Attached files
file | filename |
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EX-31.01 - Altegris Winton Futures Fund, L.P. | efc10-762_ex3101.htm |
EX-32.01 - Altegris Winton Futures Fund, L.P. | efc10-762_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
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For the quarterly period ended September 30, 2010
OR
[ ]
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from ________ to ___________
Commission File Number: 000-53348
WINTON FUTURES FUND, L.P. (US)
(Exact name of registrant as specified in its charter)
COLORADO
(State or other jurisdiction
of incorporation or organization)
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84-1496732
(I.R.S. Employer
Identification No.)
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c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
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(Address of principal executive offices)
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(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 the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer o
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Accelerated filer o
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Non-accelerated filer o
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Smaller reporting company ý
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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
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Page
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PART I – FINANCIAL INFORMATION
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1
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Item 1.
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Financial Statements
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1
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Statements of Financial Condition
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1
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Condensed Schedules of Investments
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2
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Statements of Operations
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8
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Statements of Changes in Partners’ Capital (Net Asset Value)
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9
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Notes to Financial Statements
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10
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Item 2.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations
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26
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Item 3.
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Quantitative and Qualitative Disclosures About Market Risk
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29
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Item 4.
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Controls and Procedures
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29
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PART II – OTHER INFORMATION
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29
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Item 1.
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Legal Proceedings
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29
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Item 1A.
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Risk Factors
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29
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Item 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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30
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Item 3.
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Defaults Upon Senior Securities
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30
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Item 4.
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REMOVED AND RESERVED
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30
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Item 5.
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Other Information
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30
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Item 6.
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Exhibits
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30
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Signatures
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31
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Rule 13a–14(a)/15d–14(a) Certifications
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32
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Section 1350 Certifications
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33
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PART I – FINANCIAL INFORMATION
WINTON FUTURES FUND, L.P. (US)
|
||||||||
STATEMENTS OF FINANCIAL CONDITION
|
||||||||
SEPTEMBER 30, 2010 (Unaudited) and DECEMBER 31, 2009 (Audited)
|
||||||||
_______________
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||||||||
2010
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2009
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|||||||
ASSETS
|
||||||||
Equity in Newedge USA, LLC account
|
||||||||
Cash
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$ | 106,478,711 | $ | 57,157,995 | ||||
Unrealized gain on open commodity futures contracts
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25,510,823 | 2,751,248 | ||||||
Long options (cost $40,690 and $31,080)
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31,165 | 15,760 | ||||||
Unrealized gain on open forward contracts
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201,160 | 3,227 | ||||||
132,221,859 | 59,928,230 | |||||||
Cash and cash equivalents
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3,336,709 | 3,733,271 | ||||||
Investment securities at value
|
||||||||
(cost - $542,484,484 and $469,559,059)
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542,846,491 | 469,934,981 | ||||||
Interest receivable
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225,900 | 719,323 | ||||||
Other receivable
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5,106 | 0 | ||||||
Total assets
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$ | 678,636,065 | $ | 534,315,805 | ||||
LIABILITIES
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||||||||
Short options (proceeds $80,065 and $68,320)
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$ | 64,460 | $ | 36,220 | ||||
Commissions payable
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665,857 | 611,622 | ||||||
Management fee payable
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1,047,577 | 822,084 | ||||||
Administrative fee payable
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108,529 | 77,788 | ||||||
Service fees payable
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526,176 | 420,136 | ||||||
Incentive fee payable
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4,092,313 | 249,171 | ||||||
Redemptions payable
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3,361,426 | 3,504,884 | ||||||
Subscriptions received in advance
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15,379,995 | 12,878,915 | ||||||
Other liabilities
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432,171 | 249,209 | ||||||
Total liabilities
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25,678,504 | 18,850,029 | ||||||
PARTNERS’ CAPITAL (NET ASSET VALUE)
|
||||||||
General Partner
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3,437 | 3,198 | ||||||
Limited Partners
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652,954,124 | 515,462,578 | ||||||
Total partners’ capital (Net Asset Value)
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652,957,561 | 515,465,776 | ||||||
Total liabilities and partners’ capital
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$ | 678,636,065 | $ | 534,315,805 |
See accompanying notes
1
WINTON FUTURES FUND, L.P. (US)
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||||||||||||
CONDENSED SCHEDULE OF INVESTMENTS
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||||||||||||
SEPTEMBER 30, 2010
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||||||||||||
_______________
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||||||||||||
INVESTMENT SECURITIES
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||||||||||||
Face Value
|
Maturity Date
|
Description
|
Value
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% of Partners Capital
|
||||||||
Fixed Income Investments - United States
|
||||||||||||
U.S. Government Agency Bonds and Notes
|
||||||||||||
$10,000,000
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10/6/2011
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Federal Farm Credit Bank, 0.60%
|
$ | 10,000,400 | 1.53 | % | ||||||
17,470,000
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6/8/2012
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Federal Farm Credit Bank, 0.64%
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17,472,236 | 2.68 | % | |||||||
10,000,000
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9/17/2012
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Federal Farm Credit Bank, 0.70%
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10,006,530 | 1.53 | % | |||||||
9,000,000
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8/2/2012
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Federal Farm Credit Bank, 0.73%
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9,022,248 | 1.38 | % | |||||||
13,350,000
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6/14/2012
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Federal Farm Credit Bank, 1.11%
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13,414,494 | 2.05 | % | |||||||
11,165,000
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7/18/2011
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Federal Home Loan Bank , 1.13%
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11,228,462 | 1.72 | % | |||||||
1,500,000
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10/19/2011
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Federal Home Loan Bank , 1.25%
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1,500,533 | 0.23 | % | |||||||
1,035,000
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8/5/2011
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Federal Home Loan Bank , 1.38%
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1,044,187 | 0.16 | % | |||||||
5,000,000
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7/15/2011
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Federal Home Loan Bank Disc Note, 0.25%
|
4,991,230 | 0.76 | % | |||||||
10,000,000
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6/21/2011
|
Federal Home Loan Mortgage Corporation Disc Note, 0.27%
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9,985,390 | 1.53 | % | |||||||
15,150,000
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7/8/2011
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Federal Home Loan Mortgage Corporation Disc Note, 0.27%
|
15,124,078 | 2.32 | % | |||||||
11,340,000
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8/29/2011
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Federal Home Loan Mortgage Corporation, 0.30%
|
11,314,905 | 1.73 | % | |||||||
16,400,000
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7/27/2012
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Federal Home Loan Mortgage Corporation, 0.95%
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16,404,772 | 2.51 | % | |||||||
10,000,000
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7/26/2012
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Federal Home Loan Mortgage Corporation, 1.00%
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10,015,160 | 1.53 | % | |||||||
5,950,000
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11/10/2011
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Federal Home Loan Mortgage Corporation, 1.20%
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5,954,082 | 0.91 | % | |||||||
10,002,000
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3/28/2011
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Federal National Mortg Assoc Disc Note, 0.22%
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9,993,588 | 1.53 | % | |||||||
10,000,000
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3/31/2011
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Federal National Mortg Assoc Disc Note, 0.22%
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9,991,450 | 1.53 | % | |||||||
6,530,000
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8/1/2011
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Federal National Mortg Assoc Disc Note, 0.30%
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6,516,764 | 1.00 | % | |||||||
20,000,000
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7/8/2011
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Federal National Mortg Assoc Disc Note, 0.41%
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19,965,780 | 3.06 | % | |||||||
10,000,000
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7/14/2011
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Federal National Mortg Assoc Disc Note, 0.42%
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9,982,520 | 1.53 | % | |||||||
9,824,000
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8/15/2011
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Federal National Mortgage Association, 0.29%
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9,796,064 | 1.50 | % | |||||||
17,000,000
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9/17/2012
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Federal National Mortgage Association, 0.75%
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17,022,270 | 2.61 | % | |||||||
14,000,000
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7/12/2012
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Federal National Mortgage Association, 1.05%
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14,017,836 | 2.15 | % | |||||||
Total U.S. Government Agency Bonds and Notes (cost - $244,402,971)
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244,764,979 | 37.48 | % |
See accompanying notes
2
WINTON FUTURES FUND, L.P. (US)
|
||||||||||||
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
||||||||||||
SEPTEMBER 30, 2010
|
||||||||||||
_______________
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||||||||||||
INVESTMENT SECURITIES (continued)
|
||||||||||||
Face Value
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Maturity Date
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Description
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Value
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% of Partners Capital
|
||||||||
Fixed Income Investments - United States (continued)
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||||||||||||
Corporate Notes and Repurchase Agreements
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||||||||||||
$ 19,807,000
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10/6/2010
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American Honda Finance Corp Disc Note, 0.20%
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$ | 19,804,139 | 3.03 | % | ||||||
11,795,000
|
10/1/2010
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Avery Dennison Corp Disc Note, 0.35%
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11,794,885 | 1.81 | % | |||||||
2,000,000
|
10/6/2010
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Bacardi USA Inc Disc Note, 0.41%
|
1,999,844 | 0.31 | % | |||||||
26,540,000
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10/1/2010
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Bank of America Repo, 0.12%
|
26,540,000 | 4.06 | % | |||||||
26,202,000
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10/27/2010
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BP Capital Markets PLC Disc Note, 0.37%
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26,194,925 | 4.01 | % | |||||||
26,775,000
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10/20/2010
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Credit Agricole N A Disc Note, 0.24%
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26,769,645 | 4.10 | % | |||||||
7,602,000
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10/1/2010
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Dentsply Intl Inc Disc Note, 0.34%
|
7,601,928 | 1.16 | % | |||||||
26,473,000
|
10/6/2010
|
Dexia Delaware LLC Disc Note, 0.34%
|
26,471,250 | 4.05 | % | |||||||
23,638,000
|
10/5/2010
|
Harley-Davidson Funding Disc Note, 0.34%
|
23,636,437 | 3.62 | % | |||||||
7,025,000
|
10/4/2010
|
Hewlett-Packard Co Disc Note, 0.20%
|
7,024,727 | 1.08 | % | |||||||
14,055,000
|
10/4/2010
|
OGE Energy Corp Disc Note, 0.32%
|
14,054,126 | 2.15 | % | |||||||
26,434,000
|
10/1/2010
|
Pacific Gas & Electric Disc Note, 0.47%
|
26,431,848 | 4.05 | % | |||||||
22,639,000
|
10/6/2010
|
Prudential Funding Corp Dis Note, 0.33%
|
22,637,547 | 3.47 | % | |||||||
26,465,000
|
10/1/2010
|
Societe Gen No Amer Disc Note, 0.23%
|
26,463,842 | 4.05 | % | |||||||
15,412,000
|
10/5/2010
|
Spectra Energy Captl Disc Note, 0.35%
|
15,411,251 | 2.36 | % | |||||||
11,381,000
|
10/4/2010
|
Spectra Energy Captl Disc Note, 0.38%
|
11,380,181 | 1.74 | % | |||||||
568,000
|
10/4/2010
|
Volkswagen of America Disc Note, 0.33%
|
567,969 | 0.09 | % | |||||||
3,297,000
|
10/1/2010
|
Volkswagen of America Disc Note, 0.35%
|
3,296,968 | 0.50 | % | |||||||
Total Corporate Notes and Repurchase Agreements (cost - $298,081,513)
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298,081,512 | 45.64 | % | |||||||||
Total investment securities - United States (cost - $542,484,484)
|
$ | 542,846,491 | 83.12 | % |
See accompanying notes
3
WINTON FUTURES FUND, L.P. (US)
|
|||||||||||||
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
|||||||||||||
SEPTEMBER 30, 2010
|
|||||||||||||
_______________
|
|||||||||||||
Range of Expiration Dates
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Number of Contracts
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Value
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% of Partners Capital
|
||||||||||
LONG FUTURES CONTRACTS:
|
|||||||||||||
Agriculture
|
Oct 10 - Mar 11
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2,539 | $ | 1,607,306 | 0.25 | % | |||||||
Currencies
|
Dec-10
|
3,571 | 9,662,312 | 1.48 | % | ||||||||
Energy
|
Oct 10 - Nov 10
|
136 | 358,525 | 0.05 | % | ||||||||
Interest Rates
|
Oct 10 - Dec 12
|
13,215 | 7,698,229 | 1.18 | % | ||||||||
Metals
|
Nov 10 - Sept 11
|
1,105 | 8,703,198 | 1.33 | % | ||||||||
Stock Indices
|
Oct 10 - Dec 10
|
2,690 | 1,343,452 | 0.21 | % | ||||||||
Treasury Rates
|
Dec-10
|
3,326 | 2,693,704 | 0.41 | % | ||||||||
Total long futures contracts
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26,582 | 32,066,726 | 4.91 | % | |||||||||
SHORT FUTURES CONTRACTS:
|
|||||||||||||
Agriculture
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Nov 10 - April 11
|
379 | (62,162 | ) | (0.01 | )% | |||||||
Currencies
|
Oct 10 - Dec 10
|
667 | (4,249,461 | ) | (0.65 | )% | |||||||
Energy
|
Oct 10 - Jan 11
|
592 | (1,314,505 | ) | (0.20 | )% | |||||||
Interest Rates
|
Dec 10 - Sept 11
|
128 | (437 | ) | 0.00 | % | |||||||
Metals
|
Nov 10 - Sept 11
|
120 | (830,841 | ) | (0.13 | )% | |||||||
Stock Indices
|
Dec-10
|
129 | (98,497 | ) | (0.02 | )% | |||||||
Total short futures contracts
|
2,015 | (6,555,903 | ) | (1.01 | )% | ||||||||
Total futures contracts
|
28,597 | $ | 25,510,823 | 3.90 | % | ||||||||
LONG OPTIONS CONTRACTS:
|
|||||||||||||
Stock Indices (cost of $40,690)
|
Oct 10 - Dec 10
|
71 | $ | 31,165 | 0.00 | % | |||||||
SHORT OPTIONS CONTRACTS:
|
|||||||||||||
Stock Indices (proceeds of $80,065)
|
Oct 10 - Dec 10
|
71 | $ | 64,460 | 0.01 | % | |||||||
LONG FORWARD CONTRACTS:
|
|||||||||||||
Currencies
|
Oct 10 - Dec 10
|
$ | 14,417,682 | (1) | $ | (135,687 | ) | (0.02 | )% | ||||
SHORT FORWARD CONTRACTS:
|
|||||||||||||
Currencies
|
Oct 10 - Dec 10
|
$ | 25,272,152 | (1) | 336,847 | 0.05 | % | ||||||
Total forward currency contracts
|
$ | 201,160 | 0.03 | % | |||||||||
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
|
See accompanying notes
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 | % |
See accompanying notes
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, 0.15%
|
$ | 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, 0.30%
|
22,898,855 | 4.44 | % | |||||||
22,995,000
|
1/12/2010
|
BNP Paribas Financial Inc Disc Note, 0.14%
|
22,993,122 | 4.46 | % | |||||||
2,370,000
|
1/13/2010
|
Chevron Corp Note, 0.07%
|
2,370,000 | 0.46 | % | |||||||
21,910,000
|
1/4/2010
|
Devon Energy Corp Disc Note, 0.18%
|
21,909,577 | 4.25 | % | |||||||
1,175,000
|
1/11/2010
|
Dexia Delaware LLC Disc Note, 0.29%
|
1,174,735 | 0.23 | % | |||||||
23,175,000
|
1/8/2010
|
Dexia Delaware LLC Disc Note, 0.30%
|
23,169,493 | 4.49 | % | |||||||
3,300,000
|
1/6/2010
|
Public Svc Co of NC Disc Note, 0.30%
|
3,299,807 | 0.64 | % | |||||||
30,100,000
|
1/4/2010
|
Societe Generale N America Inc Disc Note, 0.08%
|
30,099,594 | 5.84 | % | |||||||
2,300,000
|
1/15/2010
|
Toyota Motor Credit Corp Disc Note, 0.15%
|
2,299,712 | 0.45 | % | |||||||
22,900,000
|
1/5/2010
|
Vodafone Group Plc Disc Note, 0.23%
|
22,898,976 | 4.44 | % | |||||||
20,000,000
|
1/5/2010
|
Volkswagen of America Disc Note, 0.27%
|
19,998,950 | 3.88 | % | |||||||
19,087,000
|
1/4/2010
|
Wellpoint Inc DTD, 0.20%
|
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
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
|
See accompanying notes
7
WINTON FUTURES FUND, L.P. (US)
|
||||||||||||||||
STATEMENTS OF OPERATIONS
|
||||||||||||||||
FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2010 AND 2009 (Unaudited)
|
||||||||||||||||
_______________
|
||||||||||||||||
Three Months Ended
|
Nine Months Ended
|
|||||||||||||||
September 30,
|
September 30,
|
|||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Gain (loss) on trading of
|
||||||||||||||||
derivatives contracts
|
||||||||||||||||
Realized
|
$ | 4,531,243 | $ | (6,676,953 | ) | $ | 41,509,669 | $ | (32,901,444 | ) | ||||||
Change in unrealized
|
18,243,358 | 14,560,617 | 22,946,808 | 11,076,284 | ||||||||||||
Brokerage commissions
|
(2,343,389 | ) | (1,709,663 | ) | (6,503,099 | ) | (3,732,248 | ) | ||||||||
Gain (loss) from trading futures
|
20,431,212 | 6,174,001 | 57,953,378 | (25,557,408 | ) | |||||||||||
Gain (loss) on trading of securities
|
||||||||||||||||
Realized
|
(10,107 | ) | 0 | 8,523 | (3,188 | ) | ||||||||||
Change in unrealized
|
(33,787 | ) | 327,321 | (13,915 | ) | 869,577 | ||||||||||
Gain (loss) from trading securities
|
(43,894 | ) | 327,321 | (5,392 | ) | 866,389 | ||||||||||
Foreign currency translation gains (losses)
|
640,970 | 428,566 | (633,887 | ) | (322,976 | ) | ||||||||||
Total trading gains (losses)
|
21,028,288 | 6,929,888 | 57,314,099 | (25,013,995 | ) | |||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Income
|
||||||||||||||||
Interest income
|
756,032 | 913,735 | 2,562,113 | 2,124,189 | ||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
2,988,208 | 2,032,711 | 8,194,872 | 4,984,113 | ||||||||||||
Administrative fee
|
306,305 | 176,102 | 818,264 | 400,215 | ||||||||||||
Service fees
|
1,502,832 | 1,064,057 | 4,185,383 | 2,803,017 | ||||||||||||
Incentive fee
|
4,092,312 | 292,980 | 7,248,268 | 297,698 | ||||||||||||
Professional fees
|
543,391 | 335,387 | 1,474,819 | 883,509 | ||||||||||||
Total expenses
|
9,433,048 | 3,901,237 | 21,921,606 | 9,368,552 | ||||||||||||
Net investment (loss)
|
(8,677,016 | ) | (2,987,502 | ) | (19,359,493 | ) | (7,244,363 | ) | ||||||||
NET INCOME (LOSS)
|
$ | 12,351,272 | $ | 3,942,386 | $ | 37,954,606 | $ | (32,258,358 | ) |
See accompanying notes
8
WINTON FUTURES FUND, L.P. (US)
|
||||||||||||||||||||||||||||||||
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
|
||||||||||||||||||||||||||||||||
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2010 AND 2009 (Unaudited)
|
||||||||||||||||||||||||||||||||
_______________
|
||||||||||||||||||||||||||||||||
Limited Partners
|
||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Original
|
Original
|
Special
|
|
|
Institutional
|
General
|
||||||||||||||||||||||||||
Total
|
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
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 | (533,010 | ) | 246,598 | (8,536 | ) | (948,202 | ) | (53,888 | ) | 1,297,038 | 0 | ||||||||||||||||||||
Capital additions
|
143,795,638 | 0 | 0 | 0 | 71,239,247 | 51,431,628 | 21,124,763 | 0 | ||||||||||||||||||||||||
Capital withdrawals
|
(44,169,831 | ) | (8,839,578 | ) | (960,672 | ) | (2,000,000 | ) | (14,781,954 | ) | (4,883,551 | ) | (12,704,076 | ) | 0 | |||||||||||||||||
Net income for the nine months
|
||||||||||||||||||||||||||||||||
ended September 30, 2010
|
37,954,606 | 5,454,271 | 1,195,020 | 2,363,320 | 10,655,670 | 8,970,785 | 9,315,301 | 239 | ||||||||||||||||||||||||
Offering costs
|
(88,628 | ) | (10,634 | ) | (2,128 | ) | (4,291 | ) | (31,589 | ) | (21,245 | ) | (18,741 | ) | 0 | |||||||||||||||||
Balances at September 30, 2010
|
$ | 652,957,561 | $ | 75,193,734 | $ | 15,214,385 | $ | 30,778,048 | $ | 234,329,290 | $ | 160,670,458 | $ | 136,768,209 | $ | 3,437 | ||||||||||||||||
Balances at December 31, 2008
|
$ | 259,047,478 | $ | 106,046,677 | $ | 16,246,048 | $ | 3,150,480 | $ | 31,171,321 | $ | 28,262,426 | $ | 74,167,035 | $ | 3,491 | ||||||||||||||||
Transfers
|
0 | (496,647 | ) | 533,421 | 0 | (216,944 | ) | 180,170 | 0 | 0 | ||||||||||||||||||||||
Capital additions
|
284,918,681 | 143,470 | 638 | 37,650,000 | 119,958,699 | 71,764,361 | 55,401,513 | 0 | ||||||||||||||||||||||||
Capital withdrawals
|
(40,840,617 | ) | (14,017,191 | ) | (1,139,451 | ) | (8,581,457 | ) | (5,219,739 | ) | (3,052,155 | ) | (8,830,624 | ) | 0 | |||||||||||||||||
Net (loss) for the nine months
|
||||||||||||||||||||||||||||||||
ended September 30, 2009
|
(32,258,358 | ) | (8,453,088 | ) | (1,177,807 | ) | (1,859,585 | ) | (8,357,508 | ) | (5,232,504 | ) | (7,177,576 | ) | (290 | ) | ||||||||||||||||
Offering costs
|
(81,004 | ) | (25,934 | ) | (3,965 | ) | (1,671 | ) | (15,832 | ) | (12,292 | ) | (21,309 | ) | (1 | ) | ||||||||||||||||
Balances at September 30, 2009
|
$ | 470,786,180 | $ | 83,197,287 | $ | 14,458,884 | $ | 30,357,767 | $ | 137,319,997 | $ | 91,910,006 | $ | 113,539,039 | $ | 3,200 |
See accompanying notes
9
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
|
General Description of the Partnership
The Partnership was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the First Amended Agreement of Limited Partnership (the “Agreement”). The Partnership’s general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris 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.
10
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|
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.
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:
11
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|
Fair Value (continued)
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 and liabilities. Because valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these assets and 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.
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 assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.
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 and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within 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 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.
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 September 30, 2010 and December 31, 2009:
13
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|
Fair Value (continued)
September 30, 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 September 30, 2010
|
||||||||||||
Assets:
|
||||||||||||||||
Futures contracts
|
$ | 25,510,823 | $ | - | $ | - | $ | 25,510,823 | ||||||||
Options contracts
|
31,165 | - | - | 31,165 | ||||||||||||
Forward currency contracts
|
- | 201,160 | - | 201,160 | ||||||||||||
US Government agency
obligations
|
244,764,979 | - | - | 244,764,979 | ||||||||||||
Corporate notes and
repurchase agreements
|
- | 298,081,512 | - | 298,081,512 | ||||||||||||
|
$ | 270,306,967 | $ | 298,282,672 | $ | - | $ | 568,589,639 | ||||||||
Liabilities:
|
||||||||||||||||
Options contracts
|
$ | 64,460 | $ | - | $ | - | $ | 64,460 | ||||||||
|
$ | 64,460 | $ | - | $ | - | $ | 64,460 | ||||||||
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 |
14
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|
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 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, as may be amended and restated from time to time (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.
15
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 1 -
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|
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 September 30, 2010 and 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.
September 30, 2010
|
||||||||||||
Futures Contracts
|
Asset
Derivatives
Fair Value
|
Liability
Derivatives
Fair Value
|
Net
Fair Value
|
|||||||||
Agriculture
|
$ | 2,841,925 | $ | (1,296,781 | ) | $ | 1,545,144 | |||||
Currencies
|
9,733,655 | (4,320,804 | ) | 5,412,851 | ||||||||
Energy
|
707,085 | (1,663,065 | ) | (955,980 | ) | |||||||
Interest Rates
|
10,204,885 | (2,507,093 | ) | 7,697,792 | ||||||||
Metals
|
8,716,177 | (843,820 | ) | 7,872,357 | ||||||||
Stock Indices
|
1,789,322 | (544,367 | ) | 1,244,955 | ||||||||
Treasury Rates
|
2,790,454 | (96,750 | ) | 2,693,704 | ||||||||
36,783,503 | (11,272,680 | ) | 25,510,823 | |||||||||
Options on Futures Contracts
|
||||||||||||
Stock Indices
|
31,165 | (64,460 | ) | (33,295 | ) | |||||||
Forward Currency Contracts
|
||||||||||||
Currencies
|
421,825 | (220,665 | ) | 201,160 | ||||||||
Total Gross Fair Value of Derivatives
|
$ | 37,236,493 | $ | (11,557,805 | ) | $ | 25,678,688 |
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
|
||||||||||||
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 three and nine months ended September 30, 2010 and 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)
Three Months Ended September 30, 2010
|
||||||||||||||||
Futures Contracts
|
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||||
Agriculture
|
$ | (5,802,123 | ) | $ | 1,502,688 | 7,851 | ||||||||||
Currencies
|
(12,832,444 | ) | 9,458,135 | 10,475 | ||||||||||||
Energy
|
(3,649,171 | ) | (814,634 | ) | 6,091 | |||||||||||
Interest Rates
|
20,189,431 | (3,084,783 | ) | 20,726 | ||||||||||||
Metals
|
(7,249,550 | ) | 11,651,297 | 2,691 | ||||||||||||
Stock Indices
|
(1,503,612 | ) | 1,172,841 | 6,531 | ||||||||||||
Treasury Rates
|
15,356,906 | (1,981,563 | ) | 9,783 | ||||||||||||
Total futures contracts
|
4,509,437 | 17,903,981 | 64,148 | |||||||||||||
Options on Futures Contracts
|
||||||||||||||||
Stock Indices
|
63,350 | 79,846 | 254 | |||||||||||||
Forward Currency Contracts
|
||||||||||||||||
Currencies
|
(41,544 | ) | 259,531 | $ | 112,910,956 | (1) | ||||||||||
Total gains from derivatives trading
|
$ | 4,531,243 | $ | 18,243,358 | ||||||||||||
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
|
||||||||||||||||
Nine Months Ended September 30, 2010
|
||||||||||||||||
Futures Contracts
|
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||||
Agriculture
|
$ | (4,435,538 | ) | $ | 975,328 | 18,106 | ||||||||||
Currencies
|
10,016,014 | 7,257,203 | 32,030 | |||||||||||||
Energy
|
(10,209,214 | ) | (610,501 | ) | 12,802 | |||||||||||
Interest Rates
|
41,582,632 | 7,655,019 | 39,518 | |||||||||||||
Metals
|
454,356 | 6,541,689 | 6,712 | |||||||||||||
Stock Indices
|
(12,366,780 | ) | (2,188,945 | ) | 22,315 | |||||||||||
Treasury Rates
|
16,382,528 | 3,129,782 | 19,381 | |||||||||||||
Total futures contracts
|
41,423,998 | 22,759,575 | 150,864 | |||||||||||||
Options on Futures Contracts
|
||||||||||||||||
Stock Indices
|
177,394 | (10,700 | ) | 828 | ||||||||||||
Forward Currency Contracts
|
||||||||||||||||
Currencies
|
(91,723 | ) | 197,933 | $ | 159,270,115 | (1) | ||||||||||
Total gains from derivatives trading
|
$ | 41,509,669 | $ | 22,946,808 | ||||||||||||
(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)
Three Months Ended September 30, 2009
|
||||||||||||
Futures Contracts
|
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||
Agriculture
|
$ | 1,216,002 | $ | (1,294,850 | ) | 2,344 | ||||||
Currencies
|
3,276,416 | 5,528,555 | 7,137 | |||||||||
Energy
|
(1,912,202 | ) | (888,700 | ) | 1,178 | |||||||
Interest Rates
|
2,096,582 | 3,229,357 | 7,357 | |||||||||
Metals
|
(2,544,593 | ) | 3,925,853 | 726 | ||||||||
Stock Indices
|
(6,636,696 | ) | 1,135,424 | 3,592 | ||||||||
Treasury Rates
|
(2,217,009 | ) | 2,923,754 | 3,134 | ||||||||
Total futures contracts
|
$ | (6,721,500 | ) | $ | 14,559,393 | 25,468 | ||||||
Options on Futures Contracts
|
||||||||||||
Stock Indices
|
44,547 | 1,224 | 96 | |||||||||
Total gains from derivatives trading
|
$ | (6,676,953 | ) | $ | 14,560,617 | |||||||
Nine Months Ended September 30, 2009
|
||||||||||||
Futures Contracts
|
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||
Agriculture
|
$ | 1,287,881 | $ | 1,025,479 | 5,977 | |||||||
Currencies
|
(8,563,479 | ) | 7,248,456 | 19,238 | ||||||||
Energy
|
(4,376,918 | ) | (998,931 | ) | 1,990 | |||||||
Interest Rates
|
1,249,837 | 1,070,265 | 17,151 | |||||||||
Metals
|
(4,319,319 | ) | 1,004,683 | 1,417 | ||||||||
Stock Indices
|
(11,630,140 | ) | 1,235,005 | 6,531 | ||||||||
Treasury Rates
|
(6,593,853 | ) | 489,624 | 8,200 | ||||||||
Total futures contracts
|
$ | (32,945,991 | ) | $ | 11,074,581 | 60,504 | ||||||
Options on Futures Contracts
|
||||||||||||
Stock Indices
|
44,547 | 1,703 | 96 | |||||||||
Total gains from derivatives trading
|
$ | (32,901,444 | ) | $ | 11,076,284 |
Reclassifications
Certain amounts in the 2009 financial statements were reclassified to conform with the 2010 presentation.
19
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 2 - AGREEMENTS AND RELATED PARTIES
Advisory Contract
The Partnership’s trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Limited (the “Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined).
Effective July 1, 2008, the Advisor receives from the Partnership a monthly management fee equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional Interests of the Partnership’s management fee net asset value (as defined). In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. Total management fees earned by the Advisor for the nine months ended September 30, 2010 and 2009 were $3,755,081 and $2,202,950 respectively. Such management fees for the three months ended September 30, 2010 and 2009 were $1,370,967 and $926,260, 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 nine months ended September 30, 2010 and 2009 were $4,439,791 and $2,781,163, respectively. Such management fees for the three months ended September 30, 2010 and 2009 were $1,617,241 and $1,106,451, respectively.
20
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
General Partner Management Fee (continued)
Management fees payable to the General Partner as of September 30, 2010 and December 31, 2009 were $566,534 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.
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 the Limited Partners holding Institutional Interests.
Related Party
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and an independent introducing broker registered with the CFTC. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Interests sold by Altegris Investments that are outstanding at month end. Altegris Investments, 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 nine months ended September 30, 2010 and 2009, commissions, interest income and continuing compensation received by Altegris Investments amounted to $6,497,744 and $4,289,583, respectively. Such commissions and continuing compensation received by Altegris Investments for the three months ended September 30, 2010 and 2009 amounted to $2,502,530 and $1,822,525.
21
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
Related Party
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 set forth 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 market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).
The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.
22
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 3 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)
The Partnership also has credit risk because 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.
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 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 three and six months ended September 30, 2010 and 2009. This information has been derived from information presented in the financial statements.
Three months ended September 30, 2010
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
(5) | (5) |
(5)
Institutional
|
|||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
1.97 | % | 2.22 | % | 2.24 | % | 1.47 | % | 1.97 | % | 2.19 | % | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.15 | % | 2.12 | % | 1.91 | % | 4.98 | % | 2.97 | % | 2.15 | % | ||||||||||||
Incentive fees (4)
|
0.61 | % | 0.63 | % | 0.65 | % | 0.66 | % | 0.67 | % | 0.66 | % | ||||||||||||
Total expenses
|
3.76 | % | 2.75 | % | 2.56 | % | 5.64 | % | 3.64 | % | 2.81 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.67 | )% | (1.64 | )% | (1.43 | )% | (4.50 | )% | (2.49 | )% | (1.66 | )% | ||||||||||||
Nine months ended September 30, 2010
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
(5) | (5) |
(5)
Institutional
|
|||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
7.41 | % | 8.25 | % | 7.90 | % | 5.12 | % | 6.85 | % | 7.67 | % | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.12 | % | 2.07 | % | 1.88 | % | 4.95 | % | 2.93 | % | 2.11 | % | ||||||||||||
Incentive fees (4)
|
0.64 | % | 0.65 | % | 1.12 | % | 1.50 | % | 1.39 | % | 1.19 | % | ||||||||||||
Total expenses
|
3.76 | % | 2.72 | % | 3.00 | % | 6.45 | % | 4.32 | % | 3.30 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.56 | )% | (1.47 | )% | (1.31 | )% | (3.93 | )% | (2.05 | )% | (1.43 | )% | ||||||||||||
24
WINTON FUTURES FUND, L.P. (US)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
NOTE 6 - FINANCIAL HIGHLIGHTS
Three months ended September 30, 2009
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
(5) | (5) |
(5)
Institutional
|
|||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
0.85 | % | 1.10 | % | 1.09 | % | 0.28 | % | 0.80 | % | 1.06 | % | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.06 | % | 2.04 | % | 1.84 | % | 4.89 | % | 2.88 | % | 2.05 | % | ||||||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.05 | % | 0.11 | % | 0.10 | % | 0.04 | % | ||||||||||||
Total expenses
|
3.06 | % | 2.04 | % | 1.89 | % | 5.00 | % | 2.98 | % | 2.09 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.26 | )% | (1.24 | )% | (1.04 | )% | (4.09 | )% | (2.08 | )% | (1.25 | )% | ||||||||||||
Nine months ended September 30, 2009
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
(5) | (5) |
(5)
Institutional
|
|||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
(8.35 | )% | (7.66 | )% | (7.60 | )% | (9.74 | )% | (8.35 | )% | (7.71 | )% | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.07 | % | 2.08 | % | 1.83 | % | 4.89 | % | 2.91 | % | 2.08 | % | ||||||||||||
Incentive fees (4)
|
0.00 | % | 0.01 | % | 0.08 | % | 0.15 | % | 0.12 | % | 0.05 | % | ||||||||||||
Total expenses
|
3.07 | % | 2.09 | % | 1.91 | % | 5.04 | % | 3.03 | % | 2.13 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.37 | )% | (1.38 | )% | (1.07 | )% | (4.15 | )% | (2.17 | )% | (1.36 | )% | ||||||||||||
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
PART I – FINANCIAL INFORMATION (continued)
Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
Liquidity
The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities. Through September 30, 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 various market factors by the respective exchanges. Further, the Partnership’s futures commission merchants and brokers may require margin in excess of minimum exchange requirements.
Contracts currently traded by the Advisor on behalf of the Partnership include exchange-traded futures contracts and over-the-counter forward currency contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. The credit risk from counterparty non-performance associated with the Partnership’s over-the-counter forward currency transactions is the net unrealized gain on such contracts plus related collateral held by the counterparty.
The Partnership bears the risk of financial failure by the Clearing Broker and Newedge Alternative Strategies, Inc. (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades.
Results of Operations
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.
26
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 September 30, 2010
During the third quarter of 2010, the Partnership incurred net realized and unrealized gains of $21,028,288 from its trading activities, net of brokerage commissions of $2,343,389. The Partnership accrued net expenses of $9,433,048, including $2,988,208 in management fees paid to the General Partner, $4,092,312 in incentive fees, and $2,046,223 in service and professional fees. The Partnership earned $756,032 in interest income during the third quarter of 2010. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2010 is set forth below.
Third Quarter 2010. The Partnership experienced a loss in July of 2010. Currency futures was the worst performing sector for the Partnership where losses were focused on the Euro. Trading in futures contracts on bonds, precious metals and agriculturals also contributed to losses for the month. Short term interest rate futures trading, driven by falls in US LIBOR rates, was the best performing sector during the month. The Partnership achieved a gain in August of 2010. Most of the month’s gains can be attributed to the bonds sector, with positive contributions from futures trading on interest rates, currencies and precious metals. Agricultural futures were the Partnership’s worst performing sector during August of 2010. The Partnership achieved a gain in September of 2010. The Partnership benefited from its long positions in agriculturals and precious metals as cotton futures hit a 15 year high and gold prices again set new highs. Crude oil ended the month close to where it started, while base metals and grains both moved higher. Losses were concentrated in the energy and fixed income futures markets. Gains in the Australian Dollar offset the Partnership’s losses in the Euro.
Three Months Ended September 30, 2009
The Partnership experienced a net gain of $3,942,386 for the third quarter of 2009. Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized gains of $6,174,001, while brokerage commissions of $1,709,663 were incurred. Securities held for cash management purposes achieved net realized and unrealized gains of $327,321 during the period. During the third quarter, the Partnership incurred total expenses of $3,901,237, including $292,980 in incentive fees, $2,032,711 in management fees and $1,575,546 in administrative, service and professional fees. The Partnership earned $913,735 in interest income during the third quarter of 2009.
The Partnership experienced a loss in July 2009 as initial economic pessimism, driven by weaker than expected employment data, was reversed mid-month by strong earnings announcements in the U.S. Crude started the month by falling, but swiftly bounced back, mirroring the rally in stocks. Against a background of uncertainty in the fixed income markets, the Partnership’s returns were dominated by losses in the equity and bond sectors, with short-term interest rates posting modest gains. The Partnership’s currency positions continued to bring some diversification to the Partnership’s portfolio. August 2009 saw continued signs of economic recovery, with a further stream of positive data being released. The Federal Reserve Board again committed to leaving interest rates near zero while the Bank of England moved to continue its program of quantitative easing. The U.S. equity markets were up from lows set in March of 2009 and the Advisor’s stock index systems were slow to reverse their short positions, meaning that the Partnership gave back a portion of last year’s gain in stock indices. The global stock indices continued their strong rally into September 2009, while gold came close to its all time high, as the effective nationalization of debt by Governments created a fear of future inflation in debtor economies. Currencies were the strongest performing sector in September of 2009 as the Partnership benefited from the falling exchange rates of the U.S. Dollar. Short-term interest rates registered further gains and became the Partnership’s best performing sector for the nine months ended September 30, 2009.
Nine Months Ended September 30, 2010
During the nine months ended September 30, 2010, the Partnership incurred net realized and unrealized gains of $57,314,099 from its trading activities, net of brokerage commissions of $6,503,099. The Partnership accrued net
27
expenses of $21,921,606, including $58,194,872 in management fees paid to the General Partner, $7,248,268 in incentive fees, and $2,949,638 in service and professional fees. The Partnership earned $2,562,113 in interest income during the nine months ended September 30, 2010. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2010 is set forth below.
Third Quarter 2010. The Partnership experienced a loss in July of 2010. Currency futures was the worst performing sector for the Partnership where losses were focused on the Euro. Trading in futures contracts on bonds, precious metals and agriculturals also contributed to losses for the month. Short term interest rate futures trading, driven by falls in US LIBOR rates, was the best performing sector during the month. The Partnership achieved a gain in August of 2010. Most of the month’s gains can be attributed to the bonds sector, with positive contributions from futures trading on interest rates, currencies and precious metals. Agricultural futures were the Partnership’s worst performing sector during August of 2010. The Partnership achieved a gain in September of 2010. The Partnership benefited from its long positions in agriculturals and precious metals as cotton futures hit a 15 year high and gold prices again set new highs. Crude oil ended the month close to where it started, while base metals and grains both moved higher. Losses were concentrated in the energy and fixed income futures markets. Gains in the Australian Dollar offset the Partnership’s losses in the Euro.
Second Quarter 2010. The Partnership achieved gains for the month of April of 2010 as US stock indices continued their ascent to end the month higher, while European stock indices declined. The Partnership’s best performing sector during the month was currencies, as it capitalized on the Euro’s steady decrease in value. In April, the Partnership introduced a small amount of currency forward trading on the Chinese Renminbi and the Taiwanese Dollar. The Partnership experienced a loss in May of 2010 as European economic concerns and the Euro’s decline continued to dominate the financial news. The Partnership’s currencies trading posted a positive performance during the month with short positions on the Euro and Pound covering the losses from the Partnership’s long positions on the Australian and Canadian Dollar. The Partnership’s worst performing sector was trading futures on equity indices, where long positions were hurt by the strong downward trend in equity indices. The Partnership achieved gains during the month of June of 2010 as yields on Greek, Portuguese and Spanish government bonds continued to rise. Fixed income markets were the Partnership’s strongest contributors during June, with US bonds also continuing to rise. Energies futures were the worst performing sector as the Partnership’s short positions suffered in the face of a rally in crude oil.
First Quarter 2010. 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.
Nine Months Ended September 30, 2009
The Partnership experienced a net loss of $32,258,358 for the nine months ended September 30, 2009. Trading of commodity futures contracts by the Advisor on behalf of the Partnership achieved net realized and unrealized losses of $25,557,408, while brokerage commissions of $3,732,248 were incurred. Securities held for cash management purposes achieved net realized and unrealized gain of $866,389 during the period. During the period, the Partnership incurred total expenses of $9,368,552, including $297,698 in incentive fees, $4,984,113 in management fees and $4,086,741 in administrative, service and professional fees. The Partnership earned $2,124,189 in interest income during the nine months ended September 30, 2009.
Third Quarter 2009. The Partnership experienced a loss in July 2009 as initial economic pessimism, driven by weaker than expected employment data, was reversed mid-month by strong earnings announcements in the U.S. Crude started the month by falling, but swiftly bounced back, mirroring the rally in stocks. Against a background of
28
uncertainty in the fixed income markets, the Partnership’s returns were dominated by losses in the equity and bond sectors, with short-term interest rates posting modest gains. The Partnership’s currency positions continued to bring some diversification to the Partnership’s portfolio. August 2009 saw continued signs of economic recovery, with a further stream of positive data being released. The Federal Reserve Board again committed to leaving interest rates near zero while the Bank of England moved to continue its program of quantitative easing. The U.S. equity markets were up from lows set in March of 2009 and the Advisor’s stock index systems were slow to reverse their short positions, meaning that the Partnership gave back a portion of last year’s gain in stock indices. The global stock indices continued their strong rally into September 2009, while gold came close to its all time high, as the effective nationalization of debt by Governments created a fear of future inflation in debtor economies. Currencies were the strongest performing sector in September of 2009 as the Partnership benefited from the falling exchange rates of the U.S. Dollar. Short-term interest rates registered further gains and became the Partnership’s best performing sector for the nine months ended September 30, 2009.
Second Quarter 2009. The Partnership experienced a loss in April 2009 as trading conditions returned to something approaching normality, with daily ranges more constrained and volatility in decline. The main story for April 2009 was the continued rally of global equities, where the Partnership continued to retain a slightly increased but still relatively small short exposure. There was little offset from the other sectors, with bond yields increasing as sentiment on the economic situation became slightly more upbeat. Currency markets were also in flux, and the Partnership experiencing losses similar to what it experienced in the equity sectors during the month. Commodities also started a decline towards month-end as the very recent scare over swine flu began to impact the markets. The Partnership was down modestly in May 2009, a month that saw further signs of stability return to the financial system and liquidity continuing to improve to levels not seen since September 2008. However, the Partnership’s long and short exposures during the month were not synchronized to its advantage as the markets reacted to the new sense of relative confidence. Equities rallied during the month, while 10-year bond yields rose, resulting in mixed signals for the Partnership’s portfolio positions. Also, the Partnership’s exposure in the commodities such as the energy and agricultural sectors was also muddled. The Partnership was again down modestly in June 2009, as equities initially rallied, but fell back and ended flat as markets such as Russia fell 20% from their highs during the month. Commodities, in particular base metals, also rallied initially but retreated. The Partnership’s returns were dominated by volatile interest rate moves during June 2009, with losses in the debt and interest rate sectors. Against these losses, however, crops did well with a positive contribution to Partnership performance during the month.
First Quarter 2009. January of 2009 saw a wave of consistently poor economic numbers, with unemployment rising, Government debt increasing and recessionary conditions around the globe. In January, futures markets were volatile and the Partnership profited primarily in currencies, with the U.S. Dollar and Japanese Yen remaining strong, while the Pound Sterling remained under pressure. Elsewhere in the portfolio, there were small losses in bonds and small profits in equities, while liquidity remained favorable. Throughout February, the situation in global financial and commodity markets worsened and no regions, countries, sectors or companies appeared immune from recessionary conditions. With volatility levels still elevated, the portfolio continued its low margin exposure with small profits made in short equities (due to falling stock indices in February). Gyrating currency markets caused small losses mainly attributable to weakening of the U.S. Dollar at month-end. The continued plunge in demand for commodities in February, combined with increasing inventories, kept a lid on prices. Crude oil and grain prices came under renewed price pressure, and the only sector to see higher prices was precious metals. Small gains were achieved from a small long position in gold, and the Partnership benefited primarily from being short grains. March proved a difficult month for the Partnership and losses were experienced in bond and equity futures, while the Partnership’s long exposure in the U.S. Dollar was damaged by both the increasing United States debt and rumors of the U.S. Dollar being sidelined as the reserve currency. The Japanese Yen position also suffered. The commodities sector was mixed in March, with the main features being vacillations in gold prices and a rally in energy. Small returns were derived in crude oil as it started to find some strength.
Off-Balance Sheet Arrangements
The Partnership does not engage in off-balance sheet arrangements with other entities.
Not required.
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The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the General Partner’s internal controls over financial reporting with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of the evaluation.
PART II – OTHER INFORMATION
None.
Not Required.
(a) The requested information has been previously reported on Form 8-K.
(b) Not applicable.
(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the third calendar quarter of 2010:
Month
|
|
Amount Redeemed
|
||||
July 31, 2010
|
$
|
3,338,566
|
||||
August 31, 2010
|
$
|
4,688,906
|
||||
September 30, 2010
|
$
|
2,899,716
|
(a) None.
(b) None.
(a) None.
(b) Not applicable.
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 (File No. 000-53348) filed on July 30, 2008.
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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.
31
Pursuant to the requirements of Section 12 of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dated: November 15, 2010
WINTON FUTURES FUND, L.P. (US)
By:
|
ALTEGRIS PORTFOLIO MANAGEMENT, INC.
|
|
(d/b/a Altegris Funds), its general partner
|
/s/ Jon C. Sundt
|
|
Jon C. Sundt, President (principal
executive officer and principal financial
officer)
|
32