UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-K/A

(Amendment No, 1)

(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, 2020

 

or

 

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

 

Commission file number: 000-53348

 

ALTEGRIS WINTON FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

 

COLORADO (State or other jurisdiction of incorporation or organization)

84-1496732 (I.R.S. Employer Identification No.)

 

c/o ALTEGRIS ADVISORS, L.L.C.

1200 Prospect Street, Suite 400

La Jolla, CA 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 o 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 o 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 o

 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 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 the 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, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer x	Smaller reporting company x
Emerging growth company ☐

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

 

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☐

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).

Yes o 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.

 

 

 

 

 

Explanatory Note

 

The purpose of this filing is to amend the Annual Report on Form 10-K for the year ended December 31, 2020 filed with the Securities and Exchange Commission on March 29, 2021 to include the Ernst & Young LLP report of independent registered public accounting firm as of December 31, 2019 and for the two years then ended, and to amend the Deloitte & Touche LLP report of independent registered public accounting firm as of December 31, 2020 and for the year then ended to remove reference to the other auditors as of December 31, 2019 and for the two years then ended. No other changes have been made to the Form 10-K, as previously filed on March 29, 2021, and information reported as of a particular date has not been updated.

 

 

PART II

 

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
		2020				2020				2020				2020
Interest Income:		$	9			$	3,848			$	22,386			$	272,208
Net realized and unrealized gains (losses):			1,307,976				(3,141,170	)			(5,787,831	)			(7,956,369	)
Expenses:			315,563				548,906				647,253				769,389
Net Income (Loss):			992,422				(3,686,228	)			(6,412,698	)			(8,453,550	)

 

		Fourth Quarter				Third Quarter				Second Quarter				First Quarter
		2019				2019				2019				2019
Interest Income:		$	378,906			$	535,417			$	640,363			$	698,117
Net realized and unrealized gains (losses):			(3,207,154	)			5,067,517				(1,074,718	)			262,621
Expenses:			916,431				1,118,253				1,074,549				1,162,823
Net Income (Loss):			(3,744,676	)			4,484,681				(1,508,904	)			(202,085	)

 

 

 

 

 

PART IV

 

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES

 

Financial Statements

 

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

 

Exhibits

 

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

 

Exhibit Designation	Description
*3.1	Certificate of Formation of Altegris Winton Futures Fund, L.P.
**4.1	Third Amended and Restated 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 of Principal Executive Officer
† 31.02	Rule 13a-14(a)/15d-14(a) Certification of Financial Executive Officer
† 32.01	Section 1350 Certification of Principal Executive Officer
† 32.02	Section 1350 Certification of Principal Financial Officer
*****101.INS	XBRL Instance Document
*****101.SCH	XBRL Schema Document
*****101.CAL	XBRL Calculation Linkbase Document
*****101.DEF	XBRL Definition Linkbase Document
*****101.LAB	XBRL Label Linkbase Document
*****101.PRE	XBRL Presentation Linkbase Document

 

____________________

 

* These exhibits are 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.

 

** This exhibit is incorporated by reference to the exhibit of the same number and description filed with the registrant’s Annual Report on Form 10-K (File No. 000-53348) filed on March 31, 2015.

 

*** 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, which merged with and into SG Americas Securities, LLC.

 

† These exhibits are incorporated by reference to the exhibits of the same numbers and descriptions filed with the registrant’s Annual Report on Form 10-K for the year ended December 31, 2020 filed on March 29, 2021.

 

 

 

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: September 10, 2021	Altegris WINTON FUTURES FUND, L.P.   By: ALTEGRIS ADVISORS, L.L.C.
	By: /s/ Matthew C. Osborne
	Name: Matthew C. Osborne
	Title: Principal Executive Officer

 

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

 

		Title with
Signature		General Partner		Date
/s/ Matthew C. Osborne
Matthew C. Osborne		Principal Executive, Financial & Accounting Officer		September 10, 2021

 

 

 

 

 

 

 

(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.)

 

 

 

 

 

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, 2020, 2019 AND 2018

____________

 

TABLE OF CONTENTS

_____________

 

 

 

		PAGES
Affirmation of the Commodity Pool Operator		F-1
Report of Independent Registered Public Accounting Firm		F-2 - F-2A
Financial Statements
Statements of Financial Condition		F-3
Condensed Schedules of Investments		F-4 - F-6
Statements of Income (Loss)		F-7
Statements of Changes in Partners’ Capital (Net Asset Value)		F-8 - F-9
Notes to Financial Statements		F-10 - F-31

 

 

 

 

 

 

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, 2020, 2019 and 2018 is accurate and complete.

 

 

 

 

	By: /s/ Matthew C. Osborne
	Altegris Advisors, L.L.C.
	Commodity Pool Operator for
	Altegris Winton Futures Fund, L.P.
	By: Matthew C. Osborne, Chief Executive Officer

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deloitte & Touche LLP 695 Town Center Drive Suite 1000 Costa Mesa, CA 92626 USA Tel: 714 436 7100 Fax: 714 436 7200 www.deloitte.com

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

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

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of financial condition, including the condensed schedule of investments, of Altegris Winton Futures Fund, L.P. (the “Fund”) as of December 31, 2020, and the related statements of income (loss), changes in partners’ capital (net asset value), for the year then ended, and the related notes. In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, and the results of its operations and changes in its partners’ capital (net asset value) for the year then ended in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

 

Critical Audit Matters

 

Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.

 

 

Costa Mesa, California

 

March 25, 2021

 

We have served as the Fund’s auditor since 2020.

 

 

 

 

Ernst & Young LLP One Commerce Square Suite 700 2005 Market Street Philadelphia, PA 19103

Tel: +1 215 448 5000 Fax: +1 215 448 5500 ey.com

 

Report of Independent Registered Public Accounting Firm

 

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

 

Opinion on the Financial Statements

 

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, 2019 and 2018, and the related statements of income (loss) and changes in partners’ capital (net asset value) for each of the three years in the period ended December 31, 2019 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Partnership at December 31, 2019 and 2018, and the results of its operations and the changes in its partners’ capital for each of the three years in the period ended December 31, 2019, in conformity with U.S. generally accepted accounting principles.

 

Basis for Opinion

 

These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Partnership in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Partnership is not required to have, nor were we engaged to perform, an audit of the Partnership’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, 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.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian and broker. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

 

We have served as the Partnership’s auditor since 2011.

Philadelphia, PA

March 9, 2020

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2020 and DECEMBER 31, 2019
_______________

 

		2020				2019
ASSETS
Equity in commodity broker account:
Cash deposit with broker		$	3,372,393			$	3,225,338
Segregated cash			1,975,939				7,510,328
Segregated foreign currency (cost - $803,988 and $1,556,629)			826,081				1,582,344
Net unrealized gain on open forward contracts			59,383				139,078
Net unrealized gain on open futures contracts			1,124,294				–
Total assets in commodity broker account			7,358,090				12,457,088
Cash			31,267,694				1,168,333
Investment securities at fair value (cost - $0 and $81,584,880)			–				81,586,344
Interest receivable			–				1,307
Total assets		$	38,625,784			$	95,213,072
LIABILITIES
Equity in commodity broker account:
Net unrealized loss on open futures contracts		$	–			$	875,046
Total liabilities in commodity broker account							875,046
Redemptions payable			5,917,175				1,875,639
Commissions payable			46,140				116,793
Management fee payable			33,960				77,769
Service fees payable			33,518				77,478
Advisory fee payable			28,090				72,953
Administrative fee payable			7,262				15,576
Other liabilities			64,390				338,809
Total liabilities			6,130,535				3,450,063
PARTNERS’ CAPITAL (NET ASSET VALUE)
General Partner			2,933				3,626
Limited Partners			32,492,316				91,759,383
Total partners’ capital (Net Asset Value)			32,495,249				91,763,009
Total liabilities and partners’ capital		$	38,625,784			$	95,213,072

 

See accompanying notes.

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

December 31, 2020

_______________

 

		Range of Expiration Dates		Number of Contracts				Fair Value				% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture		Jan 21 - May 21			257			$	359,454				1.11%
Currencies		Mar-21			183				147,745				0.45%
Energy		Jan 21 - Dec 21			24				37,854				0.12%
Interest Rates		Mar 21 - Dec 23			1,006				61,398				0.19%
Metals		Jan 21 - Apr 21			124				281,151				0.87%
Stock Indices		Jan 21 - Mar 21			98				178,787				0.55%
Treasury Rates		Mar-21			120				14,594				0.04%
Total long futures contracts					1,812				1,080,983				3.33%
SHORT FUTURES CONTRACTS:
Agriculture		Jan 21 - May 21			27				(26,386	)			(0.08)%
Currencies		Mar-21			18				(17,020	)			(0.05)%
Energy		Jan 21 - Apr 21			24				19,320				0.06%
Interest Rates		Mar 21 - Jun 21			6				1,491				0.00%
Metals		Jan 21 - Mar 21			68				65,906				0.20%
Total short futures contracts					143				43,311				0.13%
Total futures contracts								$	1,124,294				3.46%
UNREALIZED GAIN ON FORWARD CONTRACTS:
Currencies		Jan 21 - Mar 21						$	104,642				0.32%
UNREALIZED LOSS ON FORWARD CONTRACTS:
Currencies		Jan 21 - Mar 21							(45,259	)			(0.14)%
Total forward currency contracts								$	59,383				0.18%

 

See accompanying notes.

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS (continued)

DECEMBER 31, 2019

_______________

 

INVESTMENT SECURITIES
Face Value					Maturity Date			Description		Fair Value				% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	22,503,000				1/2/2020			Federal Farm Credit Bank Disc Note, 1.15%*		$	22,502,281				24.52%
	23,370,000				1/2/2020			Federal Home Loan Bank Disc Note, 1.15%*			23,370,000				25.47%
	5,000,000				1/3/2020			Federal Home Loan Bank Disc Note, 1.57%*			4,999,790				5.45%
	10,000,000				1/23/2020			Federal Home Loan Bank Disc Note, 1.58%*			9,991,192				10.89%
Total U.S. Government Agency Bonds and Notes (cost - $60,861,500)											60,863,263				66.33%
Certificates of Deposit
	1,633,982				1/15/2020			The Chiba Bank, Ltd., 1.80%			1,633,982				1.78%
Total Certificates of Deposit (cost - $1,634,000)											1,633,982				1.78%
Corporate Notes
	864,000				1/2/2020			Cedar Springs Capital Company, LLC, 1.59%*			863,962				0.94%
	3,210,000				1/14/2020			Chevron Corporation, 1.63%*			3,208,079				3.50%
	1,636,000				1/7/2020			DCAT, LLC, 1.94%*			1,635,491				1.78%
	2,453,000				1/13/2020			Exxon Mobil Corporation, 1.69%*			2,451,608				2.67%
	2,453,000				1/13/2020			MetLife Short Term Funding LLC, 1.81%*			2,451,450				2.67%
	1,637,000				1/22/2020			PACCAR Financial Corp., 1.66%*			1,635,342				1.78%
	2,000,000				1/2/2020			The Home Depot, Inc., 1.46%*			1,999,919				2.18%
	1,636,000				1/6/2020			The Home Depot, Inc., 1.56%*			1,635,575				1.78%
	3,210,000				1/15/2020			Thunder Bay Funding, LLC, 1.88%*			3,207,673				3.50%
Total Corporate Notes (cost - $19,089,380)											19,089,099				20.80%
Total Investment Securities (cost - $81,584,880)										$	81,586,344				88.91%

 

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

 

See accompanying notes.

 

 

 

 

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS (continued)

DECEMBER 31, 2019

_______________

 

		Range of Expiration Dates		Number of Contracts				Fair Value				% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture		Jan 20 - May 20			156			$	(452	)			0.00%
Currencies		Mar 20			304				241,603				0.26%
Energy		Jan 20 - Dec 20			173				173,680				0.19%
Interest Rates		Mar 20 - Dec 22			585				(341,749	)			(0.37)%
Metals		Jan 20 - Apr 20			444				98,595				0.11%
Stock Indices		Jan 20 - Mar 20			447				259,711				0.28%
Treasury Rates		Mar 20			133				(339,453	)			(0.37)%
Total long futures contracts					2,242				91,935				0.10%
SHORT FUTURES CONTRACTS:
Agriculture		Feb 20 - May 20			404				(555,156	)			(0.60)%
Currencies		Mar 20			403				(513,939	)			(0.56)%
Energy		Jan 20 - Mar 20			222				269,804				0.29%
Interest Rates		Mar 20 - Sep 20			162				9,142				0.01%
Metals		Jan 20 - Apr 20			178				(151,593	)			(0.17)%
Stock Indices		Mar-20			86				(64,403	)			(0.07)%
Treasury Rates		Mar 20			182				39,164				0.04%
Total short futures contracts					1,637				(966,981	)			(1.06)%
Total futures contracts								$	(875,046	)			(0.96)%
UNREALIZED GAIN ON FORWARD CONTRACTS:
Currencies		Jan 20 - Mar 20						$	403,817				0.44%
UNREALIZED LOSS ON FORWARD CONTRACTS:
Currencies		Jan 20 - Mar 20							(264,739	)			(0.29)%
Total forward currency contracts								$	139,078				0.15%

 

See accompanying notes.

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

YEARS ENDED DECEMBER 31, 2020, 2019 AND 2018

_______________

 

		2020				2019				2018
TRADING GAINS (LOSSES)
Gain (loss) on trading of derivatives contracts
Net realized		$	(16,560,097	)		$	1,333,921			$	4,480,459
Net change in unrealized			1,919,645				1,294,524				(6,516,150	)
Brokerage commissions			(1,027,303	)			(1,624,810	)			(2,290,596	)
Net gain (loss) from trading derivatives contracts			(15,667,755	)			1,003,635				(4,326,287	)
Gain (loss) on trading of securities
Net realized			–				507				598
Net change in unrealized			(1,464	)			5,527				(3,914	)
Net gain (loss) from trading securities			(1,464	)			6,034				(3,316	)
Gain (loss) on trading of foreign currency
Net realized			95,447				9,036				(62,282	)
Net change in unrealized			(3,622	)			29,561				(91,746	)
Net gain (loss) from trading foreign currency			91,825				38,597				(154,028	)
Total trading gains (losses)			(15,577,394	)			1,048,266				(4,483,631	)
NET INVESTMENT LOSS
Income
Interest income			298,451				2,252,803				2,660,453
Expenses
Management fee			673,925				1,112,335				1,598,989
Service fees			552,827				1,069,725				1,558,070
Advisory fee			645,964				1,025,526				1,449,919
Professional fees			217,310				569,540				805,372
Administrative fee			130,564				228,982				330,996
Incentive fee			–				122,089				111,204
Interest expense			26,860				10,719				16,999
Other expenses			33,661				133,137				139,036
Total expenses			2,281,111				4,272,053				6,010,585
Net investment loss			(1,982,660	)			(2,019,250	)			(3,350,132	)
NET LOSS		$	(17,560,054	)		$	(970,984	)		$	(7,833,763	)

 

See accompanying notes.

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

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

YEARS ENDED DECEMBER 31, 2020, 2019 AND 2018
_______________

 

							Limited Partners
							Original				Original				Special												Institutional				General
			Total				Class A				Class B				Interests				Class A				Class B				Interests				Partner
Balances at December 31, 2017		$	173,217,273			$	9,601,265			$	878,802			$	19,260,675			$	82,613,264			$	32,303,700			$	28,555,734			$	3,833
Transfers			–				(453,028	)			–				–				–				–				453,028				–
Capital additions			1,539,697				–				–				–				1,063,211				286,595				189,891				–
Capital withdrawals			(40,917,167	)			(2,398,153	)			(540,036	)			–				(20,105,990	)			(7,332,462	)			(10,540,526	)			–
From operations:
Net investment loss			(3,350,132	)			(139,482	)			(5,180	)			(79,720	)			(2,504,785	)			(444,333	)			(176,571	)			(61	)
Net realized gain from investments (net of brokerage commissions)			2,128,179				127,960				10,883				262,949				995,298				415,903				315,134				52
Net change in unrealized loss from investments			(6,611,810	)			(290,861	)			(25,249	)			(871,939	)			(3,085,247	)			(1,264,306	)			(1,074,035	)			(173	)
Net loss for the year ended December 31, 2018			(7,833,763	)			(302,383	)			(19,546	)			(688,710	)			(4,594,734	)			(1,292,736	)			(935,472	)			(182	)
Balances at December 31, 2018		$	126,006,040			$	6,447,701			$	319,220			$	18,571,965			$	58,975,751			$	23,965,097			$	17,722,655			$	3,651

 

Balances at December 31, 2018		$	126,006,040			$	6,447,701			$	319,220			$	18,571,965			$	58,975,751			$	23,965,097			$	17,722,655			$	3,651
Transfers			–				–				–				–				(190,385	)			190,385				–				–
Capital additions			532,618				9,744				–				–				246,000				276,874				–				–
Capital withdrawals			(33,804,665	)			(1,082,851	)			(99,731	)			–				(20,803,419	)			(6,138,199	)			(5,680,465	)			–
From operations:
Net investment loss			(2,019,250	)			(81,230	)			(1,065	)			(40,773	)			(1,566,470	)			(264,658	)			(65,002	)			(52	)
Net realized gain (loss) from investments (net of brokerage commissions)			(281,346	)			(8,282	)			(792	)			82,138				(212,354	)			(44,961	)			(97,109	)			14
Net change in unrealized gain from investments			1,329,612				52,608				4,863				58,494				743,417				228,291				241,926				13
Net income (loss) for the year ended December 31, 2019			(970,984	)			(36,904	)			3,006				99,859				(1,035,407	)			(81,328	)			79,815				(25	)
Balances at December 31, 2019		$	91,763,009			$	5,337,690			$	222,495			$	18,671,824			$	37,192,540			$	18,212,829			$	12,122,005			$	3,626

 

See accompanying notes.

 

 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

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

YEARS ENDED DECEMBER 31, 2020, 2019 AND 2018

_______________

 

							Limited Partners
							Original				Original				Special												Institutional				General
			Total				Class A				Class B				Interests				Class A				Class B				Interests				Partner
Balances at December 31, 2019		$	91,763,009			$	5,337,690			$	222,495			$	18,671,824			$	37,192,540			$	18,212,829			$	12,122,005			$	3,626
Capital additions			332,187				–				–				–				310,400				–				21,787				–
Capital withdrawals			(42,039,893	)			(1,648,232	)			(29,991	)			(14,605,077	)			(14,009,962	)			(7,402,596	)			(4,344,035	)			–
From operations:
Net investment loss			(1,982,660	)			(95,013	)			(2,967	)			(220,123	)			(1,151,889	)			(340,872	)			(171,712	)			(84	)
Net realized loss from investments (net of brokerage commissions)			(17,491,953	)			(934,288	)			(38,641	)			(4,219,826	)			(6,605,892	)			(3,276,005	)			(2,416,575	)			(726	)
Net change in unrealized gain from investments			1,914,559				116,996				5,094				373,202				710,434				389,359				319,357				117
Net loss for the year ended December 31, 2020			(17,560,054	)			(912,305	)			(36,514	)			(4,066,747	)			(7,047,347	)			(3,227,518	)			(2,268,930	)			(693	)
Balances at December 31, 2020		$	32,495,249			$	2,777,153			$	155,990			$	–			$	16,445,631			$	7,582,715			$	5,530,827			$	2,933

 

See accompanying notes.

 

 

 

 

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. (the “Partnership”) was organized as a Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). 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.

 

The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization.

 

B.       Method of Reporting

 

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. 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, 2020 and 2019, and reported amounts of income and expenses for the years ended December 31, 2020, 2019 and 2018 respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

 

 

 

 

 

 

 

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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.

 

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.

 

 

 

 

 

 

 

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C.       Fair Value (continued)

 

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 generally includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.

 

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 based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of December 31, 2020 and 2019, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

 

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, 2020 and 2019, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

 

The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy.

 

 

 

 

 

 

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C.       Fair Value (continued)

 

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, 2020 and 2019.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as December 31, 2020 and 2019:

 

														Balance as of
December 31, 2020		Level 1				Level 2				Level 3				December 31, 2020
Assets:
Futures contracts (1)		$	1,288,294			$	–			$	–			$	1,288,294
Forward currency contracts (1)			–				104,642				–				104,642
		$	1,288,294			$	104,642			$	–			$	1,392,936
Liabilities:
Futures contracts (1)		$	(164,000	)		$	–			$	–			$	(164,000	)
Forward currency contracts (1)			–				(45,259	)			–				(45,259	)
		$	(164,000	)		$	(45,259	)		$	–			$	(209,259	)

 

															Balance as of
December 31, 2019		Level 1				Level 2				Level 3					December 31, 2019
Assets:
Futures contracts (1)		$	2,277,168			$	–			$	–			$	2,277,168
Forward currency contracts (1)			–				403,817				–				403,817
U.S. Government agency bonds and notes			–				60,863,263				–				60,863,263
Corporate notes			–				19,089,099				–				19,089,099
Certificates of deposit			–				1,633,982				–				1,633,982
		$	2,277,168			$	81,990,161			$	–			$	84,267,329
Liabilities:
Futures contracts (1)		$	(3,152,214	)		$	–			$	–			$	(3,152,214	)
Forward currency contracts (1)			–				(264,739	)			–				(264,739	)
		$	(3,152,214	)		$	(264,739	)		$	–			$	(3,416,953	)

 

(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, 2020 and 2019, there were no Level 3 securities.

 

 

 

 

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

 

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.

 

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 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, 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 gain (loss) 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 year end, resulting from changes in the exchange rates.

 

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition.

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of December 31, 2020 and 2019, the Partnership’s Segregated cash balance on the Statements of Financial Condition of $1,975,939 and $7,510,328, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of December 31, 2020 and 2019, the Partnership’s Segregated foreign currency balance on the Statements of Financial Condition of $826,081 and $1,582,344, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from 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 an 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.

 

 

 

 

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, 2020 and 2019, the Partnership did not hold any option contracts.

 

F.       Futures Contracts

 

The Partnership engages 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 settled variation margin on the Statements of Financial Condition. Due from / Due to broker amounts on the Statements of Financial Condition represent receivables / payables related to the Partnership’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, 2020 and 2019 are reflected within the Condensed Schedules of Investments.

 

G.       Forward Currency Contracts

 

Forward currency contracts are 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 gain or loss. 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, 2020 and 2019 are reflected within the Condensed Schedules of Investments.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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. 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 year. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).

 

I.        Cash

 

The Partnership maintains a custody account with J.P.Morgan Chase Bank, N.A. and Northern Trust Company. 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.

 

Both segregated cash and segregated foreign currency are held as margin collateral for futures transactions.

 

J.       Income Taxes

 

The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes.

 

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 for any of the Partnership's open tax years. 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’s tax returns remain open for examination by United States federal tax authorities for a period of three years and by state tax authorities for a period of four years from the date they are filed. Taxes associated with foreign tax jurisdictions remain subject to examination based on varying statutes of limitations, if any. The Partnership is additionally not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no other income tax liability or expense has been recorded in the accompanying financial statements.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

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, 2020, 2019 and 2018.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

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% (0.50% annually) for Special Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). 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, 2020, 2019 and 2018 are shown on the Statements of Income (Loss) as a 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, 2020, 2019 and 2018, administrative fees for Class A Interests were $86,374, $159,956 and $235,576, respectively and administrative fees for Class B Interests were $44,190, $69,026 and $95,420 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, L.L.C. and Altegris Clearing Solutions, L.L.C.

 

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), 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. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, 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.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

 

C.       Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C. (continued)

 

At December 31, 2020 and 2019, the Partnership had commissions and brokerage fees payable to its introducing broker of $34,410 and $93,519, respectively, and service fees payable to Altegris Investments of $51 and $13,865, respectively. These amounts are included in commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties.

 

The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the and years ended December 31, 2020, 2019 and 2018:

 

		Year ended				Year ended				Year ended
		December 31, 2020				December 31, 2019				December 31, 2018
Altegris Clearing Solutions - Brokerage Commission fees		$	845,978			$	1,333,366			$	1,946,065
Altegris Investments- Service fees			89,649				184,222				256,230
Total		$	935,627			$	1,517,588			$	2,202,295

 

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, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (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, 2020, 2019 and 2018 are shown on the Statements of Income (Loss).

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 4 - ADVISORY CONTRACT (CONTINUED)

 

Interest holders will be assessed a monthly advisory fee paid to the Advisor of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the years ended December 31, 2020, 2019, and 2018, advisory fees for Class A Interests were $261,741, $484,714 and $713,864, respectively, advisory fees for Class B Interests were $133,911, $209,171 and $289,150, respectively, advisory fees for Original Class B Interests were $1,712, $2,566 and $7,043, respectively, advisory fees for Special Interests were $150,205, $188,050 and $191,283, respectively and advisory fees for Institutional Interests were $98,395, $141,025 and $248,579, respectively. General Partner’s Interest and Original Class A Interests did not get charged the advisory fee.

 

NOTE 5 - SERVICE FEES

 

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. 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. For the years ended December 31, 2020, 2019 and 2018, service fees for General Partner’s Interest, were $60, $72 and $74, respectively, service fees for Class A Interests were $485,724, $955,175 and $1,400,425 respectively, service fees for Original Class A Interests were $67,043, $113,715 and $150,886, respectively and service fees for Institutional Interests were $Nil, $763 and $6,685, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

 

NOTE 6 - BROKERAGE COMMISSIONS

 

The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).

 

If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payment of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected on the Statements of Income (Loss) as Brokerage Commissions.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

 

The Partnership engages in the speculative trading of futures contracts 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 derivatives contracts at December 31, 2020 and 2019. The fair value of derivatives 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.

 

December 31, 2020
			Assets				Liability
Type of			Derivatives				Derivatives				Net
Derivatives Contracts			Fair Value				Fair Value				Fair Value
Futures Contracts
Agriculture		$	375,948			$	(42,880	)		$	333,068
Currencies			147,745				(17,020	)			130,725
Energy			66,662				(9,488	)			57,174
Interest Rates			66,250				(3,361	)			62,889
Metals			426,382				(79,325	)			347,057
Stock Indices			181,494				(2,707	)			178,787
Treasury Rates			23,813				(9,219	)			14,594
Total Futures Contracts		$	1,288,294			$	(164,000	)		$	1,124,294
Forward Currency Contracts		$	104,642			$	(45,259	)		$	59,383
Total Gross Fair Value of Derivatives Contracts		$	1,392,936			$	(209,259	)		$	1,183,677

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

December 31, 2019
		Assets				Liability
Type of		Derivatives				Derivatives				Net
Derivatives Contracts		Fair Value				Fair Value				Fair Value
Futures Contracts
Agriculture		$	80,153			$	(635,761	)		$	(555,608	)
Currencies			247,206				(519,542	)			(272,336	)
Energy			453,237				(9,753	)			443,484
Interest Rates			21,185				(353,792	)			(332,607	)
Metals			1,091,050				(1,144,048	)			(52,998	)
Stock Indices			345,173				(149,865	)			195,308
Treasury Rates			39,164				(339,453	)			(300,289	)
Total Futures Contracts		$	2,277,168			$	(3,152,214	)		$	(875,046	)
Forward Currency Contracts		$	403,817			$	(264,739	)		$	139,078
Total Gross Fair Value of Derivatives Contracts		$	2,680,985			$	(3,416,953	)		$	(735,968	)

 

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, 2020, 2019 and 2018.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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, 2020
Type of						Change in				Average Notional Value of
Derivatives Contracts		Realized				Unrealized				Contracts
Futures Contracts
Agriculture		$	(855,378	)		$	888,676
Currencies			(2,671,918	)			403,061
Energy			(2,686,187	)			(386,310	)
Interest Rates			(198,045	)			395,496
Metals			(3,620,875	)			400,055
Stock Indices			(6,633,752	)			(16,521	)
Treasury Rates			934,570				314,883
Total Futures Contracts		$	(15,731,585	)		$	1,999,340			$	406,290,821	(1)
Forward Currency Contracts		$	(828,512	)		$	(79,695	)		$	29,445,986	(2)
Total Gain (loss) from Derivatives Contracts		$	(16,560,097	)		$	1,919,645

 

Year ended December 31, 2019
Type of Derivatives Contracts		Realized				Change in Unrealized				Average Notional Value of Contracts
Futures Contracts
Agricultural		$	(742,483	)		$	(834,259	)
Currencies			577,301				217,215
Energy			(3,969,809	)			1,355,198
Interest Rates			3,649,015				(946,874	)
Metals			(3,108,467	)			1,362,564
Stock Indices			2,898,352				390,794
Treasury Rates			1,666,780				(322,961	)
Total Futures Contracts		$	970,689			$	1,221,877			$	670,208,135	(1)
Forward Currency Contracts		$	363,232			$	72,647			$	70,203,447	(2)
Total Gain (loss) from Derivatives Contracts		$	1,333,921			$	1,294,524

 

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Year ended December 31, 2018
Type of Derivatives Contracts		Realized				Change in Unrealized				Average Notional Value of Contracts
Futures Contracts
Agricultural		$	599,414			$	(113,516	)
Currencies			(1,911,690	)			(104,660	)
Energy			4,213,918				(1,728,255	)
Interest Rates			769,607				851,375
Metals			2,586,136				(3,406,972	)
Stock Indices			(1,351,740	)			(724,731	)
Treasury Rates			(314,804	)			(82,570	)
Total Futures Contracts		$	4,590,841			$	(5,309,429	)		$	782,181,350	(1)
Forward Currency Contracts		$	(110,382	)		$	(1,206,721	)		$	66,855,350	(2)
Total Gain (loss) from Derivatives Contracts		$	4,480,459			$	(6,516,150	)

 

(1)

The average notional value of futures contracts are representative of the Partnership’s volume of derivative activity for futures contracts during the respective years.

 

(2)

The average notional value of forward currency contracts are representative of the Partnership’s volume of derivative activity for forward currency contracts during the respective years.

 

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.

 

 

 

 

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

As of December 31, 2020

Gross Amount Not Offset in the Statements of Financial condition

Description

Gross Amounts of Recognized Assets

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Assets Presented in the Statements of Financial Condition

Financial Instruments

Cash Collateral Received (1)

Net Amount

Forward Contracts

104, 642

(45,259)

59,383

–

–

59,383

Total

104,642

(45,259)

59,383

–

–

59,383

 

Offsetting the Financial Liabilities and Derivative Liabilities

As of December 31, 2020

Gross Amount Not Offset in the Statements of Financial condition

Description

Gross Amounts of Recognized Liabilities

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Liabilities Presented in the Statements of Financial Condition

Financial Instruments

Cash Collateral Pledged (1)

Net Amount

Forward Contracts

(45,259

)

45,259

–

–

–

–

Total

(45,259

)

45,259

–

–

–

–

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Offsetting the Financial Assets and Derivative Assets

Gross Amounts Not Offset in the Statements of Financial Condition

As of December 31, 2019

Description

Gross Amounts of Recognized Assets

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Assets Presented in the Statements of Financial Condition

Financial Instruments

Cash Collateral Received (1)

Net Amount

Forward contracts

403,817

(264,739

)

139,078

–

–

139,078

Total

403,817

(264,739

)

139,078

–

–

139,078

 

Offsetting the Financial Liabilities and Derivative Liabilities

Gross Amounts Not Offset in the Statements of Financial Condition

As of December 31, 2019

Description

Gross Amounts of Recognized Liabilities

Gross Amounts Offset in the Statements of Financial Condition

Net Amounts of Liabilities Presented in the Statements of Financial Condition

Financial Instruments

Cash Collateral Pledged (1)

Net Amount

Forward contracts

(264,739

)

264,739

–

–

–

–

Total

(264,739

)

264,739

–

–

–

–

 

(1)

The Partnership posted additional collateral of $461,977 as of December 31, 2020 and had posted additional $1,386,558 collateral for December 31, 2019 with the Clearing Broker. There was no cash collateral receivable by the Partnership from the Clearing Broker as of December 31, 2020 and 2019. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts, which may exceed the fair value of the derivative contract.

 

 

 

 

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 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).

 

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. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.

 

The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.

 

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.

 

Governments worldwide have enacted emergency measures to combat the spread of a novel strain of coronavirus (COVID-19). These measures, which include the implementation of travel bans, closing of non-essential businesses, self-imposed quarantine periods and social distancing, have caused significant volatility in global equity markets and material disruptions to businesses globally resulting in an economic slowdown. Governments and central banks have reacted with significant monetary and fiscal interventions designed to stabilize economic conditions.

 

The duration of the COVID-19 global pandemic is unknown at this time, but it is likely to have an ongoing effect on the financial markets where the Fund operates. It is possible that market volatility related to COVID-19 could be in excess of the sensitivities disclosed in the notes to the financial statements.

 

 

 

 

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, 2020, 2019 and 2018. This information has been derived from information presented in the financial statements.

 

		Year ended December 31, 2020
		Original				Original				Special												Institutional
		Class A				Class B				Interests				Class A				Class B				Interests
Total return for Limited Partners
Return prior to incentive fees			(18.91	)%			(18.37	)%			(21.78	)%			(20.57	)%			(19.05	)%			(18.37	)%
Incentive fees			(0.00	)%			(0.00	)%			(0.00	)%			(0.00	)%			(0.00	)%			(0.00	)%
Total return after incentive fees			(18.91	)%			(18.37	)%			(21.78	)%			(20.57	)%			(19.05	)%			(18.37	)%
Ratio to average net asset value
Expenses prior to incentive fees			2.98	%			2.16	%			1.90	% (2)			5.04	%			3.05	%			2.20	%
Incentive fees			(0.00	)%			(0.00	)%			(0.00	)% (2)			(0.00	)%			(0.00	)%			(0.00	)%
Total expenses			2.98	%			2.16	%			1.90	% (2)			5.04	%			3.05	%			2.20	%
Net investment (loss) (1)			(2.48	)%			(1.74	)%			(1.48	)% (2)			(4.52	)%			(2.59	)%			(1.78	)%

 

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.

(2)

For the period January 1, 2020 to November 30, 2020. Ratios have been annualized

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

		Year ended December 31, 2019
		Original				Original				Special												Institutional
		Class A				Class B				Interests				Class A				Class B				Interests
Total return for Limited Partners
Return prior to incentive fees			(0.58	)%			0.40	%			0.65	%			(2.38	)%			(0.43	)%			0.39	%
Incentive fees			(0.10	)%			(0.11	)%			(0.12	)%			(0.10	)%			(0.11	)%			(0.11	)%
Total return after incentive fees			(0.68	)%			0.29	%			0.54	%			(2.48	)%			(0.54	)%			0.28	%
Ratio to average net asset value
Expenses prior to incentive fees			3.35	%			2.36	%			2.16	%			5.14	%			3.21	%			2.37	%
Incentive fees			0.10	%			0.09	%			0.11	%			0.11	%			0.10	%			0.13	%
Total expenses			3.45	%			2.45	%			2.27	%			5.25	%			3.31	%			2.50	%
Net investment (loss) (1)			(1.30	)%			(0.32	)%			0.11	%			(3.07	)%			(1.15	)%			(0.32	)%

 

		Year Ended December 31, 2018
		Original				Original				Special												Institutional
		Class A				Class B				Interests				Class A				Class B				Interests
Total return for Limited Partners
Return prior to incentive fees			(4.67	)%			(3.76	)%			(3.52	)%			(6.42	)%			(4.56	)%			(3.79	)%
Incentive fees			(0.07	)%			(0.06	)%			(0.06	) %			(0.06	)%			(0.06	)%			(0.05	)%
Total return after incentive fees			(4.74	)%			(3.82	)%			(3.58	)%			(6.48	)%			(4.62	)%			(3.84	)%
Ratio to average net asset value
Expenses prior to incentive fees			3.30	%			2.34	%			2.13	%			5.14	%			3.19	%			2.39	%
Incentive fees			0.20	%			0.05	%			0.06	%			0.07	%			0.07	%			0.03	%
Total expenses			3.50	%			2.39	%			2.19	%			5.21	%			3.26	%			2.42	%
Net investment (loss) (1)			(1.58	)%			(0.68	)%			(0.36	)%			(3.41	)%			(1.46	)%			(0.67	)%

 

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.

 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

NOTE 11 - SUBSEQUENT EVENTS

 

Management of the Partnership evaluated subsequent events through the date these financial statements were issued, and concluded that no events subsequent to December 31, 2020 have occurred that would require recognition or disclosure, except as noted below.

 

From January 1, 2021 through February 28, 2021, the Partnership had no subscriptions and had redemptions of $2,005,067.

 

Effective February 12, 2021, the General Partner and affiliated Altegris companies became owned and controlled by Altegris Holdings, LLC (Altegris Holdings) and indirectly owned and controlled by Continuum Capital Managers LLC (Continuum) and by AV5 Acquisition, LLC (AV5). Continuum is owned by Douglas C. Grip and Steven E. Vanourny. AV5 is owned solely by Matthew Osborne, Altegris Advisors’ Chief Executive Officer and Chief Investment Officer.

 

Effective January 1, 2021 the Partnership will maintain new custody accounts with First Republic Bank, replacing Northern Trust Company.