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EXCEL - IDEA: XBRL DOCUMENT - Altegris Winton Futures Fund, L.P.Financial_Report.xls
EX-4.1 - Altegris Winton Futures Fund, L.P.fp0013677_ex41.htm
EX-32.1 - Altegris Winton Futures Fund, L.P.fp0013677_ex322.htm
EX-31.1 - Altegris Winton Futures Fund, L.P.fp0013677_ex311.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-K
 
(Mark One)
[X]
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the fiscal year ended December 31, 2014
or
 
[   ]
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
_______________________
 
Commission file number: 000-53348
 
ALTEGRIS WINTON FUTURES FUND, L.P.
(Exact name of registrant as specified in its charter)
 
COLORADO
(State or other jurisdiction fnof
incorporation or organization)
 
84-1496732
(I.R.S. Employer
Identification No.)

c/o ALTEGRIS ADVISORS, L.L.C.
1200 Prospect Street Suite 400
La Jolla, California 92037
(Address of principal executive offices) (zip code)
(858) 459-7040

Securities registered pursuant to Section 12(b) of the Act: None
 
Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Interests
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
 
 
 
   Yes   [   ]      No [X]
 
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. 
 
 
 
   Yes   [   ]      No [X]
 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days
 
 
 
   Yes   [X]     No    [  ]
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
 
 
 
   Yes   [X]     No    [  ]
 
 

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

Indicate by check mark whether the registrant is a large accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer      
[   ]
Accelerated filer                           
[   ]
Non-accelerated filer         
[X]
Smaller reporting company          
[   ]

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). 
 
 
 
   Yes   [   ]      No [X]
 
State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not Applicable.

DOCUMENTS INCORPORATED BY REFERENCE

None.
 

PART I

ITEM 1: BUSINESS
 
(a)        General Development of Business
 
Altegris Winton Futures Fund, L.P. (the “Partnership”) is a limited partnership organized under the Colorado Uniform Limited Partnership Act in March 1999.  The Partnership’s business is the speculative trading and investment in international futures, options and forward markets (“Commodity Interests”).  The Partnership commenced its trading and investment operations in November 1999.

On December 31, 2014, pursuant to an internal reorganization of Altegris Portfolio Management, Inc., then the general partner of the Partnership, and certain affiliated entities, Altegris Portfolio Management, Inc. (“APM”) merged with and into its affiliate, Altegris Advisors, L.L.C., a Delaware limited liability company (the “Transaction”).  By operation of law and pursuant to Paragraph 12 of the Partnership’s Second Amended Agreement of Limited Partnership, effective as of April 14, 2011, as amended, Altegris Advisors, L.L.C. then became, and was admitted as, the general partner of the Partnership (the “General Partner”).  The officers of the General Partner are the same persons with the same titles as the officers of APM prior to the Transaction, and the managers of the General Partner were also the directors of APM prior to the Transaction.
 
The General Partner has sole responsibility for management and administration of all aspects of the Partnership’s business.  Investors purchasing limited partnership interests (the “Interests”) in the Partnership (“Limited Partners” and together with the General Partner, “Partners”) have no rights to participate in the management of the Partnership.

The General Partner is registered with the Commodity Futures Trading Commission (“CFTC”) as a Commodity Pool Operator (“CPO”), and is a member of National Futures Association (“NFA”).  Winton Capital Management Limited, a United Kingdom Company, acts as the Partnership’s trading advisor (“Advisor”).  The Advisor is registered with the CFTC as a Commodity Trading Advisor and is authorized and regulated by the United Kingdom’s Financial Conduct Authority.

Altegris Investments, LLC (“Altegris”), an affiliate of the General Partner, serves as a selling agent of the Interests and acted as the Partnership’s introducing broker until January 1, 2011, when Altegris Futures, LLC (“Altegris Futures”) replaced Altegris as the Partnership’s introducing broker.  On December 31, 2014, Altegris Futures merged with and into its affiliate, Altegris Clearing Solutions, LLC.  Altegris Clearing Solutions, LLC is registered with the CFTC as an Introducing Broker (“Clearing Solutions” or the “Introducing Broker”).

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

The Partnership is not required to be, and is not, registered under the Investment Company Act of 1940, as amended.
 
As of February 28, 2015, the aggregate net asset value of the Interests in the Partnership before redemptions was $384,141,717.  The Partnership operates on a calendar fiscal year and has no subsidiaries.

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

1

(b)        Financial Information About Segments

The Partnership’s business constitutes only one segment for financial reporting purposes — i.e., a speculative “commodity pool.”  The Partnership does not engage in sales of goods or services.  Financial information regarding the Partnership’s business is set forth in the Partnership’s financial statements, included herewith.
  
(c)        Narrative Description of Business
  
The Partnership is designed to produce long-term capital appreciation through growth, and not current income.  The General Partner has selected the Advisor to trade one of the Advisor’s proprietary trading models, the Winton Diversified Program (the “Program”), on behalf of the Partnership.  The Advisor currently has the authority to trade the Program on behalf of the Partnership in all the easily accessible and liquid commodity interests (comprising international futures, options and forward markets) that it practically can, which currently consists mainly of commodity interests that are futures, options and forward contracts and certain OTC products, such as swaps in the following areas: stock indices, bonds, short term interest rates, currencies, precious and base metals, grains, livestock, energy and agricultural products.
 
The Advisor’s investment technique in trading the Program consists of trading a broadly diversified portfolio of highly liquid financial instruments across numerous futures markets, and may also include certain OTC instruments and government securities, employing a computerized, technical, principally trend-following trading system.  This system tracks the daily price movements and other data from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be to maximize profit within a certain range of risk.  If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.
 
The trading methods applied by the Advisor to trade the Program on behalf of the Partnership are proprietary, complex and confidential.  As a result, the following explanation is of necessity general in nature and not intended to be exhaustive.  The Advisor plans to continue the research and development of its trading methodology and, therefore, retains the right to revise any methods or strategy, including the technical trading factors used, the commodity interests traded and/or the money management principles applied.
 
The Program traded by the Advisor pursues a technical trend-following system.  Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume.  This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand.  The Program uses no fundamental factors.
 
A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend (that is, to move from one price point to another, either higher or lower over a period of time), and to tend to make exaggerated movements in both upward and downward directions as a result of such trends.  These exaggerated movements are largely explained as a result of the influence of crowd psychology or the herd instinct, amongst market participants.
 
The Advisor developed the Program by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.
 
The Program follows a primarily non-discretionary system. This means that trading signals are automatically generated by its models and, except in extreme situations, are followed to the letter. The Advisor has found that the absence of discretion promotes greater consistency in performance and lessens the opportunity for less reliable anecdotal evidence and personal judgment to influence decision-making. In unusual market situations, the Advisor reserves the right to deviate from its automatic system.
 
The Advisor will select the type of order to be used in executing each trade on behalf of the Partnership and may use any type of order permitted by the exchange on which the order is placed.  The Advisor may place individual orders for each account it trades, or a block order for all accounts it trades, in which the same commodity interest is being cleared through the same clearing broker.  In the latter instance, the Advisor will allocate trades to individual accounts using a proprietary algorithm.  The aim of this algorithm is to achieve an average price for transactions as close as mathematically possible for each account.  This takes the form of an optimization process where the objective is to minimize the variation in the average traded price for each account.  On occasion, it may direct the clearing broker for the accounts to employ a neutral order allocation system to assign trades.   Partial fills will be allocated in proportion to account size.
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The trading strategy and account management principles of the Program described above are factors upon which the Advisor will base its trading decisions.  Such principles may be revised from time to time by the Advisor as it deems advisable or necessary.  Accordingly, no assurance is given that all of these factors will be considered with respect to every trade or recommendation made on behalf of the Partnership or that consideration of any of these factors in a particular situation will lessen the risk of loss or increase the potential for profits.
  
It is expected that between 5% and 50% of the Partnership’s assets generally will be held as initial margin or option premiums (in cash or United States (“U.S.”) Treasury Department (“Treasury”) securities) in the Partnership’s brokerage accounts at its clearing broker, SG Americas Securities, LLC (“SGAS”), a futures commission merchant (“FCM”), and available for trading by the Advisor in Commodity Interests on behalf of the Partnership.  On January 2, 2015, Newedge USA, LLC (“Newedge USA”) merged with and into SGAS, with the latter as the surviving entity.   Interest on Partnership assets held at SGAS in cash or Treasury securities will be credited to the Partnership as described under “Charges.”  Depending on market factors, the amount of margin or option premiums held at SGAS could change significantly, and all of the Partnership’s assets are available for use as margin.  The Partnership may also retain other brokers and/or dealers from time to time to clear or execute a portion of Partnership trades made by the Advisor.
  
With respect to Partnership assets not held at SGAS as described above, but deposited with JPMorgan Chase Bank, N.A. (the “Custodian”), the portion not held in checking, money market or other bank accounts (and used to pay Partnership operating expenses) will be invested in liquid, high-quality short-term securities at the direction of the Custodian or its affiliate J.P. Morgan Investment Management Inc. (“JPMIM”).  The Partnership’s custody and investment management agreement with the Custodian permits the Custodian to invest in U.S. government and agency securities, other securities or instruments guaranteed by the U.S. government or its agencies, CDs, time deposits, banker’s acceptances and commercial paper — subject in each case to specific diversification, credit quality and maturity limitations.  The Custodian may use sub-advisers to attempt to increase yield enhancement.  The General Partner may direct that a portion of Partnership assets be deposited with other custodians and retain other sub-advisers for the purpose of attempting to increase yield enhancement via other cash management arrangements.
 
The percentage of the Partnership’s assets deposited with these firms is also subject to change in the General Partner’s sole discretion.  The Partnership’s assets will not be commingled with the assets of any other person.  Depositing the Partnership’s assets with banks or SGAS, or other clearing brokers, as segregated funds is not commingling for these purposes.
  
The Partnership pays all of its ongoing liabilities, expenses and costs.  The General Partner receives a management fee of 0.104% of the month-end net asset value, before deduction for any accrued incentive fees related to the current quarter (the “management fee net asset value”), of all Class A Interests (1.25% per annum), 0.104% of the month-end management fee net asset value of all Class B Interests (1.25% per annum) and 0.0625% of the month-end management fee net asset value of all Institutional Interests (0.75% per annum), 0.0625% (0.75%) of all Original Class A Interests, 0.146% (1.75%) of all Original Class B Interests, and currently 0.0417% to 0.0625% (0.50% to 0.75% annually) of all Special Class Interests of the Partnership’s management fee net asset value.  The Advisor receives a management fee of 0.083% of the management fee net asset value of the month-end capital account balances of all Interests (1.0% per annum) and 20% of quarterly trading profits applicable to each Class of Interest.

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

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SGAS paid during 2014 to Altegris Futures (which in December 2014 merged with and into the Introducing Broker) a portion of the brokerage commissions and transaction fees received from the Partnership as well as a portion of the interest income received on the Partnership’s assets.  Monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually).  If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services. In any month when the amount in (A) is greater than the amount in (B) above, the Partnership pays only the amount described in (A) above.
 
The Partnership generally pays its operating expenses as they are incurred.  A fixed administrative fee is charged to Class A and Class B Interests and paid to the General Partner equal to 0.0275% of the management fee net asset value of the month-end capital account balance of all such Class A and Class B Interests (0.333% per annum).

(d)        Regulation
 
The CFTC has delegated to NFA responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers,” “swap dealers”, “major swap participants” and, in most cases, their respective associated persons, as well as “floor brokers” and “floor traders.”  The Commodity Exchange Act requires commodity pool operators such as the General Partner, commodity trading advisors such as the Advisor and commodity brokers or FCMs such as SGAS and introducing brokers such as the Introducing Broker to be registered and to comply with various reporting and record keeping requirements.  CFTC regulations also require FCMs and certain introducing brokers to maintain a minimum level of net capital.  In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges.  Similar position limits may in the future be put in place with respect to swaps that are exchange-traded or are economically equivalent to exchange-traded swaps or futures contracts.  All accounts owned or managed by the Advisor will be combined for position limit purposes.  The Advisor could be required to liquidate positions held for the Partnership in order to comply with such limits.  Any such liquidation could result in substantial costs to the Partnership.  In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to hit its daily price limit for several days in a row, making it impossible for the Advisor to liquidate a position and thereby experiencing a dramatic loss.  Certain deliverable currency forward contracts are subject to limited regulation in the United States, including reporting and recordkeeping requirements.

In addition to the registration requirements described above, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short position which any person may hold or control in particular commodities.  Most exchanges also limit the changes in futures contract prices that may occur during a single trading day.  The CFTC may in the future also implement position limits for certain exempt commodity contracts, including metals and energy contracts, with respect to futures, options on futures, and economically equivalent swaps.  If such position limits are adopted, they could materially affect the Partnership’s trading strategy.

Deliverable currency forward contracts are currently subject to only limited regulation in the United States.  The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010, and gave the CFTC jurisdiction over non-deliverable currency forward contracts.  The Reform Act mandates that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses, and the CFTC may impose such a requirement on non-deliverable currency forward contracts.  The mandates imposed by the Reform Act may result in the Partnership bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees with respect to any swaps entered into by the Partnership.
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The Partnership has no employees.
 
Financial Information About Geographic Areas

The Partnership has no operations in foreign countries although it trades on foreign exchanges and other non-U.S. markets.  The Partnership does not engage in sales of goods or services.
 
ITEM 1A: RISK FACTORS
 
Set forth below are the principal risks associated with an investment in the Partnership.

Disruption and Stress in Global Markets May Affect Partnership Returns

During 2007-2009, the global financial markets experienced a period of unprecedented disruption and stress.  Markets previously thought to be uncorrelated were shown to be correlated, credit markets in some cases ceased functioning, many markets experienced record levels of volatility and governments have intervened in extraordinary and unpredictable ways, at times on an emergency basis, to the detriment of certain market participants.  There can be no assurance that similar market disruptions will not occur in the future or that the Partnership will be profitable in such market environments or that it will avoid substantial (or total) losses.

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

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

Commodity Interests Trading Is Speculative and May Affect Partnership Performance

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

Commodity Interests Trading Is Highly Leveraged and May Affect Partnership Performance

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

Commodity Interests Trading May Be Illiquid and May Affect Partnership Liquidity

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

5

Trading Decisions Based on Technical Analysis May Affect Partnership Performance

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

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

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

Reliance on Key Personnel Could Adversely Affect the Advisor and the Partnership

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

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

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

Any Changes in Trading Strategies May Adversely Affect Partnership Performance

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

There are Possible Negative Effects of Speculative Position Limits and Accountability Levels

The CFTC and U.S. exchanges have established speculative position limits and accountability levels. Position limits control the number of net long or net short speculative futures or option (on futures) positions any person may hold or control in futures or option contracts traded on U.S. exchanges. Position accountability levels are position levels established by an exchange that, if reached by a person, cause such person to be subject to instructions by such exchange to reduce or not increase such position.  Most trading advisors control the commodity trading of other accounts. All positions and accounts owned or controlled by the Advisor and its principals are combined with the Partnership’s positions established by it for position limit and accountability level purposes. In order to comply with position limits or exchange limitations arising out of having positions subject to accountability levels, it is possible that the Advisor will have to modify its trading instructions, and that positions held by the Partnership will have to be liquidated. That could have a negative effect on the Partnership’s profitability.  In addition, all commodity accounts of the General Partner and its affiliates may also be combined with the Partnership for position limit and accountability level purposes.

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

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

6

Trading in Options May Result in Significant Losses for the Partnership

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

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

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

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

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

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

Commodity brokers must maintain the Partnership’s assets (other than assets used to trade foreign futures or options on foreign markets) in a segregated account. If SGAS 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 SGAS’ customers. In addition, even if SGAS adequately segregates the Partnership’s assets, the Partnership may still be subject to risk of loss of funds on deposit with SGAS should another customer of SGAS fail to satisfy deficiencies in such other customer’s account.

Other institutions will have custody of the assets of the Partnership, including the Custodian and various other banks or financial institutions whose services are utilized by the Partnership.  Such institutions may encounter financial difficulties that impair the Partnership’s operating capabilities or capital position. The General Partner will attempt to limit the Partnership’s deposits and transactions to only well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt or otherwise fail.

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

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

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

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

7

Forward and Cash Trading May Increase Volatility and Reduce Partnership Performance

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

The trading of over-the-counter instruments, subjects the Partnership to a variety of risks including: 1) counterparty risk; 2) basis risk; 3) interest rate risk; 4) settlement risk; 5) legal risk; and 6) operational risk. Counterparty risk is the risk that the Partnership’s counterparties might default on their obligation to pay or perform generally on their obligations. The over-the-counter markets and some foreign markets are “principals’ markets.”  That means that performance of the contract is the responsibility only of the individual firm or member on the other side of the trade and not any exchange or clearing corporation.  Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Partnership has concentrated its transactions with a single or small group of counterparties.  Basis risk is the risk attributable to the movements in the spread between the derivative contract price and the future price of the underlying instrument. Interest rate risk is the general risk associated with movements in interest rates. Settlement risk is the risk that a settlement in a transfer system does not take place as expected. Legal risk is the risk that a transaction proves unenforceable in law or because it has been inadequately documented. Operational risk is the risk of unexpected losses arising from deficiencies in a firm’s management information, support and control systems and procedures. Transactions in over-the-counter derivatives may involve other risks as well, as there is no exchange market on which to close out an open position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the exposure to risk.

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

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

LIMITED PARTNERSHIP ISSUES

Substantial Charges to Partnership May Limit Returns to Limited Partners

The Partnership pays substantial fees and charges.  As a result, the Partnership must make substantial profits for your Interest to increase in value.

8

Potential Cross Liability May Increase Exposure to Risks for the Partnership

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

There Is No Intrinsic Value to the Partnership's Investments

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

Partnership Trading Is Not Transparent

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

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

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

You will Not Participate in Management of the Partnership

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

Your Indemnification of the Partnership May Increase Your Participation Costs

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

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

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

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

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

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

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

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

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

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

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

ITEM 1B: UNRESOLVED STAFF COMMENTS
 
Not applicable.

ITEM 2: PROPERTIES
 
The Partnership does not own or use any physical properties in the conduct of its business.  Employees of the General Partner perform all administrative services for the Partnership from offices located at 1200 Prospect Street, Suite 400, La Jolla, CA 92037.

ITEM 3: LEGAL PROCEEDINGS
 
The Partnership is not aware of any pending legal proceedings to which either the Partnership is a party or to which any of its assets are subject.  The Partnership is not aware of any material legal proceedings involving the General Partner or its principals in an adverse position to the Partnership or in which the Partnership has adverse interests.  The Partnership has no subsidiaries.

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ITEM 4: MINE SAFETY DICLOSURES

Not applicable.
 
PART II

ITEM 5: MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
 
(a)        Market information
 
There is no trading market for the Interests, and none is likely to develop.  Interests may be redeemed or transferred subject to the conditions imposed by the Limited Partnership Agreement.
 
(b)        Holders
 
As of February 28, 2015 the Partnership had 4,042 holders of Interests.
 
(c)        Dividends
 
The General Partner has sole discretion in determining what distributions, if any, the Partnership will make to its investors.  To date no distributions or dividends have been paid on the Interests, and the General Partner has no present intention to make any.

(d)        Securities Authorized for Issuance under Equity Compensation Plans

None.

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

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

(f)         Issuer Purchases of Equity Securities

Pursuant to the Limited Partnership Agreement, Limited Partners may redeem their Interests in the Partnership as of the end of any calendar month upon fifteen (15) days’ written notice to the General Partner.  The redemption of capital from capital accounts by Limited Partners has no impact on the value of the capital accounts of other Limited Partners.
 
The following table summarizes Limited Partner redemptions during the fourth calendar quarter of 2014:
 
Month Ended
 
Amount Redeemed
 
 
 
 
October 31, 2014
 
$
11,683,019
 
November 30, 2014
   
14,371,962
 
December 31, 2014
   
12,122,781
 
 Total
 
$
38,177,762
 
 
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ITEM 6: SELECTED FINANCIAL DATA
 
   
For the
Year Ended December 31,
2014
   
For the
Year Ended December 31,
2013
   
For the
Year Ended December 31,
2012
   
For the
Year Ended December 31,
2011
   
For the
Year Ended December 31,
2010
 
Revenue:
                   
Total net realized and unrealized gains (losses)
  $
69,873,095
   
$
57,161,348
   
$
(20,228,979
)
 
$
70,122,450
   
$
100,241,515
 
Interest Income
   
375,189
     
683,651
     
1,053,344
     
1,680,212
     
3,110,927
 
                                         
Expenses:
                                       
Management fee
   
4,603,469
     
6,699,659
     
8,720,244
     
8,442,954
     
6,240,462
 
Advisory fee
   
4,005,501
     
5,767,123
     
7,451,479
     
7,256,692
     
5,287,476
 
Administrative fee
   
959,609
     
1,408,607
     
1,817,057
     
1,663,244
     
1,166,030
 
Service fees
   
4,245,801
     
5,868,451
     
7,538,297
     
7,456,573
     
5,849,080
 
Incentive fee
   
12,826,879
     
4,795,781
     
63,607
     
11,798,283
     
14,074,548
 
Professional fees
   
1,411,772
     
1,831,868
     
2,233,380
     
2,172,094
     
2,097,027
 
Brokerage commissions
   
6,413,798
     
9,288,548
     
12,092,858
     
11,985,887
     
9,080,039
 
Offering expense (1)
                       
125,159
     
107,717
 
Interest expense
   
25,326
     
28,120
     
36,598
     
8,896
         
Other expenses
   
519,555
     
490,202
     
528,754
     
903,153
         
Net income (loss)
  $
35,236,574
   
$
21,666,640
   
$
(59,657,909
)
 
$
19,989,727
   
$
59,450,063
 
                                         
Total assets
  $
409,548,229
   
$
541,021,111
   
$
731,212,047
   
$
865,252,257
   
$
749,532,795
 
Total Net Asset Value   $
374,794,900
   
$
495,513,874
   
$
698,786,385
   
$
819,679,427
   
$
711,205,931
 
 
(1)
For fiscal years ended December 31, 2014, 2013 and 2012, offering expenses are included with other “Other expenses”.
 
ITEM 7: MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
 
Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
 
(a)        Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed.  Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so.  Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading.  A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid,  high quality securities.  Through December 31, 2014 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

(b)        Capital Resources

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.
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The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for capital to pay trading losses, brokerage commissions and expenses.  Within broad ranges of capitalization, the Partnership’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.
  
The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward contracts, substantially all of which are subject to margin requirements.  The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges.  Further, the Partnership’s FCMs and brokers may require margin in excess of minimum exchange requirements.
 
Contracts currently traded by the Advisor on behalf of the Partnership include exchange-traded futures contracts and over-the-counter forward currency contracts.  The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange.  The credit risk from counterparty non-performance associated with the Partnership’s over-the-counter forward currency transactions is the net unrealized gain on such contracts plus related collateral held by the counterparty.
 
The Partnership bears the risk of financial failure by SGAS and/or other clearing brokers or counterparties with which the Partnership trades. 

(c)        Results of Operations

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.

Performance Summary
 
2014

During 2014, the Partnership achieved net realized and unrealized gains of $63,459,297 from all trading; gains of $64,089,929 from trading of derivatives including brokerage commissions of $6,413,798. The Partnership incurred total expenses of $28,597,912, including $12,826,879 in incentive fees, $4,603,469 in management fees paid to the General Partner, and $5,657,573 in service and professional fees. The Partnership earned $375,189 in interest income during 2014. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2014 is set forth below.
 
Fourth Quarter 2014.  The Partnership experienced a gain in October 2014. The $10 a barrel fall in crude oil prices and a declining gold market meant that short futures positions in both Brent crude oil and gold significantly  contributed to performance.  Grain markets rallied during the month, and the Partnership’s long futures position contributed to positive performance.  Gains were also made on futures contracts of the US 10-year treasury note. The Partnership experienced losses on its long positions in futures in the Dow Jones Eurostoxx 50 and Dax equity stock indices.  The Partnership experienced a gain in November 2014. The announcement of a broadly unexpected and unprecedented large monetary stimulus package from the Bank of Japan set the tone of a strong month for global equities and significant Japanese Yen depreciation, profiting the Partnership’s futures contracts’ positions on Japanese Yen and the E-mini S&P.  The Partnership’s short position in Brent crude oil also contributed to performance. The Partnership’s long positions in futures on bonds contributed to gains in the portfolio during the month.  The Partnership experienced losses during the month on its long futures position on the British Pound.  Futures positions in gold and natural gas also detracted from performance.  The Partnership achieved gains in December 2014.  The decline in the price of oil continued in December resulting in the Partnership’s short futures position in Brent crude oil and light sweet crude oil contributing positively to performance.  Sentiment weighed on Europe leading to relatively poor performance for European equity indices, a lower Euro and higher bund prices. As a result the Partnership’s long futures position in German Bunds and its short futures position in the Euro contributed positively to performance.  The Partnership’s positions in futures contracts on gold, natural gas and the Dow Jones Eurostoxx 50 index detracted from performance.

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Third Quarter 2014.  The Partnership experienced a loss in July 2014. Long positions in fixed income, natural gas and crude oil futures contributed to portfolio losses. Equity markets and fixed income markets fell sharply at the end of the month following a very strong GDP number in the U.S. resulting in losses in the Partnership’s position in Dow Jones Eurostoxx 50 futures. Mild summer weather in the U.S. which is forecast to continue, has limited energy consumption and subsequently seen storage rise at the fastest rate in over 10 years, eroding the value of the Partnership’s natural gas contracts. Crude oil prices and the Partnership’s long position in crude oil futures also fell due to low level of demand. Positions in the British pound and Eurodollar also contributed to losses. Long positions in aluminum and zinc futures contracts contributed positively to performance. Long positions in the U.S. Treasuries caused by a U.S. Treasury rally early in the month contributed to the Partnership’s gain in August 2014. The Partnership’s long position in the S&P index futures and short position in Euro futures also contributed positively to performance. The Partnership incurred losses on its long positions in the British pound and its positions in futures on live cattle and soybeans. The Partnership experienced a slight loss in September 2014. The prospect of higher U.S. interest rates weighed on equity and bond prices, contributing to losses in these sectors but provided continued support for the U.S. dollar and strong performance for the Partnership’s long position against the Euro. The Partnership’s positions in gold and silver futures, Japanese Yen and Brent crude oil contributed positively to performance. The Partnership’s long position in soybean futures detracted from performance as U.S. farmers began harvesting a record crop and China suspended import approval for two genetically modified traits.
 
Second Quarter 2014.  The Partnership experienced a gain in April 2014. Uncertainty relating to tensions in Ukraine and additional sanctions imposed on Russia by the US and Europe continued to weigh on investor conviction through April. These events contributed to mixed performance in the global stock market. The Partnership’s holding in futures on the Nikkei index detracted from performance. The European Central Bank’s (“ECB”) announcement to open the door to potential large-scale asset purchases benefitted the Partnership’s long fixed income positions where German Bunds provided the most significant contribution to the Partnership. Natural gas prices rose during the month along with the value of the Partnership’s long position in natural gas. The crop sector also posted positive performance, in particular the Partnership’s futures position in soybeans. The Partnership experienced a gain in May 2014. Monetary policy played a key role during the month with both the President of the ECB and the Chair of the US Federal Reserve making statements. Speculation of a cut to interest rates by the ECB at the June policy meeting put the Euro under pressure and negatively impacted the long Euro position in the Partnership’s currency portfolio. The Partnership’s long exposure to German Bunds contributed positively to performance. Improving weather conditions in the US and Russia led to declines in the price of wheat and corn, which adversely affected the Partnership’s performance. The Partnership experienced a loss in June 2014. Monetary policy by the US Federal Reserve, the ECB and the Governor of the Bank of England played an important role in the global markets during the month. These monetary policy actions provided a catalyst for a number of US indices to reach record highs, elevated the European fixed income markets and continued momentum for sterling, profiting the Partnership’s long futures positions in the S&P index, German Bund and British pound sterling. Regional instability in the Middle East contributed to rising precious metal values and subsequent losses in the Partnership’s short positions in the sector. The geopolitical conflicts in the region threatened refinery output benefitted the Partnership’s futures positions in crude oil. The Partnership’s futures contracts on corn lost value due in part to the high corn inventory levels and confirmation of record harvests in the US.
 
First Quarter 2014.  The Partnership experienced a loss in January 2014. The markets focused on events in China, specifically the “shadow banking industry” and the possibility of the first ever Chinese trust bankruptcy. A last minute bailout plan allowed investors to get their principal back, but speculation remained about the potential for a Chinese credit crisis. Escalating political tension most notably in Ukraine, Turkey and Thailand increased pressure on emerging markets, and towards the end of the month the Partnership’s trading in futures contracts in Ruble, Rand and global equity indices contributed to losses. The Partnership achieved gains in its trading of futures contracts in the Canadian dollar. The Partnership achieved a gain in February 2014. Global equity markets rallied through February, reversing losses experienced in January with major indices revisiting record highs and adding value to the Partnership’s positions in futures in global equity indices. Mother nature had a significant influence on market performance during the month. The Partnership’s short position in coffee futures experienced losses. Overly precipitous weather in the soybean producing regions of Brazil reduced the quality of maturing crops and benefitted the Partnership’s long futures position as prices rose. Livestock values also moved higher which benefitted the Partnership’s futures position in this sector, particularly hogs. The Partnership experienced a loss in March 2014. At the forefront of investors’ minds through March were the events in the Crimean Peninsula. Russia reclaimed Crimea following a referendum which the Ukrainian parliament claimed was unconstitutional and that the United States and the European Union considered to be illegal. The resultant threat of international sanctions against Russia and the simmering geopolitical tension led to a volatile month for global markets. China’s first onshore corporate bond default added to negative sentiment with data that pointed to a third consecutive monthly decline in manufacturing growth. Markets were further destabilized when the U.S. FOMC revised their projected Fed Funds targets, signaling increased conviction for more rapid monetary policy tightening once initiated. These events contributed to the Partnership’s losses across index futures, U.S. fixed income and short U.S. dollar positions. The Partnership achieved gains in its short position in silver futures and in futures in the livestock sector.

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2013

During 2013, the Partnership achieved net realized and unrealized gains of $47,872,800 from all trading; gains of $47,646,838 from trading of derivatives including brokerage commissions paid of $9,288,548. The Partnership incurred total expenses of $26,889,811, including $4,795,781 in incentive fees, $6,699,659  in management fees paid to the General Partner, and $7,700,319 in service and professional fees. The Partnership earned $683,651 in interest income during 2013. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2013 is set forth below.
 
Fourth Quarter 2013.  The Partnership achieved gains in October 2013.  Futures contracts on U.S. government bonds added to profits in this sector. U.S. equities markets rallied when the debt ceiling was extended and this momentum was complimented by a moderate U.S. employment report.  Long positions profited as Eurodollar futures continued to move higher.  Futures contracts on world stock markets also closed the month higher, and delivered strong returns for long positions for the portfolio. The currency sector further contributed to profits, with a long position in futures contracts on the Euro making gains. A short position on sugar made losses this month on the back of a major warehouse fire in Brazil. The Partnership achieved gains in November 2013 as a sequence of economic and political events warmed global financial markets through the month.  Long positions in futures contracts on U.S. equities delivered strong performance for the portfolio, complemented by shorts in futures contracts in gold, silver and the Japanese Yen, which fell as equities rallied. Short-term interest rates in the U.S. continued to rise slowly, resulting in further positive contribution. Losses were experienced in the bond futures sector and futures contracts on emerging market currencies which are sensitive to oil price declines.  The soy complex traded strongly, reacting positively to export data and profiting soybean and soymeal holdings. The Partnership achieved gains in December 2013, as equity markets dropped initially before turning positive in reaction to the delay of tapering and the prospect of prolonged record low interest rates. Fixed income markets continued to make no plans for imminent interest rate rises. The Japanese Yen fell further and sugar continued its decline, having formed a significant downward trend since the Brazilian warehouse fire. Gold also continued to fall, with the spot price reaching levels not seen since 2010. Below average temperatures during December and low storage levels were blamed for U.S. natural gas continuing to rise, with prices now back to the levels last seen during the spring.

Third Quarter 2013. The Partnership experienced a loss in July 2013. Although futures contracts on US and European equity indices recovered some of their June losses and the Euro rallied, these gains were offset by losses across the portfolio, primarily from a short Japanese Yen position. Short gold and copper positions also contributed losses in the metal markets. The energy sector exhibited a broad rally in the first half of the month, reducing the value of short positions held in heating and crude oil. Corn prices continued to fall resulting in a negative performance contribution from the crops sector. The Partnership experienced a loss in August 2013. A sell-off in equities caused losses in futures contracts on stock index positions while precious metal prices rallied leading to further losses in short gold and silver positions. Energy prices rose towards the end of the month benefiting long crude, natural gas and gasoline positions but contributed to a weakening in currencies of oil importing nations, most notably India. Crops provided the strongest sector performance for the Partnership as soybean futures posted their biggest monthly gain for over a year. The Partnership achieved a gain in September 2013 as precious metal and energy prices gave back some of the associated gains seen in August, profiting short gold and silver positions but reducing the value of crude holdings. Currencies also performed well with the US dollar losing some interest rate support leading to gains on the Euro, sterling and emerging market currencies.
15

Second Quarter 2013. The Partnership experienced a gain in April 2013. Financial markets extended their rally through April, as the combination of central bank balance sheet expansion and a positive earnings season helped performance. Some momentum was lost mid-April after the release of unexpectedly soft financial data out of China. However, metal prices sold off and have struggled to recover, increasing the value of short positions in futures contracts in gold, copper and to a lesser extent, silver. Japanese markets provided the biggest outperformances as trends in the Nikkei and yen accelerated, delivering large gains. The Partnership experienced a loss in May 2013 as the combination of the ECB cutting interest rates and discussing preventative measures helped US and European equity markets post gains. In Japan there was a volatile reversal to the rally seen so far in 2013, with yields pushed higher as fixed income positions unwound, reducing the value of long holdings in Europe and the US. Emerging market currencies weakened as the differential between core and peripheral yields narrowed, negatively impacting long holding of Turkish Lira and Chilean Peso. Precious metals also extended recent losses, benefitting short gold positions in that sector. The Partnership experienced a loss in June 2013 as the markets reacted to the rise in US yields that continued despite attempts from Federal Reserve officials to reassure market participants. This momentum was not helped by generally positive US economic data and the resulting sell off in asset prices. This was particularly so in Japan, where the so-called “Abenomics” rally came to a definite end. The Partnership’s long positions across futures contracts on equity indices and fixed income markets fell in value. Losses were offset to some extent by short positions in the precious and base metal sectors.
 
First Quarter 2013. The Partnership achieved a gain in January 2013 with the Partnership’s trading in futures contracts on stock indices making the most significant contribution to performance. Indications of early repayments of European Central Bank loans and the Yen stimulus package from the new Japanese government helped the short Yen and long Euro positions in the Partnership’s currency portfolio achieve large gains. Energy prices increased through the month, with a negative impact on the Partnership’s short positions in futures contracts on oil and natural gas. The Partnership experienced a loss in February 2013. February was a turbulent month for asset prices leaving the value of our positions in futures contracts on equities and currencies down on the month. This negative performance was offset in part by corresponding higher moves in bond and fixed income prices. Crop prices fell, benefitting the Partnership’s short wheat and corn positions. Precious metals also contributed to losses with a continuation of recent market falls incurring losses in the Partnership’s long silver position. The Partnership achieved a gain in March 2013 as US equity markets resumed their rally, producing strong returns for the Partnership’s long positions in futures contracts on U.S. stock indices. Uncertainty surrounding financial stability in Cyprus saw European stock indices fall in the second half of the month, additionally hurting the value of some of the Partnership’s long positions in futures contracts on emerging market currencies and the Partnership’s short gold position. The Partnership achieved gains in its trading of futures contracts in Yen and Japanese stock indices. Extended cold weather eroded natural gas storage levels, pushing prices significantly higher and helping the energy sector make gains in the Partnership’s portfolio during the month.

2012

During 2012, the Partnership achieved net realized and unrealized losses of $32,321,837 from all trading; losses of $32,871,279 from trading of derivatives including brokerage commissions paid of $12,092,858. The Partnership incurred total expenses of $28,389,416, including $63,607 in incentive fees, $8,720,244 in management fees paid to the General Partner, and $9,771,677 in service and professional fees. The Partnership earned $1,053,344 in interest income during 2012. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for each quarter during 2012 is set forth below.

16

Fourth Quarter 2012.  The Partnership experienced a loss in October 2012.  Performance was generally flat across the major markets in the portfolio, including futures contracts on the S&P 500, the Euro U.S. Dollar exchange rate, U.S. bonds, Brent Crude and Corn.  As a consequence, the Partnership suffered losses which were spread fairly evenly across the portfolio.  A short position in futures contracts on aluminum was an exception to this, leading the base metals sector to register positive performance.  The Partnership achieved gains in November 2012.  Equity markets initially sold off in November but market stability recovered in the last two weeks leaving the indices broadly unchanged on the month.  Futures contracts on European bonds continued to trade higher, which made the most significant contribution to our portfolio.  A short position in futures contracts on the Yen resulted in strong profits as the Yen traded at its lowest level for over six months.  The Partnership achieved gains in December 2012 as economic data indicated further signs of recovery with U.S. employment and Chinese economic activity showing positive signs.  Global equity markets traded higher, making a significant contribution to performance.  An extension of the recent Yen sell-off helped the currency portfolio put in a strong performance during the month. Gains in futures contracts on stock indices and currencies were partly offset by a small pull back in U.S. fixed income.

Third Quarter 2012.  The Partnership achieved gains in July 2012.  Attention in the Eurozone focused on Spain during the month, with a number of the Spanish regions asking the central government for bailouts.  As the month drew to a close, uncertainty continued over the European Central Bank’s role in supporting the Euro, and the Euro ended the month lower.  The U.S. Midwest continued to experience a heat wave which led to worsening reports of the quality of the year’s corn harvest and consequently substantial rises in grain prices which benefitted the Partnership.  The Partnership experienced a loss in August 2012.  Global stock indices continued their rally during the month and the Euro staged a partial recovery of its July fall.  The more indebted European countries’ bond yields fell.  Losses in the portfolio were mainly in futures contracts on currencies, as a result of the Euro, and futures contracts on government bonds as a result of rising U.S. and German yields.  The Partnership experienced a loss in September 2012 as the Euro rallied against the U.S. dollar during the first half of the month before promptly reversing to give back half of these gains.  Profits in futures contracts on stock indices were insufficient to offset the losses elsewhere which were spread between futures contracts on currencies, fixed income and commodities during the month.  The losses in the currency sector were a direct result of being short the Euro.  The Partnership’s long positions in stock indices benefited from the upward movements during the month, but a short position in Aluminum was hurt by a decent rally in the price of the metal during the month.  Losses in the commodity sector were made worse by drops in the prices of Corn and Soybeans.

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, 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.

17

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

(e)       Contractual Obligations

The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources.  The Partnership’s sole business is trading futures, related option and forward currency contracts, both long (contracts to buy) and short (contracts to sell).  All such contracts are settled by offset, not delivery.  Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities.  The Partnership’s financial statements, included in this report, present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open future and forward currency contracts, both long and short, at December 31, 2014.

(f)        Critical Accounting Estimates

The General Partner believes that the Partnership's most critical accounting estimates relate to the valuation of the Partnership's assets.  Futures and options on futures contracts are valued using the primary exchange’s closing price. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. U.S. government agency securities are generally valued based on quoted prices in active markets. Corporate notes are generally valued at fair value. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined using the specific identification cost method.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period.  Gains and losses resulting from the translation to U.S. dollars are reported in income currently.

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (U.S. GAAP) which require the use of certain estimates made by the Partnership’s management.  Actual results could differ from those estimates.  Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates.  The estimates used do not provide a range of possible results that would require the exercise of subjective judgment.  The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
 
Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance
18

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

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

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

Standard of Materiality

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

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

         The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
 
The Partnership’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Partnership estimates VaR using a model based upon historical simulation (with a confidence level of 99%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. This expected daily percentage change is then expanded to four days, providing an expected four day percentage change.  The Partnership’s VaR at a four day 99% confidence level of the Partnership’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 100 four day trading periods. VaR typically does not represent the worst case outcome.

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

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

19

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

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

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

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

The following table indicates the average, highest and lowest amount of trading VaR associated with the Partnership’s open positions by market category for the year ended December 31, 2014.  During 2014, the Partnership’s average capitalization was $400,434,990.
 
Fiscal Year 2014
                
Market Sector
 
Average Value
at Risk
   
% of Average
Capitalization
   
Highest Value
at Risk
   
Lowest Value
at Risk
 
Interest Rates
  $
8,543,154
     
2.13
%   $
11,201,846
    $
4,533,803
 
Commodities
  $
3,998,653
     
1.00
%   $
5,175,582
    $
2,810,637
 
Currencies
  $
4,430,081
     
1.11
%   $
6,937,800
    $
3,065,817
 
Equities
  $
10,649,988
     
2.66
%   $
15,568,899
    $
5,254,114
 
                                 
Total
  $
27,621,876
     
6.90
%
               
 
Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2014.
 
The following table indicates the average, highest and lowest amount of trading VaR associated with the Partnership’s open positions by market category for the year ended December 31, 2013.  During 2013, the Partnership’s average capitalization was $ 584,401,250.
 
Fiscal Year 2013
                
Market Sector
 
Average Value
at Risk
   
% of Average
Capitalization
   
Highest Value
at Risk
   
Lowest Value
at Risk
 
Interest Rates
 
$
4,637,526
     
0.79
%
 
$
6,407,295
   
$
2,207,168
 
Commodities
 
$
6,377,019
     
1.09
%
 
$
11,012,702
   
$
4,337,218
 
Currencies
 
$
8,123,308
     
1.39
%
 
$
10,853,130
   
$
6,304,149
 
Equities
 
$
16,356,697
     
2.80
%
 
$
22,458,663
   
$
8,453,418
 
                                 
Total
 
$
35,494,550
     
6.07
%
               
 
20

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year. Average capitalization is the average of the Partnership’s capitalization at the end of each quarter during the fiscal year 2013.
 
Material Limitations of Value at Risk as an Assessment of Market Risk

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

1)
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
 
2)
Changes in portfolio value caused by market movements may differ from those of the VaR model;
 
3)
VaR results reflect past trading positions while future risk depends on future positions;
 
4)
VaR using a one day time horizon that is then expanded to four days does not fully capture the market risk of positions that cannot be liquidated or hedged within the time period; and
 
5)
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
 
VaR is not necessarily representative of historic risk nor should it be used to predict the Partnership’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Partnership’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 100 four day trading periods.

Non-Trading Risk

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

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

The following were the primary trading risk exposures of the Partnership as of December 31, 2014, by market sector.

Currencies

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

21

Interest Rates

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

Stock Indices

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

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Partnership as of December 31, 2014.

Fixed Income Securities

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

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

22

Each day, Winton’s trading systems sets volatility parameters (known as the “instantaneous forecast standard deviation”) for each position held in the portfolio. The purpose of these parameters is to estimate the likely size of a market shift (whether up or down), in much the same way as the futures exchanges estimate the likely market shift when deciding how to set the initial margin for a future or the daily price limits for a market.  The primary determinant of the daily volatility parameters is the amount of leverage or level of gearing used by the Diversified Program. The derivatives positions’ leverage or gearing may be measured in terms of the Diversified Program’s margin-to-equity ratio in respect of its derivatives positions. This ratio is calculated by dividing the amount of margin posted with the futures commission merchant by the value of the portfolio. The Diversified Program’s long-term annualized volatility target is currently approximately 10%. However, it should be noted that the Diversified Program’s instantaneous forecast standard deviation (defined as the instantaneous risk Winton expects within the 24 hours following that particular instant) may vary outside these limits. In order to target a given level of long-term risk the instantaneous risk is allowed to fluctuate within a range around the long term risk target. In order to achieve the long-term risk target the correlation between different markets is estimated by the Diversified Program, and is employed in the calculation of the overall level of gearing which is regularly reset, typically on a daily basis.  Additionally, from time to time, the long-term standard deviation (defined as the long term average risk that Winton expects over a number of months) may also be above or below these limits, thereby having an impact upon the level of gearing used by the Diversified Program. For example, in the event that exceptional market conditions arise, such as the threat of closure of an exchange or other loss of liquidity, it may be determined to operate the Diversified Program at a lower level of gearing.
 
ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Financial statements required by this item are included herewith following the Index to Financial Statements and are incorporated by reference into this Item 8.
 
The following information presented on a quarterly basis is unaudited.
 
   
Fourth Quarter
   
Third Quarter
   
Second Quarter
   
First Quarter
 
     
2014
     
2014
     
2014
     
2014
 
                                 
Interest Income:
 
$
 79,709      
88,224
     
98,192
     
109,064
 
Net realized and unrealized gains (losses):
    43,619,159      
4,523,064
     
22,771,855
     
(1,040,983
Expenses:
     13,557,445      
5,802,381
     
9,498,337
     
6,153,547
 
Net Income (Loss):
     30,141,423      
(1,191,093
   
13,371,710
     
(7,085,466
                         
   
Fourth Quarter
   
Third Quarter
   
Second Quarter
   
First Quarter
 
   
2013
   
2013
   
2013
   
2013
 
                         
Interest Income:
 
$
137,044
   
$
139,265
   
$
177,218
   
$
230,124
 
Net realized and unrealized gains (losses):
   
37,835,665
     
(6,276,293
)
   
(4,777,918
)
   
30,379,894
 
Expenses:
   
11,063,035
     
7,500,492
     
8,459,628
     
9,155,204
 
Net Income (Loss):
   
26,909,674
     
(13,637,520
)
   
(13,060,328
)
   
21,454,814
 

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
 
None.
23

ITEM 9A:  CONTROLS AND PROCEDURES
 
(a)     The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this annual report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective.

(b)        Management’s Annual Report on Internal Control over Financial Reporting
 
Altegris Advisors, L.L.C., the general partner of the Partnership, is responsible for the management of the Partnership.  Management of the General Partner (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting.  The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.
 
The Partnership’s internal control over financial reporting includes those policies and procedures that:
 
 
 
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
 
 
 
 
 
 
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Partnership’s transactions are being made only in accordance with authorizations of Management and;
 
 
 
 
 
 
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
 
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements.  Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
 
Management assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2014.  In making this assessment, Management used the criteria set forth in Internal Control — Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2014, the Partnership’s internal control over financial reporting was effective.
 
(c)        Changes in Internal Control over Financial Reporting
 
There were no changes in the Partnership’s internal control over financial reporting during the quarter and year ended December 31, 2014 that have materially affected, or are reasonably likely to materially affect, its internal control over financial reporting.
   
ITEM 9B:  OTHER INFORMATION

None.
24

PART III

ITEM 10: DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
 
(a)         Identification of Directors and Executive Officers
 
(i)          The Partnership has no officers, directors, or employees.  The Partnership’s affairs are managed by the General Partner (although it has delegated trading and investment authority to the Advisor and administrative duties to Altegris).  The General Partner is indirectly owned by AqGen Liberty Holdings LLC (“AqGen”), an entity owned and controlled by (i) private equity funds managed by Aquiline Capital Partners LLC and its affiliates (“Aquiline”), and by Genstar Capital Management, LLC and its affiliates (“Genstar”), and (ii) certain senior management of the General Partner and its affiliates.  Aquiline is a private equity firm located in New York, New York, and Genstar is a private equity firm located in San Francisco, California.  The General Partner’s managers and executive officers are Jack L. Rivkin, Jon C. Sundt, Matthew C. Osborne, and Kenneth I. McGuire.
 
Jack L. Rivkin (born 1940) became the Chief Investment Officer, an Executive Vice President and a director of the General Partner’s predecessor entity, APM, in January 2014.  Mr. Rivkin has served as a manager and Executive Vice President and Chief Investment Officer of the General Partner (December 2013 to present).  Mr. Rivkin has served as a manager and Executive Vice President of Altegris Services, LLC and Altegris Clearing Solutions, LLC (January 2014 to present).  Mr. Rivkin has served as a manager and Executive Vice President and Chief Investment Officer of Altegris Clearing Solutions (January 2014 to present).  Mr. Rivkin has served as an Executive Vice President of Altegris Holdings (January 2014 to present).  Mr. Rivkin is responsible for general management and oversight of each of the Altegris companies for which he serves as Executive Vice President.  For each company for which he serves as Chief Investment Officer, Mr. Rivkin provides leadership, vision and oversight over the investment management and research process.  Mr. Rivkin became a principal of APM in January 2014 and is also registered with the CFTC and is a member of the NFA as a principal for the following affiliates of the General Partner: (a) Altegris Clearing Solutions LLC as principal (January 2014 to present) and (b) Advisors as a principal (January 2014 to present).  During the past five years, prior to joining Altegris, Mr. Rivkin was CEO of JL Rivkin & Associates, Inc. a firm engaged in the management of existing private and public equity portfolios (January 2002 to December 2013).  Mr. Rivkin earned his Professional Engineering degree from the Colorado School of Mines and his MBA from the Harvard Graduate School of Business Administration.

Jon C. Sundt (born 1961) is the President, CEO and a manager of the General Partner.  Mr. Sundt has also been (1) the President, CEO and a director of Altegris Investments, Inc. (Altegris) (July 2002 to present), a current broker-dealer affiliate of the General Partner, and formerly an IB and CTA; (2) a manager and the President and CEO of Altegris Clearing Solutions, L.L.C. (formerly known as Altegris Partners, L.L.C.) (Clearing Solutions), an IB and CTA and an affiliate of the General Partner (December 2008 to present); (3) a manager and the President and CEO of Altegris Services, L.L.C. (Services), an administrative and operations affiliate of the General Partner (May 2010 to present); and (4) the President and CEO of Altegris Holdings, a holding company which directly owns the General Partner, Altegris, Clearing Solutions and Services (October 2012 to present).  Mr. Sundt became a principal of the General Partner’s predecessor entity, APM, in July 2002.   Mr. Sundt attended the University of California, San Diego.

Matthew C. Osborne (born 1964) has served as a manager of the General Partner (or a director of the General Partner’s predecessor entity, APM) since July 2002.  He has also served as a Vice President of APM (July 2002 to January 2011), and currently serves as Executive Vice President of the General Partner (January 2011 to present).  Mr. Osborne has also been (1) an Executive Vice President, Chief Investment Officer and a director of Altegris (July 2002 to May 2010); (2) a manager and Executive Vice President of Clearing Solutions (December 2008 to present); (3) a manager and Executive Vice President of Services (February 2010 to present); and (4) Executive Vice President of Altegris Holdings (October 2012 to present).
 
Kenneth I. McGuire (born 1958) is the Chief Operating Officer and a manager of the General Partner.  Mr. McGuire also serves as Chief Operating Officer for Advisors (February 2010 to August 2013), and Services (May 2010 to present).  Mr. McGuire also serves as Chief Operating Officer of Altegris Holdings.  His duties within the Altegris Companies include supervision of personnel in the software development, information technology, fund operations and futures operations businesses of the Altegris Companies. During the past five years, Mr. McGuire was employed by The Bank of New York Mellon, an asset management and securities services company, as a Managing Director (April 2006 to October 2009).  Mr. McGuire was employed within BNY Mellon Alternative Investment Services, serving as Product Manager for that unit’s Single Manager Hedge Fund services. Mr. McGuire was a Strategic Advisor with Harvest Technology, a boutique investment technology consultancy (May 2005 to April 2006). Mr. McGuire graduated Magna Cum Laude from Hofstra University with a degree in Computer Science/Mathematics and received his MBA with a concentration in Management from Adelphi University.

25

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

(ii)        Identification of Certain Significant Employees
 
None.
 
(iii)       Family Relationships
 
None.
 
(iv)       Business Experience
 
See above.
 
(v)        Involvement in Certain Legal Proceedings.
 
None.
 
(vi)       Promoters and Control Persons
 
Not Applicable.

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

Not Applicable

(c)        Code of Ethics
 
The Partnership has no employees, officers or directors and is managed by the General Partner.  The General Partner has adopted a Code of Ethics that applies to its principal executive officers and certain other persons associated with Altegris Funds.  A copy of this Code of Ethics may be obtained at no charge by written request to Altegris Advisors, L.L.C., 1200 Prospect Street, Suite 400, La Jolla, CA  92037.
 
(d)        Corporate Governance

Not applicable.

ITEM 11: EXECUTIVE COMPENSATION
 
The Partnership has no officers, directors, or employees.  None of the principals, officers, or employees of the General Partner or Altegris receives compensation from the Partnership.  All persons serving in the capacity of officers or executives of the General Partner, the general partner of the Partnership, are compensated by Altegris and/or an affiliate in respect of their respective positions with such entities.  The General Partner receives a monthly management fee equal to 1/12 of 1.25% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests and equal to 1/12 of 0.75% of the management fee net asset value of the month-end capital account balances attributable to Institutional Interests; as well as, 0.0625% (0.75% annually) of all Original Class A Interests, 0.146% (1.75% annually) of all Original Class B Interests, and currently 0.0417% to 0.0625% (0.50% to 0.75% annually) of all Special Class Interests of the Partnership’s management net asset value. The General Partner also receives a monthly administrative fee equal to 1/12 of 0.333% of the management fee net asset value of the month-end capital account balances attributable to Class A and Class B Interests.
26

Altegris receives continuing monthly compensation from the Partnership equal to 1/12 of 2% of the month-end net asset value of Class A Interests sold by Altegris.
 
Clearing Solutions, in its capacity as Introducing Broker to the Partnership, receives compensation for brokerage-related services.  The Partnership will pay monthly brokerage charges equal to the greater of (A) actual commissions of $9.75 per round-turn (higher for certain exchanges or commodities) multiplied by number of round-turn trades, which amount includes other transaction costs; or (B) an amount equal to 0.125% of the management fee net asset value of all Interest holders’ month-end capital account balances (1.50% annually).  If actual monthly commissions and transaction costs in (A) above are less than the amount in (B) above, the Partnership will pay the difference to the Introducing Broker as payment for brokerage-related services.  In any month when the amount in (A) is greater than the amount in (B) above, the Partnership will pay only the amount described in (A) above.
 
The Partnership has no other compensation arrangements.  There are no compensation plans or arrangements relating to a change in control of the Partnership or the General Partner.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
 
(a)
Security ownership of certain beneficial owners
 
Not applicable.
 
(b)
Security Ownership of Management
 
The Partnership has no officers or directors.  Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner, which has delegated discretionary authority over the Partnership’s trading to the Advisor.  As of February 28, 2015, the General Partner’s general partner interest in the Partnership was valued at $4,005 which constituted approximately 0.001% of the Partnership’s total assets.  As of February 28, 2015, the following managers and executive officers of the General Partner owned Interests in the Partnership:  Jon C. Sundt.  The direct and indirect holding of Interests of each manager and executive officer and the total aggregate ownership of Interests is less than 1% of the Partnership’s total assets.
  
(c)
Changes in Control
 
None.

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
 
The Partnership does not engage in any transactions with the General Partner or its affiliates other than in respect of the services and payment of fees therefor described above in Item 1.
  
The Partnership paid to the General Partner monthly management fees totaling $4,603,469 for the year ended December 31, 2014.  The Partnership paid to the General Partner administrative fees totaling $959,609 for the year ended December 31, 2014.
 
The Partnership paid to Altegris Investments, LLC monthly continuing compensation of $646,212 for the year ended December 31, 2014.  Clearing Solutions, in its capacity as the Introducing Broker for the Partnership, received from the Partnership’s clearing broker (i.e., SGAS) the following compensation: (i) a portion of the brokerage commissions paid by the Partnership to Newedge USA, and of the interest income earned on Partnership’s assets held at SGAS, equal to $933,899 for the year ended December 31, 2014.  In addition, Clearing Solutions, in its capacity as Introducing Broker, receives from the Partnership, monthly brokerage charges as described in Item 11.  For the year ended December 31, 2014 the Partnership paid monthly brokerage charges of $5,171,366 to Altegris Clearing Solutions.

27

The Partnership has not and does not make any loans to the General Partner, its affiliates, their respective officers, directors or employees or the immediate family members of any of the foregoing, or to any entity, trust or other estate in which any of the foregoing has any interest, or to any other person.
 
None of the General Partner, its affiliates, their respective officers, directors and employees or the immediate family members of any of the foregoing, or any entity trust or other estate in which any of the foregoing has any interest has, to date, sold any asset, directly or indirectly, to the Partnership .

The Partnership has no directors, officers or employees and is managed by the General Partner.  The General Partner is managed by certain of its principals, none of whom is independent of the General Partner.
  
ITEM 14: PRINCIPAL ACCOUNTING FEES AND SERVICES
 
The following table sets forth (a) the fees billed to the Partnership for professional audit services provided by Ernst & Young LLP, the Partnership’s independent registered public accountant, for the audit of the Partnership’s annual financial statements for the year ended December 31, 2013 and (b) the fees expected to be billed to the Partnership for professional audit services provided by Ernst & Young LLP for the audit of the Partnership’s annual financial statements for the year ended December 31, 2014.
 
FEE CATEGORY
 
2014
   
2013
 
 
 
   
 
Audit Fees
 
$
42,400
 
 
$
43,000
 
Audit-Related Fees
   
49,950
   
$
47,000
 
Tax Fees
 
$
136,620
 
 
$
134,620
 
All Other Fees
   
-
     
-
 
 
               
TOTAL FEES
 
$
228,970
 
 
$
224,620
 

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

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

The managers of the General Partner pre-approve the engagement of the Partnership’s auditor for all services to be provided by the auditor.

PART IV
 
ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES
 
 
Financial Statements
 
The financial statements and balance sheets required by this Item are included herewith, beginning after the signature page hereof, and are incorporated into this Item 15.
28

 
Exhibits
 
The following documents (unless otherwise indicated) are filed herewith and made part of this registration statement.
 
Exhibit Designation
Description
*3.1
Certificate of Formation of Altegris Winton Futures Fund, L.P.
 
4.1
Third Amended Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.
 
*10.1
Advisory Contract between Altegris Winton Futures Fund, L.P., Rockwell Futures Management, Inc.** and Winton Capital Management Limited and Amendment thereto dated June 1, 2008
 
*10.2
Introducing Broker Clearing Agreement between Fimat USA, LLC*** and Altegris Investments, Inc.
 
*10.3
Form of Selling Agency Agreement
 
31.01
Rule 13a-14(a)/15d-14(a) Certification
 
32.01
Section 1350 Certification
 
______________________
 
* This exhibit is incorporated by reference to the exhibits of the same numbers and descriptions filed with the Partnership’s Registration Statement (File No. 000-53348) filed on July 30, 2008 on Form 10-12G under the Securities Exchange Act of 1934.
 
** Rockwell Futures Management, Inc. became Altegris Portfolio Management, Inc., which merged with and into Altegris Advisors, L.L.C.
 
*** Fimat USA, LLC became Newedge USA, LLC.  On January 2, 2015, Newedge USA merged with and into SGAS, with the latter as the surviving entity.
29

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
Dated:  March 31, 2015
ALTEGRIS WINTON FUTURES FUND, L.P.
By:  ALTEGRIS ADVISORS, L.L.C.
 
  By: 
 /s/ Matthew C. Osborne
  Name: Matthew C. Osborne
  Title:
Executive Vice President

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the General Partner of the Registrant and in the capacities and on the date indicated.
 
 
 
Title with
 
 
Signature
 
General Partner
 
Date
 
 
 
 
 
/s/ Jon C. Sundt
 
President, Chief Executive Officer,
 
March 31, 2015
Jon C. Sundt
 
Manager (Principal Executive Officer)
 
 
 
 
(Principal Financial Officer)
 
 
 
 
 
 
 
/s/ Jack L. Rivkin
 
Manager
 
March 31, 2015
Jack L. Rivkin
 
 
 
 
 
 
 
 
 
/s/ Matthew C. Osborne
 
Executive Vice President, Manager
 
March 31, 2015
Matthew C. Osborne
 
 
 
 
 
 
 
 
 
/s/ Kenneth I. McGuire
 
Chief Operating Officer, Manager
 
March 31, 2015
Kenneth I. McGuire
 
 
 
 
         
(Being the principal executive officer, the principal financial officer and principal accounting officer, and a majority of the managers  of Altegris Advisors, L.L.C.)
30

 
ALTEGRIS WINTON FUTURES FUND, L.P.
 
FINANCIAL STATEMENTS
 
YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012
 

ALTEGRIS WINTON FUTURES FUND, L.P.
_____________
 
TABLE OF CONTENTS
_____________
 
 
PAGES
Affirmation of the Commodity Pool Operator
1
Report of Independent Registered Public Accounting Firm
2
Financial Statements
 
Statements of Financial Condition
3
Condensed Schedules of Investments
4 - 9
Statements of Income (Loss)
10
Statements of Changes in Partners’ Capital (Net Asset Value)
11
Notes to Financial Statements
12 – 30
 

ALTEGRIS WINTON FUTURES FUND, L.P.
AFFIRMATION OF THE COMMODITY POOL OPERATOR
_______________
 
To the Partners of
Altegris Winton Futures Fund, L.P.

To the best of the knowledge and belief of the undersigned, the information contained in this Annual Report for the years ended December 31, 2014, 2013 and 2012 is accurate and complete.

 
By: /s/ Kenneth I. McGuire
 
 
Altegris Portfolio Management, Inc.
 
 
Commodity Pool Operator for
 
 
Altegris Winton Futures Fund, L.P.
 
 
By:  Kenneth I. McGuire, Chief Operating Officer
-1-

 
Report of Independent Registered Public Accounting Firm

The General Partner and Partners of Altegris Winton Futures Fund, L.P.

We have audited the accompanying statements of financial condition of Altegris Winton Futures Fund, L.P. (the “Partnership”), including the condensed schedules of investments, as of December 31, 2014 and 2013, and the related statements of income (loss), statements of changes in partners’ capital and financial highlights for each of the three years then ended. These financial statements and financial highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Partnership’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Altegris Winton Futures Fund, L.P. at December 31, 2014 and 2013, and the results of its operations, the changes in its partners’ capital and the financial highlights for each of the three years in the period then ended, in conformity with U.S. generally accepted accounting principles.
 
 
 
 
March 24, 2015
-2-

ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2014 and DECEMBER 31, 2013
_______________

   
2014
   
2013
 
ASSETS
       
    Equity in commodity broker account
       
        Restricted cash
  $
22,022,440
    $
33,798,434
 
        Restricted foreign currency (cost - $8,261,611 and $15,777,359)
   
8,179,695
     
15,867,408
 
        Unrealized gain on open commodity futures contracts
   
12,671,271
     
16,363,656
 
        Unrealized gain on open forward contracts
   
-
     
187,782
 
                 
     
42,873,406
     
66,217,280
 
                 
    Cash
   
53,617,173
     
11,866,529
 
    Investment securities at value
               
      (cost - $312,979,365 and $462,592,799)
   
312,933,103
     
462,621,851
 
    Interest receivable
   
124,547
     
315,451
 
                 
Total assets
 
$
409,548,229
   
$
541,021,111
 
                 
LIABILITIES
               
    Equity in commodity broker account
               
        Due to broker
 
$
3,401,180
   
$
7,361,117
 
        Foreign currency due to broker (proceeds - $5,106,399 and $3,104,684)
   
5,055,768
     
3,122,404
 
        Unrealized loss on open forward contracts
   
1,988,730
     
-
 
                 
     
10,445,678
     
10,483,521
 
                 
    Redemptions payable
   
12,395,726
     
24,714,657
 
    Incentive fee payable
   
8,443,751
     
4,191,156
 
    Subscriptions received in advance
   
1,322,331
     
3,604,011
 
    Commissions payable
   
511,828
     
629,796
 
    Management fee payable
   
357,488
     
466,800
 
    Service fees payable
   
339,876
     
422,953
 
    Advisory fee payable
   
308,787
     
406,433
 
    Administrative fee payable
   
75,607
     
96,775
 
    Other liabilities
   
552,257
     
491,135
 
                 
                Total liabilities
   
34,753,329
     
45,507,237
 
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
   
3,919
     
3,561
 
    Limited Partners
   
374,790,981
     
495,510,313
 
                 
Total partners' capital (Net Asset Value)
   
374,794,900
     
495,513,874
 
                 
Total liabilities and partners' capital
 
$
409,548,229
   
$
541,021,111
 

See accompanying notes.
-3-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2014
_______________

INVESTMENT SECURITIES

Face Value
 
Maturity Date
 Decription
 
Value
   
% of Partners' Capital
 
             
Fixed Income Investments
         
             
U.S. Government Agency Bonds and Notes
       
$
14,038,000
 
1/2/2015
Federal Farm Credit Bank Disc Note, 0.01%*
 
$
14,037,996
     
3.75
%
 
28,900,000
 
1/16/2015
Federal Home Loan Bank Disc Note, 0.02%*
   
28,899,769
     
7.71
%
 
15,600,000
 
1/28/2015
Federal Home Loan Bank Disc Note, 0.09%*
   
15,599,782
     
4.16
%
 
12,000,000
 
1/16/2015
Federal Home Loan Bank, 0.25%
   
12,000,312
     
3.20
%
 
12,000,000
 
3/20/2015
Federal Home Loan Bank, 0.13%
   
11,998,236
     
3.20
%
 
12,000,000
 
8/19/2015
Federal Home Loan Bank, 0.20%
   
11,997,888
     
3.20
%
 
10,000,000
 
9/18/2015
Federal Home Loan Bank, 0.20%
   
9,994,210
     
2.67
%
 
15,000,000
 
12/1/2015
Federal Home Loan Bank, 0.20%
   
14,981,910
     
4.00
%
 
9,400,000
 
12/8/2015
Federal Home Loan Bank, 0.13%
   
9,376,387
     
2.50
%
 
9,400,000
 
4/17/2015
Federal Home Loan Mortgage Corporation, 0.50%
   
9,408,930
     
2.51
%
 
10,000,000
 
8/28/2015
Federal Home Loan Mortgage Corporation, 0.50%
   
10,017,500
     
2.67
%
 
9,000,000
 
6/1/2015
Federal National Mortgage Association Disc Note, 0.14%*
   
8,996,625
     
2.40
%
 
20,000,000
 
3/16/2015
Federal National Mortgage Association, 0.38%
   
20,008,800
     
5.34
%
 
15,000,000
 
7/2/2015
Federal National Mortgage Association, 0.50%
   
15,012,540
     
4.01
%
Total U.S. Government Agency Bonds and Notes (cost - $192,377,147)
   
192,330,885
     
51.32
%
 
* The rate reported is the effective yield at time of purchase.
 
See accompanying notes.
-4-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2014
_______________

INVESTMENT SECURITIES (continued)

Face Value
 
Maturity Date
 Decription
 
Value
   
% of Partners' Capital
 
             
Fixed Income Investments (continued)
       
             
Corporate Notes
         
$
9,800,000
 
1/2/2015
Bank of Montreal, 0.10%
 
$
9,800,000
     
2.61
%
 
12,500,000
 
1/9/2015
Exxon Mobil Corporation, 0.09%*
   
12,499,042
     
3.33
%
 
12,500,000
 
1/9/2015
General Electric Capital Corporation, 0.07%*
   
12,499,132
     
3.33
%
 
12,500,000
 
1/5/2015
Johnson & Johnson, 0.07%*
   
12,499,343
     
3.33
%
 
4,000,000
 
1/14/2015
Liberty Street Funding LLC, 0.16%*
   
3,999,549
     
1.07
%
 
3,360,000
 
1/14/2015
National Rural Utilities Finance Corporation, 0.13%*
   
3,359,621
     
0.90
%
 
9,400,000
 
1/29/2015
The Norinchukin Bank, 0.17%
   
9,400,000
     
2.51
%
 
11,000,000
 
1/9/2015
Scotia Holdings (US) Inc., 0.13%*
   
10,998,930
     
2.93
%
 
6,250,000
 
1/6/2015
The Shizuoka Bank, Ltd., 0.19%
   
6,250,000
     
1.67
%
 
10,900,000
 
1/2/2015
Sumitomo Mitsui Banking Corporation, 0.16%
   
10,900,000
     
2.91
%
 
12,500,000
 
1/16/2015
Toronto Dominion Holdings (U.S.A.), Inc., 0.09%*
   
12,498,639
     
3.33
%
 
9,400,000
 
1/8/2015
Victory Receivables Corporation, 0.13%*
   
9,398,747
     
2.51
%
 
6,500,000
 
1/2/2015
Working Capital Management Co. L.P., 0.10%*
   
6,499,215
     
1.73
%
Total Corporate Notes (cost - $120,602,218)
   
120,602,218
     
32.16
%
                         
Total investment securities (cost - $312,979,365)
 
$
312,933,103
     
83.48
%
 
* The rate reported is the effective yield at time of purchase.
 
See accompanying notes.
-5-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2014
_______________

 
Range of Expiration Dates
Number of Contracts
Value
% of Partners' Capital
                 
LONG FUTURES CONTRACTS:
               
Agriculture
Jan 15 - May 15
   
572
     
$
(311,960
)
   
(0.08
)%
Currencies
Mar-15
   
18
       
33,467
     
0.01
%
Energy
Jan 15 - Feb 15
   
130
       
(1,232,680
)
   
(0.33
)%
Interest Rates
Mar 15 - Mar 18
   
9,279
       
4,966,154
     
1.33
%
Metals
Jan 15 - Mar 15
   
360
       
(1,222,257
)
   
(0.33
)%
Stock Indices
Jan 15 - Mar 15
   
1,661
       
2,742,025
     
0.73
%
Treasury Rates
Mar-15
   
914
       
464,114
     
0.12
%
                             
Total long futures contracts
     
12,934
       
5,438,863
     
1.45
%
                             
SHORT FUTURES CONTRACTS:
                           
Agriculture
Feb 15 - May 15
   
466
       
582,000
     
0.16
%
Currencies
Mar-15
   
1,901
       
2,766,377
     
0.74
%
Energy
Jan 15 - Mar 15
   
353
       
2,776,446
     
0.74
%
Interest Rates
Mar 15 - Jun 15
   
77
       
(16,451
)
   
0.00
%
Metals
Jan 15 - Apr 15
   
553
       
1,322,130
     
0.35
%
Stock Indices
Mar-15
   
117
       
(198,094
)
   
(0.05
)%
                             
Total short futures contracts
     
3,467
       
7,232,408
     
1.94
%
                             
Total futures contracts
     
16,401
     
$
12,671,271
     
3.39
%
                             
LONG FORWARD CONTRACTS:
                           
Currencies
Jan 15 - Jun 15
 
$
208,246,832
 
(1)
 
$
(3,900,907
)
   
(1.04
)%
                             
SHORT FORWARD CONTRACTS:
                           
Currencies`
Jan 15 - Jun 15
 
$
189,600,144
 
(1)
   
1,912,177
     
0.51
%
                             
Total forward currency contracts
               
$
(1,988,730
)
   
(0.53
)%

(1) Represents the December 31, 2014 U.S. dollar equivalent of the notional amount bought or sold.
 
See accompanying notes.
-6-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2013
_______________

INVESTMENT SECURITIES

Face Value
 
Maturity Date
 Decription
 
Value
   
% of Partners' Capital
 
             
Fixed Income Investments
         
             
U.S. Government Agency Bonds and Notes
       
$
26,094,000
 
1/2/2014
Federal Farm Credit Bank Disc Note, 0.01%*
 
$
26,093,993
     
5.27
%
 
7,400,000
 
1/9/2014
Federal Farm Credit Bank Disc Note, 0.02%*
   
7,399,970
     
1.49
%
 
31,300,000
 
1/17/2014
Federal Farm Credit Bank, 0.14%
   
31,300,375
     
6.32
%
 
10,000,000
 
1/2/2014
Federal Home Loan Bank Disc Note, 0.06%*
   
10,000,000
     
2.02
%
 
14,000,000
 
2/20/2014
Federal Home Loan Bank, 0.13%
   
14,000,000
     
2.82
%
 
15,000,000
 
3/28/2014
Federal Home Loan Bank, 0.13%
   
15,001,425
     
3.03
%
 
21,200,000
 
4/1/2014
Federal Home Loan Bank, 0.13%
   
21,202,608
     
4.28
%
 
7,300,000
 
4/2/2014
Federal Home Loan Bank, 0.13%
   
7,298,905
     
1.47
%
 
15,000,000
 
6/2/2014
Federal Home Loan Bank, 0.13%
   
14,999,325
     
3.03
%
 
15,000,000
 
7/24/2014
Federal Home Loan Bank, 0.18%
   
15,003,360
     
3.03
%
 
5,000,000
 
9/12/2014
Federal Home Loan Bank, 0.16%
   
5,001,605
     
1.01
%
 
17,000,000
 
9/18/2014
Federal Home Loan Bank, 0.17%
   
17,000,510
     
3.43
%
 
1,000,000
 
11/12/2014
Federal Home Loan Bank, 0.18%
   
999,527
     
0.20
%
 
20,000,000
 
11/20/2014
Federal Home Loan Bank, 0.14%
   
19,997,360
     
4.03
%
 
8,000,000
 
8/14/2014
Federal Home Loan Mortgage Corporation, 0.15%
   
8,004,720
     
1.62
%
 
20,000,000
 
8/27/2014
Federal Home Loan Mortgage Corporation, 0.11%
   
20,116,300
     
4.06
%
Total U.S. Government Agency Bonds and Notes (cost - $233,393,834)
   
233,419,983
     
47.11
%

* The rate reported is the effective yield at time of purchase. 
-7-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2013
_______________

INVESTMENT SECURITIES (continued) 

Face Value
Maturity Date
 Decription
 
Value
   
% of Partners' Capital
 
             
Fixed Income Investments (continued)
       
           
Corporate Notes
         
$
16,000,000
 
1/10/2014
Albion Capital LLC, 0.10%
 
$
15,998,413
     
3.23
%
 
13,900,000
 
1/3/2014
Banco del Estado de Chile, 0.16%
   
13,900,000
     
2.80
%
 
10,350,000
 
1/17/2014
Coca-Cola Company, 0.05%
   
10,349,482
     
2.09
%
 
9,200,000
 
1/16/2014
IBM Corporation, 0.02%
   
9,199,617
     
1.86
%
 
13,900,000
 
1/16/2014
Liberty Street Funding LLC, 0.13%
   
13,898,378
     
2.80
%
 
22,000,000
 
1/2/2014
National Australian Bank, 0.01%
   
21,999,988
     
4.44
%
 
9,150,000
 
1/15/2014
NetJets Inc., 0.08%
   
9,149,695
     
1.85
%
 
11,400,000
 
1/8/2014
Norinchukin Bank, 0.16%
   
11,400,000
     
2.30
%
 
13,900,000
 
1/2/2014
Sumitomo Mitsui Banking Corporation, 0.18%
   
13,899,985
     
2.81
%
 
13,700,000
 
1/15/2014
Sumitomo Mitsui Trust Bank, Limited, 0.18%
   
13,700,000
     
2.76
%
 
16,000,000
 
1/6/2014
Wal-Mart Stores, Inc., 0.02%
   
15,999,600
     
3.23
%
 
12,600,000
 
1/17/2014
Working Capital Mmanagement, 0.11%
   
12,598,320
     
2.54
%
Total Corporate Notes (cost - $162,093,493)
   
162,093,478
     
32.71
%
                       
U.S. Treasury Obligations
                 
$
22,000,000
 
1/2/2014
United States Treasury Bill, 0.00%
   
22,000,000
     
4.44
%
 
20,000,000
 
2/15/2014
United States Treasury Note, 0.18%
   
20,027,340
     
4.04
%
 
25,000,000
 
4/15/2014
United States Treasury Note, 0.14%
   
25,081,050
     
5.06
%
Total United States Treasury Obligations (cost - $67,105,472)
   
67,108,390
     
13.54
%
                         
Total investment securities (cost - $462,592,799)
 
$
462,621,851
     
93.36
%
 
See accompanying notes.
-8-

ALTEGRIS WINTON FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2013
_______________

 
Range of
Expiration Dates
Number of Contracts
Value
% of Partners' Capital
                 
LONG FUTURES CONTRACTS:
           
Agriculture
Jan 14 - May 14
   
883
     
$
(460,341
)
   
(0.09
)%
Currencies
Mar-14
   
2,672
       
1,711,481
     
0.35
%
Energy
Jan 14 - May 14
   
384
       
295,692
     
0.06
%
Interest Rates
Feb 14 - Dec 16
   
9,849
       
(2,137,600
)
   
(0.43
)%
Metals
Jan 14 - Dec 14
   
344
       
18,237
     
0.00
%
Stock Indices
Jan 14 - Mar 14
   
4,375
       
12,032,616
     
2.43
%
Treasury Rates
Mar-14
   
568
       
(548,047
)
   
(0.11
)%
                             
Total long futures contracts
     
19,075
       
10,912,038
     
2.21
%
                             
SHORT FUTURES CONTRACTS:
                       
Agriculture
Jan 14 - May 14
   
1,880
       
1,937,715
     
0.39
%
Currencies
Mar-14
   
1,981
       
2,136,408
     
0.43
%
Energy
Jan 14 - Mar 14
   
163
       
(334,529
)
   
(0.07
)%
Interest Rates
Mar 14 - Dec 16
   
669
       
77,972
     
0.02
%
Metals
Jan 14 - Apr 14
   
605
       
1,391,804
     
0.28
%
Stock Indices
Jan-14
   
22
       
(1,565
)
   
0.00
%
Treasury Rates
Mar-14
   
189
       
243,813
     
0.05
%
                             
Total short futures contracts
     
5,509
       
5,451,618
     
1.10
%
                             
Total futures contracts
     
24,584
     
$
16,363,656
     
3.31
%
                             
LONG FORWARD CONTRACTS:
                         
Currencies
Jan 14 - Jun 14
 
$
291,034,431
 
(1)
 
$
686,943
     
0.14
%
                             
SHORT FORWARD CONTRACTS:
                         
Currencies
Jan 14 - Jun 14
 
$
289,637,660
 
(1)
   
(499,161
)
   
(0.10
)%
                             
Total forward currency  contracts
         
$
187,782
     
0.04
%

(1) Represents the December 31, 2013 notional amount bought or sold.
 
See accompanying notes.
-9-

ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF INCOME (LOSS)
YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012
_______________

   
2014
   
2013
   
2012
 
TRADING GAINS (LOSSES)
           
    Gain (loss) on trading of
           
    derivatives contracts
           
Realized
 
$
76,372,624
   
$
47,307,868
   
$
(10,350,618
)
Change in unrealized
   
(5,868,897
)
   
9,627,518
     
(10,427,803
)
Brokerage commissions
   
(6,413,798
)
   
(9,288,548
)
   
(12,092,858
)
                         
                Gain (loss) from trading
                       
                    derivatives contracts
   
64,089,929
     
47,646,838
     
(32,871,279
)
                         
    Gain (loss) on trading of securities
                       
Realized
   
67,746
     
186,643
     
372,638
 
Change in unrealized
   
(75,314
)
   
(74,721
)
   
(59,221
)
                         
                Gain (loss) from trading securities
   
(7,568
)
   
111,922
     
313,417
 
                         
    Gain (loss) on trading of foreign currency
                       
Realized
   
(519,450
)
   
277,234
     
(263,174
)
Change in unrealized
   
(103,614
)
   
(163,194
)
   
499,199
 
                         
                Gain (loss) from trading foreign currency
   
(623,064
)
   
114,040
     
236,025
 
                         
                Total trading gains (losses)
   
63,459,297
     
47,872,800
     
(32,321,837
)
                         
NET INVESTMENT INCOME (LOSS)
                       
    Income
                       
        Interest income
   
375,189
     
683,651
     
1,053,344
 
                         
    Expenses
                       
Management fee
   
4,603,469
     
6,699,659
     
8,720,244
 
Service fees
   
4,245,801
     
5,868,451
     
7,538,297
 
Advisory fee
   
4,005,501
     
5,767,123
     
7,451,479
 
Incentive fee
   
12,826,879
     
4,795,781
     
63,607
 
Professional fees
   
1,411,772
     
1,831,868
     
2,233,380
 
Administrative fee
   
959,609
     
1,408,607
     
1,817,057
 
Interest expense
   
25,326
     
28,120
     
36,598
 
Other expenses
   
519,555
     
490,202
     
528,754
 
                         
                Total expenses
   
28,597,912
     
26,889,811
     
28,389,416
 
                         
                         
                Net investment (loss)
   
(28,222,723
)
   
(26,206,160
)
   
(27,336,072
)
                         
                         
                NET INCOME (LOSS)
 
$
35,236,574
   
$
21,666,640
   
$
(59,657,909
)

See accompanying notes.
-10-

ALTEGRIS WINTON FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012
_______________

       
Limited Partners
     
   
Total
   
Original
Class A
   
Original
Class B
   
Special Interests
   
Class A
   
Class B
   
Institutional Interests
   
 
General
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
   
-
     
(726,023
)
   
382,438
     
-
     
(2,683,371
)
   
(119,727
)
   
3,146,683
     
-
 
                                                                 
Capital additions
   
140,860,269
     
966,370
     
105,815
     
-
     
65,254,756
     
50,686,387
     
23,846,941
     
-
 
                                                                 
Capital withdrawals
   
(202,095,402
)
   
(12,550,672
)
   
(2,553,644
)
   
-
     
(78,159,434
)
   
(54,428,008
)
   
(54,403,644
)
   
-
 
                                                                 
From operations:
                                                               
Net investment income (loss)
   
(27,336,072
)
   
(1,790,344
)
   
(257,370
)
   
(544,642
)
   
(15,220,287
)
   
(6,538,002
)
   
(2,985,323
)
   
(104
)
Net realized gain (loss) from investments (net of brokerage commissions)
   
(22,334,012
)
   
(1,703,378
)
   
(357,656
)
   
(844,982
)
   
(8,836,008
)
   
(6,453,816
)
   
(4,138,077
)
   
(95
)
Net change in unrealized gain (loss) from investments
   
(9,987,825
)
   
(728,124
)
   
(163,853
)
   
(382,013
)
   
(3,925,188
)
   
(2,922,199
)
   
(1,866,406
)
   
(42
)
Net loss for the year
                                                               
ended December 31, 2012
   
(59,657,909
)
   
(4,221,846
)
   
(778,879
)
   
(1,771,637
)
   
(27,981,483
)
   
(15,914,017
)
   
(8,989,806
)
   
(241
)
                                                                 
Balances at December 31, 2012
 
$
698,786,385
   
$
51,080,979
   
$
11,284,144
   
$
30,846,820
   
$
277,100,748
   
$
209,186,580
   
$
119,283,700
   
$
3,414
 
                                                                 
Balances at December 31, 2012
 
$
698,786,385
   
$
51,080,979
   
$
11,284,144
   
$
30,846,820
   
$
277,100,748
   
$
209,186,580
   
$
119,283,700
   
$
3,414
 
                                                                 
Transfers
   
-
     
-
     
-
     
-
     
(3,842,102
)
   
801,035
     
3,041,067
     
-
 
                                                                 
Capital additions
   
38,749,012
     
60,024
     
-
     
222,000
     
24,067,834
     
9,837,426
     
4,561,728
     
-
 
                                                                 
Capital withdrawals
   
(263,688,163
)
   
(19,315,117
)
   
(5,914,205
)
   
-
     
(98,638,225
)
   
(99,891,414
)
   
(39,929,202
)
   
-
 
                                                                 
From operations:
                                                               
Net investment income (loss)
   
(26,206,160
)
   
(1,566,813
)
   
(225,760
)
   
(822,956
)
   
(14,096,197
)
   
(6,379,422
)
   
(3,114,880
)
   
(132
)
                                                               
Net realized gain (loss) from investments (net of brokerage commissions)
   
38,483,197
     
2,605,581
     
500,701
     
2,133,350
     
15,429,777
     
10,687,892
     
7,125,662
     
234
 
Net change in unrealized gain (loss) from investments
   
9,389,603
     
521,088
     
165,174
     
403,160
     
3,815,638
     
2,913,936
     
1,570,562
     
45
 
Net income for the year
                                                               
ended December 31, 2013
   
21,666,640
     
1,559,856
     
440,115
     
1,713,554
     
5,149,218
     
7,222,406
     
5,581,344
     
147
 
                                                                 
Balances at December 31, 2013
 
$
495,513,874
   
$
33,385,742
   
$
5,810,054
   
$
32,782,374
   
$
203,837,473
   
$
127,156,033
   
$
92,538,637
   
$
3,561
 
                                                                 
Balances at December 31, 2013
 
$
495,513,874
   
$
33,385,742
   
$
5,810,054
   
$
32,782,374
   
$
203,837,473
   
$
127,156,033
   
$
92,538,637
   
$
3,561
 
                                                                 
Transfers
   
-
     
-
     
-
     
15,327,825
     
(783,379
)
   
211,528
     
(14,755,974
)
   
-
 
                                                                 
Capital additions
   
30,590,544
     
33,989
     
-
     
-
     
13,155,790
     
6,379,680
     
11,021,085
     
-
 
                                                                 
Capital withdrawals
   
(186,546,092
)
   
(12,977,201
)
   
(1,370,371
)
   
(34,828,245
)
   
(59,976,398
)
   
(52,263,838
)
   
(25,130,039
)
   
-
 
                                                                 
From operations:
                                                               
Net investment income (loss)
   
(28,222,723
)
   
(1,632,593
)
   
(268,872
)
   
(1,018,814
)
   
(14,786,760
)
   
(6,320,292
)
   
(4,195,162
)
   
(230
)
Net realized gain (loss) from investments (net of brokerage commissions)
   
69,507,122
     
4,225,565
     
863,765
     
3,552,675
     
30,294,852
     
17,183,625
     
13,386,004
     
636
 
Net change in unrealized gain (loss) from investments
   
(6,047,825
)
   
(326,891
)
   
(75,054
)
   
(634,127
)
   
(2,279,626
)
   
(1,516,651
)
   
(1,215,428
)
   
(48
)
Net income for the year
                                                               
ended December 31, 2014
   
35,236,574
     
2,266,081
     
519,839
     
1,899,734
     
13,228,466
     
9,346,682
     
7,975,414
     
358
 
                                                                 
Balances at December 31, 2014
 
$
374,794,900
   
$
22,708,611
   
$
4,959,522
   
$
15,181,688
   
$
169,461,952
   
$
90,830,085
   
$
71,649,123
   
$
3,919
 
 
See accompanying notes.
-11-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
_______________
 
NOTE 1 -  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
A. 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'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.  The Partnership 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.
 
On December 31, 2014, pursuant to that certain General Partner Admission Agreement dated as of December 30, 2014 among Altegris Advisors, L.L.C. (“Advisors” or the “General Partner”), Altegris Portfolio Management, Inc. (“APM”) and the Partnership, Advisors, a Delaware limited liability company and an affiliate of APM, was admitted as a general partner of the Partnership effective immediately prior to the Transaction (defined below).  Pursuant to an internal reorganization of APM, then a general partner of Partnership, and certain affiliated entities, APM merged with and into Advisors on December 31, 2014 (the “Transaction”).  By operation of law Advisors then assumed the general partner interest of Partnership previously held by APM.  The officers of Advisors are the same persons with the same titles as the officers of APM prior to the Transaction, and the managers of Advisors were also the directors of APM prior to the Transaction.
 
B. Method of Reporting
 
The Partnership is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The Partnership’s financial statements are presented in accordance with U.S. GAAP. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2014 and 2013, and reported amounts of income and expenses for the years ended December 31, 2014, 2013 and 2012.  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.
 
C. 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.
-12-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.  Fair Value (continued)

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 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;

Level 2 - Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 - Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

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 prices and inputs 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.

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, as they are exchange traded derivatives.
-13-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.  Fair Value (continued)

Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy.

The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government bonds are categorized in Levels 1 or 2 of the fair value hierarchy. As of December 31, 2014 and 2013 none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are categorized in Level 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 that of the notes. If the spread data does not reference the issuer, 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 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. As of December 31, 2014 and 2013 none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

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

There were no changes to the Partnership’s valuation methodology during the years ended December 31, 2014 and 2013.
-14-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C.  Fair Value (continued)

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of December 31, 2014 and 2013:
 
December 31, 2014
 
Level 1
   
Level 2
   
Level 3
   
Balance as of
December 31, 2014
 
Assets:
               
Futures contracts (1)
 
$
17,390,894
   
$
-
   
$
-
   
$
17,390,894
 
Forward currency contracts (1)
   
-
     
2,167,485
     
-
     
2,167,485
 
U.S. Government agency
                               
bonds and notes
   
192,330,885
     
-
     
-
     
192,330,885
 
Corporate notes
   
-
     
120,602,218
     
-
     
120,602,218
 
   
$
209,721,779
   
$
122,769,703
   
$
-
   
$
332,491,482
 
Liabilities:
                               
Futures contracts (1)
 
$
(4,719,623
)
 
$
-
   
$
-
   
$
(4,719,623
)
Forward currency contracts (1)
   
-
     
(4,156,215
)
   
-
     
(4,156,215
)
   
$
(4,719,623
)
 
$
(4,156,215
)
 
$
-
   
$
(8,875,838
)
 
December 31, 2013
 
Level 1
   
Level 2
   
Level 3
   
Balance as of
December 31, 2013
 
Assets:
                               
Futures contracts (1)
 
$
21,739,925
   
$
-
   
$
-
   
$
21,739,925
 
Forward currency contracts (1)
   
-
     
2,042,925
     
-
     
2,042,925
 
U.S. Government agency
                               
bonds and notes
   
233,419,983
     
-
     
-
     
233,419,983
 
Corporate notes
   
-
     
162,093,478
     
-
     
162,093,478
 
U.S. Treasury Obligations
   
67,108,390
     
-
     
-
     
67,108,390
 
   
$
322,268,298
   
$
164,136,403
   
$
-
   
$
486,404,701
 
                                 
Liabilities:
                               
Futures contracts (1)
 
$
(5,376,269
)
 
$
-
   
$
-
   
$
(5,376,269
)
Forward currency contracts (1)
   
-
     
(1,855,143
)
   
-
     
(1,855,143
)
   
$
(5,376,269
)
 
$
(1,855,143
)
 
$
-
   
$
(7,231,412
)
 
(1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.
 
For the years ended December 31, 2014 and 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the years ended December 31, 2014 and 2013, there were no Level 3 securities.
 
D. Investment Transactions and Investment Income

Security transactions are recorded on the trade date for financial reporting purposes.  Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss).  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 an accrual basis.
-15-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
D. Investment Transactions and Investment Income (continued)
 
Gains or losses on futures contracts, options on futures contracts and forward currency 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 Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are incurred as an expense when contracts are opened, and are recognized as trading gains and losses.

Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, sales and maturities of futures contracts in foreign markets and foreign currency forward contracts, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year end, resulting from changes in the exchange rates.

JPMorgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian.  The Partnership has cash deposited with the Custodian.  Newedge USA, LLC (the “Clearing Broker”) is the Partnership’s commodity broker.  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”). 
 
E. Option Contracts
 
Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price.  Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market.  All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default.  There can be no assurance that a liquid secondary market will exist for any option purchased or sold.

As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price.  The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised.  When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option.

As the writer of a put option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price.  When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written.  If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received.  If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received.  If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received.
-16-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E. Option Contracts (continued)
 
As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition.

As of December 31, 2014 and 2013 the Partnership did not hold any option contracts.
 
F. Futures Contracts

The Partnership may engage in futures contracts as part of its investment strategy. 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. Due to broker amounts on the Statement of Financial Condition represent the amount of any short fall in the Fund's required cash margin. 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. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2014 and 2013 are reflected within the Condensed Schedules of Investments.
 
G. 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 December 31, 2014 and 2013 are reflected within the Condensed Schedules of Investments.

H. 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 Statements of Financial Condition.
-17-

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

NOTE 1 -  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
H. Foreign Currency Transactions (continued)
 
Income and expense items 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 Statements 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 the Statements of Income (Loss).
 
I. Cash
 
Restricted cash is held as margin collateral for futures transactions.

At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). 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.

J. 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.
 
K. Income Taxes
 
As an entity taxable as a partnership for the U.S. Federal Income tax purposes; the Partnership itself is not 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.
 
The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position.  The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority.  De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital.  Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of December 31, 2014 and 2013.  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 is subject to income tax examinations by major taxing authorities for all tax years since 2012.
 
The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively.  No interest expense or penalties have been recognized as of and for the years ended December 31, 2014, 2013 and 2012.
-18-

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

NOTE 1 -  ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
L.  Reclassifications
 
Certain amounts in the 2013 and 2012 financial statements were reclassified to conform to the 2014 presentation.
 
NOTE 2 - PARTNERS’ CAPITAL
 
A. 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.  Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.
 
No Limited Partner of the Partnership 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.
 
B. 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. 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 distributions were made for the years ended December 31, 2014, 2013 and 2012.
 
NOTE 3 -  RELATED PARTY TRANSACTIONS
 
A. 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 0.0625% (0.50% annually) for Special Interests of the Partnership's management fee net asset value.
-19-

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

NOTE 3 -  RELATED PARTY TRANSACTIONS (CONTINUED)
 
A. General Partner Management Fee (continued)
 
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.  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 years ended December 31, 2014, 2013 and 2012 are shown on the Statements of Income (Loss) as Management Fee.
 
B. 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 attributable to Class A and Class B Interests. For the years ended December 31, 2014, 2013 and 2012, administrative fees for Class A Interests were $608,618, $825,341 and $1,048,576, respectively and administrative fees for Class B Interests were $350,991, $583,266 and $768,481, respectively.  General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.
 
C. Altegris Investments, Inc. and Altegris Futures, L.L.C.
 
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC. Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, is 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 Newedge USA, LLC, the Partnership’s commodity broker (the “Clearing Broker”) and interest income retained by the Clearing Broker. Additionally, 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.  Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
 
On December 31, 2014, Altegris Futures merged with and into its affiliate, Altegris Clearing Solutions, LLC.  Altegris Clearing Solutions, LLC is registered with the CFTC as an Introducing Broker.
 
At December 31, 2014 and 2013, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $416,134 and $482,292, and service fees payable to Altegris Investments of $50,980 and $62,886, respectively. The following tables show the fees paid to Altegris Investments and Altegris Futures for the years ended December 31, 2014, 2013 and 2012:
-20-

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

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)
 
C. Altegris Investments, Inc. and Altegris Futures, L.L.C. (continued)
 
   
Year ended
December 31, 2014
   
Year ended
December 31, 2013
   
Year ended
December 31, 2012
 
Altegris Futures - Brokerage
           
Commission fees
 
$
5,171,366
   
$
7,577,139
   
$
9,807,800
 
Altegris Investments- Service fees
   
646,212
     
825,963
     
1,149,600
 
Total
 
$
5,817,578
   
$
8,403,102
   
$
10,957,400
 
 
The amounts above are included in Brokerage Commissions and Service Fees on the Statements of Income (Loss), respectively. The amounts shown on the Statements of Income (Loss) include fees paid to non-related parties.

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, calculated separately for each partner’s interest achieved from commodity trading (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the years ended December 31, 2014, 2013 and 2012 are shown on the Statements of Income (Loss).
 
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. The Advisor receives a monthly management fee from the Partnership equal to 0.0625% (0.75% annually) for Original Class B Interests of the Partnership's management fee net asset value. Advisor receives a monthly management fee from the Partnership equal to 0.042% (0.50% annually) for Special Interests of the Partnership's management fee net asset value.  In addition, the General Partner has assigned a portion of its management fees earned to the Advisor.  For the years ended December 31, 2014, 2013 and 2012 management fees for Class A Interests were $1,844,301, $2,501,029 and $3,177,503, respectively, management fees for Class B Interests were $1,063,609, $1,767,472 and $2,328,729, respectively, management fees for Original Class B Interests were $51,579, $85,413 and $130,719, respectively, management fees for Special Interests were $229,731, $315,663 and $317,184, respectively and management fees for Institutional Interests were $816,281, $1,097,546 and $1,497,344, respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee.
 
NOTE 5 - SERVICE FEES

General Partner’s Interest, Original Class A Interests and Class A Interests pay selling agents an ongoing monthly 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. For the years ended December 31, 2014, 2013 and 2012 service fees for General Partner’s Interest, were $73, $70 and $71, respectively, service fees for Class A Interests were $3,689,291,
-21-

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

NOTE 5 -  SERVICE FEES (CONTINUED)

$4,994,432 and $6,304,842, respectively, service fees for Original Class A Interests were $541,253, $850,225 and $1,199,154, respectively and service fees for Institutional Interests were $15,184, $23,724 and $34,230, respectively.  Class B, Original Class B and Special Interests did not get charged the service fees. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly 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 COMMISSIONS
 
The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected on the Statements of Income (Loss) as Brokerage Commissions. The Partnership pays to its Clearing Broker a monthly brokerage commission equal to the greater of: (1)  actual brokerage commissions, which are based upon trading volume, or (2) a flat rate of 0.125% (1.5% annually) (the "Minimum Amount") of the Partnership's management fee net asset value.
 
If actual brokerage commissions paid to the Clearing Broker are less than the Minimum Amount, the Partnership will pay to the introducing broker, the difference. However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions.
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS
 
The Partnership engages in the speculative trading of futures, options on futures, and forward currency contracts for the purpose of achieving capital appreciation.  None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes.  The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters.  Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
 
The following presents the fair value of derivative contracts at December 31, 2014 and 2013.  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 Statements of Financial Condition.
-22-

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

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
December 31, 2014
   
Asset
   
Liability
     
 Type of
 
Derivatives
   
Derivatives
   
Net
 
 Derivatives Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
             
Futures Contracts
           
Agriculture
 
$
717,593
   
$
(447,553
)
 
$
270,040
 
Currencies
   
2,814,919
     
(15,075
)
   
2,799,844
 
Energy
   
2,780,157
     
(1,236,391
)
   
1,543,766
 
Interest Rates
   
5,942,063
     
(992,360
)
   
4,949,703
 
Metals
   
1,322,342
     
(1,222,469
)
   
99,873
 
Stock Indices
   
3,282,258
     
(738,327
)
   
2,543,931
 
Treasury Rates
   
531,562
     
(67,448
)
   
464,114
 
   
$
17,390,894
   
$
(4,719,623
)
 
$
12,671,271
 
Forward Currency Contracts
 
$
2,167,485
   
$
(4,156,215
)
 
$
(1,988,730
)
Total Gross Fair Value of Derivatives Contracts
 
$
19,558,379
   
$
(8,875,838
)
 
$
10,682,541
 
 
December 31, 2013
   
Asset
   
Liability
         
 Type of
 
Derivatives
   
Derivatives
   
Net
 
 Derivatives Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                         
Futures Contracts
                       
Agriculture
 
$
2,192,246
   
$
(714,872
)
 
$
1,477,374
 
Currencies
   
3,919,970
     
(72,081
)
   
3,847,889
 
Energy
   
402,001
     
(440,838
)
   
(38,837
)
Interest Rates
   
980,354
     
(3,039,982
)
   
(2,059,628
)
Metals
   
1,968,925
     
(558,884
)
   
1,410,041
 
Stock Indices
   
12,032,616
     
(1,565
)
   
12,031,051
 
Treasury Rates
   
243,813
     
(548,047
)
   
(304,234
)
   
$
21,739,925
   
$
(5,376,269
)
 
$
16,363,656
 
Forward Currency Contracts
 
$
2,042,925
   
$
(1,855,143
)
 
$
187,782
 
Total Gross Fair Value of Derivatives Contracts
 
$
23,782,850
   
$
(7,231,412
)
 
$
16,551,438
 
 
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the years ended December 31, 2014, 2013 and 2012.
-23-

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

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts.
 
Year ended December 31, 2014
 
 
 Type of
Derivatives Contracts
 
Realized
   
Change in
Unrealized
   
Number of
Contracts
Closed
 
             
 Futures Contracts
           
 Agricultural
 
$
(3,622,872
)
 
$
(1,207,334
)
   
 Currencies
   
15,721,422
     
(1,048,045
)
   
 Energy
   
17,811,994
     
1,582,603
     
 Interest Rates
   
34,111,784
     
7,009,331
     
 Metals
   
(213,214
)
   
(1,310,168
)
   
 Stock Indices
   
7,647,480
     
(9,487,120
)
   
 Treasury Rates
   
8,102,452
     
768,348
     
   
$
79,559,046
   
$
(3,692,385
)
   
138,421
 
 Forward Currency Contracts
 
$
(3,186,422
)
 
$
(2,176,512
)
 
$
991,206,090,466
(1)
 Total gain (loss) from derivatives contracts
 
$
76,372,624
   
$
(5,868,897
)
       
 
Year ended December 31, 2013
 
 Type of
Derivatives Contracts
 
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
 
                         
 Futures Contracts
                       
 Agricultural
 
$
8,520,125
   
$
1,931,276
         
 Currencies
   
19,944,966
     
(4,452,030
)
       
 Energy
   
(11,721,625
)
   
487,943
         
 Interest Rates
   
(17,259,411
)
   
(3,841,913
)
       
 Metals
   
6,156,092
     
6,347,057
         
 Stock Indices
   
56,218,415
     
9,172,334
         
 Treasury Rates
   
(10,919,057
)
   
555,345
         
   
$
50,939,505
   
$
10,200,012
     
180,308
 
 Forward Currency Contracts
 
$
(3,631,637
)
 
$
(572,494
)
 
$
960,719,322,833
(1)
 Total gain (loss) from derivatives contracts
 
$
47,307,868
   
$
9,627,518
         
-24-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
Year ended December 31, 2012
 
Type of
Derivatives Contracts
 
Realized
   
Change in
Unrealized
   
Number of
Contracts Closed
 
             
 Futures Contracts
           
 Agricultural
 
$
(10,896,031
)
 
$
932,474
     
 Currencies
   
(18,329,967
)
   
(481,489
)
   
 Energy
   
(15,167,175
)
   
(1,648,915
)
   
 Interest Rates
   
40,624,631
     
(5,881,488
)
   
 Metals
   
(13,677,916
)
   
(2,603,011
)
   
 Stock Indices
   
1,184,942
     
2,068,792
     
 Swapnote Future
   
10,037
     
(2,535
)
   
 Treasury Rates
   
8,844,892
     
(3,405,235
)
   
   
$
(7,406,587
)
 
$
(11,021,407
)
   
222,906
 
 Options on Futures Contracts
                       
 Stock Indices
 
$
336,250
   
$
(31,198
)
       
   
$
336,250
   
$
(31,198
)
   
1,420
 
 Forward Currency Contracts
 
$
(3,280,281
)
 
$
624,802
   
$
212,342,185,003
(1)
 Total gain (loss) from derivatives contracts
 
$
(10,350,618
)
 
$
(10,427,803
)
       
 
(1) Represents the U.S. dollar equivalent of the notional amount bought or sold during the years ended December 31, 2014, 2013 and 2012. The number of contracts closed using average cost for long contracts of 702,178, 890,635 and 1,276,262 and short contracts of (634,673), (938,097) and (1,659,259) for the years ended December 31, 2014, 2013 and 2012.
 
With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which  grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding-up, liquidation or merger of the Partnership.
 
With respect to foreign currency forward contracts, the Partnership has entered into an agreement with the Clearing Broker, whereby the party having the greater obligation (either the Partnership or the Clearing Broker) shall deliver to the other party at the settlement date the net amount of recognized derivative assets and liabilities.
-25-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 -  FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
The following table summarizes the disclosure requirements for offsetting assets and liabilities:
 
Offsetting the Financial Assets and Derivative Assets
             
               
Gross Amounts Not Offset in the
Statement of Financial Condition
 
As of December 31, 2014
                     
Description
 
Gross
Amounts of
Recognized
Assets
   
Gross
Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented in
the Statement
of Financial Condition
   
Financial
Instruments
   
Cash
Collateral
Received (1)
   
Net
Amount
 
                         
Forward contracts
   
2,167,485
     
(2,167,485
)
   
-
     
-
     
-
     
-
 
Commodity futures contracts
   
17,390,894
     
(4,719,623
)
   
12,671,271
     
-
     
-
     
12,671,271
 
Total
   
19,558,379
     
(6,887,108
)
   
12,671,271
     
-
     
-
     
12,671,271
 
                                                 
Offsetting the Financial Liabilities and Derivative Liabilities
                                 
                           
Gross Amounts Not Offset in the Statement of Financial Condition
 
As of December 31, 2014
                                               
Description
 
Gross
Amounts of
Recognized
Liabilities
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Liabilities Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Pledged (1)
   
Net
Amount
 
                                                 
Forward contracts
   
(4,156,215
)
   
2,167,485
     
(1,988,730
)
   
-
     
-
     
(1,988,730
)
Commodity futures contracts
   
(4,719,623
)
   
4,719,623
     
-
     
-
     
-
     
-
 
Total
   
(8,875,838
)
   
6,887,108
     
(1,988,730
)
   
-
     
-
     
(1,988,730
)
 
Offsetting the Financial Assets and Derivative Assets
   
Gross Amounts Not Offset in the
Statement of Financial Condition
 
As of December 31, 2013
                 
Description
 
Gross
Amounts of
Recognized
Assets
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented in
the Statement
of Financial Condition
   
Financial
Instruments
   
Cash
Collateral
Received (1)
   
Net
Amount
 
                         
Forward contracts
   
2,042,925
     
(1,855,143
)
   
187,782
     
-
     
-
     
187,782
 
Commodity futures contracts
   
21,739,925
     
(5,376,269
)
   
16,363,656
     
-
     
-
     
16,363,656
 
Total
   
23,782,850
     
(7,231,412
)
   
16,551,438
     
-
     
-
     
16,551,438
 
 
Offsetting the Financial Liabilities and Derivative Liabilities
                   
Gross Amounts Not Offset in the
Statement of Financial Condition
 
As of December 31, 2013
                                 
Description
 
Gross
Amounts of
Recognized
Liabilities
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Liabilities Presented in
the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Pledged (1)
   
Net
Amount
 
                                                 
Forward contracts
   
(1,855,143
)
   
1,855,143
     
-
     
-
     
-
     
-
 
Commodity futures contracts
   
(5,376,269
)
   
5,376,269
     
-
     
-
     
-
     
-
 
Total
   
(7,231,412
)
   
7,231,412
     
-
     
-
     
-
     
-
 
 
(1) Does not include maintenance margin deposits held at the Clearing Broker of $30,202,135 for 2014 and $49,665,842 for 2013, respectively.
-26-

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

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).
 
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.
 
All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded.  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.  However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be 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, if any.
 
The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation.  In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures.  In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.
 
The Partnership has 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.
-27-

ALTEGRIS WINTON FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
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.
 
NOTE 10 - FINANCIAL HIGHLIGHTS
 
The following information presents the financial highlights of the Partnership for the years ended December 31, 2014, 2013 and 2012.  This information has been derived from information presented in the financial statements.
 
 
December 31, 2014
   
Original
   
Original
   
Special
           
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                         
Total return for Limited Partners
                       
  Return prior to incentive fees
   
13.33
%
   
14.48
%
   
14.64
%
   
11.32
%
   
13.53
%
   
14.44
%
  Incentive fees
   
(3.28
)%
   
(3.32
)%
   
(3.21
)%
   
(3.26
)%
   
(3.29
)%
   
(3.31
)%
                                                 
Total return after incentive fees
   
10.05
%
   
11.16
%
   
11.43
%
   
8.06
%
   
10.24
%
   
11.13
%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees
   
3.26
%
   
2.22
%
   
2.12
%
   
5.11
%
   
3.10
%
   
2.24
%
  Incentive fees
   
2.96
%
   
3.11
%
   
2.80
%
   
3.11
%
   
3.05
%
   
3.03
%
                                                 
    Total expenses
   
6.22
%
   
5.33
%
   
4.92
%
   
8.22
%
   
6.15
%
   
5.27
%
                                                 
  Net investment (loss) (1)
   
(3.17
)%
   
(2.14
)%
   
(2.02
)%
   
(5.02
)%
   
(3.00
)%
   
(2.16
)%
 
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) Excludes incentive fee.
 
-28-

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

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)
 
 
December 31, 2013
   
Original
   
Original
   
Special
           
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                         
Total return for Limited Partners
                       
  Return prior to incentive fees
   
5.09
%
   
6.14
%
   
6.40
%
   
3.19
%
   
5.26
%
   
6.11
%
  Incentive fees
   
(0.80
)%
   
(0.81
)%
   
(0.85
)%
   
(0.86
)%
   
(0.87
)%
   
(0.88
)%
                                                 
Total return after incentive fees
   
4.29
%
   
5.33
%
   
5.55
%
   
2.33
%
   
4.39
%
   
5.23
%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees
   
3.18
%
   
2.18
%
   
1.88
%
   
5.07
%
   
3.04
%
   
2.19
%
  Incentive fees
   
0.68
%
   
0.64
%
   
0.83
%
   
0.80
%
   
0.78
%
   
0.81
%
                                                 
    Total expenses
   
3.86
%
   
2.82
%
   
2.71
%
   
5.87
%
   
3.82
%
   
3.00
%
                                                 
  Net investment (loss) (1)
   
(3.07
)%
   
(2.07
)%
   
(1.77
)%
   
(4.95
)%
   
(2.93
)%
   
(2.08
)%
 
 
December 31, 2012
   
Original
   
Original
   
Special
                   
Institutional
 
   
Class A
   
Class B
   
Interests
   
Class A
   
Class B
   
Interests
 
                                                 
Total return for Limited Partners
                                               
  Return prior to incentive fees
   
(6.58
)%
   
(5.67
)%
   
(5.43
)%
   
(8.30
)%
   
(6.46
)%
   
(5.69
)%
  Incentive fees
   
(0.00
)%
   
(0.00
)%
   
(0.00
)%
   
(0.01
)%
   
(0.01
)%
   
(0.01
)%
                                                 
Total return after incentive fees
   
(6.58
)%
   
(5.67
)%
   
(5.43
)%
   
(8.31
)%
   
(6.47
)%
   
(5.70
)%
                                                 
Ratio to average net asset value
                                               
  Expenses prior to incentive fees
   
3.10
%
   
2.13
%
   
1.85
%
   
5.03
%
   
3.00
%
   
2.17
%
  Incentive fees
   
0.00
%
   
0.00
%
   
0.00
%
   
0.01
%
   
0.01
%
   
0.01
%
                                                 
    Total expenses
   
3.10
%
   
2.13
%
   
1.85
%
   
5.04
%
   
3.01
%
   
2.18
%
                                                 
  Net investment (loss) (1)
   
(2.96
)%
   
(1.99
)%
   
(1.72
)%
   
(4.90
)%
   
(2.87
)%
   
(2.04
)%
 
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) Excludes incentive fee.
 
-29-

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.
 
Effective January 1, 2015, Altegris Advisors, L.L.C. became the sole General Partner of the Partnership.
 
From January 1, 2015 through March 24, 2015, the Partnership had subscriptions of $7,666,234 and redemptions of $7,734,983.
 
 
 
-30-