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EX-31.1 - Altegris Winton Futures Fund, L.P.efc10-359_ex3101.htm
EX-32.1 - Altegris Winton Futures Fund, L.P.efc10-359_ex3201.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549


 
FORM 10-Q


 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended March 31, 2010
 
OR
 
[  ]
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from  ________ to ___________
 
Commission File number:    000-53348



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


 
COLORADO
(State or other jurisdiction
of incorporation or organization)
84-1496732
(IRS Employer
Identification No.)
   
 
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices)
 
(858) 459-7040
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:  None
 
Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Interests
 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes  ýNo  o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes  o No  o

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

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


 
 

 
 
 

TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
 
     
Item 1.
Financial Statements
  1
     
 
Statements of Financial Condition
  1
     
 
Condensed Schedules of Investments
  2
     
 
Statements of Operations
  8
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
  9
     
 
Notes to Financial Statements
  10
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
  25
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
  26
     
Item 4T.
Controls and Procedures
  26
     
     
PART II – OTHER INFORMATION
 
     
Item 1.
Legal Proceedings
  27
     
Item 1A.
Risk Factors
  27
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
  27
     
Item 3.
Defaults Upon Senior Securities
  27
     
Item 4.
REMOVED AND RESERVED
  27
     
Item 5.
Other Information
  27
     
Item 6.
Exhibits
  28
     
Signatures
  29
     
Rule 13a–14(a)/15d–14(a) Certifications
  30
     
Section 1350 Certifications
  31


 

 
 

 


PART I – FINANCIAL INFORMATION

Item 1: Financial Statements

WINTON FUTURES FUND, L.P. (US)
 
STATEMENTS OF FINANCIAL CONDITION
 
MARCH 31, 2010 (Unaudited) and DECEMBER 31, 2009 (Audited)
 
_______________
 
   
2010
   
2009
 
ASSETS
           
    Equity in Newedge USA, LLC account
           
        Cash
  $ 72,946,876     $ 57,157,995  
        Unrealized gain on open commodity futures contracts
    22,077,977       2,751,248  
        Long options (cost $32,210 and $31,080)
    22,675       15,760  
        Unrealized gain on open forward contracts
    71,789       3,227  
        Interest receivable
    500       0  
                 
      95,119,817       59,928,230  
                 
    Cash and cash equivalents
    13,877,278       3,733,271  
    Investment securities at value
               
      (cost - $472,497,546 and $469,559,059)
    472,730,266       469,934,981  
    Interest receivable
    724,621       719,323  
                 
Total assets
  $ 582,451,982     $ 534,315,805  
                 
LIABILITIES
               
    Short options (proceeds $62,354 and $68,320)
  $ 43,212     $ 36,220  
    Payable for securities purchased
    7,710,000       0  
    Commissions payable
    568,391       611,622  
    Management fee payable
    835,079       822,084  
    Administrative fee payable
    82,260       77,788  
    Service fees payable
    480,258       420,136  
    Incentive fee payable
    1,809,175       249,171  
    Redemptions payable
    4,330,128       3,504,884  
    Subscriptions received in advance
    13,879,027       12,878,915  
    Other liabilities
    262,916       249,209  
                 
                Total liabilities
    30,000,446       18,850,029  
                 
PARTNERS’ CAPITAL (NET ASSET VALUE)
               
    General Partner
    3,318       3,198  
    Limited Partners
    552,448,218       515,462,578  
                 
                Total partners’ capital (Net Asset Value)
    552,451,536       515,465,776  
                 
Total liabilities and partners’ capital
  $ 582,451,982     $ 534,315,805  

 
 

 
 
1

 


WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010
_______________
INVESTMENT SECURITIES
             
Face Value
 
Maturity Date
 
Description
   
 Value
 
% of Partners Capital
                   
Fixed Income Investments - United States
             
                   
U.S. Government Agency Bonds and Notes
             
 $        8,000,000
 
6/17/2011
 
 Federal Farm Credit Bank, 1.2%
 
$
           8,012,480
 
1.45%
           5,000,000
 
5/5/2011
 
 Federal Farm Credit Bank, 1.375%
   
           5,004,700
 
0.91%
         14,800,000
 
4/12/2010
 
 Federal Home Loan Bank Disc Note, 0.10%
   
         14,799,507
 
2.68%
           2,000,000
 
4/5/2010
 
 Federal Home Loan Bank Disc Note, 0.12%
   
           1,999,907
 
0.36%
           2,720,000
 
12/9/2011
 
 Federal Home Loan Bank, 1.05%
   
           2,714,043
 
0.49%
         11,165,000
 
7/18/2011
 
 Federal Home Loan Bank, 1.125%
   
         11,206,869
 
2.03%
         10,000,000
 
9/30/2010
 
 Federal Home Loan Bank, 1.25%
   
         10,046,900
 
1.82%
           1,500,000
 
10/19/2011
 
 Federal Home Loan Bank, 1.25%
   
           1,501,875
 
0.27%
           8,130,000
 
10/21/2011
 
 Federal Home Loan Bank, 1.25%
   
           8,152,845
 
1.48%
         10,000,000
 
2/10/2012
 
 Federal Home Loan Bank, 1.25%
   
           9,987,500
 
1.81%
         15,000,000
 
6/15/2011
 
 Federal Home Loan Bank, 1.3%
   
         15,023,400
 
2.72%
         10,000,000
 
10/14/2011
 
 Federal Home Loan Bank, 1.3%
   
         10,003,100
 
1.81%
           7,710,000
 
4/5/2012
 
 Federal Home Loan Bank, 1.3%
   
           7,700,363
 
1.39%
         10,000,000
 
8/27/2010
 
 Federal Home Loan Bank, 1.375%
   
         10,046,900
 
1.82%
           1,035,000
 
8/5/2011
 
 Federal Home Loan Bank, 1.375%
   
           1,043,415
 
0.19%
           5,000,000
 
9/10/2010
 
 Federal Home Loan Bank, 1.4%
   
           5,025,000
 
0.91%
           4,000,000
 
1/12/2012
 
 Federal Home Loan Bank, 1.4%
   
           4,001,240
 
0.72%
           5,000,000
 
9/13/2010
 
 Federal Home Loan Bank, 1.5%
   
           5,028,150
 
0.91%
           3,000,000
 
4/5/2010
 
 Federal Home Loan Mortgage Corp Disc, 0.14%
   
           2,999,837
 
0.54%
           5,950,000
 
11/10/2011
 
 Federal Home Loan Mortgage Corporation, 1.2%
   
           5,948,037
 
1.08%
         10,000,000
 
2/17/2012
 
 Federal Home Loan Mortgage Corporation, 1.25%
   
           9,975,800
 
1.81%
         10,000,000
 
3/9/2012
 
 Federal Home Loan Mortgage Corporation, 1.3%
   
           9,985,000
 
1.81%
           8,650,000
 
3/30/2012
 
 Federal Home Loan Mortgage Corporation, 1.3%
   
           8,614,535
 
1.56%
                35,000
 
4/5/2010
 
 Federal National Mortgage Association, 0.14%
   
                34,998
 
0.01%
           3,000,000
 
3/22/2012
 
 Federal National Mortgage Association, 1.125%
   
           2,985,000
 
0.54%
           5,000,000
 
9/30/2010
 
 Federal National Mortgage Association, 1.2%
   
           5,021,900
 
0.91%
         10,000,000
 
9/28/2011
 
 Federal National Mortgage Association, 1.25%
   
         10,003,100
 
1.81%
           6,250,000
 
12/30/2011
 
 Federal National Mortgage Association, 1.25%
   
           6,242,188
 
1.13%
         15,000,000
 
5/27/2011
 
 Federal National Mortgage Association, 1.35%
   
         15,018,750
 
2.72%
           5,000,000
 
7/6/2010
 
 Federal National Mortgage Association, 1.5%
   
           5,014,050
 
0.91%
         10,000,000
 
5/27/2011
 
 Federal National Mortgage Association, 1.5%
   
         10,012,500
 
1.81%
         10,000,000
 
4/8/2011
 
 Federal National Mortgage Association, 1.875%
   
         10,003,100
 
1.81%
         10,000,000
 
4/1/2011
 
 Federal National Mortgage Association, 2%
   
         10,000,000
 
1.81%
Total U.S. Government Agency Bonds and Notes (cost - $242,924,267)
 
$
       243,156,987
 
44.03%



 
2

 



WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
MARCH 31, 2010
_______________
INVESTMENT SECURITIES (continued)
             
Face Value
 
Maturity Date
 
 Description
   
 Value
 
% of Partners Capital
                   
Fixed Income Investments - United States (continued)
         
                   
Corporate Notes and Repurchase Agreements
             
 $        8,475,000
 
4/6/2010
 
 American Honda Finance Corp Disc Note, 0.15%
 
$
           8,473,976
 
1.53%
         23,130,000
 
4/5/2010
 
 Autozone Inc Disc Note, 0.27%
   
         23,128,786
 
4.19%
         23,200,000
 
4/1/2010
 
 Avery Dennison Corp Disc Note, 0.25%
   
         23,199,839
 
4.20%
           1,750,000
 
4/14/2010
 
 Blackrock Inc Disc Note, 0.20%
   
           1,749,776
 
0.32%
         23,127,000
 
4/5/2010
 
 BMW US Capital Disc Note, 0.28%
   
         23,125,965
 
4.19%
         22,880,000
 
4/30/2010
 
 BNP Paribas Financial Inc Disc Note, 0.19%
   
         22,876,377
 
4.14%
           9,285,000
 
4/1/2010
 
 Consolidated Edison Disc Note, 0.20%
   
           9,284,948
 
1.68%
         11,000,000
 
4/7/2010
 
 CVS Caremark Corp Disc Note, 0.25%
   
         10,999,465
 
1.99%
         23,540,000
 
4/15/2010
 
 Dexia Delaware LLC Disc Note, 0.27%
   
         23,534,802
 
4.26%
           7,675,000
 
4/7/2010
 
 Dominion Resources Disc Note, 0.27%
   
           7,674,597
 
1.39%
           7,234,000
 
4/5/2010
 
 Elsevier Fin SA Disc Note, 0.30%
   
           7,233,638
 
1.31%
           1,900,000
 
4/6/2010
 
 FPL Group Capital Disc Note, 0.35%
   
           1,899,871
 
0.34%
           5,070,000
 
4/30/2010
 
 General Electric Company Disc Note, 0.16%
   
           5,069,324
 
0.92%
           3,110,000
 
4/7/2010
 
 Harley Davidson Funding Corp Disc Note, 0.28%
   
           3,109,831
 
0.56%
           1,000,000
 
4/6/2010
 
 Harley Davidson Funding Corp Disc Note, 0.30%
   
              999,942
 
0.18%
         16,540,000
 
4/12/2010
 
 Metlife Short Term Funding Disc Note, 0.20%
   
         16,537,703
 
2.99%
           6,750,000
 
4/26/2010
 
 Metlife Short Term Funding Disc Note, 0.23%
   
           6,748,886
 
1.22%
           5,405,000
 
4/1/2010
 
 Pacific Gas & Electric Disc Note, 0.25%
   
           5,404,962
 
0.98%
           8,997,000
 
4/5/2010
 
 Pacific Gas & Electric Disc Note, 0.25%
   
           8,996,563
 
1.63%
           6,500,000
 
4/6/2010
 
 Pacific Gas & Electric Disc Note, 0.27%
   
           6,499,659
 
1.18%
           5,000,000
 
4/15/2010
 
 Societe Generale North Amer Disc Note, 0.19%
   
           4,999,419
 
0.90%
           8,025,000
 
4/1/2010
 
 Vodafone Group Plc Disc Note, 0.22%
   
           8,024,951
 
1.45%
Total Corporate Notes and Repurchase Agreements (cost - $229,573,279)
 
$
       229,573,279
 
41.55%
                   
                   
Total investment securities - United States (cost - $472,497,546)
 
$
       472,730,266
 
85.58%

 


 
3

 



WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
MARCH 31, 2010
_______________
                   
   
Range of Expiration Dates
 
 Number of Contracts
   
 Value
 
% of Partners Capital
                   
LONG FUTURES CONTRACTS:
                 
Agriculture
 
Apr 10 - Mar 11
 
                     290
 
$
         160,185
 
0.03%
Currencies
 
Jun-10
 
                  2,784
   
      1,912,781
 
0.35%
Energy
 
Apr 10 - Jul 10
 
                     755
   
         962,658
 
0.17%
Interest Rates
 
Jun 10 - Jun 12
 
                  7,005
   
      4,703,316
 
0.85%
Metals
 
May 10 - Feb 11
 
                  1,253
   
      6,039,834
 
1.09%
Stock Indices
 
Apr 10 - Jun 10
 
                  5,555
   
      5,267,757
 
0.95%
Treasury Rates
 
Jun-10
 
                     221
   
          (28,827)
 
 (0.01)%
                   
Total long futures contracts
     
                17,863
 
$
    19,017,704
 
3.43%
                   
SHORT FUTURES CONTRACTS:
                 
Agriculture
 
May 10 - Dec 10
 
                  1,729
   
      2,487,814
 
0.45%
Currencies
 
Apr 10 - Jun 10
 
                  2,359
   
        (737,199)
 
 (0.13)%
Energy
 
May 10 - Jun 10
 
                     168
   
         831,688
 
0.15%
Interest Rates
 
Jun 10 - Mar 11
 
                     522
   
           72,876
 
0.01%
Metals
 
May 10 - Jul 10
 
                     209
   
     (1,360,810)
 
 (0.25)%
Stock Indices
 
Jun-10
 
                  1,591
   
      1,932,669
 
0.35%
Treasury Rates
 
Jun-10
 
                     489
   
        (166,765)
 
 (0.03)%
                   
Total short futures contracts
     
                  7,067
   
      3,060,273
 
0.55%
                   
Total futures contracts
     
                24,930
 
$
    22,077,977
 
3.98%
                   
LONG OPTIONS CONTRACTS:
                 
Stock Indices (cost of $32,210)
 
Apr 10 - June 10
 
                       77
 
$
           22,675
 
0.00%
                   
SHORT OPTIONS CONTRACTS:
                 
Stock Indices (proceeds of $62,354)
Apr 10 - June 10
 
                       77
 
$
           43,212
 
0.01%
                   
LONG FORWARD CONTRACTS:
                 
Currencies
 
Apr 10 - May 10
 
 $        4,000,000
(1)
$
          (27,531)
 
0.00%
                   
SHORT FORWARD CONTRACTS:
                 
Currencies
 
Apr 10 - May 10
 
 $        8,747,996
(1)
$
           99,320
 
0.02%
                   
Total forward currency  contracts
       
$
           71,789
 
0.02%
                   
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
         



 
4

 



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 Home Loan Bank, 1.375%
   
           1,041,148
 
0.20%
           2,720,000
 
12/9/2011
 
 Federal Home Loan Bank, 1.05%
   
           2,702,157
 
0.52%
         11,165,000
 
7/18/2011
 
 Federal Home Loan Bank, 1.125%
   
         11,175,495
 
2.17%
         10,000,000
 
9/30/2010
 
 Federal Home Loan Bank, 1.25%
   
         10,050,000
 
1.95%
           1,500,000
 
10/19/2011
 
 Federal Home Loan Bank, 1.25%
   
           1,496,715
 
0.29%
           8,130,000
 
10/21/2011
 
 Federal Home Loan Bank, 1.25%
   
           8,145,284
 
1.58%
           5,000,000
 
11/23/2011
 
 Federal Home Loan Bank, 1.25%
   
           4,992,200
 
0.97%
         15,000,000
 
6/15/2011
 
 Federal Home Loan Bank, 1.3%
   
         15,046,950
 
2.92%
         10,000,000
 
10/14/2011
 
 Federal Home Loan Bank, 1.3%
   
           9,978,100
 
1.94%
         10,000,000
 
8/27/2010
 
 Federal Home Loan Bank, 1.375%
   
         10,053,100
 
1.95%
           5,000,000
 
9/10/2010
 
 Federal Home Loan Bank, 1.4%
   
           5,028,150
 
0.97%
           5,000,000
 
9/13/2010
 
 Federal Home Loan 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
 
1.93%
         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%
 
 

 
 
5

 



WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2009
_______________
                   
INVESTMENT SECURITIES (continued)
             
Face Value
 
Maturity Date
 
 Description
   
 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%




 
6

 


WINTON FUTURES FUND, L.P. (US)
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2009
_______________
                   
   
Range of Expiration Dates
 
 Number of Contracts
   
 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 - Mar 10
 
                     926
   
        (104,602)
 
 (0.02)%
Energy
 
Jan 10 - Mar 10
 
                     174
   
        (440,113)
 
 (0.09)%
Interest Rates
 
Mar 10 - Jun 10
 
                     149
   
          (26,810)
 
 (0.01)%
Metals
 
Jan 10
 
                       68
   
        (560,248)
 
 (0.11)%
Stock Indices
 
Mar 10
 
                       11
   
            (9,154)
 
0.00%
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
 
0.00%
                   
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)
 
0.00%
                   
SHORT FORWARD CURRENCY CONTRACTS:
             
Brazilian Real
 
Jan 10 - Feb 10
 
 $           400,000
(1)
 
             7,460
 
0.00%
                   
Total forward currency  contracts
       
$
             3,227
 
0.00%
                   
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
         




 
7

 




WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009 (Unaudited)
_______________
     
   
2010
   
2009
 
TRADING GAINS (LOSSES)
           
    Gain (loss) on trading of
           
    derivatives contracts
           
Realized
 $
6,564,944
 
 $
1,054,224
 
Change in unrealized
 
19,388,118
   
(5,772,261)
 
Brokerage commissions
 
(1,978,355)
   
(493,455)
 
             
                Gain (loss) from trading futures
 
23,974,707
   
(5,211,492)
 
             
    Gain (loss) on trading of securities
           
Realized
 
7,686
   
(8,188)
 
Change in unrealized
 
(143,202)
   
112,767
 
             
                Gain (loss) from trading securities
 
(135,516)
   
104,579
 
             
    Foreign currency translation (losses)
 
(308,000)
   
(1,305,143)
 
             
                Total trading gains (losses)
$
23,531,191
 
$
(6,412,056)
 
             
NET INVESTMENT INCOME (LOSS)
           
    Income
           
        Interest income
 
909,334
   
426,743
 
             
    Expenses
           
Management fee
 
2,462,511
   
1,250,585
 
Administrative fee
 
239,852
   
86,166
 
Service fees
 
1,279,328
   
808,808
 
Incentive fee
 
1,809,175
   
4,718
 
Professional fees
 
347,948
   
236,074
 
             
                Total expenses
$
6,138,814
 
$
2,386,351
 
             
             
                Net investment (loss)
 
(5,229,480)
   
(1,959,608)
 
             
             
                NET INCOME (LOSS)
 $
18,301,711
 
 $
(8,371,664)
 


 
 
8

 
 

 
WINTON FUTURES FUND, L.P. (US)
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
FOR THE THREE MONTHS ENDED MARCH 31, 2010 AND 2009 (Unaudited)
_______________
       
Limited Partners
     
   
Total
   
Class A
   
Class B
   
Special Interests
   
Class A
   
Class B
   
Institutional Interests
   
Partner
                                               
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
                                               
Transfers
 
0
   
(49,841)
   
49,841
   
0
   
(592,265)
   
240,101
   
352,164
   
0
Capital additions
 
37,239,671
   
0
   
0
   
0
   
22,843,738
   
11,007,933
   
3,388,000
   
0
Capital withdrawals
 
(18,547,907)
   
(3,161,778)
   
(244,341)
   
0
   
(6,130,241)
   
(2,050,278)
   
(6,961,269)
   
0
Net income for the three months
                                             
ended March 31, 2010
 
18,301,711
   
2,797,213
   
586,972
   
1,179,471
   
5,441,898
   
4,038,899
   
4,257,138
   
120
Offering costs
 
(7,715)
   
(1,155)
   
(216)
   
(444)
   
(2,567)
   
(1,607)
   
(1,726)
   
0
                                               
Balances at March 31, 2010
$
552,451,536
 
$
78,707,124
 
$
15,127,823
 
$
31,606,582
 
$
189,756,681
 
$
118,461,777
 
$
118,788,231
 
$
3,318
                                               
Balances at December 31, 2008
$
259,047,478
 
$
106,046,677
 
$
16,246,048
 
$
3,150,480
 
$
31,171,321
 
$
28,262,426
 
$
74,167,035
 
$
3,491
                                               
Transfers
 
0
   
(114,516)
   
151,290
   
0
   
44,515
   
(81,289)
   
0
   
0
Capital additions
 
104,261,751
   
0
   
0
   
18,000,000
   
42,635,798
   
28,524,953
   
15,101,000
   
0
Capital withdrawals
 
(9,403,519)
   
(6,172,253)
   
(834,873)
   
0
   
(436,799)
   
(468,574)
   
(1,491,020)
   
0
Net (loss) for the three months
                                             
ended March 31, 2009
 
(8,371,664)
   
(2,418,776)
   
(323,862)
   
(430,760)
   
(2,005,344)
   
(1,313,344)
   
(1,879,497)
   
(81)
Offering costs
 
(70,234)
   
(23,785)
   
(3,604)
   
(963)
   
(12,875)
   
(10,264)
   
(18,742)
   
(1)
                                               
Balances at March 31, 2009
$
345,463,812
 
$
97,317,347
 
$
15,234,999
 
$
20,718,757
 
$
71,396,616
 
$
54,913,908
 
$
85,878,776
 
$
3,409
 
 
 
 
 
9

 

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


NOTE 1 -                      ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
General Description of the Partnership
 
The Partnership was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the First Amended Agreement of Limited Partnership (“Agreement”).  The Partnership’s general partner is Altegris Portfolio Management, Inc. (d/b/a APM Funds) (the “General Partner”).  The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests.  The objective of the Partnership’s business is appreciation of its assets.
 
It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) Government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and Futures Commission Merchants (brokers) through which the Partnership trades.
 
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 Partnership 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.

The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under accounting principles generally accepted in the United States of America.  The financial information included herein is unaudited, however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the condensed financial statements for the interim period.

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.



 
10

 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

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.

Gains or losses on futures contracts and options on futures contracts 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 at 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 assets or liabilities. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these assets or liabilities 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.
 
 
 

 
 
11

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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 among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for asset or liability 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 assets or liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

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

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

The fair value of U.S. Government 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. U.S. Government bonds are generally categorized in Levels 1 or 2 of the fair value hierarchy.
 
 
 
 
12

 

 
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 March 31, 2010:
 

     
Quoted Prices in Active Markets for Identical Assets
(Level 1)
   
 Significant other Observable Inputs
(Level 2)
   
 Significant Unobservable Inputs (Level 3)
     Balance as of March 31, 2010  
Assets:
                         
 
Futures contracts
  $ 22,077,977     $ -     $ -     $ 22,077,977  
 
Options contracts
    22,675       -       -       22,675  
 
Forward currency contracts
    -       71,789       -       71,789  
 
US Government agency
obligations
    243,156,987       -       -       243,156,987  
 
Corporate notes and
repurchase agreements
    -       229,573,279       -       229,573,279  
                                   
 
 
  $ 265,257,639     $ 229,645,068     $ -     $ 494,902,707  
                                   
Liabilities:
                                 
 
Options contracts
  $ 43,212     $ -     $ -     $ 43,212  
                                   
                                   
                                   
 
 

 
13

 




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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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  
 
US 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  
                                   
                                   
                                   
 
Foreign Currency Transactions

The Partnership’s functional currency is the 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 in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”) on a limited basis.  Class A Interests, Class B Interests and Institutional Interests were first issued by the
 
 
 
14

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Capital Accounts and Allocation of Income and Losses (continued)

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 Partnership's agreement of limited partnership (the "Agreement").  Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.

Income Taxes

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

The Partnership classifies interest and penalties, if any, as interest expense.  The Partnership files U.S. federal and state tax returns.  The 2006 through 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.



 
15

 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

The following presents the fair value of derivative contracts at March 31, 2010.  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.
 

Futures Contracts
 
Asset
Derivatives
Fair Value
   
Liability
Derivatives
Fair Value
   
Net
Fair Value
 
  Agriculture
  $ 2,961,027     $ (313,028 )   $ 2,647,999  
  Currencies
    3,376,897       (2,201,315 )     1,175,582  
  Energy
    2,162,728       (368,382 )     1,794,346  
  Interest Rates
    5,039,148       (262,956 )     4,776,192  
  Metals
    6,233,485       (1,554,461 )     4,679,024  
  Stock Indices
    7,262,161       (61,735 )     7,200,426  
  Treasury Rates
    28,313       (223,905 )     (195,592 )
      27,063,759       (4,985,782 )     22,077,977  
                         
Options on Futures Contracts
                       
  Stock Indices
    22,675       (43,212 )     (20,537 )
                         
Forward  Currency Contracts
                       
  Currencies
    101,515       (29,726     71,789  
                         
Total Gross Fair Value of Derivatives
  $ 27,187,949     $ (5,058,720 )   $ 22,129,229  
                   
                   
                   

 
16

 
 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

The following presents the fair value of derivative contracts at December 31, 2009.
 

     
 
         
December 31, 2009
                   
Futures Contracts
 
Asset
Derivatives
Fair Value
   
Liability
Derivatives
Fair Value
   
Net
Fair Value
 
  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 March 31, 2010.  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)
 

    Three Months Ended March 31, 2010          
               
Futures Contracts
 
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
 
  Agriculture
  $ 812,703     $ 2,078,183       3,555    
  Currencies
    3,461,009       3,019,934       9,265    
  Energy
    (1,611,875 )     2,139,825       2,674    
  Interest Rates
    4,657,365       4,733,419       8,197    
  Metals
    (850,449 )     3,348,356       1,865    
  Stock Indices
    2,072,667       3,766,526       7,631    
  Treasury Rates
    (2,001,814 )     240,486       3,757    
  Total futures contracts
    6,539,606       19,326,729       36,944    
                           
Options on Futures Contracts
                         
  Stock Indices
    59,581       (7,173 )     258    
                           
Forward Currency Contracts
                         
  Currencies
    (34,243 )     68,562     $ 16,121,727 (1 )
  Total gains from derivatives trading
  $ 6,564,944     $ 19,388,118            
                           
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold.
                   
 

 

 
18

 


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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three months ended March 31, 2009.
 

    Three Months Ended March 31, 2009        
                   
Futures Contracts
 
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
 
  Agriculture
  $ 646     $ 957,010       1,498  
  Currencies
    (2,504,448 )     (2,348,130 )     4,758  
  Energy
    1,046,531       (264,059 )     257  
  Interest Rates
    1,069,985       (585,920 )     3,629  
  Metals
    340,081       (1,339,227 )     318  
  Stock Indices
    1,314,959       (548,412 )     1,033  
  Treasury Rates
    (213,530 )     (1,643,523 )     1,623  
                         
  Total futures contracts
  $ 1,054,224     $ (5,772,261 )     13,116  
                         
 
Reclassifications

Certain amounts in the 2009 financial statements were reclassified to conform with the 2010 presentation.

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 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
 
 
 
 
19

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


NOTE 2 -                      AGREEMENTS AND RELATED PARTIES (CONTINUED)

Advisory Contract (continued)

by the Advisor for the three months ended March 31, 2010 and 2009 were $1,126,219 and $522,940, 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.
 
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 three months ended March 31, 2010 and 2009 were $1,336,292 and $727,645, respectively.  Management fees payable to the General Partner as of March 31, 2010 and December 31, 2009 were $453,092 and $446,310, 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.
 
 
 
20

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


NOTE 2 -                      AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
Service Fees (continued)
 
 
Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month end as compensation for their continuing services to such Limited Partners holding Institutional Interests.
 
Related Party
 
Altegris Investments, Inc. (“Altegris”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC 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 three months ended March 31, 2010 and 2009, commissions, interest income and continuing compensation received by Altegris amounted to $1,968,110 and $766,067, 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.

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
 
 
 
21

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


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

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 deposits with WTIM in U.S. Government agency bonds and notes and corporate notes and repurchase agreements.  Risks arise from investments in bonds, notes and repurchase agreements due to possible illiquidity and the potential for default by the issuer or counterparty.  Such instruments are also particularly sensitive to changes in interest rates and economic conditions.
 
 
NOTE 4 -                      INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred.  The Partnership expects the risk of any future obligation under these indemnifications to be remote.
 
 
 
22

 
 

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

 
NOTE 5 -                      SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were  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 three months ended March 31, 2010 and 2009.  This information has been derived from information presented in the financial statements.
 
         
   
March 31, 2010
   
   
Original
 
Original
 
Special
 
(5)
 
(5)
 
(5)
Institutional
   
Class A
 
Class B
 
Interests
 
Class A
 
Class B
 
Interests
                         
Total return for Limited Partners (4)
 
3.75%
 
4.01%
 
3.87%
 
2.78%
 
3.40%
 
3.72%
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1)
 
3.03%
 
1.98%
 
1.79%
 
4.86%
 
2.84%
 
2.01%
  Incentive fees (4)
 
0.01%
 
0.00%
 
0.20%
 
0.52%
 
0.42%
 
0.29%
                         
    Total expenses
 
3.04%
 
1.98%
 
1.99%
 
5.38%
 
3.26%
 
2.30%
                         
  Net investment (loss) (1) (2)
 
(2.34)%
 
(1.29)%
 
(1.10)%
 
(4.17)%
 
(2.15)%
 
(1.32)%
                         
         
   
March 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)
 
(2.36)%
 
(2.11)%
 
(2.10)%
 
(2.84)%
 
(2.35)%
 
(2.13)%
                         
Ratio to average net asset value
                       
  Expenses prior to incentive fees (1) (3)
 
3.12%
 
2.14%
 
1.84%
 
4.95%
 
2.97%
 
2.14%
  Incentive fees (4)
 
0.00%
 
0.01%
 
0.00%
 
0.00%
 
0.00%
 
0.00%
                         
    Total expenses
 
3.12%
 
2.15%
 
1.84%
 
4.95%
 
2.97%
 
2.14%
                         
  Net investment (loss) (1) (2) (3)
 
(2.59)%
 
(1.60)%
 
(1.27)%
 
(4.41)%
 
(2.43)%
 
(1.60)%
                         
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

 


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

Liquidity
 
The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed.  Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so.  Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading.  A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities.  Through March 31, 2010 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources
 
The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.
 
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses.  Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to market factors by the respective exchanges.  Further, the Partnership’s Futures Commission Merchants (“FCMs”) and brokers may require margin in excess of minimum exchange requirements.
 
All of the futures contracts currently traded by the Advisor on behalf of the Partnership are exchange-traded.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange.  In the future, the Partnership anticipates that it will enter into non-exchange-traded foreign currency contracts and be subject to the credit risk associated with counterparty non-performance.
 
The Partnership bears the risk of financial failure by the Clearing Broker and Newedge Alternative Strategies, Inc. (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades. 

Results of Operations
 
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.
 
 
 
 
 
25

 

 
Results of Operations

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

Three Months Ended March 31, 2010
 
During the first quarter of 2010, the Partnership achieved net realized and unrealized gains of $23,531,191 from its trading activities, net of brokerage commissions of $1,978,355.  The Partnership accrued total expenses of $6,138,814, including $2,462,511 in management fees paid to the General Partner, and $1,627,276 in service and professional fees.  The Partnership earned $909,334 in interest income during the first quarter of 2010.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2010 is set forth below.

January of 2010 started with the Partnership up by mid month, followed by a sharp sell-off in equity markets, which wiped out earlier gains.  These losses were centered in the long equity futures positions, with gains in short term interest rate futures providing only a partial cushion.  In February of 2010, the euro reacted to concerns over Greek sovereign debt by continuing its fall against the U.S. dollar, while equity markets reversed their initial drop to end the month virtually flat. U.S. and European bonds were volatile during the month.  The Partnership’s gains were concentrated in currency and interest rate futures with stock index futures also posting modest gains.  March of 2010 saw the euro rally for the first two weeks of the month, before reversing to make new lows for the year.  U.S. equity markets put in a strong performance with the majority of the Partnership’s gains coming from equity index futures trading.  The bond markets continued their volatility, making the sector the worst performing of the month.  Weakness in the euro and British pound meant that strong gains were made in currencies, with crops and base metals also delivering a positive performance.

Three Months Ended March 31, 2009
 
During the first quarter of 2009, the Partnership achieved net realized and unrealized losses of $6,412,056 from its trading activities, net of brokerage commissions of $493,455.  The Partnership accrued total expenses of $2,386,351, including $1,250,585 in management fees paid to the General Partner, and $1,044,882 in service and professional fees.  The Partnership earned $426,743 in interest income during the first quarter of 2009.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2009 is set forth below.
 
January of 2009 saw a wave of consistently poor economic numbers, with unemployment rising, Government debt increasing and recessionary conditions around the globe.  In January, futures markets were volatile and the Partnership profited primarily in currencies, with the U.S. dollar and Japanese yen remaining strong, while the Pound Sterling remained under pressure. Elsewhere in the portfolio, there were small losses in bonds and small profits in equities, while liquidity remained favorable.  Throughout February, the situation in global financial and commodity markets worsened and no regions, countries, sectors or companies appeared immune from recessionary conditions.  With volatility levels still elevated, the portfolio continued its low margin exposure with small profits made in short equities (due to falling stock indices in February).  Gyrating currency markets caused small losses mainly attributable to weakening of the U.S. dollar at month-end.  The continued plunge in demand for commodities in February, combined with increasing inventories, kept a lid on prices.  Crude oil and grain prices came under renewed price pressure, and the only sector to see higher prices was precious metals.  Small gains were achieved from a small long position in gold, and the Partnership benefited primarily from being short grains.  March proved a difficult month for the Partnership and losses were experienced in bond and equity futures, while the Partnership’s long exposure in the U.S. dollar was damaged by both the increasing United States debt and rumors of the U.S. dollar being sidelined as the reserve currency. The Japanese yen position also suffered.  The commodities sector was mixed in March, with the main features being vacillations in gold prices and a rally in energy.  Small returns were derived in crude oil as it started to find some strength.
  
Off-Balance Sheet Arrangements
 
The Partnership does not engage in off-balance sheet arrangements with other entities.

Item 3: Quantitative and Qualitative Disclosures About Market Risk

Not required.

Item 4T: Controls and Procedures

The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this 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.
 
 
 
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PART II – OTHER INFORMATION

Item 1:  Legal Proceedings
 
None.

Item 1A:  Risk Factors
 
Not Required.

Item 2:  Unregistered Sales of Equity Securities and Use of Proceeds
 
(a) The requested information has been previously reported on Form 8-K.

(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner.  The Partnership may declare additional redemption dates upon notice to the Limited Partners.  The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners.  The following table summarizes the redemptions by Limited Partners during the first calendar quarter of 2010:
 
Month
 
Amount Redeemed
   
January 31, 2010
   
$
6,804,635
   
February 28, 2010
   
$
7,333,067
   
March 31, 2010
   
$
4,410,205
   


Item 3:  Defaults Upon Senior Securities

(a) None.

(b) None.

Item 4:  REMOVED AND RESERVED

Item 5:  Other Information

(a) None.

(b) Not applicable.


 
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Item 6: Exhibits

The following exhibits are incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Registration Statement on Form 10-12G (File No. 000-53348) filed on July 30, 2008.

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

The following exhibits are included herewith.

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


 
 
 
 
 
 
 
 
 
 

 
   
 
** Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.
 
*** Fimat USA, LLC is now Newedge USA, LLC.
 

 
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SIGNATURES

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

Dated: May 17, 2010

WINTON FUTURES FUND, L.P. (US)

By: 
ALTEGRIS PORTFOLIO MANAGEMENT, INC.
   
(d/b/a APM Funds), its general partner
 
 
/s/ Jon C. Sundt                                                           
 
Jon C. Sundt, President (principal executive officer and principal financial offices)
 

 
 
 
 
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