Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2018USD ($)shares | |
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, 2018 |
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 Public Float | $ | $ 0 |
Entity Common Stock, Shares Outstanding | shares | 0 |
Document Fiscal Period Focus | Q2 |
Document Fiscal Year Focus | 2,018 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Equity in commodity broker account | ||
Cash | $ 2,309,113 | $ 0 |
Restricted cash | 7,642,136 | 16,699,269 |
Restricted foreign currency (cost - $1,106,217 and $2,914,270) | 1,093,804 | 2,962,145 |
Foreign currency (cost - $0 and $2,436,108) | 0 | 2,476,133 |
Net unrealized gain on open futures contracts | 1,158,615 | 2,763,458 |
Settled variation margin | 1,739,398 | 449,048 |
Net unrealized gain on open forward contracts | 0 | 1,273,152 |
Total assets in commodity broker account | 13,943,066 | 26,623,205 |
Cash | 2,170,458 | 4,352,558 |
Investment securities at value (cost - $138,580,973 and $153,506,426) | 138,580,712 | 153,506,277 |
Interest receivable | 15,411 | 7,599 |
Total assets | 154,709,647 | 184,489,639 |
Equity in commodity broker account: | ||
Foreign currency due to broker (proceeds - $295,785 and $0) | 292,466 | 0 |
Net unrealized loss on open forward contracts | 222,366 | 0 |
Total equity in commodity broker account | 514,832 | 0 |
Redemptions payable | 3,487,533 | 9,213,668 |
Commissions payable | 182,493 | 204,909 |
Service fees payable | 146,427 | 197,719 |
Management fee payable | 131,282 | 153,808 |
Advisory fee payable | 119,001 | 138,735 |
Subscriptions received in advance | 50,000 | 197,214 |
Administrative fee payable | 27,215 | 31,500 |
Incentive fee payable | 435 | 701,597 |
Other liabilities | 437,450 | 433,216 |
Total liabilities | 5,096,668 | 11,272,366 |
PARTNERS' CAPITAL (NET ASSET VALUE) | ||
General Partner | 3,785 | 3,833 |
Limited Partners | 149,609,194 | 173,213,440 |
Total partners' capital (Net Asset Value) | 149,612,979 | 173,217,273 |
Total liabilities and partners' capital | $ 154,709,647 | $ 184,489,639 |
STATEMENTS OF FINANCIAL CONDIT3
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Statement of Financial Position [Abstract] | ||
Cost of restricted foreign currency equity in commodity broker account | $ 1,106,217 | $ 2,914,270 |
Cost of foreign currency equity in commodity broker account | 0 | 2,436,108 |
Investment securities at cost | 138,580,973 | 153,506,426 |
proceedsd from foreign currency due to broker | $ 295,785 | $ 0 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS, FIXED INCOME INVESTMENTS (Unaudited) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Investment at Fair Value | $ 138,580,712 | $ 153,506,277 |
Investment At Cost | 138,580,973 | 153,506,426 |
Fixed Income Investments [Member] | ||
Investment at Fair Value | $ 138,580,712 | $ 153,506,277 |
% of Partners Capital | 92.63% | 88.62% |
Investment At Cost | $ 138,580,973 | $ 153,506,426 |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | ||
Investment at Fair Value | $ 87,147,921 | $ 101,514,933 |
% of Partners Capital | 58.25% | 58.61% |
Investment At Cost | $ 87,145,545 | $ 101,514,531 |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Farm Credit Bank Disc Note, 2.55% [Member] | ||
Investment at Face Value | 20,337,000 | |
Investment at Fair Value | $ 20,336,039 | |
% of Partners Capital | 13.59% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 2.55% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Bank Disc Note, 0.00% [Member] | ||
Investment at Face Value | $ 30,193,000 | |
Investment at Fair Value | $ 30,193,000 | |
% of Partners Capital | 20.18% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 0.00% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Bank Disc Note, 1.69% [Member] | ||
Investment at Face Value | $ 10,000,000 | |
Investment at Fair Value | $ 9,990,650 | |
% of Partners Capital | 6.68% | |
Maturity Date | Jul. 20, 2018 | |
Interest Rate/Yield | 1.69% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Bank Disc Note, 1.72% [Member] | ||
Investment at Face Value | $ 10,000,000 | |
Investment at Fair Value | $ 9,988,050 | |
% of Partners Capital | 6.68% | |
Maturity Date | Jul. 25, 2018 | |
Interest Rate/Yield | 1.72% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Mortgage Corp Disc Note, 2.66% [Member] | ||
Investment at Face Value | $ 16,641,000 | |
Investment at Fair Value | $ 16,640,182 | |
% of Partners Capital | 11.12% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 2.66% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Farm Credit Bank Disc Not, 0.00% [Member] | ||
Investment at Face Value | 66,520,000 | |
Investment at Fair Value | $ 66,518,158 | |
% of Partners Capital | 38.40% | |
Maturity Date | Jan. 2, 2018 | |
Interest Rate/Yield | 0.00% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Bank Disc Note, 0.00% [Member] | ||
Investment at Face Value | $ 20,000,000 | |
Investment at Fair Value | $ 20,000,000 | |
% of Partners Capital | 11.55% | |
Maturity Date | Jan. 2, 2018 | |
Interest Rate/Yield | 0.00% | |
Fixed Income Investments [Member] | U S Government Agencies Debt Securities [Member] | Federal Home Loan Bank Disc Note, 0.99% [Member] | ||
Investment at Face Value | $ 15,000,000 | |
Investment at Fair Value | $ 14,996,775 | |
% of Partners Capital | 8.66% | |
Maturity Date | Jan. 8, 2018 | |
Interest Rate/Yield | 0.99% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | ||
Investment at Fair Value | $ 51,432,791 | $ 51,991,344 |
% of Partners Capital | 34.38% | 30.01% |
Investment At Cost | $ 51,435,428 | $ 51,991,896 |
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.91% [Member] | ||
Investment at Face Value | 2,600,000 | |
Investment at Fair Value | $ 2,599,862 | |
% of Partners Capital | 1.74% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 1.91% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.97% [Member] | ||
Investment at Face Value | $ 4,160,000 | |
Investment at Fair Value | $ 4,160,025 | |
% of Partners Capital | 2.78% | |
Maturity Date | Jul. 13, 2018 | |
Interest Rate/Yield | 1.97% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Bank of Montreal, 2.05% [Member] | ||
Investment at Face Value | $ 4,165,000 | |
Investment at Fair Value | $ 4,161,683 | |
% of Partners Capital | 2.78% | |
Maturity Date | Jul. 13, 2018 | |
Interest Rate/Yield | 2.05% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | CIBC World Markets Corp., 1.95% [Member] | ||
Investment at Face Value | $ 4,160,000 | |
Investment at Fair Value | $ 4,156,849 | |
% of Partners Capital | 2.78% | |
Maturity Date | Jul. 13, 2018 | |
Interest Rate/Yield | 1.95% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Cedar Springs Capital Company, LLC, 2.03% [Member] | ||
Investment at Face Value | $ 6,800,000 | |
Investment at Fair Value | $ 6,799,622 | |
% of Partners Capital | 4.54% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 2.03% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | The Chiba Bank, Ltd., 2.15% [Member] | ||
Investment at Face Value | $ 2,770,000 | |
Investment at Fair Value | $ 2,770,274 | |
% of Partners Capital | 1.85% | |
Maturity Date | Jul. 20, 2018 | |
Interest Rate/Yield | 2.15% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | DCAT, LLC, 2.05% [Member] | ||
Investment at Face Value | $ 1,390,000 | |
Investment at Fair Value | $ 1,387,933 | |
% of Partners Capital | 0.93% | |
Maturity Date | Jul. 25, 2018 | |
Interest Rate/Yield | 2.05% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Exxon Mobil Corporation, 1.90% [Member] | ||
Investment at Face Value | $ 4,285,000 | |
Investment at Fair Value | $ 4,284,095 | |
% of Partners Capital | 2.86% | |
Maturity Date | Jul. 3, 2018 | |
Interest Rate/Yield | 1.90% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | General Electric Company, 1.91% [Member] | ||
Investment at Face Value | $ 2,780,000 | |
Investment at Fair Value | $ 2,779,115 | |
% of Partners Capital | 1.86% | |
Maturity Date | Jul. 5, 2018 | |
Interest Rate/Yield | 1.91% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Intercontinental Exchange, Inc., 2.35% [Member] | ||
Investment at Face Value | $ 1,390,000 | |
Investment at Fair Value | $ 1,388,197 | |
% of Partners Capital | 0.93% | |
Maturity Date | Jul. 24, 2018 | |
Interest Rate/Yield | 2.35% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding, LLC, 2.01% [Member] | ||
Investment at Face Value | $ 4,150,000 | |
Investment at Fair Value | $ 4,146,067 | |
% of Partners Capital | 2.77% | |
Maturity Date | Jul. 16, 2018 | |
Interest Rate/Yield | 2.01% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | PACCAR Financial Corp., 1.96% [Member] | ||
Investment at Face Value | $ 4,160,000 | |
Investment at Fair Value | $ 4,156,153 | |
% of Partners Capital | 2.78% | |
Maturity Date | Jul. 16, 2018 | |
Interest Rate/Yield | 1.96% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Trust Bank Ltd., 1.95% [Member] | ||
Investment at Face Value | $ 2,843,000 | |
Investment at Fair Value | $ 2,843,008 | |
% of Partners Capital | 1.90% | |
Maturity Date | Jul. 6, 2018 | |
Interest Rate/Yield | 1.95% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Banking Corporation, 1.90% [Member] | ||
Investment at Face Value | $ 4,280,000 | |
Investment at Fair Value | $ 4,279,988 | |
% of Partners Capital | 2.86% | |
Maturity Date | Jul. 3, 2018 | |
Interest Rate/Yield | 1.90% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Victory Receivables Corporation, 1.94% [Member] | ||
Investment at Face Value | $ 1,520,000 | |
Investment at Fair Value | $ 1,519,920 | |
% of Partners Capital | 1.02% | |
Maturity Date | Jul. 2, 2018 | |
Interest Rate/Yield | 1.94% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | American Honda Finance Corporation, 1.43% [Member] | ||
Investment at Face Value | 4,600,000 | |
Investment at Fair Value | $ 4,597,611 | |
% of Partners Capital | 2.65% | |
Maturity Date | Jan. 11, 2018 | |
Interest Rate/Yield | 1.43% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Banco del Estado de Chile, 1.55% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,600,000 | |
% of Partners Capital | 2.66% | |
Maturity Date | Jan. 26, 2018 | |
Interest Rate/Yield | 1.55% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Bank of Montreal, 1.50% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,595,208 | |
% of Partners Capital | 2.65% | |
Maturity Date | Jan. 26, 2018 | |
Interest Rate/Yield | 1.50% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | CIBC World Markets Corp., 1.48% [Member] | ||
Investment at Face Value | $ 4,610,000 | |
Investment at Fair Value | $ 4,605,261 | |
% of Partners Capital | 2.66% | |
Maturity Date | Jan. 26, 2018 | |
Interest Rate/Yield | 1.48% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | The Coca-Cola Company, 1.18% [Member] | ||
Investment at Face Value | $ 2,000,000 | |
Investment at Fair Value | $ 1,999,444 | |
% of Partners Capital | 1.16% | |
Maturity Date | Jan. 5, 2018 | |
Interest Rate/Yield | 1.18% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | The Coca-Cola Company, 1.32% [Member] | ||
Investment at Face Value | $ 275,000 | |
Investment at Fair Value | $ 274,846 | |
% of Partners Capital | 0.16% | |
Maturity Date | Jan. 12, 2018 | |
Interest Rate/Yield | 1.32% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | DCAT, LLC, 1.39% [Member] | ||
Investment at Face Value | $ 1,470,000 | |
Investment at Fair Value | $ 1,469,317 | |
% of Partners Capital | 0.85% | |
Maturity Date | Jan. 8, 2018 | |
Interest Rate/Yield | 1.39% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | MetLife Short Term Funding LLC, 1.41% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,597,378 | |
% of Partners Capital | 2.65% | |
Maturity Date | Jan. 12, 2018 | |
Interest Rate/Yield | 1.41% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | National Rural Utilities Cooperative Finance Corp., 1.62% [Member] | ||
Investment at Face Value | $ 3,070,000 | |
Investment at Fair Value | $ 3,067,188 | |
% of Partners Capital | 1.77% | |
Maturity Date | Jan. 22, 2018 | |
Interest Rate/Yield | 1.62% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | PACCAR Financial Corp., 1.48% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,597,913 | |
% of Partners Capital | 2.65% | |
Maturity Date | Sep. 1, 2018 | |
Interest Rate/Yield | 1.48% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Banking Corporation, 1.37% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,599,893 | |
% of Partners Capital | 2.66% | |
Maturity Date | Jan. 5, 2018 | |
Interest Rate/Yield | 1.37% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Sumitomo Mitsui Trust Bank Ltd., 1.37% [Member] | ||
Investment at Face Value | $ 3,070,000 | |
Investment at Fair Value | $ 3,069,929 | |
% of Partners Capital | 1.77% | |
Maturity Date | Jan. 5, 2018 | |
Interest Rate/Yield | 1.37% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | 3M Company, 1.49% [Member] | ||
Investment at Face Value | $ 4,600,000 | |
Investment at Fair Value | $ 4,598,193 | |
% of Partners Capital | 2.65% | |
Maturity Date | Jan. 8, 2018 | |
Interest Rate/Yield | 1.49% | |
Fixed Income Investments [Member] | Corporate Notes [Member] | Wal-Mart Stores Inc., 1.24% [Member] | ||
Investment at Face Value | $ 5,320,000 | |
Investment at Fair Value | $ 5,319,163 | |
% of Partners Capital | 3.07% | |
Maturity Date | Jan. 2, 2018 | |
Interest Rate/Yield | 1.24% |
CONDENSED SCHEDULE OF INVESTME5
CONDENSED SCHEDULE OF INVESTMENTS, FUTURES CONTRACTS (Unaudited) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018USD ($)Integer | Dec. 31, 2017USD ($)Integer | |
Value | $ 138,580,712 | $ 153,506,277 |
Futures Contracts [Member] | Long Futures Contracts [Member] | ||
Number of Contracts | Integer | 2,363 | 4,384 |
Value | $ 732,813 | $ 4,889,155 |
% of Partners Capital | 0.49% | 2.82% |
Futures Contracts [Member] | Long Futures Contracts [Member] | Agriculture [Member] | ||
Number of Contracts | Integer | 45 | 189 |
Value | $ (23,060) | $ 129,392 |
% of Partners Capital | (0.01%) | 0.07% |
Expiration Dates, Lower Range | Sep. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Mar. 31, 2019 | May 31, 2019 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Currencies [Member] | ||
Number of Contracts | Integer | 152 | 434 |
Value | $ 95,905 | $ 46,959 |
% of Partners Capital | 0.06% | 0.03% |
Expiration Dates, Upper Range | Mar. 31, 2018 | |
Expiration Dates | Sep. 30, 2018 | |
Futures Contracts [Member] | Long Futures Contracts [Member] | Energy [Member] | ||
Number of Contracts | Integer | 358 | 425 |
Value | $ 1,035,160 | $ 1,308,601 |
% of Partners Capital | 0.69% | 0.75% |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Sep. 30, 2018 | Mar. 31, 2018 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Interest Rates [Member] | ||
Number of Contracts | Integer | 1,360 | 835 |
Value | $ 367,416 | $ (403,855) |
% of Partners Capital | 0.25% | (0.23%) |
Expiration Dates, Lower Range | Sep. 1, 2018 | Mar. 1, 2018 |
Expiration Dates, Upper Range | Jun. 30, 2021 | Dec. 31, 2020 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Metals [Member] | ||
Number of Contracts | Integer | 249 | 649 |
Value | $ (682,229) | $ 3,198,253 |
% of Partners Capital | (0.46%) | 1.85% |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Oct. 31, 2018 | May 31, 2018 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Stock Indices [Member] | ||
Number of Contracts | Integer | 99 | 1,634 |
Value | $ (137,691) | $ 685,953 |
% of Partners Capital | (0.09%) | 0.39% |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Sep. 30, 2018 | Mar. 31, 2018 |
Futures Contracts [Member] | Long Futures Contracts [Member] | Treasury Rates [Member] | ||
Number of Contracts | Integer | 100 | 218 |
Value | $ 77,312 | $ (76,148) |
% of Partners Capital | 0.05% | (0.04%) |
Expiration Dates | Sep. 30, 2018 | Mar. 31, 2018 |
Futures Contracts [Member] | Short Futures Contacts [Member] | ||
Number of Contracts | Integer | 2,672 | 4,156 |
Value | $ 2,165,200 | $ (1,676,649) |
% of Partners Capital | 1.45% | (0.95%) |
Futures Contracts [Member] | Short Futures Contacts [Member] | Agriculture [Member] | ||
Number of Contracts | Integer | 918 | 1,024 |
Value | $ 332,948 | $ 262,775 |
% of Partners Capital | 0.22% | 0.16% |
Expiration Dates, Lower Range | Jul. 1, 2018 | Feb. 1, 2018 |
Expiration Dates, Upper Range | Feb. 28, 2019 | May 31, 2018 |
Futures Contracts [Member] | Short Futures Contacts [Member] | Currencies [Member] | ||
Number of Contracts | Integer | 408 | 667 |
Value | $ 388,938 | $ (431,850) |
% of Partners Capital | 0.26% | (0.24%) |
Expiration Dates | Sep. 30, 2008 | Mar. 31, 2018 |
Futures Contracts [Member] | Short Futures Contacts [Member] | Energy [Member] | ||
Number of Contracts | Integer | 6 | 263 |
Value | $ (229) | $ (491,960) |
% of Partners Capital | 0.00% | (0.28%) |
Expiration Dates, Lower Range | Jan. 1, 2018 | |
Expiration Dates, Upper Range | Feb. 28, 2018 | |
Expiration Dates | Sep. 30, 2008 | |
Futures Contracts [Member] | Short Futures Contacts [Member] | Interest Rates [Member] | ||
Number of Contracts | Integer | 574 | 1,144 |
Value | $ 339,698 | $ 166,547 |
% of Partners Capital | 0.23% | 0.10% |
Expiration Dates, Lower Range | Sep. 1, 2018 | Mar. 1, 2018 |
Expiration Dates, Upper Range | Jun. 30, 2021 | Dec. 31, 2020 |
Futures Contracts [Member] | Short Futures Contacts [Member] | Metals [Member] | ||
Number of Contracts | Integer | 419 | 268 |
Value | $ 1,182,185 | $ (1,206,843) |
% of Partners Capital | 0.79% | (0.70%) |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Oct. 31, 2018 | Apr. 30, 2018 |
Futures Contracts [Member] | Short Futures Contacts [Member] | Stock Indices [Member] | ||
Number of Contracts | Integer | 29 | 271 |
Value | $ 575 | $ (156,708) |
% of Partners Capital | 0.00% | (0.09%) |
Expiration Dates, Lower Range | Jul. 1, 2018 | |
Expiration Dates, Upper Range | Sep. 30, 2018 | Mar. 31, 2018 |
Futures Contracts [Member] | Short Futures Contacts [Member] | Treasury Rates [Member] | ||
Number of Contracts | Integer | 318 | 519 |
Value | $ (78,915) | $ 181,390 |
% of Partners Capital | (0.05%) | 0.10% |
Expiration Dates | Sep. 30, 2008 | Mar. 31, 2018 |
Futures Contracts [Member] | ||
Value | $ 2,898,013 | $ 3,212,506 |
% of Partners Capital | 1.94% | 1.87% |
Forward Contracts [Member] | Currencies [Member] | ||
Value | $ (222,366) | $ 1,273,152 |
% of Partners Capital | (0.15%) | 0.74% |
Forward Contracts [Member] | Long Forward Contracts [Member] | Currencies [Member] | ||
Value | $ (457,508) | $ 2,038,800 |
% of Partners Capital | (0.31%) | 1.18% |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Oct. 31, 2018 | Mar. 31, 2018 |
Forward Contracts [Member] | Short Forward Contracts [Member] | Currencies [Member] | ||
Value | $ 235,142 | $ (765,648) |
% of Partners Capital | 0.16% | (0.44%) |
Expiration Dates, Lower Range | Jul. 1, 2018 | Jan. 1, 2018 |
Expiration Dates, Upper Range | Oct. 31, 2018 | Mar. 31, 2018 |
STATEMENTS OF INCOME (LOSS) (Un
STATEMENTS OF INCOME (LOSS) (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Gain (loss) on trading of derivatives contracts | ||||
Net realized | $ 3,662,525 | $ (1,963,689) | $ 2,330,282 | $ 4,965,779 |
Net change in unrealized | 725,608 | (3,261,485) | (1,810,011) | (6,767,062) |
Brokerage commissions | (578,866) | (849,161) | (1,221,764) | (1,791,702) |
Net gain (loss) from trading derivatives contracts | 3,809,267 | (6,074,335) | (701,493) | (3,592,985) |
Gain (loss) on trading of securities | ||||
Net realized | 599 | 116,344 | 599 | 257,679 |
Net change in unrealized | 2,692 | 2,456 | (112) | 5,077 |
Net gain (loss) from trading securities | 3,291 | 118,800 | 487 | 262,756 |
Gain (loss) on trading of foreign currency | ||||
Net Realized | (18,880) | 107,415 | 135,575 | 100,324 |
Net change in unrealized | (13,215) | 17,905 | (96,994) | 186,371 |
Net gain (loss) from trading foreign currency | (32,095) | 125,320 | 38,581 | 286,695 |
Total trading gains (losses) | 3,780,463 | (5,830,215) | (662,425) | (3,043,534) |
Income | ||||
Interest income | 660,010 | 303,908 | 1,212,043 | 492,219 |
Expenses | ||||
Management fee | 405,136 | 595,606 | 856,443 | 1,261,281 |
Service fees | 401,421 | 576,501 | 845,033 | 1,234,395 |
Advisory fee | 366,487 | 538,514 | 772,794 | 1,134,622 |
Professional fees | 199,941 | 248,624 | 398,930 | 516,658 |
Administrative fee | 84,133 | 120,421 | 177,838 | 256,025 |
Interest expense | 2,580 | 6,533 | 12,049 | 6,533 |
Incentive fee | 435 | 0 | 29,097 | 3,529 |
Other expenses | 55,118 | 77,370 | 115,520 | 146,010 |
Total expenses | 1,515,251 | 2,163,569 | 3,207,704 | 4,559,053 |
Net investment income (loss) | (855,241) | (1,859,661) | (1,995,661) | (4,066,834) |
NET INCOME (LOSS) | $ 2,925,222 | $ (7,689,876) | $ (2,658,086) | $ (7,110,368) |
STATEMENTS OF CHANGES IN PARTNE
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) | Total | Limited Partners, Original Class A [Member] | Limited Partners, Original Class B [Member] | Limited Partners, Special Interests [Member] | Limited Partners, Class A [Member] | Limited Partners, Class B [Member] | Limited Partners, Institutional Interests [Member] | General Partner [Member] |
Balances at Dec. 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 |
Capital additions | 4,678,729 | 0 | 0 | 2,600,000 | 972,145 | 225,302 | 881,282 | 0 |
Capital withdrawals | (53,968,367) | (3,045,559) | (740,582) | 0 | (23,376,982) | (10,204,846) | (16,600,398) | 0 |
Net investment income (loss) | (4,066,834) | (172,380) | (17,758) | (147,195) | (2,635,446) | (591,311) | (502,691) | (53) |
Net realized gain (loss) from investments (net of brokerage commissions) | 3,532,080 | 187,799 | 28,232 | 277,452 | 1,637,633 | 645,229 | 755,682 | 53 |
Net change in unrealized gain (loss) from investments | (6,575,614) | (332,452) | (51,520) | (523,062) | (3,044,935) | (1,189,374) | (1,434,162) | (109) |
Net income (loss) | (7,110,368) | (317,033) | (41,046) | (392,805) | (4,042,748) | (1,135,456) | (1,181,171) | (109) |
Balances at Jun. 30, 2017 | 200,283,253 | 9,894,817 | 1,476,387 | 17,974,130 | 95,761,675 | 36,032,538 | 39,140,116 | 3,590 |
Balances at Dec. 31, 2017 | 173,217,273 | 9,601,265 | 878,802 | 19,260,675 | 82,613,264 | 32,303,700 | 28,555,734 | 3,833 |
Transfers | 0 | (453,028) | 0 | 0 | 0 | 0 | 453,028 | 0 |
Capital additions | 651,511 | 0 | 0 | 0 | 475,297 | 176,214 | 0 | 0 |
Capital withdrawals | (21,597,719) | (1,450,075) | (258,565) | 0 | (11,799,702) | (3,869,346) | (4,220,031) | 0 |
Net investment income (loss) | (1,995,661) | (90,215) | (3,921) | (62,091) | (1,445,038) | (273,196) | (121,164) | (36) |
Net realized gain (loss) from investments (net of brokerage commissions) | 1,244,621 | 81,240 | 7,176 | 157,447 | 575,385 | 249,898 | 173,444 | 31 |
Net change in unrealized gain (loss) from investments | (1,907,046) | (54,105) | (9,869) | (216,355) | (893,053) | (368,987) | (364,634) | (43) |
Net income (loss) | (2,658,086) | (63,080) | (6,614) | (120,999) | (1,762,706) | (392,285) | (312,354) | (48) |
Balances at Jun. 30, 2018 | $ 149,612,979 | $ 7,635,082 | $ 613,623 | $ 19,139,676 | $ 69,526,153 | $ 28,218,283 | $ 24,476,377 | $ 3,785 |
1. ORGANIZATION AND SIGNIFICANT
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2018 | |
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. (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 General Partner has overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership’s trading activities are conducted pursuant to an advisory contract with Winton Capital Management Limited (the “Advisor”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. 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 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, 2018 and December 31, 2017, and reported amounts of income and expenses for the three and six months ended June 30, 2018 and 2017, 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 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. When available, the fair value of U.S. government agency bonds and notes is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of June 30, 2018 and December 31, 2017, 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 June 30, 2018 or December 31, 2017, none of the Partnership’s holdings in corporate notes were fair valued using valuation models. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes to the Partnership’s valuation methodology during the six month period ended June 30, 2018 and the year ended December 31, 2017. The following table presents information about the Partnership’s assets and liabilities measured at fair value as June 30, 2018 and December 31, 2017: June 30, 2018 Level 1 Level 2 Level 3 Balance as of June 30, 2018 Assets: Futures contracts (1) $ 4,334,080 $ – $ – $ 4,334,080 Forward currency contracts (1) – 329,187 – 329,187 U.S. Government agency bonds and notes – 87,147,921 – 87,147,921 Corporate notes – 51,432,791 – 51,432,791 $ 4,334,080 $ 138,909,899 $ – $ 143,243,979 Liabilities: Futures contracts (1) $ (1,436,067 ) $ – $ – $ (1,436,067 ) Forward currency contracts (1) – (551,553 ) – (551,553 ) $ (1,436,067 ) $ (551,553 ) $ – $ (1,987,620 ) December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets: Futures contracts (1) $ 7,042,156 $ – $ – $ 7,042,156 Forward currency contracts (1) – 2,248,858 2,248,858 U.S. Government agency bonds and notes – 101,514,933 – 101,514,933 Corporate notes – 51,991,344 – 51,991,344 $ 7,042,156 $ 155,755,135 $ – $ 162,797,291 Liabilities: Futures contracts (1) $ (3,829,650 ) $ – $ – $ (3,829,650 ) Forward currency contracts (1) – (975,706 ) – (975,706 ) $ (3,829,650 ) $ (975,706 ) $ – $ (4,805,356 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. 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 six month period ended June 30, 2018 and the year ended December 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2018 and the year ended December 31, 2017, 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 recognized as trading gains and losses. Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at 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 June 30, 2018 and December 31, 2017, the Partnership’s restricted cash balance on the Statements of Financial Condition of $7,642,136 and $16,699,269, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2018 and December 31, 2017, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,093,804 and $2,962,145, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”). E. Option Contracts Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the options clearing corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold. As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option. As the writer of an option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received. 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, 2018 and December 31, 2017, 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. 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, 2018 and December 31, 2017 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 June 30, 2018 and December 31, 2017 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. 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 June 30, 2018 or December 31, 2017. 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 2014. 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, 2018 and December 31, 2017 and for the three and six months ended June 30, 2018 and 2017. |
2. PARTNERS' CAPITAL
2. PARTNERS' CAPITAL | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 | |
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 net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners. Total Management Fees earned by the General Partner, for the three and six months ended June 30, 2018 and 2017 are shown on the Statements of Income (Loss). 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, 2018, administrative fees for Class A Interests were $59,631 and $126,789, respectively and administrative fees for Class B Interests were $24,502 and $51,049, respectively. For the three and six months ended June 30, 2017, administrative fees for Class A Interests were $86,876 and $184,545, respectively and administrative fees for Class B Interests were $33,545 and $71,480, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee. C. Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C. Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is the Partnership’s introducing broker. Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary. At June 30, 2018 and December 31, 2017, the Partnership had commissions and brokerage fees payable to its introducing broker of $152,283 and $153,669, respectively, and service fees payable to Altegris Investments of $21,589 and $25,858, respectively. These amounts are included in commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties. The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and six months ended June 30, 2018 and 2017, respectively: Three months ended Six months ended Three months ended Six months ended June 30, 2018 June 30, 2018 June 30, 2017 June 30, 2017 Altegris Clearing Solutions - Brokerage Commission fees $ 492,380 $ 1,030,520 $ 699,401 $ 1,471,188 Altegris Investments- Service fees 66,139 138,789 88,980 189,001 Total $ 558,519 $ 1,169,309 $ 788,381 $ 1,660,189 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, 2018 | |
Advisory Contract | |
ADVISORY CONTRACT | NOTE 4 - ADVISORY CONTRACT The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three and six months ended June 30, 2018 and 2017 are shown on the Statements of Income (Loss). 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 and six months ended June 30, 2018, management fees for Class A Interests were $180,700 and $384,207, respectively, management fees for Class B Interests were $74,248 and $154,697, respectively, management fees for Original Class B Interests were $2,146 and $4,357, respectively, management fees for Special Interests were $47,084 and $95,567, respectively and management fees for Institutional Interests were $62,309 and $133,966, respectively. For the three and six months ended June 30, 2017, management fees for Class A Interests were $263,210 and $559,262, respectively, management fees for Class B Interests were $101,632 and $216,619, respectively, management fees for Original Class B Interests were $4,178 and $9,333, respectively, management fees for Special Interests were $46,014 and $89,747, respectively and management fees for Institutional Interests were $123,480 and $259,661, 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, 2018 | |
Service Fees | |
SERVICE FEES | NOTE 5 - SERVICE FEES Original Class A Interests and Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners holding Institutional Interests. For the three and six months ended June 30, 2018, service fees for General Partner’s Interest, were $19 and $38, respectively, service fees for Class A Interests were $360,732 and $760,032, respectively, service fees for Original Class A Interests were $38,815 and $81,991, respectively and service fees for Institutional Interests were $1,855 and $2,972, respectively. For the three and six months ended June 30, 2017, service fees for General Partner’s Interest, were $18 and $37, respectively, service fees for Class A Interests were $517,108 and $1,105,769, respectively, service fees for Original Class A Interests were $54,262 and $118,489, respectively and service fees for Institutional Interests were $5,113 and $10,100, respectively. Class B, Original Class B and Special Interests did not get charged the service fees. |
6. BROKERAGE COMMISSIONS AND CH
6. BROKERAGE COMMISSIONS AND CHARGES | 6 Months Ended |
Jun. 30, 2018 | |
Brokers and Dealers [Abstract] | |
BROKERAGE COMMISSIONS AND CHARGES | 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. |
7. FINANCIAL DERIVATIVE INSTRUM
7. FINANCIAL DERIVATIVE INSTRUMENTS | 6 Months Ended |
Jun. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
FINANCIAL DERIVATIVE INSTRUMENTS | NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS The Partnership engages in the speculative trading of futures contracts and forward currency contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging The following presents the fair value of derivatives contracts at June 30, 2018 and December 31, 2017. The fair value of derivatives contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition. June 30, 2018 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 557,035 $ (247,147 ) $ 309,888 Currencies 495,568 (10,725 ) 484,843 Energy 1,088,570 (53,639 ) 1,034,931 Interest Rates 721,488 (14,374 ) 707,114 Metals 1,379,464 (879,508 ) 499,956 Stock Indices 14,643 (151,759 ) (137,116 ) Treasury Rates 77,312 (78,915 ) (1,603 ) $ 4,334,080 $ (1,436,067 ) $ 2,898,013 Forward Currency Contracts $ 329,187 $ (551,553 ) $ (222,366 ) Total Gross Fair Value of Derivatives Contracts $ 4,663,267 $ (1,987,620 ) $ 2,675,647 December 31, 2017 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 596,880 $ (204,713 ) $ 392,167 Currencies 213,479 (598,370 ) (384,891 ) Energy 1,359,853 (543,212 ) 816,641 Interest Rates 208,188 (445,496 ) (237,308 ) Metals 3,200,085 (1,208,675 ) 1,991,410 Stock Indices 1,262,437 (733,192 ) 529,245 Treasury Rates 201,234 (95,992 ) 105,242 $ 7,042,156 $ (3,829,650 ) $ 3,212,506 Forward Currency Contracts $ 2,248,858 $ (975,706 ) $ 1,273,152 Total Gross Fair Value of Derivatives Contracts $ 9,291,014 $ (4,805,356 ) $ 4,485,658 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, 2018 and 2017. 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, 2018 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 843,741 $ (194,475 ) Currencies (422,934 ) 349,543 Energy 3,762,571 (323,401 ) Interest Rates (162,129 ) 118,687 Metals 522,086 555,905 Stock Indices 199,592 266,985 Treasury Rates 10,516 164,538 $ 4,753,443 $ 937,782 9,158 (1) Forward Currency Contracts $ (1,090,918 ) $ (212,174 ) (2) Total gain (loss) from derivatives contracts $ 3,662,525 $ 725,608 Six Months ended June 30, 2018 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 212,968 $ (82,279 ) Currencies (3,483,437 ) 869,734 Energy 2,822,578 218,290 Interest Rates (483,490 ) 944,422 Metals 1,451,215 (1,491,454 ) Stock Indices 542,051 (666,361 ) Treasury Rates 23,930 (106,845 ) $ 1,085,815 $ (314,493 ) 22,911 (1) Forward Currency Contracts $ 1,244,467 $ (1,495,518 ) (2) Total gain (loss) from derivatives contracts $ 2,330,282 $ (1,810,011 ) (1) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the year. (2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2018 were 298,596, and 308,492, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2018 were (262,510), and (289,552), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods. Three Months ended June 30, 2017 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 1,688,262 $ (528,868 ) Currencies (5,466,161 ) 1,045,138 Energy (1,680,617 ) (428,156 ) Interest Rates (1,612,134 ) (553,967 ) Metals (904,696 ) (256,501 ) Stock Indices 5,744,212 (1,493,387 ) Treasury Rates (852,586 ) (120,267 ) $ (3,083,720 ) $ (2,336,008 ) 18,147 (1) Forward Currency Contracts $ 1,120,031 $ (925,477 ) (2) Total gain (loss) from derivatives contracts $ (1,963,689 ) $ (3,261,485 ) Six Months ended June 30, 2017 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 1,521,234 $ (696,679 ) Currencies (7,015,620 ) (1,217,650 ) Energy (3,187,585 ) (639,152 ) Interest Rates (1,549,288 ) (1,684,200 ) Metals (2,778,473 ) 142,636 Stock Indices 16,176,409 (2,008,118 ) Treasury Rates (1,215,273 ) (246,297 ) $ 1,951,404 $ (6,349,460 ) 35,737 (1) Forward Currency Contracts $ 3,014,375 $ (417,602 ) (2) Total gain (loss) from derivatives contracts $ 4,965,779 $ (6,767,062 ) (1) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the period. (2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2017 were 427,605, and 474,708, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2017 were (350,515), and (369,167), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods. 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 As of June 30, 2018 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward contracts 329,187 (329,187 ) – – – – Futures contracts 2,218,872 (1,060,257 ) 1,158,615 – – 1,158,615 Total 2,548,059 (1,389,444 ) 1,158,615 – – 1,158,615 Offsetting the Financial Liabilities and Derivative Liabilities As of June 30, 2018 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward contracts (551,553 ) 329,187 (222,366 ) – 222,366 – Futures contracts (1,060,257 ) 1,060,257 – – – – Total (1,611,810 ) 1,389,444 (222,366 ) – 222,366 – Offsetting the Financial Assets and Derivative Assets As of December 31, 2017 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward contracts 2,248,858 (975,706 ) 1,273,152 – – 1,273,152 Futures contracts 5,145,538 (2,382,080 ) 2,763,458 – – 2,763,458 Total 7,394,396 (3,357,786 ) 4,036,610 – – 4,036,610 Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2017 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward contracts (975,706 ) 975,706 – – – – Futures contracts (2,382,080 ) 2,382,080 – – – – Total (3,357,786 ) 3,357,786 – – – – (1) The Partnership posted additional collateral of $8,513,574 for 2018 and $19,661,414 for 2017 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. |
8. FINANCIAL INSTRUMENTS, OFF-B
8. FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES | 6 Months Ended |
Jun. 30, 2018 | |
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 and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk). All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts. The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business. The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions. |
9. INDEMNIFICATIONS
9. INDEMNIFICATIONS | 6 Months Ended |
Jun. 30, 2018 | |
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 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. |
10. FINANCIAL HIGHLIGHTS
10. FINANCIAL HIGHLIGHTS | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 and 2017. This information has been derived from information presented in the financial statements. Three months ended June 30, 2018 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 2.04% 2.29% 2.36% 1.58% 2.08% 2.28% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees 2.04% 2.29% 2.36% 1.58% 2.08% 2.28% Ratio to average net asset value Expenses prior to incentive fees (2) 3.37% 2.41% 2.16% 5.15% 3.21% 2.37% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.37% 2.41% 2.16% 5.15% 3.21% 2.37% Net investment (loss) (1) (2) (1.69)% (0.70)% (0.45)% (3.47)% (1.52)% (0.72)% Six months ended June 30, 2018 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 (1.23)% (0.75)% (0.63)% (2.14)% (1.16)% (0.76)% Incentive fees (0.01)% (0.00)% (0.00)% (0.00)% (0.01)% (0.00)% Total return after incentive fees (1.24)% (0.75)% (0.63)% (2.14)% (1.17)% (0.76)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.31% 2.40% 2.15% 5.17% 3.22% 2.40% Incentive fees (3) 0. 14% 0.00% 0.00% 0.02% 0.01% (0.01)% Total expenses 3.45% 2.40% 2.15% 5.19% 3.23% 2.39% Net investment (loss) (1) (2) (1.86)% (0.90)% (0.65)% (3.70)% (1.73)% (0.93)% Three months ended June 30, 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 (3.28)% (3.04)% (2.98)% (3.73)% (3.25)% (3.05)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (3.28)% (3.04)% (2.98)% (3.73)% (3.25)% (3.05)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.22% 2.26% 2.10% 5.07% 3.11% 2.36% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.22% 2.26% 2.10% 5.07% 3.11% 2.36% Net investment (loss) (1) (2) (2.69)% (1.74)% (1.56)% (4.54)% (2.58)% (1.83)% Six months ended June 30, 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 (2.92)% (2.45)% (2.32)% (3.81)% (2.85)% (2.46)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (2.92)% (2.45)% (2.32)% (3.81)% (2.85)% (2.46)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.25% 2.25% 2.11% 5.08% 3.11% 2.33% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.25% 2.25% 2.11% 5.08% 3.11% 2.33% Net investment (loss) (1) (2) (2.85)% (1.85)% (1.67)% (4.68)% (2.71)% (1.92)% 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. |
11. SUBSEQUENT EVENTS
11. SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2018 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | NOTE 11 - SUBSEQUENT EVENTS Management of the Partnership evaluated subsequent events through the date these financial statements issued, and concluded that no events subsequent to June 30, 2018 have occurred that would require recognition or disclosure, except as noted below. From July 1, 2018 through August 10, 2018, the Partnership had subscriptions of $49,000 and redemptions of $2,377,803. Management has determined there are no additional matters requiring disclosure. |
1. ORGANIZATION AND SIGNIFICA19
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
General Description of the Partnership | 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 General Partner has overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership’s trading activities are conducted pursuant to an advisory contract with Winton Capital Management Limited (the “Advisor”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. |
Method of Reporting | 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 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, 2018 and December 31, 2017, and reported amounts of income and expenses for the three and six months ended June 30, 2018 and 2017, 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 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. When available, the fair value of U.S. government agency bonds and notes is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of June 30, 2018 and December 31, 2017, 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 June 30, 2018 or December 31, 2017, none of the Partnership’s holdings in corporate notes were fair valued using valuation models. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes to the Partnership’s valuation methodology during the six month period ended June 30, 2018 and the year ended December 31, 2017. The following table presents information about the Partnership’s assets and liabilities measured at fair value as June 30, 2018 and December 31, 2017: June 30, 2018 Level 1 Level 2 Level 3 Balance as of June 30, 2018 Assets: Futures contracts (1) $ 4,334,080 $ – $ – $ 4,334,080 Forward currency contracts (1) – 329,187 – 329,187 U.S. Government agency bonds and notes – 87,147,921 – 87,147,921 Corporate notes – 51,432,791 – 51,432,791 $ 4,334,080 $ 138,909,899 $ – $ 143,243,979 Liabilities: Futures contracts (1) $ (1,436,067 ) $ – $ – $ (1,436,067 ) Forward currency contracts (1) – (551,553 ) – (551,553 ) $ (1,436,067 ) $ (551,553 ) $ – $ (1,987,620 ) December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets: Futures contracts (1) $ 7,042,156 $ – $ – $ 7,042,156 Forward currency contracts (1) – 2,248,858 2,248,858 U.S. Government agency bonds and notes – 101,514,933 – 101,514,933 Corporate notes – 51,991,344 – 51,991,344 $ 7,042,156 $ 155,755,135 $ – $ 162,797,291 Liabilities: Futures contracts (1) $ (3,829,650 ) $ – $ – $ (3,829,650 ) Forward currency contracts (1) – (975,706 ) – (975,706 ) $ (3,829,650 ) $ (975,706 ) $ – $ (4,805,356 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. 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 six month period ended June 30, 2018 and the year ended December 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2018 and the year ended December 31, 2017, 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 recognized as trading gains and losses. Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at 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 June 30, 2018 and December 31, 2017, the Partnership’s restricted cash balance on the Statements of Financial Condition of $7,642,136 and $16,699,269, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2018 and December 31, 2017, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,093,804 and $2,962,145, 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”). |
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 an option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received. As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition. As of June 30, 2018 and December 31, 2017, the Partnership did not hold any option contracts. |
Futures 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. 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, 2018 and December 31, 2017 are reflected within the Condensed Schedules of Investments. |
Forward currency contracts | 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 June 30, 2018 and December 31, 2017 are reflected within the Condensed Schedules of Investments. |
Foreign Currency Transactions | 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). |
Cash | 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. |
Offering Costs | 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. |
Income Taxes | 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 June 30, 2018 or December 31, 2017. 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 2014. 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, 2018 and December 31, 2017 and for the three and six months ended June 30, 2018 and 2017. |
1. ORGANIZATION AND SIGNIFICA20
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Partnership's assets and liabilities measured at fair value | The following table presents information about the Partnership’s assets and liabilities measured at fair value as June 30, 2018 and December 31, 2017: June 30, 2018 Level 1 Level 2 Level 3 Balance as of June 30, 2018 Assets: Futures contracts (1) $ 4,334,080 $ – $ – $ 4,334,080 Forward currency contracts (1) – 329,187 – 329,187 U.S. Government agency bonds and notes – 87,147,921 – 87,147,921 Corporate notes – 51,432,791 – 51,432,791 $ 4,334,080 $ 138,909,899 $ – $ 143,243,979 Liabilities: Futures contracts (1) $ (1,436,067 ) $ – $ – $ (1,436,067 ) Forward currency contracts (1) – (551,553 ) – (551,553 ) $ (1,436,067 ) $ (551,553 ) $ – $ (1,987,620 ) December 31, 2017 Level 1 Level 2 Level 3 Balance as of December 31, 2017 Assets: Futures contracts (1) $ 7,042,156 $ – $ – $ 7,042,156 Forward currency contracts (1) – 2,248,858 2,248,858 U.S. Government agency bonds and notes – 101,514,933 – 101,514,933 Corporate notes – 51,991,344 – 51,991,344 $ 7,042,156 $ 155,755,135 $ – $ 162,797,291 Liabilities: Futures contracts (1) $ (3,829,650 ) $ – $ – $ (3,829,650 ) Forward currency contracts (1) – (975,706 ) – (975,706 ) $ (3,829,650 ) $ (975,706 ) $ – $ (4,805,356 ) (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, 2018 | |
Related Party Transactions Tables | |
Fees paid to Altegris Investments and Altegris Futures | Three months ended Six months ended Three months ended Six months ended June 30, 2018 June 30, 2018 June 30, 2017 June 30, 2017 Altegris Clearing Solutions - Brokerage Commission fees $ 492,380 $ 1,030,520 $ 699,401 $ 1,471,188 Altegris Investments- Service fees 66,139 138,789 88,980 189,001 Total $ 558,519 $ 1,169,309 $ 788,381 $ 1,660,189 |
7. FINANCIAL DERIVATIVE INSTR22
7. FINANCIAL DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair value of derivative contracts | June 30, 2018 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 557,035 $ (247,147 ) $ 309,888 Currencies 495,568 (10,725 ) 484,843 Energy 1,088,570 (53,639 ) 1,034,931 Interest Rates 721,488 (14,374 ) 707,114 Metals 1,379,464 (879,508 ) 499,956 Stock Indices 14,643 (151,759 ) (137,116 ) Treasury Rates 77,312 (78,915 ) (1,603 ) $ 4,334,080 $ (1,436,067 ) $ 2,898,013 Forward Currency Contracts $ 329,187 $ (551,553 ) $ (222,366 ) Total Gross Fair Value of Derivatives Contracts $ 4,663,267 $ (1,987,620 ) $ 2,675,647 December 31, 2017 Asset Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 596,880 $ (204,713 ) $ 392,167 Currencies 213,479 (598,370 ) (384,891 ) Energy 1,359,853 (543,212 ) 816,641 Interest Rates 208,188 (445,496 ) (237,308 ) Metals 3,200,085 (1,208,675 ) 1,991,410 Stock Indices 1,262,437 (733,192 ) 529,245 Treasury Rates 201,234 (95,992 ) 105,242 $ 7,042,156 $ (3,829,650 ) $ 3,212,506 Forward Currency Contracts $ 2,248,858 $ (975,706 ) $ 1,273,152 Total Gross Fair Value of Derivatives Contracts $ 9,291,014 $ (4,805,356 ) $ 4,485,658 |
Schedule of realized and unrealized gain (loss) on derivatives | Three Months ended June 30, 2018 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 843,741 $ (194,475 ) Currencies (422,934 ) 349,543 Energy 3,762,571 (323,401 ) Interest Rates (162,129 ) 118,687 Metals 522,086 555,905 Stock Indices 199,592 266,985 Treasury Rates 10,516 164,538 $ 4,753,443 $ 937,782 9,158 (1) Forward Currency Contracts $ (1,090,918 ) $ (212,174 ) (2) Total gain (loss) from derivatives contracts $ 3,662,525 $ 725,608 Six Months ended June 30, 2018 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 212,968 $ (82,279 ) Currencies (3,483,437 ) 869,734 Energy 2,822,578 218,290 Interest Rates (483,490 ) 944,422 Metals 1,451,215 (1,491,454 ) Stock Indices 542,051 (666,361 ) Treasury Rates 23,930 (106,845 ) $ 1,085,815 $ (314,493 ) 22,911 (1) Forward Currency Contracts $ 1,244,467 $ (1,495,518 ) (2) Total gain (loss) from derivatives contracts $ 2,330,282 $ (1,810,011 ) (1) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the year. (2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2018 were 298,596, and 308,492, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2018 were (262,510), and (289,552), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods. Three Months ended June 30, 2017 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 1,688,262 $ (528,868 ) Currencies (5,466,161 ) 1,045,138 Energy (1,680,617 ) (428,156 ) Interest Rates (1,612,134 ) (553,967 ) Metals (904,696 ) (256,501 ) Stock Indices 5,744,212 (1,493,387 ) Treasury Rates (852,586 ) (120,267 ) $ (3,083,720 ) $ (2,336,008 ) 18,147 (1) Forward Currency Contracts $ 1,120,031 $ (925,477 ) (2) Total gain (loss) from derivatives contracts $ (1,963,689 ) $ (3,261,485 ) Six Months ended June 30, 2017 Type of Derivatives Contracts Realized Change in Unrealized Number of Contracts Closed Futures Contracts Agricultural $ 1,521,234 $ (696,679 ) Currencies (7,015,620 ) (1,217,650 ) Energy (3,187,585 ) (639,152 ) Interest Rates (1,549,288 ) (1,684,200 ) Metals (2,778,473 ) 142,636 Stock Indices 16,176,409 (2,008,118 ) Treasury Rates (1,215,273 ) (246,297 ) $ 1,951,404 $ (6,349,460 ) 35,737 (1) Forward Currency Contracts $ 3,014,375 $ (417,602 ) (2) Total gain (loss) from derivatives contracts $ 4,965,779 $ (6,767,062 ) (1) These closed contract amounts are representative of the Partnership's volume of derivative activity for futures contracts during the period. (2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2017 were 427,605, and 474,708, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2017 were (350,515), and (369,167), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods. |
Schedule of Offsetting Assets | Offsetting the Financial Assets and Derivative Assets As of June 30, 2018 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward contracts 329,187 (329,187 ) – – – – Futures contracts 2,218,872 (1,060,257 ) 1,158,615 – – 1,158,615 Total 2,548,059 (1,389,444 ) 1,158,615 – – 1,158,615 Offsetting the Financial Assets and Derivative Assets As of December 31, 2017 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward contracts 2,248,858 (975,706 ) 1,273,152 – – 1,273,152 Futures contracts 5,145,538 (2,382,080 ) 2,763,458 – – 2,763,458 Total 7,394,396 (3,357,786 ) 4,036,610 – – 4,036,610 |
Schedule of Offsetting Liabilities | Offsetting the Financial Liabilities and Derivative Liabilities As of June 30, 2018 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward contracts (551,553 ) 329,187 (222,366 ) – 222,366 – Futures contracts (1,060,257 ) 1,060,257 – – – – Total (1,611,810 ) 1,389,444 (222,366 ) – 222,366 – Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2017 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward contracts (975,706 ) 975,706 – – – – Futures contracts (2,382,080 ) 2,382,080 – – – – Total (3,357,786 ) 3,357,786 – – – – (1) The Partnership posted additional collateral of $2,304,821 for 2018 and $1,548,029 for 2017 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. |
10. FINANCIAL HIGHLIGHTS (Table
10. FINANCIAL HIGHLIGHTS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Quarterly Financial Information Disclosure [Abstract] | |
Financial highlights of the Partnership | Three months ended June 30, 2018 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 2.04% 2.29% 2.36% 1.58% 2.08% 2.28% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees 2.04% 2.29% 2.36% 1.58% 2.08% 2.28% Ratio to average net asset value Expenses prior to incentive fees (2) 3.37% 2.41% 2.16% 5.15% 3.21% 2.37% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.37% 2.41% 2.16% 5.15% 3.21% 2.37% Net investment (loss) (1) (2) (1.69)% (0.70)% (0.45)% (3.47)% (1.52)% (0.72)% Six months ended June 30, 2018 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 (1.23)% (0.75)% (0.63)% (2.14)% (1.16)% (0.76)% Incentive fees (0.01)% (0.00)% (0.00)% (0.00)% (0.01)% (0.00)% Total return after incentive fees (1.24)% (0.75)% (0.63)% (2.14)% (1.17)% (0.76)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.31% 2.40% 2.15% 5.17% 3.22% 2.40% Incentive fees (3) 0. 14% 0.00% 0.00% 0.02% 0.01% (0.01)% Total expenses 3.45% 2.40% 2.15% 5.19% 3.23% 2.39% Net investment (loss) (1) (2) (1.86)% (0.90)% (0.65)% (3.70)% (1.73)% (0.93)% Three months ended June 30, 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 (3.28)% (3.04)% (2.98)% (3.73)% (3.25)% (3.05)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (3.28)% (3.04)% (2.98)% (3.73)% (3.25)% (3.05)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.22% 2.26% 2.10% 5.07% 3.11% 2.36% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.22% 2.26% 2.10% 5.07% 3.11% 2.36% Net investment (loss) (1) (2) (2.69)% (1.74)% (1.56)% (4.54)% (2.58)% (1.83)% Six months ended June 30, 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 (2.92)% (2.45)% (2.32)% (3.81)% (2.85)% (2.46)% Incentive fees (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% (0.00)% Total return after incentive fees (2.92)% (2.45)% (2.32)% (3.81)% (2.85)% (2.46)% Ratio to average net asset value Expenses prior to incentive fees (2) 3.25% 2.25% 2.11% 5.08% 3.11% 2.33% Incentive fees (3) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total expenses 3.25% 2.25% 2.11% 5.08% 3.11% 2.33% Net investment (loss) (1) (2) (2.85)% (1.85)% (1.67)% (4.68)% (2.71)% (1.92)% 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. |
1. ORGANIZATION AND SIGNIFICA24
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Partnership's assets and liabilities at fair value (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Assets | ||
Futures contracts | $ 4,334,080 | $ 7,042,156 |
Forward currency contracts | 329,187 | 2,248,858 |
U.S. Government agency bonds and notes | 87,147,921 | 101,514,933 |
Corporate notes | 51,432,791 | 51,991,344 |
Total Assets | 143,243,979 | 162,797,291 |
Liabilities | ||
Futures contracts | (1,436,067) | (3,829,650) |
Forward currency contracts | (551,553) | (975,706) |
Total Liabilities | (1,987,620) | (4,805,356) |
Level 1 [Member] | ||
Assets | ||
Futures contracts | 4,334,080 | 7,042,156 |
Forward currency contracts | 0 | 0 |
U.S. Government agency bonds and notes | 0 | 0 |
Corporate notes | 0 | 0 |
Total Assets | 4,334,080 | 7,042,156 |
Liabilities | ||
Futures contracts | (1,436,067) | (3,829,650) |
Forward currency contracts | 0 | 0 |
Total Liabilities | (1,436,067) | (3,829,650) |
Level 2 [Member] | ||
Assets | ||
Futures contracts | 0 | 0 |
Forward currency contracts | 329,187 | 2,248,858 |
U.S. Government agency bonds and notes | 87,147,921 | 101,514,933 |
Corporate notes | 51,432,791 | 51,991,344 |
Total Assets | 138,909,899 | 155,755,135 |
Liabilities | ||
Futures contracts | 0 | 0 |
Forward currency contracts | (551,553) | (975,706) |
Total Liabilities | (551,553) | (975,706) |
Level 3 [Member] | ||
Assets | ||
Futures contracts | 0 | 0 |
Forward currency contracts | 0 | 0 |
U.S. Government agency bonds and notes | 0 | 0 |
Corporate notes | 0 | 0 |
Total Assets | 0 | 0 |
Liabilities | ||
Futures contracts | 0 | 0 |
Forward currency contracts | 0 | 0 |
Total Liabilities | $ 0 | $ 0 |
1. ORGANIZATION AND SIGNIFICA25
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||
Transfers between Level 1 and Level 2 assets and liabilities | $ 0 | $ 0 | $ 0 | ||
Level 3 Securities | 0 | 0 | |||
Restricted cash | 7,642,136 | 7,642,136 | 16,699,269 | ||
Restricted foreign currency | 1,093,804 | 1,093,804 | 2,962,145 | ||
Recognized interest expense or penalties | 0 | $ 0 | 0 | $ 0 | |
Liability for unrecognized tax benefits | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 |
2. PARTNERS' CAPITAL (Details N
2. PARTNERS' CAPITAL (Details Narrative) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Equity [Abstract] | ||
Partner distibutions | $ 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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Notes to Financial Statements | ||||
Altegris Clearing Solutions - Brokerage Commission fees | $ 492,380 | $ 1,030,520 | $ 699,401 | $ 1,471,188 |
Altegris Investments - Service fees | 66,139 | 138,789 | 88,980 | 189,001 |
Brokerage-related services expense | $ 558,519 | $ 1,169,309 | $ 788,381 | $ 1,660,189 |
3. RELATED PARTY TRANSACTION (D
3. RELATED PARTY TRANSACTION (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Administrative fee | $ 84,133 | $ 120,421 | $ 177,838 | $ 256,025 | |
Commissions and brokerage fees payable | 182,493 | 182,493 | $ 204,909 | ||
Service fees payable | 146,427 | 146,427 | 197,719 | ||
Altegris Investments [Member] | |||||
Commissions and brokerage fees payable | 152,283 | 152,283 | 153,669 | ||
Service fees payable | 21,589 | $ 21,589 | $ 25,858 | ||
Limited Partners, Class A [Member] | |||||
Monthly Management Fee | 0.104% | ||||
Annual Management Fee | 1.25% | ||||
Monthly Administrative Fee | 0.0275% | ||||
Annual Administrative Fee | 0.33% | ||||
Compensation for interests sold by Altegris Investments that are outstanding at month end | 2.00% | ||||
Administrative fee | 59,631 | 86,876 | $ 126,789 | 184,545 | |
Limited Partners, Class B [Member] | |||||
Monthly Management Fee | 0.104% | ||||
Annual Management Fee | 1.25% | ||||
Monthly Administrative Fee | 0.0275% | ||||
Annual Administrative Fee | 0.33% | ||||
Administrative fee | $ 24,502 | $ 33,545 | $ 51,049 | $ 71,480 | |
Limited Partners, Original Class A [Member] | |||||
Monthly Management Fee | 0.0625% | ||||
Annual Management Fee | 0.75% | ||||
Limited Partners, Original Class B [Member] | |||||
Monthly Management Fee | 0.146% | ||||
Annual Management Fee | 1.75% | ||||
Limited Partners, Special Interests [Member] | |||||
Monthly Management Fee | 0.0417% | ||||
Annual Management Fee | 0.50% | ||||
Limited Partners, Institutional Interests [Member] | |||||
Monthly Management Fee | 0.0625% | ||||
Annual Management Fee | 0.75% |
4. ADVISORY CONTRACT (Details N
4. ADVISORY CONTRACT (Details Narrative) - USD ($) | 3 Months Ended | 4 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Apr. 30, 2018 | Jun. 30, 2018 | Jun. 30, 2017 | |
Advisor quarterly incentive fee | 20.00% | ||||
Management fee | $ 405,136 | $ 595,606 | $ 856,443 | $ 1,261,281 | |
Limited Partners, Class A [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% | ||||
Management fee | 180,700 | 263,210 | $ 384,207 | 559,262 | |
Limited Partners, Class B [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% | ||||
Management fee | 74,248 | 101,632 | $ 154,697 | 216,619 | |
Limited Partners, Original Class B [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% | ||||
Management fee | 2,146 | 4,178 | $ 4,357 | 9,333 | |
Limited Partners, Special Interests [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% | ||||
Management fee | $ 47,084 | 46,014 | $ 95,567 | 89,747 | |
Limited Partners, Institutional Interests [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% | ||||
Management fee | $ 123,480 | $ 62,309 | $ 133,966 | $ 259,661 | |
General Partner [Member] | |||||
Advisor monthly management fee | 0.083% | ||||
Advisor annual management fee | 1.00% |
5. SERVICE FEES (Details Narrat
5. SERVICE FEES (Details Narrative) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Service fees | $ 401,421 | $ 576,501 | $ 845,033 | $ 1,234,395 |
General Partners Interest [Member] | ||||
Service fees | 19 | 18 | $ 38 | 37 |
Limited Partners, Class A [Member] | ||||
Ongoing Sales Service Fees | 0.166% | |||
Annual Sales Service Fees | 2.00% | |||
Service fees | 360,732 | 517,108 | $ 760,032 | 1,105,769 |
Limited Partners, Original Class A [Member] | ||||
Ongoing Sales Service Fees | 0.166% | |||
Annual Sales Service Fees | 2.00% | |||
Service fees | 38,815 | 54,262 | $ 81,991 | 118,489 |
Institutional Interests [Member] | ||||
Ongoing Sales Service Fees | 0.0417% | |||
Annual Sales Service Fees | 0.50% | |||
Service fees | $ 1,855 | $ 5,113 | $ 2,972 | $ 10,100 |
7. FINANCIAL DERIVATIVE INSTR31
7. FINANCIAL DERIVATIVE INSTRUMENTS - Fair value of derivative contracts (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Asset Derivatives Fair Value, Futures Contracts | $ 4,663,267 | $ 9,291,014 |
Liability Derivatives Fair Value, Futures Contracts | (1,987,620) | (4,805,356) |
Net Fair Value, Futures Contracts | 2,675,647 | 4,485,658 |
Futures Contracts [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 4,334,080 | 7,042,156 |
Liability Derivatives Fair Value, Futures Contracts | (1,436,067) | (3,829,650) |
Net Fair Value, Futures Contracts | 2,898,013 | 3,212,506 |
Futures Contracts [Member] | Agriculture [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 557,035 | 596,880 |
Liability Derivatives Fair Value, Futures Contracts | (247,147) | (204,713) |
Net Fair Value, Futures Contracts | 309,888 | 392,167 |
Futures Contracts [Member] | Currencies [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 495,568 | 213,479 |
Liability Derivatives Fair Value, Futures Contracts | (10,725) | (598,370) |
Net Fair Value, Futures Contracts | 484,843 | (384,891) |
Futures Contracts [Member] | Energy [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 1,088,570 | 1,359,853 |
Liability Derivatives Fair Value, Futures Contracts | (53,639) | (543,212) |
Net Fair Value, Futures Contracts | 1,034,931 | 816,641 |
Futures Contracts [Member] | Interest Rates [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 721,488 | 208,188 |
Liability Derivatives Fair Value, Futures Contracts | (14,374) | (445,496) |
Net Fair Value, Futures Contracts | 707,114 | (237,308) |
Futures Contracts [Member] | Metals [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 1,379,464 | 3,200,085 |
Liability Derivatives Fair Value, Futures Contracts | (879,508) | (1,208,675) |
Net Fair Value, Futures Contracts | 499,956 | 1,991,410 |
Futures Contracts [Member] | Stock Indices [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 14,643 | 1,262,437 |
Liability Derivatives Fair Value, Futures Contracts | (151,759) | (733,192) |
Net Fair Value, Futures Contracts | (137,116) | 529,245 |
Futures Contracts [Member] | Treasury Rates [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 77,312 | 201,234 |
Liability Derivatives Fair Value, Futures Contracts | (78,915) | (95,992) |
Net Fair Value, Futures Contracts | (1,603) | 105,242 |
Forward Contracts [Member] | Currencies [Member] | ||
Asset Derivatives Fair Value, Futures Contracts | 329,187 | 2,248,858 |
Liability Derivatives Fair Value, Futures Contracts | (551,553) | (975,706) |
Net Fair Value, Futures Contracts | $ (222,366) | $ 1,273,152 |
7. FINANCIAL DERIVATIVE INSTR32
7. FINANCIAL DERIVATIVE INSTRUMENTS - Trading results of derivative trading (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018USD ($)Integer | Jun. 30, 2017USD ($)Integer | Jun. 30, 2018USD ($)Integer | Jun. 30, 2017USD ($)Integer | |
Realized, Futures Contracts | $ 3,662,525 | $ (1,963,689) | $ 2,330,282 | $ 4,965,779 |
Change in Unrealized, Futures Contracts | 725,608 | (3,261,485) | (1,810,011) | (6,767,062) |
Futures Contracts [Member] | ||||
Realized, Futures Contracts | 4,753,443 | (3,083,720) | 1,085,815 | 1,951,404 |
Change in Unrealized, Futures Contracts | $ 937,782 | $ (2,336,008) | $ (314,493) | $ (6,349,460) |
Number of Contracts Closed | Integer | 9,158 | 18,147 | 22,911 | 35,737 |
Futures Contracts [Member] | Agriculture [Member] | ||||
Realized, Futures Contracts | $ 843,741 | $ 1,688,262 | $ 212,968 | $ 1,521,234 |
Change in Unrealized, Futures Contracts | (194,475) | (528,868) | (82,279) | (696,679) |
Futures Contracts [Member] | Currencies [Member] | ||||
Realized, Futures Contracts | (422,934) | (5,466,161) | (3,483,437) | (7,015,620) |
Change in Unrealized, Futures Contracts | 349,543 | 1,045,138 | 869,734 | (1,217,650) |
Futures Contracts [Member] | Energy [Member] | ||||
Realized, Futures Contracts | 3,762,571 | (1,680,617) | 2,822,578 | (3,187,585) |
Change in Unrealized, Futures Contracts | (323,401) | (428,156) | 218,290 | (639,152) |
Futures Contracts [Member] | Interest Rates [Member] | ||||
Realized, Futures Contracts | (162,129) | (1,612,134) | (483,490) | (1,549,288) |
Change in Unrealized, Futures Contracts | 118,687 | (553,967) | 944,422 | (1,684,200) |
Futures Contracts [Member] | Metals [Member] | ||||
Realized, Futures Contracts | 522,086 | (904,696) | 1,451,215 | (2,778,473) |
Change in Unrealized, Futures Contracts | 555,905 | (256,501) | (1,491,454) | 142,636 |
Futures Contracts [Member] | Stock Indices [Member] | ||||
Realized, Futures Contracts | 199,592 | 5,744,212 | 542,051 | 16,176,409 |
Change in Unrealized, Futures Contracts | 266,985 | (1,493,387) | (666,361) | (2,008,118) |
Futures Contracts [Member] | Treasury Rates [Member] | ||||
Realized, Futures Contracts | 10,516 | (852,586) | 23,930 | (1,215,273) |
Change in Unrealized, Futures Contracts | 164,538 | (120,267) | (106,845) | (246,297) |
Forward Contracts [Member] | Currencies [Member] | ||||
Realized, Futures Contracts | (1,090,918) | 1,120,031 | 1,244,467 | 3,014,375 |
Change in Unrealized, Futures Contracts | $ (212,174) | $ (925,477) | $ (1,495,518) | $ (417,602) |
7. FINANCIAL DERIVATIVE INSTR33
7. FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Gross Amounts of Recognized Assets | $ 2,548,059 | $ 7,394,396 |
Gross Amounts Offset in the Statement of Financial Condition | (1,389,444) | (3,357,786) |
Net Amounts of Assets Presented in the Statement of Financial Condition | 1,158,615 | 4,036,610 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 1,158,615 | 4,036,610 |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities | (1,611,810) | (3,357,786) |
Gross Amounts Offset in the Statement of Financial Condition | 1,389,444 | 3,357,786 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | (222,366) | 0 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Pledged | 222,366 | 0 |
Net Amount | 0 | 0 |
Forward Contracts [Member] | ||
Gross Amounts of Recognized Assets | 329,187 | 2,248,858 |
Gross Amounts Offset in the Statement of Financial Condition | (329,187) | (975,706) |
Net Amounts of Assets Presented in the Statement of Financial Condition | 0 | 1,273,152 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 0 | 1,273,152 |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities | (551,553) | (975,706) |
Gross Amounts Offset in the Statement of Financial Condition | 329,187 | 975,706 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | (222,366) | 0 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Pledged | 222,366 | 0 |
Net Amount | 0 | 0 |
Futures Contracts [Member] | ||
Gross Amounts of Recognized Assets | 2,218,872 | 5,145,538 |
Gross Amounts Offset in the Statement of Financial Condition | (1,060,257) | (2,382,080) |
Net Amounts of Assets Presented in the Statement of Financial Condition | 1,158,615 | 2,763,458 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Received | 0 | 0 |
Net Amount | 1,158,615 | 2,763,458 |
Offsetting the Financial Liabilities and Derivative Liabilities | ||
Gross Amounts of Recognized Liabilities | (1,060,257) | (2,382,080) |
Gross Amounts Offset in the Statement of Financial Condition | 1,060,257 | 2,382,080 |
Net Amounts of Liabilities Presented in the Statement of Financial Condition | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Condition | ||
Financial Instruments | 0 | 0 |
Cash Collateral Pledged | 0 | 0 |
Net Amount | $ 0 | $ 0 |
7. FINANCIAL DERIVATIVE INSTR34
7. FINANCIAL DERIVATIVE INSTRUMENTS (Details Narrative) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018USD ($)Integer | Jun. 30, 2017Integer | Jun. 30, 2018USD ($)Integer | Jun. 30, 2017Integer | Dec. 31, 2017USD ($) | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||
Number of long contracts closed using average cost | 298,596 | 427,605 | 308,492 | 474,708 | |
Number of short contracts closed using average cost | (262,510) | (350,515) | (289,552) | (369,167) | |
Collateral posted with Clearing Broker | $ | $ 8,513,574 | $ 8,513,574 | $ 19,661,414 |
10. FINANCIAL HIGHLIGHTS - Fina
10. FINANCIAL HIGHLIGHTS - Financial highlights of the Partnership (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Limited Partners, Original Class A [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 2.04% | (3.28%) | (1.23%) | (2.92%) |
Incentive fees | 0.00% | 0.00% | (0.01%) | 0.00% |
Total return after incentive fees | 2.04% | (3.28%) | (1.24%) | (2.92%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 3.37% | 3.22% | 3.31% | 3.25% |
Incentive fees | 0.00% | 0.00% | 0.14% | 0.00% |
Total expenses | 3.37% | 3.22% | 3.45% | 3.25% |
Net investment (loss) | (1.69%) | (2.69%) | (1.86%) | (2.85%) |
Limited Partners, Original Class B [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 2.29% | (3.04%) | (0.75%) | (2.45%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | 2.29% | (3.04%) | (0.75%) | (2.45%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 2.41% | 2.26% | 2.40% | 2.25% |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total expenses | 2.41% | 2.26% | 2.40% | 2.25% |
Net investment (loss) | (0.70%) | (1.74%) | (0.90%) | (1.85%) |
Limited Partners, Special Interests [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 2.36% | (2.98%) | (0.63%) | (2.32%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | 2.36% | (2.98%) | (0.63%) | (2.32%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 2.16% | 2.10% | 2.15% | 2.11% |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total expenses | 2.16% | 2.10% | 2.15% | 2.11% |
Net investment (loss) | (0.45%) | (1.56%) | (0.65%) | (1.67%) |
Limited Partners, Class A [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 1.58% | (3.73%) | (2.14%) | (3.81%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | 1.58% | (3.73%) | (2.14%) | (3.81%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 5.15% | 5.07% | 5.17% | 5.08% |
Incentive fees | 0.00% | 0.00% | 0.02% | 0.00% |
Total expenses | 5.15% | 5.07% | 5.19% | 5.08% |
Net investment (loss) | (3.47%) | (4.54%) | (3.70%) | (4.68%) |
Limited Partners, Class B [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 2.08% | (3.25%) | (1.16%) | (2.85%) |
Incentive fees | 0.00% | 0.00% | (0.01%) | 0.00% |
Total return after incentive fees | 2.08% | (3.25%) | (1.17%) | (2.85%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 3.21% | 3.11% | 3.22% | 3.11% |
Incentive fees | 0.00% | 0.00% | 0.01% | 0.00% |
Total expenses | 3.21% | 3.11% | 3.23% | 3.11% |
Net investment (loss) | (1.52%) | (2.58%) | (1.73%) | (2.71%) |
Limited Partners, Institutional Interests [Member] | ||||
Total return for Limited Partners | ||||
Total return prior to incentive fees | 2.28% | (3.05%) | (0.76%) | (2.46%) |
Incentive fees | 0.00% | 0.00% | 0.00% | 0.00% |
Total return after incentive fees | 2.28% | (3.05%) | (0.76%) | (2.46%) |
Ratio to average net asset value | ||||
Expenses prior to incentive fees | 2.37% | 2.36% | 2.40% | 2.33% |
Incentive fees | 0.00% | 0.00% | (0.01%) | 0.00% |
Total expenses | 2.37% | 2.36% | 2.39% | 2.33% |
Net investment (loss) | (0.72%) | (1.83%) | (0.93%) | (1.92%) |
11. SUBSEQUENT EVENTS (Details
11. SUBSEQUENT EVENTS (Details Narrative) - Subsequent Event [Member] | 1 Months Ended |
Aug. 10, 2018USD ($) | |
Partnership subscriptions | $ 49,000 |
Partnership redemptions | $ 2,377,803 |