Attached files
file | filename |
---|---|
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
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)
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
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* 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.
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.
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(d/b/a PM Funds), its general partner
/s/ Jon C.
Sundt
Jon C.
Sundt, President and Principal Financial Officer
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