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EX-32.01 - Altegris Winton Futures Fund, L.P.efc11-361_ex3201.htm
EX-31.01 - Altegris Winton Futures Fund, L.P.efc11-361_ex3101.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549


 
FORM 10-Q


 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended March 31, 2011
 
OR
 
[  ]
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from  ________ to ___________
 
Commission File number:    000-53348



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


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

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

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

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

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


 
 

 
 
 
TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
  1
     
Item 1.
Financial Statements
  1
     
 
Statements of Financial Condition
  2
     
 
Condensed Schedules of Investments
  3
     
 
Statements of Operations
  8
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
  9
     
 
Notes to Financial Statements
  10
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
  24
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
  26
     
Item 4.
Controls and Procedures
  26
     
     
PART II – OTHER INFORMATION
  26
     
Item 1.
Legal Proceedings
  26
     
Item 1A.
Risk Factors
  26
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
  29
     
Item 3.
Defaults Upon Senior Securities
  29
     
Item 4.
REMOVED AND RESERVED
  29
     
Item 5.
Other Information
  29
     
Item 6.
Exhibits
  29
     
Signatures
  31
     
Rule 13a–14(a)/15d–14(a) Certifications
  32
     
Section 1350 Certifications
  33
 
 

 
 

 
 

 


PART I – FINANCIAL INFORMATION

 
Item 1: Financial Statements
 
WINTON FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
MARCH 31, 2011 (Unaudited) and DECEMBER 31, 2010 (Audited)
 

 
   
2011
   
2010
 
ASSETS
           
    Equity in Newedge USA, LLC account
           
        Cash
  $ 59,208,451     $ 54,374,448  
        Unrealized gain on open commodity futures contracts
    13,347,499       22,951,037  
        Long options (cost $45,090 and $37,075)
    7,909       26,870  
        Unrealized gain (loss) on open forward contracts
    (7,260 )     306,861  
                 
      72,556,599       77,659,216  
                 
    Cash and cash equivalents
    18,395,469       3,295,383  
    Investment securities at value
               
      (cost - $753,997,506 and $668,127,850)
    753,520,999       668,207,948  
    Interest receivable
    408,675       370,248  
                 
Total assets
  $ 844,881,742     $ 749,532,795  
                 
LIABILITIES
               
    Short options (proceeds $92,065 and $68,475)
  $ 19,644     $ 52,595  
    Payable for securities purchased
    49,993,750       0  
    Commissions payable
    885,975       803,819  
    Management fee payable
    1,259,391       1,122,521  
    Administrative fee payable
    131,478       117,803  
    Service fees payable
    632,662       577,289  
    Incentive fee payable
    3,303,563       6,826,279  
    Redemptions payable
    5,662,165       6,198,800  
    Subscriptions received in advance
    17,524,247       22,079,436  
    Other liabilities
    486,947       548,322  
                 
            Total liabilities
    79,899,822       38,326,864  
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
    3,585       3,547  
    Limited Partners
    764,978,335       711,202,384  
                 
            Total partners' capital (Net Asset Value)
    764,981,920       711,205,931  
                 
Total liabilities and partners' capital
  $ 844,881,742     $ 749,532,795  
                 
 
 
 
 
 
 
 
 
See accompanying notes
 
 
 
1

 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2011
 

INVESTMENT SECURITIES
 
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners
 Capital
 
                     
Fixed Income Investments - United States
               
                     
U.S. Government Agency Bonds and Notes
 
               
$ 1,500,000  
4/26/2012
 
 Federal Farm Credit Bank, 0.325%
  $ 1,500,057       0.20 %
  10,000,000  
11/9/2012
 
 Federal Farm Credit Bank, 0.50%
    9,953,890       1.30 %
  7,750,000  
10/12/2012
 
 Federal Farm Credit Bank, 0.55%
    7,737,530       1.01 %
  5,000,000  
10/4/2012
 
 Federal Farm Credit Bank, 0.60%
    4,994,290       0.65 %
  10,000,000  
9/17/2012
 
 Federal Farm Credit Bank, 0.70%
    10,000,000       1.31 %
  9,000,000  
8/2/2012
 
 Federal Farm Credit Bank, 0.73%
    9,013,554       1.18 %
  30,000,000  
3/22/2013
 
 Federal Farm Credit Bank, 0.75%
    29,830,500       3.90 %
  20,000,000  
4/4/2013
 
 Federal Farm Credit Bank, 0.84%
    19,949,460       2.61 %
  10,000,000  
1/25/2013
 
 Federal Farm Credit Bank, 0.85%
    9,972,620       1.30 %
  5,000,000  
3/1/2013
 
 Federal Farm Credit Bank, 1.02%
    5,008,375       0.65 %
  13,350,000  
6/14/2012
 
 Federal Farm Credit Bank, 1.11%
    13,370,813       1.75 %
  10,000,000  
8/23/2012
 
 Federal Home Loan Bank , 0.50%
    9,988,140       1.31 %
  10,000,000  
10/25/2012
 
 Federal Home Loan Bank , 0.55%
    9,965,570       1.30 %
  11,360,000  
10/18/2012
 
 Federal Home Loan Bank , 0.625%
    11,328,953       1.48 %
  5,000,000  
11/15/2012
 
 Federal Home Loan Bank , 0.625%
    4,978,160       0.65 %
  6,600,000  
12/10/2012
 
 Federal Home Loan Bank , 0.70%
    6,592,542       0.86 %
  2,000,000  
12/14/2012
 
 Federal Home Loan Bank , 0.75%
    1,994,208       0.26 %
  20,000,000  
4/16/2013
 
 Federal Home Loan Bank , 1.00%
    19,928,360       2.61 %
  5,000,000  
3/8/2013
 
 Federal Home Loan Bank , 1.15%
    5,004,930       0.65 %
  11,165,000  
7/18/2011
 
 Federal Home Loan Bank , 1.125%
    11,195,994       1.46 %
  10,000,000  
4/19/2013
 
 Federal Home Loan Bank , 1.125%
    9,983,700       1.31 %
  1,035,000  
8/5/2011
 
 Federal Home Loan Bank , 1.375%
    1,039,543       0.14 %
  12,200,000  
4/15/2011
 
 Federal Home Loan Bank Disc Note, 0.07%
    12,199,902       1.59 %
  7,000,000  
2/19/2013
 
 Federal Home Loan Mortgage Corporation, 0.625%
    7,003,332       0.92 %
  5,000,000  
1/28/2013
 
 Federal Home Loan Mortgage Corporation, 1.00%
    4,996,400       0.65 %
  5,000,000   6/21/2011    Federal Home Loan Mortgage Corporation Disc Note, 0.27%     4,998,990       0.65 %
  5,290,000  
7/8/2011
   Federal Home Loan Mortgage Corporation Disc Note, 0.27%     5,288,418       0.69 %
  11,340,000  
8/29/2011
   Federal Home Loan Mortgage Corporation Disc Note, 0.31%     11,333,865       1.48 %
  14,775,000  
11/1/2012
 
 Federal National Mortgage Association, 0.55%
    14,726,272       1.93 %
  12,000,000  
11/9/2012
 
 Federal National Mortgage Association, 0.625%
    11,964,732       1.56 %
  6,125,000  
12/6/2012
 
 Federal National Mortgage Association, 0.75%
    6,108,469       0.80 %
  5,500,000  
12/13/2012
 
 Federal National Mortgage Association, 0.80%
    5,479,601       0.72 %
  15,900,000  
1/7/2013
 
 Federal National Mortgage Association, 1.00%
    15,885,770       2.08 %
  39,040,000  
5/9/2011
 
 Federal National Mortg Assoc Disc Note, 0.09%
    39,037,931       5.10 %
  5,800,000  
5/25/2011
 
 Federal National Mortg Assoc Disc Note, 0.09%
    5,799,565       0.76 %
  20,000,000  
7/8/2011
 
 Federal National Mortg Assoc Disc Note, 0.41%
    19,994,020       2.61 %
  10,000,000  
7/14/2011
 
 Federal National Mortg Assoc Disc Note, 0.42%
    9,996,820       1.31 %
  6,530,000  
8/1/2011
 
 Federal National Mortg Assoc Disc Note, 0.31%
    6,527,127       0.85 %
  9,824,000  
8/15/2011
 
 Federal National Mortg Assoc Disc Note, 0.29%
    9,796,064       1.28 %
 
 
Total U.S. Government Agency Bonds and Notes (cost - $404,944,973)
    404,468,466        52.87 %
 
 
 
See accompanying notes
 
 
 
2

 
 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
MARCH 31, 2011
 

INVESTMENT SECURITIES (continued)
 
                 
Face Value
 
Maturity Date
 
 Decription
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States (continued)
           
                     
Corporate Notes and Repurchase Agreements
 
               
$ 7,690,000  
4/4/2011
 
 American Water Warks Corp Disc Note, 0.32%
  $ 7,689,522       1.01 %
  14,700,000  
4/6/2011
 
 American Water Warks Corp Disc Note, 0.32%
    14,698,955       1.92 %
  12,500,000  
4/7/2011
 
 American Water Warks Corp Disc Note, 0.30%
    12,499,271       1.63 %
  5,000,000  
4/1/2011
 
 Avery Dennison Corp Disc Note, 0.30%
    4,999,958       0.65 %
  30,000,000  
4/6/2011
 
 Avery Dennison Corp Disc Note, 0.30%
    29,998,250       3.92 %
  35,000,000  
4/1/2011
 
 BMW US Capital Disc Note, 0.28%
    34,999,728       4.58 %
  2,105,000  
4/18/2011
 
 Bank of Nova Scotia, 0.20%
    2,104,708       0.28 %
  11,000,000  
4/29/2011
 
 Bank of Nova Scotia, 0.17%
    10,998,442       1.44 %
  33,985,000  
4/13/2011
 
 Credit Agricole N A Disc Note, 0.22%
    33,980,639       4.44 %
  9,500,000  
4/7/2011
 
 John Deere  Disc Note, 0.18%
    9,498,622       1.24 %
  5,500,000  
4/7/2011
 
 John Deere  Disc Note, 0.18%
    5,499,202       0.72 %
  7,000,000  
4/14/2011
 
 John Deere  Disc Note, 0.18%
    6,999,020       0.91 %
  5,000,000  
4/1/2011
 
 Dentsply Intl Inc Disc Note, 0.30%
    4,999,958       0.65 %
  35,000,000  
4/6/2011
 
 Dexia Delaware LLC Disc Note, 0.28%
    34,998,129       4.58 %
  11,097,000  
4/1/2011
 
 Kinder Mmorgan Management Disc Note, 0.30%
    11,096,908       1.45 %
  15,000,000  
4/6/2011
 
 Prudential Funding Corp Dis Note, 0.28%
    14,999,183       1.96 %
  5,000,000  
4/4/2011
 
 Safeway, Inc. Captl Disc Note, 0.30%
    4,999,750       0.65 %
  35,000,000  
4/5/2011
 
 Sempra Energy Captl Disc Note, 0.30%
    34,997,958       4.58 %
  2,000,000  
4/1/2011
 
 Societe Gen No Amer Disc Note, 0.18%
    1,999,910       0.26 %
  8,000,000  
4/13/2011
 
 Societe Gen No Amer Disc Note, 0.19%
    7,999,198       1.05 %
  23,901,000  
4/15/2011
 
 Societe Gen No Amer Disc Note, 0.19%
    23,898,351       3.12 %
  22,400,000  
4/6/2011
 
 Spectra Energy Captl Disc Note, 0.33%
    22,398,152       2.93 %
  12,700,000  
4/8/2011
 
 Spectra Energy Captl Disc Note, 0.33%
    12,698,719       1.66 %
 
Total Corporate Notes and Repurchase Agreements (cost - $349,052,533)
    349,052,533       45.63 %
                           
                           
Total investment securities - United States (cost - $753,997,506)
  $ 753,520,999       98.50 %
 
 
 
 
See accompanying notes
 
 
 
3

 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
MARCH 31, 2011
 

 
 
 
Range of Expiration Dates
Number of Contracts
 
Value
   
% of Partners Capital
 
                   
LONG FUTURES CONTRACTS:
                 
Agriculture
Apr 11 - Aug 11
  1,347     $ 456,187       0.06 %
Currencies
Jun-11
  3,078       3,646,503       0.48 %
Energy
Apr 11 - Sep 11
  907       1,942,759       0.25 %
Interest Rates
May 11 - Dec 12
  2,410       (259,528 )     (0.03 )%
Metals
May 11 - Mar 12
  1,062       916,689       0.12 %
Stock Indices
Apr 11 - Jun 11
  2,588       5,093,128       0.67 %
Treasury Rates
Jun-11
  102       (75,422 )     (0.01 )%
                         
Total long futures contracts
    11,494       11,720,316       1.54 %
                         
SHORT FUTURES CONTRACTS:
                       
Agriculture
Apr 11 - Jul 11
  371       603,597       0.08 %
Energy
Apr 11 - Jun 11
  247       (354,683 )     (0.05 )%
Interest Rates
Jun 11 - Jun 13
  3,224       1,578,402       0.21 %
Metals
May 11 - Mar 12
  209       (158,933 )     (0.02 )%
Stock Indices
Jun-11
  38       3,946       0.00 %
Treasury Rates
Apr 11 - Jun 11
  779       (45,146 )     (0.01 )%
                         
Total short futures contracts
    4,868       1,627,183       0.21 %
                         
Total futures contracts
    16,362     $ 13,347,499       1.75 %
                         
LONG OPTIONS CONTRACTS:
                       
Future options (cost of $45,090)
Apr 11 - June 11
  59     $ 7,909       0.00 %
                         
SHORT OPTIONS CONTRACTS:
                       
Future options (proceeds of $92,065)
Apr 11 - June 11
  60     $ 19,644       0.00 %
                         
LONG FORWARD CONTRACTS:
                       
Currencies
Apr 11 -Jun 11
$ 1,334,147,564
(1)
  $ 345,302       0.05 %
                         
SHORT FORWARD CONTRACTS:
                       
Currencies
Apr 11 -Jun 11
$ 212,881,218
(1)
    (352,562 )     (0.05 )%
                         
Total forward currency  contracts
          $ (7,260 )     0.00 %
                         
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
 
 
 
 
See accompanying notes
 
 
 
 
 
4

 
 
 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010
 

INVESTMENT SECURITIES
 
                 
Face Value
 
Maturity Date
 
 Decription
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States
               
                     
U.S. Government Agency Bonds and Notes
               
$ 1,500,000  
 4/26/2012
 
Federal Farm Credit Bank, 0.375%
  $ 1,499,187       0.21 %
  10,000,000  
 11/9/2012
 
Federal Farm Credit Bank, 0.50%
    9,955,220       1.40 %
  7,750,000  
10/12/2012
 
Federal Farm Credit Bank, 0.55%
    7,740,468       1.09 %
  5,000,000  
 10/4/2012
 
Federal Farm Credit Bank, 0.60%
    4,998,485       0.70 %
  17,470,000  
6/8/2012
 
Federal Farm Credit Bank, 0.64%
    17,470,454       2.46 %
  10,000,000  
 9/17/2012
 
Federal Farm Credit Bank, 0.70%
    10,006,880       1.41 %
  9,000,000  
8/2/2012
 
Federal Farm Credit Bank, 0.73%
    9,021,519       1.27 %
  13,350,000  
 6/14/2012
 
Federal Farm Credit Bank, 1.11%
    13,396,124       1.88 %
  5,000,000  
 7/15/2011
 
Federal Home Loan Bank Disc Note, 0.25%
    4,995,175       0.70 %
  5,500,000  
12/30/2011
 
Federal Home Loan Bank, 0.50%
    5,500,000       0.77 %
  10,000,000  
 8/23/2012
 
Federal Home Loan Bank, 0.50%
    9,988,570       1.40 %
  10,000,000  
10/25/2012
 
Federal Home Loan Bank, 0.55%
    9,967,840       1.40 %
  11,360,000  
10/18/2012
 
Federal Home Loan Bank, 0.625%
    11,338,393       1.59 %
  5,000,000  
11/15/2012
 
Federal Home Loan Bank, 0.625%
    4,979,420       0.70 %
  6,600,000  
12/10/2012
 
Federal Home Loan Bank, 0.70%
    6,601,749       0.93 %
  2,000,000  
12/14/2012
 
Federal Home Loan Bank, 0.75%
    1,995,506       0.28 %
  11,165,000  
 7/18/2011
 
Federal Home Loan Bank, 1.125%
    11,209,225       1.58 %
  1,035,000  
8/5/2011
 
Federal Home Loan Bank, 1.375%
    1,041,259       0.15 %
  15,150,000  
7/8/2011
 
Federal Home Loan Mortg Corp Disc Note, 0.27%
    15,135,911       2.13 %
  10,000,000  
 6/21/2011
 
Federal Home Loan Mortg Corp Disc Note, 0.27%
    9,992,490       1.41 %
  11,340,000  
 8/29/2011
 
Federal Home Loan Mortgage Corp, 0.31%
    11,325,009       1.59 %
  2,500,000  
 6/22/2012
 
Federal Home Loan Mortgage Corporation, 0.625%
    2,498,765       0.35 %
  7,000,000  
12/21/2012
 
Federal Home Loan Mortgage Corporation, 0.80%
    6,983,172       0.98 %
  10,000,000  
 7/26/2012
 
Federal Home Loan Mortgage Corporation, 1.00%
    10,003,140       1.41 %
  10,000,000  
 3/31/2011
 
Federal National Mortg Assoc Disc Note, 0.22%
    9,997,580       1.41 %
  6,530,000  
8/1/2011
 
Federal National Mortg Assoc Disc Note, 0.31%
    6,522,379       0.92 %
  20,000,000  
7/8/2011
 
Federal National Mortg Assoc Disc Note, 0.41%
    19,981,400       2.81 %
  10,000,000  
 7/14/2011
 
Federal National Mortg Assoc Disc Note, 0.42%
    9,990,400       1.40 %
  9,824,000  
 8/15/2011
 
Federal National Mortgage Association, 0.29%
    9,796,063       1.38 %
  14,775,000  
 11/1/2012
 
Federal National Mortgage Association, 0.55%
    14,727,336       2.07 %
  12,000,000  
 11/9/2012
 
Federal National Mortgage Association, 0.625%
    11,967,144       1.68 %
  6,125,000  
 12/6/2012
 
Federal National Mortgage Association, 0.75%
    6,111,078       0.86 %
  17,000,000  
 9/17/2012
 
Federal National Mortgage Association, 0.75%
    17,010,880       2.39 %
  5,500,000  
12/13/2012
 
Federal National Mortgage Association, 0.80%
    5,481,361       0.77 %
  14,000,000  
 7/12/2012
 
Federal National Mortgage Association, 1.05%
    14,001,582       1.97 %
                           
Total U.S. Government Agency Bonds and Notes (cost - $323,151,066)
    323,231,164       45.45 %
                           
 
 
 
 
See accompanying notes
 
 
 
 
 
 
5

 
 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2010
 

 
INVESTMENT SECURITIES (continued)
                 
Face Value
 
Maturity Date
 
 Decription
 
Value
   
% of Partners Capital
 
                     
Fixed Income Investments - United States (continued)
           
                     
Corporate Notes and Repurchase Agreements
 
               
$ 16,765,000  
 1/3/2011
 
Atmos Energy Corp Disc Note, 0.28%
  $ 16,764,348       2.36 %
  4,865,000  
 1/3/2011
 
Autozone Inc Disc Note, 0.32%
    4,864,741       0.68 %
  15,000,000  
 1/5/2011
 
Autozone Inc Disc Note, 0.32%
    14,998,933       2.11 %
  7,108,000  
 1/7/2011
 
Autozone Inc Disc Note, 0.30%
    7,107,585       1.00 %
  32,373,000  
 1/5/2011
 
Avery Dennison Corp Disc Note, 0.30%
    32,371,112       4.55 %
  10,914,000  
 1/3/2011
 
Bank of America Repo, 0.07%
    10,914,000       1.53 %
  27,150,000  
 1/4/2011
 
Barclays US Funding Corp Disc Note, 0.23%
    27,145,143       3.82 %
  32,375,000  
1/12/2011
 
Credit Agricole N A Disc Note, 0.28%
    32,371,538       4.55 %
  32,370,000  
 1/5/2011
 
Dexia Delaware LLC Disc Note, 0.34%
    32,367,860       4.55 %
  340,000  
1/26/2011
 
Metlife Short Term Funding Disc Note, 0.24%
    339,934       0.05 %
  25,000,000  
 1/4/2011
 
Nissan Mtr Accp CP Disc Note, 0.38%
    24,996,660       3.51 %
  150,000  
 1/7/2011
 
Nissan Mtr Accp CP Disc Note, 0.38%
    149,975       0.02 %
  6,430,000  
 1/3/2011
 
Pacificorp Disc Note, 0.30%
    6,429,839       0.90 %
  18,600,000  
1/12/2011
 
Philip Morris Intl Inc Disc Note, 0.21%
    18,597,071       2.61 %
  32,375,000  
 1/5/2011
 
Prudential Funding Corp Disc Note, 0.30%
    32,373,112       4.55 %
  14,000,000  
 1/5/2011
 
Reed Elsevier Inc Disc Note, 0.32%
    13,999,129       1.97 %
  18,750,000  
1/12/2011
 
Societe Generale North America Inc Disc, 0.27%
    18,748,068       2.64 %
  4,056,000  
 1/3/2011
 
Societe Generale North America Inc Disc, 0.10%
    4,055,966       0.57 %
  18,885,000  
 1/5/2011
 
Spectra Energy Captl Disc Note, 0.36%
    18,883,642       2.66 %
  27,500,000  
 1/3/2011
 
Volkswagen of America Disc Note, 0.35%
    27,498,128       3.87 %
                           
Total Corporate Notes and Repurchase Agreements (cost - $344,976,784)
    344,976,784       48.50 %
                           
                           
Total investment securities - United States (cost - $668,127,850)
  $ 668,207,948       93.95 %
 
 
 
 
 
 
See accompanying notes
 
 
 
 
6

 
 
WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2010
 

 
 
 
Range of
Expiration Dates
 
Number of
 Contracts
   
Value
   
% of Partners Capital
 
                           
LONG FUTURES CONTRACTS:
                         
Agriculture
Jan 11 - May 11
    2,201           $ 7,417,490       1.04 %
Currencies
Mar-11
    2,595             7,864,918       1.11 %
Energy
Jan 11 - Apr 11
    750             2,099,592       0.30 %
Interest Rates
Jan 11 - Sept 12
    2,052             202,835       0.03 %
Metals
Jan 11 - Nov 11
    1,097             9,067,155       1.27 %
Stock Indices
Jan 11 - Mar 11
    3,192             1,755,026       0.25 %
Treasury Rates
Mar-11
    6             938       0.00 %
                                 
Total long futures contracts
      11,893             28,407,954       4.00 %
                                 
SHORT FUTURES CONTRACTS:
                               
Currencies
Jan 11 - Mar 11
    652             (895,501 )     (0.13 )%
Energy
Jan 11 - Mar 11
    195             (461,075 )     (0.06 )%
Interest Rates
Mar 11 - Mar 13
    1,203             (912,147 )     (0.13 )%
Metals
Jan 11 - Nov 11
    281             (2,883,257 )     (0.41 )%
Stock Indices
Jan 11 - Mar 11
    119             47,938       0.01 %
Treasury Rates
Mar-11
    734             (352,875 )     (0.05 )%
                                 
Total short futures contracts
      3,184             (5,456,917 )     (0.77 )%
                                 
Total futures contracts
      15,077           $ 22,951,037       3.23 %
                                 
LONG OPTIONS CONTRACTS:
                               
Stock Indices (cost of $37,075)
Jan 11 - Mar 11
    61           $ 26,870       0.00 %
                                 
SHORT OPTIONS CONTRACTS:
                               
Stock Indices (proceeds of $68,475)
Jan 11 - Mar 11
    61           $ 52,595       0.01 %
                                 
LONG FORWARD CONTRACTS:
                               
Currencies
Jan 11 - Mar 11
  $ 8,953,081 (1)           $ (122,541 )     (0.02 )%
                                   
SHORT FORWARD CONTRACTS:
                                 
Currencies
Jan 11 - Mar 11
  $ 26,337,522 (1)             429,402       0.06 %
                                   
Total forward currency  contracts
                    $ 306,861       0.04 %
                                   
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
 
 
 
 
 
See accompanying notes
 
 
 
 
 
7

 
 
 
WINTON FUTURES FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010 (Unaudited)
 

 
   
2011
   
2010
 
TRADING GAINS (LOSSES)
           
    Gain (loss) on trading of
           
    derivatives contracts
           
Realized
  $ 28,278,478     $ 6,564,944  
Change in unrealized
    (9,888,094 )     19,388,118  
Brokerage commissions
    (2,818,949 )     (1,978,355 )
                 
                Gain (loss) from trading futures
    15,571,435       23,974,707  
                 
    Gain (loss) on trading of securities
               
Realized
    366,480       7,686  
Change in unrealized
    (556,605 )     (143,202 )
                 
                Gain (loss) from trading securities
    (190,125 )     (135,516 )
                 
    Foreign currency translation gains (losses)
    947,408       (308,000 )
                 
                Total trading gains (losses)
    16,328,718       23,531,191  
                 
NET INVESTMENT INCOME (LOSS)
               
    Income
               
        Interest income
    536,574       909,334  
                 
    Expenses
               
Management fee
    3,663,474       2,462,511  
Administrative fee
    383,138       239,852  
Service fees
    1,789,342       1,279,328  
Incentive fee
    3,303,563       1,809,175  
Professional fees
    542,057       347,948  
                 
                Total expenses
    9,681,574       6,138,814  
                 
                 
                Net investment (loss)
    (9,145,000 )     (5,229,480 )
                 
                 
                NET INCOME (LOSS)
  $ 7,183,718     $ 18,301,711  
                 
 
 
See accompanying notes
 
 
 
 
8

 
 
 
 
 
WINTON FUTURES FUND, L.P,
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
 THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010 (Unaudited)
 

 
            Limited Partners        
                                                 
   
Total
   
Original
Class A
   
Original
Class B
   
Special Interests
   
Class A
   
Class B
   
Institutional Interests
   
General
Partner
 
                                                 
Balances at December 31, 2010
  $ 711,205,931     $ 75,747,158     $ 14,507,884     $ 26,383,495     $ 262,403,465     $ 176,520,052     $ 155,640,330     $ 3,547  
                                                                 
Transfers
    0       0       0       0       (610,338 )     (936,722 )     1,547,060       0  
                                                                 
Capital additions
    61,345,731       0       0       0       27,751,475       14,711,856       18,882,400       0  
                                                                 
Capital withdrawals
    (14,704,458 )     (1,357,630 )     (220,588 )     0       (6,706,419 )     (5,856,993 )     (562,828 )     0  
                                                                 
Net income for the three months
                                                               
ended March 31, 2011
    7,183,718       785,915       188,167       359,559       1,612,404       2,028,097       2,209,538       38  
                                                                 
Offering costs
    (49,002 )     (4,815 )     (927 )     (1,713 )     (18,220 )     (11,944 )     (11,383 )     0  
                                                                 
Balances at March 31, 2011
  $ 764,981,920     $ 75,170,628     $ 14,474,536     $ 26,741,341     $ 284,432,367     $ 186,454,346     $ 177,705,117     $ 3,585  
                                                                 
Balances at December 31, 2009
  $ 515,465,776     $ 79,122,685     $ 14,735,567     $ 30,427,555     $ 168,196,118     $ 105,226,729     $ 117,753,924     $ 3,198  
                                                                 
Transfers
    0       (49,841 )     49,841       0       (592,265 )     240,101       352,164       0  
                                                                 
Capital additions
    37,239,671       0       0       0       22,843,738       11,007,933       3,388,000       0  
                                                                 
Capital withdrawals
    (18,547,907 )     (3,161,778 )     (244,341 )     0       (6,130,241 )     (2,050,278 )     (6,961,269 )     0  
                                                                 
Net income for the three months
                                                               
ended March 31, 2010
    18,301,711       2,797,213       586,972       1,179,471       5,441,898       4,038,899       4,257,138       120  
                                                                 
Offering costs
    (7,715 )     (1,155 )     (216 )     (444 )     (2,567 )     (1,607 )     (1,726 )     0  
                                                                 
Balances at March 31, 2010
  $ 552,451,536     $ 78,707,124     $ 15,127,823     $ 31,606,582     $ 189,756,681     $ 118,461,777     $ 118,788,231     $ 3,318  
                                                                 
 
 
See accompanying notes
 
 
 
 
9

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



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 Second Amended Agreement of Limited Partnership (“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.

Cash and Cash Equivalents

Cash and cash equivalents includes cash and other highly liquid investments with financial institutions with original maturity dates of 90 days or less.
 
 
 
10

 
 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Basis of Accounting

Security transactions are recorded on the trade date.  Realized gains and losses from security transactions are determined using the identified cost method.  Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.  Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on the accrual basis.

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

Fair Value

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

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

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

 
 
11

 




ALTEGRIS WINTON FUTURES FUND, L.P.
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 securities. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.

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

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

The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether it 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

 

 

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

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. These valuation methods represent both a market and income approach to fair value measurement. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy.

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

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of March 31, 2011 and December 31, 2010:
 
 
 
13

 
 

 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Fair Value (continued)
 
 
March 31, 2011
 
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
   
Significant
Other Observable
Inputs
(Level 2)
   
Significant
Unobservable
Inputs
(Level 3)
   
Balance as of
March 31, 2011
 
                         
Assets
                       
  Futures contracts(1)
  $ 13,347,499     $ -     $ -     $ 13,347,499  
      Options contracts     7,909       -               7,909  
  U.S. Government agency obligations
    404,468,466       -       -       404,468,468  
  Corporate notes and repurchase agreements
    -       349,052,533       -       349,052,533  
                                 
  
  $ 417,823,874     $ 349,052,533     $ -     $ 766,876,407  
                                 
                                 
Liabilities                                
      Forward currency contracts    $ -      $ 7,260      $       7,260  
      Options contracts     19,644       -             19644  
                                 
                               
     $ 19,644      $ 7,260      $        $ 26,904  
                                 
 
December  31, 2010
 
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
   
Significant
Other Observable
Inputs
(Level 2)
   
Significant
Unobservable
Inputs
(Level 3)
   
Balance as of
December 31, 2010
 
                         
Assets
                       
  Futures contracts(1)
  $ 22,951,037     $ -     $ -     $ 22,951,037  
      Options contracts     26,870       -               26,870  
  Forward currency contracts
    -       306,861       -              306,861  
      U.S. Government agency obligations     323,231,164        -                323,231,164  
  Corporate notes and repurchase agreements
            344,976,784       -       34,976,7843  
                                 
  
  $ 346,209,071     $ 345,283,645     $ -     $ 691,492,716  
                                 
                                 
Liabilities                                
      Forward currency contracts    $ 52,595      $  -      $       52,595  
                                 
 
 
 
 
(1) See Note 1.  "Financial Derivative Instruments" for the fair value in each type of contracts within this category.
 
 
 
 

 
 
14

 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Foreign Currency Transactions

The Partnership’s functional currency is the United States (“U.S.”) dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period.  Gains and losses resulting from the translation to U.S. dollars are reported in income currently.
 
Capital Accounts and Allocation of Income and Losses
 
The Partnership accounts for subscriptions, allocations and redemptions on a per partner capital account basis.

The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests.  Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are only issued to Limited Partners on a limited basis.   Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008.  Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue pursuant to the terms of the Agreement.  Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.
 
Income Taxes
 
The Partnership is not subject to federal income taxes; each partner reports his allocable share of income, gain, loss, deductions or credits on their own income tax return.
 
The Partnership classifies interest and penalties, if any, as interest expense.  The Partnership files U.S. federal and state tax returns.  The 2007 through 2010 tax years generally remain subject to examination by U.S. federal and most state tax authorities.
 
 
 
15

 
 

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


NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Income Taxes (continued)
 
The Partnership applies the provisions of Codification Topics 740, Income Taxes; and 835, Interest, which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements.  This accounting standard requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority.  Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as an expense in the current year.  The General Partner has concluded there is no tax expense or interest expense related to uncertainties in income tax positions for the periods ended March 31, 2011 and December 31, 2010.
 
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 March 31, 2011 and December 31, 2010.  The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position.  Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the statement of financial condition.
 
 
 
16

 
 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Financial Derivative Instruments (continued)
 
    March 31, 2011  
       
   
Asset Derivatives
Fair Value
   
Liability
Derivatives
Fair Value
   
Net
Fair Value
 
Futures Contracts    $ 17,149,413      $ (3,801,914    $ 13,347,499  
                         
Options on  Futures Contracts      7,909       (19,644     (11,735
                         
 Forward Currency Contracts     428,105        (435,365      (7,260
                         
Total Gross Fair Value of Derivatives   $ 17,585,427     $ (4,256,923   $ 13,328,504  
 
The following presents the fair vlaue of derivative contracts at December 31, 2010
 
    December 31, 2010  
       
   
Asset Derivatives
Fair Value
   
Liability
Derivatives
Fair Value
   
Net
Fair Value
 
Futures Contracts    $ 29,721,256      $ (6,770,219    $ 22,951,037  
                         
Options on  Futures Contracts      26,870       (52,595     (25,725
                         
 Forward Currency Contracts     521,425        (214,564      306,861  
                         
Total Gross Fair Value of Derivatives   $ 30,269,551     $ (7,037,378   $ 23,232,173  
 
 
The following presents the trading results of the Partnership's derivative trading and information related to the volume of the Partnership's derivative activity for the three months ended March 31, 2011 and 2010.

 
 
17

 
 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Financial Derivative Instruments (continued)
 
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statement of operations.
 
    Three Months Ended March 31, 2011  
       
   
Realized
   
Change in
Unrealized
   
Number of Contracts Closed
 
Futures Contracts    $ 28,055,515      $ (9,603,538     40,651  
                         
Options on  Futures Contracts      60,880       29,565       284  
                         
 Forward Currency Contracts     162,083        (314,121 )     3,724,789,815  (1)
                         
Total Gross Fair Value of Derivatives   $ 28,278,478     $ (9,888,094        
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
 
    Three Months Ended March 31, 2010  
       
   
Realized
   
Change in Unrealized
   
Number of Contracts Closed
 
Futures Contracts    $ 6,539,606      $ 19,326,729       36,944  
                         
Options on  Futures Contracts      59,581       (7,173     284  
                         
 Forward Currency Contracts     (34,243 )      68,562       16,121,727  (1)
                         
Total Gross Fair Value of Derivatives   $ 6,564,944     $ 19,388,118          
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold.
 
 
 
 
 
 
18

 

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

NOTE 1 -
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
Financial Derivative Instruments (continued)
 
The number of contracts closed for futures contracts and options on futures contracts represents the number of contracts closed during the three months ended March 31, 2011 and 2010 in the applicable category.
 
NOTE 2 -
AGREEMENTS AND RELATED PARTIES
 
Advisory Contract
 
The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Limited ("Advisor").  The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined).  However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined).

Effective July 1, 2008, the Advisor receives from the Partnership a monthly management fee equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional Interests of the Partnership's management fee net asset value (as defined).  In addition, the General Partner has assigned a portion of its management fees earned to the Advisor.  Total management fees earned by the Advisor for the three months ended March 31, 2011 and 2010 were $1,690,007 and $1,126,219, 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.
 
 
 
19

 
 

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

 
NOTE 2 -
AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
General Partner Management Fee (continued)
 
Total management fees earned by the General Partner, net of such management fees assigned to the Advisor, for the three months ended March 31, 2011 and 2010 were $1,973,467 and $1,336,292, respectively.  Management fees payable to the General Partner as of March 31, 2011 and December 31, 2010 were $677,633 and $606,442, respectively.
 
Administrative Fee
 
Effective July 1, 2008, the General Partner receives from the Partnership a monthly administrative fee equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value (as defined) attributable to Class A and Class B Interests.
 
Service Fees
 
Original Class A Interests and Class A Interests pay selling agents an ongoing payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month end as compensation for their continuing services to the Limited Partners.  Effective March 1, 2009 selling agents may, at their option, elect to receive the service fee for the sale of Institutional Interests.

If the selling agent so elects, the Partnership will charge an ongoing payment of 0.0417% (0.50% annually) of the value of interests sold by them which are outstanding at month end as compensation for their continuing services to the Limited Partners.
 
Related Party
 
Altegris Investments, Inc. (“Altegris”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities and Exchange Commission. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris served as the Partnership’s introducing broker.  Altegris has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. For the three months ended March 31, 2011, commissions received by Altegris Futures and continuing compensation received by Altegris amounted to $2,984,696 and for the three months ended March 31, 2010, commissions and continuing compensation received by Altegris amounted to $1,968,110.
 
 
 
20

 
 

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

 
 
NOTE 2 -
AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
Related Party (continued)
 
The Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a monthly flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value (as defined).  Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
 
Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner.  A Limited Partner may request and receive redemption of capital, subject to restrictions in the Agreement.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.
 
NOTE 3 -
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward currency contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers.  Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement.  Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).

The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions since, in over the counter transactions, the Partnership must rely solely on the credit of their respective individual counterparties.  For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance.  The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.
 
 
 
21

 

 
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
 
 
NOTE 3 -
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)
 
The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation.  In addition, the Partnership bears the risk of financial failure by the Clearing Broker.

The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures.  In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.
 
The Partnership has cash deposited with Wilmington Trust Company (“Custodian”).  For cash not held with the Clearing Broker, the Partnership expanded its agreement with the Custodian in August 2008 to include provision of cash management services by an affiliate of the Custodian, Wilmington Trust Investment Management (“WTIM”).  The Partnership has a substantial portion of its assets on deposits with WTIM in U.S. Government agency bonds and notes and corporate notes and repurchase agreements.  Risks arise from investments in bonds, notes and repurchase agreements due to possible illiquidity and the potential for default by the issuer or counterparty.  Such instruments are also particularly sensitive to changes in interest rates and economic conditions.
 
NOTE 4 -
INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred.  The Partnership expects the risk of any future obligation under these indemnifications to be remote.
 
NOTE 5 -
SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were issued.  There are no subsequent events to disclose.
 
 
 
22

 
 

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
 
NOTE 6 -
FINANCIAL HIGHLIGHTS
 
The following information presents the financial highlights of the Partnership for the three months ended March 31, 2011 and 2010.  This information has been derived from information presented in the financial statements.
 
             
   
March 31, 2011
       
   
Original
   
Original
   
Special
               
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                     
Total return for Limited Partners (4)
    1.04 %     1.29 %     1.36 %     0.58 %     1.08 %     1.29 %
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.08 %     2.06 %     1.81 %     4.90 %     2.89 %     2.08 %
  Incentive fees (4)
    0.44 %     0.44 %     0.44 %     0.44 %     0.44 %     0.44 %
                                                 
    Total expenses
    3.52 %     2.50 %     2.25 %     5.34 %     3.33 %     2.52 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.79 )%     (1.78 )%     (1.53 )%     (4.62 )%     (2.61 )%     (1.79 )%
                                                 
             
   
March 31, 2010
       
   
Original
   
Original
   
Special
                   
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners (4)
    3.75 %     4.01 %     3.87 %     2.78 %     3.40 %     3.72 %
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.03 %     1.98 %     1.79 %     4.86 %     2.84 %     2.01 %
  Incentive fees (4)
    0.01 %     0.00 %     0.20 %     0.52 %     0.42 %     0.29 %
                                                 
    Total expenses
    3.04 %     1.98 %     1.99 %     5.38 %     3.26 %     2.30 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.34 )%     (1.29 )%     (1.10 )%     (4.17 )%     (2.15 )%     (1.32 )%
                                                 
 
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.
 
 
 
23

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

Liquidity
 
The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed.  Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so.  Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading.  A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities.  Through March 31, 2011 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 seeks 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.
 
 
 
24

 
 
 
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.

Contractual Obligations
 
The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources.  The Partnership’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell).  All such contracts are settled by offset, not delivery.  Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities.  The Partnership’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2011.
 
Three Months Ended March 31, 2011
 
During the first quarter of 2011, the Partnership achieved net realized and unrealized gains of $15,571,435 from its trading activities, net of brokerage commissions of $2,818,949.  The Partnership accrued total expenses of $9,681,574, including $3,663,474 in management fees paid to the General Partner, and $2,331,399  in service and professional fees.  The Partnership earned $536,574 in interest income during the first quarter of 2011.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2011 is set forth below.

The Partnership experienced a loss in January 2011.  The broader equity markets continued to rally on the release of positive GDP numbers in the US. Gold prices fell during the month and Brent Crude oil rallied as social unrest in Tunisia and Egypt continued.  Gains in the Partnership were focused in futures contracts on stock indices and agricultural commodities, futures contracts on precious metals and currencies were the worst performing sectors during the month. The Partnership achieved a gain in February 2011.  The upward trend in the U.S. equities markets that started in October 2010 was reversed in the last days of the month. Rising tensions in the Middle East pushed up the price of crude oil. The top performing sectors for the Partnership were futures contracts on energies and precious metals as Silver hit twenty-year highs. Losses in the portfolio were focused in futures contracts on bonds.  The Partnership experienced a loss in March 2011.  Events in the markets were dominated during the month by the natural disaster in Japan. Futures contracts on energies were the top performing sector for the Partnership as oil prices continued to rise on news of political instability in the Middle East.  The Partnership also posted gains in currencies and precious metals.  Losses during the month were concentrated in futures contracts on stock indices and base metals as the Partnership ended the month down.

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

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

 
 
25

 
 
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.

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

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

Not required.
  
Item 4: Controls and Procedures.

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

Item 1:  Legal Proceedings.
 
None.

Item 1A:  Risk Factors.
 
Trading Decisions Based on Technical Analysis.  The Advisor uses trading programs that use “technical” factors in identifying price moves.  The success of technical analysis depends upon the occurrence in the future of price movements.  Technical systems will not be profitable and may in fact produce losses if there are no market moves of the kind the system seeks to follow.  Any factor that would make it more difficult to execute the trades identified, such as a reduction of liquidity, also would reduce profitability.  There is no assurance that the Advisor’s trading systems will generate profits under all or any market conditions.

Possible Effects of Other Similar Systems.  Commodity trading systems which use signals like the Advisor’s are not new.  If many traders follow similar systems, these systems may generate similar buy and sell orders at the same time.  Depending on the liquidity of a market, this could cause difficulty in executing orders.  The Advisor believes that although there has been an increase in the number of trading systems in recent years, there also has been an increase in the overall trading volume and liquidity in the futures markets.

Reliance on Key Personnel. The Advisor has exclusive responsibility for trading for the Partnership.  The Advisor depends on the services of one or two key persons.  If they cannot or will not provide those services, it could adversely affect the Advisor’s ability to trade for the Partnership.  If this occurs, the General Partner may terminate the contract.

Changes in Trading Strategies.  The Advisor can make any changes in its trading strategies if it believes that they will be in the Partnership’s best interests.  A change in commodities traded is not a change in trading strategy.

Possible Effects of Speculative Position Limits and Accountability Levels.  The CFTC and U.S. exchanges have established speculative position limits and accountability levels.  Position limits control the number of net long or net short speculative futures or option (on futures) positions any person may hold or control in futures or option contracts traded on U.S. exchanges.  Position accountability levels are position levels established by an exchange that, if reached by a person, cause such person to be subject to instructions by such exchange to reduce or not
 
 
 
 
 
26

 
increase such position.  Most trading advisors control the commodity trading of other accounts.  All positions and accounts owned or controlled by the Advisor and its principals are combined with the Partnership’s positions established by it for position limit and accountability level purposes. In order to comply with position limits or exchange limitations arising out of having positions subject to accountability levels, it is possible that the Advisor will have to modify its trading instructions, and that positions held by the Partnership will have to be liquidated. That could have a negative effect on the Partnership’s profitability.  In addition, all commodity accounts of the General Partner and its affiliates may also be combined with the Partnership for position limit and accountability level purposes.
 
No Assurance of the Advisor’s Continued Services.  Either the Advisor or the Partnership can terminate the advisory contract on written notice.

Increase in Amount of Funds Managed.  If the Advisor manages more money in the future, including money raised in this offering, such additional funds could affect its performance or trading strategies.  There is no guarantee that the Partnership’s investment results will be similar to the Advisor’s past performance.

Increase in Amount of Funds Managed.  The Advisor’s assets under management have steadily increased and may continue to increase, including money raised in this offering, and such additional funds could affect its performance or trading strategies.  There is no guarantee that the Partnership’s investment results will be similar to the Advisor’s past performance
 
Failure of Clearing Brokers, Counterparties, Banks, Custodians and other Financial Firms.  Commodity brokers must maintain the Partnership’s assets (other than assets used to trade foreign futures or options on foreign markets) in a segregated account.  If Newedge USA goes bankrupt, the Partnership could lose money as it may only be able to recover a pro rata share of the property available for distribution to all of Newedge USA’s customers.  In addition, even if Newedge USA adequately segregates the Partnership’s assets, the Partnership may still be subject to risk of loss of funds on deposit with Newedge USA should another customer of Newedge USA fail to satisfy deficiencies in such other customer’s account.  Similarly, assets in Partnership accounts at NAST, an unregulated entity, are not held in segregation and are subject to the risk of loss should that institution fail.  Other institutions will have custody of the assets of the Partnership, including the Custodian and various other banks or financial institutions whose services are utilized by the Partnership.  Such institutions may encounter financial difficulties that impair the Partnership’s operating capabilities or capital position.  The General Partner will attempt to limit the Partnership’s deposits and transactions to only well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt or otherwise fail.

Forward and Cash Trading. The Partnership may trade in spot and forward contracts on currencies.  For this purpose, the Partnership will contract with or through Newedge Alternative Strategies, Inc. (NAST) to make or take future delivery of a particular currency. NAST or its affiliates may extend the Partnership a credit line to enable it to engage in such trading. The Partnership may also trade options on currencies. Although the currency market is not believed to be necessarily more volatile than the market in other commodities, there is less protection against defaults in the forward trading of currencies because such contracts are not effected on or through an exchange or clearinghouse. Trading in forward currencies and over-the-counter derivatives, including swaps and options, among sophisticated market participants is not generally regulated by any regulatory body. Therefore, with respect to this trading, the Partnership is not afforded the protections provided by trading on regulated exchanges, including segregation of funds. In any principal contract, the Partnership must rely on the creditworthiness of its counterparty.

The trading of over-the-counter instruments, subjects the Partnership to a variety of risks including: 1) counterparty risk; 2) basis risk; 3) interest rate risk; 4) settlement risk; 5) legal risk; and 6) operational risk. Counterparty risk is the risk that the Partnership’s counterparties might default on their obligation to pay or perform generally on their obligations. The over-the-counter markets and some foreign markets are principals’ markets. That means that performance of the contract is the responsibility only of the individual firm or member on the other side of the trade and not any exchange or clearing corporation. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Partnership has concentrated its transactions with a single or small group of counterparties. Basis risk is the risk attributable to the movements in the spread between the derivative contract price and the future price of the underlying instrument. Interest rate risk is the
 
 
 
 
 
 
27

 

 
general risk associated with movements in interest rates. Settlement risk is the risk that a settlement in a transfer system does not take place as expected. Legal risk is the risk that a transaction proves unenforceable in law or because it has been inadequately documented. Operational risk is the risk of unexpected losses arising from deficiencies in a firm’s management information, support and control systems and procedures. Transactions in over-the-counter derivatives may involve other risks as well, as there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the
exposure to risk.
 
Substantial Charges to Partnership. The Partnership pays substantial fees and charges. As a result, the Partnership must make substantial profits for your Interest to increase in value.

Potential Cross Liability. The Partnership offers Class A, Class B and Institutional Interests. The only difference between the Interests is the investment minimum and fees. Capital contributions by a single subscriber for a Class of Interest upon acceptance of the subscriber as a Limited Partner will represent a single Interest in the Partnership for that subscriber’s respective Class of Interest. An Interest in any Class reflects a Partner’s percentage of the Partnership’s net assets with respect to the Class of Interest owned by the Partner. Interests are not issued in certificate form. Although separate Classes of Interests are offered, the proceeds from the sale of Interests will be pooled by the Partnership and traded as a single account. Although the Classes of Interests differ with respect to investment minimum and fees, all Partnership Interests are equally subject (in proportion to the size of their respective Interest) to the Partnership’s debts, liabilities and obligations as set out in the Partnership Agreement – regardless of Class designation. Class designation does not offer protection against the general creditors of the Partnership or any other Class of Interest.

Non-correlated, Not Negatively Correlated, Performance Objective. Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Noncorrelation means that there is no statistically valid relationship between the past performance of futures and forward contracts on the one hand and stocks or bonds on the other hand (as opposed to negative correlation, where the performance would be exactly opposite between two asset classes). Because of this non-correlation, the Partnership cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain in futures and forward trading, there is an equal and offsetting loss. If the Partnership does not perform in a manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in an Interest and the Partnership may have no gains to offset your losses from other investments.

Limited Ability to Liquidate Interest. Interests may not be immediately liquidated.  There is no market for the Interests and none is likely to develop.  Interests may be redeemed without penalty on the last day of any month, subject to certain limitations, including giving at least fifteen (15) days’ written notice. Because of the time delay between notice to the General Partner of a redemption and the end of the month when an investment is redeemed, the value of an investment on the date of redemption may be substantially less than at the time of the redemption request.

Absence of Regulation Applicable to Investment Companies and Related Issues. The Partnership is not registered as a securities investment company or “mutual fund.” Therefore, it is not regulated by the SEC under the Investment Company Act of 1940 (the 1940 Act). Although the Partnership has the right to invest in securities, you are not protected by the 1940 Act. NAST is an eligible swap participant and an eligible contract participant.  NAST is not registered or required to be registered with the CFTC or the SEC, and is not a member of any exchange. In addition, Winton is not registered as an investment adviser under the Investment Advisers Act of 1940. Altegris Funds is, however, registered with the CFTC as a CPO, Winton is registered with the CFTC as a CTA and CPO, Altegris is registered with the CFTC as an IB, and Newedge USA is registered with the CFTC as an FCM. The Advisor has notified the Partnership that because of its experience and understanding relating to investments, it has been categorized as an Intermediate Customer under the Unregulated Collective Investment Schemes of the Rules under the United Kingdom’s (U.K.) Financial Services Authority. As a result, the Partnership is not afforded all of the protections available to retail customers in the U.K.
 
 
 
 
28

 
Item 2:  Unregistered Sales of Equity Securities and Use of Proceeds.
 
(a) The requested information has been previously reported on Form 8-K.
 
(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner.  The Partnership may declare additional redemption dates upon notice to the Limited Partners.  The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners.  The following table summarizes the redemptions by Limited Partners during the first calendar quarter of 2011:
 
Month
 
Amount Redeemed
   
January 31, 2011
   
$
4,284,493.37
   
February 28, 2011
   
$
4,852,488.23
   
March 31, 2011
   
$
5,567,476.26
   

Item 3:  Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4:  (Removed and Reserved).

Item 5:  Other Information.

(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.
  
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 incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53348) filed on April 18, 2011.

Exhibit Number
Description of Document
3.01
Amendment to the Certificate of Formation of Winton Futures Fund, L.P. (US), changing the registrant’s name to Altegris Winton Futures Fund, L.P.
3.02
Second Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.
 
 
 
29

 
 
The following exhibits are included herewith.

Exhibit Number
Description of Document
 
31.01
Rule 13a-14(a)/15d-14(a) Certification
32.01
Section 1350 Certification
 
** Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.
 *** Fimat USA, LLC is now Newedge USA, LLC.
 
 
 
 
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SIGNATURES

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

Dated: May 23, 2011

ALTEGRIS WINTON FUTURES FUND, L.P.

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)
 
 
 
 
 
 
 
 
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