Cover
Cover - USD ($) | 12 Months Ended | |
Dec. 31, 2023 | Jun. 30, 2023 | |
Cover [Abstract] | ||
Document Type | 10-K | |
Amendment Flag | false | |
Document Annual Report | true | |
Document Transition Report | false | |
Document Period End Date | Dec. 31, 2023 | |
Document Fiscal Period Focus | FY | |
Document Fiscal Year Focus | 2023 | |
Current Fiscal Year End Date | --12-31 | |
Entity File Number | 000-53348 | |
Entity Registrant Name | ALTEGRIS WINTON FUTURES FUND, L.P. | |
Entity Central Index Key | 0001198415 | |
Entity Tax Identification Number | 84-1496732 | |
Entity Incorporation, State or Country Code | CO | |
Entity Address, Address Line One | c/o ALTEGRIS ADVISORS, L.L.C. | |
Entity Address, Address Line Two | 1200 Prospect Street | |
Entity Address, Address Line Three | Suite 400 | |
Entity Address, City or Town | La Jolla | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 92037 | |
City Area Code | (858) | |
Local Phone Number | 459-7040 | |
Title of 12(g) Security | Limited Partnership Interests | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Public Float | $ 0 | |
Entity Public Float | 0 | |
ICFR Auditor Attestation Flag | false | |
Document Financial Statement Error Correction [Flag] | false | |
Rule 10b5-1 Arrangement Adopted [Flag] | false | |
Non-Rule 10b5-1 Arrangement Adopted [Flag] | false | |
Rule 10b5-1 Arrangement Terminated [Flag] | false | |
Non-Rule 10b5-1 Arrangement Terminated [Flag] | false | |
Auditor Firm ID | 349 | |
Auditor Name | Spice Jeffries LLP | |
Auditor Location | Denver, Colorado |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 |
Equity in commodity broker account: | ||
Cash deposit with broker | $ 3,882,471 | $ 3,651,929 |
Segregated cash | 654,879 | 943,336 |
Segregated foreign currency (cost - $243,314 and $126,967) | 248,240 | 126,106 |
Net unrealized gain on open forward contracts | 0 | 14,480 |
Net unrealized gain on open futures contracts | 62,896 | 289,211 |
Total assets in commodity broker account | 4,848,486 | 5,025,062 |
Investment securities, at fair value (cost - $10,754,640 and $12,366,052) | 10,782,617 | 12,375,933 |
Cash | 216,327 | 214,955 |
Total assets | 15,847,430 | 17,615,950 |
LIABILITIES | ||
Net unrealized loss on open forward contracts | 15,788 | 0 |
Total liabilities in commodity broker account | 15,788 | 0 |
Redemptions payable | 83,090 | 80,306 |
Commissions payable | 19,133 | 21,757 |
Management fee payable | 15,532 | 16,935 |
Service fees payable | 26,559 | 16,409 |
Advisory fee payable | 12,436 | 13,813 |
Administrative fee payable | 3,661 | 3,935 |
Other liabilities | 48,665 | 47,574 |
Total liabilities | 224,864 | 200,729 |
PARTNERS’ CAPITAL (NET ASSET VALUE) | ||
General Partner | 3,661 | 3,412 |
Limited Partners | 15,618,905 | 17,411,809 |
Total partners’ capital (Net Asset Value) | 15,622,566 | 17,415,221 |
Total liabilities and partners’ capital | $ 15,847,430 | $ 17,615,950 |
STATEMENTS OF FINANCIAL CONDI_2
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 |
Statements Of Financial Condition | ||
Segregated foreign currency cost | $ 243,314 | $ 126,967 |
Fair value at cost | $ 10,754,640 | $ 12,366,052 |
CONDENSED SCHEDULES OF INVESTME
CONDENSED SCHEDULES OF INVESTMENTS | 12 Months Ended | |
Dec. 31, 2023 USD ($) NumberOfContracts | Dec. 31, 2022 USD ($) NumberOfContracts | |
Future [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 62,896 | $ 289,211 |
% of Partners Capital | 0.41% | 1.66% |
Future [Member] | Long Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Investment Owned, Balance, Contracts | NumberOfContracts | 181 | 201 |
Fair Value | $ 191,761 | $ 154,233 |
% of Partners Capital | 1.23% | 0.88% |
Future [Member] | Long Futures Contracts [Member] | Agriculture [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24 - May 24 | Feb 23 - May 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 40 | 129 |
Fair Value | $ 108,140 | $ 160,798 |
% of Partners Capital | 0.69% | 0.92% |
Future [Member] | Long Futures Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24 | Mar 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 39 | 15 |
Fair Value | $ 18,198 | $ (2,619) |
% of Partners Capital | 0.12% | (0.02%) |
Future [Member] | Long Futures Contracts [Member] | Energies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Apr 24 - Dec 24 | June 23 - Dec 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 3 | 2 |
Fair Value | $ (21,265) | $ (16,006) |
% of Partners Capital | (0.14%) | (0.09%) |
Future [Member] | Long Futures Contracts [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24 - Sep 26 | Mar 23 - Jun 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 12 | 6 |
Fair Value | $ 8,927 | $ 412 |
% of Partners Capital | 0.06% | 0% |
Future [Member] | Long Futures Contracts [Member] | Metals [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Feb 24 - Apr 24 | Jan 23 - Apr 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 40 | 22 |
Fair Value | $ 35,878 | $ 45,840 |
% of Partners Capital | 0.23% | 0.27% |
Future [Member] | Long Futures Contracts [Member] | Stock Indices [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Jan 24- Mar 24 | Jan 23 - Mar 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 47 | 27 |
Fair Value | $ 41,883 | $ (34,192) |
% of Partners Capital | 0.27% | (0.20%) |
Future [Member] | Short Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Investment Owned, Balance, Contracts | NumberOfContracts | 177 | 281 |
Fair Value | $ (128,865) | $ 134,978 |
% of Partners Capital | (0.82%) | 0.78% |
Future [Member] | Short Futures Contracts [Member] | Agriculture [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Feb 24- June 24 | Feb 23 - May 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 48 | 22 |
Fair Value | $ 19,881 | $ (15,473) |
% of Partners Capital | 0.13% | (0.09%) |
Future [Member] | Short Futures Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24 | Mar 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 28 | 34 |
Fair Value | $ (35,696) | $ (77,390) |
% of Partners Capital | (0.23%) | (0.44%) |
Future [Member] | Short Futures Contracts [Member] | Energies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24- Dec 24 | Feb 23 - Mar 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 22 | 7 |
Fair Value | $ 1,389 | $ 33,180 |
% of Partners Capital | 0.01% | 0.19% |
Future [Member] | Short Futures Contracts [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24- Sep 25 | Mar 23 - Dec 25 |
Investment Owned, Balance, Contracts | NumberOfContracts | 31 | 188 |
Fair Value | $ (54,374) | $ 196,672 |
% of Partners Capital | (0.35%) | 1.13% |
Future [Member] | Short Futures Contracts [Member] | Metals [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Mar 24 | Jan 23 - Feb 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 17 | 3 |
Fair Value | $ (22,651) | $ (14,888) |
% of Partners Capital | (0.14%) | (0.09%) |
Future [Member] | Short Futures Contracts [Member] | Stock Indices [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Jan 24- Mar 24 | Jan 23 - Mar 23 |
Investment Owned, Balance, Contracts | NumberOfContracts | 31 | 27 |
Fair Value | $ (37,414) | $ 12,877 |
% of Partners Capital | (0.24%) | 0.08% |
Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ (15,788) | $ 14,480 |
% of Partners Capital | (0.10%) | 0.08% |
Forward Contracts [Member] | Unrealized Gain Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Jan 24 - Mar 24 | Jan 23 - Mar 23 |
Fair Value | $ 7,872 | $ 21,701 |
% of Partners Capital | 0.05% | 0.12% |
Forward Contracts [Member] | Unrealized Loss Forward Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
[custom:ExpirationDates] | Jan 24 - Mar 24 | Jan 23 - Mar 23 |
Fair Value | $ (23,660) | $ (7,221) |
% of Partners Capital | (0.15%) | (0.04%) |
U S Government Securities [Member] | ||
Schedule of Investments [Line Items] | ||
Fair Value | $ 10,782,617 | $ 12,375,933 |
% of Partners Capital | 69.02% | 71.06% |
CONDENSED SCHEDULES OF INVEST_2
CONDENSED SCHEDULES OF INVESTMENTS (Parenthetical) - USD ($) | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Face value | $ 10,800,000 | $ 12,400,000 |
U S Government Securities [Member] | ||
Investment Maturity Date | Jan-24 | Jan-23 |
STATEMENTS OF INCOME (LOSS)
STATEMENTS OF INCOME (LOSS) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
TRADING GAINS (LOSSES) | |||
Net realized | $ 1,472,341 | $ 3,051,811 | $ 3,587,942 |
Net change in unrealized | (256,583) | 295,979 | (1,175,965) |
Brokerage commissions | (243,725) | (289,841) | (387,225) |
Net gain from trading derivatives contracts | 972,033 | 3,057,949 | 2,024,752 |
Gain (loss) on trading of foreign currency | |||
Net realized | (8,284) | 1,483 | 11,433 |
Net change in unrealized | 5,787 | (1,615) | (21,339) |
Net loss from trading of foreign currency | (2,497) | (132) | (9,906) |
Total trading gains | 969,536 | 3,057,817 | 2,014,846 |
Income | |||
Interest income | 740,136 | 227,692 | 126 |
Expenses | |||
Management fee | 189,533 | 221,398 | 292,695 |
Service fee | 156,180 | 186,665 | 250,299 |
Advisory fee | 152,340 | 179,765 | 241,892 |
Professional fees | 85,054 | 83,479 | 84,105 |
Administrative fee | 44,662 | 51,465 | 65,387 |
Incentive fee | 145,792 | 102,565 | 5,069 |
Interest expense | 1,715 | 7,349 | 27,789 |
Other expenses | 12,266 | 23,318 | 12,271 |
Total expenses | 787,542 | 856,004 | 979,507 |
Net investment loss | (47,406) | (628,312) | (979,381) |
NET INCOME | $ 922,130 | $ 2,429,505 | $ 1,035,465 |
STATEMENTS OF CHANGES IN PARTNE
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE) - USD ($) | Limited Partners Original Class A [Member] | Limited Partners Original Class B [Member] | Limited Partners Class A [Member] | Limited Partners Class B [Member] | Limited Partners Institutional Interests [Member] | General Partners [Member] | Total |
Beginning balance, value at Dec. 31, 2020 | $ 2,777,153 | $ 155,990 | $ 16,445,631 | $ 7,582,715 | $ 5,530,827 | $ 2,933 | $ 32,495,249 |
Transfers | (1,057,136) | 1,057,136 | (1,680,816) | 1,680,816 | 0 | 0 | 0 |
Capital withdrawals | (610,189) | (344,258) | (5,171,193) | (3,534,578) | (4,290,993) | 0 | (13,951,211) |
Net investment gain (loss) | (43,421) | (19,920) | (617,375) | (220,352) | (78,214) | (99) | (979,381) |
Net realized gain from investments (net of brokerage commissions) | 238,969 | 49,639 | 1,585,100 | 809,463 | 528,663 | 316 | 3,212,150 |
Net change in unrealized loss from investments | (102,237) | (12,605) | (619,835) | (258,841) | (203,656) | (130) | (1,197,304) |
Net income | 93,311 | 17,114 | 347,890 | 330,270 | 246,793 | 87 | 1,035,465 |
Ending balance, value at Dec. 31, 2021 | 1,203,139 | 885,982 | 9,941,512 | 6,059,223 | 1,486,627 | 3,020 | 19,579,503 |
Transfers | 0 | 0 | (163,609) | 163,609 | 0 | 0 | 0 |
Capital withdrawals | (389,804) | (219,255) | (3,043,064) | (727,118) | (214,546) | 0 | (4,593,787) |
Net investment gain (loss) | (29,654) | (15,221) | (394,781) | (162,495) | (26,073) | (88) | (628,312) |
Net realized gain from investments (net of brokerage commissions) | 168,197 | 122,580 | 1,345,529 | 918,764 | 207,926 | 457 | 2,763,453 |
Net change in unrealized loss from investments | 21,904 | 10,832 | 182,675 | 56,789 | 22,141 | 23 | 294,364 |
Net income | 160,447 | 118,191 | 1,133,423 | 813,058 | 203,994 | 392 | 2,429,505 |
Ending balance, value at Dec. 31, 2022 | 973,782 | 784,918 | 7,868,262 | 6,308,772 | 1,476,075 | 3,412 | 17,415,221 |
Capital withdrawals | 0 | (193,086) | (1,394,236) | (514,447) | (613,016) | 0 | (2,714,785) |
Net investment gain (loss) | 2,723 | 8,837 | (101,629) | 29,319 | 13,304 | 40 | (47,406) |
Net realized gain from investments (net of brokerage commissions) | 76,871 | 51,184 | 548,269 | 470,827 | 72,911 | 270 | 1,220,332 |
Net change in unrealized loss from investments | (17,217) | (9,300) | (114,313) | (100,290) | (9,615) | (61) | (250,796) |
Net income | 62,377 | 50,721 | 332,327 | 399,856 | 76,600 | 249 | 922,130 |
Ending balance, value at Dec. 31, 2023 | $ 1,036,159 | $ 642,553 | $ 6,806,353 | $ 6,194,181 | $ 939,659 | $ 3,661 | $ 15,622,566 |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Pay vs Performance Disclosure [Table] | |||
Net Income (Loss) Attributable to Parent | $ 922,130 | $ 2,429,505 | $ 1,035,465 |
Insider Trading Arrangements
Insider Trading Arrangements | 12 Months Ended |
Dec. 31, 2023 | |
Trading Arrangements, by Individual [Table] | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 12 Months Ended |
Dec. 31, 2023 | |
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 Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization. Effective September 27, 2021, as part of an internal reorganization, the General Partner and Altegris Clearing Solutions L.L.C. (“Altegris Clearing Solutions), an affiliate of the General Partner, became wholly-owned by their affiliate Altegris Services, L.L.C. (“Services”) (replacing their affiliate Altegris Holdings, L.L.C. as their immediate parent company). Services in turn became wholly-owned by Better Outcome, LLC (“Better Outcome”), a newly formed affiliated entity owned and controlled by Continuum Capital Managers LLC (“Continuum”) and by AV5 Acquisition, LLC (“AV5”). Continuum is owned by Douglas C. Grip and Stephen E. Vanourny. AV5 is owned solely by Matthew Osborne, the General Partner’s Chief Executive Officer and Chief Investment Officer. This internal reorganization resulted in no change in actual direct or indirect control and ultimate ownership of the General Partner, and had no impact on the Partnership’s financial position or results of operations. There was an internal structural change in July 2023 as part of an internal reorganization. The following internal restructuring resulted in no change in actual indirect and ultimate ownership and control of the General Partner. The General Partner’s and Altegris Clearing Solutions L.L.C. (“Altegris Clearing Solutions), an affiliate of the General Partner's direct parent company, Altegris Services (“Services”) which was an administrative services affiliate of the General Partner, was dissolved. The General Partner is now wholly-owned by Better Outcome, LLC (Better Outcome), an entity owned and controlled by Continuum Capital Managers LLC (Continuum) and by AV5 Acquisition, LLC (AV5). Continuum is owned by Douglas C. Grip and Steven E. Vanourny. AV5 is owned solely by Matthew Osborne, The General Partner’s Chief Executive Officer and Chief Investment Officer. This internal reorganization resulted in no change in actual indirect and ultimate ownership and control of the General Partner, and had no impact on the Partnership’s financial position or results of operations. B. Method of Reporting The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2023, 2022 and 2021 and reported amounts of income and expenses for the years ended December 31, 2023, 2022 and 2021, 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. 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 reclassified to a lower level within the fair value hierarchy. The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership generally includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives. Forward currency contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy. The fair value of U.S. government securities is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government securities are generally categorized in Levels 1 or 2 of the fair value hierarchy. The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of December 31, 2023 and 2022, the Partnership did not hold corporate notes. The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes to the Partnership’s valuation methodology during the years December 31, 2023 and 2022. The following table presents information about the Partnership’s assets and liabilities measured at fair value as December 31, 2023 and 2022: Schedule of assets and liabilities measured at fair value December 31, 2023 Level 1 Level 2 Level 3 Balance as of Assets: Futures contracts (1) $ 346,095 $ – $ – $ 346,095 Forward currency contracts (1) – 7,872 – 7,872 US Government securities 10,782,617 – – 10,782,617 $ 11,128,712 $ 7,872 $ – $ 11,136,584 Liabilities: Futures contracts (1) $ (283,199 ) $ – $ – $ (283,199 ) Forward currency contracts (1) – (23,660 ) – (23,660 ) $ (283,199 ) $ (23,660 ) $ – $ (306,859 ) Balance as of December 31, 2022 Level 1 Level 2 Level 3 December 31, 2022 Assets: Futures contracts (1) $ 513,674 $ – $ – $ 513,674 Forward currency contracts (1) – 21,701 – 21,701 U.S. Government securities 12,375,933 – – 12,375,933 $ 12,889,607 $ 21,701 $ – $ 12,911,308 Liabilities: Futures contracts (1) $ (224,463 ) $ – $ – $ (224,463 ) Forward currency contracts (1) – (7,221 ) – (7,221 ) $ (224,463 ) $ (7,221 ) $ – $ (231,684 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. For the years ended December 31, 2023 and 2022, 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 year end, resulting from changes in the exchange rates. U.S. Bank, N.A. serves as the Partnership’s custodian (the “Custodian”). SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of December 31, 2023 and 2022, the Partnership’s segregated cash balance on the Statements of Financial Condition of $ 654,879 943,336 248,240 126,106 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 December 31, 2023 and 2022, the Partnership did not hold any option contracts. F. Futures Contracts The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in settled variation margin on the Statements of Financial Condition. Due from / Due to broker amounts on the Statements of Financial Condition represent receivables / payables related to the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2023 and 2022 are reflected within the Condensed Schedules of Investments. G. Forward Currency Contracts Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at December 31, 2023 and 2022 are reflected within the Condensed Schedules of Investments. H. Foreign Currency Transactions The Partnership’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss). I. Cash The Partnership maintains a custody account with U.S. Bank, N.A. and First Republic Bank. Effective May 1, 2023, J.P. Morgan Chase Bank assumed all of the deposits and substantially all of the assets of First Republic Bank. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. Both segregated cash and segregated foreign currency are held at the Clearing Broker as margin collateral for futures transactions. J. Income Taxes The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes. The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its tax analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits for any of the Partnership's open tax years. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership’s tax returns remain open for examination by United States federal tax authorities for a period of three years and by state tax authorities for a period of three years from the date they are filed. Taxes associated with foreign tax jurisdictions remain subject to examination based on varying statutes of limitations, if any. The Partnership is additionally not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no other income tax liability or expense has been recorded in the accompanying financial statements. |
PARTNERS_ CAPITAL
PARTNERS’ CAPITAL | 12 Months Ended |
Dec. 31, 2023 | |
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, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”). Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the Limited Partners based on their respective capital accounts as of the end of each month, in which the items accrue pursuant to the terms of the Partnership’s Agreement. Original Class A Interests, Original Class B Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fees, administrative fee, service fee and incentive fee in accordance with the Agreement. No Limited Partner of the Partnership shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner’s capital contributions, except as may be required by law. B. Subscriptions, Distributions and Redemptions Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner. The Partnership is not required to make distributions but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 12 Months Ended |
Dec. 31, 2023 | |
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 0.146 1.75 0.104 1.25 0.0625 0.75 Total Management Fees earned by the General Partner, for the years ended December 31, 2023, 2022 and 2021 are shown on the Statements of Income (Loss) as a Management Fee. B. Administrative Fee The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275 0.33 24,083 29,900 41,688 20,579 21,565 23,699 C. AlphaMax Distributors, L.L.C. and Altegris Clearing Solutions, L.L.C. AlphaMax Distributors, L.L.C. (“AlphaMax”), filed to withdraw its regulatory registrations in November 2023. Prior to November 2023, AlphaMax was an affiliate of the General Partner (previously known as Altegris Investments, L.L.C. and Altegris Distributors, L.L.C.), is a registered broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is the Partnership’s introducing broker. In May 2021, Altegris Investments, L.L.C. changed its name to Altegris Distributors, L.L.C. and in December 2021, changed its name to AlphaMax Distributors, L.L.C. Prior to November 2023, AlphaMax had entered into a selling agreement with the Partnership whereby it received 2% per annum as continuing compensation for Class A Interests sold by AlphaMax that are outstanding at month end. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary. At December 31, 2023 and 2022, the Partnership had commissions and brokerage fees payable to its introducing broker of $ 16,985 18,865 0 0 The following tables show the fees paid to AlphaMax and Altegris Clearing Solutions for the years ended December 31, 2023, 2022 and 2021: Schedule of fees paid to altegris investments and altegris futures Year ended Year ended Year ended December 31, 2023 December 31, 2022 December 31, 2021 Altegris Clearing Solutions - Brokerage Commission fees $ 202,784 $ 251,245 $ 322,021 AlphaMax - Service fees 71 181 182 Total $ 202,855 $ 251,426 $ 322,203 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. |
ADVISORY CONTRACT
ADVISORY CONTRACT | 12 Months Ended |
Dec. 31, 2023 | |
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 years ended December 31, 2023, 2022 and 2021 are shown on the Statements of Income (Loss). Interest holders will be assessed a monthly advisory fee paid to the Advisor of 0.083 1.00 72,978 90,607 126,327 62,362 65,349 71,814 6,827 8,731 7,945 10,143 15,078 35,806 30 0 0 |
SERVICE FEES
SERVICE FEES | 12 Months Ended |
Dec. 31, 2023 | |
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 2 0.0417 0.50 11 251 55 135,741 164,320 225,880 20,428 22,094 24,364 |
BROKERAGE COMMISSIONS
BROKERAGE COMMISSIONS | 12 Months Ended |
Dec. 31, 2023 | |
Broker-Dealer [Abstract] | |
BROKERAGE COMMISSIONS | 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. |
FINANCIAL DERIVATIVE INSTRUMENT
FINANCIAL DERIVATIVE INSTRUMENTS | 12 Months Ended |
Dec. 31, 2023 | |
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 Topic of the Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading. The following presents the fair value of derivatives contracts at December 31, 2023 and 2022. The fair value of derivatives contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition. Schedule of fair value of derivative contracts December 31, 2023 Assets Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 171,417 $ (43,396 ) $ 128,021 Currencies 19,038 (36,536 ) (17,498 ) Energies 14,100 (33,976 ) (19,876 ) Interest Rates 9,078 (54,525 ) (45,447 ) Metals 82,003 (68,776 ) 13,227 Stock Indices 50,459 (45,990 ) 4,469 Total Futures Contracts $ 346,095 $ (283,199 ) $ 62,896 Forward Currency Contracts $ 7,872 $ (23,660 ) $ (15,788 ) Total Gross Fair Value of Derivatives Contracts $ 353,967 $ (306,859 ) $ 47,108 December 31, 2022 Assets Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 179,097 $ (33,772 ) $ 145,325 Currencies 6,043 (86,052 ) (80,009 ) Energy 44,450 (27,276 ) 17,174 Interest Rates 204,350 (7,266 ) 197,084 Metals 59,119 (28,167 ) 30,952 Stock Indices 20,615 (41,930 ) (21,315 ) Total Futures Contracts $ 513,674 $ (224,463 ) $ 289,211 Forward Currency Contracts $ 21,701 $ (7,221 ) $ 14,480 Total Gross Fair Value of Derivatives Contracts $ 535,375 $ (231,684 ) $ 303,691 The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the years ended December 31, 2023, 2022 and 2021. The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts. Schedule of realized and unrealized gain (loss) on derivatives Year Ended December 31, 2023 Type of Change in Average Notional Derivatives Contracts Realized Unrealized Value of Contracts Futures Contracts Agriculture $ 886,515 $ (17,304 ) Currencies 140,276 62,511 Energies 215,437 (37,050 ) Interest Rates 128,510 (242,531 ) Metals (160,628 ) (17,725 ) Stock Indices 164,321 25,784 Total Futures Contracts $ 1,374,431 $ (226,315 ) $ 45,880,739 (1) Forward Currency Contracts $ 97,910 $ (30,268 ) $ 3,191,100 (2) Total Gain (loss) from Derivatives Contracts $ 1,472,341 $ (256,583 ) Year Ended December 31, 2022 Type of Derivatives Contracts Realized Change in Unrealized Average Notional Value of Contracts Futures Contracts Agriculture $ 35,442 $ 161,839 Currencies 1,176,414 (69,083 ) Energies 879,081 10,116 Interest Rates 1,414,280 195,928 Metals 140,257 65,510 Stock Indices (495,282 ) (74,281 ) Total Futures Contracts $ 3,150,192 $ 290,029 $ 42,530,145 (1) Forward Currency Contracts $ (98,381 ) $ 5,950 $ 4,398,771 (2) Total Gain from Derivatives Contracts $ 3,051,811 $ 295,979 Year Ended December 31, 2021 Type of Change in Average Notional Derivatives Contracts Realized Unrealized Value of Contracts Futures Contracts Agriculture $ 1,426,339 $ (349,582 ) Currencies 264,845 (141,651 ) Energies 1,409,280 (50,116 ) Interest Rates (1,048,470 ) (76,327 ) Metals 486,869 (381,615 ) Stock Indices 1,052,890 (125,821 ) Total Futures Contracts $ 3,591,753 $ (1,125,112 ) $ 66,363,208 (1) Forward Currency Contracts $ (3,811 ) $ (50,853 ) $ 7,666,999 (2) Total Gain (loss) from Derivatives Contracts $ 3,587,942 $ (1,175,965 ) 1) The average notional value of futures contracts are representative of the Partnership's volume of derivative activity for futures contracts during the respective years. 2) The average notional value of forward currency contracts are representative of the Partnership's volume of derivative activity for forward currency contracts during the respective years. 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 Schedule of offsetting the financial assets and derivative assets As of December 31, 2023 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward Contracts $ 7,872 $ (7,872 ) $ – $ – $ – $ – Total $ 7,872 $ (7,872 ) $ – $ – $ – $ – Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2023 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward Contracts $ 23,660 $ (7,872 ) $ 15,788 $ – $ (15,788 ) $ – Total $ 23,660 $ (7,872 ) $ 15,788 $ – $ (15,788 ) $ – Offsetting the Financial Assets and Derivative Assets As of December 31, 2022 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward Contracts $ 21,701 $ (7,221 ) $ 14,480 $ – $ – $ 14,480 Total $ 21,701 $ (7,221 ) $ 14,480 $ – $ – $ 14,480 Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2022 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward Contracts $ 7,221 $ (7,221 ) $ – $ – $ – $ – Total $ 7,221 $ (7,221 ) $ – $ – $ – $ – (1) The Partnership posted additional collateral of $62,019 as of December 31, 2023 and $108,370 for December 31, 2022 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract. |
FINANCIAL INSTRUMENTS, OFF-BALA
FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES | 12 Months Ended |
Dec. 31, 2023 | |
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. |
INDEMNIFICATIONS
INDEMNIFICATIONS | 12 Months Ended |
Dec. 31, 2023 | |
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. |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS | 12 Months Ended |
Dec. 31, 2023 | |
Financial Highlights | |
FINANCIAL HIGHLIGHTS | NOTE 10 - FINANCIAL HIGHLIGHTS The following information presents the financial highlights of the Partnership for the years ended December 31, 2023, 2022 and 2021. This information has been derived from information presented in the financial statements. Schedule of financial highlights of partnership Year ended December 31, 2023 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 7.36 % 8.47 % 5.62 % 7.58 % 8.47 % Incentive fees (0.95 )% (0.97 )% (0.94 )% (0.96 )% (0.97 )% Total return after incentive fees 6.41 % 7.50 % 4.68 % 6.62 % 7.50 % Ratio to average net asset value Expenses prior to incentive fees 3.39 % 2.36 % 5.05 % 3.19 % 2.36 % Incentive fees 0.92 % 0.89 % 0.89 % 0.91 % 0.83 % Total expenses 4.31 % 3.25 % 5.94 % 4.10 % 3.19 % Net investment income (loss) (1) 1.19 % 2.19 % (0.50 )% 1.38 % 2.15 % Year ended December 31, 2022 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 13.70 % 14.69 % 11.72 % 13.75 % 14.69 % Incentive fees (0.65 )% (0.71 )% (0.58 )% (0.63 )% (0.72 )% Total return after incentive fees 13.05 % 13.98 % 11.14 % 13.12 % 13.97 % Ratio to average net asset value Expenses prior to incentive fees 3.22 % 2.34 % 5.00 % 3.17 % 2.34 % Incentive fees 0.55 % 0.61 % 0.50 % 0.55 % 0.62 % Total expenses 3.77 % 2.95 % 5.50 % 3.72 % 2.96 % Net investment (loss) (1) (2.05 )% (1.13 )% (3.86 )% (1.93 )% (1.11 )% Year ended December 31, 2021 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 3.36 % 3.98 % 1.29 % 3.13 % 3.98 % Incentive fees (0.00 )% (0.00 )% (0.04 )% (0.00 )% (0.00 )% Total return after incentive fees 3.36 % 3.98 % 1.25 % 3.13 % 3.98 % Ratio to average net asset value Expenses prior to incentive fees 2.67 % 2.30 % 4.85 % 3.07 % 2.23 % Incentive fees 0.00 % 0.00 % 0.04 % 0.00 % 0.00 % Total expenses 2.67 % 2.30 % 4.89 % 3.07 % 2.23 % Net investment (loss) (1) (2.67 )% (2.30 )% (4.89 )% (3.07 )% (2.23 )% 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. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 12 Months Ended |
Dec. 31, 2023 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | NOTE 11 - SUBSEQUENT EVENTS Management of the Partnership evaluated subsequent events through the date these financial statements were issued, and concluded that no events subsequent to December 31, 2023 have occurred that would require recognition or disclosure, except as noted below. From January 1, 2024 through March 29, 2024, the Partnership had $0 subscriptions and had redemptions of $684,537. |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
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 Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades. The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization. Effective September 27, 2021, as part of an internal reorganization, the General Partner and Altegris Clearing Solutions L.L.C. (“Altegris Clearing Solutions), an affiliate of the General Partner, became wholly-owned by their affiliate Altegris Services, L.L.C. (“Services”) (replacing their affiliate Altegris Holdings, L.L.C. as their immediate parent company). Services in turn became wholly-owned by Better Outcome, LLC (“Better Outcome”), a newly formed affiliated entity owned and controlled by Continuum Capital Managers LLC (“Continuum”) and by AV5 Acquisition, LLC (“AV5”). Continuum is owned by Douglas C. Grip and Stephen E. Vanourny. AV5 is owned solely by Matthew Osborne, the General Partner’s Chief Executive Officer and Chief Investment Officer. This internal reorganization resulted in no change in actual direct or indirect control and ultimate ownership of the General Partner, and had no impact on the Partnership’s financial position or results of operations. There was an internal structural change in July 2023 as part of an internal reorganization. The following internal restructuring resulted in no change in actual indirect and ultimate ownership and control of the General Partner. The General Partner’s and Altegris Clearing Solutions L.L.C. (“Altegris Clearing Solutions), an affiliate of the General Partner's direct parent company, Altegris Services (“Services”) which was an administrative services affiliate of the General Partner, was dissolved. The General Partner is now wholly-owned by Better Outcome, LLC (Better Outcome), an entity owned and controlled by Continuum Capital Managers LLC (Continuum) and by AV5 Acquisition, LLC (AV5). Continuum is owned by Douglas C. Grip and Steven E. Vanourny. AV5 is owned solely by Matthew Osborne, The General Partner’s Chief Executive Officer and Chief Investment Officer. This internal reorganization resulted in no change in actual indirect and ultimate ownership and control of the General Partner, and had no impact on the Partnership’s financial position or results of operations. |
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 preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of December 31, 2023, 2022 and 2021 and reported amounts of income and expenses for the years ended December 31, 2023, 2022 and 2021, 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. |
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 reclassified to a lower level within the fair value hierarchy. The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership generally includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives. Forward currency contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy. The fair value of U.S. government securities is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government securities are generally categorized in Levels 1 or 2 of the fair value hierarchy. The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of December 31, 2023 and 2022, the Partnership did not hold corporate notes. The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes to the Partnership’s valuation methodology during the years December 31, 2023 and 2022. The following table presents information about the Partnership’s assets and liabilities measured at fair value as December 31, 2023 and 2022: Schedule of assets and liabilities measured at fair value December 31, 2023 Level 1 Level 2 Level 3 Balance as of Assets: Futures contracts (1) $ 346,095 $ – $ – $ 346,095 Forward currency contracts (1) – 7,872 – 7,872 US Government securities 10,782,617 – – 10,782,617 $ 11,128,712 $ 7,872 $ – $ 11,136,584 Liabilities: Futures contracts (1) $ (283,199 ) $ – $ – $ (283,199 ) Forward currency contracts (1) – (23,660 ) – (23,660 ) $ (283,199 ) $ (23,660 ) $ – $ (306,859 ) Balance as of December 31, 2022 Level 1 Level 2 Level 3 December 31, 2022 Assets: Futures contracts (1) $ 513,674 $ – $ – $ 513,674 Forward currency contracts (1) – 21,701 – 21,701 U.S. Government securities 12,375,933 – – 12,375,933 $ 12,889,607 $ 21,701 $ – $ 12,911,308 Liabilities: Futures contracts (1) $ (224,463 ) $ – $ – $ (224,463 ) Forward currency contracts (1) – (7,221 ) – (7,221 ) $ (224,463 ) $ (7,221 ) $ – $ (231,684 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. For the years ended December 31, 2023 and 2022, 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 year end, resulting from changes in the exchange rates. U.S. Bank, N.A. serves as the Partnership’s custodian (the “Custodian”). SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of December 31, 2023 and 2022, the Partnership’s segregated cash balance on the Statements of Financial Condition of $ 654,879 943,336 248,240 126,106 |
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 December 31, 2023 and 2022, 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 settled variation margin on the Statements of Financial Condition. Due from / Due to broker amounts on the Statements of Financial Condition represent receivables / payables related to the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed. There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at December 31, 2023 and 2022 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 December 31, 2023 and 2022 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 U.S. Bank, N.A. and First Republic Bank. Effective May 1, 2023, J.P. Morgan Chase Bank assumed all of the deposits and substantially all of the assets of First Republic Bank. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account. Both segregated cash and segregated foreign currency are held at the Clearing Broker as margin collateral for futures transactions. |
Income Taxes | J. Income Taxes The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes. The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its tax analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits for any of the Partnership's open tax years. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership’s tax returns remain open for examination by United States federal tax authorities for a period of three years and by state tax authorities for a period of three years from the date they are filed. Taxes associated with foreign tax jurisdictions remain subject to examination based on varying statutes of limitations, if any. The Partnership is additionally not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no other income tax liability or expense has been recorded in the accompanying financial statements. |
ORGANIZATION AND SIGNIFICANT _3
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Accounting Policies [Abstract] | |
Schedule of assets and liabilities measured at fair value | Schedule of assets and liabilities measured at fair value December 31, 2023 Level 1 Level 2 Level 3 Balance as of Assets: Futures contracts (1) $ 346,095 $ – $ – $ 346,095 Forward currency contracts (1) – 7,872 – 7,872 US Government securities 10,782,617 – – 10,782,617 $ 11,128,712 $ 7,872 $ – $ 11,136,584 Liabilities: Futures contracts (1) $ (283,199 ) $ – $ – $ (283,199 ) Forward currency contracts (1) – (23,660 ) – (23,660 ) $ (283,199 ) $ (23,660 ) $ – $ (306,859 ) Balance as of December 31, 2022 Level 1 Level 2 Level 3 December 31, 2022 Assets: Futures contracts (1) $ 513,674 $ – $ – $ 513,674 Forward currency contracts (1) – 21,701 – 21,701 U.S. Government securities 12,375,933 – – 12,375,933 $ 12,889,607 $ 21,701 $ – $ 12,911,308 Liabilities: Futures contracts (1) $ (224,463 ) $ – $ – $ (224,463 ) Forward currency contracts (1) – (7,221 ) – (7,221 ) $ (224,463 ) $ (7,221 ) $ – $ (231,684 ) (1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
RELATED PARTY TRANSACTIONS (Tab
RELATED PARTY TRANSACTIONS (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Related Party Transactions [Abstract] | |
Schedule of fees paid to altegris investments and altegris futures | Schedule of fees paid to altegris investments and altegris futures Year ended Year ended Year ended December 31, 2023 December 31, 2022 December 31, 2021 Altegris Clearing Solutions - Brokerage Commission fees $ 202,784 $ 251,245 $ 322,021 AlphaMax - Service fees 71 181 182 Total $ 202,855 $ 251,426 $ 322,203 |
FINANCIAL DERIVATIVE INSTRUME_2
FINANCIAL DERIVATIVE INSTRUMENTS (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of fair value of derivative contracts | Schedule of fair value of derivative contracts December 31, 2023 Assets Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 171,417 $ (43,396 ) $ 128,021 Currencies 19,038 (36,536 ) (17,498 ) Energies 14,100 (33,976 ) (19,876 ) Interest Rates 9,078 (54,525 ) (45,447 ) Metals 82,003 (68,776 ) 13,227 Stock Indices 50,459 (45,990 ) 4,469 Total Futures Contracts $ 346,095 $ (283,199 ) $ 62,896 Forward Currency Contracts $ 7,872 $ (23,660 ) $ (15,788 ) Total Gross Fair Value of Derivatives Contracts $ 353,967 $ (306,859 ) $ 47,108 December 31, 2022 Assets Liability Type of Derivatives Derivatives Net Derivatives Contracts Fair Value Fair Value Fair Value Futures Contracts Agriculture $ 179,097 $ (33,772 ) $ 145,325 Currencies 6,043 (86,052 ) (80,009 ) Energy 44,450 (27,276 ) 17,174 Interest Rates 204,350 (7,266 ) 197,084 Metals 59,119 (28,167 ) 30,952 Stock Indices 20,615 (41,930 ) (21,315 ) Total Futures Contracts $ 513,674 $ (224,463 ) $ 289,211 Forward Currency Contracts $ 21,701 $ (7,221 ) $ 14,480 Total Gross Fair Value of Derivatives Contracts $ 535,375 $ (231,684 ) $ 303,691 |
Schedule of realized and unrealized gain (loss) on derivatives | Schedule of realized and unrealized gain (loss) on derivatives Year Ended December 31, 2023 Type of Change in Average Notional Derivatives Contracts Realized Unrealized Value of Contracts Futures Contracts Agriculture $ 886,515 $ (17,304 ) Currencies 140,276 62,511 Energies 215,437 (37,050 ) Interest Rates 128,510 (242,531 ) Metals (160,628 ) (17,725 ) Stock Indices 164,321 25,784 Total Futures Contracts $ 1,374,431 $ (226,315 ) $ 45,880,739 (1) Forward Currency Contracts $ 97,910 $ (30,268 ) $ 3,191,100 (2) Total Gain (loss) from Derivatives Contracts $ 1,472,341 $ (256,583 ) Year Ended December 31, 2022 Type of Derivatives Contracts Realized Change in Unrealized Average Notional Value of Contracts Futures Contracts Agriculture $ 35,442 $ 161,839 Currencies 1,176,414 (69,083 ) Energies 879,081 10,116 Interest Rates 1,414,280 195,928 Metals 140,257 65,510 Stock Indices (495,282 ) (74,281 ) Total Futures Contracts $ 3,150,192 $ 290,029 $ 42,530,145 (1) Forward Currency Contracts $ (98,381 ) $ 5,950 $ 4,398,771 (2) Total Gain from Derivatives Contracts $ 3,051,811 $ 295,979 Year Ended December 31, 2021 Type of Change in Average Notional Derivatives Contracts Realized Unrealized Value of Contracts Futures Contracts Agriculture $ 1,426,339 $ (349,582 ) Currencies 264,845 (141,651 ) Energies 1,409,280 (50,116 ) Interest Rates (1,048,470 ) (76,327 ) Metals 486,869 (381,615 ) Stock Indices 1,052,890 (125,821 ) Total Futures Contracts $ 3,591,753 $ (1,125,112 ) $ 66,363,208 (1) Forward Currency Contracts $ (3,811 ) $ (50,853 ) $ 7,666,999 (2) Total Gain (loss) from Derivatives Contracts $ 3,587,942 $ (1,175,965 ) 1) The average notional value of futures contracts are representative of the Partnership's volume of derivative activity for futures contracts during the respective years. 2) The average notional value of forward currency contracts are representative of the Partnership's volume of derivative activity for forward currency contracts during the respective years. |
Schedule of offsetting the financial assets and derivative assets | Schedule of offsetting the financial assets and derivative assets As of December 31, 2023 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward Contracts $ 7,872 $ (7,872 ) $ – $ – $ – $ – Total $ 7,872 $ (7,872 ) $ – $ – $ – $ – Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2023 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward Contracts $ 23,660 $ (7,872 ) $ 15,788 $ – $ (15,788 ) $ – Total $ 23,660 $ (7,872 ) $ 15,788 $ – $ (15,788 ) $ – Offsetting the Financial Assets and Derivative Assets As of December 31, 2022 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Received (1) Net Amount Forward Contracts $ 21,701 $ (7,221 ) $ 14,480 $ – $ – $ 14,480 Total $ 21,701 $ (7,221 ) $ 14,480 $ – $ – $ 14,480 Offsetting the Financial Liabilities and Derivative Liabilities As of December 31, 2022 Gross Amounts Not Offset in the Statements of Financial Condition Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities Presented in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged (1) Net Amount Forward Contracts $ 7,221 $ (7,221 ) $ – $ – $ – $ – Total $ 7,221 $ (7,221 ) $ – $ – $ – $ – (1) The Partnership posted additional collateral of $62,019 as of December 31, 2023 and $108,370 for December 31, 2022 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract. |
FINANCIAL HIGHLIGHTS (Tables)
FINANCIAL HIGHLIGHTS (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Financial Highlights | |
Schedule of financial highlights of partnership | Schedule of financial highlights of partnership Year ended December 31, 2023 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 7.36 % 8.47 % 5.62 % 7.58 % 8.47 % Incentive fees (0.95 )% (0.97 )% (0.94 )% (0.96 )% (0.97 )% Total return after incentive fees 6.41 % 7.50 % 4.68 % 6.62 % 7.50 % Ratio to average net asset value Expenses prior to incentive fees 3.39 % 2.36 % 5.05 % 3.19 % 2.36 % Incentive fees 0.92 % 0.89 % 0.89 % 0.91 % 0.83 % Total expenses 4.31 % 3.25 % 5.94 % 4.10 % 3.19 % Net investment income (loss) (1) 1.19 % 2.19 % (0.50 )% 1.38 % 2.15 % Year ended December 31, 2022 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 13.70 % 14.69 % 11.72 % 13.75 % 14.69 % Incentive fees (0.65 )% (0.71 )% (0.58 )% (0.63 )% (0.72 )% Total return after incentive fees 13.05 % 13.98 % 11.14 % 13.12 % 13.97 % Ratio to average net asset value Expenses prior to incentive fees 3.22 % 2.34 % 5.00 % 3.17 % 2.34 % Incentive fees 0.55 % 0.61 % 0.50 % 0.55 % 0.62 % Total expenses 3.77 % 2.95 % 5.50 % 3.72 % 2.96 % Net investment (loss) (1) (2.05 )% (1.13 )% (3.86 )% (1.93 )% (1.11 )% Year ended December 31, 2021 Original Original Institutional Class A Class B Class A Class B Interests Total return for Limited Partners Return prior to incentive fees 3.36 % 3.98 % 1.29 % 3.13 % 3.98 % Incentive fees (0.00 )% (0.00 )% (0.04 )% (0.00 )% (0.00 )% Total return after incentive fees 3.36 % 3.98 % 1.25 % 3.13 % 3.98 % Ratio to average net asset value Expenses prior to incentive fees 2.67 % 2.30 % 4.85 % 3.07 % 2.23 % Incentive fees 0.00 % 0.00 % 0.04 % 0.00 % 0.00 % Total expenses 2.67 % 2.30 % 4.89 % 3.07 % 2.23 % Net investment (loss) (1) (2.67 )% (2.30 )% (4.89 )% (3.07 )% (2.23 )% 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. |
ORGANIZATION AND SIGNIFICANT _4
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Partnership's assets and liabilities at fair value (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 | |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | $ 11,128,712 | $ 12,889,607 | |
Liabilities, fair value | (283,199) | (224,463) | |
Fair Value, Inputs, Level 1 [Member] | Futures Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 346,095 | 513,674 |
Liabilities, fair value | [1] | (283,199) | (224,463) |
Fair Value, Inputs, Level 1 [Member] | Forward Currency Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 0 | 0 |
Liabilities, fair value | [1] | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | U S Government Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 10,782,617 | 12,375,933 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 7,872 | 21,701 | |
Liabilities, fair value | (23,660) | (7,221) | |
Fair Value, Inputs, Level 2 [Member] | Futures Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 0 | 0 |
Liabilities, fair value | [1] | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Forward Currency Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 7,872 | 21,701 |
Liabilities, fair value | [1] | (23,660) | (7,221) |
Fair Value, Inputs, Level 2 [Member] | U S Government Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 0 | 0 | |
Liabilities, fair value | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Futures Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 0 | 0 |
Liabilities, fair value | [1] | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Forward Currency Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 0 | 0 |
Liabilities, fair value | [1] | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | U S Government Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 0 | 0 | |
Fair Value, Inputs, Level 1, Level 2, and Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | 11,136,584 | 12,911,308 | |
Liabilities, fair value | (306,859) | (231,684) | |
Fair Value, Inputs, Level 1, Level 2, and Level 3 [Member] | Futures Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 346,095 | 513,674 |
Liabilities, fair value | [1] | (283,199) | (224,463) |
Fair Value, Inputs, Level 1, Level 2, and Level 3 [Member] | Forward Currency Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | [1] | 7,872 | 21,701 |
Liabilities, fair value | [1] | (23,660) | (7,221) |
Fair Value, Inputs, Level 1, Level 2, and Level 3 [Member] | U S Government Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Assets, fair value | $ 10,782,617 | $ 12,375,933 | |
[1]See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. |
ORGANIZATION AND SIGNIFICANT _5
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Details Narrative) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 |
Accounting Policies [Abstract] | ||
Cash balance | $ 654,879 | $ 943,336 |
Foreign currency balance | $ 248,240 | $ 126,106 |
PARTNERS_ CAPITAL (Details Narr
PARTNERS’ CAPITAL (Details Narrative) - USD ($) | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Equity [Abstract] | ||
Partner distributions | $ 0 | $ 0 |
RELATED PARTY TRANSACTIONS - Fe
RELATED PARTY TRANSACTIONS - Fees paid to related parties (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |||
Altegris Clearing Solutions - Brokerage Commission fees | $ 202,784 | $ 251,245 | $ 322,021 |
AlphaMax - Service fees | 71 | 181 | 182 |
Total | $ 202,855 | $ 251,426 | $ 322,203 |
RELATED PARTY TRANSACTIONS (Det
RELATED PARTY TRANSACTIONS (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Administrative fee | $ 44,662 | $ 51,465 | $ 65,387 |
Commissions and brokerage fees payable | 19,133 | 21,757 | |
Service fees payable | 26,559 | 16,409 | |
Altegris Clearing Solutions LLC [Member] | |||
Commissions and brokerage fees payable | 16,985 | 18,865 | |
Service fees payable | $ 0 | 0 | |
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 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 | $ 20,579 | 21,565 | 23,699 |
Limited Partners Institutional Interests [Member] | |||
Monthly management fee | 0.0625% | ||
Annual management fee | 0.75% | ||
Limited Partners Class A [Member] | |||
Administrative fee | $ 24,083 | $ 29,900 | $ 41,688 |
ADVISORY CONTRACT (Details Narr
ADVISORY CONTRACT (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Management fee | $ 189,533 | $ 221,398 | $ 292,695 |
Limited Partners Class A [Member] | |||
Advisor monthly management fee | 0.083% | ||
Advisor annual management fee | 1% | ||
Management fee | $ 72,978 | 90,607 | 126,327 |
Limited Partners Class B [Member] | |||
Advisor monthly management fee | 0.083% | ||
Advisor annual management fee | 1% | ||
Management fee | $ 62,362 | 65,349 | 71,814 |
Limited Partners Institutional Interests [Member] | |||
Advisor monthly management fee | 0.083% | ||
Advisor annual management fee | 1% | ||
Management fee | $ 10,143 | 15,078 | 35,806 |
Limited Partners Special Interests [Member] | |||
Advisor monthly management fee | 0.083% | ||
Advisor annual management fee | 1% | ||
Limited Partners Original Class B [Member] | |||
Advisor monthly management fee | 0.083% | ||
Advisor annual management fee | 1% | ||
Management fee | $ 6,827 | 8,731 | 7,945 |
General Partners Interest [Member] | |||
Management fee | $ 30 | $ 0 | $ 0 |
SERVICE FEES (Details Narrative
SERVICE FEES (Details Narrative) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Service fees | $ 156,180 | $ 186,665 | $ 250,299 |
Limited Partners Class A [Member] | |||
Ongoing monthly payment rate | 0.166% | ||
Net asset value rate | 2% | ||
Service fees | $ 135,741 | 164,320 | 225,880 |
Institutional Interests [Member] | |||
Ongoing monthly payment rate | 0.0417% | ||
Net asset value rate | 0.50% | ||
General Partners Interest [Member] | |||
Service fees | $ 11 | 251 | 55 |
Limited Partners Original Class A [Member] | |||
Service fees | $ 20,428 | $ 22,094 | $ 24,364 |
FINANCIAL DERIVATIVE INSTRUME_3
FINANCIAL DERIVATIVE INSTRUMENTS - Fair value of derivative contracts (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 |
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | $ 353,967 | $ 535,375 |
Liability, Derivatives Fair Value | (306,859) | (231,684) |
Net Fair Value | 47,108 | 303,691 |
Futures Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 346,095 | 513,674 |
Liability, Derivatives Fair Value | (283,199) | (224,463) |
Net Fair Value | 62,896 | 289,211 |
Futures Contracts [Member] | Agriculture [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 171,417 | 179,097 |
Liability, Derivatives Fair Value | (43,396) | (33,772) |
Net Fair Value | 128,021 | 145,325 |
Futures Contracts [Member] | Currencies [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 19,038 | 6,043 |
Liability, Derivatives Fair Value | (36,536) | (86,052) |
Net Fair Value | (17,498) | (80,009) |
Futures Contracts [Member] | Energies [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 14,100 | 44,450 |
Liability, Derivatives Fair Value | (33,976) | (27,276) |
Net Fair Value | (19,876) | 17,174 |
Futures Contracts [Member] | Interest Rates [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 9,078 | 204,350 |
Liability, Derivatives Fair Value | (54,525) | (7,266) |
Net Fair Value | (45,447) | 197,084 |
Futures Contracts [Member] | Metals [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 82,003 | 59,119 |
Liability, Derivatives Fair Value | (68,776) | (28,167) |
Net Fair Value | 13,227 | 30,952 |
Futures Contracts [Member] | Stock Indices [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 50,459 | 20,615 |
Liability, Derivatives Fair Value | (45,990) | (41,930) |
Net Fair Value | 4,469 | (21,315) |
Forward Currency Contracts [Member] | ||
Schedule of Investments [Line Items] | ||
Assets, Derivatives Fair Value | 7,872 | 21,701 |
Liability, Derivatives Fair Value | (23,660) | (7,221) |
Net Fair Value | $ (15,788) | $ 14,480 |
FINANCIAL DERIVATIVE INSTRUME_4
FINANCIAL DERIVATIVE INSTRUMENTS - Trading results of derivative trading (Details) | 12 Months Ended | |||
Dec. 31, 2023 USD ($) Integer | Dec. 31, 2022 USD ($) Integer | Dec. 31, 2021 USD ($) Integer | ||
Schedule of Investments [Line Items] | ||||
Realized | $ 1,472,341 | $ 3,051,811 | $ 3,587,942 | |
Change in Unrealized | (256,583) | 295,979 | (1,175,965) | |
Futures Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 1,374,431 | 3,150,192 | 3,591,753 | |
Change in Unrealized | $ (226,315) | $ 290,029 | $ (1,125,112) | |
Average Notional Value of Contracts | Integer | [1] | 45,880,739 | 42,530,145 | 66,363,208 |
Futures Contracts [Member] | Agriculture [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | $ 886,515 | $ 35,442 | $ 1,426,339 | |
Change in Unrealized | (17,304) | 161,839 | (349,582) | |
Futures Contracts [Member] | Currencies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 140,276 | 1,176,414 | 264,845 | |
Change in Unrealized | 62,511 | (69,083) | (141,651) | |
Futures Contracts [Member] | Energies [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 215,437 | 879,081 | 1,409,280 | |
Change in Unrealized | (37,050) | 10,116 | (50,116) | |
Futures Contracts [Member] | Interest Rates [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 128,510 | 1,414,280 | (1,048,470) | |
Change in Unrealized | (242,531) | 195,928 | (76,327) | |
Futures Contracts [Member] | Metals [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | (160,628) | 140,257 | 486,869 | |
Change in Unrealized | (17,725) | 65,510 | (381,615) | |
Futures Contracts [Member] | Stock Indices [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 164,321 | (495,282) | 1,052,890 | |
Change in Unrealized | 25,784 | (74,281) | (125,821) | |
Forward Currency Contracts [Member] | ||||
Schedule of Investments [Line Items] | ||||
Realized | 97,910 | (98,381) | (3,811) | |
Change in Unrealized | $ (30,268) | $ 5,950 | $ (50,853) | |
Average Notional Value of Contracts | Integer | [2] | 3,191,100 | 4,398,771 | 7,666,999 |
[1]The average notional value of futures contracts are representative of the Partnership's volume of derivative activity for futures contracts during the respective years.[2]The average notional value of forward currency contracts are representative of the Partnership's volume of derivative activity for forward currency contracts during the respective years. |
FINANCIAL DERIVATIVE INSTRUME_5
FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting Assets and Liabilities (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 | |
Schedule of Investments [Line Items] | |||
Gross Amounts of Recognized Assets | $ 7,872 | $ 21,701 | |
Gross Amounts Offset in the Statement of Financial Condition | (7,872) | (7,221) | |
Net Amounts of Assets Presented in the Statements of Financial Condition | 0 | 14,480 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Financial Instruments | 0 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Cash Collateral Received | [1] | 0 | 0 |
Net Amount, Assets | 0 | 14,480 | |
Gross Amounts of Recognized Liabilities | 23,660 | 7,221 | |
Gross Amounts Offset in the Statement of Financial Condition | (7,872) | (7,221) | |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 15,788 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Financial Instruments | 0 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Cash Collateral Pledged | [1] | (15,788) | 0 |
Net Amount | 0 | 0 | |
Forward Contracts [Member] | |||
Schedule of Investments [Line Items] | |||
Gross Amounts of Recognized Assets | 7,872 | 21,701 | |
Gross Amounts Offset in the Statement of Financial Condition | (7,872) | (7,221) | |
Net Amounts of Assets Presented in the Statements of Financial Condition | 0 | 14,480 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Financial Instruments | 0 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Cash Collateral Received | [1] | 0 | 0 |
Net Amount, Assets | 0 | 14,480 | |
Gross Amounts of Recognized Liabilities | 23,660 | 7,221 | |
Gross Amounts Offset in the Statement of Financial Condition | (7,872) | (7,221) | |
Net Amounts of Liabilities Presented in the Statements of Financial Condition | 15,788 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Financial Instruments | 0 | 0 | |
Gross Amounts Not Offset in the Statements Of Financial Condition, Cash Collateral Pledged | [1] | (15,788) | 0 |
Net Amount | $ 0 | $ 0 | |
[1]The Partnership posted additional collateral of $62,019 as of December 31, 2023 and $108,370 for December 31, 2022 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract. |
FINANCIAL HIGHLIGHTS - Financia
FINANCIAL HIGHLIGHTS - Financial highlights of the Partnership (Details) | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Limited Partners Original Class A [Member] | ||||
[custom:TotalReturnPercentagePriorToIncentiveFees] | 7.36% | 13.70% | 3.36% | |
[custom:IncentiveFeesPercentage] | (0.95%) | (0.65%) | (0.00%) | |
[custom:TotalReturnAfterIncentiveFeesPercentage] | 6.41% | 13.05% | 3.36% | |
[custom:RatioOfAverageNAVToExpensesPriorToIncentiveFees] | 3.39% | 3.22% | 2.67% | |
[custom:RatioOfAverageNAVToIncentiveFees] | 0.92% | 0.55% | 0% | |
[custom:RatioOfAverageNAVToTotalExpenses] | 4.31% | 3.77% | 2.67% | |
[custom:RatioOfAverageNAVToNetInvestmentGainLoss] | [1] | 1.19% | (2.05%) | (2.67%) |
Limited Partners Original Class B [Member] | ||||
[custom:TotalReturnPercentagePriorToIncentiveFees] | 8.47% | 14.69% | 3.98% | |
[custom:IncentiveFeesPercentage] | (0.97%) | (0.71%) | (0.00%) | |
[custom:TotalReturnAfterIncentiveFeesPercentage] | 7.50% | 13.98% | 3.98% | |
[custom:RatioOfAverageNAVToExpensesPriorToIncentiveFees] | 2.36% | 2.34% | 2.30% | |
[custom:RatioOfAverageNAVToIncentiveFees] | 0.89% | 0.61% | 0% | |
[custom:RatioOfAverageNAVToTotalExpenses] | 3.25% | 2.95% | 2.30% | |
[custom:RatioOfAverageNAVToNetInvestmentGainLoss] | [1] | 2.19% | (1.13%) | (2.30%) |
Limited Partners Class A [Member] | ||||
[custom:TotalReturnPercentagePriorToIncentiveFees] | 5.62% | 11.72% | 1.29% | |
[custom:IncentiveFeesPercentage] | (0.94%) | (0.58%) | (0.04%) | |
[custom:TotalReturnAfterIncentiveFeesPercentage] | 4.68% | 11.14% | 1.25% | |
[custom:RatioOfAverageNAVToExpensesPriorToIncentiveFees] | 5.05% | 5% | 4.85% | |
[custom:RatioOfAverageNAVToIncentiveFees] | 0.89% | 0.50% | 0.04% | |
[custom:RatioOfAverageNAVToTotalExpenses] | 5.94% | 5.50% | 4.89% | |
[custom:RatioOfAverageNAVToNetInvestmentGainLoss] | [1] | (0.50%) | (3.86%) | (4.89%) |
Limited Partners Class B [Member] | ||||
[custom:TotalReturnPercentagePriorToIncentiveFees] | 7.58% | 13.75% | 3.13% | |
[custom:IncentiveFeesPercentage] | (0.96%) | (0.63%) | (0.00%) | |
[custom:TotalReturnAfterIncentiveFeesPercentage] | 6.62% | 13.12% | 3.13% | |
[custom:RatioOfAverageNAVToExpensesPriorToIncentiveFees] | 3.19% | 3.17% | 3.07% | |
[custom:RatioOfAverageNAVToIncentiveFees] | 0.91% | 0.55% | 0% | |
[custom:RatioOfAverageNAVToTotalExpenses] | 4.10% | 3.72% | 3.07% | |
[custom:RatioOfAverageNAVToNetInvestmentGainLoss] | [1] | 1.38% | (1.93%) | (3.07%) |
Limited Partners Institutional Interests [Member] | ||||
[custom:TotalReturnPercentagePriorToIncentiveFees] | 8.47% | 14.69% | 3.98% | |
[custom:IncentiveFeesPercentage] | (0.97%) | (0.72%) | (0.00%) | |
[custom:TotalReturnAfterIncentiveFeesPercentage] | 7.50% | 13.97% | 3.98% | |
[custom:RatioOfAverageNAVToExpensesPriorToIncentiveFees] | 2.36% | 2.34% | 2.23% | |
[custom:RatioOfAverageNAVToIncentiveFees] | 0.83% | 0.62% | 0% | |
[custom:RatioOfAverageNAVToTotalExpenses] | 3.19% | 2.96% | 2.23% | |
[custom:RatioOfAverageNAVToNetInvestmentGainLoss] | [1] | 2.15% | (1.11%) | (2.23%) |
[1]Excludes incentive fee. |