Altegris Winton Futures Fund 10-Q 2017 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2017

OR

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

For the transition period from ________ to ___________

Commission File Number:  000-53348

ALTEGRIS WINTON FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

COLORADO (State or other jurisdiction of incorporation or organization) 84-1496732 (I.R.S. Employer Identification No.)

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

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

(858) 459-7040

(Registrant’s telephone number, including area code)

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

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes [X]    No [   ]

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes [X]    No [   ]

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

Large accelerated filer [   ] Accelerated filer [   ] Non-accelerated filer [X] Smaller reporting company [   ]

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [   ]    No [X]

TABLE OF CONTENTS
		Page
PART I – FINANCIAL INFORMATION		1
Item 1.	Financial Statements	1
	Statements of Financial Condition	1
	Condensed Schedules of Investments	2
	Statements of Income (Loss)	8
	Statements of Changes in Partners’ Capital (Net Asset Value)	9
	Notes to Financial Statements	10
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	28
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	30
Item 4.	Controls and Procedures	30
PART II – OTHER INFORMATION		30
Item 1.	Legal Proceedings	30
Item 1A.	Risk Factors	30
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	30
Item 3.	Defaults Upon Senior Securities	31
Item 4.	Mine Safety Disclosure	31
Item 5.	Other Information	31
Item 6.	Exhibits	31
Signatures		33
Rule 13a–14(a)/15d–14(a) Certifications		34
Section 1350 Certifications		36

PART I – FINANCIAL INFORMATION

ALTEGRIS WINTON FUTURES FUND, L.P.

FINANCIAL STATEMENTS

MARCH 31, 2017

ALTEGRIS WINTON FUTURES FUND, L.P.

TABLE OF CONTENTS

	PAGES
Financial Statements
Statements of Financial Condition	1
Condensed Schedules of Investments	2 - 7
Statements of Income (Loss)	8
Statements of Changes in Partners’ Capital (Net Asset Value)	9
Notes to Financial Statements	10 – 27

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2017 (Unaudited) and DECEMBER 31, 2016 (Audited)

	2017		2016
ASSETS
Equity in commodity broker account
Restricted cash	$	21,378,861	$	23,843,994
Restricted foreign currency (cost - $2,910,796 and $3,533,623)		2,934,629		3,445,473
Foreign currency (cost - $4,384,771 and $825,062)		4,420,673		804,481
Net unrealized gain on open futures contracts		-		3,073,294
Net unrealized gain on open forward contracts		856,966		349,091
		29,591,129		31,516,333
Cash		4,974,103		6,210,512
Investment securities at value (cost - $214,064,033 and $230,834,517)		214,063,794		230,831,657
Interest receivable		10,508		6,163
Total assets	$	248,639,534	$	268,564,665
LIABILITIES
Equity in commodity broker account
Net unrealized loss on open futures contracts	$	940,158	$	-
		940,158		-
Redemptions payable		11,944,523		9,874,875
Subscriptions received in advance		361,153		348,744
Brokerage commissions payable		287,125		303,597
Service fees payable		231,186		251,426
Management fee payable		215,964		234,362
Advisory fee payable		193,998		207,739
Administrative fee payable		43,924		48,252
Incentive fee payable		3,509		1,756
Other liabilities		477,301		610,655
Total liabilities		14,698,841		11,881,406
PARTNERS' CAPITAL (NET ASSET VALUE)
General Partner		3,712		3,699
Limited Partners		233,936,981		256,679,560
Total partners' capital (Net Asset Value)		233,940,693		256,683,259
Total liabilities and partners' capital	$	248,639,534	$	268,564,665

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2017 (Unaudited)

INVESTMENT SECURITIES
Face Value		Maturity Date	Description	Fair Value		% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	32,111,000	4/3/2017	Federal Farm Credit Bank Disc Note, 0.00%*	$	32,110,108		13.72	%
	30,600,000	4/3/2017	Federal Home Loan Bank Disc Note, 0.50%*		30,599,150		13.08	%
	11,000,000	4/5/2017	Federal Home Loan Bank Disc Note, 0.29%*		10,999,582		4.70	%
	12,468,000	4/19/2017	Federal Home Loan Bank Disc Note, 0.58%*		12,464,172		5.32	%
	15,000,000	4/26/2017	Federal Home Loan Bank Disc Note, 0.61%*		14,993,385		6.41	%
	15,000,000	5/3/2017	Federal Home Loan Bank Disc Note, 0.67%*		14,990,880		6.41	%
	15,000,000	5/16/2017	Federal Home Loan Bank Disc Note, 0.68%*		14,986,920		6.41	%
	600,000	7/3/2017	Federal Home Loan Bank Disc Note, 0.76%*		598,817		0.26	%
	5,000,000	8/9/2017	Federal Home Loan Bank Disc Note, 0.77%*		4,985,955		2.13	%
	1,550,000	8/23/2017	Federal Home Loan Bank Disc Note, 0.78%*		1,545,170		0.66	%
	1,000,000	4/3/2017	Federal Home Loan Mortgage Corporation Disc Note, 0.00%*		999,961		0.43	%
Total U.S. Government Agency Bonds and Notes (cost - $139,282,100)					139,274,100		59.53	%

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

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

MARCH 31, 2017 (Unaudited)

INVESTMENT SECURITIES (continued)
Face Value		Maturity Date	Description	Fair Value		% of Partners' Capital
Fixed Income Investments (continued)
Corporate Notes
$	6,421,000	4/27/2017	Apple Inc., 0.70%*	$	6,417,595		2.74	%
	6,419,000	4/5/2017	Banco del Estado de Chile, 0.75%		6,418,805		2.75	%
	6,421,000	4/21/2017	Bank of Montreal, 0.93%*		6,417,513		2.74	%
	8,561,000	4/12/2017	Colgate-Palmolive Company, 0.79%*		8,558,746		3.66	%
	2,140,000	4/10/2017	DCAT, LLC, 1.17%*		2,139,299		0.92	%
	4,280,000	4/3/2017	The Home Depot, Inc., 0.83%*		4,279,704		1.83	%
	6,419,000	4/7/2017	The Norinchukin Bank, 0.85%		6,418,932		2.75	%
	6,421,000	4/18/2017	PACCAR Financial Corp., 0.86%*		6,418,229		2.74	%
	6,419,000	4/5/2017	Sumitomo Mitsui Banking Corporation, 0.70%		6,418,854		2.74	%
	4,280,000	4/27/2017	Sumitomo Mitsui Trust Bank Ltd., 0.95%		4,280,090		1.83	%
	4,187,000	4/3/2017	Victory Receivables Corporation, 1.03%*		4,186,714		1.79	%
	6,421,000	4/21/2017	Victory Receivables Corporation, 1.10%*		6,416,880		2.74	%
	6,421,000	4/19/2017	Wal-Mart Stores Inc., 0.78%*		6,418,333		2.74	%
Total Corporate Notes (cost - $74,781,933)					74,789,694		31.97	%
Total investment securities (cost - $214,064,033)				$	214,063,794		91.50	%

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

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

MARCH 31, 2017 (Unaudited)

	Range of Expiration Dates	Number of Contracts		Fair Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Apr 17 - Aug 17		190	$	(24,750	)		(0.01	)%
Currencies	Jun-17		258		130,540			0.05	%
Energy	Apr 17 - Jun 17		91		2,673			0.00	%
Interest Rates	Jun 17 - Mar 20		897		(8,768	)		0.00	%
Metals	May 17 - Jul 17		221		53,252			0.02	%
Stock Indices	Apr 17 - Jun 17		2,579		742,512			0.32	%
Treasury Rates	Jun-17		455		41,477			0.02	%
Total long futures contracts			4,691		936,936			0.40	%
SHORT FUTURES CONTRACTS:
Agriculture	Apr 17 - Sep 17		707		537,420			0.23	%
Currencies	Jun-17		867		(1,150,135	)		(0.49	)%
Energy	Apr 17 - Jun 17		103		(170,456	)		(0.07	)%
Interest Rates	Jun 17 - Mar 20		2,231		(510,921	)		(0.22	)%
Metals	May 17 - Jul 17		134		(99,763	)		(0.05	)%
Stock Indices	Jun-17		284		(256,451	)		(0.10	)%
Treasury Rates	Jun-17		328		(226,788	)		(0.10	)%
Total short futures contracts			4,654		(1,877,094	)		(0.80	)%
Total futures contracts			9,345	$	(940,158	)		(0.40	)%
LONG FORWARD CONTRACTS:
Currencies	Apr 17 - Jun 17			$	961,909			0.41	%
SHORT FORWARD CONTRACTS:
Currencies	Apr 17 - Jun 17				(104,943	)		(0.04	)%
Total forward currency  contracts				$	856,966			0.37	%

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2016 (Audited)

INVESTMENT SECURITIES
Face Value		Maturity Date	Description	Fair Value		% of Partners' Capital
Fixed Income Investments
U.S. Government Agency Bonds and Notes
$	12,406,000	1/3/2017	Federal Farm Credit Bank Disc Note, 0.47%*	$	12,405,759		4.83	%
	20,347,000	1/3/2017	Federal Home Loan Bank Disc Note, 0.40%*		20,346,661		7.93	%
	15,000,000	1/25/2017	Federal Home Loan Bank Disc Note, 0.33%*		14,996,520		5.84	%
	1,150,000	2/1/2017	Federal Home Loan Bank Disc Note, 0.45%*		1,149,536		0.45	%
	15,000,000	2/14/2017	Federal Home Loan Bank Disc Note, 0.47%*		14,991,255		5.84	%
	7,500,000	2/15/2017	Federal Home Loan Bank Disc Note, 0.47%*		7,495,523		2.92	%
	15,000,000	3/10/2017	Federal Home Loan Bank Disc Note, 0.50%*		14,985,705		5.84	%
	12,000,000	3/24/2017	Federal Home Loan Bank Disc Note, 0.50%*		11,986,128		4.67	%
	15,000,000	5/3/2017	Federal Home Loan Bank Disc Note, 0.54%*		14,972,505		5.83	%
	2,000,000	1/3/2017	Federal Home Loan Mortgage Corporation Disc Note, 0.00%*		1,999,950		0.78	%
	12,000,000	2/7/2017	Federal Home Loan Mortgage Corporation Disc Note, 0.46%*		11,994,168		4.67	%
Total U.S. Government Agency Bonds and Notes (cost - $127,326,570)					127,323,710		49.60	%

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

See accompanying notes.

- 5 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2016 (Audited)

INVESTMENT SECURITIES (continued)
Face Value		Maturity Date	Description	Fair Value		% of Partners' Capital
Fixed Income Investments (continued)
Corporate Notes
$	6,920,000	1/3/2017	Apple Inc., 0.55%	$	6,917,616		2.70	%
	6,900,000	1/6/2017	Banco del Estado de Chile, 0.67%		6,900,000		2.69	%
	4,615,000	1/11/2017	DCAT, LLC, 0.90%		4,612,264		1.80	%
	6,920,000	1/6/2017	Exxon Mobil Corp., 0.48%		6,917,380		2.69	%
	11,400,000	1/3/2017	GE Capital Treasury Services (U.S.) LLC, 0.61%		11,399,240		4.44	%
	6,920,000	1/13/2017	MetLife Short Term Funding LLC, 0.59%		6,916,367		2.69	%
	4,615,000	1/13/2017	National Rural Utilities Cooperative Finance Corp., 0.50%		4,612,546		1.80	%
	6,925,000	1/4/2017	PACCAR Financial Corp., 0.61%		6,921,932		2.70	%
	6,920,000	1/11/2017	Sumitomo Mitsui Trust Bank, Limited, 0.67%		6,920,000		2.70	%
	4,615,000	1/5/2017	The Chiba Bank, Ltd., 0.71%		4,615,000		1.80	%
	11,400,000	1/3/2017	The Toronto-Dominion Bank, 0.57%		11,400,000		4.45	%
	6,605,000	1/3/2017	Thunder Bay Funding, LLC, 0.00%		6,604,633		2.57	%
	320,000	1/3/2017	Victory Receivables Corporation, 0.00%		319,980		0.12	%
	6,920,000	1/19/2017	Victory Receivables Corporation, 0.74%		6,915,387		2.69	%
	6,925,000	1/11/2017	Wal-Mart Stores Inc., 0.57%		6,923,650		2.70	%
	4,615,000	1/17/2017	Working Capital Management Co. L.P., 0.85%		4,611,952		1.80	%
Total Corporate Notes (cost - $103,507,947)					103,507,947		40.34	%
Total investment securities (cost - $230,834,517)				$	230,831,657		89.94	%

See accompanying notes.

- 6 -

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2016 (Audited)

	Range of Expiration Dates	Number of Contracts		Fair Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Jan 17 - May 17		390	$	(226,941	)		(0.09	)%
Energy	Jan 17 - Mar 17		169		172,229			0.07	%
Interest Rates	Mar 17 - Dec 19		922		248,490			0.10	%
Metals	Jan 17 - Mar 17		372		(225,649	)		(0.09	)%
Stock Indices	Jan 17 - Mar 17		2,398		1,015,371			0.39	%
Treasury Rates	Mar-17		220		18,539			0.01	%
Total long futures contracts			4,471		1,002,039			0.39	%
SHORT FUTURES CONTRACTS:
Agriculture	Feb 17 - May 17		749		907,422			0.36	%
Currencies	Mar-17		1,231		1,243,193			0.49	%
Energy	Jan 17 - Feb 17		63		(129,016	)		(0.05	)%
Interest Rates	Mar 17 - Dec 19		1,949		362,054			0.14	%
Metals	Jan 17 - Apr 17		455		(219,999	)		(0.09	)%
Stock Indices	Jan 17 - Mar 17		82		(14,579	)		(0.01	)%
Treasury Rates	Mar-17		312		(77,820	)		(0.03	)%
Total short futures contracts			4,841		2,071,255			0.81	%
Total futures contracts			9,312	$	3,073,294			1.20	%
LONG FORWARD CONTRACTS:
Currencies	Jan 17 - Mar 17			$	826,708			0.32	%
SHORT FORWARD CONTRACTS:
Currencies	Jan 17 - Mar 17				(477,617	)		(0.18	)%
Total forward currency  contracts				$	349,091			0.14	%

See accompanying notes.

- 7 -

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE MONTHS ENDED MARCH 31, 2017 AND 2016 (Unaudited)

	2017			2016
TRADING GAINS (LOSSES)
Gain (loss) on trading of derivatives contracts
Net realized	$	6,929,468		$	7,823,201
Net change in unrealized		(3,505,577	)		496,926
Brokerage commissions		(942,541	)		(1,242,283	)
Net gain (loss) from trading derivatives contracts		2,481,350			7,077,844
Gain (loss) on trading of securities
Net realized		141,335			61,897
Net change in unrealized		2,621			40,535
Net gain (loss) from trading securities		143,956			102,432
Gain (loss) on trading of foreign currency
Net realized		(7,091	)		62,477
Net change in unrealized		168,466			60,763
Net gain (loss) from trading foreign currency		161,375			123,240
Total trading gains (losses)		2,786,681			7,303,516
NET INVESTMENT INCOME (LOSS)
Income
Interest income		188,311			197,506
Expenses
Management fee		665,675			889,761
Service fees		657,894			873,376
Advisory fee		596,108			778,191
Professional fees		268,034			314,140
Administrative fee		135,604			184,329
Incentive fee		3,529			59,035
Interest expense		-			32,686
Other expenses	$	68,640		$	83,768
Total expenses		2,395,484			3,215,286
Net investment income (loss)		(2,207,173	)		(3,017,780	)
NET INCOME (LOSS)	$	579,508		$	4,285,736

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE THREE MONTHS ENDED MARCH 31, 2017 AND 2016 (Unaudited)

				Limited Partners
	Total			Original Class A			Original Class B			Special Interests			Class A			Class B			Institutional Interests			General Partner
Balances at December 31, 2015	$	325,307,634		$	19,520,525			3,866,836			16,606,040			150,288,448			69,938,089			65,083,875			3,821
Transfers		-			-			-			-			-			-			-			-
Capital additions		4,107,970			-			-			-			2,725,187			616,526			766,257			-
Capital withdrawals		(17,764,469	)		(297,856	)		(1,014,293	)		(64,299	)		(5,019,220	)		(8,445,331	)		(2,923,470	)		-
From operations:
Net investment income (loss)		(3,017,780	)		(151,698	)		(17,935	)		(76,546	)		(1,911,946	)		(513,521	)		(346,105	)		(29	)
Net realized gain (loss) from   investments (net of brokerage   commissions)		6,705,292			404,054			71,786			344,634			3,125,426			1,402,618			1,356,695			79
Net change in unrealized gain   (loss) from investments		598,224			28,021			25,628			20,851			256,453			208,706			58,561			4
Net income (loss) for the three   months ended March 31, 2016		4,285,736			280,377			79,479			288,939			1,469,933			1,097,803			1,069,151			54
Balances at March 31, 2016	$	315,936,871		$	19,503,046		$	2,932,022		$	16,830,680		$	149,464,348		$	63,207,087		$	63,995,813		$	3,875
Balances at December 31, 2016	$	256,683,259		$	13,257,409			2,258,015			15,766,935			122,209,260			47,147,538			56,040,403			3,699
Transfers		-			-			-			-			-			-			-			-
Capital additions		3,718,158			-			-			2,600,000			588,441			141,302			388,415			-
Capital withdrawals		(27,040,232	)		(1,734,281	)		(536,389	)		-			(13,628,950	)		(4,353,329	)		(6,787,283	)		-
From operations:
Net investment income (loss)		(2,207,173	)		(96,021	)		(10,230	)		(75,963	)		(1,425,761	)		(323,738	)		(275,432	)		(28	)
Net realized gain (loss) from   investments (net of brokerage   commissions)		6,121,171			314,869			47,964			476,728			2,851,760			1,126,527			1,303,230			93
Net change in unrealized gain   (loss) from investments		(3,334,490	)		(174,304	)		(29,087	)		(241,172	)		(1,555,336	)		(630,081	)		(704,458	)		(52	)
Net income (loss) for the three   months ended March 31, 2017		579,508			44,544			8,647			159,593			(129,337	)		172,708			323,340			13
Balances at March 31, 2017	$	233,940,693		$	11,567,672		$	1,730,273		$	18,526,528		$	109,039,414		$	43,108,219		$	49,964,875		$	3,712

See accompanying notes.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Partnership

Altegris Winton Futures Fund, L.P. (the “Partnership”) was organized as a 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 (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The 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’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of March 31, 2017 and December 31, 2016, and reported amounts of income and expenses for the three months ended March 31, 2017 and 2016. 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 financial statements for the interim period.

- 10 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

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.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.

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

The fair value of U.S. government agency bonds and notes is 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 agency bonds are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of March 31, 2017 or December 31, 2016, 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. U.S. treasury obligations are categorized in Level 2 of the fair value hierarchy.

The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of March 31, 2017 or December 31, 2016, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

- 12 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value (continued)

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

There were no changes to the Partnership’s valuation methodology during the period ended March 31, 2017 and the year ended December 31, 2016.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as March 31, 2017 and December 31, 2016:

March 31, 2017	Level 1			Level 2			Level 3		Balance as ofMarch 31, 2017
Assets:
Futures contracts (1)	$	2,996,409		$	-		$	-	$	2,996,409
Forward currency contracts (1)		-			1,321,480			-		1,321,480
U.S. Government agency bonds and notes		-			139,274,100			-		139,274,100
Corporate notes		-			74,789,694			-		74,789,694
	$	2,996,409		$	215,385,274		$	-	$	218,381,683
Liabilities:
Futures contracts (1)	$	(3,936,567	)	$	-		$	-	$	(3,936,567	)
Forward currency contracts (1)		-			(464,514	)		-		(464,514	)
	$	(3,936,567	)	$	(464,514	)	$	-	$	(4,401,081	)

December 31, 2016	Level 1			Level 2			Level 3		Balance as of December 31, 2016
Assets:
Futures contracts (1)	$	5,931,938		$	-		$	-	$	5,931,938
Forward currency contracts (1)		-			1,408,337			-		1,408,337
U.S. Government agency bonds and notes		-			127,323,710			-		127,323,710
Corporate notes		-			103,507,947			-		103,507,947
	$	5,931,938		$	232,239,994		$	-	$	238,171,932
Liabilities:
Futures contracts (1)	$	(2,858,644	)	$	-		$	-	$	(2,858,644	)
Forward currency contracts (1)		-			(1,059,246	)		-		(1,059,246	)
	$	(2,858,644	)	$	(1,059,246	)	$	-	$	(3,917,890	)

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

The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end.

For the period ended March 31, 2017 and the year ended December 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended March 31, 2017 and the year ended December 31, 2016, there were no Level 3 securities.

- 13 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D. Investment Transactions and Investment Income

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.

Gains or losses on futures contracts, options on futures contracts and forward currency contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are 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 gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year-end, resulting from changes in the exchange rates.

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of March 31, 2017 and December 31, 2016, the Partnership’s restricted cash balance on the Statements of Financial Condition of $21,378,861 and $23,843,994, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of March 31, 2017 and December 31, 2016, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $2,934,629 and $3,445,473, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

- 14 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

E. Option Contracts

Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the options clearing corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold.

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

As the writer of 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 March 31, 2017 and December 31, 2016 the Partnership did not hold any option contracts.

F. Futures Contracts

The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in 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.

- 15 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

F. Futures Contracts (continued)

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 March 31, 2017 and December 31, 2016 are reflected within the Condensed Schedules of Investments.

G. Forward currency contracts

Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at March 31, 2017 and December 31, 2016 are reflected within the Condensed Schedules of Investments.

H. Foreign Currency Transactions

The Partnership’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).

I. Cash

The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.

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

- 16 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

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

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

The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2017 or December 31, 2016. 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 2013.

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2017 or 2016.

NOTE 2 - PARTNERS’ CAPITAL

A. Capital Accounts and Allocation of Income and Losses

The Partnership accounts for subscriptions and redemptions on a per partner capital account basis.

The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”).  Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the Limited Partners based on their respective capital accounts as of the end of each month, in which the items accrue pursuant to the terms of the Partnership’s Agreement. Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.

No Limited Partner of the Partnership shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner’s capital contributions, except as may be required by law.

- 17 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

B. Subscriptions, Distributions and Redemptions

Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the three months ended March 31, 2017 and 2016.

NOTE 3 - RELATED PARTY TRANSACTIONS

A. General Partner Management Fee

The General Partner receives a monthly management fee from the Partnership equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% (0.50% annually) for Special Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.

Total Management Fees earned by the General Partner, for the three months ended March 31, 2017 and 2016 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 months ended March 31, 2017, administrative fees for Class A and Class B Interests were $97,669 and $37,935, respectively. For the three months ended March 31, 2016, administrative fees for Class A and Class B Interests were $127,431 and $56,898, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

C. Altegris Investments, Inc. and Altegris Futures, L.L.C.

Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C.

- 18 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

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

(Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is the Partnership’s introducing broker.

Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.

At March 31, 2017 and December 31, 2016, respectively, the Partnership had commissions and brokerage fees payable to its introducing broker of $231,055 and $250,185, and service fees payable to Altegris Investments of $32,792 and $34,849, respectively.

The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three months ended March 31, 2016 and 2015:

	Three months ended		Three months ended
	March 31, 2017		March 31, 2016
Altegris Clearing Solutions - Brokerage Commission fees	$	771,787	$	1,040,476
Altegris Investments- Service fees		100,021		128,636
Total	$	871,808	$	1,169,112

The amounts above are included in Brokerage Commissions and Service Fees on the Statements of Income (Loss), respectively. The amounts shown on the Statements of Income (Loss) include fees paid to non-related parties.

NOTE 4 - ADVISORY CONTRACT

The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three months ended March 31, 2017 and 2016 are shown on the Statements of Income (Loss).

- 19 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 4 - ADVISORY CONTRACT (CONTINUED)

All Interest holders will be assessed a monthly management fee paid to Winton of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three months ended March 31, 2017, management fees for Class A, Class B, Original Class B, Special Interests and Institutional Interests were $296,052, $114,987, $5,155, $43,733 and $136,181, respectively. For the three months ended March 31, 2016, management fees for Class A, Class B, Original Class B, Special Interests and Institutional Interests were $386,153, $172,417, $8,673, $42,679 and $168,269, respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee.

NOTE 5 - SERVICE FEES

Original Class A Interests and Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners holding Institutional Interests. For the three months ended March 31, 2017, service fees for General Partner’s Interest, Class A, Original Class A and Institutional Interests were $19, $588,661, $64,227 and $4,987, respectively. For the three months ended March 31, 2016, service fees for General Partner’s Interest, Class A, Original Class A and Institutional Interests were $20, $770,572, $99,892 and $2,892, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

NOTE 6 - BROKERAGE COMMISSIONS

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

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

- 20 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS

The Partnership engages in the speculative trading of futures, options on futures, and forward currency contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

The following presents the fair value of derivative contracts at March 31, 2017 and December 31, 2016. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition.

March 31, 2017

	Asset		Liability
Type of	Derivatives		Derivatives			Net
Derivatives Contracts	Fair Value		Fair Value			Fair Value
Futures Contracts
Agriculture	$	695,773	$	(183,103	)	$	512,670
Currencies		130,540		(1,150,135	)		(1,019,595	)
Energy		51,678		(219,461	)		(167,783	)
Interest Rates		75,824		(595,513	)		(519,689	)
Metals		282,222		(328,733	)		(46,511	)
Stock Indices		1,718,895		(1,232,834	)		486,061
Treasury Rates		41,477		(226,788	)		(185,311	)
	$	2,996,409	$	(3,936,567	)	$	(940,158	)
Forward Currency Contracts	$	1,321,480	$	(464,514	)	$	856,966
Total Gross Fair Value of Derivatives Contracts	$	4,317,889	$	(4,401,081	)	$	(83,192	)

- 21 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

December 31, 2016

	Asset		Liability
Type of	Derivatives		Derivatives			Net
Derivatives Contracts	Fair Value		Fair Value			Fair Value
Futures Contracts
Agriculture	$	1,111,896	$	(431,415	)	$	680,481
Currencies		1,248,554		(5,361	)		1,243,193
Energy		172,229		(129,016	)		43,213
Interest Rates		708,726		(98,182	)		610,544
Metals		787,551		(1,233,199	)		(445,648	)
Stock Indices		1,884,443		(883,651	)		1,000,792
Treasury Rates		18,539		(77,820	)		(59,281	)
	$	5,931,938	$	(2,858,644	)	$	3,073,294
Forward Currency Contracts	$	1,408,337	$	(1,059,246	)	$	349,091
Total Gross Fair Value of Derivatives Contracts	$	7,340,275	$	(3,917,890	)	$	3,422,385

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 months ended March 31, 2017 and 2016.

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 March 31, 2017

Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed
Futures Contracts
Agricultural	$	(167,028	)	$	(167,811	)
Currencies		(1,549,459	)		(2,262,788	)
Energy		(1,506,968	)		(210,996	)
Interest Rates		62,846			(1,130,233	)
Metals		(1,873,777	)		399,137
Stock Indices		10,432,197			(514,731	)
Treasury Rates		(362,687	)		(126,030	)
	$	5,035,124		$	(4,013,452	)		17,590	(2	)
Forward Currency Contracts	$	1,894,344		$	507,875				(1	)
Total gain (loss) from derivatives contracts	$	6,929,468		$	(3,505,577	)

- 22 -

ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Three Months ended March 31, 2016

Type of				Change in			Number of
Derivatives Contracts	Realized			Unrealized			Contracts Closed
Futures Contracts
Agricultural	$	804,166		$	(583,258	)
Currencies		253,561			(3,747,444	)
Energy		2,861,645			(433,084	)
Interest Rates		8,403,924			5,184,383
Metals		(4,156,812	)		(1,941,223	)
Stock Indices		(2,296,793	)		(226,193	)
Treasury Rates		2,914,297			(322,093	)
	$	8,783,988		$	(2,068,912	)		21,211	(2	)
Forward Currency Contracts	$	(960,787	)	$	2,565,838				(1	)
Total gain (loss) from derivatives contracts	$	7,823,201		$	496,926

(1) The numbers of long contracts closed using average cost for the three months ended March 31, 2017 and 2016 were 531,994, and 577,820, respectively. The numbers of short contracts closed using average cost for average cost for the three months ended March 31, 2017 and 2016 were (385,857), and (404,903), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods.

(2) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the period.

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.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following table summarizes the disclosure requirements for offsetting assets and liabilities:

Offsetting the Financial Assets and Derivative Assets
										Gross Amounts Not Offset in the Statement of Financial Condition
As of March 31, 2017
Description	Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Received (1)		Net Amount
Forward contracts		1,321,480			(464,514	)		856,966			-		-		856,966
Futures contracts		2,996,409			(2,996,409	)		-			-		-		-
Total		4,317,889			(3,460,923	)		856,966			-		-		856,966
Offsetting the Financial Liabilities and Derivative Liabilities
										Gross Amounts Not Offset in the Statement of Financial Condition
As of March 31, 2017
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Pledged (1)		Net Amount
Forward contracts		(464,514	)		464,514			-			-		-		-
Futures contracts		(3,936,567	)		2,996,409			(940,158	)		-		940,158		-
Total		(4,401,081	)		3,460,923			(940,158	)		-		940,158		-
Offsetting the Financial Assets and Derivative Assets
										Gross Amounts Not Offset in the Statement of Financial Condition
As of December 31, 2016
Description	Gross Amounts of Recognized Assets			Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Received (1)		Net Amount
Forward contracts		1,408,337			(1,059,246	)		349,091			-		-		349,091
Futures contracts		5,931,938			(2,858,644	)		3,073,294			-		-		3,073,294
Total		7,340,275			(3,917,890	)		3,422,385			-		-		3,422,385
Offsetting the Financial Liabilities and Derivative Liabilities
										Gross Amounts Not Offset in the Statement of Financial Condition
As of December 31, 2016
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments		Cash Collateral Pledged (1)		Net Amount
Forward contracts		(1,059,246	)		1,059,246			-			-		-		-
Futures contracts		(2,858,644	)		2,858,644			-			-		-		-
Total		(3,917,890	)		3,917,890			-			-		-		-

(1) The Partnership posted additional collateral of $23,373,332 for 2017 and $27,289,467 for 2016, with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES

The Partnership participates in the speculative trading of commodity futures contracts, options on futures contracts and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).

The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over the counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.

All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. However, in the future, if the Partnership were to enter into non-exchange traded contracts, it would be subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain, if any.

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

The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.

NOTE 9 - INDEMNIFICATIONS

In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 10 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three months ended March 31, 2017 and 2016. This information has been derived from information presented in the financial statements.

Three months ended March 31, 2017

	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		0.37	%		0.62	%		0.68	%		(0.09	)%		0.41	%		0.61	%
Incentive fees		(0.00	)%		(0.00	)%		(0.00	)%		(0.00	)%		(0.00	)%		(0.00	)%
Total return after incentive fees		0.37	%		0.62	%		0.68	%		(0.09	)%		0.41	%		0.61	%
Ratio to average net asset value
Expenses prior to incentive fees (2)		3.25	%		2.23	%		2.08	%		5.07	%		3.09	%		2.30	%
Incentive fees (3)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		3.25	%		2.23	%		2.08	%		5.07	%		3.09	%		2.30	%
Net investment (loss) (1) (2)		(2.95	)%		(1.94	)%		(1.78	)%		(4.77	)%		(2.80	)%		(2.01	)%

Three months ended March 31, 2016

	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		1.41	%		1.67	%		1.73	%		0.95	%		1.46	%		1.66	%
Incentive fees		(0.00	)%		(0.00	)%		(0.00	)%		(0.02	)%		(0.03	)%		(0.00	)%
Total return after incentive fees		1.41	%		1.67	%		1.73	%		0.93	%		1.43	%		1.66	%
Ratio to average net asset value
Expenses prior to incentive fees (2)		3.28	%		2.20	%		2.03	%		5.12	%		3.08	%		2.30	%
Incentive fees (3)		0.00	%		0.01	%		0.00	%		0.03	%		0.03	%		0.00	%
Total expenses		3.28	%		2.21	%		2.03	%		5.15	%		3.11	%		2.30	%
Net investment (loss) (1) (2)		(3.04	)%		(1.97	)%		(1.79	)%		(4.88	)%		(2.84	)%		(2.06	)%

Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.

(1) Excludes incentive fee.

(2) Annualized.

(3) Not annualized.

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ALTEGRIS WINTON FUTURES FUND, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were issued, and concluded that no events subsequent to March 31, 2017 have occurred that would require recognition or disclosure, except as noted below.

From April 1, 2017 through May 15, 2017, the Partnership had subscriptions of $358,703.

- 27 -

PART I – FINANCIAL INFORMATION (continued)

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

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

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through March 31, 2017 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

Capital Resources

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

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

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

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

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

Results of Operations

The Partnership’s success depends primarily upon the Advisor’s ability to recognize and capitalize on market trends in the sectors of the global commodity futures markets in which it trades. The Partnership seeks to produce long-term capital appreciation through growth, and not current income. The past performance of the Partnership is not necessarily indicative of future results.

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

- 28 -

Performance Summary

Three Months Ended March 31, 2017

During the first quarter of 2017, the Partnership achieved net realized and unrealized gains of $2,786,681 from its trading activities, net of brokerage commissions of $942,541. The Partnership accrued total expenses of $2,395,484, including $665,675 in management fees paid to the General Partner, $3,529 in incentive fees, and $925,928 in service and professional fees. The Partnership earned $188,311 in interest income during the first quarter of 2017. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2017 is set forth below.

First Quarter 2017. In January 2017, the Partnership sustained a net loss as profits from stock indices were undone by losses in the currency, commodity and fixed income sectors. Long positions in most stock indices added value over the course of the month, with the NASDAQ driving the positive contribution to returns as information technology stocks outperformed the wider US market. Short positions in the euro and the Japanese yen led the losses in currencies, but were partly offset by long positions in appreciating emerging market currencies. In commodities, the Partnership’s exposure to precious metals and energies, particularly gold and natural gas, detracted from returns, although base metals were profitable due to a long position in copper. In February 2017, the Partnership experienced net positive returns driven by stock indices and currencies. Long positions in the S&P 500 and NASDAQ led the profits in stock indices which posted gains across the board. Currencies recovered the majority of their January losses with the Partnership’s short position in the euro benefitting from the euro-US dollar exchange rate falling back to near where it started the year. Profits also came from long positions in emerging market currencies such as the Indian rupee and the Chinese yuan, where increasing positions during the month reduced the Partnership’s long exposure to the US dollar. For February 2017, the detractors from returns were concentrated in the precious metals and energies sectors. Price gains weighed on the Partnership’s short position in gold, which reduced over the course of the month, while falling natural gas prices resulted in losses from the Partnership’s long position in the market. In March 2017, the Partnership’s portfolio performance was flat, as it began the month on a positive note but gave back early profits as the dollar and US equity markets weakened. Performance overall was driven by stock indices, with European markets leading the sector to make a positive contribution to performance for the fifth consecutive month. The gains in stock indices were offset by losses in the fixed income, commodities and currencies sectors.

Long positioning in German government bonds weighed on returns in fixed income, while losses in commodities were led by the energies sector, where an initial long position in Brent crude detracted from returns. Performance in the currencies sector was mixed: long positions in a number of emerging markets currencies added value, most notably the Indian rupee, but these gains were overshadowed by short exposure to the appreciating Japanese yen and euro.

Three Months Ended March 31, 2016

During the first quarter of 2016, the Partnership achieved net realized and unrealized gains of $7,303,516 from its trading activities, net of brokerage commissions of $1,242,283. The Partnership accrued total expenses of $3,215,286, including $889,761 in management fees paid to the General Partner, $59,035 in incentive fees, and $1,187,516 in service and professional fees. The Partnership earned $197,506 in interest income during the first quarter of 2016. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the first quarter of 2016 is set forth below.

First Quarter 2016. In January 2016, the Partnership enjoyed modest net gains, despite a rocky start as renewed anxiety around the health of the global economy led to heavy falls in world stock markets. Central bankers responded by hinting at further accommodative policy, and the Bank of Japan surprised markets by cutting interest rates on new bank reserves on the final day of the month. Fixed income was the main driver of fund performance in this environment, most notably in Europe: Euribor and Bunds futures prices both recovered their December losses over the course of the month. Energies were another area of strength as the Partnership continued to follow the crude oil price lower amid rising stockpiles and the removal of sanctions on Iran. These gains, however, were trimmed by other parts of the portfolio, as there were losses in equities, while at the same time, short exposure to a rising gold price detracted from overall performance. The Partnership’s portfolio also experienced net investment gains in February 2016, a period when global stock markets were steadier than in January, while gold and government bond prices resumed their upwards trajectory. One of the most notable developments was the British pound sliding to a seven-year low versus the US dollar, as heightened concerns around “Brexit” took hold (i.e., the possibility of Britain exiting the European Union). The Partnership’s performance was similar to that of January 2016 in terms of sector contributions: fixed income and energies were the biggest contributors, while a reduced short exposure to gold led the precious metals positioning to detract. Within fixed income, the Partnership benefited from gains in bond futures. The Partnership also made modest gains in energies and equities during the period. The Partnership sustained a net loss in March 2016, a month characterized by a lack of meaningful diversifiers materializing within the portfolio and reversals in a number of market trends, many of which were profitable during the opening months of the year. Dovish comments from the US Federal Reserve and easing concerns around China were accompanied by a weakening US dollar and increases in commodity prices. Buoyant global stock markets recovered most of their January and February losses, whereas gold’s advances abated. Against this backdrop, the bulk of the Partnership’s losses occurred in its positioning of currencies (notwithstanding some emerging market currency positive returns) and fixed income (as yields rose for the first half of the month only to fall back to where they started by month end). The Partnership in March gave up its earlier profits in the year due to losses on its short positions in energies, as the WTI crude price recovered from around $34 a barrel to $38. Overall short exposure to stock index and crops futures resulted in the Partnership’s failure to profit from buoyant equity markets and agricultural prices during the month.

- 29 -

Off-Balance Sheet Arrangements

The Partnership does not engage in off-balance sheet arrangements with other entities.

Contractual Obligations

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, related option and forward currency contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The Partnership’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2017.

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

Due to the nature of the Partnership as a speculative commodity pool, changes from December 31, 2016 are not material.

Item 4: Controls and Procedures.

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

PART II – OTHER INFORMATION

Item 1: Legal Proceedings.

None.

Item 1A: Risk Factors.

There have been no material changes to the Partnership’s risk factors since the Partnership filed its annual report on Form 10-K with the Securities and Exchange Commission on March 31, 2017.

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

(a) The requested information has been previously reported on Form 8-K.

- 30 -

(b) Not applicable.

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the first calendar quarter of 2017:

Month	Amount Redeemed
January 31, 2017	$	5,211,631
February 28, 2017	$	10,828,785
March 31, 2017	$	10,999,816

Item 3: Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4: Mine Safety Disclosure.

Not applicable.

Item 5: Other Information.

(a) None.

(b) Not applicable.

Item 6: Exhibits.

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

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

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

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

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

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

- 31 -

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

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

The following exhibits are included herewith.

Exhibit Number	Description of Document
31.01	Rule 13a-14(a)/15d-14(a) Certification
32.01	Section 1350 Certification

** Rockwell Futures Management, Inc. became Altegris Portfolio Management, Inc., which merged with and into Altegris Advisors, L.L.C.

*** Fimat USA, LLC became Newedge USA, LLC, which merged with and into SG Americas Securities, LLC.

- 32 -

SIGNATURES

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

Dated: May 15, 2017

ALTEGRIS WINTON FUTURES FUND, L.P.

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

/s/ Martin Beaulieu

Martin Beaulieu, Executive Chairman (principal executive officer) 

/s/ Kenneth I. McGuire

Kenneth I. McGuire, Principal Financial Officer

- 33 -