Company Quick10K Filing
Quick10K
Altegris Winton Futures Fund
10-Q 2019-06-30 Quarter: 2019-06-30
10-Q 2019-03-31 Quarter: 2019-03-31
10-K 2018-12-31 Annual: 2018-12-31
10-Q 2018-09-30 Quarter: 2018-09-30
10-Q 2018-06-30 Quarter: 2018-06-30
10-Q 2018-03-31 Quarter: 2018-03-31
10-K 2017-12-31 Annual: 2017-12-31
10-Q 2017-09-30 Quarter: 2017-09-30
10-Q 2017-06-30 Quarter: 2017-06-30
10-Q 2017-03-31 Quarter: 2017-03-31
10-K 2016-12-31 Annual: 2016-12-31
10-Q 2016-09-30 Quarter: 2016-09-30
10-Q 2016-06-30 Quarter: 2016-06-30
10-Q 2016-03-31 Quarter: 2016-03-31
10-K 2015-12-31 Annual: 2015-12-31
10-Q 2015-09-30 Quarter: 2015-09-30
10-Q 2015-06-30 Quarter: 2015-06-30
10-Q 2015-03-31 Quarter: 2015-03-31
10-K 2014-12-31 Annual: 2014-12-31
10-Q 2014-09-30 Quarter: 2014-09-30
10-Q 2014-06-30 Quarter: 2014-06-30
10-Q 2014-03-31 Quarter: 2014-03-31
10-K 2013-12-31 Annual: 2013-12-31
8-K 2018-08-01 Sale of Shares
8-K 2018-07-01 Sale of Shares
8-K 2018-06-01 Sale of Shares
8-K 2018-05-01 Sale of Shares
8-K 2018-02-01 Sale of Shares
8-K 2018-01-01 Sale of Shares
JUVF Juniata Valley Financial 115
SVBL Silver Bull Resources 24
NJMC New Jersey Mining 17
OLMM Onelife Technologies 14
ITKG Integral Technologies 12
MNTR Mentor Capital 5
TRTL Yatra 0
PCV Pismo Coast Village 0
GPLB Green Planet Bio Engineering 0
IMAV I-Minerals 0
AWIN 2019-06-30
Part I - Financial Information
Item 1: Financial Statements.
Note 1 - 	Organization and Significant Accounting Policies
Note 2 -	Partners' Capital
Note 3 -	Related Party Transactions
Note 4 -	Advisory Contract
Note 5 -	Service Fees
Note 6 -	Brokerage Commissions
Note 7 -	Financial Derivative Instruments
Note 8 -	Financial Instruments, Off-Balance Sheet Risks and Uncertainties
Note 9 - 	Indemnifications
Note 10 -	Financial Highlights
Note 11 - 	Subsequent Events
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations.
Item 3: Quantitative and Qualitative Disclosures About Market Risk.
Item 4: Controls and Procedures.
Part II - Other Information
Item 1: Legal Proceedings.
Item 1A: Risk Factors.
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds.
Item 3: Defaults Upon Senior Securities.
Item 4: Mine Safety Disclosure.
Item 5: Other Information.
Item 6: Exhibits.
EX-31.1 winton_ex3101.htm
EX-32.1 winton_ex3201.htm

Altegris Winton Futures Fund Earnings 2019-06-30

AWIN 10Q Quarterly Report

Balance SheetIncome StatementCash Flow

10-Q 1 winton_10q-063019.htm FORM 10-Q

Table of Contents

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

______________________________

 

FORM 10-Q

______________________________

 

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

 

For the quarterly period ended June 30, 2019

 

OR

 

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

 

For the transition period from ________ to ___________

 

Commission File Number: 000-53348

______________________________

 

ALTEGRIS WINTON FUTURES FUND, L.P.

(Exact name of registrant as specified in its charter)

______________________________

 

COLORADO

(State or other jurisdiction

of incorporation or organization)

84-1496732

(I.R.S. Employer

Identification No.)

 

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

1200 Prospect Street, Suite 400

La Jolla, California 92037

(Address of principal executive offices) (zip code)

 

(858) 459-7040

(Registrant’s telephone number, including area code)

 

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

 

Title of each class Trading Symbol(s) Name of each exchange on which registered
None N/A N/A

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

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý No o

 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ý No o

 

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

Large accelerated filer o Accelerated filer o
Non-accelerated filer ý Smaller reporting company o
  Emerging Growth Company o

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

 

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

 

 

   

 

 

TABLE OF CONTENTS
     
    Page
     
PART I – FINANCIAL INFORMATION 1
     
Item 1. Financial Statements 1
     
  Statements of Financial Condition 1
     
  Condensed Schedules of Investments 2
     
  Statements of Income (Loss) 6
     
  Statements of Changes in Partners’ Capital (Net Asset Value) 7
     
  Notes to Financial Statements 8
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 29
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 32
     
Item 4. Controls and Procedures 32
     
     
PART II – OTHER INFORMATION 33
     
Item 1. Legal Proceedings 33
     
Item 1A. Risk Factors 33
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 33
     
Item 3. Defaults Upon Senior Securities 33
     
Item 4. Mine Safety Disclosure 33
     
Item 5. Other Information 33
     
Item 6. Exhibits 34
     
Signatures 35
     
Rule 13a–14(a)/15d–14(a) Certifications  
     
Section 1350 Certifications  

 

 

 

 i 

 

 

PART I – FINANCIAL INFORMATION

 

Item 1: Financial Statements.

 

ALTEGRIS Winton Futures Fund, L.P.

STATEMENTS OF FINANCIAL CONDITION

JUNE 30, 2019 (Unaudited) and DECEMBER 31, 2018 (Audited)

_______________

 

   2019   2018 
ASSETS        
Equity in commodity broker account          
Cash  $402,001   $2,423,617 
Restricted cash   8,129,690    8,266,227 
Restricted foreign currency (cost - $0 and $641,616)       637,770 
Net unrealized gain on open futures contracts   1,235,389     
Settled variation margin   684,973     
Net unrealized gain on open forward contracts   349,032    66,431 
    10,801,085    11,394,045 
           
Cash   939,165    2,813,732 
Investment securities at fair value (cost - $95,503,241 and $116,519,929)   95,501,885    116,515,866 
Interest receivable   7,349    9,116 
Total assets  $107,249,484   $130,732,759 
           
LIABILITIES          
Equity in commodity broker account          
Foreign currency due to broker (proceeds - $43,894 and $0)  $41,012   $ 
Unrealized loss on open futures contracts       502,731 
Settled variation margin       1,594,192 
    41,012    2,096,923 
           
Redemptions payable   4,248,845    1,696,213 
Subscriptions received in advance       51,000 
Commissions payable   133,766    166,966 
Service fees payable   94,125    129,459 
Management fee payable   91,592    115,062 
Advisory fee payable   84,496    104,586 
Administrative fee payable   18,889    24,055 
Incentive fee payable       31 
Other liabilities   286,380    342,424 
Total liabilities   4,999,105    4,726,719 
           
PARTNERS' CAPITAL (NET ASSET VALUE)          
General Partner   3,604    3,651 
Limited Partners   102,246,775    126,002,389 
           
Total partners' capital (Net Asset Value)   102,250,379    126,006,040 
           
Total liabilities and partners' capital  $107,249,484   $130,732,759 

 

See accompanying notes.

 

 

 

 1 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 2019 (Unaudited)

_______________

 

INVESTMENT SECURITIES           
Face Value   Maturity Date  Description  Fair Value   % of Partners' Capital 
                
Fixed Income Investments           
                
U.S. Government Agency Bonds and Notes            
$2,078,000   7/1/2019  Federal Farm Credit Bank Disc Note, 2.11%*  $2,078,000    2.03% 
 5,000,000   7/8/2019  Federal Farm Credit Bank Disc Note, 2.32%*   4,997,861    4.89% 
 48,009,000   7/1/2019  Federal Home Loan Bank Disc Note, 2.11%*   48,009,000    46.95% 
 10,000,000   7/17/2019  Federal Home Loan Bank Disc Note, 2.23%*   9,990,222    9.77% 
 6,533,000   7/31/2019  Federal Home Loan Bank Disc Note, 2.23%*   6,521,023    6.38% 
Total U.S. Government Agency Bonds and Notes (cost - $71,595,851)   71,596,106    70.02% 
                   
Certificates of Deposit             
$1,910,000   7/11/2019  The Chiba Bank, Ltd., 2.40%   1,909,984    1.87% 
 2,003,000   7/12/2019  Sumitomo Mitsui Trust Bank Ltd, 2.34%   2,002,959    1.95% 
 3,003,000   7/12/2019  Sumitomo Mitsui Banking Corporation, 2.33%   3,002,963    2.94% 
Total Certificates of Deposit (cost - $6,916,000)   6,915,906    6.76% 
                   
Corporate Notes                 
$2,764,000   7/1/2019  Bridgestone Americas, Inc., 2.34%*   2,764,000    2.70% 
 4,500,000   7/1/2019  Cedar Springs Capital Company, LLC, 2.49%*   4,500,000    4.40% 
 3,800,000   7/17/2019  Chevron Corporation, 2.31%*   3,795,347    3.71% 
 2,130,000   7/1/2019  The Bank of New York Mellon, 2.38%*   2,130,000    2.09% 
 2,870,000   7/5/2019  Walmart Inc., 2.34%*   2,868,706    2.81% 
 932,000   7/1/2019  Walmart Inc., 2.37%*   931,820    0.91% 
Total Corporate Notes (cost - $16,991,390)   16,989,873    16.62% 
                   
Total investment securities (cost - $95,503,241)  $95,501,885    93.40% 

 

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

 

See accompanying notes.

 

 

 

 2 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

JUNE 30, 2019 (Unaudited)

_______________

 

   Range of Expiration Dates  Number of Contracts   Fair Value*   % of Partners' Capital 
                
LONG FUTURES CONTRACTS:                  
Agriculture  Jul 19 - Dec 19   104   $(57,751)   (0.06)% 
Currencies  Sep 19   223    44,769    0.04% 
Energy  Jul 19 - Aug 19   43    49,650    0.05% 
Interest Rates  Sep 19 - Jun 22   2,199    1,737,672    1.70% 
Metals  Jul 19 - Sep 19   110    (161,507)   (0.16)% 
Stock Indices  Jul 19 - Sep 19   224    265,465    0.26% 
Treasury Rates  Sep 19   168    567,711    0.56% 
                   
Total long futures contracts      3,071    2,446,009    2.39% 
                   
SHORT FUTURES CONTRACTS:                  
Agriculture  Jul 19 - Mar 20   761    130,927    0.13% 
Currencies  Sep 19   466    (359,857)   (0.35)% 
Energy  Jul 19 - Oct 19   135    18,603    0.02% 
Interest Rates  Sep 19 - Mar 20   36    (34,839)   (0.03 
Metals  Jul 19 - Oct 19   484    400    0.01% 
Stock Indices  Jul 19 - Sep 19   131    (161,459)   (0.16)% 
Treasury Rates  Sep 19   108    (119,422)   (0.12)% 
                   
Total short futures contracts      2,121    (525,647)   (0.50)% 
                   
Total futures contracts          $1,920,362    1.89% 
                   
LONG FORWARD CONTRACTS:                  
Currencies  Jul 19 - Sep 19       $659,510    0.64% 
                   
SHORT FORWARD CONTRACTS:                  
Currencies  Jul 19 - Sep 19        (310,478)   (0.30)% 
                   
Total forward currency contracts          $349,032    0.34% 

 

*Futures include settled variation margin.

 

See accompanying notes.

 

 

 

 3 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2018 (Audited)

_______________

 

INVESTMENT SECURITIES            
Face Value   Maturity Date  Description  Fair Value   % of Partners' Capital 
                
Fixed Income Investments           
                
U.S. Government Agency Bonds and Notes          
$20,262,000   1/2/2019  Federal Farm Credit Bank Disc Note, 2.18%*  $20,260,790    16.08% 
 34,935,000   1/2/2019  Federal Home Loan Bank Disc Note, 2.18%*   34,932,914    27.72% 
 15,000,000   1/9/2019  Federal Home Loan Bank Disc Note, 2.36%*   14,993,055    11.90% 
Total U.S. Government Agency Bonds and Notes (cost - $70,185,960)   70,186,759    55.70% 
                   
Certificates of Deposit             
$3,679,000   1/4/2019  Banco del Estado de Chile, 2.32%   3,678,951    2.92% 
 2,333,000   1/11/2019  The Chiba Bank, Ltd., 2.53%   2,333,062    1.85% 
Total Certificates of Deposit (cost - $6,012,000)   6,012,013    4.77% 
                   
Corporate Notes             
$3,502,000   1/3/2019  Apple Inc., 2.52%*   3,501,273    2.78% 
 5,720,000   1/2/2019  Automatic Data Processing, Inc., 2.38%*   5,719,622    4.54% 
 2,040,000   1/2/2019  Banco del Estado de Chile, 2.39%*   2,039,865    1.62% 
 3,505,000   1/18/2019  CIBC World Markets Corp., 2.54%*   3,500,671    2.78% 
 2,600,000   1/2/2019  Cedar Springs Capital Company, LLC, 2.50%*   2,599,819    2.06% 
 1,000,000   1/15/2019  DCAT, LLC, 2.52%*   998,959    0.79% 
 3,502,000   1/4/2019  Exxon Mobil Corporation, 2.43%*   3,501,066    2.78% 
 2,338,000   1/15/2019  IBM Credit LLC, 2.42%*   2,335,643    1.85% 
 1,171,000   1/7/2019  Intercontinental Exchange, Inc., 2.46%*   1,170,520    0.93% 
 3,505,000   1/16/2019  MetLife Short Term Funding LLC, 2.50%*   3,501,116    2.78% 
 2,459,000   1/3/2019  PACCAR Financial Corp., 2.40%*   2,458,516    1.95% 
 4,500,000   1/15/2019  Thunder Bay Funding, LLC, 2.52%*   4,495,294    3.57% 
 4,500,000   1/17/2019  Walmart Inc., 2.50%*   4,494,730    3.57% 
Total Corporate Notes (cost - $46,321,969)   40,317,094    32.00% 
                   
Total investment securities (cost - $116,519,929)  $116,515,866    92.47% 

 

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

 

See accompanying notes.

 

 

 

 4 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULE OF INVESTMENTS (continued)

DECEMBER 31, 2018 (Audited)

_______________

 

   Range of Expiration Dates  Number of Contracts   Fair Value*   % of Partners' Capital 
                
LONG FUTURES CONTRACTS:                  
Agriculture  Feb 19 - May 19   31   $(61,396)   (0.05)% 
Currencies  Mar 19   161    120,595    0.10% 
Energy  Jan 19 - Feb 19   195    (1,850,618)   (1.47)% 
Interest Rates  Mar 19 - Dec 21   1,517    844,382    0.67% 
Metals  Jan 19 - Mar 19   239    (1,146,974)   (0.91)% 
Stock Indices  Jan 19 - Mar 19   145    (368,742)   (0.29)% 
Treasury Rates  Mar 19   66    123,078    0.10% 
                   
Total long futures contracts      2,354    (2,339,675)   (1.85)% 
                   
SHORT FUTURES CONTRACTS:                  
Agriculture  Jan 19 - May 19   940    340,047    0.27% 
Currencies  Mar-19   702    (610,146)   (0.48)% 
Energy  Jan 19 - Mar 19   213    938,904    0.74% 
Interest Rates  Mar 19 - Dec 21   147    (230,315)   (0.18)% 
Metals  Jan 19 - Apr 19   343    (268,588)   (0.21)% 
Stock Indices  Jan 19 - Mar 19   111    173,256    0.14% 
Treasury Rates  Mar 19   86    (100,406)   (0.08)% 
                   
Total short futures contracts      2,542    242,752    0.20% 
                   
Total futures contracts          $(2,096,923)   (1.65)% 
                   
LONG FORWARD CONTRACTS:                  
Currencies  Jan 19 - Mar 19       $212,556    0.17% 
                   
SHORT FORWARD CONTRACTS:                  
Currencies  Jan 19 - Mar 19        (146,125)   (0.12)% 
                   
Total forward currency contracts          $66,431    0.05% 

 

*Futures include settled variation margin.

 

See accompanying notes.

 

 

 

 5 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

_______________

 

   Three Months Ended   Six Months Ended 
   June 30,   June 30, 
   2019   2018   2019   2018 
TRADING GAINS (LOSSES)                    
Gain (loss) on trading of derivatives contracts                    
Net realized  $(832,173)  $3,662,525   $(4,238,140)  $2,330,282 
Net change in unrealized   182,667    725,608    4,299,886    (1,810,011)
Brokerage commissions   (418,843)   (578,866)   (873,962)   (1,221,764)
                     
Net gain (loss) from trading derivatives contracts   (1,068,349)   3,809,267    (812,216)   (701,493)
                     
Gain (loss) on trading of securities                    
Net realized   245    599    245    599 
Net change in unrealized   3,733    2,692    2,707    (112)
Net gain (loss) from trading securities   3,978    3,291    2,952    487 
                     
Gain (loss) on trading of foreign currency                    
Net realized   (13,584)   (18,880)   (9,561)   135,575 
Net change in unrealized   3,237    (13,215)   6,728    (96,994)
Net gain (loss) from trading foreign currency   (10,347)   (32,095)   (2,833)   38,581 
                     
Total trading gains (losses)   (1,074,718)   3,780,463    (812,097)   (662,425)
                     
NET INVESTMENT INCOME (LOSS)                    
Income                    
Interest income   640,363    660,010    1,338,480    1,212,043 
Expenses                    
Management fee   288,331    405,136    603,917    856,443 
Service fees   280,064    401,421    591,153    845,033 
Advisory fee   264,792    366,487    552,501    772,794 
Professional fees   173,250    199,941    352,692    398,930 
Administrative fee   59,814    84,133    125,502    177,838 
Interest expense   1,737    2,580    4,101    12,049 
Incentive fee       435    791    29,097 
Other expenses   6,561    55,118    6,715    115,520 
                     
Total expenses   1,074,549    1,515,251    2,237,372    3,207,704 
                     
Net investment income (loss)   (434,186)   (855,241)   (898,892)   (1,995,661)
                     
NET INCOME (LOSS)  $(1,508,904)  $2,925,222   $(1,710,989)  $(2,658,086)

 

See accompanying notes.

 

 

 

 6 

 

 

ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

_______________

 

         Limited Partners      
                                         
    Total    

Original

Class A

    

Original

Class B

    Special Interests    Class A    Class B    Institutional Interests    

General

Partner

 
                                         
Balances at December 31, 2017  $173,217,273   $9,601,265   $878,802   $19,260,675   $82,613,264   $32,303,700   $28,555,734   $3,833 
                                         
Transfers       (453,028)                   453,028     
                                         
Capital additions   651,511                475,297    176,214         
                                         
Capital withdrawals   (21,597,719)   (1,450,075)   (258,565)       (11,799,702)   (3,869,346)   (4,220,031)    
                                         
From operations:                                        
Net investment loss   (1,995,661)   (90,215)   (3,921)   (62,091)   (1,445,038)   (273,196)   (121,164)   (36)
                                        
Net realized loss from investments (net of brokerage commissions)   1,244,621    81,240    7,176    157,447    575,385    249,898    173,444    31 
Net change in unrealized loss from investments   (1,907,046)   (54,105)   (9,869)   (216,355)   (893,053)   (368,987)   (364,634)   (43)
Net loss for the six months ended June 30, 2018   (2,658,086)   (63,080)   (6,614)   (120,999)   (1,762,706)   (392,285)   (312,354)   (48)
                                         
Balances at June 30, 2018  $149,612,979   $7,635,082   $613,623   $19,139,676   $69,526,153   $28,218,283   $24,476,377   $3,785 
                                         
Balances at December 31, 2018  $126,006,040   $6,447,701    319,220    18,571,965    58,975,751    23,965,097    17,722,655    3,651 
                                         
Transfers                   (190,385)   190,385         
                                         
Capital additions   246,000                246,000             
                                         
Capital withdrawals   (22,290,672)   (868,038)   (99,731)       (12,073,755)   (4,315,733)   (4,933,415)    
                                         
From operations:                                        
Net investment loss   (898,892)   (31,740)   (108)   15,951    (775,371)   (100,981)   (6,633)   (10)
Net realized loss from investments (net of brokerage commissions)   (5,121,418)   (264,559)   (11,343)   (802,417)   (2,377,605)   (966,419)   (699,030)   (45)
Net change in unrealized gain from investments   4,309,321    221,491    12,044    660,985    1,985,734    826,369    602,690    8 
Net loss for the six months ended June 30, 2019   (1,710,989)   (74,808)   593    (125,481)   (1,167,242)   (241,031)   (102,973)   (47)
                                         
Balances at June 30, 2019  $102,250,379   $5,504,855   $220,082   $18,446,484   $45,790,369   $19,598,718   $12,686,267   $3,604 

 

 

 

 7 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

A.General Description of the Partnership

 

Altegris Winton Futures Fund, L.P. (the “Partnership”) was organized as a limited partnership in Colorado in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

 

B.Method of Reporting

 

The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of June 30, 2019 and December 31, 2018, and reported amounts of income and expenses for the three and six months ended June 30, 2019 and 2018, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.

 

The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the financial statements for the interim period.

 

C.Fair Value

 

In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.

 

 

 

 8 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

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.

 

 

 9 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

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

 

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

 

Where available, the fair value of U.S. government agency bonds and notes is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of June 30, 2019 or December 31, 2018, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

 

The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of June 30, 2019 or December 31, 2018, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

 

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.

 

 

 

 

 10 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

There were no changes to the Partnership’s valuation methodology during the six month period ended June 30, 2019 and the year ended December 31, 2018.

 

The following table presents information about the Partnership’s assets and liabilities measured at fair value as June 30, 2019 and December 31, 2018:

 

 

               Balance as of  
June 30, 2019  Level 1   Level 2   Level 3  

June 30,

2019

 
Assets:                
Futures contracts (1)*  $3,958,982   $   $   $3,958,982 
Forward currency contracts (1)       663,718        663,718 
U.S. Government agency bonds and notes       71,596,106        71,596,106 
Certificates of deposit       6,915,906        6,915,906 
Corporate notes       16,989,873        16,989,873 
                     
   $3,958,982   $96,165,603   $   $100,124,585 
                     
Liabilities:                    
Futures contracts (1)*  $(2,038,620)  $   $   $(2,038,620)
Forward currency contracts (1)       (314,686)       (314,686)
                     
   $(2,038,620)  $(314,686)  $   $(2,353,306)

 

                   Balance as of 
December 31, 2018   Level 1    Level 2    Level 3    December 31, 2018 
Assets:                    
Futures contracts (1)*  $3,399,238   $   $   $3,399,238 
Forward currency contracts (1)       331,450        331,450 
U.S. Government agency bonds and notes       70,186,759        70,186,759 
Certificates of deposit       6,012,013        6,012,013 
Corporate notes       40,317,094        40,317,094 
                     
   $3,399,238   $116,847,316   $   $120,246,554 
                     
Liabilities:                    
Futures contracts (1)*  $(5,496,161)  $   $   $(5,496,161)
Forward currency contracts (1)       (265,019)       (265,019)
                     
   $(5,496,161)  $(265,019)  $   $(5,761,180)

 

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

 

 

 

 11 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

C. Fair Value (continued)

 

For the six month period ended June 30, 2019 and the year ended December 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six month period ended June 30, 2019 and the year ended December 31, 2018, 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.

 

J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition. The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of June 30, 2019 and December 31, 2018, the Partnership’s restricted cash balance on the Statements of Financial Condition of $8,129,690 and $8,266,227, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of December 31, 2018, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $637,770 represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses).  For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

 

 

 

 12 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

E.Option Contracts

 

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

 

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

 

As the writer of an option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received.

 

As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition.

 

As of June 30, 2019 and December 31, 2018, 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 to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.

 

 

 

 13 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

F.Futures Contracts (continued)

 

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at June 30, 2019 and December 31, 2018 are reflected within the Condensed Schedules of Investments.

 

G.Forward currency contracts

 

Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at June 30, 2019 and December 31, 2018 are reflected within the Condensed Schedules of Investments.

 

H. Foreign Currency Transactions

 

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

 

I.Cash

 

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

 

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

 

 

 

 14 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

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 analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of June 30, 2019 or December 31, 2018. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2015.

 

The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of June 30, 2019 and December 31, 2018 and for the three and six months ended June 30, 2019 and 2018.

 

NOTE 2 - PARTNERS’ CAPITAL

 

A.Capital Accounts and Allocation of Income and Losses

 

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

 

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

 

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

 

 

 

 15 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)

 

B.Subscriptions, Distributions and Redemptions

 

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

 

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the six months ended June 30, 2019 and 2018.

 

NOTE 3 - RELATED PARTY TRANSACTIONS

 

A.General Partner Management Fee

 

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

 

Total Management Fees earned by the General Partner, for the three and six months ended June 30, 2019 and 2018 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% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and six months ended June 30, 2019, administrative fees for Class A Interests were $42,181 and $88,748, respectively and administrative fees for Class B Interests were $17,633 and $36,754, respectively. For the three and six months ended June 30, 2018, administrative fees for Class A Interests were $59,631 and $126,789, respectively and administrative fees for Class B Interests were $24,502 and $51,049, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

 

 

 

 16 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

 

C.Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C.

 

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

 

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

 

At June 30, 2019 and December 31, 2018, the Partnership had commissions and brokerage fees payable to its introducing broker of $102,614 and $137,218, respectively, and service fees payable to Altegris Investments of $14,809 and $17,782, respectively. These amounts are included in commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties.

 

The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three and six months ended June 30, 2019 and 2018, respectively:

 

  

Three months

ended

     

Six months

ended

  

Three months

ended

     

Six month

s ended

 
   June 30, 2019      June 30, 2019    June 30, 2018       June 30, 2019 
                         
Altegris Clearing Solutions - Brokerage Commission fees  $333,891    $ 723,800    $492,380     $ 1,030,520 
Altegris Investments- Service fees   46,172      96,504     66,139       138,789 
Total  $380,063    $ 820,304    $558,519     $ 1,169,309 

 

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.

 

 

 

 

 17 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 4 - ADVISORY CONTRACT

 

The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three and six months ended June 30, 2019 and 2018 are shown on the Statements of Income (Loss).

 

All Interest holders will be assessed a monthly management fee paid to Winton of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three and six months ended June 30, 2019, management fees for Class A Interests were $127,820 and $268,933, respectively, management fees for Class B Interests were $53,434 and $111,377, respectively, management fees for Original Class B Interests were $641 and $1,432, respectively, management fees for Special Interests were $46,871 and $92,877, respectively and management fees for Institutional Interests were $36,026 and $77,882, respectively. For the three and six months ended June 30, 2018, management fees for Class A Interests were $180,700 and $384,207, respectively, management fees for Class B Interests were $74,248 and $154,697, respectively, management fees for Original Class B Interests were $2,146 and $4,357, respectively, management fees for Special Interests were $47,084 and $95,567, respectively and management fees for Institutional Interests were $62,309 and $133,966, respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee.

 

NOTE 5 - SERVICE FEES

 

Original Class A Interests and Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners holding Institutional Interests. For the three and six months ended June 30, 2019, service fees for General Partner’s Interest, were $18 and $36, respectively, service fees for Class A Interests were $251,607 and $530,808, respectively, service fees for Original Class A Interests were $28,439 and $59,546, respectively and service fees for Institutional Interests were $0 and $763, respectively. For the three and six months ended June 30, 2018, service fees for General Partner’s Interest, were $19 and $38, respectively, service fees for Class A Interests were $360,732 and $760,032, respectively, service fees for Original Class A Interests were $38,815 and $81,991, respectively and service fees for Institutional Interests were $1,855 and $2,972, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.

 

 

 

 18 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

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.

 

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 June 30, 2019 and December 31, 2018. 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.

 

 

 

 

 

 19 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

June 30, 2019
   Asset   Liability     
Type of  Derivatives   Derivatives   Net 
Derivatives Contracts  Fair Value   Fair Value   Fair Value 
             
Futures Contracts*               
Agriculture  $311,111   $(237,935)  $73,176 
Currencies   64,000    (379,088)   (315,088)
Energy   151,163    (82,910)   68,253 
Interest Rates   1,737,999    (35,166)   1,702,833 
Metals   860,900    (1,022,007)   (161,107)
Stock Indices   266,098    (162,092)   104,006 
Treasury Rates   567,711    (119,422)   448,289 
                
   $3,958,982   $(2,038,620)  $1,920,362 
                
Forward Currency Contracts  $663,718   $(314,686)  $349,032 
                
Total Gross Fair Value of Derivatives Contracts  $4,622,700   $(2,353,306)  $2,269,394 

 

 

December 31, 2018
   Asset   Liability     
Type of  Derivatives   Derivatives   Net 
Derivatives Contracts  Fair Value   Fair Value   Fair Value 
             
Futures Contracts*               
Agriculture  $609,527   $(330,876)  $278,651 
Currencies   267,155    (756,706)   (489,551)
Energy   940,229    (1,851,943)   (911,714)
Interest Rates   845,253    (231,186)   614,067 
Metals   432,476    (1,848,038)   (1,415,562)
Stock Indices   181,520    (377,006)   (195,486)
Treasury Rates   123,078    (100,406)   22,672 
                
   $3,399,238   $(5,496,161)  $(2,096,923)
                
Forward Currency Contracts  $331,450   $(265,019)  $66,431 
                
Total Gross Fair Value of Derivatives Contracts  $3,730,688   $(5,761,180)  $(2,030,492)

 

* Futures contracts include settled variation margin.

 

 

 

 20 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and six months ended June 30, 2019 and 2018.

 

The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts.

 

Three Months ended June 30, 2019    
Type of      Change in   Number of 
Derivatives Contracts  Realized   Unrealized   Contracts Closed 
             
Futures Contracts               
Agricultural  $(549,773)  $(918,737)     
Currencies   (37,774)   (400,458)     
Energy   (1,382,368)   179,754      
Interest Rates   819,337    1,067,224      
Metals   (730,980)   (220,423)     
Stock Indices   704,436    (263,875)     
Treasury Rates   274,992    370,758      
                
   $(902,130)  $(185,757)   8,299 (1)
                
Forward Currency Contracts  $69,957   $368,424      (2)
                
Total gain (loss) from derivatives contracts  $(832,173)  $182,667      

 

Six Months ended June 30, 2019    
Type of      Change in   Number of 
Derivatives Contracts  Realized   Unrealized   Contracts Closed 
             
Futures Contracts               
Agricultural  $(508,093)  $(205,475)     
Currencies   (482,240)   174,463      
Energy   (3,922,997)   979,967      
Interest Rates   1,618,379    1,088,766      
Metals   (2,486,616)   1,254,455      
Stock Indices   1,017,906    299,492      
Treasury Rates   277,453    425,617      
                
   $(4,486,208)  $4,017,285    15,510 (1)
                
Forward Currency Contracts  $248,068   $282,601      (2)
                
Total gain (loss) from derivatives contracts  $(4,238,140)  $4,299,886      

 

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

 

(2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2019 were 259,476, and 226,823, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2019 were (234,224), and (228,574), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods.

 

 

 

 21 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Three Months ended June 30, 2018    
     
Type of Derivatives Contracts  Realized  

Change in

Unrealized

  

Number of

Contracts Closed

 
             
Futures Contracts               
Agricultural  $843,741   $(194,475)     
Currencies   (422,934)   349,543      
Energy   3,762,571    (323,401)     
Interest Rates   (162,129)   118,687      
Metals   522,086    555,905      
Stock Indices   199,592    266,985      
Treasury Rates   10,516    164,538      
                
   $4,753,443   $937,782    9,158(1)
                
 Forward Currency Contracts  $(1,090,918)  $(212,174)    (2)
                
 Total gain (loss) from derivatives contracts  $3,662,525   $725,608      

 

Six Months ended June 30, 2018    
     
Type of Derivatives Contracts  Realized  

Change in

Unrealized

  

Number of

Contracts Closed

 
             
Futures Contracts               
Agricultural  $212,968   $(82,279)     
Currencies   (3,483,437)   869,734      
Energy   2,822,578    218,290      
Interest Rates   (483,490)   944,422      
Metals   1,451,215    (1,491,454)     
Stock Indices   542,051    (666,361)     
Treasury Rates   23,930    (106,845)     
                
   $1,085,815   $(314,493)   22,911(1)
                
Forward Currency Contracts  $1,244,467   $(1,495,518)    (2)
                
Total gain (loss) from derivatives contracts  $2,330,282   $(1,810,011)     

 

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

 

(2) The numbers of long contracts closed using average cost for the three and six months ended June 30, 2018 were 298,596, and 308,492, respectively. The numbers of short contracts closed using average cost for average cost for the three and six months ended June 30, 2018 were (262,510), and (289,552), respectively. These long and short numbers are representative of the Partnership's volume of derivative activity for forward currency contracts during those periods.

 

 

 

 22 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding-up, liquidation or merger of the Partnership.

 

With respect to foreign currency forward contracts, the Partnership has entered into an agreement with the Clearing Broker, whereby the party having the greater obligation (either the Partnership or the Clearing Broker) shall deliver to the other party at the settlement date the net amount of recognized derivative assets and liabilities.

 

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

 

Offsetting the Financial Assets and Derivative Assets         
As of June 30, 2019        

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   663,718   (314,686) 349,032           349,032 
Futures contracts*   2,464,592   (1,229,203) 1,235,389           1,235,389 
Total   3,128,310   (1,543,889) 1,584,421           1,584,421 

 

Offsetting the Financial Liabilities and Derivative Liabilities               
As of June 30, 2019          

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   (314,686)   314,686               
Futures contracts*   (1,229,203)   1,229,203               
Total   (1,543,889)   1,543,889               

 

 

 

 23 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

 

Offsetting the Financial Assets and Derivative Assets         
As of December 31, 2018        

Gross Amounts Not Offset in the

Statements of Financial Condition

     
                       
Description   Gross Amounts of Recognized Assets  

Gross Amounts Offset in the Statements of Financial

Condition

 

Net Amounts of Assets

Presented in the Statements of Financial

Condition

   Financial Instruments    Cash Collateral Received (1)    Net Amount 
                           
Forward contracts   331,450   (265,019) 66,431           66,431 
Futures contracts*   1,847,315   (1,847,315)             
Total   2,178,765   (2,112,334) 66,431           66,431 
 

Offsetting the Financial Liabilities and Derivative Liabilities               
As of March 31, 2019          

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   (265,019)   265,019               
Futures contracts*   (2,350,046)   1,847,315    (502,731)     502,731     
Total   (2,615,065)   2,112,334    (502,731)     502,731     

 

(1) The partnership posted additional collateral of $8,129,690 for 2019 and $8,401,266 for 2018, 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.

 

* Futures contracts excludes settled variation margin.

 

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).

 

 

 

 

 24 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

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

 

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.

 

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.

 

NOTE 10 - FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2019 and 2018. This information has been derived from information presented in the financial statements.

 

 

 

 

 25 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

   Three months ended June 30, 2019 
   Original   Original   Special           Institutional 
   Class A   Class B   Interests   Class A   Class B   Interests 
                         
Total return for Limited Partners (3)                              
Return prior to incentive fees   (1.33)%    (1.09)%    (1.03)%    (1.78)%    (1.29)%    (1.09)% 
Incentive fees   (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)% 
                               
Total return after incentive fees   (1.33)%    (1.09)%    (1.03)%    (1.78)%    (1.29)%    (1.09)% 
                               
Ratio to average net asset value                              
Expenses prior to incentive fees (2)   3.37%    2.26%    2.16%    5.18%    3.20%    2.38% 
Incentive fees (3)   0.00%    0.00%    0.00%    0.00%    0.00%    0.00% 
                               
Total expenses   3.37%    2.26%    2.16%    5.18%    3.20%    2.38% 
                               
Net investment (loss) (1) (2)   (1.08)%    (0.10)%    0.14%    (2.90)%    (0.93)%    (0.11)% 

 

    Six months ended June 30, 2019 
    Original    Original    Special               Institutional 
    Class A    Class B    Interests    Class A     Class B    Interests 
                               
Total return for Limited Partners (3)                              
Return prior to incentive fees   (1.28)%    (0.80)%    (0.68)%    (2.18)%    (1.21)%    (0.80)% 
Incentive fees   (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)% 
                               
Total return after incentive fees   (1.28)%    (0.80)%    (0.68)%    (2.18)%    (1.21)%    (0.80)% 
                               
Ratio to average net asset value                              
Expenses prior to incentive fees (2)   3.32%    2.33%    2.13%    5.12%    3.17%    2.34% 
Incentive fees (3)   0. 00%    0.00%    0.00%    0.00%    0.00%    0.00% 
                               
Total expenses   3.32%    2.33%    2.13%    5.12%    3.17%    2.34% 
                               
Net investment (loss) (1) (2)   (1.04)%    (0.07)%    0.17%    (2.85)%    (0.90)%    (0.08)% 

 

 

 

 

 

 26 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 10 - FINANCIAL HIGHLIGHTS (CONTINUED)

 

   Three months ended June 30, 2018 
   Original   Original   Special           Institutional 
   Class A   Class B   Interests   Class A   Class B   Interests 
                         
Total return for Limited Partners (3)                              
Return prior to incentive fees   2.04%    2.29%    2.36%    1.58%    2.08%    2.28% 
Incentive fees   (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)%    (0.00)% 
                               
Total return after incentive fees   2.04%    2.29%    2.36%    1.58%    2.08%    2.28% 
                               
Ratio to average net asset value                              
Expenses prior to incentive fees (2)   3.37%    2.41%    2.16%    5.15%    3.21%    2.37% 
Incentive fees (3)   0.00%    0.00%    0.00%    0.00%    0.00%    0.00% 
                               
Total expenses   3.37%    2.41%    2.16%    5.15%    3.21%    2.37% 
                               
Net investment (loss) (1) (2)   (1.69)%    (0.70)%    (0.45)%    (3.47)%    (1.52)%    (0.72)% 

 

    Six months ended June 30, 2018 
    Original    Original    Special               Institutional 
    Class A    Class B    Interests    Class A     Class B    Interests 
                               
Total return for Limited Partners (3)                              
Return prior to incentive fees   (1.23)%    (0.75)%    (0.63)%    (2.14)%    (1.16)%    (0.76)% 
Incentive fees   (0.01)%    (0.00)%    (0.00)%    (0.00)%    (0.01)%    (0.00)%
                               
Total return after incentive fees   (1.24)%    (0.75)%    (0.63)%    (2.1)%    (1.17)%    (0.76)% 
                               
Ratio to average net asset value                              
Expenses prior to incentive fees (2)   3.31%    2.40%    2.15%    5.17%    3.22%    2.40% 
Incentive fees (3)   0. 14%    0.00%    0.00%    0.02%    0.01%    (0.01)% 
                               
Total expenses   3.45%    2.40%    2.15%    5.19%    3.23%    2.39% 
                               
Net investment (loss) (1) (2)   (1.86)%    (0.90)%    (0.65)%    (3.70)%    (1.73)%    (0.93)% 

 

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

 

 

(1)Excludes incentive fee.
(2)Annualized.
(3)Not annualized.

 

 

 

 27 

 

 

 

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

 

 

NOTE 11 - SUBSEQUENT EVENTS

 

Management of the Partnership evaluated subsequent events through the date these financial statements issued, and concluded that no events subsequent to June 30, 2019 have occurred that would require recognition or disclosure, except as noted below.

 

From July 1, 2019 through August 14, 2019, the Partnership had redemptions of $1,524,873.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 28 

 

 

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

 

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

 

Liquidity

 

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through June 30, 2017 the Partnership experienced no meaningful periods of illiquidity in any of the markets traded by the Advisor on behalf of the Partnership.

 

Capital Resources

 

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

 

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

 

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

 

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

 

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

 

Results of Operations

 

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

 

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

 

 

 

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Performance Summary

 

Three Months Ended June 30, 2019

 

During the second quarter of 2019, the Partnership achieved net realized and unrealized gains of $1,074,718 from its trading activities, net of brokerage commissions of $418,843. The Partnership accrued total expenses of $1,074,549, including $288,331 in management fees paid to the General Partner, $0 in incentive fees, and $453,314 in service and professional fees. The Partnership earned $640,363 in interest income during the second quarter of 2019. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2019 is set forth below.

 

Second Quarter 2019The Partnership generated a loss in the second quarter of 2019, as the S&P 500 climbed to an all-time high and yields on US 10-year Treasuries fell below 2% for the first time since 2016. In commodities, WTI crude briefly dropped to below US$55 a barrel, while gold prices rose to their highest level in six years. From a sector perspective, financial futures contributed positively performance over the three months due to long fixed income and equity index positions. At the same time, losses accrued from positioning in commodity futures, particularly the agriculture and energies sectors. Long fixed income positions profited alongside dovish outlooks from policymakers at the Federal Reserve and European Central Bank. Positioning in Europe proved particularly beneficial, with yields on German 10-year bunds falling below a record -0.3%. Positions in Euribor, bund and BTP futures all made money for the fund. Longer-dated US and Japanese government bonds were also among the top contributors to performance. A similarly buoyant environment for equities resulted in profits from stock indices, mostly from long positions in US, Australian and European markets. Negative performance in commodities was led by losses in agriculture and energies, with corn, natural gas and crude oil among the largest detractors from performance. Corn rallied to a five-year high after heavy rain led to flooding in the US Midwest. US natural gas prices continued to slide from their December highs, while an uptrend in crude oil since the beginning of the year reversed course in April. Losses in metals were driven by a short position in gold, which cancelled out profits from positioning in copper and aluminum. 

 

Three Months Ended June 30, 2018

 

During the second quarter of 2018, the Partnership achieved net realized and unrealized gains of $3,780,463 from its trading activities, net of brokerage commissions of $578,866. The Partnership accrued total expenses of $1,515,251, including $405,136 in management fees paid to the General Partner, $435 in incentive fees, and $601,362 in service and professional fees. The Partnership earned $660,010 in interest income during the second quarter of 2018. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2018 is set forth below.

 

Second Quarter 2018.  In April 2018, the Partnership’s positive return was driven by long positioning in the energies and base metals sectors, with crude oil, heating oil and aluminum among the biggest contributors. Crude oil prices hit their highest levels since 2014 which helped boost shares of energy stocks. Net short exposure to short-term interest rates and government bonds also contributed to the Partnership’s positive return as profits accrued from Eurodollar and US Treasury futures. The Partnership’s performance in currencies and crop sectors was mixed. Returns from a short position in sugar were cancelled out by losses in wheat. In May 2018, the Partnership sustained negative performance which was driven by the currencies, crops and fixed income sectors. Currency returns were hindered by a weakening euro and a short position in the Swedish krona versus the euro. Losses in crops were led by trend reversals in sugar and cocoa, while gains from short positions in interest rates and bonds were erased as yields retreated later in the month. The Partnership’s positive return was driven primarily by energies. In June 2018, the Partnership’s positive return was driven largely by commodities, with profits from crops, precious metals and energies. The Partnership’s short positioning in crops and precious metals benefited the Partnership, particularly in soybeans, corn and gold while long positions in crude oil drove returns in energies. The Partnership’s short exposure to short-term interest rates and short-dated US government bonds in the fixed income sector also added to the Partnership’s positive performance. The Partnership’s losses for the month were largely due to short exposure to outperforming consumer discretionary stocks and a reversal in an aluminum uptrend.

 

 

 

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Six Months Ended June 30, 2019

 

During the six months ended June 30, 2019, the Partnership incurred net realized and unrealized losses of $812,097 from its trading activities, net of brokerage commissions of $873,962. The Partnership accrued total expenses of $2,237,372, including $603,917 in management fees paid to the General Partner, $791 in incentive fees, and $943,845 in service and professional fees. The Partnership earned $943,845 in interest income during the six months ended June 30, 2019. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2019 is set forth below.

 

Second Quarter 2019. The Partnership generated a loss in the second quarter of 2019, as the S&P 500 climbed to an all-time high and yields on US 10-year Treasuries fell below 2% for the first time since 2016. In commodities, WTI crude briefly dropped to below US$55 a barrel, while gold prices rose to their highest level in six years. From a sector perspective, financial futures contributed positively performance over the three months due to long fixed income and equity index positions. At the same time, losses accrued from positioning in commodity futures, particularly the agriculture and energies sectors. Long fixed income positions profited alongside dovish outlooks from policymakers at the Federal Reserve and European Central Bank. Positioning in Europe proved particularly beneficial, with yields on German 10-year bunds falling below a record -0.3%. Positions in Euribor, bund and BTP futures all made money for the fund. Longer-dated US and Japanese government bonds were also among the top contributors to performance. A similarly buoyant environment for equities resulted in profits from stock indices, mostly from long positions in US, Australian and European markets. Negative performance in commodities was led by losses in agriculture and energies, with corn, natural gas and crude oil among the largest detractors from performance. Corn rallied to a five-year high after heavy rain led to flooding in the US Midwest. US natural gas prices continued to slide from their December highs, while an uptrend in crude oil since the beginning of the year reversed course in April. Losses in metals were driven by a short position in gold, which cancelled out profits from positioning in copper and aluminum. 

 

First Quarter 2019. The Partnership posted a near flat return in the first quarter of 2019, as global equity indices rebounded from December lows, yields on US Treasuries fell and most major commodity markets gained. From a sector perspective, performance in commodities was mixed: the fund generated profits in agriculture and lost money in energies. Falls in certain crop markets were behind the fund’s positive return in agriculture, with short positions in corn, wheat and coffee accounting for a large part of the profits. In energies, the fund’s negative performance was the result of short positions in crude oil, gasoline and heating oil, which all posted double-digit returns over the three months. The fund started the year with short positions in all three markets, but these exposures had turned long by quarter-end. Profits from fixed income were the result of the fund’s long positions in government bonds and short-term interest rates, with notable contributions to returns from bund, JGB and Euribor futures. Yields on German and Japanese 10-year government bonds turned negative during the quarter. At the same time, net long exposure to equities indices, particularly in US and European markets, generated a positive return. The S&P 500 rose 13% and Eurostoxx 50 climbed 10% during the quarter, with both indices recovering most of the losses sustained in the final three months of 2018. Heading into the second quarter, the fund maintains long positions in bond markets and a positive beta to the US Dollar Index, and now has modest long exposure to the stock market. 

 

Six Months Ended June 30, 2018

 

During the six months ended June 30, 2018, the Partnership incurred net realized and unrealized losses of $662,425 from its trading activities, net of brokerage commissions of $1,221,764. The Partnership accrued total expenses of $3,207,704, including $856,443 in management fees paid to the General Partner, $29,097 in incentive fees, and $1,243,963 in service and professional fees. The Partnership earned $1,212,043 in interest income during the six months ended June 30, 2018. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2018 is set forth below.

 

Second Quarter 2018. In April 2018, the Partnership’s positive return was driven by long positioning in the energies and base metals sectors, with crude oil, heating oil and aluminum among the biggest contributors. Crude oil prices hit their highest levels since 2014 which helped boost shares of energy stocks. Net short exposure to short-term interest rates and government bonds also contributed to the Partnership’s positive return as profits accrued from Eurodollar and US Treasury futures. The Partnership’s performance in currencies and crop sectors was mixed. Returns from a short position in sugar were cancelled out by losses in wheat. In May 2018, the Partnership sustained negative performance which was driven by the currencies, crops and fixed income sectors. Currency returns were hindered by a weakening euro and a short position in the Swedish krona versus the euro. Losses in crops were led by trend reversals in sugar and cocoa, while gains from short positions in interest rates and bonds were erased as yields retreated later in the month. The Partnership’s positive return was driven primarily by energies. In June 2018, the Partnership’s positive return was driven largely by commodities, with profits from crops, precious metals and energies. The Partnership’s short positioning in crops and precious metals benefited the Partnership, particularly in soybeans, corn and gold while long positions in crude oil drove returns in energies. The Partnership’s short exposure to short-term interest rates and short-dated US government bonds in the fixed income sector also added to the Partnership’s positive performance. The Partnership’s losses for the month were largely due to short exposure to outperforming consumer discretionary stocks and a reversal in an aluminum uptrend.

 

 

 

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First Quarter 2018. In January 2018, the Partnership experienced net positive returns which were driven primarily by positioning across the portfolio. Stock indices were the largest contributors to returns with the S&P 500, Nasdaq, and Hang Seng leading the way. Currencies, commodities and fixed income were positive for performance. For currencies, long positions in the euro and emerging-market currencies generated profits which cancelled losses from a short position in the Japanese yen. For commodities, positive performance from energies offset the negative performance from precious metals. Fixed income benefited from positioning in short-term interest rates. In February 2018, the Partnership sustained negative performance as a result of losses from stock indices, commodities and currencies. Although long positions in stock indices drove the Partnership’s positive performance over the past year, they proved to be particularly challenging. Long exposure to crude and heating oil resulted in a holdback for returns in energies, while falling aluminum prices led the losses in base metals. The Partnership’s short exposure to the Japanese yen versus the US dollar was the largest detractor from returns on currencies. The Partnership’s negative return for the month was offset by profits from short exposure to interest rate futures and short silver positioning within precious metals. In March 2018, the Partnership sustained a net loss driven primarily by long positions in stock indices and base metals. US and Japanese markets led the losses in stock indices, while aluminum, zinc and nickel were the biggest detractors from performance in base metals. Falling yields weighed on net short exposure to fixed income markets, most notably positions in Eurodollar and German government bond futures. Losses sustained by the Partnership were offset by positive contributions to returns from the energies and currencies sectors. The Partnership’s largest profits were driven by the recovery in crude oil markets. Positive returns in currencies were led by the euro appreciating against the Swedish Krona and the Swiss franc weakening against the US dollar.

 

Off-Balance Sheet Arrangements

 

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

 

Contractual Obligations

 

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, related option and forward currency contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The Partnership’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Partnership’s open futures and forward currency contracts, both long and short, at June 30, 2019.

 

Item 3: Quantitative and Qualitative Disclosures About Market Risk.

 

Due to the nature of the Partnership as a speculative commodity pool, changes from December 31, 2018 are not material.

 

Item 4: Controls and Procedures.

 

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

 

 

 

 

 32 

 

 

PART II – OTHER INFORMATION

 

Item 1: Legal Proceedings.

 

None.

 

Item 1A: Risk Factors.

 

There have been no material changes to the Partnership’s risk factors since the Partnership filed its annual report on Form 10-K with the Securities and Exchange Commission on March 31, 2018.

 

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

 

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

 

(b) Not applicable.

 

(c) Limited Partners may redeem some or all of their Interest in the Partnership as of the end of any calendar month upon fifteen (15) days’ prior written notice to the General Partner. The Partnership may declare additional redemption dates upon notice to the Limited Partners. The redemption by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners. The following table summarizes the redemptions by Limited Partners during the second calendar quarter of 2019:

 

Month   Amount Redeemed 
April 30, 2019   $3,609,100 
May 31, 2019   $3,504,202 
June 30, 2019   $3,842,599 

 

Item 3: Defaults Upon Senior Securities.

 

(a) None.

 

(b) None.

 

Item 4: Mine Safety Disclosure.

 

Not applicable.

 

Item 5: Other Information.

 

(a) None.

 

(b) Not applicable.

 

 

 

 33 

 

 

Item 6: Exhibits.

 

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

 

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

 

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

 

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

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

 

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

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

 

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

 

The following exhibits are included herewith.

 

Exhibit Number Description of Document
31.01 Rule 13a-14(a)/15d-14(a) Certification
32.01 Section 1350 Certification
101.INS XBRL Instance Document
101.SCH XBRL Schema Document
101.CAL XBRL Calculation Linkbase Document
101.DEF XBRL Definition Linkbase Document
101.LAB XBRL Label Linkbase Document
101.PRE XBRL Presentation Linkbase Document

 

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

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

 

 

 

 

 34 

 

 

SIGNATURES

 

 

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

 

Dated: August 14, 2019

 

ALTEGRIS WINTON FUTURES FUND, L.P.

 

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

 

 
 

 

/s/ Martin Beaulieu                                                      

Martin Beaulieu, Principal Executive Officer and Principal Financial Officer

 

 

 

 

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