Table of Contents

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

FORM 10-Q

 

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

 

For the quarterly period ended JuneSeptember 30, 2023

 

OR

 

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

 

For the transition period from ________ to ___________

 

Commission File Number: 000-53348

 

ALTEGRIS WINTON FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

 

colorado

(State or other jurisdiction

of incorporation or organization)

84-1496732

(I.R.S. Employer

Identification No.)

 

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

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

 

(858) 459-7040

(Registrant’s telephone number, including area code)

        

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

 

Title of each classTrading Symbol(s)Name of each exchange on which registered
NoneN/AN/A

 

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

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý 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 ý No o

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a 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 o Accelerated filer o
Non-accelerated filer ýSmaller reporting company
 Emerging Growth Company o

 

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.   o

 

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

0

   

 

 

TABLE OF CONTENTS

 

  Page
   
PART I – FINANCIAL INFORMATION1
   
Item 1.Financial Statements1
   
 Statements of Financial Condition1
   
 Condensed Schedules of Investments2
   
 Statements of Income (Loss)4
   
 Statements of Changes in Partners’ Capital (Net Asset Value)5
   
 Notes to Financial Statements6
   
Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations2726
   
Item 3.Quantitative and Qualitative Disclosures About Market Risk3127
   
Item 4.Controls and Procedures3127
   
PART II – OTHER INFORMATION3228
   
Item 1.Legal Proceedings3228
   
Item 1A.Risk Factors3228
   
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds3228
   
Item 3.Defaults Upon Senior Securities3228
   
Item 4.Mine Safety Disclosure3228
   
Item 5.Other Information3228
   
Item 6.Exhibits3329
   
Signatures3430
   
Rule 13a–14(a)/15d–14(a) Certifications 
   
Section 1350 Certifications 

 

 

 

 i 

 

 

PART I – FINANCIAL INFORMATION

 

Item 1:   Financial Statements.

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

JUNESEPTEMBER 30, 2023 (Unaudited) and DECEMBER 31, 2022 (Audited)

____________

 

 

                
ASSETS 2023 2022  2023 2022 
Equity in commodity broker account:                
Cash deposit with broker $3,473,558  $3,651,929  $3,364,817  $3,651,929 
Segregated cash  1,067,107   943,336   1,111,348   943,336 
Segregated foreign currency (cost - $289,047 and $126,967)  288,977   126,106 
Segregated foreign currency (cost - $177,977 and $126,967)  174,849   126,106 
Net unrealized gain on open forward contracts  36,389   14,480      14,480 
Net unrealized gain on open futures contracts  585,825   289,211   592,286   289,211 
Total assets in commodity broker account  5,451,856   5,025,062   5,243,300   5,025,062 
                
Investment securities, at fair value (cost - $10,953,164 and $12,366,052)  10,972,170   12,375,933 
Investment securities, at fair value (cost - $11,249,276 and $12,366,052)  11,271,759   12,375,933 
Cash  315,468   214,955   234,160   214,955 
                
Total assets $16,739,494  $17,615,950  $16,749,219  $17,615,950 
                
LIABILITIES                
Equity in commodity broker account:        
Net unrealized loss on open forward contracts $21,202  $ 
Total liabilities in commodity broker account  21,202    
                
Redemptions payable $102,917  $80,306  $42,385  $80,306 
Commissions payable  18,984   21,757   19,948   21,757 
Management fee payable  15,673   16,935   15,745   16,935 
Service fees payable  29,577   16,409   27,688   16,409 
Advisory fee payable  12,557   13,813   12,617   13,813 
Incentive fee payable  54,547      91,207    
Administrative fee payable  3,713   3,935   3,716   3,935 
Other liabilities  54,412   47,574   42,684   47,574 
                
Total liabilities  292,380   200,729   277,192   200,729 
                
PARTNERS’ CAPITAL (NET ASSET VALUE)                
General Partner  3,644   3,412   3,751   3,412 
Limited Partners  16,443,470   17,411,809   16,468,276   17,411,809 
                
Total partners’ capital (Net Asset Value)  16,447,114   17,415,221   16,472,027   17,415,221 
                
Total liabilities and partners’ capital $16,739,494  $17,615,950  $16,749,219  $17,615,950 

 

See accompanying notes.

 

 

 1 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

JUNESEPTEMBER 30, 2023 (Unaudited)

____________

 

 

              
 

Range of

Expiration Dates

 

Number of

Contracts

  Fair Value  

% of

Partners'

Capital

    
        Range of Expiration Dates Number of Contracts  Fair Value  % of Partners' Capital 
LONG FUTURES CONTRACTS:                  
Agriculture Aug 23- Mar 24  87  $154,178   0.94%  Dec 23- Mar 24  75  $56,590 0.34% 
Currencies Sep 23  56   22,192   0.13%  Dec 23  35   (36,056) (0.22)% 
Energies Dec 23  1   3,210   0.02%  Nov 23- Dec 24  15   33,671 0.20% 
Interest Rates Sep-23  3   576   0.00%  Dec-23  3   (2,086) (0.01)% 
Metals July 23 -Oct 23  12   (18,782)  (0.11)% Nov 23 - Jan 24  27   19,634 0.12% 
Stock Indices July 23- Sep 23  44   54,072   0.33%  Oct 23- Dec 23  23   (27,681)  (0.17)% 
                        
Total long futures contracts  203   215,446   1.31%    178   44,072  0.26% 
                    
SHORT FUTURES CONTRACTS:                    
Agriculture Aug 23- Mar 24  28   (13,454)  (0.08)% Dec 23- Mar 24  37   110,826 0.67% 
Currencies Sep 23  62   150,129   0.91%  Dec 23  74   86,657 0.53% 
Energies Sep 23- Nov 23  20   (39,250)  (0.24)% Dec 23- Jan 24  17   35,310 0.21% 
Interest Rates Sep 23- June 26  192   213,667   1.30%  Dec 23- Sep 26  196   258,292 1.57% 
Metals July 23- Dec 23  25   58,200   0.35%  Dec-23  24   35,047 0.21% 
Stock Indices July 23- Sep 23  32   1,087   0.01%  Oct 23- Dec 23  32   22,082  0.13% 
                        
Total short futures contracts  359   370,379   2.25%    380   548,214  3.32% 
                    
Total futures contracts     $585,825   3.56%       $592,286  3.58% 
                    
UNREALIZED GAIN ON FORWARD CONTRACTS:UNREALIZED GAIN ON FORWARD CONTRACTS:                      
Currencies July 23 - Sep 23     $46,062   0.28%  Oct 23 - Dec 23     $6,294 0.04% 
                        
UNREALIZED LOSS ON FORWARD CONTRACTS:UNREALIZED LOSS ON FORWARD CONTRACTS:                      
Currencies July 23 - Sep 23      (9,673)  (0.06)% Oct 23 - Dec 23      (27,496)  (0.17)% 
                      
Total forward currency contracts       $36,389   0.22%        $(21,202)  (0.13)% 

 

INVESTMENT SECURITIES                    
Face Value Maturity Date Description Fair Value  % of Partners' Capital  Maturity Date  Description   Fair Value  % of Partners' Capital 
                    
U.S. Government Securities                      
$ 11,000,000 Jul-23 Treasury bills $10,972,170   66.71% 
$ 11,300,000 Oct-23  Treasury bills  $11,271,759  68.43% 

 

See accompanying notes.

 

 

 2 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

DECEMBER 31, 2022 (Audited)

____________

 

  

Range of

Expiration Dates

 

Number of

Contracts

  Fair Value  

% of

Partners'

Capital

 
               
LONG FUTURES CONTRACTS:              
Agriculture Feb 23- May 23  129  $160,798   0.92% 
Currencies Mar-23  15   (2,619)  (0.02)% 
Energies June 23- Dec 23  2   (16,006)  (0.09)% 
Interest Rates Mar 23- Jun 23  6   412   0.00% 
Metals Jan 23- Apr 23  22   45,840   0.27% 
Stock Indices Jan 23- Mar 23  27   (34,192)  (0.20)% 
               
Total long futures contracts    201   154,233   0.88% 
               
SHORT FUTURES CONTRACTS:              
Agriculture Feb 23- May 23  22   (15,473)  (0.09)% 
Currencies Mar-23  34   (77,390)  (0.44)% 
Energies Feb 23 - Mar 23  7   33,180   0.19% 
Interest Rates Mar 23 - Dec 25  188   196,672   1.13% 
Metals Jan 23- Feb 23  3   (14,888)  (0.09)% 
Stock Indices Jan 23 - Mar 23  27   12,877   0.08% 
               
Total short futures contracts    281   134,978   0.78% 
               
Total futures contracts       $289,211   1.66% 
               
UNREALIZED GAIN ON FORWARD CONTRACTS:              
Currencies Jan 23 - Mar 23     $21,701   0.12% 
               
UNREALIZED LOSS ON FORWARD CONTRACTS:              
Currencies Jan 23 - Mar 23      (7,221)  (0.04)% 
               
Total forward currency contracts       $14,480   0.08% 

 

INVESTMENT SECURITIES          
Face Value Maturity Date Description  Fair Value   

% of

Partners'

Capital

 
             
U.S. Government Securities            
$     12,400,000 Jan-23 Treasury bills $12,375,933   71.06% 

 

See accompanying notes.

 

 

 

 3 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE AND SIXNINE MONTHS ENDED JUNESEPTEMBER 30, 2023 AND 2022 (Unaudited)

____________

 

 

                
 Three Months Ended June 30, Six Months Ended June 30,          
 2023 2022 2023 2022  Three Months Ended September 30, Nine Months Ended September 30, 
          2023 2022 2023 2022 
TRADING GAINS (LOSSES)                                
Gain (loss) on trading of derivatives contracts                                
Net realized $745,372  $2,271,761  $831,107  $3,519,904  $570,856  $2,338  $1,401,962  $3,522,242 
Net change in unrealized  552,136   (1,203,046)  318,523   65,486   (51,130)  536,279   267,393   601,765 
Brokerage commissions  (59,059)  (73,699)  (122,039)  (151,067)  (60,763)  (70,248)  (182,802)  (221,315)
                                
Net gain from trading derivatives contracts  1,238,449   995,016   1,027,591   3,434,323   458,962   468,369   1,486,553   3,902,692 
                
                                
Gain (loss) on trading of foreign currency                                
Net realized  550   (1,953)  (5,711)  222   (3,135)  (3,464)  (8,845)  (3,242)
Net change in unrealized  (2,396)  630   791   (107)  (3,058)  (963)  (2,267)  (1,070)
                                
Net gain (loss) from trading of foreign currency  (1,846)  (1,323)  (4,920)  115   (6,193)  (4,427)  (11,112)  (4,312)
                                
Total trading gains  1,236,603   993,693   1,022,671   3,434,438   452,769   463,942   1,475,441   3,898,380 
                                
NET INVESTMENT INCOME (LOSS)                                
Income                                
Interest income  173,083   20,213   328,067   20,213   201,085   71,382   529,152   91,595 
                                
Expenses                                
Management fee  46,073   57,000   94,817   114,433   47,327   54,199   142,144   168,632 
Service fee  38,723   46,885   80,109   99,771   38,651   44,588   118,760   144,359 
Advisory fee  36,912   46,248   76,453   92,743   37,922   44,060   114,375   136,803 
Professional fees  22,649   30,303   44,605   54,398   20,525   14,479   65,130   68,877 
Administrative fee  10,919   13,300   22,306   26,664   11,184   12,589   33,490   39,253 
Incentive fee  54,547   10,048   54,547   15,569   91,245   86,976   145,792   102,545 
Interest expense  622   110   1,263   6,611   250   1,669   1,513   8,280 
Other expenses  4,865   7,028   7,706   10,663   4,692   6,841   12,398   17,504 
                                
Total expenses  215,310   210,922   381,806   420,852   251,796   265,401   633,602   686,253 
                                
Net investment loss  (42,227)  (190,709)  (53,739)  (400,639)  (50,711)  (194,019)  (104,450)  (594,658)
                                
NET INCOME $1,194,376  $802,984  $968,932  $3,033,799  $402,059  $269,923  $1,370,991  $3,303,722 

 

See accompanying notes.

 

 

 

 4 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE SIXNINE MONTHS ENDED JUNESEPTEMBER 30, 2023 AND 2022 (Unaudited)

____________

 

                      
   Limited Partners         
   Original   Original           Institutional   General     
   Class A   Class B   Class A   Class B   Interests   Partner   Total 
                             
Balances at December 31, 2021 $1,203,139  $885,982  $9,941,512  $6,059,223  $1,486,627  $3,020  $19,579,503 
                             
Transfers        (163,609)  163,609          
                             
Capital withdrawals  (276,622)  (147,168)  (2,877,047)  (693,969)  (214,546)     (4,209,352)
                             
From operations:                            
Net investment loss  (29,294)  (16,923)  (357,128)  (162,085)  (29,141)  (87)  (594,658)
Net realized gain from investments (net of brokerage commissions)  198,583   146,921   1,587,900   1,110,926   252,794   561   3,297,685 
Net change in unrealized gain from investments  42,717   26,856   318,430   165,401   47,210   81   600,695 
                             
Net income for the nine months ended September 30, 2022  212,006   156,854   1,549,202   1,114,242   270,863   555   3,303,722 
                             
Balances at September 30, 2022 $1,138,523  $895,668  $8,450,058  $6,643,105  $1,542,944  $3,575  $18,673,873 
                             
                             
Balances at December 31, 2022 $973,782  $784,918  $7,868,262  $6,308,772  $1,476,075  $3,412  $17,415,221 
                             
Capital withdrawals     (156,666)  (1,111,306)  (433,197)  (613,016)     (2,314,185)
                             
From operations:                            
Net investment income (loss)  (2,490)  3,819   (107,412)  (4,599)  6,220   12   (104,450)
Net realized gain from investments (net of brokerage commissions)  76,311   50,616   543,471   467,237   72,411   269   1,210,315 
Net change in unrealized gain from investments  16,504   12,285   112,454   102,906   20,919   58   265,126 
Net income for the nine months ended September 30, 2023  90,325   66,720   548,513   565,544   99,550   339   1,370,991 
                             
Balances at September 30, 2023 $1,064,107  $694,972  $7,305,469  $6,441,119  $962,609  $3,751  $16,472,027 

                             
  Limited Partners       
  Original  Original        Institutional  General    
  Class A  Class B  Class A  Class B  Interests  Partner  Total 
                      
Balances at December 31, 2021 $1,203,139  $885,982  $9,941,512  $6,059,223  $1,486,627  $3,020  $19,579,503 
                             
Capital withdrawals  (276,622)  (147,168)  (2,373,057)  (463,850)  (214,546)     (3,475,243)
                             
From operations:                            
Net investment loss  (19,149)  (10,980)  (247,753)  (103,797)  (18,905)  (55)  (400,639)
Net realized gain from investments (net of brokerage commissions)  202,485   149,960   1,624,162   1,133,850   258,029   573   3,369,059 
Net change in unrealized gain (loss) from investments  10,905   1,854   76,362   (27,864)  4,141   (19)  65,379 
                             
Net income for the six months ended June 30, 2022  194,241   140,834   1,452,771   1,002,189   243,265   499   3,033,799 
                             
Balances at June 30, 2022 $1,120,758  $879,648  $9,021,226  $6,597,562  $1,515,346  $3,519  $19,138,059 
                             
Balances at December 31, 2022 $973,782  $784,918  $7,868,262  $6,308,772  $1,476,075  $3,412  $17,415,221 
                             
Capital withdrawals     (156,666)  (809,574)  (357,783)  (613,016)     (1,937,039)
                             
From operations:                            
Net investment income (loss)  (656)  3,292   (65,216)  3,341   5,490   10   (53,739)
Net realized gain from investments (net of brokerage commissions)  43,720   29,356   317,601   269,561   42,965   154   703,357 
Net change in unrealized gain from investments  19,718   14,371   138,118   123,233   23,806   68   319,314 
Net income for the six months ended June 30, 2023  62,782   47,019   390,503   396,135   72,261   232   968,932 
                             
Balances at June 30, 2023 $1,036,564  $675,271  $7,449,191  $6,347,124  $935,320  $3,644  $16,447,114 

 

See accompanying notes.

 

 

 

 5 

 

 

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.

 

Effective September 27, 2021,There was an internal structural change in July 2023 as part of an internal reorganization,reorganization. The following internal restructuring resulted in no change in actual indirect and ultimate ownership and control of the General PartnerPartner. The General Partner’s and Altegris Clearing Solutions L.L.C. (“Altegris Clearing Solutions), an affiliate of the General Partner, became wholly-owned by their affiliatePartner's direct parent company, Altegris Services L.L.C. (“Services”) (replacing theirwhich was an administrative services affiliate Altegris Holdings, L.L.C. as their immediate parent company). Services in turn becameof the General Partner, was dissolved. The General Partner is now wholly-owned by Better Outcome, LLC (“Better Outcome”)(Better Outcome), a newly formed affiliatedan entity owned and controlled by Continuum Capital Managers LLC (“Continuum”)(Continuum) and by AV5 Acquisition, LLC (“AV5”)(AV5). Continuum is owned by Douglas C. Grip and StephenSteven E. Vanourny. AV5 is owned solely by Matthew Osborne, theThe General Partner’s Chief Executive Officer and Chief Investment Officer. This internal reorganization resulted in no change in actual direct or indirect control and ultimate ownership and control of the General Partner, and had no impact on the Partnership’s financial position or results of operations.

 

The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the financial statements for the interim period.

 

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 JuneSeptember 30, 2023 and December 31, 2022 and reported amounts of income and expenses for the three and sixnine months ended JuneSeptember 30, 2023 and 2022, 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.

 

 

 

 6 

 

 

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.

 

 

 

 7 

 

 

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.

 

Forward currency 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 securities 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 securities are generally categorized in Levels 1 or 2 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 JuneSeptember 30, 2023 and December 31, 2022, the Partnership did not hold corporate notes.

 

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.

 

 

 

 8 

 

 

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 sixnine month period ended JuneSeptember 30, 2023 and December 31, 2022.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as JuneSeptember 30, 2023 and December 31, 2022:

Schedule of assets and liabilities measured at fair value                         
        Balance as of         Balance as of 
June 30, 2023 Level 1  Level 2  Level 3  June 30, 2023 
September 30, 2023 Level 1  Level 2  Level 3  September 30, 2023 
Assets:                                
Futures contracts (1) $774,025  $  $  $774,025  $792,316  $  $  $792,316 
Forward currency contracts (1)     46,062      46,062      6,294      6,294 
US Government securities  10,972,170         10,972,170   11,271,759         11,271,759 
                                
 $11,746,195  $46,062  $  $11,792,257  $12,064,075  $6,294  $  $12,070,369 
                                
Liabilities:                                
Futures contracts (1) $(188,200) $  $  $(188,200) $(200,030) $  $  $(200,030)
Forward currency contracts (1)     (9,673)     (9,673)     (27,496)     (27,496)
                                
 $(188,200) $(9,673) $  $(197,873) $(200,030) $(27,496) $  $(227,526)
                                
              Balance as of               Balance as of 
December 31, 2022  Level 1   Level 2   Level 3   December 31, 2022   Level 1   Level 2   Level 3   December 31, 2022 
Assets:                                
Futures contracts (1) $513,674  $  $  $513,674  $513,674  $  $  $513,674 
Forward currency contracts (1)     21,701      21,701      21,701      21,701 
U.S. Government securities  12,375,933         12,375,933   12,375,933         12,375,933 
                                
 $12,889,607  $21,701  $  $12,911,308  $12,889,607  $21,701  $  $12,911,308 
                                
Liabilities:                                
Futures contracts (1) $(224,463) $  $  $(224,463) $(224,463) $  $  $(224,463)
Forward currency contracts (1)     (7,221)     (7,221)     (7,221)     (7,221)
                                
 $(224,463) $(7,221) $  $(231,684) $(224,463) $(7,221) $  $(231,684)

 

(1)See Note 7. “Financial Derivative Instruments” for the fair value in each type of contracts within this category.

 

For the period ended JuneSeptember 30, 2023 and the year ended December 31, 2022, there were no Level 3 securities. .

 

 

 

 9 

 

 

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 quarter end, resulting from changes in the exchange rates.

 

U.S. Bank, N.A. serves as the Partnership’s custodian (the “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.

 

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 JuneSeptember 30, 2023 and December 31, 2022, the Partnership’s segregated cash balance on the Statements of Financial Condition of $1,067,1071,111,348 and $943,336, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of JuneSeptember 30, 2023 and December 31, 2022, the Partnership’s segregated foreign currency balance on the Statements of Financial Condition of $288,977174,849 and $126,106, 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 First Republic Bank (and used to pay Partnership operating expenses). Effective May 1, 2023, J.P. Morgan Chase Bank assumed all of the deposits and substantially all of the assets of First Republic Bank.

 

 

 

 

 10 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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.

 

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 JuneSeptember 30, 2023 and December 31, 2022, 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 JuneSeptember 30, 2023 and December 31, 2022 are reflected within the Condensed Schedules of Investments.

 

 

 

 11 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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 JuneSeptember 30, 2023 and December 31, 2022 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. 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

 

The Partnership maintains a custody account with U.S. Bank, N.A. and First Republic Bank. Effective May 1, 2023, J.P. Morgan Chase Bank assumed all of the deposits and substantially all of the assets of First Republic Bank. 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 at the Clearing Broker 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 tax 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 three 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.

 

 

 12 

 

 

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, 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, 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 sixnine months ended JuneSeptember 30, 2023 and 2022.

 

 

 

 13 

 

 

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 and 0.146% (1.75% annually) for Original Class B 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 three and sixnine months ended JuneSeptember 30, 2023 and 2022 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 three and sixnine months ended JuneSeptember 30, 2023, administrative fees for Class A Interests were $5,9335,990 and $12,19318,183, respectively and administrative fees for Class B Interests were $4,9865,194 and $10,11315,307 respectively. For the three and sixnine months ended JuneSeptember 30, 2022, administrative fees for Class A Interests were $7,6597,157 and $15,92623,083, respectively and administrative fees for Class B Interests were $5,6415,432 and $10,73816,170, respectively. General Partner’s Interest, Original Class A, Original Class B and Institutional Interests did not get charged the administrative fee.

 

C.       AlphaMax Distributors, L.L.C. and Altegris Clearing Solutions, L.L.C.

 

AlphaMax Distributors, L.L.C. (“AlphaMax”), an affiliate of the General Partner (previously known as Altegris Investments, L.L.C. and Altegris Distributors, L.L.C.), is a registered 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. In May 2021, Altegris Investments, L.L.C. changed its name to Altegris Distributors, L.L.C. and in December 2021, changed its name to AlphaMax Distributors, L.L.C.

 

AlphaMax has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by AlphaMax 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.

 

 

 14 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

 

C.       AlphaMax Distributors, L.L.C. and Altegris Clearing Solutions, L.L.C. (continued)

 

At JuneSeptember 30, 2023 and December 31, 2022, the Partnership had commissions and brokerage fees payable to its introducing broker of $15,61216,600 and $18,865, respectively, and service fees payable to AlphaMax of $0 and $0, 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 AlphaMax and Altegris Clearing Solutions for the three and sixnine months ended JuneSeptember 30, 2023 and 2022:

Fees paid to Altegris Investments and Altegris Futures                
Schedule of fees paid to altegris investments and altegris futures         
 Three months Nine months Three months Nine months 
 

Three months

ended

 

Six months

ended

 

Three months

ended

 

Six months

ended

  ended ended ended ended 
 June 30, 2023 June 30, 2023 June 30, 2022 June 30, 2022  September 30, 2023 September 30, 2023 September 30, 2022 September 30, 2022 
                  
Altegris Clearing Solutions - Brokerage Commission fees $47,582  $98,057  $66,143  $130,314  $51,764  $149,821  $61,055  $191,369 
AlphaMax - Service fees        61   118         49   167 
Total $47,582  $98,057  $66,204  $130,432  $51,764  $149,821  $61,104  $191,536 

 

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 three and sixnine months ended JuneSeptember 30, 2023 and 2022 are shown on the Statements of Income (Loss).

15

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 three and sixnine months ended JuneSeptember 30, 2023, advisory fees for Class A were $17,97618,151 and $36,94855,100, respectively, advisory fee for Class B Interests were $15,11015,740 and $30,64546,385, respectively, advisory fee for Original Class B Interests were $1,6011,686 and $3,4395,125, respectively, advisory fee for Institutional Interests were $2,2172,336 and $5,4097,744, respectively and advisory fee for General Partner’s Interest were $9 and $1221, respectively. For the three and sixnine months ended JuneSeptember 30, 2022, advisory fee for Class A Interests were $23,20921,689 and $48,25969,948, respectively, advisory fee for Class B Interests were $17,09416,460 and $32,54149,001, respectively, advisory fee for Original Class B Interests were $2,2142,171 and $4,4106,581, respectively, advisory fee for Institutional Interests were $3,7313,740 and $7,53311,273, respectively and advisory fee forrespectively. General Partner’s Interest were $0and $0, respectively. Original Class A Interests did not get charged the advisory fee.

15

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

NOTE 5 - SERVICE FEES

 

Original Class A Interests and Class A Interests pay selling agents an ongoing 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 three and sixnine months ended JuneSeptember 30, 2023, service fees for General Partner’s Interest, were $0and $1211, respectively, service fees for Class A Interests were $33,660 33,414and $70,167103,582, respectively, service fees for Original Class A Interests were $5,063 5,237and $9,93015,167, respectively and service fees for Institutional Interests were $nil $0and $nil $0, respectively. For the three and sixnine months ended JuneSeptember 30, 2022, service fees for General Partner’s Interest, were $18 200and $34234, respectively, service fees for Class A Interests were $41,259 38,994and $88,385127,379, respectively, service fees for Original Class A Interests were $5,608 5,394and $11,35216,746, respectively and service fees for Institutional Interests were $nil 0 and $nil,0 respectively. Class B, Original Class B and Institutional 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.

 

16

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 JuneSeptember 30, 2023 and December 31, 2022. 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.

Fair value of derivative contracts            
June 30, 2023
 
  Assets  Liability    
Type of Derivatives  Derivatives  Net 
Derivatives Contracts Fair Value  Fair Value  Fair Value 
          
Futures Contracts            
Agriculture $230,807  $(90,083) $140,724 
Currencies  180,280   (7,959)  172,321 
Energies  5,150   (41,190)  (36,040)
Interest Rates  225,931   (11,688)  214,243 
Metals  66,741   (27,323)  39,418 
Stock Indices  65,116   (9,957)  55,159 
             
Total Futures Contracts $774,025  $(188,200) $585,825 
             
Forward Currency Contracts $46,062  $(9,673) $36,389 
             
Total Gross Fair Value of Derivatives Contracts $820,087  $(197,873) $622,214 

 

 

16

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Schedule of fair value of derivative contracts         
September 30, 2023
          
   Assets   Liability     
Type of  Derivatives   Derivatives   Net 
Derivatives Contracts  Fair Value   Fair Value   Fair Value 
             
Futures Contracts            
Agriculture $212,509  $(45,093) $167,416 
Currencies  91,417   (40,816)  50,601 
Energies  79,243   (10,262)  68,981 
Interest Rates  261,433   (5,227)  256,206 
Metals  118,554   (63,873)  54,681 
Stock Indices  29,160   (34,759)  (5,599)
             
Total Futures Contracts $792,316  $(200,030) $592,286 
             
Forward Currency Contracts $6,294  $(27,496) $(21,202)
             
Total Gross Fair Value of Derivatives Contracts $798,610  $(227,526) $571,084 

          
December 31, 2022
 
   Assets   Liability     
Type of  Derivatives   Derivatives   Net 
Derivatives Contracts  Fair Value   Fair Value   Fair Value 
             
Futures Contracts            
Agriculture $179,097  $(33,772) $145,325 
Currencies  6,043   (86,052)  (80,009)
Energy  44,450   (27,276)  17,174 
Interest Rates  204,350   (7,266)  197,084 
Metals  59,119   (28,167)  30,952 
Stock Indices  20,615   (41,930)  (21,315)
             
Total Futures Contracts $513,674  $(224,463) $289,211 
             
Forward Currency Contracts $21,701  $(7,221) $14,480 
             
Total Gross Fair Value of Derivatives Contracts $535,375  $(231,684) $303,691 

 

 

 

 17 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

December 31, 2022
 
  Assets  Liability    
Type of Derivatives  Derivatives  Net 
Derivatives Contracts Fair Value  Fair Value  Fair Value 
          
Futures Contracts            
Agriculture $179,097  $(33,772) $145,325 
Currencies  6,043   (86,052)  (80,009)
Energy  44,450   (27,276)  17,174 
Interest Rates  204,350   (7,266)  197,084 
Metals  59,119   (28,167)  30,952 
Stock Indices  20,615   (41,930)  (21,315)
             
Total Futures Contracts $513,674  $(224,463) $289,211 
             
Forward Currency Contracts $21,701  $(7,221) $14,480 
             
Total Gross Fair Value of Derivatives Contracts $535,375  $(231,684) $303,691 

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and sixnine months ended JuneSeptember 30, 2023 and 2022.

 

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.

Schedule of realized and unrealized gain (loss) on derivatives                   
Three Months Ended June 30, 2023
Type of
Derivatives Contracts
 Realized  Change in
Unrealized
  Average Notional
Value of Contracts
  
Three Months Ended September 30, 2023Three Months Ended September 30, 2023 
Type of      Change in   Average Notional  
Derivatives Contracts  Realized   Unrealized   Value of Contracts  
Futures Contracts                         
Agriculture $419,620  $(91,230)      $166,330  $26,693      
Currencies  187,493   204,593       168,343   (121,720)     
Energies  (53,918)  (39,608)      53,415   105,021      
Interest Rates  (58,532)  347,127       186,465   41,962      
Metals  (37,865)  70,243       (10,046)  15,263      
Stock Indices  204,136   43,483        (17,863)  (60,758)     
                         
Total Futures Contracts $660,934  $534,608  $44,385,700 (1) $546,644  $6,461  $50,907,778 (1)
                         
Forward Currency Contracts $84,438  $17,528  $3,995,744 (2) $24,211  $(57,591) $2,713,109 (2)
                         
Total Gain from Derivatives Contracts $745,372  $552,136      
Total Gain (loss) from Derivatives Contracts $570,855  $(51,130)     

Nine Months Ended September 30, 2023
Type of     Change in   Average Notional  
Derivatives Contracts  Realized   Unrealized   Value of Contracts 
Futures Contracts             
Agriculture $838,725  $22,091      
Currencies  283,900   130,610      
Energies  69,686   51,807      
Interest Rates  119,319   59,122      
Metals  (159,308)  23,729      
Stock Indices  115,071   15,716      
              
Total Futures Contracts $1,267,393  $303,075  $50,218,581 (1)
              
Forward Currency Contracts $134,569  $(35,682) $3,454,369 (2)
              
Total Gain from Derivatives Contracts $1,401,962  $267,393      

 

 

 18 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Six Months Ended June 30, 2023
Type of
Derivatives Contracts
 Realized  Change in
Unrealized
  Number of
Average Notional
Value of Contracts
  
Futures Contracts             
Agriculture $672,395  $(4,601)     
Currencies  115,559   252,330      
Energies  16,271   (53,214)     
Interest Rates  (67,146)  17,159      
Metals  (149,263)  8,466      
Stock Indices  132,933   76,474      
              
Total Futures Contracts $720,749  $296,614  $49,873,983 (1)
              
Forward Currency Contracts $110,358  $21,909  $3,824,998 (2)
              
Total Gain from Derivatives Contracts $831,107  $318,523      

Three Months Ended June 30, 2022
Type of
Derivatives Contracts
 Realized  Change in
Unrealized
  Number of
Average Notional
Value of Contracts
  
Futures Contracts          
Agriculture $80,027  $(118,908)     
Currencies  874,676   (182,682)     
Energies  463,935   (186,713)     
Interest Rates  696,441   (310,632)     
Metals  278,031   (317,773)     
Stock Indices  (63,287)  32,306      
              
Total Futures Contracts $2,329,823  $(1,084,402) $39,585,568 (1)
              
Forward Currency Contracts $(58,062) $(118,644) $4,078,024 (2)
              
Total Gain (loss) from Derivatives Contracts $2,271,761  $(1,203,046)     

 

Three Months Ended September 30, 2022
Type of     Change in   Average Notional  
Derivatives Contracts Realized   Unrealized   Value of Contracts  
Futures Contracts             
Agriculture $(174,101) $(44,753)     
Currencies  469,409   (3,180)     
Energies  (288,911)  75,358      
Interest Rates  187,906   255,246      
Metals  36,803   35,483      
Stock Indices  (161,321)  182,128      
              
Total Futures Contracts $69,785  $500,282  $31,715,120 (1)
              
Forward Currency Contracts $(67,447) $35,997  $3,545,482 (2)
              
Total Gain from Derivatives Contracts $2,338  $536,279      

 

19

           
Nine Months Ended September 30, 2022
Type of     Change in   Average Notional  
Derivatives Contracts Realized   Unrealized   Value of Contracts  
Futures Contracts             
Agriculture $80,900  $(39,468)     
Currencies  1,421,979   84,707      
Energies  915,009   (5,094)     
Interest Rates  1,228,173   402,027      
Metals  308,038   83,055      
Stock Indices  (373,241)  106,059      
              
Total Futures Contracts $3,580,858  $631,286  $43,584,418 (1)
              
Forward Currency Contracts $(58,616) $(29,521) $4,892,281 (2)
              
Total Gain from Derivatives Contracts $3,522,242  $601,765      

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Six Months Ended June 30, 2022
Type of
Derivatives Contracts
 Realized  Change in
Unrealized
  Number of
Average Notional
Value of Contracts
  
           
Futures Contracts             
Agriculture $255,001  $5,285      
Currencies  952,570   87,887      
Energies  1,203,920   (80,452)     
Interest Rates  1,040,267   146,781      
Metals  271,235   47,572      
Stock Indices  (211,920)  (76,069)     
              
Total Futures Contracts $3,511,073  $131,004  $49,519,067 (1)
              
Forward Currency Contracts $8,831  $(65,518) $5,565,681 (2)
              
Total Gain from Derivatives Contracts $3,519,904  $65,486      

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

 

19

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED

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.

 

20

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

Offsetting the Financial Assets and Derivative Assets                         
As of June 30, 2023          Gross Amounts 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 $46,062  $(9,673) $36,389  $  $  $36,389 
                         
Total $46,062  $(9,673) $36,389  $  $  $36,389 

Schedule of offsetting the financial assets and derivative assets                        
As of September 30, 2023          Gross Amounts 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 $6,294  $(6,294) $  $  $  $ 
                         
Total $6,294  $(6,294) $  $  $  $ 

 

Offsetting the Financial Liabilities and Derivative Liabilities

 

As of June 30, 2023          Gross Amounts Not
Offset in the Statements
Of Financial Condition
    
As of September 30, 2023          Gross Amounts 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  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 $9,673  $(9,673) $  $  $  $  $27,496  $(6,294) $21,202  $  $(21,202) $ 
                                                
Total $9,673  $(9,673) $  $  $  $  $27,496  $(6,294) $21,202  $  $(21,202) $ 

 

 2120 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Offsetting the Financial Assets and Derivative Assets

 

As of December 31, 2022          Gross Amounts 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 $21,701  $(7,221) $14,480  $  $  $14,480 
                         
Total $21,701  $(7,221) $14,480  $  $  $14,480 

 

Offsetting the Financial Liabilities and Derivative Liabilities

 

As of December 31, 2022          Gross Amounts 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 $7,221  $(7,221) $  $  $  $ 
                         
Total $7,221  $(7,221) $  $  $  $ 

 

(1)The Partnership posted additional collateral of $106,943$62,045 as of JuneSeptember 30, 2023 and $108,370 for December 31, 2022 with the Clearing Broker. 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.

 

 

 

 2221 

 

 

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.

 

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.

 

 

 

 

 2322 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 10 - FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights of the Partnership for the three and sixnine months ended JuneSeptember 30, 2023 and 2022.

Financial highlights of the Partnership               
Schedule of financial highlights of partnership           
 Three months ended June 30, 2023  Three months ended September 30, 2023 
 Original Original     Institutional  Original Original     Institutional 
 Class A  Class B  Class A  Class B  Interests  Class A  Class B  Class A  Class B  Interests 
                      
Total return for Limited Partners(3)                                        
Return prior to incentive fees  8.27 %   8.55 %   7.84 %   8.33 %   8.55 %   3.22 %   3.49 %   2.80 %   3.27 %   3.49 % 
Incentive fees  (0.36)%   (0.36)%   (0.35)%   (0.36)%

 

  (0.36)%   (0.56)%   (0.57)%   (0.56)%   (0.56)%   (0.57)% 
                                        
Total return after incentive fees  7.91 %   8.19 %   7.49 %   7.97 %   8.19 %   2.66 %   2.92 %   2.24 %   2.71 %   2.92 % 
                                        
Ratio to average net asset value                                        
Expenses prior to incentive fees(2)  3.51 %   2.46 %   5.17 %   3.29 %   2.46 %   3.40 %   2.38 %   5.05 %   3.21 %   2.38 % 
Incentive fees  0.35 %   0.36 %   0.34 %   0.35 %   0.36 % 
Incentive fees (3)  0.57 %   0.57 %   0.56 %   0.57 %   0.57 % 
                                        
Total expenses  3.86 %   2.82 %   5.51 %   3.64 %   2.82 %   3.97 %   2.95 %   5.61 %   3.78 %   2.95 % 
                                        
Net investment income (loss) (1)  0.88 %   1.93 %   (0.77)%   1.10 %   1.93 % 
Net investment income (loss) (1) (2)  1.56 %   2.59 %   (0.09)%   1.76 %   2.59 % 

                
  Six months ended June 30, 2023 
  Original  Original        Institutional 
  Class A  Class B  Class A  Class B  Interests 
                
Total return for Limited Partners (3)                    
Return prior to incentive fees  6.80 %   7.36 %   5.93 %   6.92 %   7.36 % 
Incentive fees  (0.35)%   (0.36)%   (0.35)%   (0.35)%   (0.36)% 
                     
Total return after incentive fees  6.45 %   7.00 %   5.58 %   6.57 %   7.00 % 
                     
Ratio to average net asset value                    
Expenses prior to incentive fees (2)  3.47 %   2.41 %   5.13 %   3.24 %   2.40 % 
Incentive fees (3)  0.35 %   0.33 %   0.33 %   0.34 %   0.29 % 
                     
Total expenses  3.82 %   2.74 %   5.46 %   3.58 %   2.69 % 
                     
Net investment income (loss) (1) (2)  0.57 %   1.62 %   (1.10)%   0.80 %   1.60 % 

 

  Nine months ended September 30, 2023 
  Original  Original        Institutional 
  Class A  Class B  Class A  Class B  Interests 
                
Total return for Limited Partners (3)                    
Return prior to incentive fees  10.23 %   11.09 %   8.89 %   10.41 %   11.09 % 
Incentive fees  (0.95)%   (0.96)%   (0.94)%   (0.96)%   (0.96)% 
                     
Total return after incentive fees  9.28 %   10.13 %   7.95 %   9.45 %   10.13 % 
                     
Ratio to average net asset value                    
Expenses prior to incentive fees (2)  3.45 %   2.40 %   5.11 %   3.23 %   2.39 % 
Incentive fees (3)  0.93 %   0.89 %   0.89 %   0.92 %   0.82 % 
                     
Total expenses  6.10 %   4.49 %   8.55 %   5.76 %   4.41 % 
                     
Net investment income (loss) (1) (2)  0.91 %   1.94 %   (0.77)%   1.12 %   1.90 % 

 

 2423 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

____________

 

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

           
 Three months ended June 30, 2022  Three months ended September 30, 2022 
 Original Original     Institutional  Original Original     Institutional 
 Class A  Class B  Class A  Class B  Interests  Class A  Class B  Class A  Class B  Interests 
                      
Total return for Limited Partners (3)                                        
Return prior to incentive fees  4.32 %   4.55 %   3.87 %   4.33 %   4.55 %   2.08 %   2.32 %   1.65 %   2.11 %   2.32 % 
Incentive fees  (0.06)%   (0.12)%   (0.03)%   (0.05)%   (0.13)%   (0.49)%   (0.50)%   (0.42)%   (0.49)%   (0.50)% 
                                        
Total return after incentive fees  4.26 %   4.43 %   3.84 %   4.28 %   4.42 %   1.59 %   1.82 %   1.23 %   1.62 %   1.82 % 
                                        
Ratio to average net asset value                                        
Expenses prior to incentive fees (2)  3.39 %   2.53 %   5.15 %   3.36 %   2.53 %   3.18 %   2.24 %   4.88 %   3.07 %   2.24 % 
Incentive fees (3)  0.06 %   0.11 %   0.04 %   0.05 %   0.12 %   0.50 %   0.51 %   0.42 %   0.50 %   0.51 % 
                                        
Total expenses  3.45 %   2.64 %   5.19 %   3.41 %   2.65 %   3.68 %   2.75 %   5.30 %   3.57 %   2.75 % 
                                        
Net investment (loss) (1) (2)  (3.19)%   (2.54)%   (4.87)%   (3.12)%   (2.58)%   (1.65)%   (0.71)%   (3.36)%   (1.54)%   (0.71)% 

                
  Six months ended June 30, 2022 
  Original  Original        Institutional 
  Class A  Class B  Class A  Class B  Interests 
                
Total return for Limited Partners (3)                    
Return prior to incentive fees  16.67 %   17.14 %   15.62 %   16.67 %   17.14 % 
Incentive fees  (0.07)%   (0.13)%   (0.09)%   (0.06)%   (0.14)% 
                     
Total return after incentive fees  16.60 %   17.01 %   15.53 %   16.61 %   17.00 % 
                     
Ratio to average net asset value                    
Expenses prior to incentive fees (2)  3.30 %   2.48 %   5.15 %   3.31 %   2.48 % 
Incentive fees (3)  0.06 %   0.11 %   0.09 %   0.05 %   0.12 % 
                     
Total expenses  3.36 %   2.59 %   5.24 %   3.36 %   2.60 % 
                     
Net investment (loss) (1) (2)  (3.22)%   (2.49)%   (5.13)%   (3.19)%   (2.51)% 

  Nine months ended September 30, 2022 
  Original  Original        Institutional 
  Class A  Class B  Class A  Class B  Interests 
                
Total return for Limited Partners (3)                    
Return prior to incentive fees  19.10 %   19.86 %   17.53 %   19.13 %   19.86 % 
Incentive fees  (0.65)%   (0.72)%   (0.58)%   (0.63)%   (0.73)% 
                     
Total return after incentive fees  18.45 %   19.14 %   16.95 %   18.50 %   19.13 % 
                     
Ratio to average net asset value                    
Expenses prior to incentive fees (2)  3.26 %   2.40 %   5.06 %   3.23 %   2.40 % 
Incentive fees (3)  0.54 %   0.61 %   0.49 %   0.55 %   0.62 % 
                     
Total expenses  3.80 %   3.01 %   5.55 %   3.78 %   3.02 % 
                     
Net investment (loss) (1) (2)  (2.64)%   (1.76)%   (4.46)%   (2.57)%   (1.75)% 

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)Annualized.
(3) Not annualized.

 

 2524 

 

 

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 JuneSeptember 30, 2023 have occurred that would require recognition or disclosure, except as noted below.

 

From JulyOctober 1, 2023 through August 11,November 13, 2023, the Partnership had no subscriptions and had redemptions of $270,403.$138,611.04.

 

 

 

 2625 

 

 

PART I – FINANCIAL INFORMATION (continued)

 

Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations.

 

Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

 

Liquidity

 

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through JuneSeptember 30, 2023, the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

 

Capital Resources

 

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

 

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

 

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Partnership’s futures commission merchants and brokers may require margin in excess of minimum exchange requirements.

 

Contracts currently traded by the Advisor on behalf of the Partnership include exchange-traded futures contracts and over-the-counter forward currency contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the exchange. The credit risk from counterparty non-performance associated with the Partnership’s over-the-counter forward currency transactions is the net unrealized gain on such contracts plus related collateral held by the counterparty.

 

The Partnership bears the risk of financial failure by the Clearing Broker and Société Générale SA (SG) (which may from time to time execute spot and other over-the-counter foreign exchange transactions as a counterparty to the Partnership) and/or other clearing brokers or counterparties with which the Partnership trades.

 

 

 

 2726 

 

 

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.

 

Due to the nature of the Partnership’s trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.

 

Performance Summary

Three Months Ended JuneSeptember 30, 2023

 

During the secondthird quarter of 2023, the Partnership achieved net realized and unrealized gains of $1,236,603$ 452,769 from its trading activities, and net of brokerage commissions of $59,059.$ 60,763. The Partnership accrued total expenses of $215,310$ 251,796 including $46,073$ 47,327 in management fees paid to the General Partner, $54,547$ 91,245 in incentive fees, and $114,690$ 113,224 in service, professional fees and other expenses. The Partnership earned $173,083$ 201,085 in interest income during the secondthird quarter of 2023. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the secondthird quarter of 2023 is set forth below.

 

SecondThird Quarter 2023. The Partnership was up induring the secondthird quarter of 2023. In markets,2023, providing diversification alongside declines in global bond and equity indices. Higher interest rate signaling from central bankers put upward pressure on government bond yields and led to declines across most regional stock indices. US 10-year Treasury yields rose to 4.5%, a 16 year high. The US dollar strengthened against other major currencies, were amongmost notably versus the biggest market movers during the quarter in risk-adjusted terms, with the Chinese yuan, Japanese yen, British pound, and Turkish lira weakening againsteuro as a response to the U.S. dollar. As the People’s Bank of China and Bank of Japan maintained a loose monetary policy, the lira fell to new record lows versus the dollar after the president’s re-election. Yields on developed market government bonds resumed their 2022 uptrend as U.S. policymakers signaled the hiking cycle may continue, and commodity prices mostly fell as prospects of a global economic slowdown loomed. Mega-cap technology stocks, boosted by hype around generative A.I., led global equity markets higher during the quarter.ongoing Fed hawkishness.

 

Trend-following systems reboundedSaudi Arabia and Russia surprised markets by cutting oil production through to the end of year and oil and oil product prices rallied between 20% and 45%. Industrial commodities were boosted by Chinese government rate cuts and property sector support, and crops in regions where yields are likely to be negatively because of this year’s El Niño weather pattern continued to rally.

Diversifying signals drove the Partnership’s performance in the second quarter as longer-term trends across most sectors resumed, particularly in financials. Systematic macro signals also made a notable contribution, enhancing returns across the financials and agricultural commodities sectors. Carry and mean reversion were the top-performing signals within the systematic macro component.

Currencies, agricultural commodities, and fixed income led the Partnership’s gains due to favorablethird quarter. Sectors where positioning across our trend-followingboth trend following and systematic macro clusters. Stock indices,was on the right side of price action were the biggest contributors to performance, namely fixed income, energies, and agriculture. At the same time, non-trend signals provided valuable diversification across currencies, precious metals, base metals, and creditstock indices. Carry and signals based on market dynamics were other sources of profits, due mainly to trend following. Short Japanese yen positions accounted for most of the gainsnotable contributors in F.X. The yen is trending towards its October 2022 lows versus the U.S. dollar, as the Bank of Japan’s easy policy stance continues to contrast with the U.S. Federal Reserve. Further profits accrued from short exposure to the Chinese yuancurrencies and long British pound and Mexican peso positioning. Softs and livestock drove the strategy’s positive performance in agriculture, where long cocoa, sugar, and cattle positions were among the most significant contributors.precious metals.

 

Three Months Ended JuneSeptember 30, 2022

During the secondthird quarter of 2022, the Partnership achieved net realized and unrealized gains of $993,693$463,942 from its trading activities, and net of brokerage commissions of $73,699.$70,248. The Partnership accrued total expenses of $210,922$265,401 including $57,000$54,199 in management fees paid to the General Partner, $10,048$86,976 in incentive fees, and $143,874$124,226 in service, professional fees and other expenses. The Partnership earned $20,213$71,382 in interest income during the secondthird quarter of 2022. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the secondthird quarter of 2022 is set forth below.

 

Third Quarter 2022. The Partnership generated gains during the third quarter of 2022. US dollar strength was the main story in financial markets over the quarter. The US Federal Reserve’s hawkish approach to the pace of interest rate hikes clashed with that of other global central banks, particularly Japan, where policy remains dovish. As a result, the dollar climbed to a 24-year high against the Japanese yen, crossed parity with the euro for the first time in two decades, and rose to a record high versus the British pound. Global equity and bond markets continued to slide as investors grappled with the effects of tighter monetary policy and a potential global economic slowdown. Concerns around slowing economic growth weighed on base metals, oil and oil products, and Chinese industrial commodities, while a strong US dollar put downward pressure on precious metal prices.

 

 

 2827 

 

 

The Partnership generated gains during the second quarter of 2022. Equities continued their slide from the first quarter as investors feared the inflation-driven rate hike cycle would lead the U.S. intoFrom a recession. Energies, meanwhile, continued to trend upwards alongside supply concerns, but industrial metals and most other commodity sectors experienced waning momentum or trend reversals. The Bloomberg Global Aggregate Index was down 8.3%, marking the second consecutive quarter in which bonds and equities were simultaneously down. The U.S. dollar, meanwhile, strengthened against most major currencies, particularly the Japanese yen, which fell to its weakest level against the dollar in 24 years as the Bank of Japan maintained its dovish stance. Trend following continued to account for most of the strategy’s profits in the second quarter, with the largest gainssignal perspective, trend-following shorts in fixed income, non-USD currencies, and energies. Seasonal systemsmetals drove the strategy’s positive performance in the third quarter. Profits from short trend-following positions in fixed income were profitable across various sectors, including carry in currencies and energies. The Japanese yen and euro drove profits in currencies. Both weakened relative tosomewhat offset by the U.S. dollar over the quarter,strategy’s diversifying systematic macro strategy, where seasonal and carry systems are short due to low ratesnet long. Losses were driven by fixed income seasonal and carry systems which were more than offset by profits in Japancurrency carry and a range of precious metals systems.

Short fixed income and non-USD currency positions at the eurozone. Fixed income was another notable contributor, as trend-followingasset class level drove the returns. Stock indicesstrategy’s performance in the third quarter. Exposures at the short end of the US curve and in the UK were flat, as lossesthe top fixed income contributors. The UK government surprised markets by announcing an aggressive fiscal easing while the country’s central bank tightened monetary policy to rein in trend following canceled out gains frominflation. In addition, longstanding short positions in cross-sectorthe euro and seasonal systems. Directional trend-following systemsJapanese yen drove gains in FX. Short positions in the Chinese yuan led gains in the non-G10 currency portfolio, which was also profitable, as the People’s Bank of China surprised markets with an interest rate cut in August.

While the Partnership made money onin metals and alternative commodities during the short sidequarter, these profits were offset by losses in stock indices towards the end of the period, but cross-sectional systems were lossmaking as previous relative performance trends faded. Commodities were mixed after an exceptionally strong first quarter. Uptrends in energies continued -agricultural and energy markets. Gold and silver positions benefited from a strengthening US dollar, while long positions in heating oil, gas oil,European power drove the returns in alternative commodities and gasoline were among the top contributors in the sector, with all three markets reaching all-time highs. Losses from trend-followingshort positions in base metals generated gains. Major agriculture and agriculturalenergy markets led the losses in commodities, resulted from waning upward momentum during the second quarter. The Partnership heads into the third quarter of the year with long oil and oil products, cotton, and sugar positions representing the top detractors in energies, long – albeit reduced – agricultural positions,the two sectors, as trend-following and systematic macro strategies were on the wrong side of reversals in these markets.

The portfolio enters the year's final quarter with net short exposure to fixed income, precious, and base metals. In the financial sectors, short, fixed income positions have pared somewhat, whileThe Partnership’s stock index exposure turned net short in August and increased short exposure over September. The strategy remains short in most non-USD currencies. Positioning in agriculture is the strategy’s only notable long exposure heading into the fourth quarter. Energy positioning in stock indicesflattened through the quarter as oil and credit has gradually increased.oil products gave back their gains from the year's first half.

 

SixNine Months Ended JuneSeptember 30, 2023

 

During the sixnine months ended JuneSeptember 30, 2023, the Partnership achieved net realized and unrealized gains of $1,022,671$ 1,475,441 from its trading activities, and net of brokerage commissions of $122,039.$ 182,802. The Partnership accrued total expenses of $381,806$ 633,602 including $94,817$ 142,144 in management fees paid to the General Partner, $54,547$ 145,792 in incentive fees, and $232,442$ 345,666 in service and professional fees. The Partnership earned $328,067$ 529,152 in interest income during the sixnine months ended JuneSeptember 30, 2023. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the secondthird quarter of 2023 is set forth below.

Third Quarter 2023. The Partnership was up during the third quarter of 2023, providing diversification alongside declines in global bond and equity indices. Higher interest rate signaling from central bankers put upward pressure on government bond yields and led to declines across most regional stock indices. US 10-year Treasury yields rose to 4.5%, a 16 year high. The US dollar strengthened against other major currencies, most notably versus the Japanese yen, British pound, and euro as a response to the ongoing Fed hawkishness.

Saudi Arabia and Russia surprised markets by cutting oil production through to the end of year and oil and oil product prices rallied between 20% and 45%. Industrial commodities were boosted by Chinese government rate cuts and property sector support, and crops in regions where yields are likely to be negatively because of this year’s El Niño weather pattern continued to rally.

Diversifying signals drove the Partnership’s performance in the third quarter. Sectors where positioning across both trend following and systematic macro was on the right side of price action were the biggest contributors to performance, namely fixed income, energies, and agriculture. At the same time, non-trend signals provided valuable diversification across currencies, precious metals, base metals, and stock indices. Carry and signals based on market dynamics were notable contributors in currencies and precious metals.

28

 

Second Quarter 2023. The Partnership was up in the second quarter of 2023. In markets, currencies were among the biggest market movers during the quarter in risk-adjusted terms, with the Chinese yuan, Japanese yen, and Turkish lira weakening against the U.S. dollar. As the People’s Bank of China and Bank of Japan maintained a loose monetary policy, the lira fell to new record lows versus the dollar after the president’s re-election. Yields on developed market government bonds resumed their 2022 uptrend as U.S. policymakers signaled the hiking cycle may continue, and commodity prices mostly fell as prospects of a global economic slowdown loomed. Mega-cap technology stocks, boosted by hype around generative A.I., led global equity markets higher during the quarter.

 

Trend-following systems rebounded in the second quarter as longer-term trends across most sectors resumed, particularly in financials. Systematic macro signals also made a notable contribution, enhancing returns across the financials and agricultural commodities sectors. Carry and mean reversion were the top-performing signals within the systematic macro component.

 

Currencies, agricultural commodities, and fixed income led the Partnership’s gains due to favorable positioning across our trend-following and systematic macro clusters. Stock indices, base metals, and credit were other sources of profits, due mainly to trend following. Short Japanese yen positions accounted for most of the gains in F.X. The yen is trending towards its October 2022 lows versus the U.S. dollar, as the Bank of Japan’s easy policy stance continues to contrast with the U.S. Federal Reserve. Further profits accrued from short exposure to the Chinese yuan and long British pound and Mexican peso positioning. Softs and livestock drove the strategy’s positive performance in agriculture, where long cocoa, sugar, and cattle positions were among the most significant contributors.

 

First Quarter 2023. The Partnership experienced losses during the first quarter of 2023. Speculation around the global rate trajectory in 2023 drove financial markets for most of the first quarter, as equity and bond prices moved up and down in tandem. The demise of Silicon Valley Bank, however, interrupted this dynamic and triggered declines in stocks and the largest two-day rally in short-dated US Treasuries since the 1980s. Commodities were mixed during the quarter: gold, copper and softs rallied, while energies, grains and oilseeds declined.

 

29

The partnership’s net short exposure to fixed income, combined with positioning on the wrong side of market movements in metals, drove negative performance during the quarter. A long and steady uptrend in yields, which began at the end of 2021 and continued through to February 2023, abruptly reversed across March 10 and 13 notably at the shorter end of the US curve. The Partnership was whipsawed in base metals and precious metals, with net positioning scaling up before reducing and switching direction in both sectors during the quarter. Gold, platinum, and lead were the top detractors. The Partnership made money in agricultural commodities and energies over the quarter, due to a combination of systematic macro and trend following signals. Long sugar and cocoa positions and short hogs and wheat positions led the gains in agricultural commodities, where a wide range of systems were profitable, particularly those based on mean reversion, carry and fundamentals. Trend-following also made money in the sector overall. A small profit in energies, meanwhile, accrued mostly from mean reversion in major energy markets and trend following on natural gas and power markets.

 

The SG Trend Index fell 9.2% across Friday, March 10, 2023, and Monday, March 13, 2023, the worst two-day performance since its 2000 inception. It was a similar story for the SG CTA Index, which lost a record 7.5% across the two days. The Partnership was not immune to the sharp reversal in bond yields, as previously described. Yet industry returns across those two days and the month suggest that the Partnership has held up well, even when accounting for different “typical” risk levels. We believe this resilience is testament to the risk management framework developed over the past 25 years.

 

SixNine Months Ended JuneSeptember 30, 2022

 

During the sixnine months ended JuneSeptember 30, 2022, the Partnership achieved net realized and unrealized gains of $3,434,438$3,898,380 from its trading activities, and net of brokerage commissions of $151,067.$221,315. The Partnership accrued total expenses of $420,852$686,253 including $114,433$168,632 in management fees paid to the General Partner, $15,569$102,545 in incentive fees, and $290,850$415,076 in service and professional fees. The Partnership earned $20,213$91,595 in interest income during the sixnine months ended JuneSeptember 30, 2022. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the secondthird quarter of 2022 is set forth below.'

29

Third Quarter 2022. The Partnership generated gains during the third quarter of 2022. US dollar strength was the main story in financial markets over the quarter. The US Federal Reserve’s hawkish approach to the pace of interest rate hikes clashed with that of other global central banks, particularly Japan, where policy remains dovish. As a result, the dollar climbed to a 24-year high against the Japanese yen, crossed parity with the euro for the first time in two decades, and rose to a record high versus the British pound. Global equity and bond markets continued to slide as investors grappled with the effects of tighter monetary policy and a potential global economic slowdown. Concerns around slowing economic growth weighed on base metals, oil and oil products, and Chinese industrial commodities, while a strong US dollar put downward pressure on precious metal prices.

From a signal perspective, trend-following shorts in fixed income, non-USD currencies, and metals drove the strategy’s positive performance in the third quarter. Profits from short trend-following positions in fixed income were somewhat offset by the strategy’s diversifying systematic macro strategy, where seasonal and carry systems are net long. Losses were driven by fixed income seasonal and carry systems which were more than offset by profits in currency carry and a range of precious metals systems.

Short fixed income and non-USD currency positions at the asset class level drove the strategy’s performance in the third quarter. Exposures at the short end of the US curve and in the UK were the top fixed income contributors. The UK government surprised markets by announcing an aggressive fiscal easing while the country’s central bank tightened monetary policy to rein in inflation. In addition, longstanding short positions in the euro and Japanese yen drove gains in FX. Short positions in the Chinese yuan led gains in the non-G10 currency portfolio, which was also profitable, as the People’s Bank of China surprised markets with an interest rate cut in August.

While the Partnership made money in metals and alternative commodities during the quarter, these profits were offset by losses in agricultural and energy markets. Gold and silver positions benefited from a strengthening US dollar, while long positions in European power drove the returns in alternative commodities and short positions in base metals generated gains. Major agriculture and energy markets led the losses in commodities, with long oil and oil products, cotton, and sugar positions representing the top detractors in the two sectors, as trend-following and systematic macro strategies were on the wrong side of reversals in these markets.

The portfolio enters the year's final quarter with net short exposure to fixed income, precious, and base metals. The Partnership’s stock index exposure turned net short in August and increased short exposure over September. The strategy remains short in most non-USD currencies. Positioning in agriculture is the strategy’s only notable long exposure heading into the fourth quarter. Energy positioning flattened through the quarter as oil and oil products gave back their gains from the year's first half.

 

Second Quarter 2022. The Partnership generated gains during the second quarter of 2022. Equities continued their slide from the first quarter as investors feared the inflation-driven rate hike cycle would lead the U.S. into a recession. Energies, meanwhile, continued to trend upwards alongside supply concerns, but industrial metals and most other commodity sectors experienced waning momentum or trend reversals. The Bloomberg Global Aggregate Index was down 8.3%, marking the second consecutive quarter in which bonds and equities were simultaneously down. The U.S. dollar, meanwhile, strengthened against most major currencies, particularly the Japanese yen, which fell to its weakest level against the dollar in 24 years as the Bank of Japan maintained its dovish stance. Trend following continued to account for most of the strategy’s profits in the second quarter, with the largest gains in fixed income, currencies, and energies. Seasonal systems were profitable across various sectors, including carry in currencies and energies. The Japanese yen and euro drove profits in currencies. Both weakened relative to the U.S. dollar over the quarter, and carry systems are short due to low rates in Japan and the eurozone. Fixed income was another notable contributor, as trend-following drove the returns. Stock indices were flat, as losses in trend following canceled out gains from short positions in cross-sector and seasonal systems. Directional trend-following systems made money on the short side in stock indices towards the end of the period, but cross-sectional systems were lossmaking as previous relative performance trends faded. Commodities were mixed after an exceptionally strong first quarter. Uptrends in energies continued - long positions in heating oil, gas oil, and gasoline were among the top contributors in the sector, with all three markets reaching all-time highs. Losses from trend-following in base metals and agricultural commodities resulted from waning upward momentum during the second quarter. The Partnership heads into the third quarter of the year with long positions in energies, long – albeit reduced – agricultural positions, and net short exposure to base metals. In the financial sectors, short, fixed income positions have pared somewhat, while net short positioning in stock indices and credit has gradually increased.

 

 

 

 30 

 

 

First Quarter 2022. The Partnership delivered positive results during the first quarter of 2022. Energy, crop, and metal prices soared during the period, as Russia’s invasion of Ukraine reverberated across global commodity markets. The buoyant environment for commodities contrasted with falls for global equities, bonds, and most major currencies versus the US dollar. Rising energy and food prices contributed to the highest US inflation print in 40 years and central banks continued to hike interest rates around the world. Commodities were the main source of profits in the portfolio during the quarter, with exposure positioned on the right side of the extreme price moves that followed Russia’s invasion of Ukraine on February 24. On the day of the invasion and over the next two weeks, three of the largest up days in the strategy’s commodity trading universe since 1971 occurred. At the market level, oil-related markets, coal, and European power drove gains in energies; nickel and aluminum were the top contributors in base metals; and soybeans, cotton, and corn led the way in crops. Returns in currencies were split between trend following and carry systems, both of which were on the right side of Japanese yen and euro weakness during the three months. A rallying Brazilian real, meanwhile, was the top contributor to performance in the OTC currency portfolio. Short, fixed income positions increased during the quarter, with exposure having turned short in the sector towards the end of 2021. Short-dated exposures were among the top contributors, including US and European short-term interest rate futures and US 2-year Treasury notes. Performance in credit was a small, albeit negative, contributor as spreads widened. Losses from North American and European indices, where positioning only turned short in February, outpaced profits from a short position in an emerging market index. Stock indices were the only notable detractor from performance during the quarter, as positioning was largely whipsawed. Exposure had turned net short in the sector by the end of January; increased the short position in March; before reducing it heading into quarter end as markets recovered. The Partnership’s only direct exposure to Russia – a small, long position in the ruble – was halved at the end of January amid heightened volatility and removed altogether on February 25.

 

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

 

Due to the nature of the Partnership as a speculative commodity pool, changes from December 31, 2018 are not material.

 

Item 4: Controls and Procedures.

 

The General Partner, with the participation of the General Partner’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the General Partner’s internal controls over financial reporting with respect to the Partnership or in other factors applicable to the Partnership that could significantly affect these controls subsequent to the date of the evaluation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 31 

 

 


PART II – OTHER INFORMATION

 

Item 1: Legal Proceedings.

 

None.

 

Item 1A: Risk Factors.

 

There have been no material changes to the Partnership’s risk factors since the Partnership filed its annual report on Form 10-K, as amended, with the Securities and Exchange Commission on March 29, 2023.

 

Item 2: Unregistered Sales of Equity Securities and Use of Proceeds.

 

(a) None.

 

(b) Not applicable.

 

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the recent calendar quarter:

 

Month Amount Redeemed
AprilJuly 31, 2023$-270,402.64 
August 31, 2023$-64,359.04 
September 30, 2023 $57,520.01-42,384.57 
May 31, 2023$0.00 
June 30, 2023$102,916.80 

 

Item 3: Defaults Upon Senior Securities.

 

(a) None.

 

(b) None.

 

Item 4: Mine Safety Disclosure.

 

Not applicable.

 

Item 5: Other Information.

 

(a) None.

 

(b) Not applicable.

 

 

 

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Item 6: Exhibits.

 

The following exhibits are incorporated herein by reference from the exhibits of the same numbers and descriptions filed with the registrant’s Registration Statement on Form 10 (File No. 000-53348) filed on July 30, 2008.

 

Exhibit NumberDescription of Document
3.1Certificate of Formation of Winton Futures Fund, L.P. (US)
10.1Advisory Contract between Winton Futures Fund, L.P. (US), Rockwell Futures Management, Inc.** and Winton Capital Management Limited and Amendment thereto dated June 1, 2008
10.2Introducing Broker Clearing Agreement between Fimat USA, LLC*** and Altegris Investments, Inc.
10.3Form of Selling Agency Agreement

 

The following exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Current Report on Form 8-K (File No. 000-53348) filed on April 18, 2011.

 

-29-

Exhibit NumberDescription of Document
3.01Amendment to the Certificate of Formation of Winton Futures Fund, L.P. (US), changing the registrant’s name to Altegris Winton Futures Fund, L.P.

 

The following exhibit is incorporated herein by reference from the exhibit of the same number and description filed with the registrant’s Quarterly Report on Form 10-Q (File No. 000-53348) filed on November 14, 2014.

 

Exhibit NumberDescription of Document 
10.04Amendment dated July 1, 2014 to Advisory Contract

 

The following exhibit is incorporated herein by reference from 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.

 

Exhibit NumberDescription of Document 
4.1Third Amended and Restated Agreement of Limited Partnership of Altegris Winton Futures Fund, L.P.

 

The following exhibits are included herewith.

 

Exhibit NumberDescription of Document
31.1Rule 13a-14(a)/15d-14(a) Certification
31.2Rule 13a-14(a)/15d-14(a) Certification
32.1Section 1350 Certification
32.2Section 1350 Certification
101.INSInline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)*
101.SCHInline XBRL Taxonomy Extension Schema Document*
101.CALInline XBRL Taxonomy Extension Calculation Linkbase Document*
101.DEFInline XBRL Taxonomy Extension Definition Linkbase Document*
101.LABInline XBRL Taxonomy Extension Label Linkbase Document*
101.PREInline XBRL Taxonomy Extension Presentation Linkbase Document*
104Cover Page Interactive Data File (embedded within the Inline XBRL document)*

 

** 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.

 

 

 

 33 

 


SIGNATURES

 

Pursuant to the requirements of Section 12 of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Dated: August 11,November 13, 2023

 

ALTEGRIS WINTON FUTURES FUND, L.P.

 

By:ALTEGRIS ADVISORS, L.L.C.,
  its general partner

 

 

/s/ Matthew C. Osborne                                                  

Matthew C. Osborne

Principal Executive Officer and Principal Financial Officer

 

 

 

 

 

 

 

 

 

 

 

 

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