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EXCEL - IDEA: XBRL DOCUMENT - Altegris Winton Futures Fund, L.P.Financial_Report.xls
EX-31.1 - Altegris Winton Futures Fund, L.P.fp0003672_ex31-1.htm
EX-32.1 - Altegris Winton Futures Fund, L.P.fp0003672_ex32-1.htm
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 
FORM 10-Q
 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended September 30, 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
 

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

 
COLORADO
(State or other jurisdiction
of incorporation or organization)
84-1496732
(I.R.S. Employer
Identification No.)
 
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
(Address of principal executive offices)
 
(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 [X]  No [  ]
   
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes [X]  No [  ]
 
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 [  ]  
Accelerated filer [  ]
 
Non-accelerated filer [X]
 
Smaller reporting company [  ]
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [  ]  No [X]
 
 

 

TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
 
     
Item 1.
Financial Statements
1
     
 
Statements of Financial Condition
1
     
 
Condensed Schedules of Investments
2
     
 
Statements of Operations
8
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
9
     
 
Notes to Financial Statements
10
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
27
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
30
     
Item 4.
Controls and Procedures
30
     
PART II – OTHER INFORMATION
 
     
Item 1.
Legal Proceedings
31
     
Item 1A.
Risk Factors
31
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
33
     
Item 3.
Defaults Upon Senior Securities
33
     
Item 4.
REMOVED AND RESERVED
33
     
Item 5.
Other Information
34
     
Item 6.
Exhibits
 34
     
Signatures
35
     
Rule 13a–14(a)/15d–14(a) Certifications
36
     
Section 1350 Certifications
 37

 
 

 

PART I – FINANCIAL INFORMATION

Item 1: Financial Statements.
 
ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2011 (Unaudited) and DECEMBER 31, 2010 (Audited)
_______________

   
2011
   
2010
 
ASSETS
           
    Equity in Newedge USA, LLC account
           
        Cash
  $ 53,148,653     $ 54,374,448  
        Unrealized gain on open commodity futures contracts
    8,539,798       22,951,037  
        Long options (cost $63,620 and $37,075)
    129,750       26,870  
        Unrealized gain (loss) on open forward contracts
    (635,040 )     306,861  
                 
      61,183,161       77,659,216  
                 
    Cash and cash equivalents
    26,136,362       3,295,383  
    Investment securities at value
               
      (cost - $777,523,049 and $668,127,850)
    777,744,162       668,207,948  
    Interest receivable
    547,172       370,248  
                 
Total assets
  $ 865,610,857     $ 749,532,795  
                 
LIABILITIES
               
    Short options (proceeds $119,620 and $68,475)
  $ 244,115     $ 52,595  
    Commissions payable
    1,029,521       803,819  
    Management fee payable
    1,383,278       1,122,521  
    Administrative fee payable
    146,243       117,803  
    Service fees payable
    705,656       577,289  
    Incentive fee payable
    8,254,565       6,826,279  
    Redemptions payable
    7,830,487       6,198,800  
    Subscriptions received in advance
    18,722,147       22,079,436  
    Other liabilities
    631,265       548,322  
                 
                Total liabilities
    38,947,277       38,326,864  
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
    3,685       3,547  
    Limited Partners
    826,659,895       711,202,384  
                 
                Total partners' capital (Net Asset Value)
    826,663,580       711,205,931  
                 
Total liabilities and partners' capital
  $ 865,610,857     $ 749,532,795  

See accompanying notes

 
1

 
 
ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)
_______________
 
INVESTMENT SECURITIES
             
Face Value
 
Maturity Date
 
 Decription
 
Value
 
% of Partners Capital
 
                   
Fixed Income Investments - United States
             
                   
U.S. Government Agency Bonds and Notes
             
$ 7,750,000  
10/12/2012
 
Federal Farm Credit Bank, 0.55%
  $ 7,750,667     0.94 %
  5,000,000  
5/2/2013
 
Federal Farm Credit Bank, 0.75%
    5,025,545     0.61 %
  20,000,000  
4/4/2013
 
Federal Farm Credit Bank, 0.84%
    20,045,000     2.42 %
  15,000,000  
4/15/2013
 
Federal Farm Credit Bank, 0.85%
    15,100,200     1.83 %
  50,000,000  
11/10/2011
 
Federal Home Loan Bank, 0.09%
    49,998,950     6.05 %
  20,000,000  
1/11/2012
 
Federal Home Loan Bank, 0.10%
    19,999,460     2.42 %
  1,000,000  
4/2/2012
 
Federal Home Loan Bank, 0.16%
    999,732     0.12 %
  12,000,000  
4/2/2012
 
Federal Home Loan Bank, 0.17%
    11,997,384     1.45 %
  10,000,000  
9/14/2012
 
Federal Home Loan Bank, 0.20%
    9,991,970     1.21 %
  16,000,000  
7/18/2012
 
Federal Home Loan Bank, 0.25%
    15,996,720     1.94 %
  15,000,000  
11/16/2012
 
Federal Home Loan Bank, 0.50%
    15,005,295     1.82 %
  10,000,000  
5/9/2013
 
Federal Home Loan Bank, 0.75%
    10,004,140     1.21 %
  7,000,000  
5/18/2012
 
Federal Home Loan Bank, 1.13%
    7,037,527     0.85 %
  84,827,000  
10/3/2011
 
Federal Home Loan Bank Disc Note, 0.00%
    84,826,995     10.26 %
  10,000,000  
10/26/2011
 
Federal Home Loan Bank Disc Note, 0.02%
    9,999,870     1.21 %
  8,674,000  
4/29/2013
 
Federal Home Loan Mortgage Corporation, 0.70%
    8,676,524     1.05 %
  5,000,000  
12/12/2011
 
Federal Home Loan Mortgage Corporation Disc Note, 0.10%
    4,999,805     0.60 %
  36,100,000  
2/6/2012
 
Federal Home Loan Mortgage Corporation Disc Note, 0.11%
    36,097,473     4.37 %
  14,300,000  
2/13/2012
 
Federal Home Loan Mortgage Corporation Disc Note, 0.18%
    14,298,942     1.73 %
  8,500,000  
5/29/2012
 
Federal Home Loan Mortgage Corporation Disc Note, 0.20%
    8,497,178     1.03 %
  10,000,000  
7/6/2012
 
Federal Home Loan Mortgage Corporation Disc Note, 0.20%
    9,993,080     1.21 %
  14,775,000  
11/1/2012
 
Federal National Mortgage Association, 0.55%
    14,778,029     1.79 %
  18,550,000  
4/20/2012
 
Federal National Mortgage Association, 1.88%
    18,715,392     2.26 %
  12,000,000  
11/9/2012
 
Federal National Mortgage Association, 0.625%
    12,003,564     1.45 %
  25,000,000  
12/28/2011
 
Federal National Mortg Assoc Disc Note, 0.01%
    24,998,800     3.02 %
Total U.S. Government Agency Bonds and Notes (cost - $436,617,129)
    436,838,242     52.85 %
 
See accompanying notes

 
2

 

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2011 (Unaudited)
_______________

INVESTMENT SECURITIES (continued)
             
Face Value
 
Maturity Date
 
 Decription
 
Value
 
% of Partners Capital
 
                   
Fixed Income Investments - United States (continued)
         
                   
Corporate Notes and Repurchase Agreements
             
$ 11,300,000  
10/6/2011
 
American Honda Finance Disc Note, 0.11%
  $ 11,299,068     1.37 %
  4,000,000  
10/4/2011
 
Argento Variable  Funding Disc Note, 0.26%
    3,999,393     0.48 %
  35,000,000  
10/3/2011
 
Bank Of Nova Scotia Disc Note, 0.01%
    34,999,961     4.22 %
  22,480,000  
10/21/2011
 
BMO Capital Markets, 0.09%
    22,480,000     2.71 %
  5,000,000  
10/3/2011
 
Cancara Asset LLC Disc Note, 0.26%
    4,999,242     0.60 %
  11,160,000  
10/14/2011
 
Danaher Corporation  Disc Note, 0.13%
    11,158,791     1.35 %
  22,620,000  
10/14/2011
 
General Electric Capital Disc Note, 0.09%
    22,618,304     2.74 %
  15,000,000  
10/7/2011
 
Grampian Funding LLC Disc Note, 0.25%
    14,996,979     1.81 %
  12,310,000  
10/14/2011
 
Mizuho Funding LLC Disc Note, 0.20%
    12,308,085     1.49 %
  15,400,000  
10/20/2011
 
Mont Blanc Capital Disc Note, 0.27%
    15,396,535     1.86 %
  16,000,000  
10/27/2011
 
National Australian Bank, 0.11%
    16,000,000     1.94 %
  23,350,000  
10/21/2011
 
Norinchukin Bank, 0.26%
    23,350,000     2.82 %
  9,150,000  
10/6/2011
 
Paccar Financial Disc Note, 0.11%
    9,149,217     1.11 %
  22,400,000  
10/7/2011
 
State Street Bank & Trust, 0.13%
    22,400,000     2.71 %
  26,400,000  
10/6/2011
 
Sumitomo Mutsui Banking, 0.21%
    26,400,000     3.19 %
  12,000,000  
10/11/2011
 
Suncorp Group Ltd Disc Note, 0.28%
    11,998,880     1.45 %
  7,500,000  
10/6/2011
 
Tasman Funding, Inc Disc Note, 0.28%
    7,498,250     0.91 %
  14,980,000  
10/20/2011
 
Thames Asset Global Disc Note, 0.28%
    14,976,621     1.81 %
  13,200,000  
10/6/2011
 
Toronto-Dominion Holdings Disc Note, 0.12%
    13,198,768     1.60 %
  19,330,000  
10/20/2011
 
Toyota Motor Credit Disc Note, 0.10%
    19,328,497     2.34 %
  22,350,000  
10/24/2011
 
Wal-Mart Stores, Inc Disc Note, 0.04%
    22,349,329     2.70 %
Total Corporate Notes and Repurchase Agreements (cost - $340,905,920)
    340,905,920     41.21 %
                         
                         
Total investment securities - United States (cost - $777,523,049)
  $ 777,744,162     94.06 %

See accompanying notes

 
3

 

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2011 (Unaudited)
_______________

 
Range of
Expiration Dates
   Number of
Contracts
     
Value
 
% of Partners Capital
 
                     
LONG FUTURES CONTRACTS:
                   
Agriculture
Nov 11 - Mar 12
    782       $ (4,188,790 )   (0.51 )%
Currencies
Dec-11
    1,107         (3,088,733 )   (0.37 )%
Energy
Oct 11 - Nov 11
    316         (1,952,841 )   (0.24 )%
Interest Rates
Nov 11 - Mar 13
    11,920         3,768,428     0.46 %
Metals
Nov 11 - Mar 12
    441         (4,836,883 )   (0.59 )%
Stock Indices
Nov 11 - Dec 11
    31         (55,320 )   (0.01 )%
Treasury Rates
Dec-11
    2,226         2,550,046     0.31 %
                           
Total long futures contracts
      16,823         (7,804,093 )   (0.95 )%
                           
SHORT FUTURES CONTRACTS:
                         
Agriculture
Oct 11 - Apr 12
    1,243         4,095,304     0.50 %
Currencies
Dec-11
    1,425         2,407,564     0.29 %
Energy
Oct 11 - Jan 12
    833         5,015,954     0.61 %
Interest Rates
Dec-11
    16         19,810     0.00 %
Metals
Nov 11 - Aug 12
    564         5,924,009     0.72 %
Stock Indices
Jul 11 - Sep 11
    1,286         (1,092,192 )   (0.13 )%
Treasury Rates
Oct-11
    39         (26,558 )   0.00 %
                           
Total short futures contracts
      5,406         16,343,891     1.99 %
                           
Total futures contracts
      22,229       $ 8,539,798     1.04 %
                           
LONG OPTIONS CONTRACTS:
                         
Future options (cost of $63,620)
Oct 11 - Dec 11
    51       $ 129,750     0.02 %
                           
SHORT OPTIONS CONTRACTS:
                         
Future options (proceeds of $119,620)
Oct 11 - Dec 11
    51       $ 244,115     0.03 %
                           
LONG FORWARD CONTRACTS:
                         
Currencies
    $ 84,511,086  
(1)
  $ (2,147,100 )   (0.26 )%
                           
SHORT FORWARD CONTRACTS:
                         
Currencies
    $ (85,146,126 )
(1)
    1,512,060     0.18 %
                           
Total forward currency  contracts
              $ (635,040 )   (0.08 )%
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
See accompanying notes
 
 
4

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

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

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

 

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

 
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

 
 
ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF OPERATIONS
FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010 (Unaudited)
_______________
 
   
Three Months Ended
   
Nine Months Ended
 
   
September 30,
   
September 30,
 
   
2011
   
2010
   
2011
   
2010
 
TRADING GAINS (LOSSES)
                       
Gain (loss) on trading of
                       
derivatives contracts
                       
Realized
  $ 50,361,092     $ 4,531,243     $ 82,434,769     $ 41,509,669  
Change in unrealized
    10,641,019       18,243,358       (15,417,180 )     22,946,808  
Brokerage commissions
    (3,056,130 )     (2,343,389 )     (8,875,870 )     (6,503,099 )
                                 
Gain (loss) from trading futures
    57,945,981       20,431,212       58,141,719       57,953,378  
                                 
Gain (loss) on trading of securities
                               
Realized
    99,472       (10,107 )     587,941       8,523  
Change in unrealized
    (99,843 )     (33,787 )     141,015       (13,915 )
                                 
Gain (loss) from trading securities
    (371 )     (43,894 )     728,956       (5,392 )
                                 
Foreign currency translation gains (losses)
    (778,872 )     640,970       (348,026 )     (633,887 )
                                 
Total trading gains (losses)
    57,166,738       21,028,288       58,522,649       57,314,099  
                                 
NET INVESTMENT INCOME (LOSS)
                               
Income
                               
Interest income
    340,020       756,032       1,543,902       2,562,113  
                                 
Expenses
                               
Management fee
    4,005,446       2,988,208       11,588,060       8,194,872  
Administrative fee
    421,922       306,305       1,216,330       818,264  
Service fees
    1,915,659       1,502,832       5,572,043       4,185,383  
Incentive fee
    8,254,565       4,092,312       11,624,517       7,248,268  
Professional fees
    732,215       543,391       1,867,016       1,474,819  
                                 
Total expenses
    15,329,807       9,433,048       31,867,966       21,921,606  
                                 
                                 
Net investment (loss)
    (14,989,787 )     (8,677,016 )     (30,324,064 )     (19,359,493 )
                                 
                                 
NET INCOME (LOSS)
  $ 42,176,951     $ 12,351,272     $ 28,198,585     $ 37,954,606  

See accompanying notes

 
8

 

ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010 (Unaudited)
_______________

                                                 
         
Limited Partners
       
                     
 
               
 
       
         
Original
   
Original
   
Special
   
 
   
 
   
Institutional
   
General
 
   
Total
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
   
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       (27,436 )     27,436       0       (1,457,511 )     (409,651 )     1,867,162       0  
                                                                 
Capital additions
    166,261,712       0       0       0       73,883,447       46,308,584       46,069,681       0  
                                                                 
Capital withdrawals
    (78,880,723 )     (6,101,864 )     (812,621 )     0       (33,329,912 )     (16,254,675 )     (22,381,651 )     0  
                                                                 
Net income (loss) for the nine months ended September 30, 2011
    28,198,585       2,828,596       667,586       1,288,047       6,992,380       8,059,481       8,362,357       138  
                                                                 
Offering costs
    (121,925 )     (10,684 )     (2,122 )     (4,081 )     (45,493 )     (31,591 )     (27,954 )     0  
                                                                 
Balances at September 30, 2011
  $ 826,663,580     $ 72,435,770     $ 14,388,163     $ 27,667,461     $ 308,446,376     $ 214,192,200     $ 189,529,925     $ 3,685  
                                                                 
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 (loss) 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  

See accompanying notes

 
9

 

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
General Description of the Partnership

Altegris Winton Futures Fund, L.P. (f/k/a Winton Futures Fund, L.P. (US)) (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 Agreement of Limited Partnership, as amended and restated from time to time (“Agreement”).  The Partnership filed an amendment to its Certificate of Limited Partnership on April 14, 2011 in order to change its name from Winton Futures Fund, L.P. (US) to Altegris Winton Futures Fund, L.P.  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 Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“GAAP”), which require the use of certain estimates made by the Partnership’s management.  Actual results could differ from those estimates.

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 GAAP.  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 financial statements for the interim period.

Cash and Cash Equivalents

Cash and cash equivalents includes cash and other highly liquid investments with financial institutions containing original maturity dates of 90 days or less.
 
A portion of the cash designated as Equity in Newedge USA, LLC is restricted and held as margin collateral for futures transactions.
 
 
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 piece 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. 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 from 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

 

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

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

The fair value of U.S. government agency bonds and notes 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 agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy.

The fair value of corporate notes is estimated using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as of the notes. 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, notes, 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 notes 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.
 
 
13

 

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

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)
 
The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2011 and December 31, 2010:
 
   
Quoted Prices in Active
Markets for Identical
   
Significant Other
Observable Inputs
   
Significant
Unobservable Inputs
   
Balance as of
 
September 30, 2011
 
Assets (Level 1)
   
(Level 2)
   
(Level 3)
   
June 30, 2011
 
Assets:
                       
Options contracts
  $ 129,750     $ -     $ -     $ 129,750  
Futures contracts (1)
    8,539,798       -       -       8,539,798  
U.S. Government agency bonds and notes
    436,838,242       -       -       436,838,242  
Corporate notes and repurchase agreements
    -       340,905,920       -       340,905,920  
                                 
 
  $ 445,507,790     $ 340,905,920     $ -     $ 786,413,710  
                                 
Liabilities:
                               
Options contracts
  $ 244,115     $ -     $ -     $ 244,115  
Forward currency contracts
    -       635,040       -       635,040  
                                 
    $ 244,115     $ 635,040     $ -     $ 879,155  

   
Quoted Prices in Active
Markets for Identical
   
Significant Other
Observable Inputs
   
Significant Unobservable Inputs
   
Balance as of
 
December 31, 2010
 
Assets (Level 1)
   
(Level 2)
   
(Level 3)
   
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 bonds and notes
    323,231,164       -       -       323,231,164  
Corporate notes and repurchase agreements
    -       344,976,784       -       344,976,784  
                                 
 
  $ 346,209,071     $ 345,283,645     $ -     $ 691,492,716  
                                 
Liabilities:
                               
Options contracts
  $ 52,595     $ -     $ -     $ 52,595  
 
(1)  See Note 1. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.

For the periods ended September 30, 2011 and December 31, 2010, there were no significant transfers between Level 1 and Level 2 assets and liabilities.
 
 
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 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 (collectively referred to as “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) is 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.

No Limited Partner shall be liable for any debts or liabilities of the Fund or any losses thereof in excess of such Limited Partner's capital contributions, except as may be required by law.
 
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 their own income tax return.

The Partnership classifies interest and penalties, if any, as interest expense.  The Partnership files U.S. federal and required 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 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 September 30, 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 September 30, 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)
 
   
September 30, 2011
 
   
Asset
Derivatives
Fair Value
   
Liability
Derivatives
Fair Value
   
Net
Fair Value
 
Futures Contracts
    26,320,499       (17,780,701 )     8,539,798  
                         
Options on Futures Contracts
    129,750       (244,115 )     (114,365 )
                         
Forward  Currency Contracts
    1,549,674       (2,184,714 )     (635,040 )
                         
Total Gross Fair Value of Derivatives
  $ 27,999,923     $ (20,209,530 )   $ 7,790,393  
 
   
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 and nine months ended September 30, 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
September 30, 2011
         
   
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
   
Futures Contracts
  $ 52,040,010     $ 11,631,260       51,226    
                           
Options on Futures Contracts
    90,413       (101,691 )     2,120    
                           
Forward Currency Contracts
    (1,769,331 )     (888,550 )   $ 6,434,842,729 (1 )
  Total gains from derivatives trading
  $ 50,361,092     $ 10,641,019            
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
 
   
Nine Months Ended
September 30, 2011
         
   
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
   
Futures Contracts
  $ 83,174,268     $ (14,411,239 )     106,538    
                           
Options on Futures Contracts
    239,463       (64,040 )     2,873    
                           
Forward Currency Contracts
    (978,962 )     (941,901 )   $ 10,728,999,879 (1 )
  Total gains from derivatives trading
  $ 82,434,769     $ (15,417,180 )          
 
(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)
 
   
Three Months Ended
September 30, 2010
         
   
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
   
Futures Contracts
  $ 4,509,437     $ 17,903,981       64,148    
                           
Options on Futures Contracts
    63,350       79,846       254    
                           
Forward Currency Contracts
    (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
         
   
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
   
Futures Contracts
  $ 41,423,998     $ 22,759,575       150,864    
                           
Options on Futures Contracts
    177,394       (10,700 )     828    
                           
Forward Currency Contracts
    (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
 
The number of contracts closed for futures contracts and options on futures contracts represents the number of contracts closed during the three and nine months ended September 30, 2011 and 2010 in the applicable category.
 
 
19

 

ALTEGRIS WINTON FUTURES FUND, L.P.
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 ("Advisor").  The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement).  However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement).

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 the Agreement).  Total management fees earned by the Advisor for the nine months ended September 30, 2011 and 2010 were $5,358,147 and $3,755,081, respectively.  Such management fees for the three months ended September 30, 2011 and 2010 were $1,855,569 and $1,370,967, 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 in the Agreement).  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 in the Agreement).   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, 2011 and 2010 were $6,229,913 and $4,439,791, respectively.  Such management fees for the three months ended September 30, 2011 and 2010 were $2,149,877 and $1,617,241, respectively.  Management fees payable to the General Partner as of September 30, 2011 and December 31, 2010 were $742,396 and $606,442, respectively.
 
 
20

 

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

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
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 such original Class A and Class A Limited Partners.  A selling agent may, at its option, elect to receive a service fee for the sale of Institutional Interests equal to a monthly payment of 0.0417% (0.50% annually) of the value of such Institutional Interests sold by them which are outstanding at month end as compensation for their continuing services to such Institutional Limited Partners.
 
Related Party
 
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC. 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 Investments served as the Partnership’s introducing broker.  Altegris Investments 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 Investments 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 nine months ended September 30, 2011 commissions and interest income received by Altegris Futures amounted to $8,335,710, and continuing compensation received by Altegris Investments amounted to $966,574.   For the nine months ended September 30, 2010 commissions, interest income, and continuing compensation received by Altegris Investments amounted to $6,497,744.  Such commissions and interest income received by Altegris Futures for the three months ended September 30, 2011 amounted to $2,901,092, and the continuing compensation received by Altegris Investments amounted to $325,424.   The commission, interest income and continuing compensation received by Altegris Investments  for the three months ended September 30, 2010 amounted to $2,502,530.

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.
 
 
21

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

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)
 
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.

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.

 
22

 

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

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

Effective as of June 10, 2011 JPMorgan Chase Bank, N.A. (“Custodian”) replaced Wilmington Trust Company as the Partnership’s custodian.  The Partnership has cash deposited with the Custodian.  For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”).  The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. Government agency bonds and notes and corporate notes.  Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty.  Such instruments are also 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 - NEW ACCOUNTING PRONOUNCEMENT

In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.
 
 
23

 

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 and nine months ended September 30, 2011 and 2010.  This information has been derived from information presented in the financial statements.
 
   
Three months ended September 30, 2011
       
   
Original
   
Original
   
Special
               
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                     
Total return for Limited Partners
                                   
  Return prior to incentive fees (4)
    6.50 %     6.77 %     6.84 %     6.03 %     6.56 %     6.77 %
  Incentive fees (4)
    (1.03 )%     (1.03 )%     (1.03 )%     (1.03 )%     (1.03 )%     (1.02 )%
                                                 
  Total return after incentive fees (4)
    5.47 %     5.74 %     5.81 %     5.00 %     5.53 %     5.75 %
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.14 %     2.11 %     1.86 %     4.98 %     2.97 %     2.13 %
  Incentive fees (4)
    1.03 %     1.02 %     1.02 %     1.01 %     1.02 %     1.01 %
                                                 
    Total expenses
    4.17 %     3.13 %     2.88 %     5.99 %     3.99 %     3.14 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.98 )%     (1.94 )%     (1.69 )%     (4.82 )%     (2.80 )%     (1.96 )%
                                                 
             
   
Nine months ended September 30, 2011
       
   
Original
   
Original
   
Special
                   
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners
                                               
  Return prior to incentive fees (4)
    5.37 %     6.16 %     6.36 %     3.94 %     5.51 %     6.15 %
  Incentive fees (4)
    (1.49 )%     (1.49 )%     (1.49 )%     (1.49 )%     (1.50 )%     (1.50 )%
                                                 
  Total return after incentive fees (4)
    3.88 %     4.67 %     4.87 %     2.45 %     4.01 %     4.65 %
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees (1) (3)
    3.07 %     2.06 %     1.82 %     4.96 %     2.92 %     2.11 %
  Incentive fees (4)
    1.45 %     1.47 %     1.46 %     1.48 %     1.51 %     1.50 %
                                                 
    Total expenses
    4.52 %     3.53 %     3.28 %     6.44 %     4.43 %     3.61 %
                                                 
  Net investment (loss) (1) (2) (3)
    (2.83 )%     (1.81 )%     (1.55 )%     (4.72 )%     (2.64 )%     (1.85 )%

 
24

 

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 6 - FINANCIAL HIGHLIGHTS (CONTINUED)
 
   
Three months ended September 30, 2010
       
   
Original
   
Original
   
Special
               
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                     
Total return for Limited Partners
                                   
  Return prior to incentive fees (4)
    2.58 %     2.85 %     2.90 %     2.12 %     2.63 %     2.84 %
  Incentive fees (4)
    (0.61 )%     (0.63 )%     (0.66 )%     (0.65 )%     (0.66 )%     (0.65 )%
                                                 
  Total return after incentive fees (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
                   
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners
                                               
  Return prior to incentive fees (4)
    8.09 %     8.93 %     9.09 %     6.63 %     8.25 %     8.90 %
  Incentive fees (4)
    (0.68 )%     (0.68 )%     (1.19 )%     (1.51 )%     (1.40 )%     (1.23 )%
                                                 
  Total return after incentive fees (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 )%
 
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.

Total return is calculated on a monthly compounded basis.
 

(1)
Includes offering costs, if any.
(2)
Excludes incentive fee.
(3)
Annualized.
(4)
Not annualized.
 
 
25

 
 
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - SUBSEQUENT EVENTS

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

 
26

 
 
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 September 30, 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. (“NAST”) (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades. 

Results of Operations
 
Performance Summary
 
The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades.  The Partnership intends to produce long-term capital appreciation through growth, and not current income.  The past performance of the Partnership is not necessarily indicative of future results.
 
 
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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, 2011

During the third quarter of 2011, the Partnership incurred net realized and unrealized gains of $57,166,738 from its trading activities, net of brokerage commissions of $3,056,130.  The Partnership accrued net expenses of $15,329,807, including $4,005,466 in management fees paid to the General Partner, $8,254,565 in incentive fees, and $2,647,874 in service and professional fees.  The Partnership earned $340,020 in interest income during the third quarter of 2011.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the third quarter of 2011 is set forth below.

Third Quarter 2011.  The Partnership achieved a gain in July 2011 as long positions in the fixed income markets profited from rising government bond markets. Both gold and silver resumed a profitable upward trend providing the second largest contribution to performance. The Partnership achieved a gain in August 2011.  Concerns over sovereign debt and the strength of the economic recovery weighed heavily on investor sentiment during the month.  Global stock markets saw some sharp falls, and gold made yet more new highs before slipping back.  In August, gains were focused in futures contracts on fixed income and precious metals, with losses mainly coming from currencies, stock index futures, energies and base metals.  The Partnership experienced a loss in September 2011 as speculation continued about a Greek sovereign debt default.  Government bond futures produced further gains and short positions in stock index futures and base metals also made gains.  Losses were focused in futures contracts on currencies, precious metals and cash equities.

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.

Nine Months Ended September 30, 2011

During the nine months ended September 30, 2011, the Partnership incurred net realized and unrealized gains of $58,522,649 from its trading activities, net of brokerage commissions of $8,875,870.  The Partnership accrued net expenses of $31,867,966, including $11,588,060 in management fees paid to the General Partner, $11,624,517 in incentive fees, and $7,439,059 in service and professional fees.  The Partnership earned $1,543,902 in interest income during the nine months ended September 30, 2011.  An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the nine months ended September 30, 2011 is set forth below.
 
 
28

 

 
Third Quarter 2011.  The Partnership achieved a gain in July 2011 as long positions in the fixed income markets profited from rising government bond markets. Both gold and silver resumed a profitable upward trend providing the second largest contribution to performance. The Partnership achieved a gain in August 2011.  Concerns over sovereign debt and the strength of the economic recovery weighed heavily on investor sentiment during the month.  Global stock markets saw some sharp falls, and gold made yet more new highs before slipping back.  In August, gains were focused in futures contracts on fixed income and precious metals, with losses mainly coming from currencies, stock index futures, energies and base metals.  The Partnership experienced a loss in September 2011 as speculation continued about a Greek sovereign debt default.  Government bond futures produced further gains and short positions in stock index futures and base metals also made gains.  Losses were focused in futures contracts on currencies, precious metals and cash equities.

Second Quarter 2011.  The Partnership achieved a gain in April 2011 as global stock markets experienced mid-month declines.  Futures contracts on currencies were the top performing sector this month for the Partnership with long positions in the Euro being the main driver.  Bonds were the only losing sector traded by the Partnership, where the net short position was reduced over the course of the month.  Gold once again made record highs while silver rose to its highest level in 31 years.  The Partnership experienced a loss in May 2011 as stock markets fell and the U.S. dollar rallied in a reversal of the previous month.  In the commodity sector, precious metals, base metals and oil also reversed their earlier rise.  The Partnership posted modest gains in the fixed income sector, with losses concentrated in futures contracts on currencies, energies and stock indices. The Partnership experienced a loss in June 2011.  Equity markets fell for a second month, with U.S. and German bonds rising over the same period. Commodity markets generally fell, with the decline in wheat prices a notable example.  The Euro increased volatility, but showed no clear overall direction.  The greatest losses for the Partnership were in futures contracts on stock indices, and the best performing sector during the month was currencies

First Quarter 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.

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 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
 
 
29

 
 
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.
 
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.
 
 
30

 
 
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 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.
 
 
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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 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 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.
 
 
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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. Non-correlation 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 Futures 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.

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 third calendar quarter of 2011:
 
Month
 
Amount Redeemed
   
July 31, 2011
   
$
14,649,128
   
August 31, 2011
   
$
10,710,894
   
September 30, 2011
   
$
7,571,818
   

Item 3:  Defaults Upon Senior Securities.

(a) None.

(b) None.
 
Item 4:  (Removed and Reserved).
 
 
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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
Second Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.
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.
  
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
101.INS
XBRL Instance Document
101.SCH
XBRL Taxonomy Extension Schema
101.CAL
XBRL Taxonomy Extension Calculation Linkbase
101.DEF
XBRL Taxonomy Extension Definition Linkbase
101.LAB
XBRL Taxonomy Extension Label Linkbase
101.PRE
XBRL Taxonomy Extension Presentation Linkbase
 
** 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: November 14, 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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