Attached files
file | filename |
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EX-31.1 - Altegris Winton Futures Fund, L.P. | fp0005333_ex311.htm |
EX-31.2 - Altegris Winton Futures Fund, L.P. | fp0005333_ex312.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[X]
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For the quarterly period ended June 30, 2012
[ ]
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For the transition period from ________ to ___________
Commission file number: 000-53348
ALTEGRIS WINTON FUTURES FUND, L.P.
(Exact name of registrant as specified in its charter)
COLORADO
(State or other jurisdiction
of incorporation or organization)
|
84-1496732
(I.R.S. Employer
Identification No.)
|
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1202 Bergen Parkway, Suite 212
Evergreen, Colorado 80439
|
(Address of principal executive offices) (zip code)
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(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 whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes [X]
|
No [ ]
|
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes [X]
|
No [ ]
|
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer, or a smaller reporting company. See definition of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer [ ]
|
Accelerated filer [ ]
|
Non-accelerated filer [X]
|
Smaller reporting company [ ]
|
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [ ] No [X]
ALTEGRIS WINTON FUTURES FUND, L.P.
TABLE OF CONTENTS
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Page
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PART I – FINANCIAL INFORMATION
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1
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Item 1.
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Financial Statements
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1
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Statements of Financial Condition
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2
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Condensed Schedules of Investments
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3
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Statements of Operations
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8
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Statements of Changes in Partners’ Capital (Net Asset Value)
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9
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Notes to Financial Statements
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10
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Item 2.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations
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24
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Item 3.
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Quantitative and Qualitative Disclosures About Market Risk
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26
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Item 4.
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Controls and Procedures
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26
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PART II – OTHER INFORMATION
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26
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Item 1.
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Legal Proceedings
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26
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Item 1A.
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Risk Factors
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26
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Item 2.
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Unregistered Sales of Equity Securities and Use of Proceeds
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29
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Item 3.
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Defaults Upon Senior Securities
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29
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Item 4.
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Mine Safety Disclosure
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29
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Item 5.
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Other Information
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29
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Item 6.
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Exhibits
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29
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Signatures
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31
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Rule 13a–14(a)/15d–14(a) Certifications
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32
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Section 1350 Certifications
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33
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PART I – FINANCIAL INFORMATION
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||
STATEMENTS OF FINANCIAL CONDITION
|
|||||
JUNE 30, 2012 (Unaudited) and DECEMBER 31, 2011 (Audited)
|
June 30, 2012
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December 31, 2011
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|||||||
ASSETS
|
||||||||
Equity in Newedge USA, LLC account
|
||||||||
Cash
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$ | 4,933,220 | $ | 8,198,923 | ||||
Restricted cash
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36,212,262 | 37,309,186 | ||||||
Restricted foreign currency (cost - $21,028,493 and $16,999,640)
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21,148,697 | 16,544,395 | ||||||
Foreign currency (cost - $505,263 and $0)
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508,151 | - | ||||||
Unrealized gain on open commodity futures contracts
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- | 17,185,051 | ||||||
Long options (cost $45,620 and $52,560)
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10,601 | 18,248 | ||||||
Unrealized gain on open forward contracts
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292,852 | 135,474 | ||||||
63,105,783 | 79,391,277 | |||||||
Cash
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23,277,022 | 25,097,534 | ||||||
Investment securities at value
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||||||||
(cost - $731,847,133 and $760,362,204)
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731,888,894 | 760,525,198 | ||||||
Interest receivable
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478,474 | 238,248 | ||||||
Total assets
|
$ | 818,750,173 | $ | 865,252,257 | ||||
LIABILITIES
|
||||||||
Equity in Newedge USA, LLC account:
|
||||||||
Foreign currency (cost - $0 and $7,153,525)
|
$ | - | $ | 6,961,956 | ||||
Unrealized loss on open commodity futures contracts
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3,878,570 | - | ||||||
3,878,570 | 6,961,956 | |||||||
Short options (proceeds $94,860 and $107,725)
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26,829 | 42,215 | ||||||
Commissions payable
|
1,089,777 | 1,006,865 | ||||||
Management fee payable
|
748,487 | 739,177 | ||||||
Advisory fee payable
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639,585 | 632,266 | ||||||
Administrative fee payable
|
155,932 | 151,111 | ||||||
Service fees payable
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629,672 | 671,132 | ||||||
Incentive fee payable
|
- | 173,767 | ||||||
Redemptions payable
|
13,393,625 | 18,919,367 | ||||||
Subscriptions received in advance
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10,835,161 | 15,218,831 | ||||||
Other liabilities
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930,106 | 1,056,143 | ||||||
Total liabilities
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32,327,744 | 45,572,830 | ||||||
PARTNERS' CAPITAL (NET ASSET VALUE)
|
||||||||
General Partner
|
3,443 | 3,655 | ||||||
Limited Partners
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786,418,986 | 819,675,772 | ||||||
Total partners' capital (Net Asset Value)
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786,422,429 | 819,679,427 | ||||||
Total liabilities and partners' capital
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$ | 818,750,173 | $ | 865,252,257 |
See accompanying notes.
-1-
ALTEGRIS WINTON FUTURES FUND, L.P.
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|||||||||
CONDENSED SCHEDULE OF INVESTMENTS
|
|||||||||
JUNE 30, 2012 (Unaudited)
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INVESTMENT SECURITIES
|
|||||||||||||
Face Value
|
Maturity Date
|
Decription
|
Value
|
% of Partners Capital
|
|||||||||
Fixed Income Investments
|
|||||||||||||
U.S. Government Agency Bonds and Notes
|
|||||||||||||
$ | 16,837,000 |
7/2/2012
|
Federal Farm Credit Bank Disc Note, 0.01%
|
$ | 16,836,995 | 2.14 | % | ||||||
15,000,000 |
4/15/2013
|
Federal Farm Credit Bank, 0.85%
|
15,065,280 | 1.92 | % | ||||||||
5,000,000 |
5/2/2013
|
Federal Farm Credit Bank, 0.75%
|
5,018,255 | 0.64 | % | ||||||||
19,300,000 |
7/5/2012
|
Federal Home Loan Bank Disc Note, 0.02%
|
19,299,942 | 2.45 | % | ||||||||
26,500,000 |
7/13/2012
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Federal Home Loan Bank Disc Note, 0.02%
|
26,499,761 | 3.37 | % | ||||||||
15,000,000 |
7/18/2012
|
Federal Home Loan Bank Disc Note, 0.03%
|
14,999,805 | 1.91 | % | ||||||||
15,400,000 |
1/29/2013
|
Federal Home Loan Bank, 0.38%
|
15,410,164 | 1.96 | % | ||||||||
10,000,000 |
9/14/2012
|
Federal Home Loan Bank, 0.20%
|
10,001,000 | 1.27 | % | ||||||||
18,000,000 |
11/7/2012
|
Federal Home Loan Bank, 0.20%
|
18,003,114 | 2.29 | % | ||||||||
5,500,000 |
10/25/2012
|
Federal Home Loan Bank, 0.13%
|
5,499,566 | 0.70 | % | ||||||||
10,000,000 |
9/10/2012
|
Federal Home Loan Bank, 1.14%
|
9,999,810 | 1.27 | % | ||||||||
3,000,000 |
11/2/2012
|
Federal Home Loan Bank, 0.13%
|
2,999,751 | 0.38 | % | ||||||||
31,850,000 |
9/7/2012
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Federal Home Loan Bank, 1.14%
|
31,849,427 | 4.05 | % | ||||||||
7,000,000 |
9/25/2012
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Federal Home Loan Bank, 1.14%
|
6,999,839 | 0.89 | % | ||||||||
15,000,000 |
12/21/2012
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Federal Home Loan Bank, 1.21%
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15,001,035 | 1.91 | % | ||||||||
25,500,000 |
1/10/2013
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Federal Home Loan Bank, 1.18%
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25,493,294 | 3.24 | % | ||||||||
29,000,000 |
2/8/2013
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Federal Home Loan Bank, 1.16%
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28,982,629 | 3.69 | % | ||||||||
10,000,000 |
7/6/2012
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Federal Home Loan Mortg Corp Disc Note, 0.06%
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9,999,970 | 1.27 | % | ||||||||
5,000,000 |
9/14/2012
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Federal Home Loan Mortg Corporation, 2.00%
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5,018,485 | 0.64 | % | ||||||||
15,000,000 |
8/22/2012
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Federal Home Loan Mortg Corporation, 0.88%
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15,015,090 | 1.91 | % | ||||||||
10,000,000 |
10/30/2012
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Federal National Mortgage Association, 0.50%
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10,008,180 | 1.27 | % | ||||||||
30,000,000 |
5/7/2013
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Federal National Mortgage Association, 1.75%
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30,365,190 | 3.86 | % | ||||||||
Total U.S. Government Agency Bonds and Notes (cost - $338,310,190)
|
338,366,582 | 43.03 | % |
See accompanying notes.
-2-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
|||||||||
JUNE 30, 2012 (Unaudited)
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INVESTMENT SECURITIES (continued)
|
|||||||||||||
Face Value
|
Maturity Date
|
Decription
|
Value
|
% of Partners Capital
|
|||||||||
Fixed Income Investments (continued)
|
|||||||||||||
Corporate Notes
|
|||||||||||||
$ | 14,700,000 |
7/2/2012
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Alpine Securitization, 0.10%
|
$ | 14,699,878 | 1.87 | % | ||||||
22,100,000 |
7/12/2012
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Bank of Montreal, 0.17%
|
22,100,000 | 2.81 | % | ||||||||
35,000,000 |
7/2/2012
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Bank of Nova Scotia Disc Note, 0.09%
|
34,999,737 | 4.45 | % | ||||||||
21,600,000 |
7/19/2012
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General Electric Capital Corp Disc Note, 0.12%
|
21,597,894 | 2.75 | % | ||||||||
18,050,000 |
7/17/2012
|
Google, 0.11%
|
18,048,596 | 2.30 | % | ||||||||
22,500,000 |
7/5/2012
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Mizuho Funding LLC, 0.18%
|
22,500,000 | 2.86 | % | ||||||||
18,000,000 |
7/5/2012
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Mont Blanc Capital, 0.22%
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17,999,300 | 2.29 | % | ||||||||
18,000,000 |
7/27/2012
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Net Jet, 0.21%
|
17,998,050 | 2.29 | % | ||||||||
25,300,000 |
7/2/2012
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Newport Funding, 0.22%
|
25,299,536 | 3.22 | % | ||||||||
21,650,000 |
7/25/2012
|
Norinchukin Bank, 0.21%
|
21,650,000 | 2.75 | % | ||||||||
15,000,000 |
7/20/2012
|
RY, 0.13%
|
15,000,000 | 1.91 | % | ||||||||
22,000,000 |
7/5/2012
|
Siemens Capital, 0.13%
|
21,997,947 | 2.80 | % | ||||||||
21,650,000 |
7/26/2012
|
Sumitomo Trust & Banking Co Disc Note, 0.21%
|
21,650,000 | 2.75 | % | ||||||||
22,150,000 |
7/11/2012
|
Toronto-Dominion Holdings, 0.09%
|
22,147,440 | 2.82 | % | ||||||||
19,100,000 |
7/2/2012
|
Wal-Mart Stores, 0.08%
|
19,098,541 | 2.43 | % | ||||||||
Total Corporate Notes (cost - $316,786,919)
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316,786,919 | 40.30 | % | ||||||||||
U.S. Treasury Obligations
|
|||||||||||||
$ | 20,000,000 |
3/15/2013
|
United States Treasury Note, 1.38%
|
20,164,840 | 2.56 | % | |||||||
250,000 |
4/15/2013
|
United States Treasury Note, 1.75%
|
252,998 | 0.03 | % | ||||||||
25,000,000 |
5/15/2013
|
United States Treasury Note, 1.38%
|
25,246,100 | 3.21 | % | ||||||||
31,000,000 |
5/31/2013
|
United States Treasury Note, 0.50%
|
31,071,455 | 3.95 | % | ||||||||
Total United States Treasury Obligations (cost - $76,750,024)
|
76,735,393 | 9.75 | % | ||||||||||
Total investment securities (cost - $731,847,133)
|
$ | 731,888,894 | 93.08 | % |
See accompanying notes.
-3-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
|||||||||
JUNE 30, 2012 (Unaudited)
|
Range of
Expiration Dates
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Number of
Contracts
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Value
|
% of Partners Capital
|
|||||||||||
LONG FUTURES CONTRACTS:
|
||||||||||||||
Agriculture
|
Jul 12 - Feb 13
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1,355 | $ | 2,464,464 | 0.31 | % | ||||||||
Currencies
|
Jul 12 - Sep 12
|
1,688 | 318,851 | 0.04 | % | |||||||||
Energy
|
Jul 12 - Aug 12
|
249 | 203,059 | 0.03 | % | |||||||||
Interest Rates
|
Sept 12 - Sep 14
|
22,255 | 838,327 | 0.11 | % | |||||||||
Metals
|
Jul 12 - Nov 12
|
584 | (3,379,157 | ) | (0.43 | )% | ||||||||
Stock Indices
|
Sep-12
|
412 | 371,753 | 0.05 | % | |||||||||
Treasury Rates
|
Sep-12
|
3,966 | 2,393,538 | 0.30 | % | |||||||||
Total long futures contracts
|
30,509 | 3,210,835 | 0.41 | % | ||||||||||
SHORT FUTURES CONTRACTS:
|
||||||||||||||
Agriculture
|
Aug 12 - Mar 13
|
1,108 | (2,533,146 | ) | (0.32 | )% | ||||||||
Currencies
|
Sep-12
|
2,065 | (3,359,095 | ) | (0.43 | )% | ||||||||
Energy
|
Jul 12 - Oct 12
|
1,097 | (2,201,999 | ) | (0.28 | )% | ||||||||
Interest Rates
|
Sep-12
|
582 | (864,768 | ) | (0.11 | )% | ||||||||
Metals
|
Jul 12 - Apr 13
|
1,769 | 4,730,397 | 0.60 | % | |||||||||
Stock Indices
|
Jul 12 - Sep 12
|
1,198 | (2,860,794 | ) | (0.36 | )% | ||||||||
Total short futures contracts
|
7,819 | (7,089,405 | ) | (0.90 | )% | |||||||||
Total futures contracts
|
38,328 | $ | (3,878,570 | ) | (0.49 | )% | ||||||||
LONG OPTIONS CONTRACTS:
|
||||||||||||||
Stock Indices (cost of $45,620)
|
Jul 12 - Sep 12
|
55 | $ | 10,601 | 0.00 | % | ||||||||
SHORT OPTIONS CONTRACTS:
|
||||||||||||||
Stock Indices (proceeds of $94,860)
|
Jul 12 - Sep 12
|
55 | $ | 26,829 | 0.00 | % | ||||||||
LONG FORWARD CONTRACTS:
|
||||||||||||||
Currencies
|
$ | 136,497,096 | (1) | $ | 924,636 | 0.12 | % | |||||||
SHORT FORWARD CONTRACTS:
|
||||||||||||||
Currencies
|
$ | (135,446,014 | ) | (1) | (631,784 | ) | (0.08 | )% | ||||||
Total forward currency contracts
|
$ | 292,852 | 0.04 | % |
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold
|
See accompanying notes.
-4-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||
CONDENSED SCHEDULE OF INVESTMENTS
|
|||||||||
DECEMBER 31, 2011 (Audited)
|
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.
-5-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
|||||||||
DECEMBER 31, 2011 (Audited)
|
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.
-6-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
CONDENSED SCHEDULE OF INVESTMENTS (continued)
|
DECEMBER 31, 2011 (Audited)
|
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.
-7-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||||
STATEMENTS OF OPERATIONS
|
|||||||||||
FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011 (Unaudited)
|
Three Months Ended
|
Six Months Ended
|
|||||||||||||||
June 30,
|
June 30,
|
|||||||||||||||
2012
|
2011
|
2012
|
2011
|
|||||||||||||
TRADING GAIN (LOSS)
|
||||||||||||||||
Gain (loss) on trading of derivatives contracts
|
||||||||||||||||
Realized
|
$ | (23,569,244 | ) | $ | 3,004,831 | $ | (9,984,344 | ) | $ | 31,283,309 | ||||||
Change in unrealized
|
(2,332,526 | ) | (16,170,105 | ) | (20,904,429 | ) | (26,058,199 | ) | ||||||||
Brokerage commissions
|
(3,147,671 | ) | (3,000,791 | ) | (6,325,022 | ) | (5,819,740 | ) | ||||||||
Gain (loss) from trading futures
|
(29,049,441 | ) | (16,166,065 | ) | (37,213,795 | ) | (594,630 | ) | ||||||||
Gain (loss) on trading of securities
|
||||||||||||||||
Realized
|
93,814 | 121,989 | 206,784 | 488,469 | ||||||||||||
Change in unrealized
|
(85,159 | ) | 797,463 | (121,233 | ) | 240,858 | ||||||||||
Gain (loss) from trading securities
|
8,655 | 919,452 | 85,551 | 729,327 | ||||||||||||
Foreign currency translation gain (loss)
|
(311,203 | ) | 273,806 | 7,429 | 1,221,214 | |||||||||||
Total trading gain (loss)
|
(29,351,989 | ) | (14,972,807 | ) | (37,120,815 | ) | 1,355,911 | |||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Income
|
||||||||||||||||
Interest income
|
264,891 | 667,308 | 526,754 | 1,203,882 | ||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
2,269,398 | 2,106,568 | 4,550,041 | 4,080,036 | ||||||||||||
Advisory fee
|
1,938,603 | 1,812,572 | 3,887,728 | 3,502,578 | ||||||||||||
Administrative fee
|
472,322 | 411,270 | 942,482 | 794,407 | ||||||||||||
Service fees
|
1,944,421 | 1,867,042 | 3,941,817 | 3,656,383 | ||||||||||||
Incentive fee
|
- | 66,389 | 7,893 | 3,369,952 | ||||||||||||
Professional fees
|
512,329 | 418,646 | 1,130,978 | 823,011 | ||||||||||||
Offering expense
|
22,393 | 15,412 | 23,557 | 64,414 | ||||||||||||
Other expenses
|
158,567 | 174,099 | 302,231 | 311,793 | ||||||||||||
Total expenses
|
7,318,033 | 6,871,998 | 14,786,727 | 16,602,574 | ||||||||||||
Net investment loss
|
(7,053,142 | ) | (6,204,690 | ) | (14,259,973 | ) | (15,398,692 | ) | ||||||||
NET LOSS
|
$ | (36,405,131 | ) | $ | (21,177,497 | ) | $ | (51,380,788 | ) | $ | (14,042,781 | ) |
See accompanying notes.
-8-
ALTEGRIS WINTON FUTURES FUND, L.P.
|
|||||||||||||||||||||||
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
|
|||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011 (Unaudited)
|
Limited Partners
|
||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Original
|
Original
|
Special |
|
|
Institutional
|
General | ||||||||||||||||||||||||||
Total
|
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
Partner
|
|||||||||||||||||||||||||
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 | ||||||||||||||||
Transfers
|
- | (64,148 | ) | 64,148 | - | (2,353,284 | ) | (478,722 | ) | 2,832,006 | - | |||||||||||||||||||||
Capital additions
|
94,934,831 | 930,825 | - | - | 44,242,277 | 33,589,015 | 16,172,714 | - | ||||||||||||||||||||||||
Capital withdrawals
|
(76,811,041 | ) | (5,407,709 | ) | (893,048 | ) | - | (31,049,376 | ) | (21,498,023 | ) | (17,962,885 | ) | - | ||||||||||||||||||
From operations:
|
||||||||||||||||||||||||||||||||
Net investment loss
|
(14,259,973 | ) | (959,033 | ) | (135,140 | ) | (278,528 | ) | (7,932,379 | ) | (3,356,503 | ) | (1,598,337 | ) | (53 | ) | ||||||||||||||||
Net realized loss
from investments
|
(16,095,153 | ) | (1,245,350 | ) | (261,092 | ) | (620,432 | ) | (6,307,655 | ) | (4,699,315 | ) | (2,961,240 | ) | (69 | ) | ||||||||||||||||
Net change in unrealized
loss from investments
|
(21,025,662 | ) | (1,549,750 | ) | (325,507 | ) | (805,980 | ) | (8,314,548 | ) | (5,983,831 | ) | (4,045,956 | ) | (90 | ) | ||||||||||||||||
Net loss for the six
months ended June 30, 2012
|
(51,380,788 | ) | (3,754,133 | ) | (721,739 | ) | (1,704,940 | ) | (22,554,582 | ) | (14,039,649 | ) | (8,605,533 | ) | (212 | ) | ||||||||||||||||
Balances at June 30, 2012
|
$ | 786,422,429 | $ | 59,317,985 | $ | 12,577,775 | $ | 30,913,517 | $ | 308,955,315 | $ | 226,534,566 | $ | 148,119,828 | $ | 3,443 | ||||||||||||||||
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
|
- | - | - | - | (736,138 | ) | (810,922 | ) | 1,547,060 | - | ||||||||||||||||||||||
Capital additions
|
110,543,042 | - | - | - | 49,490,157 | 30,847,262 | 30,205,623 | - | ||||||||||||||||||||||||
Capital withdrawals
|
(46,109,716 | ) | (4,276,557 | ) | (685,381 | ) | - | (24,162,298 | ) | (10,149,037 | ) | (6,836,443 | ) | - | ||||||||||||||||||
From operations:
|
||||||||||||||||||||||||||||||||
Net investment loss
|
(15,398,692 | ) | (1,129,859 | ) | (134,827 | ) | (257,724 | ) | (8,176,006 | ) | (3,368,686 | ) | (2,331,532 | ) | (58 | ) | ||||||||||||||||
Net realized gain from
investments
|
27,173,252 | 1,993,802 | 237,922 | 454,791 | 14,427,763 | 5,944,541 | 4,114,330 | 103 | ||||||||||||||||||||||||
Net change in unrealized
loss from investments
|
(25,817,341 | ) | (1,894,314 | ) | (226,050 | ) | (432,097 | ) | (13,707,836 | ) | (5,647,916 | ) | (3,909,030 | ) | (98 | ) | ||||||||||||||||
Net loss for the six
months ended June 30, 2011
|
(14,042,781 | ) | (1,030,371 | ) | (122,955 | ) | (235,030 | ) | (7,456,079 | ) | (3,072,061 | ) | (2,126,232 | ) | (53 | ) | ||||||||||||||||
Balances at June 30, 2011
|
$ | 761,596,476 | $ | 70,440,230 | $ | 13,699,548 | $ | 26,148,465 | $ | 279,539,107 | $ | 193,335,294 | $ | 178,430,338 | $ | 3,494 |
See accompanying notes.
-9-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
General Description of the Partnership
Altegris Winton Futures Fund, L.P. (f/k/a Winton Futures Fund, L.P. (US)) (the “Partnership”) was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership, as amended and restated from time to time (“Agreement”). The Partnership filed an amendment to its Certificate of Limited Partnership on April 14, 2011 in order to change its name from Winton Futures Fund, L.P. (US) to Altegris Winton Futures Fund, L.P. The Partnership's general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) (the “General Partner”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that 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 June 30, 2012 and December 31, 2011, and reported amounts of income and expenses for the three and six months ended June 30, 2012 and 2011, respectively. 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.
The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X, promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under U.S. GAAP. The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the condensed financial statements for the interim period.
-10-
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.
-11-
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 which 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 valued U.S. government agency bonds and notes as of June 30, 2012 and December 31, 2011.
The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are generally categorized in Levels 1 of the fair value hierarchy.
The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as of the notes. If the spread data does not reference the issuer, then data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, 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 notes are generally categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. There were no fair valued corporate notes as of June 30, 2012 and December 31, 2011.
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.
-12-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Fair Value (continued)
The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2012 and December 31, 2011:
Balance as of
|
||||||||||||||||
June 30, 2012
|
Level 1
|
Level 2
|
Level 3
|
June 30, 2012
|
||||||||||||
Assets:
|
||||||||||||||||
Futures contracts (1)
|
$ | 20,046,822 | $ | - | $ | - | $ | 20,046,822 | ||||||||
Options contracts
|
10,601 | - | - | 10,601 | ||||||||||||
Forward currency contracts
|
- | 1,628,797 | - | 1,628,797 | ||||||||||||
U.S. Government agency bonds and notes
|
338,366,582 | - | - | 338,366,582 | ||||||||||||
Corporate notes
|
- | 316,786,919 | - | 316,786,919 | ||||||||||||
U.S. Treasury Obligations
|
76,735,393 | - | - | 76,735,393 | ||||||||||||
|
$ | 435,159,398 | $ | 318,415,716 | $ | - | $ | 753,575,114 | ||||||||
Liabilities:
|
||||||||||||||||
Futures contracts (1)
|
$ | 23,925,392 | $ | - | $ | - | $ | 23,925,392 | ||||||||
Options contracts
|
26,829 | - | - | 26,829 | ||||||||||||
Forward currency contracts
|
- | 1,335,945 | - | 1,335,945 | ||||||||||||
$ | 23,952,221 | $ | 1,335,945 | $ | - | $ | 25,288,166 |
Balance as of
|
||||||||||||||||
December 31, 2011
|
Level 1
|
Level 2
|
Level 3
|
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 | ||||||||||||
U.S. Government agency bonds and notes
|
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 |
(1) See Note 1. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.
For the six month period ended June 30, 2012, and the year ended December 31, 2011, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2012, and the year ended December 31, 2011, there have been no significant changes to the Partnership’s fair valuation methodologies.
-13-
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 statements of operations. Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on the accrual basis.
Gains or losses on futures contracts and options on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the statements 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.
Futures Contracts
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 gain/loss 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 June 30, 2012 and December 31, 2011 are reflected within the Condensed Schedules of Investments.
Forward currency contracts
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 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 the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized appreciation or depreciation. When the contract is closed, the Partnership 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. Open forward currency contracts at June 30, 2012 and December 31, 2011 are reflected within the Condensed Schedules of Investments.
-14-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Foreign Currency Transactions
The Partnership’s functional currency is the U.S. dollar; however, it 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.
Cash
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 counterparty risk related to its cash account.
Offering Costs
Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership. These costs include, but are not limited to, legal fees pertaining to updating the Partnership’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred.
Income Taxes
As an entity taxable as a partnership for the U.S. Federal Income tax purposes; 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.
-15-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Income Taxes (continued)
The Partnership 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 June 30, 2012 and December 31, 2011. 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 six month period ended June 30, 2012 and for the year ended December 31, 2011.
The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2008.
NOTE 2 - PARTNERS’ CAPITAL
Capital Accounts and Allocation of Income and Losses
The Partnership accounts for subscriptions 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 Limited 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.
No Limited Partner shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner’s capital contributions, except as may be required by law.
-16-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)
Subscriptions, Distributions and Redemptions
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.
The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner.
NOTE 3 - RELATED PARTY TRANSACTIONS
General Partner Management Fee
The General Partner receives a monthly management fee from the Partnership 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). The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value (as defined). The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.
Total management fees earned by the General Partner, for the three and six months ended June 30, 2012 and 2011 are shown on the Statements of Operations as Management Fee.
Administrative Fee
The General Partner receives a monthly administrative fee from the Partnership 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. Total administrative fees for the three and six months ended June 30, 2012 and 2011 are shown on the Statements of Operations as Administrative Fee.
-17-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3 - RELATED PARTY TRANSACTIONS (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 three and six months ended June 30, 2012, commissions and interest income received by Altegris Futures, and continuing compensation received by Altegris Investments amounted to $3,199,652 and $6,210,593, respectively. For the three and six months ended June 30, 2011, commissions and interest income received by Altegris Futures, and continuing compensation received by Altegris Investments amounted to $2,818,756 and $5,803,452, respectively.
The Partnership pays to its clearing brokers and Altegris Futures, 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. For the three and six months ended June 30, 2012, brokerage fees paid to Altegris Futures amounted to $2,478,609 and $5,157,844, respectively. For the three and six months ended June 30, 2011, brokerage fees paid to Altegris Futures amounted to $2,501,306 and $4,898,440, respectively.
NOTE 4 - 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). Total incentive fees earned by the Advisor for the six months ended June 30, 2012 and 2011 are shown on the Statements of Operations as Incentive Fee
The Advisor receives a monthly management fee from the Partnership equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional Interests of the Partnership's management fee net asset value (as defined). In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. Total management fees earned by the Advisor for the three and six months ended June 30, 2012 and 2011 and are shown on the Statements of Operations as Advisory Fee.
-18-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 5 - 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. Selling agents may, at their option, elect to receive the service fee for the sale of Institutional Interests. Total service fees for the three and six months ended June 30, 2012 and 2011 are shown on the Statement of Operations as Service Fees.
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.
NOTE 6 - BROKERAGE AGREEMENT
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, which are reflected on the Statements of Operations as Brokerage Commissions.
NOTE 7 - 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 as of June 30, 2012 and December 31, 2011. 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.
-19-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
June 30, 2012
|
||||||||||||
Asset
Derivatives
Fair Value
|
Liability
Derivatives
Fair Value
|
Net
Fair Value
|
||||||||||
Futures Contracts
|
$ | 20,046,822 | $ | (23,925,392 | ) | $ | (3,878,570 | ) | ||||
Options on Futures Contracts
|
10,601 | (26,829 | ) | (16,228 | ) | |||||||
Forward Currency Contracts
|
1,628,797 | (1,335,945 | ) | 292,852 | ||||||||
Total Gross Fair Value of Derivatives
|
$ | 21,686,220 | $ | (25,288,166 | ) | $ | (3,601,946 | ) |
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 |
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2012 and 2011. The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statements of operations.
Three Months Ended June 30, 2012
|
|||||||||||||
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||
Futures Contracts
|
$ | (19,331,679 | ) | $ | (3,061,906 | ) | 52,760 | ||||||
Options on Futures Contracts
|
87,565 | 16,056 | 340 | ||||||||||
Forward Currency Contracts
|
(4,325,130 | ) | 713,324 | $ | 19,779,219,078 | (1) | |||||||
Total gains from derivatives trading
|
$ | (23,569,244 | ) | $ | (2,332,526 | ) |
Six Months Ended June 30, 2012 | |||||||||||||
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||
Futures Contracts
|
$ | (4,836,882 | ) | $ | (21,063,621 | ) | 104,269 | ||||||
Options on Futures Contracts
|
175,465 | 1,814 | 668 | ||||||||||
Forward Currency Contracts
|
(5,322,927 | ) | 157,378 | $ | 24,719,275,470 | (1) | |||||||
Total gains from derivatives trading
|
$ | (9,984,344 | ) | $ | (20,904,429 | ) |
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold. The number of contracts closed using average cost for long contracts of 955,720 and 2,681,724 and short contracts of (1,120,028) and (2,439,176) for the three and six months ended June 30, 2012.
-20-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
Three Months Ended June 30, 2011
|
|||||||||||||
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||
Futures Contracts
|
$ | 2,815,074 | $ | (16,438,961 | ) | 36,134 | |||||||
Options on Futures Contracts
|
88,170 | 8,086 | 399 | ||||||||||
Forward Currency Contracts
|
101,587 | 260,770 | $ | 3,732,408,614 | (1) | ||||||||
Total gains from derivatives trading
|
$ | 3,004,831 | $ | (16,170,105 | ) | ||||||||
Six Months Ended June 30, 2011
|
|||||||||||||
Realized
|
Change in
Unrealized
|
Number of
Contracts Closed
|
|||||||||||
Futures Contracts
|
$ | 30,404,996 | $ | (26,042,499 | ) | 76,785 | |||||||
Options on Futures Contracts
|
149,050 | 37,651 | 683 | ||||||||||
Forward Currency Contracts
|
729,263 | (53,351 | ) | $ | 7,457,198,429 | (1) | |||||||
Total gains from derivatives trading
|
$ | 31,283,309 | $ | (26,058,199 | ) |
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold. The number of contracts closed using average cost for long contracts of 531,507 and 533,451 and short contracts of (1,881,223) and (408,553) for the three and six months ended June 30, 2011.
NOTE 8 - 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).
-21-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES (CONTINUED)
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.
JPMorgan Chase Bank, N.A. (“Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian. For cash not held with the Clearing Broker, the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”). The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.
NOTE 9 - INDEMNIFICATIONS
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.
-22-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 10 - FINANCIAL HIGHLIGHTS
The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2012 and 2011. This information has been derived from information presented in the financial statements.
Three months ended June 30, 2012
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
|
|
Institutional
|
|||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
||||||||||||||||||||||||
Return prior to incentive fees
|
(4.24 | )% | (4.01 | )% | (3.95 | )% | (4.69 | )% | (4.21 | )% | (4.01 | )% | ||||||||||||
Incentive fees
|
(0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | ||||||||||||
Total return after incentive fees
|
(4.24 | )% | (4.01 | )% | (3.95 | )% | (4.69 | )% | (4.21 | )% | (4.01 | )% | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.10 | % | 2.11 | % | 1.85 | % | 5.02 | % | 3.01 | % | 2.16 | % | ||||||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Total expenses
|
3.10 | % | 2.11 | % | 1.85 | % | 5.02 | % | 3.01 | % | 2.16 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.98 | )% | (1.98 | )% | (1.72 | )% | (4.89 | )% | (2.88 | )% | (2.03 | )% |
Six months ended June 30, 2012
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
|
Institutional
|
||||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners (4)
|
||||||||||||||||||||||||
Return prior to incentive fees
|
(5.80 | )% | (5.35 | )% | (5.23 | )% | (6.68 | )% | (5.74 | )% | (5.36 | )% | ||||||||||||
Incentive fees
|
(0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | (0.00 | )% | ||||||||||||
Total return after incentive fees
|
(5.80 | )% | (5.35 | )% | (5.23 | )% | (6.68 | )% | (5.74 | )% | (5.36 | )% | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.08 | % | 2.12 | % | 1.86 | % | 5.03 | % | 3.01 | % | 2.16 | % | ||||||||||||
Incentive fees (4)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Total expenses
|
3.08 | % | 2.12 | % | 1.86 | % | 5.03 | % | 3.01 | % | 2.16 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.95 | )% | (2.00 | )% | (1.73 | )% | (4.91 | )% | (2.88 | )% | (2.03 | )% |
-23-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)
Three months ended June 30, 2011
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
Institutional
|
|||||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners
|
||||||||||||||||||||||||
Return prior to incentive fees (4)
|
(2.51 | )% | (2.27 | )% | (2.21 | )% | (2.96 | )% | (2.47 | )% | (2.27 | )% | ||||||||||||
Incentive fees (4)
|
(0.01 | )% | (0.01 | )% | (0.01 | )% | (0.03 | )% | (0.03 | )% | (0.03 | )% | ||||||||||||
Total return after incentive fees (4)
|
(2.52 | )% | (2.28 | )% | (2.22 | )% | (2.99 | )% | (2.50 | )% | (2.30 | )% | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.05 | % | 2.05 | % | 1.82 | % | 4.96 | % | 2.94 | % | 2.10 | % | ||||||||||||
Incentive fees (4)
|
0.01 | % | 0.02 | % | 0.00 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||
Total expenses
|
3.06 | % | 2.07 | % | 1.82 | % | 4.97 | % | 2.95 | % | 2.11 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.81 | )% | (1.79 | )% | (1.47 | )% | (4.67 | )% | (2.52 | )% | (1.72 | )% | ||||||||||||
Six months ended June 30, 2011
|
||||||||||||||||||||||||
Original
|
Original
|
Special
|
Institutional
|
|||||||||||||||||||||
Class A
|
Class B
|
Interests
|
Class A
|
Class B
|
Interests
|
|||||||||||||||||||
Total return for Limited Partners
|
||||||||||||||||||||||||
Return prior to incentive fees (4)
|
(1.07 | )% | (0.57 | )% | (0.45 | )% | (1.97 | )% | (0.99 | )% | (0.58 | )% | ||||||||||||
Incentive fees (4)
|
(0.44 | )% | (0.44 | )% | (0.44 | )% | (0.46 | )% | (0.46 | )% | (0.46 | )% | ||||||||||||
Total return after incentive fees (4)
|
(1.51 | )% | (1.01 | )% | (0.89 | )% | (2.43 | )% | (1.45 | )% | (1.04 | )% | ||||||||||||
Ratio to average net asset value
|
||||||||||||||||||||||||
Expenses prior to incentive fees (1) (3)
|
3.05 | % | 2.05 | % | 1.80 | % | 4.96 | % | 2.92 | % | 2.10 | % | ||||||||||||
Incentive fees (4)
|
0.45 | % | 0.46 | % | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Total expenses
|
3.50 | % | 2.51 | % | 2.24 | % | 5.40 | % | 3.36 | % | 2.54 | % | ||||||||||||
Net investment (loss) (1) (2) (3)
|
(2.78 | )% | (1.76 | )% | (1.49 | )% | (4.69 | )% | (2.56 | )% | (1.80 | )% |
Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.
(1)
|
Includes offering costs, if any.
|
(2)
|
Excludes incentive fee.
|
(3)
|
Annualized.
|
(4)
|
Not annualized.
|
-24-
ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 11 - SUBSEQUENT EVENTS
Management of the Partnership evaluated subsequent events through the date these financial statements were issued and has determined there are no matters requiring disclosure.
From July 1, 2012 through August 1, 2012, the Partnership had subscriptions of $10,571,370.
PART I – FINANCIAL INFORMATION (continued)
Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
Liquidity
The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian, are invested in liquid, high quality securities. Through June 30, 2012 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.
Capital Resources
The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income. The Partnership does not engage in borrowing.
The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.
The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Partnership’s futures commission merchants and brokers may require margin in excess of minimum exchange requirements.
Contracts currently traded by the Advisor on behalf of the Partnership include exchange-traded futures contracts and over-the-counter forward currency contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. The credit risk from counterparty non-performance associated with the Partnership’s over-the-counter forward currency transactions is the net unrealized gain on such contracts plus related collateral held by the counterparty.
-25-
The Partnership bears the risk of financial failure by the Clearing Broker and Newedge Alternative Strategies, Inc. (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades.
Results of Operations
Performance Summary
The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades. The Partnership seeks to produce long-term capital appreciation through growth, and not current income. The past performance of the Partnership is not necessarily indicative of future results.
Results of Operations
Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.
Contractual Obligations
The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The Partnership’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at June 30, 2012.
Three Months Ended June 30, 2012
During the second quarter of 2012, the Partnership achieved net realized and unrealized losses of $29,351,989 from its trading activities, net of brokerage commissions of $3,147,671. The Partnership accrued total expenses of $7,318,033 including $2,269,398 in management fees paid to the General Partner, $0 in incentive fees, and $2,456,750 in service and professional fees. The Partnership earned $264,891 in interest income during the second quarter of 2012. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2012 is set forth below.
Second Quarter 2012: The Partnership experienced a loss in April 2012 as yields on German bonds and global equity markets fell from their recent highs. The Partnership suffered losses on its long positions in stock index futures while gains were made on long fixed income futures. Trading in soy bean futures contracts also made a significant contribution to the month’s performance. The Partnership experienced a loss in May 2012. The Partnership suffered losses early in the month as global stock markets fell while German and U.S. government bonds rallied. The last week of the month, however, saw a recovery of most of these losses with gains mainly focused in futures contracts on government bonds. The Partnership’s position on the Euro, which fell against the dollar, also made a meaningful contribution. Losses were focused in trading on futures contracts in energies and stock indices during the month. The Partnership experienced a loss in June 2012. The markets reacted to a decision on Spanish bank debt on the final day of the month, as the Euro and world stock indices rose. The main losses for the Partnership were from futures contracts on bonds, currencies and stock indices, with profits made in futures contracts on short term rates and base metals.
-26-
Three Months Ended June 30, 2011
During the second quarter of 2011, the Partnership achieved net realized and unrealized losses of $14,972,807 from its trading activities, net of brokerage commissions of $3,000,791. The Partnership accrued total expenses of $6,871,998 including $2,106,568 in management fees paid to the General Partner, $66,389 in incentive fees, and $2,285,688 in service and professional fees. The Partnership earned $667,308 in interest income during the second quarter of 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2011 is set forth below.
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.
Six Months Ended June 30, 2012
During the six months ended June 30, 2012, the Partnership achieved net realized and unrealized losses of $37,120,815 from its trading activities, net of brokerage commissions of $6,325,022. The Partnership accrued total expenses of $14,786,727, including $4,550,041 in management fees paid to the General Partner, $7,893 in incentive fees, and $5,072,795 in service and professional fees. The Partnership earned $526,754 in interest income during the six months ended June 30, 2012. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2012 and six months ended June 30, 2012 is set forth below.
Second Quarter 2012: The Partnership experienced a loss in April 2012 as yields on German bonds and global equity markets fell from their recent highs. The Partnership suffered losses on its long positions in stock index futures while gains were made on long fixed income futures. Trading in soy bean futures contracts also made a significant contribution to the month’s performance. The Partnership experienced a loss in May 2012. The Partnership suffered losses early in the month as global stock markets fell while German and U.S. government bonds rallied. The last week of the month, however, saw a recovery of most of these losses with gains mainly focused in futures contracts on government bonds. The Partnership’s position on the Euro, which fell against the dollar, also made a meaningful contribution. Losses were focused in trading on futures contracts in energies and stock indices during the month. The Partnership experienced a loss in June 2012. The markets reacted to a decision on Spanish bank debt on the final day of the month, as the Euro and world stock indices rose. The main losses for the Partnership were from futures contracts on bonds, currencies and stock indices, with profits made in futures contracts on short term rates and base metals.
First Quarter 2012. The Partnership achieved a gain in January 2012. Global stock markets began the year with a rally, and the Euro reversed its downward trend of the prior two months. Government bonds rallied in the second half of the month, with US 5-year yields reaching record lows. The Partnership ended the month up, with gains in futures contracts on stock indices, short-term rates, bonds and precious metals being offset by losses in trading in futures contracts on base metals and currencies. The Partnership experienced a loss in February 2012, as the rally in equity markets that started in the middle of December continued with the S&P 500 Index climbing back to the highs that it made last year. The price of crude oil increased by around $10 a barrel during the month. The Partnership’s gains this month were the result of being long stock indices and long energies. These gains were not sufficient to offset losses elsewhere, principally coming from a short position in the Euro and being long the Yen. The Partnership experienced a loss in March 2012 as Government Bonds fell significantly, with US 10-year notes reaching levels not seen since October last year. Concerns over energy prices did not seem to affect US equity markets, where the S&P 500 continued its ascent. European equity markets lagged behind their US counterparts,
-27-
with the restructuring of Greece’s debt dominating the headlines. The Partnership ended the month down, with gains in trading of futures contracts on equity indices offsetting losses in futures contracts on bonds.
Six Months Ended June 30, 2011
During the six months ended June 30, 2011, the Partnership achieved net realized and unrealized gains of $1,355,911 from its trading activities, net of brokerage commissions of $5,819,740. The Partnership accrued total expenses of $16,602,574, including $4,080,036 in management fees paid to the General Partner, $3,369,952 in incentive fees, and $4,479,394 in service and professional fees. The Partnership earned $1,203,882 in interest income during the six months ended June 30, 2011. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2011 and six months ended June 30, 2011 is set forth below.
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 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.
Off-Balance Sheet Arrangements
The Partnership does not engage in off-balance sheet arrangements with other entities.
Not required.
-28-
The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the General Partner’s internal controls over financial reporting with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of the evaluation.
PART II – OTHER INFORMATION
None.
Trading Decisions Based on Technical Analysis. The Advisor uses trading programs that use “technical” factors in identifying price moves. The success of technical analysis depends upon the occurrence in the future of price movements. Technical systems will not be profitable and may in fact produce losses if there are no market moves of the kind the system seeks to follow. Any factor that would make it more difficult to execute the trades identified, such as a reduction of liquidity, also would reduce profitability. There is no assurance that the Advisor’s trading systems will generate profits under all or any market conditions.
Possible Effects of Other Similar Systems. Commodity trading systems which use signals like the Advisor’s are not new. If many traders follow similar systems, these systems may generate similar buy and sell orders at the same time. Depending on the liquidity of a market, this could cause difficulty in executing orders. The Advisor believes that although there has been an increase in the number of trading systems in recent years, there also has been an increase in the overall trading volume and liquidity in the futures markets.
Reliance on Key Personnel. The Advisor has exclusive responsibility for trading for the Partnership. The Advisor depends on the services of one or two key persons. If they cannot or will not provide those services, it could adversely affect the Advisor’s ability to trade for the Partnership. If this occurs, the General Partner may terminate the contract.
Changes in Trading Strategies. The Advisor can make any changes in its trading strategies if it believes that they will be in the Partnership’s best interests. A change in commodities traded is not a change in trading strategy.
Possible Effects of Speculative Position Limits and Accountability Levels. The CFTC and U.S. exchanges have established speculative position limits and accountability levels. Position limits control the number of net long or net short speculative futures or option (on futures) positions any person may hold or control in futures or option contracts traded on U.S. exchanges. Position accountability levels are position levels established by an exchange that, if reached by a person, cause such person to be subject to instructions by such exchange to reduce or not increase such position. Most trading advisors control the commodity trading of other accounts. All positions and accounts owned or controlled by the Advisor and its principals are combined with the Partnership’s positions established by it for position limit and accountability level purposes. In order to comply with position limits or exchange limitations arising out of having positions subject to accountability levels, it is possible that the Advisor will have to modify its trading instructions, and that positions held by the Partnership will have to be liquidated. That could have a negative effect on the Partnership’s profitability. In addition, all commodity accounts of the General Partner and its affiliates may also be combined with the Partnership for position limit and accountability level purposes.
No Assurance of the Advisor’s Continued Services. Either the Advisor or the Partnership can terminate the advisory contract on written notice.
Increase in Amount of Funds Managed. The Advisor’s assets under management have steadily increased and may continue to increase, including money raised in this offering, and such additional funds could affect its
-29-
performance or trading strategies. There is no guarantee that the Partnership’s investment results will be similar to the Advisor’s past performance.
Other Clients of the Advisor. 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. Commodity brokers must maintain the Partnership’s assets (other than assets used to trade foreign futures or options on foreign markets) in a segregated account. If Newedge USA goes bankrupt, the Partnership could lose money as it may only be able to recover a pro rata share of the property available for distribution to all of Newedge USA’s customers. In addition, even if Newedge USA adequately segregates the Partnership’s assets, the Partnership may still be subject to risk of loss of funds on deposit with Newedge USA should another customer of Newedge USA fail to satisfy deficiencies in such other customer’s account. Similarly, assets in Partnership accounts at NAST, an unregulated entity, are not held in segregation and are subject to the risk of loss should that institution fail. Other institutions will have custody of the assets of the Partnership, including the Custodian and various other banks or financial institutions whose services are utilized by the Partnership. Such institutions may encounter financial difficulties that impair the Partnership’s operating capabilities or capital position. The General Partner will attempt to limit the Partnership’s deposits and transactions to only well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt or otherwise fail.
Forward and Cash Trading. The Partnership may trade in spot and forward contracts on currencies. For this purpose, the Partnership will contract with or through Newedge Alternative Strategies, Inc. (NAST) to make or take future delivery of a particular currency. NAST or its affiliates may extend the Partnership a credit line to enable it to engage in such trading. The Partnership may also trade options on currencies. Although the currency market is not believed to be necessarily more volatile than the market in other commodities, there is less protection against defaults in the forward trading of currencies because such contracts are not effected on or through an exchange or clearinghouse. Trading in forward currencies and over-the-counter derivatives, including swaps and options, among sophisticated market participants is not generally regulated by any regulatory body. Therefore, with respect to this trading, the Partnership is not afforded the protections provided by trading on regulated exchanges, including segregation of funds. In any principal contract, the Partnership must rely on the creditworthiness of its counterparty.
The trading of over-the-counter instruments, subjects the Partnership to a variety of risks including: 1) counterparty risk; 2) basis risk; 3) interest rate risk; 4) settlement risk; 5) legal risk; and 6) operational risk. Counterparty risk is the risk that the Partnership’s counterparties might default on their obligation to pay or perform generally on their obligations. The over-the-counter markets and some foreign markets are principals’ markets. That means that performance of the contract is the responsibility only of the individual firm or member on the other side of the trade and not any exchange or clearing corporation. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Partnership has concentrated its transactions with a single or small group of counterparties. Basis risk is the risk attributable to the movements in the spread between the derivative contract price and the future price of the underlying instrument. Interest rate risk is the general risk associated with movements in interest rates. Settlement risk is the risk that a settlement in a transfer system does not take place as expected. Legal risk is the risk that a transaction proves unenforceable in law or because it has been inadequately documented. Operational risk is the risk of unexpected losses arising from deficiencies in a firm’s management information, support and control systems and procedures. Transactions in over-the-counter derivatives may involve other risks as well, as there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the
exposure to risk.
Substantial Charges to Partnership. The Partnership pays substantial fees and charges. As a result, the Partnership must make substantial profits for your Interest to increase in value.
Potential Cross Liability. The Partnership offers Class A, Class B and Institutional Interests. The only difference between the Interests is the investment minimum and fees. Capital contributions by a single subscriber for a Class of Interest upon acceptance of the subscriber as a Limited Partner will represent a single Interest in the Partnership for
-30-
that subscriber’s respective Class of Interest. An Interest in any Class reflects a Partner’s percentage of the Partnership’s net assets with respect to the Class of Interest owned by the Partner. Interests are not issued in certificate form. Although separate Classes of Interests are offered, the proceeds from the sale of Interests will be pooled by the Partnership and traded as a single account. Although the Classes of Interests differ with respect to investment minimum and fees, all Partnership Interests are equally subject (in proportion to the size of their respective Interest) to the Partnership’s debts, liabilities and obligations as set out in the Partnership Agreement – regardless of Class designation. Class designation does not offer protection against the general creditors of the Partnership or any other Class of Interest.
Non-correlated, Not Negatively Correlated, Performance Objective. Historically, managed futures have been generally non-correlated to the performance of other asset classes such as stocks and bonds. Noncorrelation means that there is no statistically valid relationship between the past performance of futures and forward contracts on the one hand and stocks or bonds on the other hand (as opposed to negative correlation, where the performance would be exactly opposite between two asset classes). Because of this non-correlation, the Partnership cannot be expected to be automatically profitable during unfavorable periods for the stock market, or vice versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain in futures and forward trading, there is an equal and offsetting loss. If the Partnership does not perform in a manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in an Interest and the Partnership may have no gains to offset your losses from other investments.
Limited Ability to Liquidate Interest. Interests may not be immediately liquidated. There is no market for the Interests and none is likely to develop. Interests may be redeemed without penalty on the last day of any month, subject to certain limitations, including giving at least fifteen (15) days’ written notice. Because of the time delay between notice to the General Partner of a redemption and the end of the month when an investment is redeemed, the value of an investment on the date of redemption may be substantially less than at the time of the redemption request.
Absence of Regulation Applicable to Investment Companies and Related Issues. The Partnership is not registered as a securities investment company or “mutual fund.” Therefore, it is not regulated by the SEC under the Investment Company Act of 1940 (the 1940 Act). Although the Partnership has the right to invest in securities, you are not protected by the 1940 Act. NAST is an eligible swap participant and an eligible contract participant. NAST is not registered or required to be registered with the CFTC or the SEC, and is not a member of any exchange. In addition, Winton is not registered as an investment adviser under the Investment Advisers Act of 1940. Altegris Funds is, however, registered with the CFTC as a CPO, Winton is registered with the CFTC as a CTA and CPO, Altegris is registered with the CFTC as an IB, and Newedge USA is registered with the CFTC as an FCM. The Advisor has notified the Partnership that because of its experience and understanding relating to investments, it has been categorized as an Intermediate Customer under the Unregulated Collective Investment Schemes of the Rules under the United Kingdom’s (U.K.) Financial Services Authority. As a result, the Partnership is not afforded all of the protections available to retail customers in the U.K.
(a) The requested information has been previously reported on Form 8-K.
(b) Not applicable.
(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the second calendar quarter of 2012:
Month
|
Amount Redeemed
|
||||
April 30, 2012
|
$
|
13,061,581
|
|||
May 31, 2012
|
$
|
21,375,841
|
|||
June 30, 2012
|
$
|
12,488,996
|
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(a) None.
(b) None.
Not applicable.
(a) None.
(b) Not applicable.
Item 6: Exhibits.
The following exhibits are incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Registration Statement on Form 10 (File No. 000-53348) filed on July 30, 2008.
Exhibit Number
|
Description of Document
|
|
3.1
|
Certificate of Formation of Winton Futures Fund, L.P. (US)
|
|
4.1
|
First Amended Agreement of Limited Partnership of Winton Futures Fund, L.P. (US)
|
|
10.1
|
Advisory Contract between Winton Futures Fund, L.P. (US), Rockwell Futures Management, Inc.** and Winton Capital Management Limited and Amendment thereto dated June 1, 2008
|
|
10.2
|
Introducing Broker Clearing Agreement between Fimat USA, LLC*** and Altegris Investments, Inc.
|
|
10.3
|
Form of Selling Agency Agreement
|
The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Current Report on Form 8-K (File No. 000-53348) filed on April 18, 2011.
Exhibit Number
|
Description of Document
|
|
3.01
|
Amendment to the Certificate of Formation of Winton Futures Fund, L.P. (US), changing the registrant’s name to Altegris Winton Futures Fund, L.P.
|
|
3.02
|
Second Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.
|
The following exhibits are included herewith.
Exhibit Number
|
Description of Document
|
|
31.01
|
Rule 13a-14(a)/15d-14(a) Certification
|
|
32.01
|
Section 1350 Certification
|
** Rockwell Futures Management, Inc. is now Altegris Portfolio Management, Inc.
*** Fimat USA, LLC is now Newedge USA, LLC.
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SIGNATURES
Pursuant to the requirements of Section 12 of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dated: August 14, 2012
ALTEGRIS WINTON FUTURES FUND, L.P.
By:
|
ALTEGRIS PORTFOLIO MANAGEMENT, INC.
|
|
(d/b/a Altegris Funds), its general partner
|
/s/ Jon C. Sundt
|
|
Jon C. Sundt, President (principal
executive officer and principal financial
officer)
|