Attached files

file filename
EX-32.1 - Altegris Winton Futures Fund, L.P.efc10-272_ex3201.htm
EX-31.1 - Altegris Winton Futures Fund, L.P.efc10-272_ex3101.htm

 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-K
 
(Mark One)
x
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the Fiscal Year Ended December 31, 2009
 
or
 
 
o
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
_______________________
 
Commission File Number: 000-53348
 
WINTON FUTURES FUND, L.P. (US)
(Exact name of registrant as specified in its charter)
 
 
COLORADO
(State or other jurisdiction of
incorporation or organization)
 
84-1496732
(I.R.S. Employer
Identification No.)
     

c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices) (zip code)
(858) 459-7040
 

 

 
 

 

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 if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
         Yes   o     No x
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. 
 
         Yes   o     No x
 
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days
         Yes   x    No    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   x    No    o
 
Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of the Registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.
              o    

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer   o
Accelerated filer   o
Non-accelerated filer   o
Smaller reporting company   x

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Act). 
         Yes   o     No x
 
State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not Applicable.

DOCUMENTS INCORPORATED BY REFERENCE

None.

 
 

 

PART I
BUSINESS
 
(a)           General Development of Business
 
Winton Futures Fund, L.P. (US) (the “Partnership”) is a limited partnership organized under the Colorado Uniform Limited Partnership Act in March 1999.  The Partnership’s business is the speculative trading and investment in international futures, options and forward markets (“Commodity Interests”).  The Partnership commenced its trading and investment operations in November 1999.  Under the Partnership’s First Amended Agreement of Limited Partnership (the “Limited Partnership Agreement”), Altegris Portfolio Management, Inc. (d/b/a APM Funds), an Arkansas corporation (“APM Funds” or the “General Partner”), serves as general partner of the Partnership and has sole responsibility for management and administration of all aspects of the Partnership’s business.  Investors purchasing limited partnership interests (the “Interests”) in the Partnership (“Limited Partners” and together with the General Partner, “Partners”) have no rights to participate in the management of the Partnership.

APM Funds, the General Partner of the Partnership, is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”), and is a member of the National Futures Association (“NFA”).  In 2007, Altegris Portfolio Management, Inc. began doing business as APM Funds.  Winton Capital Management Limited, a United Kingdom Company, acts as the Partnership’s trading advisor (“Advisor”).

Altegris Investments, Inc. (“Altegris”), an affiliate of the General Partner, acts both as the Partnership’s introducing broker (“Introducing Broker”) and as a selling agent.  Altegris is registered with the CFTC as a Commodity Trading Advisor (“CTA”) and an Introducing Broker and with the Securities and Exchange Commission (“SEC”) as a broker-dealer.
 
The Partnership’s term will end upon the first to occur of the following: December 31, 2035; receipt by the General Partner of an election to dissolve the Partnership at a specified time by Limited Partners owning more than 50% of the Interests then outstanding, notice of which is sent by registered mail to the General Partner not less than ninety (90) days prior to the effective date of such dissolution; withdrawal (including withdrawal after suspension of trading), admitted or court decreed insolvency or dissolution of the General Partner; termination of the Partnership pursuant to the terms of the Limited Partnership Agreement; or any event that makes it unlawful for the existence of the Partnership to be continued or requiring termination of the Partnership.

The Partnership is not required to be, and is not, registered under the Investment Company Act of 1940, as amended.
 
As of February 28, 2010, the aggregate net asset value of the Interests in the Partnership before redemptions was $530,803,184.  The Partnership operates on a calendar fiscal year and has no subsidiaries.

The Partnership offers three “classes” of Interests: Class A, Class B and Institutional Interests (each, a “Class of Interest”).  The Classes of Interests differ from each other only in the fees that they pay and the applicable investment minimums.

(b)           Financial Information About Segments

The Partnership’s business constitutes only one segment for financial reporting purposes—i.e., a speculative “commodity pool.”  The Partnership does not engage in sales of goods or services.  Financial information regarding the Partnership’s business is set forth in the Partnership’s financial statements, included herewith.
 
(c)           Narrative Description of Business
  
Altegris Portfolio Management, Inc., an Arkansas corporation formed in 1985 as Rockwell Futures Management, Inc. (“Rockwell”), serves as general partner of the Partnership.  It became a member of NFA in
 
 
 
 
 
2

 
 
November 1985 and has been a CFTC registered CPO since December 1985.  It was also registered as a CTA from December 1985 until January 2002.  It has also been registered with the State of California as an investment adviser since March 2004.
  
Winton Capital Management Limited, a United Kingdom company, serves as commodity trading advisor to the Partnership.  The Advisor became registered with the CFTC as a CTA in January 1998 and as a CPO in December 1998.  It is a member of NFA.  The Advisor is also authorized and regulated by the United Kingdom’s Financial Services Authority (“FSA”).

The Partnership is designed to produce long-term capital appreciation through growth, and not current income.  APM Funds has selected the Advisor to trade one of the Advisor’s proprietary trading models, the Winton Diversified Program (the “Program”), on behalf of the Partnership.  The Advisor currently has the authority to trade the Program on behalf of the Partnership in all the easily accessible and liquid commodity interests (comprising international futures, options and forward markets) that it practically can, which currently consists mainly of commodity interests that are futures, options and forward contracts and certain OTC products, such as swaps in the following areas: stock indices, bonds, short term interest rates, currencies, precious and base metals, grains, livestock, energy and agricultural products.
 
The Advisor’s investment technique in trading the Program consists of trading a portfolio of approximately 120 diversified, highly liquid financial instruments traded across numerous futures markets, and may also include certain OTC instruments and government securities, employing a computerized, technical, principally trend-following trading system.  This system tracks the daily price movements and other data from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be to maximize profit within a certain range of risk.  If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.
 
The trading methods applied by the Advisor to trade the Program on behalf of the Partnership are proprietary, complex and confidential.  As a result, the following explanation is of necessity general in nature and not intended to be exhaustive.  The Advisor plans to continue the research and development of its trading methodology and, therefore, retains the right to revise any methods or strategy, including the technical trading factors used, the commodity interests traded and/or the money management principles applied.
 
The Program traded by the Advisor pursues a technical trend-following system.  Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume.  This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand.  The Program uses no fundamental factors.
 
A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend (that is, to move from one price point to another, either higher or lower over a period of time), and to tend to make exaggerated movements in both upward and downward directions as a result of such trends.  These exaggerated movements are largely explained as a result of the influence of crowd psychology or the herd instinct, amongst market participants.
 
The Advisor developed the Program by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.
 
The Program follows a primarily non-discretionary system. This means that trading signals are automatically generated by its models and, except in extreme situations, are followed to the letter. The Advisor has found that the absence of discretion promotes greater consistency in performance and lessens the opportunity for less reliable anecdotal evidence and personal judgment to influence decision-making. In unusual market situations, the Advisor reserves the right to deviate from its automatic system.
 
The Advisor will select the type of order to be used in executing each trade on behalf of the Partnership and may use any type of order permitted by the exchange on which the order is placed.  The Advisor may place individual orders for each account it trades, or a block order for all accounts it trades, in which the same commodity
 
 
 
3

 
 
interest is being cleared through the same clearing broker.  In the latter instance, the Advisor will allocate trades to individual accounts using a proprietary algorithm.  The aim of this algorithm is to achieve an average price for transactions as close as mathematically possible for each account.  This takes the form of an optimization process where the objective is to minimize the variation in the average traded price for each account.  On occasion, it may direct the clearing broker for the accounts to employ a neutral order allocation system to assign trades.   Partial fills will be allocated in proportion to account size.
 
The trading strategy and account management principles of the Program described above are factors upon which the Advisor will base its trading decisions.  Such principles may be revised from time to time by the Advisor as it deems advisable or necessary.  Accordingly, no assurance is given that all of these factors will be considered with respect to every trade or recommendation made on behalf of the Partnership or that consideration of any of these factors in a particular situation will lessen the risk of loss or increase the potential for profits.
  
It is expected that between 5% and 50% of the Partnership’s assets generally will be held as initial margin or option premiums (in cash or U.S. Treasury Department (“Treasury”) securities) in the Partnership’s brokerage accounts at its clearing broker, Newedge USA, LLC (“Newedge USA”), a futures commission merchant (“FCM”), and/or 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 available for trading by the Advisor in Commodity Interests on behalf of the Partnership.  Interest on Partnership assets held at Newedge USA in cash or Treasury securities will be credited to the Partnership as described under “Charges.”  Depending on market factors, the amount of margin or option premiums held at Newedge USA could change significantly, and all of the Partnership’s assets are available for use as margin.  The Partnership may also retain other brokers and/or dealers from time to time to clear or execute a portion of Partnership trades made by the Advisor.
  
With respect to Partnership assets not held at Newedge USA or NAST as described above, but deposited with Wilmington Trust Company (the “Custodian”), the portion not held in checking, money market or other bank accounts (and used to pay Partnership operating expenses) will be invested in liquid, high-quality short-term securities at the direction of the Custodian or its sub-advisor, Wilmington Trust Investment Management, LLC, an affiliate of the Custodian that is registered with the SEC as an investment adviser.  The Partnership’s custody and investment management agreement with the Custodian permits the Custodian to invest in U.S. government and agency securities, other securities or instruments guaranteed by the U.S. government or its agencies, CDs, time deposits, banker’s acceptances, commercial paper and repurchase agreements — subject in each case to specific diversification, credit quality and maturity limitations.  The Custodian may use sub-advisers to attempt to increase yield enhancement.  The General Partner may direct that a portion of Partnership assets be deposited with other custodians and retain other sub-advisers for the purpose of attempting to increase yield enhancement via other cash management arrangements.
 
The percentage of the Partnership’s assets deposited with these firms is also subject to change in the General Partner’s sole discretion.  The Partnership’s assets will not be commingled with the assets of any other person.  Depositing the Partnership’s assets with banks or Newedge USA, or other clearing brokers, as segregated funds is not commingling for these purposes.
  
The Partnership pays all of its ongoing liabilities, expenses and costs, including the charges described in the chart below.  Additional explanation of certain terms used in the chart below immediately follows it.
 
 
Entity
Form of Compensation
 
Amount of Compensation
APM Funds
(General Partner)
Management fee
Class A Interests:  0.104% of the “management fee net asset value” (see certain terms and definitions below) of the month-end capital account balances of all Class A Interests (1.25% per annum).
 
Class B Interests:  0.104% of the management fee net asset value of the month-end capital account balances of all Class B Interests (1.25% per annum).
 
Institutional Interests: 0.0625% of the management fee net asset value of the month-end capital account balances of all Institutional Interests (0.75% per annum).
 
 
 
 
 
4

 
 
 
 
Altegris, as selling agent; other selling agents; other appropriately registered persons
Selling commissions and continuing compensation
 
Class A Interests: 0.166% of the “month-end net asset value” (see certain terms and definitions below) apportioned to each Class A Interest sold by selling agents (2% per annum).
 
Institutional Interests (effective March 1, 2009, if applicable and as disclosed to the Institutional Interest investor): 0.0417% of the month-end net asset value apportioned to any Institutional Interest whose selling agent elects to receive continuing compensation (0.50% per annum).
 
   
Class A Interests: Unless waived by a selling agent in whole or in part, a selling agent may elect to charge a commission which will be paid by the subscriber to the selling agent in an amount up to 3% of the value of the Class A Interests purchased. Any commission, if charged, will not be included as part of a subscriber’s capital contribution to the Partnership.
 
Winton Capital Management Limited (the Advisor)
Management Fee
 
 
Incentive fee
0.083% of the management fee net asset value (described below) of the month-end capital account balances of all Interests (1.0% per annum).
 
20% of quarterly Trading Profits (see certain terms and definitions below) applicable to each Class of Interest will be paid by the Partnership to the Advisor.
 
Newedge USA (Clearing Broker); NAST; other clearing brokers
Brokerage commissions, transaction fees and interest income
Brokerage commission charges of $9.75 per round-turn for trades on both U.S. exchanges and most foreign exchanges.  Brokerage commissions for certain contracts on some foreign exchanges may be substantially higher.  Transaction fees for spot and forward currency trades are at the rate of $25.00 per USD $1 million or foreign currency equivalent traded.  Certain additional charges may also apply.  Commission rates per round-turn charged by clearing brokers other than Newedge USA, if any, may differ and could be higher.  Newedge USA and/or NAST may maintain Partnership assets on deposit with them in cash or Treasury securities.
 
Altegris (Introducing Broker)
Brokerage charges, commissions, transaction fees and interest income
Newedge USA and/or NAST will pay Altegris a portion of the brokerage commissions and transaction fees received from the Partnership as well as a portion of the interest income received on the Partnership’s assets.  Effective March 1, 2009, monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually).  If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership pays only the amount described in (A) above.
 
Various service providers
 
 
 
Periodic operating expenses, fixed administrative fee, fees of the Custodian and its sub-advisor, and other expenses
 
 
 
The Partnership generally pays its operating expenses as they are incurred.  A fixed administrative fee is charged to Class A and Class B Interests equal to 0.0275% of the management fee net asset value of the month-end capital account balance of all such Class A and Class B Interests from July 2008 forward, which fee is payable to the General Partner to help defray the ongoing expenses of operating the Partnership (0.333% per annum).
 
 
Extraordinary expenses
For example, indemnification expenses, litigation expenses and other non-recurring expenses.  Due to the nature of these expenses, they are not subject to estimate.
 
 
 
5

 
 
 
“Capital account balance” means the net asset value attributable to each Partner’s capital account, consisting of initial and additional capital contributions, less withdrawals of capital and any distributions made to Partners, and other adjustments as set out in the Limited Partnership Agreement, including, but not limited to, adjustments for deductions of fees and expenses, and for net profits, net losses and tax allocations.

“Management fee net asset value” means the net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction for any accrued incentive fees related to the current quarter.  Net asset value is to be determined on the basis of United States generally accepted accounting principles, consistently applied, unless otherwise specified.  Management fee net asset value will include the sum of all cash, U.S. Government obligations or other securities at market value, accrued interest receivable, and the current market value of all open Commodity Interest positions, as indicated by the settlement prices determined by the exchanges on which such positions are maintained.

“Month-end net asset value,” as used in the computation of selling agents’ continuing compensation, is calculated prior to any adjustment for subscriptions or redemptions effective for the end of the month.
 
“Trading Profits” (for purposes of calculating incentive fees paid by the Partnership to the Advisor only) during a calendar quarter means cumulative realized and change in unrealized profits and losses during the quarter which result from the Advisor’s trading (over and above the aggregate of previous period profits as of the end of any prior quarter) without regard to interest income and after reduction for brokerage charges, General Partner administrative and management fees.

“Incentive fees” payable to the Advisor on Trading Profits are accrued for purposes of calculating net asset value only.  Incentive fees are calculated separately for each Limited Partner’s Interest.  If Trading Profits for a quarter as to an Interest are negative, such losses shall constitute a “Carryforward Loss” for the beginning of the next quarter.  No incentive fees are payable as to any Interest until future Trading Profits as to that Interest for the following quarters exceed any Carryforward Loss.  Therefore, the Advisor will not receive an incentive fee unless it generates new Trading Profits for an Interest.  An incentive fee will not be refunded by virtue of subsequent losses. If a Limited Partner makes a partial redemption from the Partnership when there is a Carryforward Loss with respect to its capital account, the amount of the Carryforward Loss for such Limited Partner will be reduced for future periods by the ratio obtained by dividing the amount of the redemption by such Limited Partner’s capital account prior to such redemption.  If all or some of a Limited Partner’s Interest is redeemed at any time other than on a calendar quarter-end, the effective date of such redemption will be treated as a calendar quarter-end for purposes of determining the amount of such incentive fee and the definition of Trading Profits, and the applicable incentive fee at such time will be charged to the redeeming Limited Partner in the proportion that the redeemed Interest bears to such Limited Partner’s total Interest immediately before the redemption.

Item 101(h)(4)(xi) is not applicable; the Partnership has no employees.
  
APM Funds is registered with the CFTC as a CPO and the Advisor is registered with the CFTC as a CPO and CTA.  Both APM Funds and the Advisor are also members of NFA.
 
The CFTC has delegated to NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers” and “floor traders.”  The Commodity Exchange Act requires commodity pool operators such as APM Funds, commodity trading advisors such as the Advisor and commodity brokers or FCMs such as Newedge USA and introducing brokers such as Altegris to be registered and to comply with various reporting and record keeping requirements.  CFTC regulations also require FCMs and certain introducing brokers to maintain a minimum level of net capital.  In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges.  All accounts owned or managed by the Advisor will be combined for position limit purposes.  The Advisor could be required to liquidate positions held for the Partnership in order to comply with such limits.  Any such liquidation could result in substantial costs to the Partnership.  In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to hit its daily price limit for several days in a row, making it impossible for the Advisor to liquidate a position and thereby experiencing a dramatic loss.  Currency forward contracts currently are not subject to regulation by any U.S. government agency.
 
The Advisor is regulated by the FSA.
 
Financial Information About Geographic Areas

The Partnership has no operations in foreign countries although it trades on foreign exchanges and other non-U.S. markets.  The Partnership does not engage in sales of goods or services.
 
ITEM 1A: RISK FACTORS
 
Not required.
 
 
 
6

 
 
 
ITEM 1B: UNRESOLVED STAFF COMMENTS
 
Not applicable.

ITEM 2: PROPERTIES
 
The Partnership does not own or use any physical properties in the conduct of its business.  Employees of Altegris perform all administrative services for the Partnership from offices at 1202 Bergen Parkway, Suite 212, Evergreen, Colorado 80439 or at 1200 Prospect St., Suite 400, La Jolla, California 92037.

 
ITEM 3: LEGAL PROCEEDINGS
 
The Partnership is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject.  In addition there are no pending material legal proceedings involving APM Funds.  The Partnership has no subsidiaries.

 
ITEM 4: REMOVED AND RESERVED
 



 
7

 

PART II

ITEM 5: MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASE OF EQUITY SECURITIES
 
(a)           Market information
 
There is no trading market for the Interests, and none is likely to develop.  Interests may be redeemed or transferred subject to the conditions imposed by the Limited Partnership Agreement.
 
(b)           Holders
 
As of March 1, 2010 the Partnership had 6,172 holders of Interests.
 
(c)           Dividends
 
APM Funds has sole discretion in determining what distributions, if any, the Partnership will make to its investors.  To date no distributions or dividends have been paid on the Interests, and APM has no present intention to make any.

(d)           Securities Authorized for Issuance under Equity Compensation Plans

None.

(e)           Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities

The Partnership did not sell any unregistered securities within the past three years which have not previously been included in the Partnership’s Quarterly Reports on Form 10-Q or in a Current Report on Form 8-K.

(f)           Issuer Purchases of Equity Securities

Pursuant to the Limited Partnership Agreement, Limited Partners may redeem their Interests in the Partnership as of the end of any calendar month upon fifteen (15) days’ written notice to the General Partner.  The redemption of capital from capital accounts by Limited Partners has no impact on the value of the capital accounts of other Limited Partners.
 
The following table summarizes Limited Partner redemptions during the fourth calendar quarter of 2009:
 
Month Ended
   
Amount Redeemed
     
October 31, 2009
 
$
1,565,676
November 30, 2009
   
6,894,186
December 31, 2009
   
3,431,884
Total
 
$
11,891,746

ITEM 6: SELECTED FINANCIAL DATA
 
Not required.
 
ITEM 7: MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
 
 
 
 
8

 

 
(a)           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 December 31, 2009 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

(b)           Capital Resources

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.
 
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses.  Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.
  
The Partnership participates in the speculative trading of commodity futures contracts 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 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 Newedge USA, NAST and/or other clearing brokers or counterparties with which the Partnership trades. 

(c)           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.
 
2009

During 2009, the Partnership achieved net realized and unrealized losses of $22,281,070 from its trading of commodity futures contracts including brokerage commissions of $5,636,378.  The Partnership accrued total expenses of $13,656,913, including $546,869 in incentive fees, $7,310,067 in management fees paid to the General Partner, and $5,183,957 in service and professional fees.  The Partnership earned $3,044,150 in interest income during 2009.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2009 is set forth below.
 
 
 
 
9

 
 
 
Fourth Quarter 2009.  The Partnership experienced a loss during October as equity markets opened the month with a selloff, then rallied to make new highs for the year, before falling back to where they started the month. Crude oil briefly increased, gold made new highs and grains experienced some strong upward moves, while the U.S. Dollar continued its fall against the Euro.  November was generally a good month for the Partnership with the continuation of a number of longer term trends.  The general theme was the rallying of asset prices and the U.S. Dollar falling.  Equity markets made new highs for the year, bonds rallied and gold put in a stellar performance to reach an all-time high.  The Partnership made gains in equities, precious metals, currencies and fixed income markets and ended up for the month.  A number of longer term trends reversed in December, which saw the Partnership give back some of November’s gains.  Surprise employment numbers published early in the month helped the U.S. Dollar reverse its near year-long decline.  Global stock markets moved higher, however, gold gave up most of the previous month’s gains, and there were similar sharp reversals in bonds and short term interest rates.

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, with 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
 
 
 
 
 
10

 
 
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.

2008

During 2008, the Partnership achieved net realized and unrealized gains of $41,907,106 from its trading of commodity futures contracts including brokerage commissions of $499,445.  The Partnership accrued total expenses of $13,589,300, including $8,685,185 in incentive fees, $2,474,653 in management fees paid to the General Partner, and $2,429,462 in service and professional fees.  The Partnership earned $3,801,283 in interest income during 2008.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2008 is set forth below.
 
Fourth Quarter 2008.  The Partnership experienced a fairly good month in October 2008, which was a remarkable month in the financial markets; disastrous for many traditional managers and some hedge funds, but generally favorable to commodity futures traders.  Profits came mainly from short positions in falling equity indices and long positions in the U.S. Dollar, particularly versus the Canadian Dollar and Pound Sterling.  November 2008 saw a certain amount of continuity from the previous two months, with continued government and central bank initiatives, both individual and collective, attempting to prevent further failures and stimulate economies. The markets continued to trend, with equity indices down, bond indices up and commodity markets trading lower.  Exposure to bonds accounted for about half of November’s profits, as 10-year yields fell from 4.36% to an incredible 3.32%. The other half was derived from positions in the energy, interest rate and equity sectors.  Continued gains were experienced in December 2008, as 10-year note yields in the US fell, which once again helped performance in the bond sector.  The energy sector was the stand out performer for the Partnership in December, as crude oil prices declined sharply, whereas currency markets were more erratic resulting in a slight overall loss in that sector.  Equity index returns were more or less flat for the month.

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
 
 
 
 
11

 
 
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.

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

(e)           Contractual Obligations

Not required.

(f)           Critical Accounting Estimates

APM Funds believes that the Partnership's most critical accounting estimates relate to the valuation of the Partnership's assets.  Futures and options on futures contracts are valued using the primary exchange’s closing price.  Forward currency contracts are stated at fair value using spot currency rates provided by Newedge USA, LLC and adjusted for interest rates and other typical adjustment factors. United States government agency securities are generally valued based on quoted prices in active markets.  Corporate notes and repurchase agreements are generally valued at cost given their short duration from the time of purchase  Security transactions are recorded on the trade date.  Realized gains and losses from security transactions are determined using the identified cost method.  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.

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.  Based on the nature of the business and operations of the Partnership, the APM Funds believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates.  The estimates used do not provide a range of possible results that would require the exercise of subjective judgment.  APM Funds further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

ITEM 7A:  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
 
Not required.
 
 
 
 
12

 
 
 
ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
 
Financial statements required by this item are included herewith following the Index to Financial Statements and are incorporated by reference into this Item 8.  
 
Because the Partnership is a Smaller Reporting Company, as defined by Rule 229.10(f)(1), the supplementary financial information required by Item 302 of Regulation S-K is not required.
 
ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
 
None.
 
ITEM 9A:  CONTROLS AND PROCEDURES
 
(a)           The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this annual 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.

(b)           This annual report does not include a report of management’s assessment regarding internal control over financial reporting or an attestation report of the company’s registered public accounting firm due to a transition period established by rules of the SEC for newly public companies.

ITEM 9B:  OTHER INFORMATION

None.
 



 
13

 

PART III

ITEM 10: DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
 
(a)           Identification of Directors and Executive Officers
 
(i)           The Partnership has no officers, directors, or employees.  The Partnership’s affairs are managed by APM Funds (although it has delegated trading and investment authority to the Advisor and administrative duties to Altegris, which is wholly-owned by Altegris Capital).  APM Funds’ principals are Altegris Capital, Jon C. Sundt, Robert J. Amedeo, Matthew C. Osborne, Richard G. Pfister, David P. Mathews, Jennifer Cutsinger and Elizabeth Hancuff.  Of these principals, Messrs. Sundt, Amedeo, Osborne and Pfister are responsible for trading and operational decisions including, but not limited to, selecting the Partnership’s commodity trading advisor and allocating assets among clearing brokers, custodians, cash managers and other financial firms.

Altegris Capital.  Altegris Capital is owned by Messrs. Sundt (directly and indirectly through family trusts), Amedeo, Osborne and Pfister.  Messrs. Sundt, Amedeo and Osborne founded Altegris Capital in February 2002.  Mr. Pfister became a member in April 2004.  Each of Messrs. Sundt, Amedeo, Osborne and Pfister is a director of APM Funds.  Altegris Capital is a holding company and is not actively engaged in any business.
 
Jon C. Sundt (age 48) is an officer and a director of APM Funds, becoming its President in October 2004, and prior to that serving as its Vice President from July 2002 to October 2004.  During that period, he has also been (1) the President and a director of Altegris, an Introducing Broker, broker dealer and affiliate of APM Funds; (2) a managing member of Altegris Capital; and (3) the President of International Traders Research, Inc. (“ITR”), an affiliate of APM Funds, which provides informational, software and research services to its affiliates and their clients, and also to third party subscribers.  Mr. Sundt attended the University of California San Diego.  Mr. Sundt became a principal of APM Funds in July 2002 and became a branch manager and an associated person of APM Funds in October 2007.
 
Robert J. Amedeo (age 56) is an officer and director of APM Funds, has been a Vice President of APM Funds since October 2004, and prior to that served as APM Funds’ President from July 2002 until October 2004.  During that period, he has also been (1) an Executive Vice President and director of Altegris, an Introducing Broker and Broker-Dealer affiliate of APM Funds, (2) a managing member of Capital, and (3) an officer and director of ITR.  In addition to his responsibilities as an officer and director of APM Funds and Altegris, Mr. Amedeo has pursued business development projects for the companies and their affiliates.  Mr. Amedeo is a graduate of Northwestern University and received a Juris Doctor degree from DePaul University.  He became a principal and associated person of Rockwell, the predecessor to APM Funds, in November 1985.
 
Matthew C. Osborne (age 45) is an officer and director of APM Funds, and has held the office of Vice President of APM Funds since July 2002.  During that period, he has also been (1) an Executive Vice President, a director of, and Chief Investment Officer for, Altegris, (2) a managing member of Altegris Capital, and (3) an officer and director of ITR.   Mr. Osborne became a principal of APM Funds in July 2002.
 
Richard G. Pfister (age 38) is an officer and director of APM Funds since October 2004, at which time he was appointed as a Vice President of APM Funds.  He also became an Executive Vice President and a director of Altegris, in April 2004; he became a member of Altegris Capital on April 2004 and a manager in May 2008.  Prior to April 2004, he was a registered representative of Altegris where his responsibilities, in addition to sales, included researching alternative investments, conducting due diligence, and providing support to institutional clientele.  Mr. Pfister graduated from the University of San Diego and holds the Chartered Alternative Investments Analyst designation.
 
David P. Mathews, Jennifer Cutsinger and Elizabeth Hancuff are each principals of APM Funds, but none participate in making trading, operational or management decisions for the Partnership.

None of the individuals listed above currently serves as a director of a public company.
 
 
 
14

 
 
(ii)           Identification of Certain Significant Employees
 
None.
 
(iii)           Family Relationships
 
None.
 
(iv)           Business Experience
 
See above.
 
(v)           Involvement in Certain Legal Proceedings.
 
None.
 
(vi)           Promoters and Control Persons
 
Not Applicable.

(b)           Section 16(a) Beneficial Ownership Reporting Compliance

APM Funds, Jon C. Sundt, Robert J. Amedeo, Matthew C. Osborne and Richard G. Pfister each filed initial reports on Form 3 after the Interests became registered under Section 12 of the Securities Exchange Act of 1934.  No subsequent filings on Form 4 or Form 5 have been required as there have been no changes in beneficial ownership of the Partnership that would trigger Form 4 or Form 5 filing requirements during the period.

(c)           Code of Ethics
 
The Partnership has no employees, officers or directors and is managed by APM Funds.  APM Funds has adopted a Code of Ethics that applies to its principal executive officers and certain other persons associated with APM Funds.  Richard G. Pfiser filed a Form 5 on March 31, 2010, a late filing.
 
(d)           Corporate Governance

Not applicable.

ITEM 11: EXECUTIVE COMPENSATION
 
The Partnership has no officers, directors, or employees.  None of the principals, officers, or employees of APM Funds or Altegris receives compensation from the Partnership.  All persons serving in the capacity of officers or executives of APM Funds, the General Partner of the Partnership, are compensated by Altegris and/or Altegris Capital in respect of their respective positions with Altegris or Altegris Capital.  APM Funds receives a monthly management fee equal to 1/12 of 1.25% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests and equal to 1/12 of 0.75% of the management fee net asset value of the month-end capital account balances attributable to Institutional Interests.  APM Funds also receives a monthly administrative fee equal to 1/12 of 0.333% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests.
 
Altegris receives continuing monthly compensation from the Partnership equal to 1/12 of 2% of the month-end net asset value of Class A Interests sold by Altegris.
 
Effective March 1, 2009, Altegris, in its capacity as Introducing Broker to the Partnership, may receive compensation for brokerage-related services.  The Partnership will pay monthly brokerage charges equal to the
 
 
 
 
15

 
 
greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually).  If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services.  In any month when the amount in (A) is greater than the amount in (B) above, the Partnership will pay only the amount described in (A) above.
 
The Partnership has no other compensation arrangements.  There are no compensation plans or arrangements relating to a change in control of the Partnership or APM Funds.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
 
(a)
Security ownership of certain beneficial owners
 
Not applicable.
 
(b)
Security Ownership of Management
 
The Partnership has no officers or directors.  Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by APM Funds, which has delegated discretionary authority over the Partnership’s trading to the Advisor.  As of February 28, 2010, APM Funds’ general partner interest in the Partnership was valued at $3,173, which constituted approximately 0% of the Partnership’s total assets.  As of February 28, 2010, the following directors and executive officers of APM Funds owned Interests in the Partnership.
 
Class
 
Name and Address
Value of Interests
Percentage Ownership
     
Held Directly
Held Indirectly
Held Directly
Held Indirectly
Institutional
 
Jon C. Sundt
1200 Prospect Street, Suite 400
La Jolla, CA  92037
 
 
$22,631*
 
0.00004%
Institutional
 
Robert J. Amedeo
1200 Prospect Street, Suite 400
La Jolla, CA  92037
 
$43,538
 
0.00008%
 
Institutional
 
Richard G. Pfister
1200 Prospect Street, Suite 400
La Jolla, CA  92037
 
$21,828
 
0.00004%
 
* Held via a family trust.
 
 (c)
Changes in Control
 
None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
 
The Partnership does not engage in any transactions with APM Funds or its affiliates other than in respect of the services and payment of fees therefor described above in Item 1.
 
 
 
16

 
 
 
 
The Partnership paid to APM Funds monthly management fees totaling $7,310,067 for the year ended December 31, 2009.  The Partnership paid to APM Funds administrative fees totaling $616,020 for the year ended December 31, 2009.
 
The Partnership paid to Altegris monthly continuing compensation of $1,050,646 for the year ended December 31, 2009.  In addition, Altegris, in its capacity as the Introducing Broker for the Partnership, receives from the Partnership’s clearing broker (i.e., Newedge USA) the following compensation: (i) a portion of the brokerage commissions paid by the Partnership to Newedge USA, and of the interest income earned on Partnership’s assets held at Newedge USA, equal to $699,440 for the year ended December 31, 2009.  Altegris, in its capacity as Introducing Broker, also may receive from the Partnership, effective March 1, 2009, monthly brokerage charges as described in Item 11.  From March 1, 2009 through December 31, 2009 the Partnership paid monthly brokerage charges of $4,608,703.  As of December 2009, the Partnership anticipates, but has not yet commenced entry into, spot and other foreign exchange over-the-counter transactions with NAST as principal counterparty.  Upon commencement of such transactions between the Partnership and NAST, Altegris, in its capacity as Introducing Broker for the Partnership, will receive a portion of the transaction fees received by NAST.
 
The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person.
 
None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership.
 
The Partnership has no directors, officers or employees and is managed by the General Partner.  The General Partner is managed by certain of its principals, none of whom is independent of the General Partner.
  
ITEM 14: PRINCIPAL ACCOUNTING FEES AND SERVICES
 
The following table sets forth the fees billed to the Partnership for professional audit services provided by Spicer Jeffries LLP, the Partnership’s independent registered public accountant, for the audit of the Partnership’s annual financial statements for the years ended December 31, 2009 and 2008.
 
FEE CATEGORY
2009
2008
     
Audit Fees
$82,500*
$65,000
Audit-Related Fees
-
-
Tax Fees
17,500
10,000
All Other Fees
-
-
     
TOTAL FEES
$100,000
$75,000
_________________
* Amount expected to be billed for 2009 services.
 
Audit Fees consist of fees paid to Spicer Jeffries LLP for (i) the audit of Winton Futures Fund, L.P. (US)’s annual financial statements included in the annual report on Form 10-K, and review of financial statements included in the quarterly reports on Form 10-Q and filed on Winton Futures Fund, L.P. (US)’s current reports on Form 8-K; and (ii) services that are normally provided by the Independent Registered Public Accountants in connection with statutory and regulatory filings of registration statements.

Tax Fees consist of fees paid to Spicer Jeffries LLP for professional services rendered in connection with tax compliance and Partnership income tax return filings.

The board of directors of APM Funds pre-approves the engagement of the Partnership’s auditor for all services to be provided by the auditor.
 
 
 
17

 

 
PART IV
 
ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES
 
 
Financial Statements
 
The financial statements and balance sheets required by this Item are included herewith, beginning after the signature page hereof, and are incorporated into this Item 15.
 
 
Exhibits
 
The following documents (unless otherwise indicated) are filed herewith and made part of this registration statement.
 
Exhibit Designation
Description
*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
   
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 10-12G 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.
 
 
 
 
18

 
 

 
SIGNATURES

Pursuant to the requirements of Section 12 of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this registration statement to be signed on its behalf by the undersigned, thereunto duly authorized.
 
Dated:  March 30, 2010
WINTON FUTURES FUND, L.P. (US)
By:  ALTEGRIS PORTFOLIO MANAGEMENT, INC.
 
 
 
 
By:  /s/ Jon C. Sundt                                       
Name:  Jon C. Sundt
Title:  Principal Executive and Principal Financial Officer

 
 
 
 
By:  /s/ Matthew C. Osborne                        
Name:  Matthew C. Osborne
Title:  Vice President and Secretary

 
 
 
 
By:  /s/ Richard G. Pfister                                 
Name:  Richard G. Pfister
Title:  Vice President

 
 
 
 
19 

 

 
 

 

 

 
WINTON FUTURES FUND, L.P. (US)
 
FINANCIAL STATEMENTS
 
YEARS ENDED DECEMBER 31, 2009, 2008 AND 2007
 
 
 
 
 

 
WINTON FUTURES FUND, L.P. (US)
 
____________
 
TABLE OF CONTENTS
_____________
 

 

 
   PAGES
   
 Report of Independent Registered Public Accounting Firm   2
   
 Financial Statements  
   
   Statements of Financial Condition   3
     
   Condensed Schedules of Investments  4 - 8
     
   Statements of Operations  9
     
   Statements of Changes in Partners’ Capital (Net Asset Value)   10
     
   Notes to Financial Statements   11 - 25
 

 
 

 

 
 


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Partners of
Winton Futures Fund, L.P. (US)

We have audited the accompanying statements of financial condition, including the condensed schedules of investments of Winton Futures Fund, L.P. (US) (the “Partnership”) as of December 31, 2009 and 2008, and the related statements of operations and changes in partners’ capital for the years ended December 31, 2009, 2008 and 2007. These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Winton Futures Fund, L.P. (US) as of December 31, 2009 and 2008, and the results of its operations and changes in partners’ capital for the years ended December 31, 2009, 2008 and 2007 in conformity with accounting principles generally accepted in the United States of America.



 
 
Greenwood Village, Colorado
  /s/  Spicer Jeffries LLP  
 March 29, 2010      
       
 

 
 
 

 
 
-2- 

 


WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2009 AND 2008
_______________

 
   
2009
   
2008
 
ASSETS
           
Equity in Newedge USA, LLC account
           
Cash
  $ 57,157,995     $ 154,396,738  
Unrealized gain on open commodity futures contracts
    2,751,248       4,174,311  
Long options (cost $31,080 and $0)
    15,760       -  
Unrealized gain on open forward contracts
    3,227       -  
Interest receivable
    -       14,426  
      59,928,230       158,585,475  
                 
                 
Cash and cash equivalents
    3,733,271       3,384,626  
Investment securities at value
               
  (cost - $469,559,059 and $132,744,996)
    469,934,981       132,860,018  
Interest receivable
    719,323       161,545  
                 
Total assets
  $ 534,315,805     $ 294,991,664  
                 
LIABILITIES
               
Short options (proceeds $68,320 and $0)
  $ 36,220     $ -  
Payable for securities purchased
    -     $ 5,000,000  
Commissions payable
    611,622       30,216  
Management fee payable
    822,084       314,556  
Administrative fee payable
    77,788       16,198  
Service fees payable
    420,136       229,428  
Incentive fee payable
    249,171       3,053,989  
Redemptions payable
    3,504,884       4,043,596  
Subscriptions received in advance
    12,878,915       23,079,459  
Other liabilities
    249,209       176,744  
                 
Total liabilities
    18,850,029       35,944,186  
                 
                 
PARTNERS’ CAPITAL (NET ASSET VALUE)
               
General Partner
    3,198       3,491  
Limited Partners
    515,462,578       259,043,987  
                 
Total partners’ capital (Net Asset Value)
    515,465,776       259,047,478  
                 
Total liabilities and partners’ capital
  $ 534,315,805     $ 294,991,664  
 
See accompanying notes.
 

 
-3-

 

WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
_______________

 
 
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%
  $ 5,009,400       0.97  
  8,000,000  
6/17/2011
Federal Farm Credit Bank, 1.2%
    8,020,000       1.56  
  5,000,000  
9/23/2011
Federal Farm Credit Bank, 1.2%
    4,987,500       0.97  
  5,000,000  
10/13/2011
Federal Farm Credit Bank, 1.2%
    4,998,450       0.97  
  10,000,000  
11/4/2011
Federal Farm Credit Bank, 1.24%
    9,981,300       1.94  
  5,000,000  
5/5/2011
Federal Farm Credit Bank, 1.375%
    5,017,200       0.97  
  5,000,000  
3/23/2011
Federal Farm Credit Bank, 1.85%
    5,012,500       0.97  
  1,035,000  
8/5/2011
Federal Farm Credit Bank, 1.375%
    1,041,148       0.20  
  2,720,000  
12/9/2011
Federal Farm Credit Bank, 1.05%
    2,702,157       0.52  
  11,165,000  
7/18/2011
Federal Farm Credit Bank, 1.125%
    11,175,495       2.17  
  10,000,000  
9/30/2010
Federal Farm Credit Bank, 1.25%
    10,050,000       1.95  
  1,500,000  
10/19/2011
Federal Farm Credit Bank, 1.25%
    1,496,715       0.29  
  8,130,000  
10/21/2011
Federal Farm Credit Bank, 1.25%
    8,145,284       1.58  
  5,000,000  
11/23/2011
Federal Farm Credit Bank, 1.25%
    4,992,200       0.97  
  15,000,000  
6/15/2011
Federal Farm Credit Bank, 1.3%
    15,046,950       2.92  
  10,000,000  
10/14/2011
Federal Farm Credit Bank, 1.3%
    9,978,100       1.94  
  10,000,000  
8/27/2010
Federal Farm Credit Bank, 1.375%
    10,053,100       1.95  
  5,000,000  
9/10/2010
Federal Farm Credit Bank, 1.4%
    5,028,150       0.98  
  5,000,000  
9/13/2010
Federal Farm Credit Bank, 1.5%
    5,032,800       0.98  
  5,950,000  
11/10/2011
Federal Home Loan Mortgage Corporation, 1.2%
    5,926,379       1.15  
  3,225,000  
12/30/2011
Federal Home Loan Mortgage Corporation, 1.3%
    3,203,134       0.62  
  4,175,000  
11/18/2011
Federal Home Loan Mortgage Corporation, 1.5%
    4,162,976       0.81  
  5,000,000  
2/9/2011
Federal Home Loan Mortgage Corporation, 1.75%
    5,006,000       0.97  
  10,000,000  
3/16/2011
Federal Home Loan Mortgage Corporation, 2%
    10,024,900       1.94  
  15,000,000  
5/27/2011
Federal National Mortgage Association, 1.35%
    15,042,150       2.92  
  5,000,000  
9/30/2010
Federal National Mortgage Association, 1.2%
    5,023,450       0.97  
  10,000,000  
9/28/2011
Federal National Mortgage Association, 1.25%
    9,971,900       1.93  
  2,000,000  
9/29/2011
Federal National Mortgage Association, 1.25%
    1,996,260       0.39  
  6,250,000  
12/30/2011
Federal National Mortgage Association, 1.25%
    6,218,750       1.21  
  10,000,000  
5/27/2011
Federal National Mortgage Association, 1.5%
    10,034,400       1.95  
  5,000,000  
7/6/2010
Federal National Mortgage Association, 1.50%
    5,032,800       0.98  
  10,000,000  
4/8/2011
Federal National Mortgage Association, 1.875%
    10,031,300       1.95  
  3,000,000  
2/11/2011
Federal National Mortgage Association, 2%
    3,005,640       0.58  
  10,000,000  
4/1/2011
Federal National Mortgage Association, 2%
    10,040,600       1.95  
Total U.S. Government Agency Bonds and Notes (cost - $232,113,166)
  $ 232,489,088       45.10  

See accompanying notes.

 
-4-

 


WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2009
_______________

INVESTMENT SECURITIES (continued)
 
Face Value
 
Maturity Date
Decription
 
Value
   
% of Partners Capital
 
Fixed Income Investments – United States (continued)
             
Corporate Notes and Repurchase Agreements
             
$ 23,350,000  
1/6/2010
American Honda Finance Corp Disc Note, .15%
  $ 23,347,179       4.53  
  21,900,000  
1/4/2010
Avery Dennison Corp Disc Note, 0.15%
    21,899,635       4.25  
  22,900,000  
1/4/2010
BMW US Capital Disc Note, .30%
    22,898,855       4.44  
  22,995,000  
1/12/2010
BNP Paribas Financial Inc Disc Note, .14%
    22,993,122       4.46  
  2,370,000  
1/13/2010
Chevron Corp Note, .07%
    2,370,000       0.46  
  21,910,000  
1/4/2010
Devon Energy Corp Disc Note, .18%
    21,909,577       4.25  
  1,175,000  
1/11/2010
Dexia Delaware LLC Disc Note, .29%
    1,174,735       0.23  
  23,175,000  
1/8/2010
Dexia Delaware LLC Disc Note, .30%
    23,169,493       4.49  
  3,300,000  
1/6/2010
Public Svc Co of NC Disc Note, .30%
    3,299,807       0.64  
  30,100,000  
1/4/2010
Societe Generale N America Inc Disc Note, .08%
    30,099,594       5.84  
  2,300,000  
1/15/2010
Toyota Motor Credit Corp Disc Note, .15%
    2,299,712       0.45  
  22,900,000  
1/5/2010
Vodafone Group Plc Disc Note, .23%
    22,898,976       4.44  
  20,000,000  
1/5/2010
Volkswagen of America Disc Note, .27%
    19,998,950       3.88  
  19,087,000  
1/4/2010
Wellpoint Inc DTD, .20%
    19,086,258       3.70  
                 
Total Corporate Notes and Repurchase Agreements (cost - $237,445,893)
    237,445,893       46.06  
                         
Total investment securities – United States (cost - $469,559,059)
  $ 469,934,981       91.16  

See accompanying notes.

 
-5-

 

WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2009
_______________

 
 
Range of Expiration Dates
 
Number of Contracts or Notional Value
   
Value
   
% of Partners Capital
 
                     
LONG FUTURES CONTRACTS:
                   
Agriculture
Feb 10 – Oct 10
    751     $ 739,441       0.14  
Currencies
Mar 10
    1,962       (1,739,750 )     (0.34 )
Energy
Feb 10 – Mar 10
    73       94,634       0.02  
Interest Rates
Jan 10 – Mar 12
    4,877       69,583       0.01  
Metals
Jan 10 – Dec 10
    962       1,890,916       0.37  
Stock Indices
Jan 10 – Mar 10
    3,821       3,443,054       0.67  
Treasury Rates
Mar 10
    301       (477,078 )     (0.09 )
                           
Total long futures contracts
      12,747       4,020,800       0.78  
                           
SHORT FUTURES CONTRACTS:
                         
Agriculture
Jan 10 – May 10
    668       (169,625 )     (0.03 )
Currencies
Jan 10 – May 10
    926       (104,602 )     (0.02 )
Energy
Jan 10 – May 10
    174       (440,113 )     (0.09 )
Interest Rates
Mar 10 – Jun 10
    149       (26,810 )     (0.11 )
Metals
Jan 10
    68       (560,248 )     (0.01 )
Stock Indices
Mar 10
    11       (9,154 )     -  
Treasury Rates
Mar 10
    163       41,000       0.01  
                           
Total short futures contracts
      2,159       (1,269,552 )     (0.25 )
                           
Total futures contracts
      14,906     $ 2,751,248       0.53  
                           
LONG OPTIONS CONTRACTS:
                         
Stock Indices (cost of $31,080)
Jan 10 – Mar 10
    58     $ 15,760       -  
                           
SHORT OPTIONS CONTRACTS:
                         
Stock Indices (proceeds of $68,320)
Jan 10 – Mar 10
    58     $ 36,220       0.01  
                           
LONG FORWARD CURRENCY CONTRACTS:
                         
Brazilian Real
Jan 10
  $ 200,850 (1)   $ (4,233 )     -  
                           
                           
SHORT FORWARD CURRENCY CONTRACTS:
                         
Brazilian Real
Jan 10 – Feb 10
  $ 400,000 (1)     7,460       -  
                           
Total forward currency contracts
            $ 3,227       -  
                           
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
                 

See accompanying notes.

 
-6-

 

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
Hersey 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       0.31  
  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       24.81  
                         
Total investment securities – United States (cost $132,744,996)
  $ 132,860,018       51.29  

See accompanying notes.
 
 
-7-

 
 
WINTON FUTURES FUND, L.P. (US)
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       0.61  
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       -  
Treasury Rates
Mar 09 –Dec 09
    563        1,542,447       0.59  
                           
Total long futures contracts
      3,672        5,721,443       2.20  
                           
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 )     -  
                           
Total short futures contracts
      1,514       (1,547,132 )     (0.59 )
                           
Total futures contracts
      5,186     $ 4,174,311       1.61  

See accompanying notes.

 
-8-

 

 
WINTON FUTURES FUND, L.P. (US)
STATEMENT OF OPERATIONS
YEARS ENDED DECEMBER 31, 2009, 2008 AND 2007
 
________________
 

 
   
2009
   
2008
   
2007
 
TRADING GAINS (LOSSES):
                 
Gain (loss) on trading of
derivatives contracts
                 
Realized
  $ (15,134,007 )   $ 39,189,837     $ 15,016,680  
Change in unrealized
    (1,403,056 )     2,819,778       (739,757 )
Brokerage commissions
    (5,636,378 )     (499,445 )     (673,161 )
Gain (Loss) from trading derivatives
    (22,173,441 )     41,510,170       13,603,762  
Gain (loss) on trading of securities
                       
Realized
    (1,633 )     5,605       -  
Change in unrealized
    260,900       115,022       -  
Gain from trading securities
    259,267       120,627       -  
Foreign currency translation gains (losses)
    (366,896 )     276,309       133,655  
Total trading gains (losses)
    (22,281,070 )     41,907,106       13,737,417  
                         
NET INVESTMENT INCOME (LOSS):
                       
Income
                       
Interest income
    3,044,150       3,801,283       3,810,719  
    Expenses
                       
Management fee
    7,310,067       2,474,653       1,170,329  
Administrative fee
    616,020       49,259       -  
Service fees
    4,014,343       1,864,912       536,306  
Incentive fee
    546,869       8,685,185       2,765,664  
Professional fees
    1,169,523       515,291       214,484  
                         
Total expenses
    13,656,913       13,589,300       4,686,783  
                         
Net investment (loss)
    (10,612,763 )     (9,788,017 )     (876,064 )
                         
NET INCOME (LOSS)
  $ (32,893,833 )   $ 32,119,089     $ 12,861,353  

See accompanying notes

 
-9-

 
 
WINTON FUTURES FUND, L.P. (US)
STATEMENT OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
YEARS ENDED DECEMBER 31, 2009, 2008, 2007
________________
 
         
Limited Partners
       
                                                 
   
Total
   
Original
Class A
   
Original
Class B
   
Special
Interests
   
Class A
   
Class B
   
Institutional
Interests
   
General
Partner
 
                                                 
Balances at December 31, 2006
  $ 57,161,095     $ 16,714,934     $ 31,527,995     $ 8,915,623     $ -     $ -     $ -     $ 2,543  
                                                                 
Transfers
    -       (1,127,544 )     1,127,544       -       -       -       -       -  
                                                                 
Capital additions
    41,661,121       18,167,321       22,673,800       820,000       -       -       -       -  
                                                                 
Capital withdrawals
    (16,152,642 )     (2,299,027 )     (12,633,615 )     (1,220,000 )     -       -       -       -  
                                                                 
Net income for the year
ended December 31, 2006
    12,861,353       4,051,251       7,557,205       1,252,541       -       -       -       356  
                                                                 
Offering costs
    (16,066 )     (5,436 )     (9,077 )     (1,553 )     -       -       -       -  
                                                                 
Balances at December 31, 2007
    95,514,861       35,501,499       50,243,852       9,766,611       -       -       -       2,899  
                                                                 
Transfers
    -       (3,428,705 )     (63,946,413 )     -       (262,983 )     260,072       67,378,029       -  
                                                                 
Capital additions
    178,574,330       64,322,008       32,627,859       -       29,770,930       26,373,531       25,480,002       -  
                                                                 
Capital withdrawals
    (47,036,859 )     (3,474,589 )     (14,264,716 )     (8,174,000 )     (113,314 )     (54,100 )     (20,956,140 )     -  
                                                                 
Net income for the year
ended December 31, 2008
    32,119,089       13,188,377       11,614,186       1,563,864       1,779,682       1,685,068       2,287,318       594  
                                                                 
Offering costs
    (123,943 )     (61,913 )     (28,720 )     (5,995 )     (2,994 )     (2,145 )     (22,174 )     (2 )
                                                                 
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
    -       (1,619,578 )     918,871       -       (584,077 )     92,967       1,191,817       -  
                                                                 
Capital additions
    341,256,824       169,092       1,121       37,650,000       154,019,760       85,850,610       63,566,241       -  
                                                                 
Capital withdrawals
    (51,787,951 )     (16,975,386 )     (1,277,714 )     (8,581,457 )     (7,082,968 )     (3,645,724 )     (14,224,702 )     -  
                                                                 
Net income for the year
ended December 31, 2009
    (32,893,833 )     (8,460,393 )     (1,146,642 )     (1,785,361 )     (9,287,406 )     (5,305,870 )     (6,907,869 )     (292 )
                                                                 
Offering costs
    (156,742 )     (37,727 )     (6,117 )     (6,107 )     (40,512 )     (27,680 )     (38,598 )     (1 )
                                                                 
Balances at December 31, 2009
  $ 515,465,776     $ 79,122,685     $ 14,735,567     $ 30,427,555     $ 168,196,118     $ 105,226,729     $ 117,753,924     $ 3,198  
 
See accompanying notes

                                             
 
-10-

 

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 “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.
 
Pursuant to the Cash Flows Topic of the Codification, the Fund qualifies for an exemption from the requirement to provide a statement of cash flows and has elected not to provide a statement of cash flows.
 
Cash and Cash Equivalents
 
Cash and cash equivalents includes cash and other highly liquid investments with financial institutions with maturity dates of 90 days or less.

Basis of Accounting

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.

 
 
-11-

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Basis of Accounting (concluded)

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. 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.

Fair Value

The Partnership values its investments in accordance with Accounting Standards Codification 820 - Fair Value Measurements (“ASC 820”).  Under ASC 820, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants and the measurement date.

In determining fair value, the Partnership uses various valuation approaches. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.

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

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access. Valuation adjustments and blockage discounts are not applied to Level 1 securities. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.

Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
 
 
 
 
 
-12-

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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

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

The Partnership values futures and options on futures contracts at the closing price of the contracts primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy.

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

The fair value of United States government bonds is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. United States government bonds are generally categorized in Levels 1 or 2 of the fair value hierarchy.
 
 
 
 
-13-

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads or credit default swap spreads. The spread data used are for the same maturity as of the bond. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy.

The industry classifications included in the condensed schedule of investments represent the General Partner’s belief as to the most meaningful presentation of the classification of the Partnership’s investments.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2009:
 
   
Quoted Prices in Active Markets for Identical Assets
(Level 1)
   
Significant Other Observable Inputs
(Level 2)
   
Significant
Unobservable Inputs
(Level 3)
   
Balance as of
December 31, 2009
 
                         
Assets
                   
Futures Contracts
  $ 2,751,248     $ -     $ -     $ 2,751,248  
Options Contracts
    15,760       -       -       15,760  
Forward currency contracts
    -       3,227       -       3,227  
U.S. Government agency obligations
    232,489,088       -       -       232,489,088  
Corporate notes and
repurchase agreements
    -       237,445,893       -       237,445,893  
    $ 235,256,096     $ 237,449,120     $ -     $ 472,705,216  
Liabilities
                               
Options contracts
  $ 36,220     $ -     $ -     $ 36,220  
                                 


 
-14-

 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (concluded)

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2008:

 
   
Quoted Prices in Active Markets for Identical Assets
(Level 1)
   
Significant Other Observable Inputs
(Level 2)
   
Significant
Unobservable Inputs
(Level 3)
   
Balance as of
December 31, 2009
 
                         
Assets
                   
Futures Contracts
  $ 4,174,311     $ -     $ -     $ 4,174,311  
U.S. Government agency obligations
    68,547,373       -       -       68,547,973  
Corporate notes and
repurchase agreements
    -       64,312,645       -       64,312,645  
    $ 72,721,684     $ 64,312,645     $ -     $ 137,034,329  
                                 

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.
 
 
 
 
-15-

 
 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
 
Income Taxes
 
The Partnership is not subject to federal income taxes; each partner reports his allocable share of income, gain, loss, deductions or credits on their 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 2009 tax years generally remain subject to examination by U.S. federal and most state tax authorities.
 
 
Financial Derivative Instruments
 
The Partnership engages in the speculative trading of futures, options on futures, and forward contracts for the purpose of achieving capital appreciation.  None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the ASC, nor are they used for other risk management purposes.  The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters.  Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
 
The following presents the fair value of derivative contracts at December 31, 2009.  The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position.  Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the statement of financial condition.
 

 
-16-

 
 

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

 
NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
 
Financial Derivative Instruments (continued)
 
   
December 31, 2009
 
                   
   
Asset
   
Liability
       
   
Derivatives
   
Derivatives
   
Net
 
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
Futures Contracts
                 
Agriculture
  $ 1,170,985     $ (601,169 )   $ 569,816  
Currencies
    387,606       (2,231,958 )     (1,844,352 )
Energy
    119,033       (464,512 )     (345,479 )
Interest Rates
    1,809,953       (1,767,180 )     42,773  
Metals
    2,938,546       (1,607,878 )     1,330,668  
Stock Indices
    3,749,160       (315,260 )     3,433,900  
Treasury Rates
    57,594       (493,672 )     (436,078 )
      10,232,877       (7,481,629 )     2,751,248  
                         
Options on Futures Contracts
                       
Stock Indices
    15,760       (36,220 )     (20,460 )
                         
Forward Currency Contracts
                       
Currencies
    7,460       (4,233 )     3,227  
                         
Total Gross Fair Value of Derivatives
  $ 10,256,097     $ (7,522,082 )   $ 2,734,015  
 
 
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the year ended December 31, 2009.  The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statement of operations.

 
 
-17-

 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Financial Derivative Instruments (continued)
 
 
Year Ended December 31, 2009
     
Futures Contracts
 
Realized
 
 
Change in
Unrealized
 
 
Number of
Contracts Closed
 
Agriculture
$              (1,573,442)
 
$                       1,690,908
 
2,838
 
Currencies
(1,811,907)
 
(1,955,084)
 
6,820
 
Energy
(7,203,938)
 
(647,661)
 
1,676
 
Interest Rates
4,429,561
 
(2,618,822)
 
6,524
 
Metals
3,183,739
 
537,355
 
1,034
 
Stock Indices
(6,947,020)
 
3,545,500
 
6,816
 
Treasury Rates
 
(5,360,121)
 
 
(1,975,259)
 
 
3,833
 
Total futures contracts
(15,283,128)
 
(1,423,063)
 
29,541
 
             
Options on Futures Contracts
 
       
Stock Indices
149,121
 
16,780
 
386
 
             
Forward Currency Contracts
           
Currencies
 
-
 
 
3,227
 
$                      200,000
(1)
Total gains from derivatives trading
 
$            (15,134,007)
 
 
$                    (1,403,056)
     
(1)  Represents the U.S. dollar equivalent of the notional amount bought or sold
 
 
Reclassifications

Certain amounts in the 2008 and 2007 financial statements were reclassified to conform with the 2009 presentation.
 
Recently Adopted Accounting Pronouncements
 
The Partnership adopted the provisions of FASB ASC 855, Subsequent Events, which establishes general standards of and 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.
 
 
 
-18-

 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Recently Adopted Accounting Pronouncements (continued)
 
The Partnership adopted FASB Accounting Standards Codification on September 30, 2009. FASB ASC is the single source of authoritative nongovernmental U.S. GAAP. The Codification does not change U.S. GAAP but combines all authoritative standards into a comprehensive, topically organized online database. Effective with the Codification 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 Codification will be considered non-authoritative. The Codification impacted the Partnership’s financial statement disclosures by eliminating prior FASB references since all references to authoritative accounting literature will be references made in accordance with the Codification.
 
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 ("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 calculated separately for each partner’s interest 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 years ended December 31, 2009 and 2008 and 2007 were $3,266,333, $933,820 and $478,625, respectively.
 
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.


 
-19-

 

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

NOTE 2 -                      AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
 
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 years ended December 31, 2009, 2008 and 2007 were $4,043,734, $1,540,833 and $691,704, respectively.  Management fees payable to the General Partner as of December 31, 2009 and December 31, 2008 were $446,310 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 the 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.
 
 
 
-20-

 

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

NOTE 2 -                      AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
 
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 an independent introducing broker registered with the Commodity Futures Trading Commission.  Altegris has entered into a selling agreement with the Partnership where 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. For the years ended December 31, 2009, 2008 and 2007, commissions, interest income and continuing compensation received by Altegris amounted to $6,358,789, $1,807,841 and $639,040, respectively.
 
 
Effective March 1, 2009, the Partnership pays to its clearing brokers and Altegris, at a minimum, 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.
 
Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner.  A Limited Partner may request and receive redemption of capital, subject to restrictions in the Agreement.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.
 

 
 
-21-

 

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

NOTE 3 -               FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS
AND UNCERTAINTIES
 
The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward currency contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers.  Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement.  Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).
 
The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions since, in over the counter transactions, the Partnership must rely solely on the credit of their respective individual counterparties.  For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance.  The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.

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

 
-22-

 
 

 
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
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 March 29, 2010, the date these financial statements were available to be issued.  There are no subsequent events to disclose.
 

 
-23-

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

NOTE 6 -                      FINANCIAL HIGHLIGHTS
 
The following information presents the financial highlights of the Partnership for the years ended December 31, 2009, 2008 and 2007.  This information has been derived from information presented in the financial statements.
 
         
   
December 31, 2009
   
   
Original
 
Original
 
Special
 
(5)
 
(5)
 
(5)
Institutional
   
Class A
 
Class B
 
Interests
 
Class A
 
Class B
 
Interests
                         
Total return for Limited Partners (4)
 
(8.39)%
 
(7.46)%
 
(7.38)%
 
(10.28)%
 
(8.41)%
 
(7.56)%
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1)
 
3.06%
 
2.07%
 
1.83%
 
4.88%
 
2.89%
 
2.07%
  Incentive fees (4)
 
0.00%
 
0.01%
 
0.11%
 
0.25%
 
0.19%
 
0.09%
                         
    Total expenses
 
3.06%
 
2.08%
 
1.94%
 
5.13%
 
3.08%
 
2.16%
                         
  Net investment (loss) (1) (2)
 
(2.36)%
 
(1.36)%
 
(1.08)%
 
(4.14)%
 
(2.16)%
 
(1.35)%
                         
         
   
December 31, 2008
   
   
Original
 
Original
 
Special
 
(5)
 
(5)
 
(5)
Institutional
   
Class A
 
Class B
 
Interests
 
Class A
 
Class B
 
Interests
                         
Total return for Limited Partners (4)
 
20.33%
 
21.58%
 
21.93%
 
1.29%
 
2.16%
 
3.52%
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1) (3)
 
3.13%
 
1.97%
 
1.77%
 
5.08%
 
3.06%
 
2.18%
  Incentive fees (4)
 
4.27%
 
6.70%
 
5.07%
 
2.95%
 
3.32%
 
1.22%
                         
    Total expenses
 
7.40%
 
8.67%
 
6.84%
 
8.03%
 
6.38%
 
3.40%
                         
  Net investment income (loss) (1) (2) (3)
 
(1.09)%
 
0.54%
 
0.56%
 
(3.65)%
 
(1.70)%
 
(0.49)%
                         
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 only for Class A, Class B and Institutional Interests.
(4)  
Not annualized.
(5)  
Class A, Class B and Institutional Interests were first issued effective July 1, 2008.
 
 
 
-24-

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


NOTE 6 -                      FINANCIAL HIGHLIGHTS (CONTINUED)
 
       
   
December 31, 2007
 
 
   
Original
 
Original
 
Special
 
   
Class A
 
Class B
 
Interests
 
               
Total return for Limited Partners (4)
 
13.61%
 
14.97%
 
15.45%
 
               
Ratio to average net asset value
             
  Expenses prior to incentive fees (1)
 
3.05%
 
2.03%
 
1.77%
 
  Incentive fees (4)
 
3.46%
 
3.33%
 
2.87%
 
               
    Total expenses
 
6.51%
 
5.36%
 
4.64%
 
               
  Net investment income (1) (2)
 
1.51%
 
2.56%
 
2.79%
 
               
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.

 
 
-25-

 

 


 
   ALTEGRIS PORTFOLIO MANAGEMENT, INC.

BALANCE SHEETS

DECEMBER 31, 2009 AND 2008
 






 
 

 

ALTEGRIS PORTFOLIO MANAGEMENT, INC.

TABLE OF CONTENTS



 
Page(s)
   
Report of Independent Registered Public Accounting Firm
3
   
Balance Sheets
4
 
Notes to Balance Sheets
 
5-11
   
   
   
   
   

 
 

 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM


The Board of Directors of
Altegris Portfolio Management, Inc.

We have audited the accompanying balance sheets of Altegris Portfolio Management, Inc. as of December 31, 2009 and 2008. These financial statements are the responsibility of the Company's management.  Our responsibility is to express an opinion on these balance sheets based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States).  Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the balance sheets are free of material misstatement.  An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall balance sheet presentation.  We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the balance sheets referred to above present fairly, in all material respects, the financial position of Altegris Portfolio Management, Inc. as of December 31, 2009 and 2008 in conformity with accounting principles generally accepted in the United States of America.



/s/ SPICER JEFFRIES LLP


Greenwood Village, Colorado
March 20, 2010


 

 


BALANCE SHEETS
DECEMBER 31, 2009 AND 2008
 
             
ASSETS
 
December 31, 2009
   
December 31, 2008
 
             
CURRENT ASSETS
           
Cash
  $ 306,243     $ 317,899  
Receivables: (Notes 2 and 3)
               
Management fees receivable
    788,359       237,879  
Commissions receivable
    13,193       72,930  
Other current assets
    22,854       1,858  
Total current assets
    1,130,649       630,566  
INVESTMENTS IN INVESTMENT FUNDS, at fair value (Note 2)
    10,140       10,437  
FURNITURE, EQUIPMENT AND SOFTWARE,
               
net of accumulated depreciation of $12,621 and $41,733
    -       530  
OTHER ASSETS (Note 2)
    449,019       152,925  
                 
    $ 1,589,808     $ 794,458  
                 
LIABILITIES AND SHAREHOLDER’S DEFICIT
               
CURRENT LIABILITIES
               
Current portion of long-term debt (Note 5)
  $ 444,419     $ 458,691  
Accounts payable
    108,256       63,682  
Commissions payable
    32,949       98,334  
Interest payable
    6,575       -  
Other liabilities
    26,505       30,208  
                 
Total current liabilities
    618,704       650,915  
NON-CURRENT LIABILITIES
               
Long-term debt (Note 5)
    1,055,581       969,283  
                 
Total liabilities
    1,674,285       1,620,198  
                 
COMMITMENTS AND CONTINGENCIES (Note 3)
               
SHAREHOLDER DEFICIT: (Note 4)
               
Common Stock, no par value; 1,000,000 shares authorized,
               
200 shares issued and outstanding
    10,000       10,000  
Class A common stock, no par value, 10,000 shares authorized,
               
no shares issued
    -       -  
Additional paid in capital
    135,391       135,391  
Deficit
    (229,868 )     (971,131 )
Total shareholder’s deficit
    (84,477 )     (825,740 )
                 
    $ 1,589,808     $ 794,458  

 
The accompanying notes are an integral part of this statement.
 
 
 

 

 
NOTE 1 -       ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Organization

Altegris Portfolio Management, Inc. (the “Company”) was incorporated in Arkansas on December 2, 1985, and is registered as an investment adviser with the state of California and as a commodity pool operator with the Commodity Futures Trading Commission.  As the general partner, the managing member, sponsor and/or commodity pool operator for investment funds who engage in the speculative trading of equities, commodity futures, mutual funds and securities, the Company maintains all related books and records. In addition, the Company receives fees from related entities for consulting and administrative services.  The Company is a wholly owned subsidiary of Altegris Capital, L.L.C. (the “Parent”).


Valuation of Investments

The Company values its investments in accordance with Accounting Standards Codification 820 - Fair Value Measurements (“ASC 820”). With ASC 820, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.

In determining fair value, the Company uses various valuation approaches. ASC 820 establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs reflect the Company’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. Valuation adjustments and blockage discounts are not applied to Level 1 securities. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.

Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The availability of valuation techniques and observable inputs can vary from security to security and is affected by a wide variety of factors, including the type of security, whether the security is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent
 
 
 

 
 

 
 
NOTES TO BALANCE SHEETS
  (continued)
 
 
 
 


NOTE 1 -       ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (continued)

Valuation of Investments (concluded)

that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the securities existed. Accordingly, the degree of judgment exercised by the Company in determining fair value is greatest for securities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.

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

Investments in investment funds are typically valued utilizing the net asset valuations provided by the underlying investment funds and/or their administrators. Company management considers subscription and redemption rights, including any restrictions on the disposition of the interest in its determination of fair value. Investments in investment funds are included in Level 3 of the fair value hierarchy.

Furniture, Equipment and Software

Furniture, equipment and software is stated at cost less accumulated depreciation.  Depreciation is provided on the straight-line method, based on estimated useful lives of three to seven years.

Income Taxes

The Company is included in the consolidated income tax return of the Parent.  As such, it has elected to be taxed under Subchapter S of the Internal Revenue Code.  Accordingly, taxable income or loss of the Company will be allocated to its shareholders, who are responsible for the payment of the taxes thereon.



 

 
 
 
 
NOTES TO BALANCE SHEETS
  (continued)
 

 
NOTE 1 -       ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (concluded)

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period.  Management believes that the estimates utilized in the preparation of the balance sheets are prudent and reasonable.  Actual results could differ from those estimates.

Revenue Recognition

The Company receives management, sponsor and administrative fees from affiliated partnerships and other entities as discussed in Note 2. These fees accrue under the terms of the respective limited partnership agreements or other operating agreements, as applicable. The Company receives these fees as computed based on the net assets of the respective partnerships.
 
 
Cash and Cash Equivalents

All highly liquid debt instruments purchased with an original maturity of three months or less are considered to be cash equivalents.

Fair Value of Financial Instruments

Substantially all of the Company’s assets and liabilities are carried at fair value or contracted amounts that approximate fair value.  Estimates of fair value are made at a specific point in time, based on relative market information and information about the financial instrument, specifically, the value of the underlying financial instrument.  Assets that are recorded at fair value consist largely of short-term receivables, and other current assets, which are carried at contracted amounts that approximate fair value.  Similarly, the Company’s liabilities consist of payables and accrued expenses recorded at contracted amounts that approximate fair value.


NOTE 2 -        INVESTMENTS IN AFFILIATED ENTITIES AND RECEIVABLES

The Company serves as the general partner, managing member, sponsor and/or commodity pool operator, as applicable for various affiliated investment funds (each a “Fund” and collectively the “Funds”).  The Company receives management, sponsor and administrative fees as compensation for services provided for and on behalf of the Funds.

The Company has advanced offering and organizational expenses for certain of the Funds.  The Company is reimbursed if sufficient interests are sold during the offering period and the Fund commences operations.  In addition, the Company pays all general operating expenses on behalf of the Funds and is reimbursed on a monthly basis.
 
 
 
 

 

 
 
NOTES TO BALANCE SHEETS
  (continued)
 
 


NOTE 2 -        INVESTMENTS IN AFFILIATED ENTITIES AND RECEIVABLES
 
Management fees and other assets due from the investment funds at December 31, 2009 and 2008 are as follows:
 
   
Management Fees Receivable
   
Other Assets
 
   
December 31,
   
December 31,
   
December 31,
   
December 31,
 
Investment Fund
 
2009
   
2008
   
2009
   
2008
 
APM – Valhalla Resources Fund, LLC
  $ 10,741     $ 10,101     $ 2     $ 1,602  
APM – Torrey Pines Fund, L.P.
    43,005       36,025       484       5,730  
Clarke Worldwide Fund, L.P.
    -       1,262       -       36  
Winton Futures Fund, L.P. (US)
    522,255       190,491       6,324       44,436  
APM – Pinehurst Partners Fund, L.P.
    -       -       57,781       49,244  
APM – Multi-Strategy Fund, L.P.
    68,539       -       59,836       51,877  
APM – Global Macro Fund, L.P.
    96,893       -       44,734       -  
APM – Global Macro Fund, Ltd.
    -       -       6,926       -  
APM – Global Trend Fund, Ltd.
    -       -       11,865       -  
APM – Eckhardt Futures Fund, L.P.
    3,314       -       81,268       -  
APM – QIM Futures Fund, L.P.
    27,022       -       65,485       -  
APM – Paulson Advantage Fund, LP
    7,142       -       32,537       -  
APM – Paulson Advantage Plus Fund, LP
    9,448       -       10,694       -  
APM – Paulson Advantage Fund, LTD
    -       -       39,154       -  
APM – Paulson Advantage Plus Fund, LTD
     -        -        31,956        -  
    $ 788,359     $ 237,879     $ 449,019     $ 152,925  
 
The Company also receives commissions from an unrelated offshore company.  Commissions receivable were $13,193 and $72,930 at December 31, 2009 and 2008, respectively.

The Company’s general partnership or member interests in the Funds, management and administrative fees received for the years ended December 31, 2009 and 2008 are as follows:
 
   
Investment
 
   
December 31,
   
December 31,
 
Investment Fund
 
2009
   
2008
 
APM – Valhalla Resources Fund, LLC
  $ 1,379     $ 1,483  
APM – Torrey Pines Fund, L.P.
    1,298       1,359  
Clarke Worldwide Fund, L.P.
    -       3,104  
Winton Futures Fund, L.P. (US)
    3,199       3,491  
APM – Multi-Strategy Fund, L.P.
    1,350       1,000  
APM – Eckhardt Futures Fund, L.P.
    943       -  
APM – Global Macro Fund, L.P.
    1,037       -  
APM – QIM Futures Fund, L.P.
    934       -  
Totals
  $ 10,140     $ 10,437  

 

 

 

 
NOTES TO BALANCE SHEETS
  (continued)
 
 
 
NOTE 3 -        OFF BALANCE SHEET RISKS AND UNCERTAINTIES

The Company serves as the general partner, managing member, sponsor and/or commodity pool operator, as applicable for the Funds.  The Funds participate, directly or indirectly, in the speculative trading of equities, commodity futures, mutual funds and securities which may be subject to margin requirements.  The Funds are limited partnerships, limited liability companies or companies and each limited partner, member or shareholder, as applicable bears only the risk of its investment in the Fund.  However, the Company as general partner, sponsor and/or managing member, additionally bears the risk for any legal actions taken against a Fund, margin calls or liabilities in excess of the Fund’s assets.

The Company’s policy is to continuously monitor the exposure to the Funds through the use of a variety of financial position and credit exposure reporting and control procedures.  In addition, the Company has a policy of reviewing the credit standing of each clearing broker or counterparty with which the Funds conduct business.

Included in receivables at December 31, 2009 and 2008 are $528,578 and $234,927, respectively, due from Winton Futures Fund, L.P. (US). These amounts represent approximately 42% and 51% of total receivables at December 31, 2009 and 2008, respectively. The Company’s revenues are dependent upon maintaining the level of assets in the respective Funds.


NOTE 4 -       SHAREHOLDER’S EQUITY TRANSACTIONS

During the years ended December 31, 2009 and 2008, the Company made distributions of $2,690,814 and $2,375,036, respectively, to its Parent.


NOTE 5 -       NOTE PAYABLE

On October 13, 2008, the Company borrowed $1,500,000 from an unrelated individual. The note bore interest at 10% per annum and was due on October 13, 2011. The original note was amended on December 14, 2009 to reset the amount borrowed to $1,500,000 and extend the maturity to December 14, 2012 with all other terms remaining the same.  The note is payable in monthly installments of principal and interest of $48,400 and is secured by all of the assets of the Company, including all fees, commissions or other amounts due to the Company whether presently existing or created in the future. In addition, the note is guaranteed by the Company’s president. Future maturities of the note payable are as follows:
 

Year
 
December 31, 2009
 
2010
  $ 444,419  
2011
    501,650  
2012
    553,931  
      1,500,000  
Less: current maturity of long-term debt
    444,419  
    $ 1,055,581  
 
 

 
 
 
NOTES TO BALANCE SHEETS
  (continued)
 
 
NOTE 6 -       FAIR VALUE MEASUREMENTS

The Company’s assets recorded at fair value have been categorized based upon a fair value hierarchy in accordance with ASC 820. See Note 1 for a discussion of the Company’s policies.

The following tables present information about the Company’s assets measured at fair value as of December 31, 2009 and 2008:

 
   
Quoted Prices in
   
Significant
   
Significant
       
   
Active Markets
   
Other Observable
   
Unobservable
       
   
for Identical Assets
   
Inputs
   
Inputs
   
Balance as of
 
   
(Level 1)
   
(Level 2)
   
(Level 3)
   
December, 31, 2009
 
                         
Assets
                       
Investments in investment
                       
funds, at fair value
  $ -     $ -     $ 10,437     $ 10,437  
                                 
   
Quoted Prices in
   
Significant
   
Significant
         
   
Active Markets
   
Other Observable
   
Unobservable
         
   
for Identical Assets
   
Inputs
   
Inputs
   
Balance as of
 
   
(Level 1)
   
(Level 2)
   
(Level 3)
   
December, 31, 2008
 
                                 
Assets
                               
Investments in investment
                               
funds, at fair value
  $ -     $ -     $ 10,260     $ 10,260  
 
The following table presents additional information about Level 3 assets measured at fair value. Both observable and unobservable inputs may be used to determine the fair value of positions that the Company has classified within the Level 3 category. As a result, the unrealized gains and losses for assets within the Level 3 category may include changes in fair value that were attributable to both observable and unobservable inputs.


 
10 

 


 
NOTE 6 -       FAIR VALUE MEASUREMENTS (concluded)

Changes in Level 3 assets measured at fair value for the years ended December 31, 2009 and 2008:

                                 
Change in
 
                     
Realized and
         
Unrealized
 
   
Balance as of
   
Net
   
Purchases
   
Unrealized
   
Balance as of
   
Gain (Loss)
 
   
December 31,
   
Transfers
   
and
   
Gains and
   
December 31,
   
On Securities
 
   
2008
   
In (Out)
   
Sales, net
   
(Losses)
   
2009
   
Still Held
 
                                     
Assets:
                                   
Investments in
                                   
investment funds, at
                                   
fair value
  $ 10,437     $ -     $ 6     $ (303 )   $ 10,140     $ 709  
                                                 
                                           
Change in
 
                           
Realized and
           
Unrealized
 
   
Balance as of
   
Net
   
Purchases
   
Unrealized
   
Balance as of
   
Gain (Loss)
 
   
December 31,
   
Transfers
   
Unrealized
   
Gains and
   
December 31,
   
On Securities
 
      2007    
In (Out)
   
Sales, net
   
(Losses)
      2008    
Still Held
 
                                                 
Assets:
                                               
Investments in
                                               
investment funds, at
                                               
fair value
  $ -     $ 7,487     $ 1,000     $ 1,950     $ 10,437     $ 1,950  

NOTE 7 -       SUBSEQUENT EVENTS

The Company has performed an evaluation of subsequent events through March 20, 2010 which is the date the financial statements were available to be issued. The evaluation did not result in any subsequent events that required disclosures and/or adjustments.

 
11