Altegris Winton Futures Fund, L.P. - FORM 10-K

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EXCEL - IDEA: XBRL DOCUMENT - Altegris Winton Futures Fund, L.P.	Financial_Report.xls
EX-32.1 - Altegris Winton Futures Fund, L.P.	fp0004551_32-1.htm
EX-31.1 - Altegris Winton Futures Fund, L.P.	fp0004551_31-1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

(Mark One)

[X]	ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2011

[ ]	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

_______________________

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) (zip code)

(858) 459-7040

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Limited Partnership Interests

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

Yes [ ] No [X]

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.

Yes [ ] No [X]

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days

Yes [X] No [ ]

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 if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.

[ ]

Indicate by check mark whether the registrant is a large 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 Act).

Yes [ ] No [X]

State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not Applicable.

DOCUMENTS INCORPORATED BY REFERENCE

None.

PART I

ITEM 1: BUSINESS

(a)	General Development of Business

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

Altegris Funds is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”), and is a member of National Futures Association (“NFA”). Winton Capital Management Limited, a United Kingdom Company, acts as the Partnership’s trading advisor (“Advisor”). The Advisor is registered with the CFTC as a Commodity Trading Advisor and is authorized and regulated by the United Kingdom’s Financial Services Authority. Effective as of December 31, 2010, Altegris Funds became a wholly-owned subsidiary of Genworth Financial, Inc. (“Genworth”). Genworth became a principal of Altegris Funds and Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner, in January 2011.

Altegris Investments, Inc. (“Altegris”), an affiliate of the General Partner, serves as a selling agent of the Interests and acted as the Partnership’s introducing broker until January 1, 2011, when Altegris Futures replaced Altegris as the Partnership’s introducing broker (“Introducing Broker”). Altegris Futures is registered with the CFTC as an Introducing Broker.

The Partnership’s term will end upon the first to occur of the following: December 31, 2035; receipt by the General Partner of an election to dissolve the Partnership at a specified time by Limited Partners owning more than 50% of the Interests then outstanding, notice of which is sent by registered mail to the General Partner not less than ninety (90) days prior to the effective date of such dissolution; withdrawal (including withdrawal after suspension of trading), admitted or court decreed insolvency or dissolution of the General Partner; termination of the Partnership pursuant to the terms of the Limited Partnership Agreement; or any event that makes it unlawful for the existence of the Partnership to be continued or requiring termination of the Partnership.

The Partnership is not required to be, and is not, registered under the Investment Company Act of 1940, as amended.

As of February 29, 2012, the aggregate net asset value of the Interests in the Partnership before redemptions was $833,830,396. The Partnership operates on a calendar fiscal year and has no subsidiaries.

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

(b)	Financial Information About Segments

The Partnership’s business constitutes only one segment for financial reporting purposes — i.e., a speculative “commodity pool.” The Partnership does not engage in sales of goods or services. Financial information regarding the Partnership’s business is set forth in the Partnership’s financial statements, included herewith.

(c)	Narrative Description of Business

The Partnership is designed to produce long-term capital appreciation through growth, and not current income. Altegris Funds has selected the Advisor to trade one of the Advisor’s proprietary trading models, the Winton Diversified Program (the “Program”), on behalf of the Partnership. The Advisor currently has the authority to trade the Program on behalf of the Partnership in all the easily accessible and liquid commodity interests (comprising international futures, options and forward markets) that it practically can, which currently consists mainly of commodity interests that are futures, options and forward contracts and certain OTC products, such as swaps in the following areas: stock indices, bonds, short term interest rates, currencies, precious and base metals, grains, livestock, energy and agricultural products.

The Advisor’s investment technique in trading the Program consists of trading a portfolio of approximately 120 diversified, highly liquid financial instruments traded across numerous futures markets, and may also include certain OTC instruments and government securities, employing a computerized, technical, principally trend-following trading system. This system tracks the daily price movements and other data from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be to maximize profit within a certain range of risk. If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.

The trading methods applied by the Advisor to trade the Program on behalf of the Partnership are proprietary, complex and confidential. As a result, the following explanation is of necessity general in nature and not intended to be exhaustive. The Advisor plans to continue the research and development of its trading methodology and, therefore, retains the right to revise any methods or strategy, including the technical trading factors used, the commodity interests traded and/or the money management principles applied.

The Program traded by the Advisor pursues a technical trend-following system. Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand. The Program uses no fundamental factors.

A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend (that is, to move from one price point to another, either higher or lower over a period of time), and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. These exaggerated movements are largely explained as a result of the influence of crowd psychology or the herd instinct, amongst market participants.

The Advisor developed the Program by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.

The Program follows a primarily non-discretionary system. This means that trading signals are automatically generated by its models and, except in extreme situations, are followed to the letter. The Advisor has found that the absence of discretion promotes greater consistency in performance and lessens the opportunity for less reliable anecdotal evidence and personal judgment to influence decision-making. In unusual market situations, the Advisor reserves the right to deviate from its automatic system.

The Advisor will select the type of order to be used in executing each trade on behalf of the Partnership and may use any type of order permitted by the exchange on which the order is placed. The Advisor may place individual orders for each account it trades, or a block order for all accounts it trades, in which the same commodity interest is being cleared through the same clearing broker. In the latter instance, the Advisor will allocate trades to individual accounts using a proprietary algorithm. The aim of this algorithm is to achieve an average price for transactions as close as mathematically possible for each account. This takes the form of an optimization process where the objective is to minimize the variation in the average traded price for each account. On occasion, it may direct the clearing broker for the accounts to employ a neutral order allocation system to assign trades. Partial fills will be allocated in proportion to account size.

The trading strategy and account management principles of the Program described above are factors upon which the Advisor will base its trading decisions. Such principles may be revised from time to time by the Advisor as it deems advisable or necessary. Accordingly, no assurance is given that all of these factors will be considered with respect to every trade or recommendation made on behalf of the Partnership or that consideration of any of these factors in a particular situation will lessen the risk of loss or increase the potential for profits.

It is expected that between 5% and 50% of the Partnership’s assets generally will be held as initial margin or option premiums (in cash or United States (“U.S.”) Treasury Department (“Treasury”) securities) in the Partnership’s brokerage accounts at its clearing broker, Newedge USA, LLC (“Newedge USA”), a futures commission merchant (“FCM”), and/or Newedge Alternative Strategies, Inc. (“NAST”) (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership), and available for trading by the Advisor in Commodity Interests on behalf of the Partnership. Interest on Partnership assets held at Newedge USA in cash or Treasury securities will be credited to the Partnership as described under “Charges.” Depending on market factors, the amount of margin or option premiums held at Newedge USA could change significantly, and all of the Partnership’s assets are available for use as margin. The Partnership may also retain other brokers and/or dealers from time to time to clear or execute a portion of Partnership trades made by the Advisor.

With respect to Partnership assets not held at Newedge USA or NAST as described above, but deposited with JPMorgan Chase Bank, N.A. (the “Custodian”), the portion not held in checking, money market or other bank accounts (and used to pay Partnership operating expenses) will be invested in liquid, high-quality short-term securities at the direction of the Custodian or its affiliate, J.P. Morgan Investment Management Inc. (“JPMIM”). The Partnership’s custody and investment management agreement with the Custodian permits the Custodian to invest in U.S. government and agency securities, other securities or instruments guaranteed by the U.S. government or its agencies, CDs, time deposits, banker’s acceptances, commercial paper and repurchase agreements — subject in each case to specific diversification, credit quality and maturity limitations. The Custodian may use sub-advisers to attempt to increase yield enhancement. The General Partner may direct that a portion of Partnership assets be deposited with other custodians and retain other sub-advisers for the purpose of attempting to increase yield enhancement via other cash management arrangements.

The percentage of the Partnership’s assets deposited with these firms is also subject to change in the General Partner’s sole discretion. The Partnership’s assets will not be commingled with the assets of any other person. Depositing the Partnership’s assets with banks or Newedge USA, or other clearing brokers, as segregated funds is not commingling for these purposes.

The Partnership pays all of its ongoing liabilities, expenses and costs. Altegris Funds receives a management fee of 0.104% of the month-end net asset value, before deduction for any accrued incentive fees related to the current quarter (the “management fee net asset value”), of all Class A Interests (1.25% per annum), 0.104% of the month-end management fee net asset value of all Class B Interests (1.25% per annum) and 0.0625% of the month-end management fee net asset value of all Institutional Interests (0.75% per annum). The Advisor receives a management fee of 0.083% of the management fee net asset value of the month-end capital account balances of all Interests (1.0% per annum) and 20% of quarterly trading profits applicable to each Class of Interest.

Each selling agent selling Class A Interests receives 0.166% of the month-end net asset value of the Partnership apportioned to each Class A Interest sold by such selling agent (2% per annum) and may elect to receive 0.0417% of the month-end net asset value apportioned to any Institutional Interest sold by such selling (0.50% per annum).

Newedge USA and/or NAST paid Altegris during 2011 and will pay Altegris Futures from and after January 1, 2011 a portion of the brokerage commissions and transaction fees received from the Partnership as well as a portion of the interest income received on the Partnership’s assets. Monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any

month when the amount in (A) is greater than the amount in (B) above, the Partnership pays only the amount described in (A) above.

The Partnership generally pays its operating expenses as they are incurred. A fixed administrative fee is charged to Class A and Class B Interests and paid to Altegris Funds equal to 0.0275% of the management fee net asset value of the month-end capital account balance of all such Class A and Class B Interests (0.333% per annum).

(d)	Regulation

The CFTC has delegated to NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons and “floor brokers” and “floor traders.” The Commodity Exchange Act requires commodity pool operators such as Altegris Funds, commodity trading advisors such as the Advisor and commodity brokers or FCMs such as Newedge USA and introducing brokers such as Altegris Futures to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs and certain introducing brokers to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Advisor will be combined for position limit purposes. The Advisor could be required to liquidate positions held for the Partnership in order to comply with such limits. Any such liquidation could result in substantial costs to the Partnership. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to hit its daily price limit for several days in a row, making it impossible for the Advisor to liquidate a position and thereby experiencing a dramatic loss. Currency forward contracts currently are not subject to regulation by any U.S. government agency.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e. metals and energy) and agricultural futures and options contracts and their economically equivalent swap contracts. Position limits in spot months are proposed to be 25% of the official estimated deliverable supply of the underlying commodity and in a non-spot month a percentage of the average aggregate 12-month rolling open interest in all months (swaps and futures) for each contract. The General Partner believes that the proposed limits are sufficiently large that if adopted, they should not restrict the Partnership’s trading strategy.

Currency forward contracts are not currently subject to regulation by any U.S. Government agency. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010. The Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time. The Reform Act will mandate that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. The mandates imposed by the Reform Act may result in the Partnership bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees with respect to any swaps entered into by the Partnership.

The Reform Act also amended the definition of “eligible contract participant,” and the CFTC may interpret that definition in such a manner that the Partnership may no longer be permitted to engage in forward currency transactions by directly accessing the interbank market. If it does so(final rules are still pending), the Partnership may be limited to engaging in “retail forex transactions” which could limit the Partnership’s potential forward currency counterparties to futures commission merchants and retail foreign exchange dealers. Limiting on the Partnership’s potential forward currency counterparties in this manner could lead to the Partnership bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. The “retail forex” markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the futures commission merchants and retail foreign exchange dealers with which the Partnership may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with which the Partnership currently engages for its forward currency transactions. Although the impact

of requiring the Partnership to conduct forward currency transactions in the “retail” market could be substantial, the full scope is currently unknown and the ultimate effect could also be negligible.

The Partnership has no employees.

Financial Information About Geographic Areas

The Partnership has no operations in foreign countries although it trades on foreign exchanges and other non-U.S. markets. The Partnership does not engage in sales of goods or services.

ITEM 1A: RISK FACTORS

Set forth below are the principal risks associated with an investment in the Partnership.

Recent Unprecedented Disruption and Stress in Global Markets May Affect Partnership Returns

The global financial markets are currently undergoing a period of unprecedented disruption and stress. Markets previously thought to be uncorrelated have been shown to be correlated, credit markets have in some cases ceased functioning, many markets have experienced record levels of volatility and governments have intervened in extraordinary and unpredictable ways, at times on an emergency basis, to the detriment of certain market participants. It is impossible to predict what ongoing impact these events will have on the Partnership and the Advisor. There can be no assurance that the Partnership will be profitable in this market environment, or that it will avoid substantial (or total) losses.

Partnership Performance is Dependant on General Economic Conditions, which the Advisor has no Ability to Control

The success of any investment activity is affected by general economic conditions that affect the level and volatility of prices as well as the liquidity of the markets. From time to time, the economic viability of an entire strategy may deteriorate, due to general economic events that disrupt the source of profits that the strategy seeks to exploit. There may be certain general market conditions in which the investment program pursued by the Advisor is unlikely to be profitable, and the Advisor has no ability to control or predict such market conditions.

Commodity Interests Trading Is Speculative and May Affect Partnership Performance

Commodity Interest prices are highly volatile. Price movements for futures contracts, for example, which may fluctuate substantially during a short period of time, are influenced by numerous factors that affect the commodities markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events and changes in interest rates.

Commodity Interests Trading Is Highly Leveraged and May Affect Partnership Performance

The low margin deposits normally required in trading Commodity Interests permit an extremely high degree of leverage. Accordingly, a relatively small price movement in a Commodity Interest may result in an immediate and substantial loss to the investor. Like other leveraged investments, any Commodity Interest trade may result in losses in excess of the amount invested. Although the Partnership may lose more than its initial margin on a trade, the Partnership, and not you personally, will be subject to margin calls.

Commodity Interests Trading May Be Illiquid and May Affect Partnership Liquidity

Most U.S. commodity futures exchanges impose daily limits regulating the maximum amount above or below the previous day’s settlement price which a futures contract price may fluctuate during a single day. During a single trading day no trades may be executed at prices beyond the daily limit. Once the price of a particular futures contract has increased or decreased to the limit point, it may be difficult, costly or impossible to liquidate a position. Futures prices in particular contracts have occasionally moved the daily limit for several consecutive days with little or no trading. If this occurs, the Partnership might be prevented from promptly liquidating unfavorable positions which could result in substantial losses. Those losses could significantly exceed the margin initially committed to the trades involved. In addition, even if prices have not moved the daily limit, or if there are no limits for the contracts traded by the Partnership, the Partnership may not be able to execute trades at favorable prices if little trading in the contracts is taking place. It is also possible that an exchange or the CFTC may suspend trading in a particular contract, order immediate settlement of a contract or order that trading to the liquidation of open positions only.

Trading Decisions Based on Technical Analysis May Affect Partnership Performance

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.

The Similarity of Commodity Trading Systems May Limit Performance of the Partnership

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 General Partner 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 Could Adversely Affect the Advisor and the Partnership

The Advisor has exclusive responsibility for trading Commodity Interests 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.

There are No Assurances of The Advisor's Continued Services to the Partnership

Either The Advisor or the Partnership can terminate the advisory contract on written notice.

Any Changes in Trading Strategies May Adversely Affect Partnership Performance

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 Commodity Interests traded is not a change in trading strategy.

There are Possible Negative 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.

An Increase in Amount of Funds Managed by the Advisor May Affect Partnership Performance

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.

Trading in Options May Result in Significant Losses for the Partnership

Part of the Partnership’s trading may be in options and options on futures contracts. Although successful commodity options trading and futures trading require many of the same skills, the risks involved are somewhat different. For example, if the Partnership buys an option (either to sell or purchase a contract), it will pay a “premium” representing the market value of the option. Unless it becomes profitable to exercise or offset the option before it expires, the Partnership will lose the entire amount of the premium. On the other hand, if the Partnership sells an option (either to sell or purchase a futures contract), its broker credits the premium, but the Partnership must deposit margin in case the option is exercised. Traders who sell options are subject to the entire loss that may occur in the underlying futures position (less any premium received). Commodity options trading on exchanges is regulated by both the CFTC and those exchanges.

Changes in the Number of Available Futures Contracts and Related Options May Reduce Partnership Performance

U.S. and foreign exchanges have established new futures and options contracts in the past few years. This trend could continue. The Advisor’s trading strategy might not be successful trading those new contracts.

Competition for Trades with Other Clients of The Advisor May Limit Partnership Performance

The Advisor manages other accounts. This increases the competition for the same trades which the Partnership makes. The Advisor may manage other accounts that pay fees that are different than those the Partnership pays. Therefore, it has a potential conflict of interest. There is no assurance that the Partnership’s trading will generate the same results as any other accounts The Advisor manages.

Failure of Clearing Brokers, Counterparties, Banks, Custodians and other Financial Firms May Subject the Partnership to Significant Losses

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.

Past Results of the Partnership Are Not Necessarily Indicative of Future Performance

Although some of The Advisor’s client accounts have been profitable in the past, you should take seriously the required CFTC and the NFA warning that past results are not necessarily indicative of future performance, and an investment in the Partnership is speculative and involves a substantial risk of loss.

FOREIGN INSTRUMENTS

Trading on Foreign Exchanges and Currency Exchange Rate Fluctuations May Reduce Partnership Performance

The Partnership trades on foreign exchanges and other non-U.S. markets. Neither existing CFTC regulations nor regulations of any other U.S. governmental agency apply to transactions on foreign markets. The Partnership is at risk for fluctuations in the exchange rate between the currencies in which it trades and U.S. dollars. It also is possible that exchange controls could be imposed in the future. There is no restriction on how much of the Partnership’s trading might be on foreign markets. Although trading on behalf of the Partnership may occur on foreign exchanges or in non-U.S. markets, assets of the Partnership will not be held in custody outside of the U.S.

Forward and Cash Trading May Increase Volatility and Reduce Partnership Performance

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

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

Exchange for Physicals May Increase Counter-Party Credit Risk for the Partnership

The Advisor may exchange a cash, forward or spot market position outside of regular trading hours for a comparable futures position. Such transactions are subject to counterparty creditworthiness risk. The CFTC has permitted the futures exchanges to expand the types of over-the-counter positions that can be part of an exchange for physicals position.

LIMITED PARTNERSHIP ISSUES

Substantial Charges to Partnership May Limit Returns to Limited Partners

The Partnership pays substantial fees and charges. As a result, the Partnership must make substantial profits for your Interest to increase in value. You should carefully review the break-even analysis included in this Offering Memorandum before deciding to invest.

Potential Cross Liability May Increase Exposure to Risks for the Partnership

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.

There Is No Intrinsic Value to the Partnership's Investments

The Partnership must make profits for it to provide beneficial diversification to your portfolio. Trading is a “zero-sum” activity in which for every gain there is an equal and offsetting loss (disregarding transaction costs). This differs from a typical securities investment, in which there is an expectation of consistent yields (in the case of bonds) or participation over time in general economic growth (in the case of stocks). The Partnership could lose money while stock and bond prices rise. Stocks and bonds (except penny stocks) generally have some intrinsic value. You generally can realize some value for your stocks or bonds even if you sell in a down market. In trading Commodity Interests, on the other hand, you risk losing all of your investment if prices move against you. In general, performance statistics do not reflect the different risk profiles or tax treatment of traditional and managed Commodity Interest investments.

Partnership Trading Is Not Transparent

The Advisor makes the Partnership’s trading decisions. While the General Partner receives daily trade confirmations from the commodity broker and foreign exchange dealers, the Partnership’s trading results are reported to Limited Partners monthly. Accordingly, an investment n the Partnership does not offer Limited Partners the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.

A Non-correlated, Not Negatively Correlated, Performance Objective may Result in Losses for the Partnership

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.

You will Not Participate in Management of the Partnership

Limited Partners do not participate in the management of the Partnership.

Your Indemnification of the Partnership May Increase Your Participation Costs

If the General Partner accepts your subscription, you will become a Limited Partner. Under the Partnership Agreement, you will be required to indemnify the Partnership for any liability that it incurs as a result of your actions.

Partnership Indemnification of Other Parties May Increase Costs for Limited Partners and Adversely Affect Partnership Performance

The Partnership had entered into agreements with various serves providers pursuant to which it may be required to indemnify such service providers for losses they incur in providing services to the Partnership.

LIQUIDITY

The Limited Ability to Liquidate Interests May Lead to Unforeseeable Losses for Limited Partners

You may not be able immediately to liquidate your Interest. There is no market for the Interests and none is likely to develop. You may, however redeem your Interest, without penalty, on the last day of any month, subject to certain limitations. In order to redeem, you are required to give the General Partner at least fifteen (15) days’ written notice. Because of the time delay between your notice to the General Partner and the end of the month when your investment is redeemed, the value of your investment on the date of redemption may be substantially less than at the time you send the General Partner your request to redeem.

Redemptions of Interests May Subject Limited Partners to Possible Adverse Effects and Losses

The Partnership will lose money if it has to sell positions at a loss in order to raise money to pay substantial redemptions. If many redemptions occur simultaneously, the need to liquidate positions could continue even after the redemption date. The Partnership would have fewer assets to trade after a high level of redemptions. This might make it more difficult for the Partnership to recover losses or generate trading profits. Market illiquidity could make it difficult to liquidate positions on favorable terms, and may also result in losses to the Partnership.

No Automatic Trading Suspensions May Lead to Substantial Losses for the Partnership

You should only acquire an Interest if you are looking for a long-term investment. The Partnership does not have an automatic Trading Suspension Level which requires it to suspend or terminate trading as a result of losses. Therefore, Limited Partners will be required to monitor the value of their investment and determine whether the Partnership’s performance warrants continued investment. Because Limited Partners will receive performance reports monthly, it is possible that the Partnership could incur substantial losses before a Limited Partner could redeem his Interest.

Any Mandatory Redemptions Required by the General Partner May Subject Limited Partners to Substantial Losses

The General Partner may require you to redeem your Interest at any time and for any reason. It generally will only require redemptions in order for the Partnership to comply with certain regulations.

ITEM 1B: UNRESOLVED STAFF COMMENTS

Not applicable.

ITEM 2: PROPERTIES

The Partnership does not own or use any physical properties in the conduct of its business. Employees of Altegris, a wholly owned subsidiary of Genworth Financial, Inc. as of December 31, 2010, perform all administrative services for the Partnership from offices at 1202 Bergen Parkway, Suite 212, Evergreen, Colorado 80439 or at 1200 Prospect St., Suite 400, La Jolla, California 92037.

ITEM 3: LEGAL PROCEEDINGS

The Partnership is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject. The Partnership is not aware of any material legal proceedings involving Altegris Funds or its principals in an adverse position to the Partnership or in which the Partnership has adverse interests. The Partnership has no subsidiaries.

ITEM 4: MINE SAFETY DICLOSURES

Not applicable.

PART II

ITEM 5: MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

(a)	Market information

There is no trading market for the Interests, and none is likely to develop. Interests may be redeemed or transferred subject to the conditions imposed by the Limited Partnership Agreement.

(b)

Holders

As of February 29, 2012 the Partnership had 9,264 holders of Interests.

(c)

Dividends

Altegris Funds has sole discretion in determining what distributions, if any, the Partnership will make to its investors. To date no distributions or dividends have been paid on the Interests, and Altegris Funds has no present intention to make any.

(d)	Securities Authorized for Issuance under Equity Compensation Plans

None.

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

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

(f)	Issuer Purchases of Equity Securities

Pursuant to the Limited Partnership Agreement, Limited Partners may redeem their Interests in the Partnership as of the end of any calendar month upon fifteen (15) days’ written notice to the General Partner. The redemption of capital from capital accounts by Limited Partners has no impact on the value of the capital accounts of other Limited Partners.

The following table summarizes Limited Partner redemptions during the fourth calendar quarter of 2011:

Month Ended	Amount Redeemed

October 31, 2011	$	32,435,930
November 30, 2011		11,091,719
December 31, 2011		18,441,315
Total	$	61,968,964

ITEM 6: SELECTED FINANCIAL DATA

	For the Year Ended		For the Year Ended		For the Year Ended			For the Year Ended		For the Year Ended
	December 31, 2011		December 31, 2010		December 31, 2009			December 31, 2008		December 31, 2007

Revenue:
Total net realized and unrealized gains (losses)	$	70,122,450	$	100,241,515	$	(16,644,692	)	$	42,406,551	$	14,410,578
Interest Income		1,671,316		3,110,927		3,044,150			3,801,283		3,810,719


Expenses:
Management fee		8,442,954		6,240,462		4,043,734			1,540,833		691,704
Advisory fee (1)		7,256,692		5,287,476		3,266,333			933,820		478,625
Administrative fee		1,663,244		1,166,030		616,020			49,259		-
Service fees		7,455,501		5,849,080		4,014,434			1,864,912		536,306
Incentive fee		11,798,283		14,074,548		546,869			8,685,185		2,765,664
Professional fees		3,076,319		2,097,027		1,169,523			515,291		214,484
Brokerage commissions		11,985,887		9,080,039		5,636,378			499,445		673,161

Net income (loss)	$	20,114,886	$	59,557,780	$	(32,893,833	)	$	32,119,089	$	12,861,353

Total assets	$	865,252,257	$	749,532,795	$	534,315,805		$	294,991,664	$	112,091,772
Total Net Asset Value	$	819,679,427	$	711,205,931	$	515,465,776		$	259,047,478	$	95,514,861

Note: This excludes offering expenses, which is included in the Statements of Changes in Partners' Capital
(1) In 2008 and 2007, a portion of the Advisory fee was paid from the GP's portion

ITEM 7: MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

(a)

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through December 31, 2011 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

(b)	Capital Resources

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership participates in the speculative trading of commodity futures contracts, 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 FCMs 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 Newedge USA, 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.

(c)	Results of Operations

Performance Summary

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

2011

During 2011, the Partnership achieved net realized and unrealized gains of $58,136,563 from its trading activities, including brokerage commissions of $11,985,887. The Partnership accrued net expenses of $39,692,993, including $11,798,283 in incentive fees, $8,442,954 in management fees paid to the General Partner, and $10,531,820 in service and professional fees. The Partnership earned $1,671,316 in interest income during 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2011 is set forth below.

Fourth Quarter 2011. The Partnership experienced a loss in October 2011 as equity markets had a significant rally, causing short positions to lose money. Currencies were the worst performing sector. The Partnership achieved gains in futures contracts on precious metals, but not enough to offset losses across the rest of the portfolio during the month. The Partnership achieved a gain in November 2011. The Euro fell against the U.S. dollar and has been fluctuating around the middle of its five year trading range. World equity markets were down on the month, with a rally in the final few days of the month regaining some lost ground. The Partnership closed the month with the portfolio concentrated in the fixed income and currency sectors and relatively little exposure to equity indices. The Partnership achieved a gain in December 2011 while the financial markets exhibited less volatility than in recent months. The markets’ attention has been the levels of government debt in Eurozone countries. The Partnership’s gains have been primarily focused in futures contracts on fixed income, with a significant contribution from trading of futures contracts on precious metals.

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.

2010

During 2010, the Partnership achieved net realized and unrealized gains of $91,161,476 from its trading activities, including brokerage commissions of $9,080,039. The Partnership accrued total expenses of $34,714,623, including $14,074,548 in incentive fees, $11,527,983 in management fees paid to the General Partner, and $7,946,107 in service and professional fees. The Partnership earned $3,110,927 in interest income during 2010. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2010 is set forth below.

Fourth Quarter 2010. The Partnership experienced a gain in October 2010 as stock markets continued their September rally. Government bonds slowed during the first week of the month before subsequently dropping. The main contributors to the positive performance during the month were futures contracts on stock indices, currencies, precious metals and agricultural markets. The falling US Dollar and buoyant gold price reversed mid-month before recovering a little towards month end as the Japanese yen continued to rise. The Partnership experienced a loss in November 2010. The Euro fell during the month helping the US Dollar to reverse its fall of the last two months. The Partnership established gains during the first week of the month as the US Dollar fell and stocks, bonds and commodity prices rose, although these price moves subsequently reversed. The month’s losses were focused in futures contracts on bonds and currencies, with precious metals showing a small gain. The Partnership experienced a gain in December 2010 as the Euro remained relatively steady after its previous month’s fall. U.S. equity markets rallied in contrast to the European equities, which have fallen this year.

Third Quarter 2010. The Partnership experienced a loss in July of 2010. Currency futures was the worst performing sector for the Partnership where losses were focused on the Euro. Trading in futures contracts on bonds, precious metals and agriculturals also contributed to losses for the month. Short term interest rate futures trading, driven by falls in US LIBOR rates, was the best performing sector during the month. The Partnership achieved a gain in August of 2010. Most of the month’s gains can be attributed to the bonds sector, with positive contributions from futures trading on interest rates, currencies and precious metals. Agricultural futures were the Partnership’s worst performing sector during August of 2010. The Partnership achieved a gain in September of 2010. The Partnership benefited from its long positions in agriculturals and precious metals as cotton futures hit a 15 year high and gold prices again set new highs. Crude oil ended the month close to where it started, while base metals and grains both moved higher. Losses were concentrated in the energy and fixed income futures markets. Gains in the Australian Dollar offset the Partnership’s losses in the Euro.

Second Quarter 2010. The Partnership achieved gains for the month of April of 2010 as US stock indices continued their ascent to end the month higher, while European stock indices declined. The Partnership’s best performing sector during the month was currencies, as it capitalized on the Euro’s steady decrease in value. In April, the Partnership introduced a small amount of currency forward trading on the Chinese Renminbi and the Taiwanese Dollar. The Partnership experienced a loss in May of 2010 as European economic concerns and the Euro’s decline continued to dominate the financial news. The Partnership’s currencies trading posted a positive performance during the month with short positions on the Euro and Pound covering the losses from the Partnership’s long positions on the Australian and Canadian Dollar. The Partnership’s worst performing sector was trading futures on equity indices, where long positions were hurt by the strong downward trend in equity indices. The Partnership achieved gains during the month of June of 2010 as yields on Greek, Portuguese and Spanish government bonds continued to rise. Fixed income markets were the Partnership’s strongest contributors during June, with US bonds also continuing to rise. Energies futures were the worst performing sector as the Partnership’s short positions suffered in the face of a rally in crude oil.

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

2009

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

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

Third Quarter 2009. The Partnership experienced a loss in July 2009 as initial economic pessimism, driven by weaker than expected employment data, was reversed mid-month by strong earnings announcements in the U.S. Crude started the month by falling, but swiftly bounced back, mirroring the rally in stocks. Against a background of uncertainty in the fixed income markets, the Partnership’s returns were dominated by losses in the equity and bond sectors, with short-term interest rates posting modest gains. The Partnership’s currency positions continued to bring some diversification to the Partnership’s portfolio. August 2009 saw continued signs of economic recovery, with a further stream of positive data being released. The Federal Reserve Board again committed to leaving interest rates near zero while the Bank of England moved to continue its program of quantitative easing. The U.S. equity markets were up from lows set in March of 2009 and the Advisor’s stock index systems were slow to reverse their short positions, meaning that the Partnership gave back a portion of last year’s gain in stock indices. The global stock indices continued their strong rally into September 2009, while gold came close to its all time high, as the effective nationalization of debt by Governments created a fear of future inflation in debtor economies. Currencies were the strongest performing sector in September of 2009 as the Partnership benefited from the falling exchange rates of the U.S. Dollar. Short-term interest rates registered further gains and became the Partnership’s best performing sector for the nine months ended September 30, 2009.

Second Quarter 2009. The Partnership experienced a loss in April 2009 as trading conditions returned to something approaching normality, with daily ranges more constrained and volatility in decline. The main story for April 2009 was the continued rally of global equities, where the Partnership continued to retain a slightly increased but still relatively small short exposure. There was little offset from the other sectors, with bond yields increasing as sentiment on the economic situation became slightly more upbeat. Currency markets were also in flux, and the Partnership experiencing losses similar to what it experienced in the equity sectors during the month. Commodities also started a decline towards month-end as the very recent scare over swine flu began to impact the markets. The Partnership was down modestly in May 2009, a month that saw further signs of stability return to the financial system and liquidity continuing to improve to levels not seen since September 2008. However, the Partnership’s long and short exposures during the month were not synchronized to its advantage as the markets reacted to the new sense of relative confidence. Equities rallied during the month, while 10-year bond yields rose, resulting in mixed signals for the Partnership’s portfolio positions. Also, the Partnership’s exposure in the commodities such as the energy and agricultural sectors was also muddled. The Partnership was again down modestly in June 2009, as equities initially rallied, but fell back and ended flat as markets such as Russia fell 20% from their highs during the month. Commodities, in particular base metals, also rallied initially but retreated. The Partnership’s returns were dominated by volatile interest rate moves during June 2009, with losses in the debt and interest rate sectors. Against these losses, however, crops did well with a positive contribution to Partnership performance during the month.

First Quarter 2009. January of 2009 saw a wave of consistently poor economic numbers, with unemployment rising, Government debt increasing and recessionary conditions around the globe. In January, futures markets were volatile and the Partnership profited primarily in currencies, with the U.S. Dollar and Japanese Yen remaining strong, while the Pound Sterling remained under pressure. Elsewhere in the portfolio, there were small losses in bonds and small profits in equities, while liquidity remained favorable. Throughout February, the situation in global financial and commodity markets worsened and no regions, countries, sectors or companies appeared immune from recessionary conditions. With volatility levels still elevated, the portfolio continued its low margin exposure with small profits made in short equities (due to falling stock indices in February). Gyrating currency markets caused small losses mainly attributable to weakening of the U.S. Dollar at month-end. The continued plunge in demand for commodities in February, combined with increasing inventories, kept a lid on prices. Crude oil and grain prices came under renewed price pressure, and the only sector to see higher prices was precious metals. Small gains were achieved from a small long position in gold, and the Partnership benefited primarily from being short grains. March proved a difficult month for the Partnership and losses were experienced in bond and equity futures, while the Partnership’s long exposure in the U.S. Dollar was damaged by both the increasing U.S. debt and rumors of the U.S. Dollar being sidelined as the reserve currency. The Japanese Yen position also suffered. The commodities sector was mixed in March, with the main features being vacillations in gold prices and a rally in energy. Small returns were derived in crude oil as it started to find some strength.

(d)	Off-Balance Sheet Arrangements

The Partnership does not engage in off-balance sheet arrangements with other entities.

(e)	Contractual Obligations

The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, related option and forward currency contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The Partnership’s financial statements, included in this report, present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at December 31, 2011.

(f)	Critical Accounting Estimates

Altegris Funds believes that the Partnership's most critical accounting estimates relate to the valuation of the Partnership's assets. Futures and options on futures contracts are valued using the primary exchange’s closing price. Forward currency contracts are stated at fair value using spot currency rates provided by Newedge USA, LLC and adjusted for interest rates and other typical adjustment factors. U.S. government agency securities are generally valued based on quoted prices in active markets. Corporate notes and repurchase agreements are generally valued at fair value, which usually approximates cost, given their short duration from the time of purchase. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the identified cost method. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

The Partnership’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which require the use of certain estimates made by the Partnership’s management. Actual results could differ from those estimates. Based on the nature of the business and operations of the Partnership, Altegris Funds believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. Altegris Funds further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Partnership is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Partnership’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.

Market movements result in frequent changes in the fair value of the Partnership’s open positions and, consequently, in its earnings and cash flow. The Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s past performance is not necessarily indicative of its future results.

Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Partnership’s market sensitive instruments.

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Partnership’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Partnership estimates VaR using a model based upon historical simulation (with a confidence level of 99%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. This expected daily percentage change is then expanded to four days, providing an expected four day percentage change. The Partnership’s VaR at a four day 99% confidence level of the Partnership’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 100 four day trading periods. VaR typically does not represent the worst case outcome.

The Partnership uses approximately three years of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 1 percentile of this distribution.

The VaR for a sector represents the four day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Partnership’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

The Partnership’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

VaR models, including the Partnership’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Partnership in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

Because the business of the Partnership is the speculative trading of futures, forwards and options, the composition of the Partnership’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

The Partnership’s Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2011 and 2010 and the Value at Risk as a percentage of the Partnership’s NAV as of December 31, 2011 and 2010.

	December 31, 2011
			Trading
Market Sector	Value at Risk*		% of NAV
Interest Rates	$	9,803,536		1.20	%
Commodities	$	7,433,313		0.91	%
Currencies	$	10,720,586		1.31	%
Equities	$	3,551,218		0.43	%

Aggregate/Total	$	31,508,653		3.84	%

The VaR for a sector represents the four day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the sum of the VaRs for all market sectors, with an assumed correlation among all sectors equal to one.

	December 31, 2010
			Trading
Market Sector	Value at Risk*		% of NAV
Interest Rates	$	3,887,489		0.55	%
Commodities	$	18,021,346		2.53	%
Currencies	$	5,875,075		0.83	%
Equities	$	17,536,238		2.47	%

Aggregate/Total	$	45,320,148		6.37	%

Material Limitations of Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

1)	Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

2)	Changes in portfolio value caused by market movements may differ from those of the VaR model;

3)	VaR results reflect past trading positions while future risk depends on future positions;

4)	VaR using a one day time horizon that is then expanded to four days does not fully capture the market risk of positions that cannot be liquidated or hedged within the time period; and

5)	The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

VaR is not necessarily representative of historic risk nor should it be used to predict the Partnership’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Partnership’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 100 four day trading periods.

Non-Trading Risk

The Partnership has non-trading market risk on fixed income securities held as part of its cash management program. JPMIM will use its best efforts in the management of the assets of the Partnership but provide no guarantee that any profit or interest will accrue to the Partnership as a result of such management.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnership’s primary market risk exposures as well as the strategies used and to be used by the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.

The following were the primary trading risk exposures of the Partnership as of December 31, 2011, by market sector.

Currencies

Exchange rate risk can be a significant market exposure of the Partnership. The Partnership’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions.

Interest Rates

Interest rate risk can be a significant market exposure of the Partnership. Interest rate movements directly affect the price of the sovereign bond positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Changes in the interest rate environment will have the most impact on longer dated fixed income positions.

Stock Indices

The Partnership has equity exposure to equity price risk in the countries in which it invests. The stock index futures traded by the Partnership are by law limited to futures on broadly based indices. The Partnership is exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.

Energy

The Partnership is exposed to energy market risk in relation to natural gas, crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been experienced in this market.

Metals

The Partnership’s metals market exposure is subject to fluctuations in the price of each of the metals futures contracts in which the Partnership invests.

Agricultural

The Partnership’s agricultural exposure is subject to the fluctuations of the price of each of the agricultural commodity futures contracts that it holds.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Partnership as of December 31, 2011.

Fixed Income Securities

The Partnership has market exposure in instruments (other than treasury positions) held other than for trading is in its fixed income portfolio. JPMIM, an affiliate of the Custodian, has authority to make certain investments on behalf of the Partnership. All securities purchased by JPMIM on behalf of the Partnership will be held in the Partnership’s custody account at the Custodian. JPMIM will use its best endeavors in the management of the assets of the Partnership but provide no guarantee that any profit or interest will accrue to the Partnership as a result of such management.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Winton's focus within risk management is on targeting, measuring and managing risk. Owing to the leverage inherent in futures trading, position sizes are set according to Winton’s expectation of the risk that such positions will provide, rather than the amount of capital required to fund such positions, and Winton's Diversified Program strives to maintain a diversified portfolio because holding positions in a variety of unrelated markets has been shown, over time, to decrease system volatility.

Each day, Winton's trading systems sets volatility parameters (known as the “instantaneous forecast standard deviation”) for each position held in the portfolio. The purpose of these parameters is to estimate the likely size of a market shift (whether up or down), in much the same way as the futures exchanges estimate the likely market shift when deciding how to set the initial margin for a future or the daily price limits for a market. The primary determinant of the daily volatility parameters is the amount of leverage or level of gearing used by the Diversified Program. The derivatives positions’ leverage or gearing may be measured in terms of the Diversified Program’s margin-to-equity ratio in respect of its derivatives positions. This ratio is calculated by dividing the amount of margin posted with the futures commission merchant by the value of the portfolio. The Diversified Program’s long-term annualized volatility target is currently approximately 10% . However, it should be noted that the Diversified Program’s instantaneous forecast standard deviation (defined as the instantaneous risk Winton expects within the 24 hours following that particular instant) may vary outside these limits. In order to target a given level of long-term risk the instantaneous risk is allowed to fluctuate within a range around the long term risk target. In order to achieve the long-term risk target the correlation between different markets is estimated by the Diversified Program, and is employed in the calculation of the overall level of gearing which is regularly reset, typically on a daily basis. Additionally, from time to time, the long-term standard deviation (defined as the long term average risk that Winton expects over a number of months) may also be above or below these limits, thereby having an impact upon the level of gearing used by the Diversified Program. For example, in the event that exceptional market conditions arise, such as the threat of closure of an exchange or other loss of liquidity, it may be determined to operate the Diversified Program at a lower level of gearing.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Financial statements required by this item are included herewith following the Index to Financial Statements and are incorporated by reference into this Item 8.

	Fourth Quarter			Third Quarter		Second Quarter			First Quarter
	2011			2011		2011			2011

Interest Income:	$	127,414		$	340,020	$	667,308		$	536,574
Net realized and unrealized gains (losses):		2,723,931			60,222,868		(11,972,016	)		19,147,667
Expenses:		10,935,044			18,385,937		9,857,376			12,500,523
Net Income (Loss):		(8,083,699	)		42,176,951		(21,162,084	)		7,183,718

	Fourth Quarter			Third Quarter		Second Quarter			First Quarter
		2010			2010		2010			2010

Interest Income:	$	548,814		$	756,032	$	896,747		$	909,334
Net realized and unrealized gains (losses):		36,424,317			23,371,677		14,935,975			25,509,546
Expenses:		15,369,957			11,776,437		8,531,099			8,117,169
Net Income (Loss):		21,603,174			12,351,272		7,301,623			18,301,711

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

None.

ITEM 9A: CONTROLS AND PROCEDURES

(a) The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this annual report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective.

(b) Management’s Annual Report on Internal Control over Financial Reporting

Altegris Funds, the general partner of the Partnership is responsible for the management of the Partnership. Management of Altegris Funds (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.

The Partnership’s internal control over financial reporting includes those policies and procedures that:

	•	Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

	•	Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Partnership’s transactions are being made only in accordance with authorizations of Management and;

	•	Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2011. In making this assessment, Management used the criteria set forth in Internal Control — Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2011, the Partnership’s internal control over financial reporting was effective.

There were no changes in the Partnership’s internal control over financial reporting during the quarter ended December 31, 2011 that have materially affected, or are reasonably likely to materially affect, its internal control over financial reporting.

ITEM 9B: OTHER INFORMATION

None.

PART III

ITEM 10: DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

(a)	Identification of Directors and Executive Officers

(i) The Partnership has no officers, directors, or employees. The Partnership’s affairs are managed by Altegris Funds (although it has delegated trading and investment authority to the Advisor and administrative duties to Altegris. Altegris Funds is owned by Genworth Financial Inc., and its directors and executive officers are Jon C. Sundt, Robert J. Amedeo, Matthew C. Osborne, Richard G. Pfister, Kenneth I. McGuire, and Gurinder S. Ahluwalia.

Jon C. Sundt (age 49) is the President, CEO and a director of Altegris Funds (October 2004 to present), having also served as a Vice President from July 2002 to October 2004. Mr. Sundt has also been (1) the President, CEO and a director of Altegris Investments, Inc. (Altegris) (July 2002 to present), a current broker-dealer affiliate of Altegris Funds, and formerly an IB and CTA; (2) a manager and the President and CEO of Altegris Advisors, L.L.C. (Advisors), an affiliate of Altegris Funds and an SEC-registered investment adviser (February 2010 to present); (3) a manager and the President and CEO of Altegris Futures, L.L.C. (Altegris Futures), an IB and an affiliate of Altegris Funds (September 2010 to present); (4) a manager and the President and CEO of Altegris Clearing Solutions, L.L.C. (formerly known as Altegris Partners, L.L.C.) (Clearing Solutions), an IB and CTA and an affiliate of Altegris Funds (December 2008 to present); and (5) a manager and the President and CEO of Altegris Services, L.L.C. (Services), an administrative and operations affiliate of Altegris Funds (May 2010 to present). Mr. Sundt became a principal of Altegris Funds in July 2002. Mr. Sundt attended the University of California, San Diego.

Robert J. Amedeo (age 57) has served as a director of Altegris Funds since July 2002. He has also been a Vice President of Altegris Funds (October 2004 to January 2011), and President of Altegris Funds (July 2002 to October 2004), and he currently serves as Executive Vice President (January 2011 to present). Mr. Amedeo has also been (1) an Executive Vice President and director of Altegris; (2) a manager and Executive Vice President of Advisors (February 2010 to present); (3) a manager and Executive Vice President of Clearing Solutions (December 2008 to present); (4) a manager and Executive Vice President of Services (May 2010 to present); and (5) a manager and Executive Vice President of Altegris Futures (September 2010 to present). In addition to his responsibilities as an officer and director of Altegris Funds and Altegris, Mr. Amedeo has pursued business development projects for the companies and their affiliates. Mr. Amedeo is a graduate of Northwestern University and received a Juris Doctor degree from DePaul University. Mr. Amedeo is currently Chairman of the NFA’s CPO/CTA Advisory Committee.

Matthew C. Osborne (age 46) has served as a director of Altegris Funds since July 2002. He has also served as a Vice President of Altegris Funds (July 2002 to January 2011), and currently serves as Executive Vice President (January 2011 to present). Mr. Osborne has also been (1) an Executive Vice President, Chief Investment Officer and a director of Altegris (July 2002 to May 2010); (2) a manager and Executive Vice President of Advisors (February 2010 to present); (3) a manager and Executive Vice President of Clearing Solutions (December 2008 to present); (4) a manager and Executive Vice President of Services (February 2010 to present); and (5) a manager and Executive Vice President of Altegris Futures (September 2010 to present).

Richard G. Pfister (age 39) has served as a director of Altegris Funds since October 2004. He has also served as a Vice President (October 2004 to January 2011) and currently serves as Executive Vice President (January 2011 to present). Mr. Pfister has also served as (1) an Executive Vice President and director of Altegris (October 2004 to present); (2) a manager and Executive Vice President of Clearing Solutions (December 2008 to present); and (3) a manager and Executive Vice President of Altegris Futures (September 2010 to present). Mr. Pfister graduated from the University of San Diego and holds the Chartered Alternative Investments Analyst (CAIA) designation.

Kenneth I. McGuire (age 53) became the Chief Operating Officer of Altegris Funds in May 2010 and is a principal of Altegris Funds (June 2010 to present). Mr. McGuire also serves as Chief Operating Officer for Advisors (February 2010 to present), and Services (May 2010 to present). His duties within the Altegris Companies include supervision of personnel in the software development, information technology, fund operations and futures operations businesses of the Altegris Companies. During the past five years, Mr. McGuire was employed by The Bank of New York Mellon, an asset management and securities services company, as a Managing Director (April 2006 to October 2009). Mr. McGuire was employed within BNY Mellon Alternative Investment Services, serving as Product Manager for that unit’s Single Manager Hedge Fund services. Mr. McGuire was a Strategic Advisor with Harvest Technology, a boutique investment technology consultancy (May 2005 to April 2006). Mr. McGuire graduated Magna Cum Laude from Hofstra University with a degree in Computer Science/Mathematics and received his MBA with a concentration in Management from Adelphi University.

Gurinder S. Ahluwalia (age 47) became a Director and principal of Altegris Funds in January 2011. Mr. Ahluwalia has served as President and CEO of Genworth Financial Wealth Management (GFWM), an investment advisory firm (June 2009 to present), as Co-Chairman of GFWM (July 2008 to June 2009), and as Vice Chairman of AssetMark Investment Services, Inc. (“AssetMark”) (August 2006 to July 2008). GFWM was created by the 2008 combination of two affiliated investment advisory firms: AssetMark and Genworth Financial Asset Management, Inc. (“GFAM”). Mr. Ahluwalia has also served in the capacities as: (i) President, Chairman and a Trustee of Genworth Financial Asset Management Funds, a mutual fund complex (February 2004 to present); (ii) a Trustee of the Genworth Variable Insurance Trust, a mutual fund offered through variable insurance products (July 2008 to present); and (iii) as a Director on the Boards of GFWM (August 2008 to present), GFAM (January 2004 to August 2008), Genworth Financial Trust Company (“GFTC”), an Arizona chartered trust company and custodian (January 2004 to present), Centurion Financial Advisors, Inc. (“CFA”), an investment advisory firm (January 2004 to present), and Centurion Capital Group, Inc., an intermediate holding company for CFA, GFWM and GFTC (January 2004 to present). In addition, Mr. Ahluwalia has since July 2006 served as a Vice President of Genworth, the publicly traded global financial security company and parent company of Altegris Funds and its direct affiliates, as well as the ultimate parent holding company for all other Genworth affiliated companies. Mr. Ahluwalia holds a B.S. in Computer Science from New York University, a B.E. in Electrical Engineering from Cooper Union, and an M.S. in Electrical Engineering from the New Jersey Institute of Technology.

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

(ii)

Identification of Certain Significant Employees

None.

(iii)

Family Relationships

None.

(iv)

Business Experience

See above.

(v)

Involvement in Certain Legal Proceedings.

None.

(vi)

Promoters and Control Persons

Not Applicable.

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

Gurinder Ahluwalia filed an initial report on Form 3 after being appointed a director of Altegris Funds in January 2011. Mr. Ahluwalia owns no interest in the Partnership and the number of transactions not reported timely is 0.

(c)	Code of Ethics

The Partnership has no employees, officers or directors and is managed by Altegris Funds. Altegris Funds has adopted a Code of Ethics that applies to its principal executive officers and certain other persons associated with Altegris Funds. A copy of this Code of Ethics may be obtained at no charge by written request to Altegris Funds, 1202 Bergen Parkway, Suite 212, Evergreen, Colorado 80439. Altegris Funds intends to adopt all or substantially all of the code of ethics of Genworth Financial, Inc. in 2012. Richard G. Pfister previously filed a Form 5 in April, 2011, a late filing.

(d)	Corporate Governance

Not applicable.

ITEM 11: EXECUTIVE COMPENSATION

The Partnership has no officers, directors, or employees. None of the principals, officers, or employees of Altegris Funds or Altegris receives compensation from the Partnership. All persons serving in the capacity of officers or executives of Altegris Funds, the General Partner of the Partnership, are compensated by Altegris and/or an affiliate in respect of their respective positions with such entities. Altegris Funds receives a monthly management fee equal to 1/12 of 1.25% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests and equal to 1/12 of 0.75% of the management fee net asset value of the month-end capital account balances attributable to Institutional Interests. Altegris Funds also receives a monthly administrative fee equal to 1/12 of 0.333% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests.

Altegris receives continuing monthly compensation from the Partnership equal to 1/12 of 2% of the month-end net asset value of Class A Interests sold by Altegris.

During 2011, Altegris received, and from January 1, 2012, Altegris Futures, in its capacity as Introducing Broker to the Partnership, receives compensation for brokerage-related services. The Partnership will pay monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually). If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership will pay only the amount described in (A) above.

The Partnership has no other compensation arrangements. There are no compensation plans or arrangements relating to a change in control of the Partnership or Altegris Funds. On December 31, 2010 Altegris Funds was acquired by Genworth Financial, Inc. in a transaction reported on Form 8-K on January 6, 2011.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS

(a)	Security ownership of certain beneficial owners

Not applicable.

(b)	Security Ownership of Management

The Partnership has no officers or directors. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by Altegris Funds, which has delegated discretionary authority over the Partnership’s trading to the Advisor. As of February 29, 2012, Altegris Funds’ general partner interest in the Partnership was valued at $3,630.02, which constituted approximately 0% of the Partnership’s total assets. As of February 29, 2012, the following directors and executive officers of Altegris Funds owned Interests in the Partnership: Jon C. Sundt, Robert J. Amedeo, Richard G. Pfister, and Matthew Osborne. The direct and indirect holding of Interests of each director and executive officer and the total aggregate ownership of Interests is less than 1% of the Partnership’s total assets.

(c)	Changes in Control

None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

The Partnership does not engage in any transactions with Altegris Funds or its affiliates other than in respect of the services and payment of fees therefor described above in Item 1.

The Partnership paid to Altegris Funds monthly management fees totaling $8,442,954 for the year ended December 31, 2011. The Partnership paid to Altegris Funds administrative fees totaling $1,663,244 for the year ended December 31, 2011.

The Partnership paid to Altegris monthly continuing compensation of $1,307,330 for the year ended December 31, 2011. Altegris Futures, in its capacity as the Introducing Broker for the Partnership, received from the Partnership’s clearing broker (i.e., Newedge USA) the following compensation: (i) a portion of the brokerage commissions paid by the Partnership to Newedge USA, and of the interest income earned on Partnership’s assets held at Newedge USA, equal to $1,132,947 for the year ended December 31, 2011. In addition, Altegris Futures, in its capacity as Introducing Broker, receives from the Partnership, monthly brokerage charges as described in Item 11. For the year ended December 31, 2011 the Partnership paid monthly brokerage charges of $10,120,176. As of December 2011, the Partnership anticipates, but has not yet commenced entry into, spot and other foreign exchange over-the-counter transactions with NAST as principal counterparty. Upon commencement of such transactions between the Partnership and NAST, Altegris, in its capacity as Introducing Broker for the Partnership, will receive a portion of the transaction fees received by NAST.

The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person.

None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership.

The Partnership has no directors, officers or employees and is managed by the General Partner. The General Partner is managed by certain of its principals, none of whom is independent of the General Partner.

ITEM 14: PRINCIPAL ACCOUNTING FEES AND SERVICES

The following table sets forth (a) the fees billed to the Partnership for professional audit services provided by Spicer Jeffries LLP, the Partnership’s independent registered public accountant, for the audit of the Partnership’s annual financial statements for the year ended December 31, 2010 and (b) the fees expected to be billed to the Partnership for professional audit services provided by Ernst & Young LLP for the audit of the Partnership’s annual financial statements for the year ended December 31, 2011.

FEE CATEGORY	2011		2010

Audit Fees	$	70,000	$	82,500
Audit-Related Fees		-		-
Tax Fees		122,000		17,500
All Other Fees		-		-

TOTAL FEES	$	192,000	$	100,000

Audit Fees consist of fees paid to Spicer Jeffries LLP and Ernst & Young LLP (as applicable) for (i) the audit of Altegris Winton Futures Fund, L.P.’s annual financial statements included in the annual report on Form 10-K, and review of financial statements included in the quarterly reports on Form 10-Q and filed on Altegris Winton Futures Fund, L.P.’s current reports on Form 8-K; and (ii) services that are normally provided by the Independent Registered Public Accountants in connection with statutory and regulatory filings of registration statements.

Tax Fees consist of fees paid to Spicer Jeffries LLP and Ernst & Young LLP (as applicable) for professional services rendered in connection with tax compliance and Partnership income tax return filings.

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

PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES

Financial Statements

The financial statements and balance sheets required by this Item are included herewith, beginning after the signature page hereof, and are incorporated into this Item 15.

Exhibits

The following documents (unless otherwise indicated) are filed herewith and made part of this registration statement.

Exhibit Designation	Description
*3.1	Certificate of Formation of Altegris Winton Futures Fund, L.P.

*4.1	First Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.

*10.1	Advisory Contract between Altegris Winton Futures Fund, L.P., Rockwell Futures Management, Inc.** and Winton Capital Management Limited and Amendment thereto dated June 1, 2008

*10.2	Introducing Broker Clearing Agreement between Fimat USA, LLC*** and Altegris Investments, Inc.

*10.3	Form of Selling Agency Agreement

31.01	Rule 13a-14(a)/15d-14(a) Certification

32.01	Section 1350 Certification

______________________

*	This exhibit is incorporated by reference to the exhibit of the same number and description filed with the Partnership’s Registration Statement (File No. 000-53348) filed on July 30, 2008 on Form 10-12G under the Securities Exchange Act of 1934.

**	Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.

***	Fimat USA, LLC is now Newedge USA, LLC.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: March 30, 2012	ALTEGRIS WINTON FUTURES FUND, L.P. By: ALTEGRIS PORTFOLIO MANAGEMENT, INC.

	By: /s/ Jon C. Sundt Name: Jon C. Sundt Title: Principal Executive and Principal Financial Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the General Partner of the Registrant and in the capacities and on the date indicated.

Dated: March 30, 2012
	By: /s/ Jon C. Sundt Name: Jon C. Sundt Title: Executive Officer, Principal Financial Officer and majority of the board of directors, or equivalent thereof, of Altegris Portfolio Management, Inc.

ALTEGRIS WINTON FUTURES FUND, L.P.

FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

ALTEGRIS WINTON FUTURES FUND, L.P.

TABLE OF CONTENTS

	PAGES
Affirmation of the Commodity Pool Operator	1
Report of Independent Registered Public Accounting Firm	2
Financial Statements
Statements of Financial Condition	3
Condensed Schedules of Investments	4 – 9
Statements of Operations	10
Statements of Changes in Partners’ Capital (Net Asset Value)	11
Notes to Financial Statements	12 – 27

ALTEGRIS WINTON FUTURES FUND, L.P.

AFFIRMATION OF THE COMMODITY POOL OPERATOR

To the Partners of

Altegris Winton Futures Fund, L.P.

To the best of the knowledge and belief of the undersigned, the information contained in this Annual Report for the years ended December 31, 2011, 2010 and 2009 is accurate and complete.

	By:	/s/ Robert J. Amedeo
	Altegris Portfolio Management, Inc.
	Commodity Pool Operator for
	Altegris Winton Futures Fund, L.P.
	By: Robert J. Amedeo, Executive Vice President

Report of Independent Registered Public Accounting Firm

The Board of Directors and Partners of Altegris Winton Futures Fund, L.P.

We have audited the statement of financial condition of Altegris Winton Futures Fund, L.P. as of December 31, 2011, and the related statements of operations and changes in partners’ capital for the year then ended. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audit. The financial statements of Altegris Winton Futures Fund, L.P. for the years ended December 31, 2010 and December 31, 2009, were audited by other auditors whose report dated March 25, 2011, expressed an unqualified opinion on those statements.

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

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Altegris Winton Futures Fund, L.P. at December 31, 2011, and the results of its operations, and changes in partners’ capital for the year ended December 31, 2011, in conformity with U.S. generally accepted accounting principles.

March 26, 2012

- 2 -

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2011 and DECEMBER 31, 2010

	2011		2010
ASSETS
Equity in Newedge USA, LLC account
Cash	$	8,198,923	$	17,841,814
Restricted cash		37,309,186		23,233,711
Restricted foreign currency		16,544,395		12,699,061
Foreign currency		-		599,862
Unrealized gain on open commodity futures contracts		17,185,051		22,951,037
Long options (cost $52,560 and $37,075)		18,248		26,870
Unrealized gain (loss) on open forward contracts		135,474		306,861

		79,391,277		77,659,216

Cash and cash equivalents		25,097,534		3,295,383
Investment securities at value
(cost - $760,362,204 and $668,127,850)		760,525,198		668,207,948
Interest receivable		238,248		370,248

Total assets	$	865,252,257	$	749,532,795

LIABILITIES
Equity in Newedge USA, LLC account:
Foreign currency	$	6,961,956	$	-
Short options (proceeds $107,725 and $68,475)		42,215		52,595
Commissions payable		1,006,865		803,819
Management fee payable		739,177		606,442
Advisory fee payable		632,266		516,079
Administrative fee payable		151,111		117,803
Service fees payable		671,132		577,289
Incentive fee payable		173,767		6,826,279
Redemptions payable		18,919,367		6,198,800
Subscriptions received in advance		15,218,831		22,079,436
Other liabilities		1,056,143		548,322

Total liabilities		45,572,830		38,326,864


PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		3,655		3,547
Limited Partners		819,675,772		711,202,384

Total partners' capital (Net Asset Value)		819,679,427		711,205,931

Total liabilities and partners' capital	$	865,252,257	$	749,532,795

See accompanying notes.

- 3 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2011

INVESTMENT SECURITIES

Face Value		Maturity Date	Decription	Value		% of Partners Capital

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	5,000,000	5/2/2013	Federal Farm Credit Bank, 0.75%	$	5,027,575		0.61	%
	20,000,000	4/4/2013	Federal Farm Credit Bank, 0.84%		20,027,380		2.44	%
	15,000,000	4/15/2013	Federal Farm Credit Bank, 0.85%		15,102,345		1.84	%
	21,306,000	1/3/2012	Federal Farm Credit Bank Disc Note, 0.01%		21,305,988		2.60	%
	20,000,000	1/11/2012	Federal Home Loan Bank, 0.10%		19,999,920		2.44	%
	1,000,000	4/2/2012	Federal Home Loan Bank , 0.16%		1,000,099		0.12	%
	12,000,000	4/2/2012	Federal Home Loan Bank, 0.11%		12,001,488		1.46	%
	7,000,000	5/18/2012	Federal Home Loan Bank, 1.13%		7,026,362		0.86	%
	16,000,000	7/18/2012	Federal Home Loan Bank, 0.25%		16,003,440		1.95	%
	31,850,000	9/7/2012	Federal Home Loan Bank , 0.14%		31,827,832		3.88	%
	10,000,000	9/10/2012	Federal Home Loan Bank, 0.14%		9,992,890		1.22	%
	10,000,000	9/14/2012	Federal Home Loan Bank, 0.20%		9,996,860		1.22	%
	7,000,000	9/25/2012	Federal Home Loan Bank , 0.14%		6,994,470		0.85	%
	5,500,000	10/25/2012	Federal Home Loan Bank , 0.13%		5,494,434		0.67	%
	3,000,000	11/2/2012	Federal Home Loan Bank, 0.13%		2,996,862		0.37	%
	18,000,000	11/7/2012	Federal Home Loan Bank, 0.20%		17,991,972		2.20	%
	15,000,000	11/16/2012	Federal Home Loan Bank , 0.50%		15,005,865		1.83	%
	8,674,000	4/29/2013	Federal Home Loan Mortgage Corporation , 0.70%		8,676,559		1.06	%
	20,000,000	1/3/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.01%		19,999,967		2.44	%
	14,300,000	2/13/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.02%		14,299,671		1.74	%
	36,100,000	2/6/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.02%		36,099,314		4.40	%
	15,000,000	4/9/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.02%		14,999,190		1.83	%
	8,500,000	5/29/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.02%		8,499,303		1.04	%
	10,000,000	7/6/2012	Federal Home Loan Mortgage Corporation Disc Note, 0.05%		9,997,430		1.22	%
	10,000,000	10/30/2012	Federal National Mortgage Association, 0.50%		10,015,620		1.22	%
	18,550,000	4/20/2012	Federal National Mortgage Association, 1.88%		18,648,371		2.28	%
	10,227,000	1/3/2012	Federal National Mortg Assoc Disc Note, 0.01%		10,226,983		1.25	%
	25,300,000	5/1/2012	Federal National Mortg Assoc Disc Note, 0.02%		25,298,330		3.09	%

Total U.S. Government Agency Bonds and Notes (cost - $394,393,526)					394,556,520		48.13	%

See accompanying notes.

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

INVESTMENT SECURITIES (continued)

Face Value		Maturity Date	Decription	Value		% of Partners Capital

Fixed Income Investments (continued)

Corporate Notes
$	8,700,000	1/27/2012	Amsterdam Funding Disc Note, 0.18%	$	8,698,038		1.06	%
	1,000,000	1/3/2012	Argento Variable Funding Disc Note, 0.15%		999,750		0.12	%
	15,500,000	1/4/2012	Aspen Funding Disc Note, 0.15%		15,496,194		1.88	%
	20,150,000	1/4/2012	Bank of Montreal, 0.12%		20,150,000		2.45	%
	18,000,000	1/3/2012	Bank Of Nova Scotia Disc Note, 0.03%		17,999,940		2.20	%
	19,850,000	1/4/2012	Bank of Tokyo-Mitsubishi Disc Note, 0.14%		19,849,614		2.42	%
	21,000,000	1/9/2012	Coca-Cola Enterprises Disc Note, 0.06%		20,999,271		2.56	%
	26,650,000	1/11/2012	General Electric Capital Disc Note, 0.02%		26,649,793		3.25	%
	18,900,000	1/13/2012	Google Disc Note, 0.17%		18,899,265		2.31	%
	15,500,000	1/6/2012	Grampian Funding LLC Disc Note, 0.15%		15,496,383		1.89	%
	22,650,000	1/6/2012	Mizuho Funding LLC Disc Note, 0.18%		22,646,433		2.76	%
	15,400,000	1/13/2012	Mont Blanc Capital Disc Note, 0.33%		15,395,765		1.88	%
	22,650,000	1/13/2012	National Australian Bank, 0.05%		22,650,000		2.76	%
	12,000,000	1/11/2012	National Bank of Canada, 0.09%		12,000,000		1.46	%
	11,100,000	1/6/2012	NetJets Disc Note, 0.15%		11,099,464		1.35	%
	9,850,000	1/13/2012	Norinchukin Bank, 0.30%		9,850,000		1.20	%
	15,100,000	1/5/2012	Pfizer Disc Note, 0.03%		15,099,748		1.84	%
	13,800,000	1/10/2012	Shizuoka Bank 0.40%		13,800,958		1.68	%
	20,100,000	1/6/2012	State Street Bank & Trust, 0.18%		20,098,325		2.45	%
	23,100,000	1/12/2012	Sumitomo Mutsui Banking, 0.20%		23,095,688		2.82	%
	18,000,000	1/6/2012	Tasman Funding, Inc Disc Note, 0.15%		17,994,540		2.20	%
	17,000,000	1/23/2012	Toyota Motor Credit Disc Note, 0.06%		16,999,509		2.07	%

Total Corporate Notes (cost - $365,968,678)					365,968,678		44.61	%


Total investment securities (cost - $760,362,204)				$	760,525,198		92.74	%

See accompanying notes.

- 5 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2011

	Range of Expiration Dates	Number of Contracts			Value			% of Partners Capital

LONG FUTURES CONTRACTS:
Agriculture	Jan 12 - May 12		516		$	(628,141	)		(0.08	)%
Currencies	Jan 12 - Mar 12		1,869			2,390,376			0.29	%
Energy	Jan 12 - Apr 12		471			296,448			0.04	%
Interest Rates	Jan 12 - Mar 13		11,856			7,670,327			0.94	%
Metals	Jan 12 - Mar 12		896			(4,359,872	)		(0.53	)%
Stock Indices	Jan 12 - Mar 12		1,178			700,103			0.09	%
Swapnote Future	Mar-12		10			2,535			0.00	%
Treasury Rates	Mar-12		3,095			2,545,656			0.31	%

Total long futures contracts			19,891			8,617,432			1.06	%

SHORT FUTURES CONTRACTS:
Agriculture	Jan 12 - May 12		(2,273	)		(758,235	)		(0.09	)%
Currencies	Mar-12		(3,643	)		6,391,032			0.78	%
Energy	Jan 12 - Mar 12		(914	)		825,687			0.10	%
Interest Rates	Mar 12 - Sep 12		(822	)		(6,554	)		0.00	%
Metals	Jan 12 - Nov 12		(1,368	)		2,025,867			0.25	%
Stock Indices	Jan 12 - Mar 12		(614	)		89,822			0.01	%

Total short futures contracts			(9,634	)		8,567,619			1.05	%

Total futures contracts			10,257		$	17,185,051			2.11	%

LONG OPTIONS CONTRACTS:
Future options (cost of $52,560)	Jan 12 - Mar 12		59		$	18,248			0.00	%

SHORT OPTIONS CONTRACTS:
Future options (proceeds of $107,725)	Jan 12 - Mar 12		59		$	42,215			0.01	%

LONG FORWARD CONTRACTS:
Currencies		$	24,390,147	(1)	$	(857,706	)		(0.10	)%

SHORT FORWARD CONTRACTS:
Currencies		$	13,143,514	(1)		993,180			0.12	%

Total forward currency contracts					$	135,474			0.02	%

(1) Represents the U.S. dollar equivalent of the notional amount bought or sold

See accompanying notes.

- 6 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2010

INVESTMENT SECURITIES

Face Value		Maturity Date	Decription	Value		% of Partners Capital

Fixed Income Investments

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.

- 7 -

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

INVESTMENT SECURITIES (continued)

Face Value		Maturity Date	Decription	Value		% of Partners Capital

Fixed Income Investments (continued)

Corporate Notes
$	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 (cost - $344,976,784)					344,976,784		48.50	%


Total investment securities (cost - $668,127,850)				$	668,207,948		93.95	%

See accompanying notes.

- 8 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2010

	Range of Expiration Dates	Number of Contracts			Value			% of Partners Capital

LONG FUTURES CONTRACTS:
Agriculture	Jan 11 - May 11		2,201		$	7,417,490			1.04	%
Currencies	Mar-11		2,595			7,864,918			1.11	%
Energy	Jan 11 - Apr 11		750			2,099,592			0.30	%
Interest Rates	Jan 11 - Sept 12		2,052			202,835			0.03	%
Metals	Jan 11 - Nov 11		1,097			9,067,155			1.27	%
Stock Indices	Jan 11 - Mar 11		3,192			1,755,026			0.25	%
Treasury Rates	Mar-11		6			938			0.00	%

Total long futures contracts			11,893			28,407,954			4.00	%

SHORT FUTURES CONTRACTS:
Currencies	Jan 11 - Mar 11		652			(895,501	)		(0.13	)%
Energy	Jan 11 - Mar 11		195			(461,075	)		(0.06	)%
Interest Rates	Mar 11 - Mar 13		1,203			(912,147	)		(0.13	)%
Metals	Jan 11 - Nov 11		281			(2,883,257	)		(0.41	)%
Stock Indices	Jan 11 - Mar 11		119			47,938			0.01	%
Treasury Rates	Mar-11		734			(352,875	)		(0.05	)%

Total short futures contracts			3,184			(5,456,917	)		(0.77	)%

Total futures contracts			15,077		$	22,951,037			3.23	%

LONG OPTIONS CONTRACTS:
Stock Indices (cost of $37,075)	Jan 11 - Mar 11		61		$	26,870			0.00	%

SHORT OPTIONS CONTRACTS:
Stock Indices (proceeds of $68,475)	Jan 11 - Mar 11		61		$	52,595			0.01	%

LONG FORWARD CONTRACTS:
Currencies	Jan 11 - Mar 11	$	8,953,081	(1)	$	(122,541	)		(0.02	)%

SHORT FORWARD CONTRACTS:
Currencies	Jan 11 - Mar 11	$	26,337,522	(1)		429,402			0.06	%

Total forward currency contracts					$	306,861			0.04	%

(1) Represents the U.S. dollar equivalent of the notional amount bought or sold

See accompanying notes.

- 9 -

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF OPERATIONS

YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	2011			2010			2009
TRADING GAINS (LOSSES)
Gain (loss) on trading of derivatives contracts
Realized	$	76,690,402		$	80,737,744		$	(15,134,007	)
Change in unrealized		(5,911,850	)		20,492,318			(1,403,056	)
Brokerage commissions		(11,985,887	)		(9,080,039	)		(5,636,378	)

Gain (loss) from trading futures		58,792,665			92,150,023			(22,173,441	)

Gain (loss) on trading of securities
Realized		845,767			6,417			(1,633	)
Change in unrealized		82,896			(295,824	)		260,900

Gain (loss) from trading securities		928,663			(289,407	)		259,267

Foreign currency translation gains (losses)		(1,584,765	)		(699,140	)		(366,896	)

Total trading gains (losses)		58,136,563			91,161,476			(22,281,070	)

NET INVESTMENT INCOME (LOSS)
Income
Interest income		1,671,316			3,110,927			3,044,150

Expenses
Management fee		8,442,954			6,240,462			4,043,734
Advisory fee		7,256,692			5,287,476			3,266,333
Administrative fee		1,663,244			1,166,030			616,020
Service fees		7,455,501			5,849,080			4,014,434
Incentive fee		11,798,283			14,074,548			546,869
Professional fees		3,076,319			2,097,027			1,169,523

Total expenses		39,692,993			34,714,623			13,656,913

Net investment (loss)		(38,021,677	)		(31,603,696	)		(10,612,763	)

NET INCOME (LOSS)	$	20,114,886		$	59,557,780		$	(32,893,833	)

See accompanying notes.

- 10 -

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)

YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

				Limited Partners

	Total			Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests			General Partner

Balances at December 31, 2008	$	259,047,478		$	106,046,677		$	16,246,048		$	3,150,480		$	31,171,321		$	28,262,426		$	74,167,035		$	3,491

Transfers		-			(1,619,578	)		918,871			-			(584,077	)		92,967			1,191,817			-

Capital additions		341,256,824			169,092			1,121			37,650,000			154,019,760			85,850,610			63,566,241			-

Capital withdrawals		(51,787,951	)		(16,975,386	)		(1,277,714	)		(8,581,457	)		(7,082,968	)		(3,645,724	)		(14,224,702	)		-

From operations:
Net investment income (loss)		(10,612,763	)		(2,116,691	)		(197,201	)		(287,223	)		(4,823,533	)		(1,753,606	)		(1,434,433	)		(76	)
Net realized gain (loss) from investments		(21,138,914	)		(5,609,474	)		(832,232	)		(1,831,697	)		(4,210,817	)		(3,392,244	)		(5,262,259	)		(191	)
Net change in unrealized gain (loss) from investments		(1,142,156	)		(734,228	)		(117,209	)		333,559			(253,056	)		(160,020	)		(211,177	)		(25	)
Net (loss) for the year
ended December 31, 2009		(32,893,833	)		(8,460,393	)		(1,146,642	)		(1,785,361	)		(9,287,406	)		(5,305,870	)		(6,907,869	)		(292	)

Offering costs		(156,742	)		(37,727	)		(6,117	)		(6,107	)		(40,512	)		(27,680	)		(38,598	)		(1	)

Balances at December 31, 2009		515,465,776			79,122,685			14,735,567			30,427,555			168,196,118			105,226,729			117,753,924			3,198

Transfers		-			(453,632	)		246,598			(8,536	)		(1,311,937	)		(151,857	)		1,679,364			-

Capital additions		206,104,505			-			-			-			98,969,697			65,849,181			41,285,627			-

Capital withdrawals		(69,814,413	)		(10,772,314	)		(2,182,836	)		(7,376,730	)		(21,068,451	)		(8,958,253	)		(19,455,829	)		-

From operations:
Net investment income (loss)		(31,603,696	)		(3,204,975	)		(471,188	)		(1,020,820	)		(15,021,996	)		(6,865,980	)		(5,018,596	)		(141	)
Net realized gain (loss) from investments		70,964,982			8,440,365			1,640,243			3,316,228			25,517,675			16,729,908			15,320,188			375
Net change in unrealized gain (loss) from investments		20,196,494			2,627,772			542,045			1,050,906			7,160,901			4,716,292			4,098,463			115
Net income for the year
ended December 31, 2010		59,557,780			7,863,162			1,711,100			3,346,314			17,656,580			14,580,220			14,400,055			349

Offering costs		(107,717	)		(12,743	)		(2,545	)		(5,108	)		(38,542	)		(25,968	)		(22,811	)		-

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		-			(27,436	)		27,436			-			(1,762,895	)		(409,651	)		2,172,546			-

Capital additions		229,701,224			-			-			5,000,000			101,778,037			67,815,420			55,107,767			-

Capital withdrawals		(141,217,455	)		(10,273,421	)		(985,133	)		-			(44,735,329	)		(21,390,884	)		(63,832,688	)		-

From operations:
Net investment income (loss)		(38,021,677	)		(3,212,146	)		(483,645	)		(875,524	)		(18,598,400	)		(8,653,700	)		(6,198,104	)		(158	)
Net realized gain (loss) from investments		63,965,517			6,039,491			1,174,854			2,171,138			23,542,329			16,137,378			14,900,034			293
Net change in unrealized gain (loss) from investments		(5,828,954	)		(648,465	)		(110,672	)		(56,323	)		(1,910,250	)		(1,025,494	)		(2,077,723	)		(27	)
Net income for the year
ended December 31, 2011		20,114,886			2,178,880			580,537			1,239,291			3,033,679			6,458,184			6,624,207			108

Offering costs		(125,159	)		(12,031	)		(2,310	)		(4,329	)		(46,677	)		(31,176	)		(28,636	)		-

Balances at December 31, 2011	$	819,679,427		$	67,613,150		$	14,128,414		$	32,618,457		$	320,670,280		$	228,961,945		$	155,683,526		$	3,655

See accompanying notes.

- 11 -

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 U.S. (“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’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2011 and 2010, and reported amounts of income and expenses for the years then ended. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

Cash and Cash Equivalents

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

The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The FDIC temporarily increased its limit to $250,000 until December 31, 2013. The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant credit risk related to its cash account.

- 12 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Investment Transactions and Investment Income

Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the identified cost method. 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.

The Partnership may engage in futures contracts as part of its investment strategy to hedge against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized appreciation/depreciation on futures contracts. The Partnership recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments, which may not correlate with the change in value of the investments that are intended to hedge against. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2011 are reflected within the Condensed Schedule of Investments.

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

Forward currency contracts may be entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a specific future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to foreign currency backing some of the investments held by the Fund. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar.

- 13 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value

In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.

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

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

Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Partnership has the ability to access.

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.

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.

- 14 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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

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

The fair value of 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 bonds are generally categorized in Levels 1 or 2 of the fair value hierarchy. There were no fair value U.S. Government agency bonds and notes at December 31, 2011 and 2010.

The fair value of corporate notes is estimated using recently executed transactions, market price quotations (where observable), bond spreads or credit default swap spreads. The spread data used are for the same maturity as of the bond. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. There were no fair value corporate notes at December 31, 2011 and 2010.

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

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

- 15 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

December 31, 2011	(Level 1)		(Level 2)		(Level 3)		Balance as of December 31, 2011
Assets:
Futures contracts (1)	$	27,291,482	$	-	$	-	$	27,291,482
Options contracts		18,248		-		-		18,248
Forward currency contracts		-		1,227,422		-		1,227,422
US Government agency obligations		394,556,520		-		-		394,556,520
Corporate notes		-		365,968,678		-		365,968,678

	$	421,866,250	$	367,196,100	$	-	$	789,062,350

Liabilities:
Futures contracts (1)	$	10,106,431	$	-	$	-	$	10,106,431
Options contracts		42,215		-		-		42,215
Forward currency contracts		-		1,091,948		-		1,091,948

	$	10,148,646	$	1,091,948	$	-	$	11,240,594

December 31, 2010	(Level 1)		(Level 2)		(Level 3)		Balance as of December 31, 2010
Assets:
Futures contracts (1)	$	29,721,256	$	-	$	-	$	29,721,256
Options contracts		26,870		-		-		26,870
Forward currency contracts		-		521,425		-		521,425
US Government agency obligations		323,231,164		-		-		323,231,164
Corporate notes		-		344,976,784		-		344,976,784

	$	352,979,290	$	345,498,209	$	-	$	698,477,499

Liabilities:
Futures contracts (1)	$	6,770,219	$	-	$	-	$	6,770,219
Options contracts		52,595		-		-		52,595
Forward currency contracts		-		214,564		-		214,564

	$	6,822,814	$	214,564	$	-	$	7,037,378

(1)	See Note 1. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.

For the years ended December 31, 2011 and 2010, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2011 and 2010, there have been no significant changes to the Partnership’s fair valuation methodologies.

- 16 -

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 may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

Capital Accounts and Allocation of Income and Losses

The Partnership accounts for subscriptions, allocations and redemptions on a per partner capital account basis.

The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”). Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”). Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner.

Income Taxes

As an entity taxable as a partnership, the Partnership is not itself subject to federal income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses.

- 17 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Income Taxes (continued)

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of December 31, 2011 and 2010. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and for the years ended December 31, 2011, and December 31, 2010.

The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2008.

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 Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

The following presents the fair value of derivative contracts at December 31, 2011 and 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.

- 18 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

December 31, 2011
	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value
Futures Contracts	$	27,291,482	$	(10,106,431	)	$	17,185,051

Options on Futures Contracts		18,248		(42,215	)		(23,967	)

Forward Currency Contracts		1,227,422		(1,091,948	)		135,474

Total Gross Fair Value of Derivatives	$	28,537,152	$	(11,240,594	)	$	17,296,558

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 years ended December 31, 2011 and 2010. The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statements of operations.

- 19 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Financial Derivative Instruments (continued)

Year Ended December 31, 2011
	Realized			Change in Unrealized			Number of Contracts Closed
Futures Contracts	$	76,736,088		$	(5,765,986	)		144,248

Options on Futures Contracts		338,167			25,523			3,123

Forward Currency Contracts		(383,853	)		(171,387	)	$	12,098,305,181	(1)
Total gains from derivatives trading	$	76,690,402		$	(5,911,850	)

(1) Represents the U.S. dollar equivalent of the notional amount bought or sold

Year Ended December 31, 2010
	Realized			Change in Unrealized			Number of Contracts Closed
Futures Contracts	$	80,489,643		$	20,199,789			196,155

Options on Futures Contracts		246,914			(11,105	)		1,164

Forward Currency Contracts		1,187			303,634		$	141,352,130	(1)
Total gains from derivatives trading	$	80,737,744		$	20,492,318

(1) Represents the U.S. dollar equivalent of the notional amount bought or sold

Reclassifications

Certain amounts in the 2010 and 2009 financial statements were reclassified to conform with the 2011 presentation.

- 20 -

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 addition, the General Partner has assigned a portion of its management fees earned to the Advisor. Total management fees earned by the Advisor for the years ended December 31, 2011, 2010 and 2009 were $7,256,692, $5,287,476 and $3,266,333, respectively.

Brokerage Agreements

Newedge USA, LLC is the Partnership’s commodity broker (the “Clearing Broker”), pursuant to the terms of a brokerage agreement. The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf.

General Partner Management Fee

The General Partner receives from the Partnership a monthly management fee equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% to 0.125% (0.50% to 1.5% annually) for Special Interests of the Partnership's management fee net asset value (as defined). Effective July 1, 2008, the General Partner receives from the Partnership a monthly management fee equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value (as defined). The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)

Total management fees earned by the General Partner, net of such management fees assigned to the Advisor, for the years ended December 31, 2011, 2010 and 2009 were $8,442,954, $6,240,462 and $4,043,734, respectively. Management fees payable to the General Partner as of December 31, 2011, 2010 and 2009 were $739,177, $606,442 and $446,310, respectively.

Administrative Fee

Effective July 1, 2008, the General Partner receives from the Partnership a monthly administrative fee equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value (as defined in the Agreement) attributable to Class A and Class B Interests.

Service Fees

Original Class A Interests and Class A Interests pay selling agents an ongoing payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month end as compensation for their continuing services to the Limited Partners. Effective March 1, 2009 selling agents may, at their option, elect to receive the service fee for the sale of Institutional Interests.

Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month end as compensation for their continuing services to the Limited Partners holding Institutional Interests.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 2 - AGREEMENTS AND RELATED PARTIES (CONTINUED)

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 year ended December 31, 2011 commissions and interest income received by Altegris Futures amounted to $11,243,205, and continuing compensation received by Altegris Investments amounted to $1,307,330. For the years ended December 31, 2010 and 2009, commissions, interest income and continuing compensation received by Altegris Investments amounted to $9,352,644, and $6,358,789, respectively.

Effective March 1, 2009, the Partnership pays to its clearing brokers and Altegris, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value (as defined). Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.

Subscriptions, Distributions and Redemptions

Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

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

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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

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

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

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.

Effective as of June 10, 2011, the 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, 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.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 4 - INDEMNIFICATIONS

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

NOTE 5 - 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.

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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 years ended December 31, 2011, 2010 and 2009. This information has been derived from information presented in the financial statements.

December 31, 2011

	Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests

Total return for Limited Partners
Return prior to incentive fees		4.51	%		5.55	%		5.81	%		2.64	%		4.69	%		5.53	%
Incentive fees		(1.50	)%		(1.50	)%		(1.56	)%		(1.51	)%		(1.54	)%		(1.51	)%

Total return after incentive fees		3.01	%		4.05	%		4.25	%		1.13	%		3.15	%		4.02	%

Ratio to average net asset value
Expenses prior to incentive fees (1)		3.15	%		2.14	%		1.90	%		5.02	%		3.01	%		2.19	%
Incentive fees		1.48	%		1.48	%		1.49	%		1.47	%		1.49	%		1.52	%

Total expenses		4.63	%		3.62	%		3.39	%		6.49	%		4.50	%		3.71	%

Net investment (loss) (1) (2)		(2.93	)%		(1.92	)%		(1.67	)%		(4.80	)%		(2.76	)%		(1.96	)%

December 31, 2010

	Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests

Total return for Limited Partners
Return prior to incentive fees		12.65	%		13.82	%		14.09	%		10.63	%		12.87	%		13.78	%
Incentive fees		(1.77	)%		(1.78	)%		(2.32	)%		(2.60	)%		(2.51	)%		(2.35	)%

Total return after incentive fees		10.88	%		12.04	%		11.77	%		8.03	%		10.36	%		11.43	%

Ratio to average net asset value
Expenses prior to incentive fees (1)		3.12	%		2.08	%		1.88	%		4.95	%		2.94	%		2.12	%
Incentive fees		1.61	%		1.64	%		2.06	%		2.59	%		2.51	%		2.25	%

Total expenses		4.73	%		3.72	%		3.94	%		7.54	%		5.45	%		4.37	%

Net investment (loss) (1) (2)		(2.59	)%		(1.55	)%		(1.35	)%		(4.44	)%		(2.44	)%		(1.60	)%

Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.

(1)	Includes offering costs, if any.

(2)	Excludes incentive fee.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 6 -FINANCIAL HIGHLIGHTS (CONTINUED)

December 31, 2009

	Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests

Total return for Limited Partners
Return prior to incentive fees		(8.39	)%		(7.45	)%		(7.26	)%		(10.07	)%		(8.25	)%		(7.48	)%
Incentive fees		0.00	%		(0.01	)%		(0.12	)%		(0.21	)%		(0.16	)%		(0.08	)%

Total return after incentive fees		(8.39	)%		(7.46	)%		(7.38	)%		(10.28	)%		(8.41	)%		(7.56	)%

Ratio to average net asset value
Expenses prior to incentive fees (1)		3.06	%		2.07	%		1.83	%		4.88	%		2.89	%		2.07	%
Incentive fees		0.00	%		0.01	%		0.11	%		0.25	%		0.19	%		0.09	%

Total expenses		3.06	%		2.08	%		1.94	%		5.13	%		3.08	%		2.16	%

Net investment (loss) (1) (2)		(2.36	)%		(1.36	)%		(1.08	)%		(4.14	)%		(2.16	)%		(1.35	)%

(1) Includes offering costs, if any.

(2) Excludes incentive fee.

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.

From January 1, 2012 through March 1, 2012, the Partnership had subscriptions of $65,247,648 and redemptions of $25,005,374.

Attached files

Altegris Winton Futures Fund, L.P. Reports

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