest performing sector in September of 2009 as the Partnership benefited from the falling exchange rates of the U.S. Dollar.  Short-term interest rates registered further gains and became the Partnership’s best performing sector for the nine months ended September 30, 2009.
 
Second Quarter 2009.    The Partnership experienced a loss in April 2009 as trading conditions returned to something approaching normality, with daily ranges more constrained and volatility in decline.  The main story for April 2009 was the continued rally of global equities, where the Partnership continued to retain a slightly increased but still relatively small short exposure.  There was little offset from the other sectors, with bond yields increasing as sentiment on the economic situation became slightly more upbeat.  Currency markets were also in flux, and the Partnership experiencing losses similar to what it experienced in the equity sectors during the month.  Commodities also started a decline towards month-end as the very recent scare over swine flu began to impact the markets.  The Partnership was down modestly in May 2009, a month that saw further signs of stability return to the financial system and liquidity continuing to improve to levels not seen since September 2008.  However, the Partnership’s long and short exposures during the month were not synchronized to its advantage as the markets reacted to the new sense of relative confidence.  Equities rallied during the month, while 10-year bond yields rose, resulting in mixed signals for the Partnership’s portfolio positions.  Also, the Partnership’s exposure in the commodities such as the energy and agricultural sectors was also muddled.  The Partnership was again down modestly in June 2009, as equities initially rallied, but fell back and ended flat as markets such as Russia fell 20% from their highs during the month.  Commodities, in particular base metals, also rallied initially but retreated.  The Partnership’s returns were dominated by volatile interest rate moves during June 2009, with losses in the debt and interest rate sectors.  Against these losses, however, crops did well with a positive contribution to Partnership performance during the month.

First Quarter 2009.  January of 2009 saw a wave of consistently poor economic numbers, with unemployment rising, Government debt increasing and recessionary conditions around the globe.  In January, futures markets were volatile and the Partnership profited primarily in currencies, with the U.S. Dollar and Japanese Yen remaining strong, while the Pound Sterling remained under pressure. Elsewhere in the portfolio, there were small losses in bonds and small profits in equities, while liquidity remained favorable.  Throughout February, the situation in global financial and commodity markets worsened and no regions, countries, sectors or companies appeared immune from recessionary conditions.  With volatility levels still elevated, the portfolio continued its low margin exposure with small profits made in short equities (due to falling stock indices in February).  Gyrating currency markets caused small losses mainly attributable to weakening of the U.S. Dollar at month-end.  The continued plunge in demand for commodities in February, combined with increasing inventories, kept a lid on prices.  Crude oil and grain prices came under renewed price pressure, and the only sector to see higher prices was precious metals.  Small gains were achieved from a small long position in gold, and the Partnership benefited primarily from being short grains.  March proved a difficult month for the Partnership and losses were experienced in bond and equity futures, while the Partnership’s long exposure in the U.S. Dollar was damaged by both the increasing United States debt and rumors of the U.S. Dollar being sidelined as the reserve currency. The Japanese Yen position also suffered.  The commodities sector was mixed in March, with the main features being vacillations in gold prices and a rally in energy.  Small returns were derived in crude oil as it started to find some strength.
 
20

PART I – FINANCIAL INFORMATION (continued)
 
Nine Months Ended September 30, 2008

The Partnership experienced net income of $5,980,206 for the nine months ended September 30, 2008.  Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized gains of $12,077,877, while brokerage commissions of $396,715 were incurred.  Securities held for cash management purposes achieved net realized and unrealized losses of $278,585 during the period.  During the period, the Partnership incurred total expenses of $8,725,656, including $5,631,196 in incentive fees, $1,641,201 in management fees, and $1,453,259 in administrative, service and professional fees.  The Partnership earned $3,053,004 in interest income during the nine months ended September 30, 2008.

Third Quarter 2008.  A loss in July of 2008 occurred as volatility returned to the commodity markets, with both the energy and grain sectors experiencing dramatic price fluctuations, and grain sectors falling significantly.  The Partnership again experienced losses in August, although less dramatically than in the previous month.  Profits were realized from a long bias in fixed income sectors, but suffered in the currency sector as the long-standing negative trend in the U.S. dollar reversed.  With these two financial sectors offsetting each other, the net decline in August came from commodities – primarily crude oil, precious metals and grains.  In September, the Partnership experienced a small net decline amidst high volatility, and sizeable losses in some sectors were offset by sizeable profits elsewhere in the portfolio. Losses in September were recorded in commodities and currencies as the dollar’s violent rally and accompanying commodity sell off continued to inflict damage on residual exposures. These were almost offset by erratic declines in stock indices and renewed strength in government bonds worldwide.

Second Quarter 2008.  April 2008 saw performance dip slightly negative, although energy was a stand out performer, with the crude oil, unleaded gasoline and natural gas markets all contributing. It was also a profitable month in grains.  However, the U.S. Dollar became somewhat range-bound while equities rallied against the Partnership’s overall small net short position.  Low exposure to considerable gyrations in short-term interest rates had little effect, but long-term bonds proved less successful.  Performance was positive in May of 2008, following small declines in March and April.  Five out of the nine sectors traded showed positive returns. The continued boom in crude oil prices dominated the month, and gold in particular resumed its uptrend, as did a number of base metals. Grains were mixed, tending to net against each other.  Small profits in short-term interest rates and currencies were offset by equivalent losses in bonds and equities. The Partnership’s position in equities remained small during the period.  June of 2008 saw a sharp decline in global equity markets, as a technical bear market looked to be in place in the United States.  However, the Partnership was well positioned to benefit from these conditions, with equity indices accounting for nearly half the month’s positive return.  Commodity markets, in particular crude oil and grains, made significant contributions for the month.

First Quarter 2008.   January of 2008 saw a sharp decline in equities mirrored by rises in bonds and interest rate futures.  The Partnership’s exposure to the equity indices was small and decreased during the month, and was more than offset by long positions in interest rate futures that were the source of a major portion of the Partnership’s profits.  Sharply lower U.S. interest rates and rises in gold and agricultural and other commodity also benefited the portfolio’s established long positions, while offsetting losses were recorded in the energy sector.  Commodity markets experienced renewed strength in February.  The Partnership’s long positions in grains, metals and energy all made positive contributions, while the U.S. Dollar renewed its overall decline towards the end of the month, causing the Partnership to profit from its long exposure to the Euro.  The Partnership lost ground in March against a background of acute and rising volatility across many markets and tightened liquidity.  Profits in March came from the currency and grain sectors, while intra-month spikes in gold and energy prices caused losses for the Partnership’s metal and energy sector positions. Trading in most other sectors was flat, with losing sectors effectively cancelling out profitable ones.

Off-Balance Sheet Arrangements
 
The Partnership does not engage in off-balance sheet arrangements with other entities.



Not required.

21

PART I – FINANCIAL INFORMATION (continued)
 

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 fiscal quarter 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 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.

There were no changes in the General Partner’s internal controls over financial reporting with respect to the Partnership that occurred during the fiscal quarter covered by this Quarterly Report that has materially affected, or is reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
22

PART II – OTHER INFORMATION
 
 
None.


 
Not required.


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

(b)           Not applicable.

(c)           Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner.  The Partnership may declare additional redemption dates upon notice to the Limited Partners.  The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners.  The following table summarizes the redemptions by Limited Partners during the third calendar quarter of 2009:
 
Month
 
Amount Redeemed
 
July 31, 2009
  $ 4,605,157.09  
August 31, 2009
  $ 10,607,117.12  
September 30, 2009
  $ 3,347,571.44  
 

(a)           None.

(b)           None.


 
None.



(a)           None.

(b)           Not applicable.
 
23

PART II – OTHER INFORMATION (continued)

The following exhibits are incorporated herein by reference.

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

The following exhibits are included herewith.

Exhibit Number
Description of Document
   
31.01
Rule 13a-14(a)/15d-14(a) Certification
32.01
Section 1350 Certification



* This exhibit is incorporated by reference to the exhibit of the same number and description filed with the Partnership’s Registration Statement (File No. 000-53348) filed on July 30, 2008 on Form 10 under the Securities Exchange Act of 1934.
 
** Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.
 
*** Fimat USA, LLC is now Newedge USA, LLC.
 
24

 
SIGNATURES

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

Dated: November 11, 2009

WINTON FUTURES FUND, L.P. (US)

By:      ALTEGRIS PORTFOLIO MANAGEMENT, INC.
            (d/b/a PM Funds), its general partner
 
/s/ Jon C. Sundt                                                            
Jon C. Sundt, President and Principal Financial Officer
 
 
 
 
 
 
 
 
 
 
 
 
 
 
25