| 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. T The financial information included herein is
unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for
the fair presentation of the financial statements for the interim period. B. Method of Reporting The Partnership’s financial statements are
presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows
the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S.
GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures
of contingent assets and liabilities as of March 31, 2024 and December 2023 and reported amounts of income and expenses for the three
months ended March 31, 2024 and 2023, 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 March 31, 2024
and December 31, 2023, 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 three months period ended March 31, 2024 and December 31, 2023. The following table presents information about
the Partnership’s assets and liabilities measured at fair value as March 31, 2024 and December 31, 2023:
Schedule of assets and liabilities measured at fair value
Balance as of
March 31, 2024 Level 1 Level 2 Level 3 March 31, 2024
Assets:
Futures contracts (1) $ 615,680 $ – $ – $ 615,680
Forward currency contracts (1) – 18,814 – 18,814
US Government securities 10,774,692 – – 10,774,692
$ 11,390,372 $ 18,814 $ – $ 11,409,186
Liabilities:
Futures contracts (1) $ (235,627 ) $ – $ – $ (235,627 )
Forward currency contracts (1) – (18,279 ) – (18,279 )
$ (235,627 ) $ (18,279 ) $ – $ (253,906 )
Balance as of
December 31, 2023 Level 1 Level 2 Level 3 December 31, 2023
Assets:
Futures contracts (1) $ 346,095 $ – $ – $ 346,095
Forward currency contracts (1) – 7,872 – 7,872
U.S. 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 )
(1) See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category. For the period ended March 31, 2024 and the year ended December 31, 2023, 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 quarter end, resulting from changes in the exchange rates. U.S. Bank, N.A. serves as the Partnership’s
custodian (the “Custodian”). SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity
broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in
the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S.
dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign
cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements
of Financial Condition. The Partnership’s Clearing Broker
holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances
can also be used to satisfy margin requirements. As of March 31, 2024 and December 31, 2023, the Partnership’s segregated cash balance
on the Statements of Financial Condition of $ 982,749 654,879 425,847 248,240 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 March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023 are reflected within the
Condensed Schedules of Investments. G. Forward Currency Contracts Forward currency contracts are entered
into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an
obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency
contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure
to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change
in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized
gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward
currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value
of a foreign currency relative to the U.S. dollar. Open forward currency contracts at March 31, 2024 and December 31, 2023 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. |
