Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Aug. 10, 2015 | |
Document And Entity Information | ||
Entity Registrant Name | Altegris Winton Futures Fund, L.P. | |
Entity Central Index Key | 1,198,415 | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2015 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Is Entity a Well-known Seasoned Issuer? | No | |
Is Entity a Voluntary Filer? | No | |
Is Entity's Reporting Status Current? | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 0 | |
Document Fiscal Period Focus | Q2 | |
Document Fiscal Year Focus | 2,015 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Equity in commodity broker account | ||
Cash | $ 4,168,951 | |
Restricted cash | 24,567,806 | $ 22,022,440 |
Restricted foreign currency (cost - $7,164,432 and $8,261,611) | $ 7,200,655 | 8,179,695 |
Unrealized gain on open commodity futures contracts | $ 12,671,271 | |
Unrealized gain on open forward contracts | $ 433,293 | |
Total | 36,370,705 | $ 42,873,406 |
Cash | 14,440,770 | 53,617,173 |
Investment securities at value (cost - $311,646,611 and $312,979,365) | 311,646,904 | 312,933,103 |
Interest receivable | 186,752 | 124,547 |
Total assets | $ 362,645,131 | 409,548,229 |
Equity in commodity broker account: | ||
Due to broker | 3,401,180 | |
Foreign currency due to broker (proceeds - $1,424,205 and $5,106,399) | $ 1,431,407 | $ 5,055,768 |
Unrealized loss on open commodity futures contracts | $ 1,513,502 | |
Unrealized loss on open forward contracts | $ 1,988,730 | |
Total | $ 2,944,909 | 10,445,678 |
Redemptions payable | $ 5,691,716 | 12,395,726 |
Incentive fee payable | 8,443,751 | |
Subscriptions received in advance | $ 3,525,756 | 1,322,331 |
Commissions payable | 442,684 | 511,828 |
Management fee payable | 319,635 | 357,488 |
Service fees payable | 332,243 | 339,876 |
Advisory fee payable | 287,662 | 308,787 |
Administrative fee payable | 69,974 | 75,607 |
Other liabilities | 536,160 | 552,257 |
Total liabilities | 14,150,739 | 34,753,329 |
PARTNERS' CAPITAL (NET ASSET VALUE) | ||
General Partner | 3,775 | 3,919 |
Limited Partners | 348,490,617 | 374,790,981 |
Total partners' capital (Net Asset Value) | 348,494,392 | 374,794,900 |
Total liabilities and partners' capital | $ 362,645,131 | $ 409,548,229 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Statement of Financial Position [Abstract] | ||
Cost of restricted foreign currency equity in Newedge USA, LLC account | $ 7,164,432 | $ 8,261,611 |
Investment securities at cost | 311,646,611 | 312,979,365 |
Proceeds of foreign currency liabilities in Newedge USA, LLC account | $ 1,424,205 | $ 5,106,399 |
SCHEDULE OF INVESTMENTS (June 3
SCHEDULE OF INVESTMENTS (June 30 2015) - USD ($) | 6 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | ||
Value | $ 311,646,904 | $ 312,933,103 | |
At Cost | 311,646,611 | 312,979,365 | |
Fixed Income Investments | |||
Value | $ 311,646,904 | $ 312,933,103 | |
% of Partners Capital | 89.43% | 83.48% | |
At Cost | $ 311,646,611 | $ 312,979,365 | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | |||
Value | $ 180,804,102 | ||
% of Partners Capital | 51.88% | ||
At Cost | $ 180,803,808 | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Farm Credit Bank Disc Note, 0.00% | |||
Face Value | 42,241,000 | ||
Value | $ 42,241,000 | ||
% of Partners Capital | 12.12% | ||
Maturity Date | Jul. 1, 2015 | ||
Interest Rate/Yield | [1] | 0.00% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% a | |||
Face Value | $ 15,000,000 | ||
Value | $ 15,004,335 | ||
% of Partners Capital | 4.30% | ||
Maturity Date | Dec. 1, 2015 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% b | |||
Face Value | $ 13,300,000 | ||
Value | $ 13,302,301 | ||
% of Partners Capital | 3.82% | ||
Maturity Date | Sep. 14, 2015 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% c | |||
Face Value | $ 13,300,000 | ||
Value | $ 13,302,873 | ||
% of Partners Capital | 3.82% | ||
Maturity Date | Sep. 25, 2015 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% d | |||
Face Value | $ 12,000,000 | ||
Value | $ 12,001,476 | ||
% of Partners Capital | 3.44% | ||
Maturity Date | Aug. 19, 2015 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.25% a | |||
Face Value | $ 12,000,000 | ||
Value | $ 11,993,400 | ||
% of Partners Capital | 3.44% | ||
Maturity Date | Apr. 20, 2016 | ||
Interest Rate/Yield | 0.25% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% e | |||
Face Value | $ 10,000,000 | ||
Value | $ 10,001,730 | ||
% of Partners Capital | 2.87% | ||
Maturity Date | Sep. 18, 2015 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.125% | |||
Face Value | $ 9,400,000 | ||
Value | $ 9,394,727 | ||
% of Partners Capital | 2.70% | ||
Maturity Date | Dec. 8, 2015 | ||
Interest Rate/Yield | 0.125% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.375% | |||
Face Value | $ 6,775,000 | ||
Value | $ 6,778,550 | ||
% of Partners Capital | 1.95% | ||
Maturity Date | Feb. 19, 2016 | ||
Interest Rate/Yield | 0.375% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% f | |||
Face Value | $ 1,500,000 | ||
Value | $ 1,499,085 | ||
% of Partners Capital | 0.43% | ||
Maturity Date | Feb. 29, 2016 | ||
Interest Rate/Yield | 0.20% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Mortgage Corporation, 0.50% a | |||
Face Value | $ 10,000,000 | ||
Value | $ 10,004,550 | ||
% of Partners Capital | 2.87% | ||
Maturity Date | Aug. 28, 2015 | ||
Interest Rate/Yield | 0.50% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association, 0.50% b | |||
Face Value | $ 15,000,000 | ||
Value | $ 15,000,165 | ||
% of Partners Capital | 4.30% | ||
Maturity Date | Jul. 2, 2015 | ||
Interest Rate/Yield | 0.50% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association, 2.375% | |||
Face Value | $ 6,372,000 | ||
Value | $ 6,382,412 | ||
% of Partners Capital | 1.83% | ||
Maturity Date | Jul. 28, 2015 | ||
Interest Rate/Yield | 2.375% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association, 0.50% c | |||
Face Value | $ 13,900,000 | ||
Value | $ 13,897,498 | ||
% of Partners Capital | 3.99% | ||
Maturity Date | Sep. 28, 2015 | ||
Interest Rate/Yield | 0.50% | ||
Fixed Income Investments | Corporate Notes | |||
Value | $ 130,842,802 | $ 120,602,218 | |
% of Partners Capital | 37.55% | 32.16% | |
At Cost | $ 130,842,803 | $ 120,602,218 | |
Fixed Income Investments | Corporate Notes | American Honda Finance Corporation, 0.11% | |||
Face Value | 6,300,000 | ||
Value | $ 6,299,562 | ||
% of Partners Capital | 1.81% | ||
Maturity Date | Jul. 10, 2015 | ||
Interest Rate/Yield | [1] | 0.11% | |
Fixed Income Investments | Corporate Notes | DCAT, LLC, 0.13% | |||
Face Value | $ 5,000,000 | ||
Value | $ 4,999,050 | ||
% of Partners Capital | 1.43% | ||
Maturity Date | Jul. 2, 2015 | ||
Interest Rate/Yield | [1] | 0.13% | |
Fixed Income Investments | Corporate Notes | Exxon Mobil Corporation, 0.11% | |||
Face Value | $ 12,500,000 | ||
Value | $ 12,499,278 | ||
% of Partners Capital | 3.59% | ||
Maturity Date | Jul. 6, 2015 | ||
Interest Rate/Yield | [1] | 0.11% | |
Fixed Income Investments | Corporate Notes | General Electric Capital Corporation, 0.09% | |||
Face Value | $ 12,500,000 | ||
Value | $ 12,498,892 | ||
% of Partners Capital | 3.59% | ||
Maturity Date | Jul. 14, 2015 | ||
Interest Rate/Yield | [1] | 0.09% | |
Fixed Income Investments | Corporate Notes | NetJets Inc., 0.00% | |||
Face Value | $ 15,000,000 | ||
Value | $ 14,999,979 | ||
% of Partners Capital | 4.30% | ||
Maturity Date | Jul. 1, 2015 | ||
Interest Rate/Yield | [1] | 0.00% | |
Fixed Income Investments | Corporate Notes | PACCAR Financial Corp., 0.13% | |||
Face Value | $ 7,800,000 | ||
Value | $ 7,799,285 | ||
% of Partners Capital | 2.24% | ||
Maturity Date | Jul. 15, 2015 | ||
Interest Rate/Yield | [1] | 0.13% | |
Fixed Income Investments | Corporate Notes | Sumitomo Mitsui Banking Corporation, 0.18% | |||
Face Value | $ 9,400,000 | ||
Value | $ 9,400,000 | ||
% of Partners Capital | 2.70% | ||
Maturity Date | Jul. 17, 2015 | ||
Interest Rate/Yield | [1] | 0.18% | |
Fixed Income Investments | Corporate Notes | Sumitomo Mitsui Trust Bank, Limited, 0.19% | |||
Face Value | $ 9,400,000 | ||
Value | $ 9,400,000 | ||
% of Partners Capital | 2.70% | ||
Maturity Date | Jul. 29, 2015 | ||
Interest Rate/Yield | [1] | 0.19% | |
Fixed Income Investments | Corporate Notes | The Chiba Bank, Ltd., 0.21% | |||
Face Value | $ 6,300,000 | ||
Value | $ 6,300,000 | ||
% of Partners Capital | 1.81% | ||
Maturity Date | Jul. 24, 2015 | ||
Interest Rate/Yield | [1] | 0.21% | |
Fixed Income Investments | Corporate Notes | The Norinchukin Bank, 0.18% | |||
Face Value | $ 9,500,000 | ||
Value | $ 9,500,000 | ||
% of Partners Capital | 2.73% | ||
Maturity Date | Jul. 2, 2015 | ||
Interest Rate/Yield | [1] | 0.18% | |
Fixed Income Investments | Corporate Notes | The Shizuoka Bank, Ltd., 0.22% | |||
Face Value | $ 6,300,000 | ||
Value | $ 6,300,000 | ||
% of Partners Capital | 1.81% | ||
Maturity Date | Jul. 29, 2015 | ||
Interest Rate/Yield | [1] | 0.22% | |
Fixed Income Investments | Corporate Notes | The Toronto-Dominion Bank, 0.10% | |||
Face Value | $ 13,000,000 | ||
Value | $ 12,998,787 | ||
% of Partners Capital | 3.72% | ||
Maturity Date | Jul. 10, 2015 | ||
Interest Rate/Yield | [1] | 0.10% | |
Fixed Income Investments | Corporate Notes | Victory Receivables Corporation, 0.17% | |||
Face Value | $ 9,700,000 | ||
Value | $ 9,698,739 | ||
% of Partners Capital | 2.78% | ||
Maturity Date | Jul. 22, 2015 | ||
Interest Rate/Yield | [1] | 0.17% | |
Fixed Income Investments | Corporate Notes | Working Capital Management Co. L.P., 0.16% | |||
Face Value | $ 8,150,000 | ||
Value | $ 8,149,230 | ||
% of Partners Capital | 2.34% | ||
Maturity Date | Jul. 9, 2015 | ||
Interest Rate/Yield | [1] | 0.16% | |
[1] | The rate reported is the effective yield at time of purchase. |
SCHEDULE OF INVESTMENTS (Decemb
SCHEDULE OF INVESTMENTS (December 31, 2014) - USD ($) | 12 Months Ended | |
Dec. 31, 2014 | Jun. 30, 2015 | |
Value | $ 312,933,103 | $ 311,646,904 |
At Cost | 312,979,365 | 311,646,611 |
Fixed Income Investments | ||
Value | $ 312,933,103 | $ 311,646,904 |
% of Partners Capital | 83.48% | 89.43% |
At Cost | $ 312,979,365 | $ 311,646,611 |
Fixed Income Investments | Corporate Notes | ||
Value | $ 120,602,218 | $ 130,842,802 |
% of Partners Capital | 32.16% | 37.55% |
At Cost | $ 120,602,218 | $ 130,842,803 |
Fixed Income Investments | Corporate Notes | Victory Receivables Corporation, 0.13% | ||
Face Value | 9,400,000 | |
Value | $ 9,398,747 | |
% of Partners Capital | 2.51% | |
Maturity Date | Jan. 8, 2015 | |
Interest Rate/Yield | 0.13% | |
Fixed Income Investments | Corporate Notes | Bank of Montreal, 0.10% | ||
Face Value | $ 9,800,000 | |
Value | $ 9,800,000 | |
% of Partners Capital | 2.61% | |
Maturity Date | Jan. 2, 2015 | |
Interest Rate/Yield | 0.10% | |
Fixed Income Investments | Corporate Notes | Exxon Mobil Corporation, 0.09% | ||
Face Value | $ 12,500,000 | |
Value | $ 12,499,042 | |
% of Partners Capital | 3.33% | |
Maturity Date | Jan. 9, 2015 | |
Interest Rate/Yield | 0.09% | |
Fixed Income Investments | Corporate Notes | General Electric Capital Corporation, 0.07% | ||
Face Value | $ 12,500,000 | |
Value | $ 12,499,132 | |
% of Partners Capital | 3.33% | |
Maturity Date | Jan. 9, 2015 | |
Interest Rate/Yield | 0.07% | |
Fixed Income Investments | Corporate Notes | Johnson & Johnson, 0.07% | ||
Face Value | $ 12,500,000 | |
Value | $ 12,499,343 | |
% of Partners Capital | 3.33% | |
Maturity Date | Jan. 5, 2015 | |
Interest Rate/Yield | 0.07% | |
Fixed Income Investments | Corporate Notes | Liberty Street Funding LLC, 0.16% | ||
Face Value | $ 4,000,000 | |
Value | $ 3,999,549 | |
% of Partners Capital | 1.07% | |
Maturity Date | Jan. 14, 2015 | |
Interest Rate/Yield | 0.16% | |
Fixed Income Investments | Corporate Notes | National Rural Utilities Finance Corporation, 0.13% | ||
Face Value | $ 3,360,000 | |
Value | $ 3,359,621 | |
% of Partners Capital | 0.90% | |
Maturity Date | Jan. 14, 2015 | |
Interest Rate/Yield | 0.13% | |
Fixed Income Investments | Corporate Notes | The Norinchukin Bank, 0.17% | ||
Face Value | $ 9,400,000 | |
Value | $ 9,400,000 | |
% of Partners Capital | 2.51% | |
Maturity Date | Jan. 29, 2015 | |
Interest Rate/Yield | 0.17% | |
Fixed Income Investments | Corporate Notes | Scotia Holdings (US) Inc., 0.13% | ||
Face Value | $ 11,000,000 | |
Value | $ 10,998,930 | |
% of Partners Capital | 2.93% | |
Maturity Date | Jan. 9, 2015 | |
Interest Rate/Yield | 0.13% | |
Fixed Income Investments | Corporate Notes | The Shizuoka Bank, Ltd., 0.19% | ||
Face Value | $ 6,250,000 | |
Value | $ 6,250,000 | |
% of Partners Capital | 1.67% | |
Maturity Date | Jan. 6, 2015 | |
Interest Rate/Yield | 0.19% | |
Fixed Income Investments | Corporate Notes | Sumitomo Mitsui Banking Corporation, 0.16% | ||
Face Value | $ 10,900,000 | |
Value | $ 10,900,000 | |
% of Partners Capital | 2.91% | |
Maturity Date | Jan. 2, 2015 | |
Interest Rate/Yield | 0.16% | |
Fixed Income Investments | Corporate Notes | Toronto Dominion Holdings (U.S.A.), Inc., 0.09% | ||
Face Value | $ 12,500,000 | |
Value | $ 12,498,639 | |
% of Partners Capital | 3.33% | |
Maturity Date | Jan. 16, 2015 | |
Interest Rate/Yield | 0.09% | |
Fixed Income Investments | Corporate Notes | Working Capital Management Co. L.P., 0.10% | ||
Face Value | $ 6,500,000 | |
Value | $ 6,499,215 | |
% of Partners Capital | 1.73% | |
Maturity Date | Jan. 2, 2015 | |
Interest Rate/Yield | 0.10% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | ||
Value | $ 192,330,885 | |
% of Partners Capital | 51.32% | |
At Cost | $ 192,377,147 | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | MarFederalFarmCreditBankDiscNote0.01Member | ||
Face Value | 14,038,000 | |
Value | $ 14,037,996 | |
% of Partners Capital | 3.75% | |
Maturity Date | Jan. 2, 2015 | |
Interest Rate/Yield | 0.01% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank Disc Note, 0.02% | ||
Face Value | $ 28,900,000 | |
Value | $ 28,899,769 | |
% of Partners Capital | 7.71% | |
Maturity Date | Jan. 16, 2015 | |
Interest Rate/Yield | 0.02% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank Disc Note, 0.09% | ||
Face Value | $ 15,600,000 | |
Value | $ 15,599,782 | |
% of Partners Capital | 4.16% | |
Maturity Date | Jan. 28, 2015 | |
Interest Rate/Yield | 0.09% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.25% | ||
Face Value | $ 12,000,000 | |
Value | $ 12,000,312 | |
% of Partners Capital | 3.20% | |
Maturity Date | Jan. 16, 2015 | |
Interest Rate/Yield | 0.25% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | MarFederalHomeLoanBank0.13Member | ||
Face Value | $ 12,000,000 | |
Value | $ 11,998,236 | |
% of Partners Capital | 3.20% | |
Maturity Date | Mar. 20, 2015 | |
Interest Rate/Yield | 0.13% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% | ||
Face Value | $ 12,000,000 | |
Value | $ 11,997,888 | |
% of Partners Capital | 3.20% | |
Maturity Date | Aug. 19, 2015 | |
Interest Rate/Yield | 0.20% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% 1 | ||
Face Value | $ 10,000,000 | |
Value | $ 9,994,210 | |
% of Partners Capital | 2.67% | |
Maturity Date | Sep. 18, 2015 | |
Interest Rate/Yield | 0.20% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.20% 2 | ||
Face Value | $ 15,000,000 | |
Value | $ 14,981,910 | |
% of Partners Capital | 4.00% | |
Maturity Date | Dec. 1, 2015 | |
Interest Rate/Yield | 0.20% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Bank, 0.13% 1 | ||
Face Value | $ 9,400,000 | |
Value | $ 9,376,387 | |
% of Partners Capital | 2.50% | |
Maturity Date | Dec. 8, 2015 | |
Interest Rate/Yield | 0.13% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Mortgage Corporation, 0.50% | ||
Face Value | $ 9,400,000 | |
Value | $ 9,408,930 | |
% of Partners Capital | 2.51% | |
Maturity Date | Apr. 17, 2015 | |
Interest Rate/Yield | 0.50% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal Home Loan Mortgage Corporation, 0.50% 1 | ||
Face Value | $ 10,000,000 | |
Value | $ 10,017,500 | |
% of Partners Capital | 2.67% | |
Maturity Date | Aug. 28, 2015 | |
Interest Rate/Yield | 0.50% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association Disc Note, 0.14% | ||
Face Value | $ 9,000,000 | |
Value | $ 8,996,625 | |
% of Partners Capital | 2.40% | |
Maturity Date | Jun. 1, 2015 | |
Interest Rate/Yield | 0.14% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association, 0.38% | ||
Face Value | $ 20,000,000 | |
Value | $ 20,008,800 | |
% of Partners Capital | 5.34% | |
Maturity Date | Mar. 16, 2015 | |
Interest Rate/Yield | 0.38% | |
Fixed Income Investments | U.S. Government Agency Bonds and Notes | Federal National Mortgage Association, 0.50% | ||
Face Value | $ 15,000,000 | |
Value | $ 15,012,540 | |
% of Partners Capital | 4.01% | |
Maturity Date | Jul. 2, 2015 | |
Interest Rate/Yield | 0.50% | |
Futures Contracts | ||
Value | $ 12,671,271 | $ (1,513,502) |
% of Partners Capital | 3.39% | (0.43%) |
Futures Contracts | Short Futures Contacts | ||
Value | $ 7,232,408 | $ 266,994 |
% of Partners Capital | 1.94% | 0.08% |
Futures Contracts | Long Futures Contracts | ||
Value | $ 5,438,863 | $ (1,780,496) |
% of Partners Capital | 1.45% | (0.51%) |
Forward Contracts | ||
Value | $ (1,988,730) | $ 433,293 |
% of Partners Capital | (0.53%) | 0.12% |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS, FUTURES CONTRACTS | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015USD ($)Integer | Dec. 31, 2014USD ($)Integer | |||
Value | $ 311,646,904 | $ 312,933,103 | ||
Futures Contracts | ||||
Number of Contracts | Integer | 15,193 | 16,401 | ||
Value | $ (1,513,502) | $ 12,671,271 | ||
% of Partners Capital | (0.43%) | 3.39% | ||
Futures Contracts | Long Futures Contracts | ||||
Number of Contracts | Integer | 11,021 | 12,934 | ||
Value | $ (1,780,496) | $ 5,438,863 | ||
% of Partners Capital | (0.51%) | 1.45% | ||
Futures Contracts | Long Futures Contracts | Agriculture | ||||
Number of Contracts | Integer | 409 | 572 | ||
Value | $ 731,666 | $ (311,960) | ||
% of Partners Capital | 0.21% | (0.08%) | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Mar. 1, 2016 | May 1, 2015 | ||
Futures Contracts | Long Futures Contracts | Currencies | ||||
Number of Contracts | Integer | 454 | 18 | ||
Value | $ 489,369 | $ 33,467 | ||
% of Partners Capital | 0.14% | 0.01% | ||
Expiration Dates | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Long Futures Contracts | Energy | ||||
Number of Contracts | Integer | 200 | 130 | ||
Value | $ (112,874) | $ (1,232,680) | ||
% of Partners Capital | (0.03%) | (0.33%) | ||
Expiration Dates, Lower Range | Jul. 15, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Sep. 1, 2015 | Feb. 1, 2015 | ||
Futures Contracts | Long Futures Contracts | Interest Rates | ||||
Number of Contracts | Integer | 7,624 | 9,279 | ||
Value | $ 443,618 | $ 4,966,154 | ||
% of Partners Capital | 0.13% | 1.33% | ||
Expiration Dates, Lower Range | Sep. 1, 2015 | Mar. 1, 2015 | ||
Expiration Dates, Upper Range | Sep. 1, 2018 | Mar. 1, 2018 | ||
Futures Contracts | Long Futures Contracts | Metals | ||||
Number of Contracts | Integer | 266 | 360 | ||
Value | $ (1,296,371) | $ (1,222,257) | ||
% of Partners Capital | (0.37%) | (0.33%) | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Long Futures Contracts | Stock Indices | ||||
Number of Contracts | Integer | 1,539 | 1,661 | ||
Value | $ (2,277,724) | $ 2,742,025 | ||
% of Partners Capital | (0.66%) | 0.73% | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Long Futures Contracts | Treasury Rates | ||||
Number of Contracts | Integer | 529 | 914 | ||
Value | $ 241,820 | $ 464,114 | ||
% of Partners Capital | 0.07% | 0.12% | ||
Expiration Dates | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Short Futures Contacts | ||||
Number of Contracts | Integer | 4,172 | 3,467 | ||
Value | $ 266,994 | $ 7,232,408 | ||
% of Partners Capital | 0.08% | 1.94% | ||
Futures Contracts | Short Futures Contacts | Agriculture | ||||
Number of Contracts | Integer | 1,126 | 466 | ||
Value | $ (1,871,671) | $ 582,000 | ||
% of Partners Capital | (0.54%) | 0.16% | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Feb. 1, 2015 | ||
Expiration Dates, Upper Range | Feb. 1, 2016 | May 1, 2015 | ||
Futures Contracts | Short Futures Contacts | Currencies | ||||
Number of Contracts | Integer | 1,389 | 1,901 | ||
Value | $ 444,136 | $ 2,766,377 | ||
% of Partners Capital | 0.13% | 0.74% | ||
Expiration Dates | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Short Futures Contacts | Energy | ||||
Number of Contracts | Integer | 430 | 353 | ||
Value | $ 238,576 | $ 2,776,446 | ||
% of Partners Capital | 0.07% | 0.74% | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Sep. 1, 2015 | Mar. 1, 2015 | ||
Futures Contracts | Short Futures Contacts | Interest Rates | ||||
Number of Contracts | Integer | 19 | 77 | ||
Value | $ 163 | $ (16,451) | ||
% of Partners Capital | 0.00% | 0.00% | ||
Expiration Dates, Lower Range | Dec. 1, 2015 | Mar. 1, 2015 | ||
Expiration Dates, Upper Range | Mar. 1, 2016 | Jun. 1, 2015 | ||
Futures Contracts | Short Futures Contacts | Metals | ||||
Number of Contracts | Integer | 790 | 553 | ||
Value | $ 1,974,993 | $ 1,322,130 | ||
% of Partners Capital | 0.57% | 0.35% | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Jun. 1, 2016 | Apr. 1, 2015 | ||
Futures Contracts | Short Futures Contacts | Stock Indices | ||||
Number of Contracts | Integer | 112 | 117 | ||
Value | $ (30,375) | $ (198,094) | ||
% of Partners Capital | (0.01%) | (0.05%) | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | |||
Expiration Dates, Upper Range | Sep. 1, 2015 | |||
Expiration Dates | Mar. 1, 2015 | |||
Futures Contracts | Short Futures Contacts | Treasury Rates | ||||
Number of Contracts | Integer | 306 | |||
Value | $ (488,828) | |||
% of Partners Capital | (0.14%) | |||
Expiration Dates | Sep. 1, 2015 | |||
Forward Contracts | ||||
Value | $ 433,293 | $ (1,988,730) | ||
% of Partners Capital | 0.12% | (0.53%) | ||
Forward Contracts | Long Forward Contracts | Currencies | ||||
Number of Contracts | Integer | 158,127,891 | [1] | 208,246,832 | [2] |
Value | $ (67,869) | $ (3,900,907) | ||
% of Partners Capital | (0.02%) | (1.04%) | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Dec. 1, 2015 | Jun. 1, 2015 | ||
Forward Contracts | Short Forward Contracts | Currencies | ||||
Number of Contracts | Integer | 157,694,599 | [1] | 189,600,144 | [2] |
Value | $ 501,162 | $ 1,912,177 | ||
% of Partners Capital | 0.14% | 0.51% | ||
Expiration Dates, Lower Range | Jul. 1, 2015 | Jan. 1, 2015 | ||
Expiration Dates, Upper Range | Dec. 1, 2015 | Jun. 1, 2015 | ||
Fixed Income Investments | ||||
Value | $ 311,646,904 | $ 312,933,103 | ||
% of Partners Capital | 89.43% | 83.48% | ||
Fixed Income Investments | Corporate Notes | ||||
Value | $ 130,842,802 | $ 120,602,218 | ||
% of Partners Capital | 37.55% | 32.16% | ||
Fixed Income Investments | U.S. Government Agency Bonds and Notes | ||||
Value | $ 192,330,885 | |||
% of Partners Capital | 51.32% | |||
[1] | Represents the June 30, 2015 U.S. dollar equivalent of the notional amount bought or sold | |||
[2] | Represents the December 31, 2014 U.S. dollar equivalent of the notional amount bought or sold. |
STATEMENTS OF INCOME (LOSS)
STATEMENTS OF INCOME (LOSS) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Gain (loss) on trading of derivatives contracts | ||||
Realized | $ (14,693,079) | $ 23,365,168 | $ 10,997,560 | $ 30,168,173 |
Change in unrealized | (9,285,336) | (665,248) | (11,762,750) | (8,538,409) |
Brokerage commissions | (1,405,788) | (1,703,514) | (2,842,826) | (3,505,415) |
Gain (loss) from trading derivatives contracts | (25,384,203) | 20,996,406 | (3,608,016) | 18,124,349 |
Gain (loss) on trading of securities | ||||
Realized | 25,620 | 10,512 | 53,796 | 30,058 |
Change in unrealized | 13,302 | (20,731) | 46,555 | (14,384) |
Gain (loss) from trading securities | 38,922 | (10,219) | 100,351 | 15,674 |
Gain (loss) on trading of foreign currency | ||||
Realized | 187,342 | 44,458 | 74,148 | 55,772 |
Change in unrealized | 27,991 | 37,696 | 60,306 | 29,662 |
Gain (loss) from trading foreign currency | 215,333 | 82,154 | 134,454 | 85,434 |
Total trading gains (losses) | (25,129,948) | 21,068,341 | (3,373,211) | 18,225,457 |
Income | ||||
Interest income | 93,988 | 98,192 | 186,897 | 207,256 |
Expenses | ||||
Management fee | 1,018,368 | 1,204,925 | 2,059,584 | 2,487,108 |
Service fees | 949,496 | 1,093,851 | 1,943,936 | 2,242,760 |
Advisory fee | 880,432 | 1,065,052 | 1,780,612 | 2,187,325 |
Professional fees | 307,723 | 362,901 | 618,683 | 749,430 |
Administrative fee | $ 214,714 | 246,656 | 434,118 | 511,570 |
Incentive fee | 3,719,986 | 4,338,981 | 3,725,461 | |
Interest expense | $ 3,664 | 14,063 | 4,813 | 19,116 |
Other expenses | (37,152) | 87,389 | 111,131 | 223,699 |
Total expenses | 3,337,245 | 7,794,823 | 11,291,858 | 12,146,469 |
Net investment loss | (3,243,257) | (7,696,631) | (11,104,961) | (11,939,213) |
NET INCOME (LOSS) | $ (28,373,205) | $ 13,371,710 | $ (14,478,172) | $ 6,286,244 |
STATEMENTS OF CHANGES IN PARTNE
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) - USD ($) | Total | Limited Partners, Original Class A | Limited Partners, Original Class B | Limited Partners, Special Interests | Limited Partners, Class A | Limited Partners, Class B | Limited Partners, Institutional Interests | General Partner |
Balances at Dec. 31, 2013 | $ 495,513,874 | $ 33,385,742 | $ 5,810,054 | $ 32,782,374 | $ 203,837,473 | $ 127,156,033 | $ 92,538,637 | $ 3,561 |
Transfers | $ (217,101) | (699,807) | 127,956 | 788,952 | ||||
Capital additions | $ 13,958,807 | 7,681,848 | 1,130,954 | 5,146,005 | ||||
Capital withdrawals | (113,283,884) | $ (8,057,988) | $ (844,620) | $ (33,328,245) | (31,947,896) | (28,184,644) | (10,920,491) | |
Net investment loss | (11,939,213) | (692,982) | (97,500) | (565,752) | (6,324,595) | (2,592,608) | (1,665,694) | $ (82) |
Net realized gain (loss) from investments (net of brokerage commissions) | 26,748,588 | 1,652,043 | 303,876 | 1,949,650 | 11,173,924 | 6,430,044 | 5,238,839 | 212 |
Net change in unrealized gain (loss) from investments | (8,523,131) | (523,379) | (100,090) | (620,926) | (3,561,647) | (2,046,490) | (1,670,531) | (68) |
Net income (loss) for the period | 6,286,244 | 435,682 | 106,286 | $ 762,972 | 1,287,682 | 1,790,946 | 1,902,614 | 62 |
Balances at Jun. 30, 2014 | 402,475,041 | 25,763,436 | 5,071,720 | 180,159,300 | 102,021,245 | 89,455,717 | 3,623 | |
Balances at Dec. 31, 2014 | $ 374,794,900 | 22,708,611 | 4,959,522 | $ 15,181,688 | 169,461,952 | 90,830,085 | 71,649,123 | $ 3,919 |
Transfers | (139,240) | $ 139,240 | (919,182) | 589,288 | 329,894 | |||
Capital additions | $ 16,581,967 | 95,333 | $ 446,790 | 12,308,304 | 1,885,980 | 1,845,560 | ||
Capital withdrawals | (28,404,303) | (587,078) | $ (261,352) | (11,465,465) | (11,582,468) | (4,507,940) | ||
Net investment loss | (11,104,961) | (607,644) | (108,467) | $ (316,303) | (6,173,335) | (2,326,485) | (1,572,623) | $ (104) |
Net realized gain (loss) from investments (net of brokerage commissions) | 8,282,678 | 498,295 | 111,780 | 312,690 | 3,606,195 | 2,160,708 | 1,592,926 | 84 |
Net change in unrealized gain (loss) from investments | (11,655,889) | (705,862) | (158,040) | (486,845) | (5,333,889) | (2,752,064) | (2,219,065) | (124) |
Net income (loss) for the period | (14,478,172) | (815,211) | (154,727) | (490,458) | (7,901,029) | (2,917,841) | (2,198,762) | (144) |
Balances at Jun. 30, 2015 | $ 348,494,392 | $ 21,262,415 | $ 4,682,683 | $ 15,138,020 | $ 161,484,580 | $ 78,805,044 | $ 67,117,875 | $ 3,775 |
1. ORGANIZATION AND SIGNIFICANT
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES A. General Description of the Partnership Altegris Winton Futures Fund, L.P. (f/k/a Winton Futures Fund, L.P. (US)) (the “Partnership”) was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership, as amended and restated from time to time (“Agreement”). The Partnership's general partner is Altegris Advisors, L.L.C. (“Advisors” or the “General Partner”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. B. Method of Reporting The Partnership is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The Partnership’s financial statements are presented in accordance with U.S. GAAP. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of June 30, 2015 and December 31, 2014, and reported amounts of income and expenses for the three and six months ended June 30, 2015 and 2014, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material. The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the condensed financial statements for the interim period. 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. 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 recla s The Partnership values futures and options on futures contracts at the closing price of the contrac t’s Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy. The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government bonds are categorized in Levels 1 or 2 of the fair value hierarchy. As of June 30, 2015 or December 31, 2014, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models. The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. 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. corporate notes 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 ended June 30, 2015 ended December 31, 2014 The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2015 and December 31, 2014: Balance as of June 30, 2015 Level 1 Level 2 Level 3 June 30, 2015 Assets: Futures contracts (1) $ 5,811,403 $ - $ - $ 5,811,403 Forward currency contracts (1) - 1,198,706 - 1,198,706 U.S. Government agency bonds and notes 180,804,102 - - 180,804,102 Corporate notes - 130,842,802 - 130,842,802 $ 186,615,505 $ 132,041,508 $ - $ 318,657,013 Liabilities: Futures contracts (1) $ (7,324,905) $ - $ - $ (7,324,905) Forward currency contracts (1) - (765,413) - (765,413) $ (7,324,905) $ (765,413) $ - $ (8,090,318) Balance as of December 31, 2014 Level 1 Level 2 Level 3 December 31, 2014 Assets: Futures contracts (1) $ 17,390,894 $ - $ - $ 17,390,894 Forward currency contracts (1) - 2,167,485 - 2,167,485 U.S. Government agency bonds and notes 192,330,885 - - 192,330,885 Corporate notes - 120,602,218 - 120,602,218 $ 209,721,779 $ 122,769,703 $ - $ 332,491,482 Liabilities: Futures contracts (1) $ (4,719,623) $ - $ - $ (4,719,623) Forward currency contracts (1) - (4,156,215) - (4,156,215) $ (4,719,623) $ (4,156,215) $ - $ (8,875,838) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. For the six month period ended June 30, 2015 and the year ended December 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2015 and the year ended December 31, 2014, there were no Level 3 securities. D. Investment Transactions and Investment Income Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis. Gains or losses on futures contracts, options on futures contracts and forward currency contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are incurred as an expense when contracts are opened, and are recognized as trading gains and losses. Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, sales and maturities of futures contracts in foreign markets and foreign currency forward contracts, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year end, resulting from changes in the exchange rates. JPMorgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian. Société Générale commodity broker the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”). E. Option Contracts Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold. As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option. As the writer of a put option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received . 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 June 30, 2015 and December 31, 2014 the Partnership did not hold any option contracts. F. Futures Contracts The Partnership may engage in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain/loss on futures contracts. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at June 30, 2015 and December 31, 2014 are reflected within the Condensed Schedules of Investments. G. Forward currency contracts Forward currency contracts may be entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized appreciation or depreciation. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at June 30, 2015 and December 31, 2014 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 Statement of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statement of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statement of Income (Loss). I. Cash Restricted cash is held as maintenance margin deposits for futures contracts. The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. J. Offering Costs Offering costs incurred in connection with the ongoing offering of the Partnership’s interests are borne by the Partnership. These costs include, but are not limited to, legal fees pertaining to updating the Partnership’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred. K. Income Taxes As an entity taxable as a partnership for the U.S. Federal Income tax purposes; the Partnership itself is not subject to Federal Income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses. The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of June 30, 2015 and December 31, 2014. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2011. The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of June 30, 2015 and December 31, 2014 and for the three and six months ended June 30, 2015 and 2014. |
2. PARTNERS' CAPITAL
2. PARTNERS' CAPITAL | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
PARTNERS' CAPITAL | NOTE 2 - PARTNERS’ CAPITAL A. Capital Accounts and Allocation of Income and Losses The Partnership accounts for subscriptions and redemptions on a per partner capital account basis. The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”). Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the Limited Partners based on their respective capital accounts as of the end of each month, in which the items accrue pursuant to the terms of the Partnership’s Agreement 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 |
3. RELATED PARTY TRANSACTIONS
3. RELATED PARTY TRANSACTIONS | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
RELATED PARTY TRANSACTIONS | NOTE 3 - RELATED PARTY TRANSACTIONS A. General Partner Management Fee The General Partner receives a monthly management fee from the Partnership equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% (0.50% annually) for Special Interests of the Partnership's 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 six months ended June 30, 2015 and 2014 are shown on the Statements of Income (Loss) as Management Fee. B. Administrative Fee The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and six months ended June 30, 2015, administrative fees for Class A Interests were $143,149 and $286,704, respectively and administrative fees for Class B Interests were $71,565 and $147,414, respectively. For the three and six months ended June 30, 2014, administrative fees for Class A Interests were $155,895 and $321,241, respectively and administrative fees for Class B Interests were $90,761 and $190,329, respectively. General Partner’s Interest, Special Interests and Institutional Interests did not get charged the administrative fee. C. Altegris Investments, Inc. and Altegris Futures, L.L.C. Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC. Altegris Clearing Solutions, L.L.C. (“Altegris Clearing Solutions”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Clearing Solutions, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and Altegris Clearing Solutions, 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. At June 30, 2015 and December 31, 2014, respectively, the Partnership had commissions and brokerage fees payable to Altegris Clearing Solutions of $351,526 and $ 416,134 , and service fees payable to Altegris Investments of $46,909 and $ 50,980 , respectively. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and six months ended June 30, 2015 and 2014: Three months Six months Three months Six months ended ended ended ended June 30, 2015 June 30, 2015 June 30, 2014 June 30, 2014 Altegris Futures - Brokerage Commission fees $ 1,168,198 $ 2,329,565 $ 1,349,544 $ 2,801,800 Altegris Investments- Service fees 144,446 296,430 164,620 339,034 Total $ 1,312,644 $ 2,625,995 $ 1,514,164 $ 3,140,834 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. |
4. ADVISORY CONTRACT
4. ADVISORY CONTRACT | 6 Months Ended |
Jun. 30, 2015 | |
Notes to Financial Statements | |
ADVISORY CONTRACT | NOTE 4 - ADVISORY CONTRACT The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Limited (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement). Total incentive fees earned by the Advisor for the three and six months ended June, 2015 and 2014 are shown on the Statements of Income (Loss). The Advisor receives a monthly management fee from the Partnership equal to 0.083% (1.00% annually) for Class A, Class B, and Institutional Interests of the Partnership's management fee net asset value. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three and six months ended June 30, 2015, management fees for Class A Interests were $433,783 and $868,829, respectively, management fees for Class B Interests were $216,864 and $446,726, respectively, management fees for Original Class B Interests were $12,398 and $25,061, respectively, management fees for Special Interests were $39,395 and $78,324, respectively and management fees for Institutional Interests were $177,992 and $361,672, respectively. For the three and six months ended June 30, 2014, management fees for Class A Interests were $472,409 and $973,458, respectively, management fees for Class B Interests were $275,033 and $576,754, respectively, management fees for Original Class B Interests were $12,830 and $26,708, respectively, management fees for Special Interests were $82,218 and $163,016, respectively and management fees for Institutional Interests were $222,562 and $447,389, respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee. |
5. SERVICE FEES
5. SERVICE FEES | 6 Months Ended |
Jun. 30, 2015 | |
Notes to Financial Statements | |
SERVICE FEES | NOTE 5 - SERVICE FEES As compensation for the continuing services of selling agents to the Limited Partners, Original Class A Interests and Class A Interests pay the selling agents an ongoing monthly payment of 0.166% (2% annually) of the net asset value of interests sold by the agents that are outstanding at month-end. As compensation for the continuing services of selling agents to the Limited Partners holding Institutional Interests, the selling agents may elect the Institutional Interests to pay the selling agents an ongoing monthly payment of 0.0417% (0.50% annually) of the net asset value of Institutional Interests sold by the agents that are outstanding at month-end. For the three and six months ended June 30, 2015, service fees for General PartnerÂ’s Interest, were $19 and $39, respectively, service fees for Class A Interests were $836,986 and $1,711,821, respectively, service fees for Original Class A Interests were $109,665 and $226,286, respectively and service fees for Institutional Interests were $2,826 and $5,790, respectively. For the three and six months ended June 30, 2014, service fees for General PartnerÂ’s Interest, were $18 and $36, respectively, service fees for Class A Interests were $947,594 and $1,936,206, respectively, service fees for Original Class A Interests were $141,878 and $297,945, respectively and service fees for Institutional Interests were $4,361 and $8,573, respectively. Class B, Original Class B and Special Interests did not get charged the service fees. |
6. BROKERAGE COMMISSIONS
6. BROKERAGE COMMISSIONS | 6 Months Ended |
Jun. 30, 2015 | |
Brokers and Dealers [Abstract] | |
BROKERAGE COMMISSIONS | NOTE 6 - BROKERAGE COMMISSIONS The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected on the Statements of Income (Loss) as Brokerage Commissions. The Partnership pays to its clearing brokers a monthly brokerage commission equal to the greater of: (1) actual brokerage commissions, which are based upon trading volume, or (2) a flat rate of 0.125% (1.5% annually) (the "Minimum Amount") of the Partnership's management fee net asset value. If actual brokerage commissions paid to the Clearing Broker are less than the Minimum Amount, the Partnership will pay to the introducing broker, the difference. However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions. |
7. FINANCIAL DERIVATIVE INSTRUM
7. FINANCIAL DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
FINANCIAL DERIVATIVE INSTRUMENTS | NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS The Partnership engages in the speculative trading of futures, options on futures, and forward contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging The following presents the fair value of derivative contracts at June 30, 2015 and December 31, 2014. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statement of Financial Condition. June 30, 2015 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 956,804 $ (2,096,809) $ (1,140,005) Currencies 1,456,773 (523,268) 933,505 Energy 261,552 (135,850) 125,702 Interest Rates 910,876 (467,095) 443,781 Metals 1,974,993 (1,296,371) 678,622 Stock Indices 8,585 (2,316,684) (2,308,099) Treasury Rates 241,820 (488,828) (247,008) $ 5,811,403 $ (7,324,905) $ (1,513,502) Forward Currency Contracts $ 1,198,706 $ (765,413) $ 433,293 Total Gross Fair Value of Derivatives Contracts $ 7,010,109 $ (8,090,318) $ (1,080,209) December 31, 2014 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 717,593 $ (447,553) $ 270,040 Currencies 2,814,919 (15,075) 2,799,844 Energy 2,780,157 (1,236,391) 1,543,766 Interest Rates 5,942,063 (992,360) 4,949,703 Metals 1,322,342 (1,222,469) 99,873 Stock Indices 3,282,258 (738,327) 2,543,931 Treasury Rates 531,562 (67,448) 464,114 $ 17,390,894 $ (4,719,623) $ 12,671,271 Forward Currency Contracts $ 2,167,485 $ (4,156,215) $ (1,988,730) Total Gross Fair Value of Derivatives Contracts $ 19,558,379 $ (8,875,838) $ 10,682,541 The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2015 and 2014. 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. Three Months ended June 30, 2015 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed Futures Contracts Agricultural $ 938,647 $ (2,400,576) Currencies (6,454,879) 649,874 Energy (4,329,448) (545,865) Interest Rates (1,944,949) (4,723,790) Metals (1,988,172) 2,060,542 Stock Indices (643,785) (3,091,094) Treasury Rates 734,677 (1,920,550) $ (13,687,909) $ (9,971,459) 30,586 Forward Currency Contracts $ (1,005,170) $ 686,123 $ 137,517,459,979 (1) Total gain (loss) from derivatives contracts $ (14,693,079) $ (9,285,336) Six Months ended June 30, 2015 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed Futures Contracts Agricultural $ 882,322 $ (1,410,045) Currencies 4,920,807 (1,866,339) Energy (3,017,324) (1,418,064) Interest Rates 5,892,299 (4,505,922) Metals (2,701,136) 578,749 Stock Indices 8,221,953 (4,852,030) Treasury Rates 925,944 (711,122) $ 15,124,865 $ (14,184,773) 54,957 Forward Currency Contracts $ (4,127,305) $ 2,422,023 $ 357,857,330,982 (1) Total gain (loss) from derivatives contracts $ 10,997,560 $ (11,762,750) (1) Represents the notional amount bought or sold during the three and six months ended June 30, 2015. The number of contracts closed using average cost for long contracts of 574,858 and 559,847 and short contracts of (476,822) and (506,231) for the three and six months ended June 30, 2015. Three Months ended June 30, 2014 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed (1) Futures Contracts Agricultural $ 1,903,548 $ (5,236,737) Currencies (3,294,705) 3,233,937 Energy (190,511) 452,074 Interest Rates 7,606,535 5,901,234 Metals 486,081 (2,724,935) Stock Indices 10,159,120 (1,568,428) Treasury Rates 2,731,530 963,139 $ 19,401,598 $ 1,020,284 32,782 Forward Currency Contracts $ 3,963,570 $ (1,685,532) $349,230,926,360 (1) Total gain (loss) from derivatives contracts $ 23,365,168 $ (665,248) Six Months ended June 30, 2014 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed (1) Futures Contracts Agricultural $ 1,180,594 $ (2,524,561) Currencies 1,639,905 (1,575,056) Energy 402,853 131,115 Interest Rates 12,846,758 9,090,852 Metals (3,035,476) (3,088,034) Stock Indices 13,346,817 (11,128,920) Treasury Rates 1,683,593 712,107 $ 28,065,044 $ (8,382,497) 71,185 Forward Currency Contracts $ 2,103,129 $ (155,912) 622,110,236,778 (1) Total gain (loss) from derivatives contracts $ 30,168,173 $ (8,538,409) (1) Represents the notional amount bought or sold during the three and six months ended June 30, 2014. The number of contracts closed using average cost for long contracts of 769,722 and 1,487,245 and short contracts of (795,838) and (1,478,794) for the three and six months ended June 30, 2014. 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. The following table summarizes the disclosure requirements for offsetting assets and liabilities: Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statement of Financial Condition As of June 30, 2015 Gross Gross Amounts Net Amounts Amounts of of Recognized of Assets Presented Recognized Liabilities in the Statement Financial Cash Collateral Description Assets Available to Offset of Financial Condition Instruments Received (1) Net Amount Forward contracts $ 1,198,706 $ (765,413) $ 433,293 $ - $ - $ 433,293 Commodity futures contracts 5,811,403 (5,811,403) - - - - Total $ 7,010,109 $ (6,576,816) $ 433,293 $ - $ - $ 433,293 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statement of Financial Condition As of June 30, 2015 Gross Gross Amounts Net Amounts Amounts of of Recognized of Liabilities Presented Recognized Assets in the Statement Financial Cash Collateral Description Liabilities Available to Offset of Financial Condition Instruments Pledged (1) Net Amount Forward contracts $ (765,413) $ 765,413 $ - $ - $ - $ - Commodity futures contracts (7,324,905) 5,811,403 (1,513,502) - - (1,513,502) Total $ (8,090,318) $ 6,576,816 $ (1,513,502) $ - $ - $ (1,513,502) Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statement of Financial Condition As of December 31, 2014 Gross Gross Net Amounts Amounts of Amounts of of Assets Presented Recognized Recognized in the Statement Financial Cash Collateral Description Assets Liabilities available to offset of Financial Condition Instruments Received (1) Net Amount Forward contracts $2,167,485 $(2,167,485) - - - - Commodity futures contracts 17,390,894 (4,719,623) 12,671,271 - - 12,671,271 Total $19,558,379 $(6,887,108) $12,671,271 - - $12,671,271 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statement of Financial Condition As of December 31, 2014 Gross Gross Net Amounts Amounts of Amounts of of Liabilities Presented Recognized Recognized in the Statement Financial Cash Collateral Description Liabilities Liabilities available to offset of Financial Condition Instruments Pledged (1) Net Amount Forward contracts $(4,156,215) $2,167,485 $(1,988,730) - - $(1,988,730) Commodity futures contracts (4,719,623) 4,719,623 - - - - Total $(8,875,838) $6,887,108 $(1,988,730) - - $(1,988,730) (1) Does not include maintenance margin deposits held at the Clearing Broker of $31,768,461 for 2015 and $30,202,135 for 2014, respectively. |
8. FINANCIAL INSTRUMENTS, OFF-B
8. FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES | 6 Months Ended |
Jun. 30, 2015 | |
Investments, All Other Investments [Abstract] | |
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES | NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk). The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts. All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any. The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business. The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions. |
9. INDEMNIFICATIONS
9. INDEMNIFICATIONS | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
INDEMNIFICATIONS | 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 PartnershipÂ’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. |
10. FINANCIAL HIGHLIGHTS
10. FINANCIAL HIGHLIGHTS | 6 Months Ended |
Jun. 30, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
FINANCIAL HIGHLIGHTS | NOTE 10 - FINANCIAL HIGHLIGHTS The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2015 and 2014. This information has been derived from information presented in the financial statements. Three months ended June 30, 2015 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees (7.24)% (7.02)% (6.96)% (7.67)% (7.21)% (7.02)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (7.24)% (7.02)% (6.96)% (7.67)% (7.21)% (7.02)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.02% 2.09% 1.82% 4.93% 2.95% 2.10% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.02% 2.09% 1.82% 4.93% 2.95% 2.10% Net investment (loss) (1) (2) (2.92)% (1.99)% (1.72)% (4.83)% (2.85)% (1.99)% Six months ended June 30, 2015 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees (2.53)% (2.05)% (1.93)% (3.41)% (2.45)% (2.06)% Incentive fees (1.15)% (1.15)% (1.16)% (1.15)% (1.16)% (1.16)% Total return after incentive fees (3.68)% 3.20% (3.09)% (4.56)% (3.61)% (3.22)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.15% 2.17% 1.91% 5.05% 3.04% 2.19% Incentive fees (3) 1.16% 1.16% 1.13% 1.15% 1.19% 1.16% Total expenses 4.31% 3.33% 3.04% 6.20% 4.23% 3.35% Net investment (loss) (1) (2) (3.05)% (2.07)% (1.81)% (4.94)% (2.94)% (2.09)% Three months ended June 30, 2014 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees 3.89% 4.15% 4.21% 3.42% 3.94% 4.14% Incentive fees (0.83)% (0.83)% (0.83)% (0.83)% (0.83)% (0.83)% Total return after incentive fees 3.06% 3.32% 3.38% 2.59% 3.11% 3.31% Ratio to average net asset value Expenses prior to incentive fees (2) 3.25% 2.17% 2.87% 5.08% 3.06% 2.20% Incentive fees (3) 0.84% 0.82% 0.81% 0.83% 0.84% 0.83% Total expenses 4.09% 2.99% 3.68% 5.91% 3.90% 3.03% Net investment (loss) (1) (2) (3.16)% (2.08)% (2.74)% (4.99)% (2.97)% (2.12)% Six months ended June 30, 2014 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees 2.54% 3.05% 3.18% 1.61% 2.63% 3.04% Incentive fees (0.81)% (0.82)% (0.82)% (0.81)% (0.82)% (0.82)% Total return after incentive fees 1.73% 2.23% 2.36% 0.80% 1.81% 2.22% Ratio to average net asset value Expenses prior to incentive fees (2) 3.24% 2.19% 2.31% 5.08% 3.06% 2.21% Incentive fees (3) 0.79% 0.79% 0.82% 0.81% 0.81% 0.82% Total expenses 4.03% 2.98% 3.13% 5.89% 3.87% 3.03% Net investment (loss) (1) (2) (3.14)% (2.10)% (2.20)% (4.99)% (2.97)% (2.13)% Total return and the ratios to average net asset value are calculated for each class of Limited PartnersÂ’ capital taken as a whole. An individual Limited PartnerÂ’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. |
11. SUBSEQUENT EVENTS
11. SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | NOTE 11 - SUBSEQUENT EVENTS Management of the Partnership evaluated subsequent events through the date these financial statements were issued. From July 1, 2015 through August 14, 2015, the Partnership had subscriptions of $3,507,756 and redemptions of $5,602,729. |
1. ORGANIZATION AND SIGNIFICA20
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Method of Reporting | B. Method of Reporting The Partnership is an investment company in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The Partnership’s financial statements are presented in accordance with U.S. GAAP. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of June 30, 2015 and December 31, 2014, and reported amounts of income and expenses for the three and six months ended June 30, 2015 and 2014, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material. The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the condensed financial statements for the interim period. |
Fair Value | 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. 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 recla s The Partnership values futures and options on futures contracts at the closing price of the contrac t’s Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy. The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government bonds are categorized in Levels 1 or 2 of the fair value hierarchy. As of June 30, 2015 or December 31, 2014, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models. The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. 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. corporate notes 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 ended June 30, 2015 ended December 31, 2014 The following table presents information about the Partnership’s assets and liabilities measured at fair value as of June 30, 2015 and December 31, 2014: Balance as of June 30, 2015 Level 1 Level 2 Level 3 June 30, 2015 Assets: Futures contracts (1) $ 5,811,403 $ - $ - $ 5,811,403 Forward currency contracts (1) - 1,198,706 - 1,198,706 U.S. Government agency bonds and notes 180,804,102 - - 180,804,102 Corporate notes - 130,842,802 - 130,842,802 $ 186,615,505 $ 132,041,508 $ - $ 318,657,013 Liabilities: Futures contracts (1) $ (7,324,905) $ - $ - $ (7,324,905) Forward currency contracts (1) - (765,413) - (765,413) $ (7,324,905) $ (765,413) $ - $ (8,090,318) Balance as of December 31, 2014 Level 1 Level 2 Level 3 December 31, 2014 Assets: Futures contracts (1) $ 17,390,894 $ - $ - $ 17,390,894 Forward currency contracts (1) - 2,167,485 - 2,167,485 U.S. Government agency bonds and notes 192,330,885 - - 192,330,885 Corporate notes - 120,602,218 - 120,602,218 $ 209,721,779 $ 122,769,703 $ - $ 332,491,482 Liabilities: Futures contracts (1) $ (4,719,623) $ - $ - $ (4,719,623) Forward currency contracts (1) - (4,156,215) - (4,156,215) $ (4,719,623) $ (4,156,215) $ - $ (8,875,838) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. For the six month period ended June 30, 2015 and the year ended December 31, 2014, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2015 and the year ended December 31, 2014, there were no Level 3 securities. |
Investment Transactions and Investment Income | 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 incurred as an expense when contracts are opened, and are recognized as trading gains and losses. Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, sales and maturities of futures contracts in foreign markets and foreign currency forward contracts, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year end, resulting from changes in the exchange rates. JPMorgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian. Société Générale commodity broker the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”). |
Option Contracts | E. Option Contracts Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the Options Clearing Corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold. As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option. As the writer of a put option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received . 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 June 30, 2015 and December 31, 2014 the Partnership did not hold any option contracts. |
Futures Contracts | F. Futures Contracts The Partnership may engage in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain/loss on futures contracts. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at June 30, 2015 and December 31, 2014 are reflected within the Condensed Schedules of Investments. |
Forward currency contracts | G. Forward currency contracts Forward currency contracts may be entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized appreciation or depreciation. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at June 30, 2015 and December 31, 2014 are reflected within the Condensed Schedules of Investments. |
Foreign Currency Transactions | H. Foreign Currency Transactions The PartnershipÂ’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statement of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statement of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statement of Income (Loss). |
Cash | I. Cash Restricted cash is held as maintenance margin deposits for futures contracts. The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. |
Offering Costs | J. Offering Costs Offering costs incurred in connection with the ongoing offering of the PartnershipÂ’s interests are borne by the Partnership. These costs include, but are not limited to, legal fees pertaining to updating the PartnershipÂ’s offering documents and materials, accounting and printing costs. These costs are charged as an expense when incurred. |
Income Taxes | K. Income Taxes As an entity taxable as a partnership for the U.S. Federal Income tax purposes; the Partnership itself is not subject to Federal Income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the PartnershipÂ’s income and expenses. The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partnersÂ’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of June 30, 2015 and December 31, 2014. However, the PartnershipÂ’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2011. The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of June 30, 2015 and December 31, 2014 and for the three and six months ended June 30, 2015 and 2014. |
1. ORGANIZATION AND SIGNIFICA21
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Partnership's assets and liabilities measured at fair value | Balance as of June 30, 2015 Level 1 Level 2 Level 3 June 30, 2015 Assets: Futures contracts (1) $ 5,811,403 $ - $ - $ 5,811,403 Forward currency contracts (1) - 1,198,706 - 1,198,706 U.S. Government agency bonds and notes 180,804,102 - - 180,804,102 Corporate notes - 130,842,802 - 130,842,802 $ 186,615,505 $ 132,041,508 $ - $ 318,657,013 Liabilities: Futures contracts (1) $ (7,324,905) $ - $ - $ (7,324,905) Forward currency contracts (1) - (765,413) - (765,413) $ (7,324,905) $ (765,413) $ - $ (8,090,318) Balance as of December 31, 2014 Level 1 Level 2 Level 3 December 31, 2014 Assets: Futures contracts (1) $ 17,390,894 $ - $ - $ 17,390,894 Forward currency contracts (1) - 2,167,485 - 2,167,485 U.S. Government agency bonds and notes 192,330,885 - - 192,330,885 Corporate notes - 120,602,218 - 120,602,218 $ 209,721,779 $ 122,769,703 $ - $ 332,491,482 Liabilities: Futures contracts (1) $ (4,719,623) $ - $ - $ (4,719,623) Forward currency contracts (1) - (4,156,215) - (4,156,215) $ (4,719,623) $ (4,156,215) $ - $ (8,875,838) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
3. RELATED PARTY TRANSACTIONS (
3. RELATED PARTY TRANSACTIONS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions Tables | |
Fees paid to Altegris Investments and Altegris Futures | Three months Six months Three months Six months ended ended ended ended June 30, 2015 June 30, 2015 June 30, 2014 June 30, 2014 Altegris Futures - Brokerage Commission fees $ 1,168,198 $ 2,329,565 $ 1,349,544 $ 2,801,800 Altegris Investments- Service fees 144,446 296,430 164,620 339,034 Total $ 1,312,644 $ 2,625,995 $ 1,514,164 $ 3,140,834 |
7. FINANCIAL DERIVATIVE INSTR23
7. FINANCIAL DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair value of derivative contracts | June 30, 2015 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 956,804 $ (2,096,809) $ (1,140,005) Currencies 1,456,773 (523,268) 933,505 Energy 261,552 (135,850) 125,702 Interest Rates 910,876 (467,095) 443,781 Metals 1,974,993 (1,296,371) 678,622 Stock Indices 8,585 (2,316,684) (2,308,099) Treasury Rates 241,820 (488,828) (247,008) $ 5,811,403 $ (7,324,905) $ (1,513,502) Forward Currency Contracts $ 1,198,706 $ (765,413) $ 433,293 Total Gross Fair Value of Derivatives Contracts $ 7,010,109 $ (8,090,318) $ (1,080,209) December 31, 2014 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 717,593 $ (447,553) $ 270,040 Currencies 2,814,919 (15,075) 2,799,844 Energy 2,780,157 (1,236,391) 1,543,766 Interest Rates 5,942,063 (992,360) 4,949,703 Metals 1,322,342 (1,222,469) 99,873 Stock Indices 3,282,258 (738,327) 2,543,931 Treasury Rates 531,562 (67,448) 464,114 $ 17,390,894 $ (4,719,623) $ 12,671,271 Forward Currency Contracts $ 2,167,485 $ (4,156,215) $ (1,988,730) Total Gross Fair Value of Derivatives Contracts $ 19,558,379 $ (8,875,838) $ 10,682,541 |
Trading results of the Partnership's derivative trading and information related to the volume of the Partnership's derivative activity | Three Months ended June 30, 2015 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed Futures Contracts Agricultural $ 938,647 $ (2,400,576) Currencies (6,454,879) 649,874 Energy (4,329,448) (545,865) Interest Rates (1,944,949) (4,723,790) Metals (1,988,172) 2,060,542 Stock Indices (643,785) (3,091,094) Treasury Rates 734,677 (1,920,550) $ (13,687,909) $ (9,971,459) 30,586 Forward Currency Contracts $ (1,005,170) $ 686,123 $ 137,517,459,979 (1) Total gain (loss) from derivatives contracts $ (14,693,079) $ (9,285,336) Six Months ended June 30, 2015 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed Futures Contracts Agricultural $ 882,322 $ (1,410,045) Currencies 4,920,807 (1,866,339) Energy (3,017,324) (1,418,064) Interest Rates 5,892,299 (4,505,922) Metals (2,701,136) 578,749 Stock Indices 8,221,953 (4,852,030) Treasury Rates 925,944 (711,122) $ 15,124,865 $ (14,184,773) 54,957 Forward Currency Contracts $ (4,127,305) $ 2,422,023 $ 357,857,330,982 (1) Total gain (loss) from derivatives contracts $ 10,997,560 $ (11,762,750) (1) Represents the notional amount bought or sold during the three and six months ended June 30, 2015. The number of contracts closed using average cost for long contracts of 574,858 and 559,847 and short contracts of (476,822) and (506,231) for the three and six months ended June 30, 2015. Three Months ended June 30, 2014 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed (1) Futures Contracts Agricultural $ 1,903,548 $ (5,236,737) Currencies (3,294,705) 3,233,937 Energy (190,511) 452,074 Interest Rates 7,606,535 5,901,234 Metals 486,081 (2,724,935) Stock Indices 10,159,120 (1,568,428) Treasury Rates 2,731,530 963,139 $ 19,401,598 $ 1,020,284 32,782 Forward Currency Contracts $ 3,963,570 $ (1,685,532) $349,230,926,360 (1) Total gain (loss) from derivatives contracts $ 23,365,168 $ (665,248) Six Months ended June 30, 2014 Type of Change in Number of Derivatives Contracts Realized Unrealized Contracts Closed (1) Futures Contracts Agricultural $ 1,180,594 $ (2,524,561) Currencies 1,639,905 (1,575,056) Energy 402,853 131,115 Interest Rates 12,846,758 9,090,852 Metals (3,035,476) (3,088,034) Stock Indices 13,346,817 (11,128,920) Treasury Rates 1,683,593 712,107 $ 28,065,044 $ (8,382,497) 71,185 Forward Currency Contracts $ 2,103,129 $ (155,912) 622,110,236,778 (1) Total gain (loss) from derivatives contracts $ 30,168,173 $ (8,538,409) |
Disclosures about Offsetting Assets and Liabilities | Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statement of Financial Condition As of June 30, 2015 Gross Gross Amounts Net Amounts Amounts of of Recognized of Assets Presented Recognized Liabilities in the Statement Financial Cash Collateral Description Assets Available to Offset of Financial Condition Instruments Received (1) Net Amount Forward contracts $ 1,198,706 $ (765,413) $ 433,293 $ - $ - $ 433,293 Commodity futures contracts 5,811,403 (5,811,403) - - - - Total $ 7,010,109 $ (6,576,816) $ 433,293 $ - $ - $ 433,293 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statement of Financial Condition As of June 30, 2015 Gross Gross Amounts Net Amounts Amounts of of Recognized of Liabilities Presented Recognized Assets in the Statement Financial Cash Collateral Description Liabilities Available to Offset of Financial Condition Instruments Pledged (1) Net Amount Forward contracts $ (765,413) $ 765,413 $ - $ - $ - $ - Commodity futures contracts (7,324,905) 5,811,403 (1,513,502) - - (1,513,502) Total $ (8,090,318) $ 6,576,816 $ (1,513,502) $ - $ - $ (1,513,502) Offsetting the Financial Assets and Derivative Assets Gross Amounts Not Offset in the Statement of Financial Condition As of December 31, 2014 Gross Gross Net Amounts Amounts of Amounts of of Assets Presented Recognized Recognized in the Statement Financial Cash Collateral Description Assets Liabilities available to offset of Financial Condition Instruments Received (1) Net Amount Forward contracts $2,167,485 $(2,167,485) - - - - Commodity futures contracts 17,390,894 (4,719,623) 12,671,271 - - 12,671,271 Total $19,558,379 $(6,887,108) $12,671,271 - - $12,671,271 Offsetting the Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Statement of Financial Condition As of December 31, 2014 Gross Gross Net Amounts Amounts of Amounts of of Liabilities Presented Recognized Recognized in the Statement Financial Cash Collateral Description Liabilities Liabilities available to offset of Financial Condition Instruments Pledged (1) Net Amount Forward contracts $(4,156,215) $2,167,485 $(1,988,730) - - $(1,988,730) Commodity futures contracts (4,719,623) 4,719,623 - - - - Total $(8,875,838) $6,887,108 $(1,988,730) - - $(1,988,730) (1) Does not include maintenance margin deposits held at the Clearing Broker of $37,768,461 for 2015 and $30,202,135 for 2014, respectively. |
10. FINANCIAL HIGHLIGHTS (Table
10. FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Financial highlights of the Partnership | Three months ended June 30, 2015 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees (7.24)% (7.02)% (6.96)% (7.67)% (7.21)% (7.02)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (7.24)% (7.02)% (6.96)% (7.67)% (7.21)% (7.02)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.02% 2.09% 1.82% 4.93% 2.95% 2.10% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.02% 2.09% 1.82% 4.93% 2.95% 2.10% Net investment (loss) (1) (2) (2.92)% (1.99)% (1.72)% (4.83)% (2.85)% (1.99)% Six months ended June 30, 2015 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees (2.53)% (2.05)% (1.93)% (3.41)% (2.45)% (2.06)% Incentive fees (1.15)% (1.15)% (1.16)% (1.15)% (1.16)% (1.16)% Total return after incentive fees (3.68)% 3.20% (3.09)% (4.56)% (3.61)% (3.22)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.15% 2.17% 1.91% 5.05% 3.04% 2.19% Incentive fees (3) 1.16% 1.16% 1.13% 1.15% 1.19% 1.16% Total expenses 4.31% 3.33% 3.04% 6.20% 4.23% 3.35% Net investment (loss) (1) (2) (3.05)% (2.07)% (1.81)% (4.94)% (2.94)% (2.09)% Three months ended June 30, 2014 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees 3.89% 4.15% 4.21% 3.42% 3.94% 4.14% Incentive fees (0.83)% (0.83)% (0.83)% (0.83)% (0.83)% (0.83)% Total return after incentive fees 3.06% 3.32% 3.38% 2.59% 3.11% 3.31% Ratio to average net asset value Expenses prior to incentive fees (2) 3.25% 2.17% 2.87% 5.08% 3.06% 2.20% Incentive fees (3) 0.84% 0.82% 0.81% 0.83% 0.84% 0.83% Total expenses 4.09% 2.99% 3.68% 5.91% 3.90% 3.03% Net investment (loss) (1) (2) (3.16)% (2.08)% (2.74)% (4.99)% (2.97)% (2.12)% Six months ended June 30, 2014 Original Original Special Institutional Class A Class B Interests Class A Class B Interests Total return for Limited Partners (3) Return prior to incentive fees 2.54% 3.05% 3.18% 1.61% 2.63% 3.04% Incentive fees (0.81)% (0.82)% (0.82)% (0.81)% (0.82)% (0.82)% Total return after incentive fees 1.73% 2.23% 2.36% 0.80% 1.81% 2.22% Ratio to average net asset value Expenses prior to incentive fees (2) 3.24% 2.19% 2.31% 5.08% 3.06% 2.21% Incentive fees (3) 0.79% 0.79% 0.82% 0.81% 0.81% 0.82% Total expenses 4.03% 2.98% 3.13% 5.89% 3.87% 3.03% Net investment (loss) (1) (2) (3.14)% (2.10)% (2.20)% (4.99)% (2.97)% (2.13)% Total return and the ratios to average net asset value are calculated for each class of Limited PartnersÂ’ capital taken as a whole. An individual Limited PartnerÂ’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. |
1. ORGANIZATION AND SIGNIFICA25
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Partnership's assets and liabilities at fair value (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 | ||
Assets | ||||
Futures contracts | $ 5,811,403 | $ 17,390,894 | ||
Forward currency contracts | 1,198,706 | 2,167,485 | ||
U.S. Government agency bonds and notes | 180,804,102 | 192,330,885 | ||
Corporate notes | 130,842,802 | 120,602,218 | ||
Total Assets | 318,657,013 | 332,491,482 | ||
Liabilities | ||||
Futures contracts | (7,324,905) | (4,719,623) | ||
Forward currency contracts | (765,413) | (4,156,215) | ||
Total Liabilities | (8,090,318) | (8,875,838) | ||
Level 1 | ||||
Assets | ||||
Futures contracts | [1] | $ 5,811,403 | 17,390,894 | |
Forward currency contracts | ||||
U.S. Government agency bonds and notes | $ 180,804,102 | 192,330,885 | ||
Corporate notes | ||||
Total Assets | $ 186,615,505 | 209,721,779 | ||
Liabilities | ||||
Futures contracts | $ (7,324,905) | $ (4,719,623) | [1] | |
Forward currency contracts | ||||
Total Liabilities | $ (7,324,905) | $ (4,719,623) | ||
Level 2 | ||||
Assets | ||||
Futures contracts | ||||
Forward currency contracts | $ 1,198,706 | $ 2,167,485 | [1] | |
U.S. Government agency bonds and notes | ||||
Corporate notes | $ 130,842,802 | $ 120,602,218 | ||
Total Assets | $ 132,041,508 | $ 122,769,703 | ||
Liabilities | ||||
Futures contracts | ||||
Forward currency contracts | $ (765,413) | $ (4,156,215) | [1] | |
Total Liabilities | $ (765,413) | $ (4,156,215) | ||
Level 3 | ||||
Assets | ||||
Futures contracts | ||||
Forward currency contracts | ||||
U.S. Government agency bonds and notes | ||||
Corporate notes | ||||
Total Assets | ||||
Liabilities | ||||
Futures contracts | ||||
Forward currency contracts | ||||
Total Liabilities | ||||
[1] | See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
1. ORGANIZATION AND SIGNIFICA26
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Notes to Financial Statements | ||
Transfers between Level 1 and Level 2 assets and liabilities | $ 0 | $ 0 |
Recognized interest expense or penalties | 0 | 0 |
Liability for unrecognized tax benefits | $ 0 | $ 0 |
3. RELATED PARTY TRANSACTIONS -
3. RELATED PARTY TRANSACTIONS - Fees paid to related parties (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Notes to Financial Statements | ||||
Altegris Futures - Brokerage Commission fees | $ 1,168,198 | $ 1,349,544 | $ 2,329,565 | $ 2,801,800 |
Altegris Investments - Service fees | 144,446 | 164,620 | 296,430 | 339,034 |
Total | $ 1,312,644 | $ 1,514,164 | $ 2,625,995 | $ 3,140,834 |
3. RELATED PARTY TRANSACTION (D
3. RELATED PARTY TRANSACTION (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Partnership Monthly Brokerage Charges | 0.125% | |||
Partnership Annual Brokerage Charges | 1.50% | |||
Administrative fee | $ 214,714 | $ 246,656 | $ 434,118 | $ 511,570 |
Commissions and brokerage fees payable | 351,526 | 351,526 | ||
Service fees payable | $ 46,909 | $ 46,909 | ||
Limited Partners, Original Class A | ||||
Monthly Management Fee | 0.0625% | |||
Annual Management Fee | 0.75% | |||
Limited Partners, Original Class B | ||||
Monthly Management Fee | 0.146% | |||
Annual Management Fee | 1.75% | |||
Limited Partners, Special Interests | ||||
Monthly Management Fee | 0.0417% | |||
Annual Management Fee | 0.50% | |||
Limited Partners, Class A | ||||
Monthly Management Fee | 0.104% | |||
Annual Management Fee | 1.25% | |||
Monthly Administrative Fee | 0.0275% | 0.0275% | ||
Annual Administrative Fee | 0.33% | 0.33% | ||
Administrative fee | $ 143,149 | 155,895 | $ 286,704 | 321,241 |
Limited Partners, Class B | ||||
Monthly Management Fee | 0.104% | |||
Annual Management Fee | 1.25% | |||
Monthly Administrative Fee | 0.0275% | 0.0275% | ||
Annual Administrative Fee | 0.33% | 0.33% | ||
Administrative fee | $ 71,565 | $ 90,761 | $ 147,414 | $ 190,329 |
Limited Partners, Institutional Interests | ||||
Monthly Management Fee | 0.0625% | |||
Annual Management Fee | 0.75% |
4. ADVISORY CONTRACT (Details N
4. ADVISORY CONTRACT (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Management fee | $ 1,018,368 | $ 1,204,925 | $ 2,059,584 | $ 2,487,108 |
Limited Partners, Class A | ||||
Advisor monthly management fee | 0.083% | 0.083% | 0.083% | 0.083% |
Advisor annual management fee | 1.00% | 1.00% | 1.00% | 1.00% |
Management fee | $ 433,783 | $ 472,409 | $ 868,829 | $ 973,458 |
Limited Partners, Class B | ||||
Advisor monthly management fee | 0.083% | 0.083% | 0.083% | 0.083% |
Advisor annual management fee | 1.00% | 1.00% | 1.00% | 1.00% |
Management fee | $ 216,864 | $ 275,033 | $ 446,726 | $ 576,754 |
Limited Partners, Original Class B | ||||
Management fee | 12,398 | 12,830 | 25,061 | 26,708 |
Limited Partners, Special Interests | ||||
Management fee | $ 39,395 | $ 82,218 | $ 78,324 | $ 163,016 |
Limited Partners, Institutional Interests | ||||
Advisor monthly management fee | 0.083% | 0.083% | 0.083% | 0.083% |
Advisor annual management fee | 1.00% | 1.00% | 1.00% | 1.00% |
Management fee | $ 177,992 | $ 222,562 | $ 361,672 | $ 447,389 |
5. SERVICE FEES (Details Narrat
5. SERVICE FEES (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Limited Partners, Original Class A | ||||
Ongoing Monthly Sales Service Fees | 0.166% | 0.166% | 0.166% | 0.166% |
Annual Sales Service Fees | 2.00% | 2.00% | 2.00% | 2.00% |
Service fees | $ 109,665 | $ 141,878 | $ 226,286 | $ 297,945 |
Limited Partners, Institutional Interests | ||||
Ongoing Monthly Sales Service Fees | 0.0417% | 0.0417% | 0.0417% | 0.0417% |
Annual Sales Service Fees | 0.50% | 0.50% | 0.50% | 0.50% |
Service fees | $ 2,826 | $ 4,361 | $ 5,790 | $ 8,573 |
General Partner | ||||
Service fees | $ 19 | $ 18 | $ 39 | $ 36 |
Limited Partners, Class A | ||||
Ongoing Monthly Sales Service Fees | 0.166% | 0.166% | 0.166% | 0.166% |
Annual Sales Service Fees | 2.00% | 2.00% | 2.00% | 2.00% |
Service fees | $ 836,986 | $ 947,594 | $ 1,711,821 | $ 1,936,206 |
7. FINANCIAL DERIVATIVE INSTR31
7. FINANCIAL DERIVATIVE INSTRUMENTS - Fair value of derivative contracts (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Asset Derivatives Fair Value | $ 7,010,109 | $ 19,558,379 |
Liability Derivatives Fair Value | (8,090,318) | (8,875,838) |
Net Fair Value | (1,080,209) | 10,682,541 |
Agriculture | ||
Asset Derivatives Fair Value | 956,804 | 717,593 |
Liability Derivatives Fair Value | (2,096,809) | (447,553) |
Net Fair Value | (1,140,005) | 270,040 |
Currencies | ||
Asset Derivatives Fair Value | 1,456,773 | 2,814,919 |
Liability Derivatives Fair Value | (523,268) | (15,075) |
Net Fair Value | 933,505 | 2,799,844 |
Energy | ||
Asset Derivatives Fair Value | 261,552 | 2,780,157 |
Liability Derivatives Fair Value | (135,850) | (1,236,391) |
Net Fair Value | 125,702 | 1,543,766 |
Interest Rates | ||
Asset Derivatives Fair Value | 910,876 | 5,942,063 |
Liability Derivatives Fair Value | (467,095) | (992,360) |
Net Fair Value | 443,781 | 4,949,703 |
Metals | ||
Asset Derivatives Fair Value | 1,974,993 | 1,322,342 |
Liability Derivatives Fair Value | (1,296,371) | (1,222,469) |
Net Fair Value | 678,622 | 99,873 |
Stock Indices | ||
Asset Derivatives Fair Value | 8,585 | 3,282,258 |
Liability Derivatives Fair Value | (2,316,684) | (738,327) |
Net Fair Value | (2,308,099) | 2,543,931 |
Treasury Rates | ||
Asset Derivatives Fair Value | 241,820 | 531,562 |
Liability Derivatives Fair Value | (488,828) | (67,448) |
Net Fair Value | (247,008) | 464,114 |
Futures Contracts | ||
Asset Derivatives Fair Value | 5,811,403 | 17,390,894 |
Liability Derivatives Fair Value | (7,324,905) | (4,719,623) |
Net Fair Value | (1,513,502) | 12,671,271 |
Forward Contracts | ||
Asset Derivatives Fair Value | 1,198,706 | 2,167,485 |
Liability Derivatives Fair Value | (765,413) | (4,156,215) |
Net Fair Value | $ 433,293 | $ (1,988,730) |
7. FINANCIAL DERIVATIVE INSTR32
7. FINANCIAL DERIVATIVE INSTRUMENTS - Trading results of derivative trading (Details) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2015USD ($)Integer | Jun. 30, 2014USD ($)Integer | Jun. 30, 2015USD ($)Integer | Jun. 30, 2014USD ($)Integer | |||||
Realized | $ (14,693,079) | $ 23,365,168 | $ 10,997,560 | $ 30,168,173 | ||||
Change in Unrealized | (9,285,336) | (665,248) | (11,762,750) | (8,538,409) | ||||
Agriculture | ||||||||
Realized | 938,647 | 1,903,548 | 882,322 | 1,180,594 | ||||
Change in Unrealized | (2,400,576) | (5,236,737) | (1,410,045) | (2,524,561) | ||||
Currencies | ||||||||
Realized | (6,454,879) | (3,294,705) | 4,920,807 | 1,639,905 | ||||
Change in Unrealized | 649,874 | 3,233,937 | (1,866,339) | (1,575,056) | ||||
Energy | ||||||||
Realized | (4,329,448) | (190,511) | (3,017,324) | 402,853 | ||||
Change in Unrealized | (545,865) | 452,074 | (1,418,064) | 131,115 | ||||
Interest Rates | ||||||||
Realized | (1,944,949) | 7,606,535 | 5,892,299 | 12,846,758 | ||||
Change in Unrealized | (4,723,790) | 5,901,234 | (4,505,922) | 9,090,852 | ||||
Metals | ||||||||
Realized | (1,988,172) | 486,081 | (2,701,136) | (3,035,476) | ||||
Change in Unrealized | 2,060,542 | (2,724,935) | 578,749 | (3,088,034) | ||||
Stock Indices | ||||||||
Realized | (643,785) | 10,159,120 | 8,221,953 | 13,346,817 | ||||
Change in Unrealized | (3,091,094) | (1,568,428) | (4,852,030) | (11,128,920) | ||||
Treasury Rates | ||||||||
Realized | 734,677 | 2,731,530 | 925,944 | 1,683,593 | ||||
Change in Unrealized | (1,920,550) | 963,139 | (711,122) | 712,107 | ||||
Futures Contracts | ||||||||
Realized | (13,687,909) | 19,401,598 | 15,124,865 | 28,065,044 | ||||
Change in Unrealized | $ (9,971,459) | $ 1,020,284 | $ (14,184,773) | $ (8,382,497) | ||||
Number of Contracts Closed | Integer | 30,586 | 32,782 | 54,957 | 71,185 | ||||
Forward Contracts | ||||||||
Realized | $ (1,005,170) | $ 3,963,570 | $ (4,127,305) | $ 2,103,129 | ||||
Change in Unrealized | $ 686,123 | $ (1,685,532) | $ 2,422,023 | $ (155,912) | ||||
Number of Contracts Closed | 137,517,459,979 | [1] | 349,230,926,360 | [2] | 357,857,330,982 | [1] | 622,110,236,778 | [2] |
[1] | Represents the notional amount bought or sold during the three and six months ended June 30, 2015. The number of contracts closed using average cost for long contracts of 574,858 and 559,847 and short contracts of (476,822) and (506,231) for the three and six months ended June 30, 2015. | |||||||
[2] | Represents the notional amount bought or sold during the three and six months ended June 30, 2014. The number of contracts closed using average cost for long contracts of 769,722 and 1,487,245 and short contracts of (795,838) and (1,478,794) for the three and six months ended June 30, 2014. |
7. FINANCIAL DERIVATIVE INSTR33
7. FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - USD ($) | Jun. 30, 2015 | Dec. 31, 2014 |
Gross Amounts of Recognized Assets available to offset | $ 7,010,109 | $ 19,558,379 |
Gross Amounts Offset in the Statement of Financial Condition | (6,576,816) | (6,887,108) |
Net Amounts of Assets Presented in the Statement of Financial Condition | $ 433,293 | $ 12,671,271 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Received | ||
Net Amount | $ 433,293 | $ 12,671,271 |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities available to offset | (8,090,318) | (8,875,838) |
Gross Amounts Offset in the Statement of Financial Condition | 6,576,816 | 6,887,108 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | $ (1,513,502) | $ (1,988,730) |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Pledged | ||
Net Amount | $ (1,513,502) | $ (1,988,730) |
Forward Contracts | ||
Gross Amounts of Recognized Assets available to offset | 1,198,706 | 2,167,485 |
Gross Amounts Offset in the Statement of Financial Condition | (765,413) | $ (2,167,485) |
Net Amounts of Assets Presented in the Statement of Financial Condition | $ 433,293 | |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Received | ||
Net Amount | $ 433,293 | |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities available to offset | (765,413) | $ (4,156,215) |
Gross Amounts Offset in the Statement of Financial Condition | $ 765,413 | 2,167,485 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | $ (1,988,730) | |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Pledged | ||
Net Amount | $ (1,988,730) | |
Futures Contracts | ||
Gross Amounts of Recognized Assets available to offset | $ 5,811,403 | 17,390,894 |
Gross Amounts Offset in the Statement of Financial Condition | $ (5,811,403) | (4,719,623) |
Net Amounts of Assets Presented in the Statement of Financial Condition | $ 12,671,271 | |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Received | ||
Net Amount | $ 12,671,271 | |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities available to offset | $ (7,324,905) | (4,719,623) |
Gross Amounts Offset in the Statement of Financial Condition | 5,811,403 | $ 4,719,623 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | $ (1,513,502) | |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | ||
Cash Collateral Pledged | ||
Net Amount | $ (1,513,502) | |
[1] | Does not include maintenance margin deposits held at the Clearing Broker of $31,768,461 for 2015 and $30,202,135 for 2014, respectively. |
7. FINANCIAL DERIVATIVE INSTR34
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details Narrative) - Integer | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Notes to Financial Statements | ||||
Number of long contracts closed using average cost | 574,858 | 769,722 | 559,847 | 1,487,245 |
Number of short contracts closed using average cost | (476,822) | (795,838) | (506,231) | (1,478,797) |
10. FINANCIAL HIGHLIGHTS - Fina
10. FINANCIAL HIGHLIGHTS - Financial highlights of the Partnership (Details) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Limited Partners, Original Class A | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (7.24%) | 3.89% | (2.53%) | 2.54% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.15%) | (0.81%) |
Total return after incentive fees | [1] | (7.24%) | 3.06% | (3.68%) | 1.73% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 3.02% | 3.25% | 3.15% | 3.24% |
Incentive fees | [1] | 0.00% | 0.84% | 1.16% | 0.79% |
Total expenses | 3.02% | 4.09% | 4.31% | 4.03% | |
Net investment (loss) | [2],[3] | (2.92%) | (3.16%) | (3.05%) | (3.14%) |
Limited Partners, Original Class B | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (7.02%) | 4.15% | (2.05%) | 3.05% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.15%) | (0.82%) |
Total return after incentive fees | [1] | (7.02%) | 3.32% | (3.20%) | 2.23% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 2.09% | 2.17% | 2.17% | 2.19% |
Incentive fees | [1] | 0.00% | 0.82% | 1.16% | 0.79% |
Total expenses | 2.09% | 2.99% | 3.33% | 2.98% | |
Net investment (loss) | [2],[3] | (1.99%) | (2.08%) | (2.07%) | (2.10%) |
Limited Partners, Special Interests | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (6.96%) | 4.21% | (1.93%) | 3.18% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.16%) | (0.82%) |
Total return after incentive fees | [1] | (6.96%) | 3.38% | (3.09%) | 2.36% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 1.82% | 2.87% | 1.91% | 2.31% |
Incentive fees | [1] | 0.00% | 0.81% | 1.13% | 0.82% |
Total expenses | 1.82% | 3.68% | 3.04% | 3.13% | |
Net investment (loss) | [2],[3] | (1.72%) | (2.74%) | (1.81%) | (2.20%) |
Limited Partners, Class A | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (7.67%) | 3.42% | (3.41%) | 1.61% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.15%) | (0.81%) |
Total return after incentive fees | [1] | (7.67%) | 2.59% | (4.56%) | 0.80% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 4.93% | 5.08% | 5.05% | 5.08% |
Incentive fees | [1] | 0.00% | 0.83% | 1.15% | 0.81% |
Total expenses | 4.93% | 5.91% | 6.20% | 5.89% | |
Net investment (loss) | [2],[3] | (4.83%) | (4.99%) | (4.94%) | (4.99%) |
Limited Partners, Class B | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (7.21%) | 3.94% | (2.45%) | 2.63% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.16%) | (0.82%) |
Total return after incentive fees | [1] | (7.21%) | 3.11% | (3.61%) | 1.81% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 2.95% | 3.06% | 3.04% | 3.06% |
Incentive fees | [1] | 0.00% | 0.84% | 1.19% | 0.81% |
Total expenses | 2.95% | 3.90% | 4.23% | 3.87% | |
Net investment (loss) | [2],[3] | (2.85%) | (2.97%) | (2.94%) | (2.97%) |
Limited Partners, Institutional Interests | |||||
Total return for Limited Partners | |||||
Total return prior to incentive fees | [1] | (7.02%) | 4.14% | (2.06%) | 3.04% |
Incentive fees | [1] | 0.00% | (0.83%) | (1.16%) | (0.82%) |
Total return after incentive fees | [1] | (7.02%) | 3.31% | (3.22%) | 2.22% |
Ratio to average net asset value | |||||
Expenses prior to incentive fees | [2] | 2.10% | 2.20% | 2.19% | 2.21% |
Incentive fees | [1] | 0.00% | 0.83% | 1.16% | 0.82% |
Total expenses | 2.10% | 3.03% | 3.35% | 3.03% | |
Net investment (loss) | [2],[3] | (1.99%) | (2.12%) | (2.09%) | (2.13%) |
[1] | Not annualized. | ||||
[2] | Annualized. | ||||
[3] | Excludes incentive fee. |
Uncategorized Items - cik119841
Label | Element | Value |
ServiceFeesPayableToRelatedParty | cik1198415_ServiceFeesPayableToRelatedParty | $ 50,980 |
BrokerageFeePayableToRelatedParty | cik1198415_BrokerageFeePayableToRelatedParty | $ 416,134 |