10-Q 1 winton_10q-063020.htm FORM 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

______________________________

FORM 10-Q

______________________________

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

For the quarterly period ended June 30, 2020

☐	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 ☒No ☐

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 ☒ No ☐

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 ☐		Accelerated filer ☐
Non-accelerated filer ☒		Smaller reporting company ☐
		Emerging Growth Company ☐

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 ☐ No ☒

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)	5

	Statements of Changes in Partners’ Capital (Net Asset Value)	6

	Notes to Financial Statements	7

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	30

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	33

Item 4.	Controls and Procedures	33

PART II – OTHER INFORMATION		34

Item 1.	Legal Proceedings	34

Item 1A.	Risk Factors	34

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	34

Item 3.	Defaults Upon Senior Securities	34

Item 4.	Mine Safety Disclosure	34

Item 5.	Other Information	35

Item 6.	Exhibits	35

Signatures		36

Rule 13a–14(a)/15d–14(a) Certifications

Section 1350 Certifications

PART I – FINANCIAL INFORMATION

Item 1: Financial Statements.

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENT OF FINANCIAL CONDITION

JUNE 30, 2020 (Unaudited) and DECEMBER 31, 2019 (Audited)

_______________

	2020		2019
ASSETS
Equity in commodity broker account:
Cash deposit with broker	$	1,689,244	$	3,225,338
Segregated cash		5,405,358		7,510,328
Segregated foreign currency (cost - $1,520,685 and $1,556,629)		1,585,363		1,582,344
Net unrealized gain on open forward contracts		–		139,078
Total assets in commodity broker account		8,679,965		12,457,088

Cash		61,521,581		1,168,333
Investment securities at fair value (cost - $0 and $81,584,880)		–		81,586,344
Interest receivable		–		1,307
Total assets	$	70,201,546	$	95,213,072

LIABILITIES
Equity in commodity broker account:
Net unrealized loss on open forward contracts	$	105,923	$	–
Net unrealized loss on open futures contracts		956,736		875,046
Total liabilities in commodity broker account		1,062,659		875,046

Redemptions payable		2,085,801		1,875,639
Commissions payable		87,515		116,793
Management fee payable		57,598		77,769
Service fees payable		58,292		77,478
Advisory fee payable		55,751		72,953
Administrative fee payable		11,036		15,576
Subscription received in advance		320,000		–
Other liabilities		123,218		338,809
Total liabilities		3,861,870		3,450,063

PARTNERS’ CAPITAL (NET ASSET VALUE)
General Partner		3,011		3,626
Limited Partners		66,336,665		91,759,383
Total partners’ capital (Net Asset Value)		66,339,676		91,763,009
Total liabilities and partners’ capital	$	70,201,546	$	95,213,072

See accompanying notes.

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

JUNE 30, 2020 (Unaudited)

_______________

	Range of Expiration Dates	Number of Contracts			Fair Value			% of Partners' Capital
LONG FUTURES CONTRACTS:
Agriculture	Jul 20 - Dec 20		65		$	(115,805	)		(0.17)%
Currencies	Sep-20		94			(81,204	)		(0.12)%
Energy	Dec-20		1			292			0.00%
Interest Rates	Sep 20 - Jun 23		1,385			384,505			0.57%
Metals	Jul 20 - Oct 20		161			332,404			0.50%
Stock Indices	Sep-20		4			15,387			0.02%
Treasury Rates	Sep-20		135			78,008			0.12%
Total long futures contracts			1,845			613,587			0.92%

SHORT FUTURES CONTRACTS:
Agriculture	Aug 20 - Mar 21		450	)		(37,482	)		(0.06)%
Currencies	Sep-20		160			197,035			0.30%
Energy	Jul 20 - Nov 21		268			(369,517	)		(0.56)%
Interest Rates	Sep 20 - Dec 20		26			(29	)		0.00%
Metals	Jul 20 - Oct 20		405			(1,330,742	)		(2.01)%
Stock Indices	Jul 20 - Sep 20		178			(29,588	)		(0.04)%
Total short futures contracts			1,487			(1,570,323	)		(2.37)%

Total futures contracts					$	(956,736	)		(1.45)%

UNREALIZED GAIN ON FORWARD CONTRACTS:
Currencies	Jul 20 - Sep 20				$	139,081			0.21%

UNREALIZED LOSS ON FORWARD CONTRACTS:
Currencies	Jul 20 - Sep 20					(245,004	)		(0.37)%

Total forward currency contracts					$	(105,923	)		(0.16)%

See accompanying notes.

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS

DECEMBER 31, 2019 (Audited)

_______________

INVESTMENT SECURITIES
Face Value		Maturity Date	Description	Fair Value		% of Partners' Capital

Fixed Income Investments

U.S. Government Agency Bonds and Notes
$	22,503,000	1/2/2020	Federal Farm Credit Bank Disc Note, 1.15%*	$	22,502,281		24.52%
	23,370,000	1/2/2020	Federal Home Loan Bank Disc Note, 1.15%*		23,370,000		25.47%
	5,000,000	1/3/2020	Federal Home Loan Bank Disc Note, 1.57%*		4,999,790		5.45%
	10,000,000	1/23/2020	Federal Home Loan Bank Disc Note, 1.58%*		9,991,192		10.89%
Total U.S. Government Agency Bonds and Notes (cost - $60,861,500)					60,863,263		66.33%

Certificates of Deposit
	1,633,982	1/15/2020	The Chiba Bank, Ltd., 1.80%		1,633,982		1.78%
Total Certificates of Deposit (cost - $1,634,000)					1,633,982		1.78%

Corporate Notes
	864,000	1/2/2020	Cedar Springs Capital Company, LLC, 1.59%*		863,962		0.94%
	3,210,000	1/14/2020	Chevron Corporation, 1.63%*		3,208,079		3.50%
	1,636,000	1/7/2020	DCAT, LLC, 1.94%*		1,635,491		1.78%
	2,453,000	1/13/2020	Exxon Mobil Corporation, 1.69%*		2,451,608		2.67%
	2,453,000	1/13/2020	MetLife Short Term Funding LLC, 1.81%*		2,451,450		2.67%
	1,637,000	1/22/2020	PACCAR Financial Corp., 1.66%*		1,635,342		1.78%
	2,000,000	1/2/2020	The Home Depot, Inc., 1.46%*		1,999,919		2.18%
	1,636,000	1/6/2020	The Home Depot, Inc., 1.56%*		1,635,575		1.78%
	3,210,000	1/15/2020	Thunder Bay Funding, LLC, 1.88%*		3,207,673		3.50%
Total Corporate Notes (cost - $19,089,380)					19,089,099		20.80%

Total investment securities (cost - $81,584,880)				$	81,586,344		88.91%

See accompanying notes.

ALTEGRIS WINTON FUTURES FUND, L.P.

CONDENSED SCHEDULES OF INVESTMENTS (continued)

DECEMBER 31, 2019 (Audited)

_______________

	Range of Expiration Dates	Number of Contracts		Fair Value*			% of Partners' Capital

LONG FUTURES CONTRACTS:
Agriculture	Jan 20 - May 20		156	$	(452	)		0.00%
Currencies	Mar 20		304		241,603			0.26%
Energy	Jan 20 - Dec 20		173		173,680			0.19%
Interest Rates	Mar 20 - Dec 22		585		(341,749	)		(0.37)%
Metals	Jan 20 - Apr 20		444		98,595			0.11%
Stock Indices	Jan 20 - Mar 20		447		259,711			0.28%
Treasury Rates	Mar 20		133		(339,453	)		(0.37)%
Total long futures contracts			2,242		91,935			0.10%

SHORT FUTURES CONTRACTS:
Agriculture	Feb 20 - May 20		404		(555,156	)		(0.60)%
Currencies	Mar 20		403		(513,939	)		(0.56)%
Energy	Jan 20 - Mar 20		222		269,804			0.29%
Interest Rates	Mar 20 - Sep 20		162		9,142			0.01%
Metals	Jan 20 - Apr 20		178		(151,593	)		(0.17)%
Stock Indices	Mar-20		86		(64,403	)		(0.07)%
Treasury Rates	Mar 20		182		39,164			0.04%
Total short futures contracts			1,637		(966,981	)		(1.06)%

Total futures contracts				$	(875,046	)		(0.96)%

LONG FORWARD CONTRACTS:
Currencies	Jan 20 - Mar 20			$	387,111			0.42%

SHORT FORWARD CONTRACTS:
Currencies	Jan 20 - Mar 20				(248,033	)		(0.27)%

Total forward currency contracts				$	139,078			0.15%

See accompanying notes.

ALTEGRIS WINTON FUTURES FUND, L.P.

STATEMENTS OF INCOME (LOSS)

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

_______________

	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
TRADING GAINS (LOSSES)
Gain (loss) on trading of derivatives contracts
Net realized	$	(3,580,675	)	$	(832,173	)	$	(12,803,879	)	$	(4,238,140	)
Net change in unrealized		(1,971,635	)		182,667			(326,691	)		4,299,886
Brokerage commissions		(281,709	)		(418,843	)		(612,515	)		(873,962	)

Net loss from trading derivatives contracts		(5,834,019	)		(1,068,349	)		(13,743,085	)		(812,216	)

Gain (loss) on trading of securities
Net realized		–			245			–			245
Net change in unrealized		(8,269	)		3,733			(1,464	)		2,707

Net gain (loss) from trading securities		(8,269	)		3,978			(1,464	)		2,952

Gain (loss) on trading of foreign currency
Net realized		(6,161	)		(13,584	)		(38,614	)		(9,561	)
Net change in unrealized		60,618			3,237			38,963			6,728

Net gain (loss) from trading foreign currency		54,457			(10,347	)		349			(2,833	)

Total trading losses		(5,787,831	)		(1,074,718	)		(13,744,200	)		(812,097	)

NET INVESTMENT LOSS
Income
Interest income		22,386			640,363			294,594			1,338,480

Expenses
Management fee		184,548			288,331			404,408			603,917
Service fees		157,620			280,064			349,076			591,153
Advisory fee		177,386			264,792			385,396			552,501
Professional fees		87,264			173,250			177,061			352,692
Administrative fee		35,712			59,814			79,219			125,502
Incentive fee		–			–			–			791
Interest expense		6,078			1,737			9,690			4,101
Other expenses		(1,355	)		6,561			11,792			6,715

Total expenses		647,253			1,074,549			1,416,642			2,237,372

Net investment loss		(624,867	)		(434,186	)		(1,122,048	)		(898,892	)

NET LOSS	$	(6,412,698	)	$	(1,508,904	)	$	(14,866,248	)	$	(1,710,989	)

See accompanying notes.

ALTEGRIS WINTON FUTURES FUND, L.P.

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

FOR THE SIX MONTHS ENDED JUNE 30, 2020 AND 2019 (Unaudited)

_______________

					Limited Partners
					Original			Original			Special									Institutional			General
		Total			Class A			Class B			Interests			Class A			Class B			Interests			Partner

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

Balances at December 31, 2019	$	91,763,009		$	5,337,690		$	222,495		$	18,671,824		$	37,192,540		$	18,212,829		$	12,122,005		$	3,626

Capital additions		21,787			–			–			–			–			–			21,787			–

Capital withdrawals		(10,578,872	)		(1,053,901	)		(29,991	)		–			(6,063,047	)		(3,164,640	)		(267,293	)		–

From operations:
Net investment loss		(1,122,048	)		(55,428	)		(1,421	)		(112,716	)		(677,858	)		(187,112	)		(87,471	)		(42	)
Net realized loss from investments (net of brokerage commissions)		(13,455,008	)		(746,714	)		(30,054	)		(2,912,696	)		(5,253,841	)		(2,618,039	)		(1,893,101	)		(563	)
Net change in unrealized loss from investments		(289,192	)		(21,927	)		(1,626	)		(50,034	)		(110,683	)		(72,369	)		(32,543	)		(10	)
Net loss for the six months ended June 30, 2020		(14,866,248	)		(824,069	)		(33,101	)		(3,075,446	)		(6,042,382	)		(2,877,520	)		(2,013,115	)		(615	)

Balances at June 30, 2020	$	66,339,676		$	3,459,720		$	159,403		$	15,596,378		$	25,087,111		$	12,170,669		$	9,863,384		$	3,011

See accompanying notes.

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 Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.

The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization.

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, 2020 and December 31, 2019, and reported amounts of income and expenses for the three and six months ended June 30, 2020 and 2019, 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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

C. Fair Value

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

In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.

Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;

Level 2 - Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 - Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

The availability of valuation techniques and observable inputs can vary from assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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

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

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

The fair value of U.S. government agency bonds and notes is 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, 2020 and December 31, 2019, 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, 2020 or December 31, 2019, 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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

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

There were no changes to the Partnership’s valuation methodology during the six month period ended June 30, 2020 and the year ended December 31, 2019.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as June 30, 2020 and December 31, 2019:

									Balance as of
June 30, 2020	Level 1			Level 2			Level 3		June 30, 2020
Assets:
Futures contracts (1)	$	1,332,858		$	–		$	–	$	1,332,858
Forward currency contracts (1)		–			139,081			–		139,081
	$	1,332,858		$	139,081		$	–	$	1,471,939

Liabilities:
Futures contracts (1)	$	(2,289,594	)	$	–		$	–	$	(2,289,594	)
Forward currency contracts (1)		–			(245,004	)		–		(245,004	)
	$	(2,289,594	)	$	(245,004	)	$	–	$	(2,534,598	)

										Balance as of
December 31, 2019		Level 1			Level 2			Level 3		December 31, 2019
Assets:
Futures contracts (1)	$	2,277,168		$	–		$	–	$	2,277,168
Forward currency contracts (1)		–			403,817			–		403,817
U.S. Government agency bonds and notes		–			60,863,263			–		60,863,263
Corporate notes		–			19,089,099			–		19,089,099
Certificates of deposit		–			1,633,982			–		1,633,982
	$	2,277,168		$	81,990,161		$	–	$	84,267,329

Liabilities:
Futures contracts (1)	$	(3,152,214	)	$	–		$	–	$	(3,152,214	)
Forward currency contracts (1)		–			(264,739	)		–		(264,739	)
	$	(3,152,214	)	$	(264,739	)	$	–	$	(3,416,953	)

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

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Fair Value (continued)

For the six month period ended June 30, 2020 and the year ended December 31, 2019, there were no Level 3 securities.

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Investment Transactions and Investment Income (continued)

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, 2020 and December 31, 2019, the Partnership’s Segregated cash balance on the Statements of Financial Condition of $5,405,358 and $7,510,328, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of June 30, 2020 and December 31, 2019, the Partnership’s Segregated foreign currency balance on the Statements of Financial Condition of $1,585,363 and $1,582,344, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).

Option Contracts

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Option Contracts (continued)

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, 2020 and December 31, 2019, the Partnership did not hold any option contracts.

Futures Contracts

The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in settled variation margin on the Statements of Financial Condition. Due from / Due to broker amounts on the Statements of Financial Condition represent receivables / payables related to the Partnership’s required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.

There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at June 30, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.

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, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

Foreign Currency Transactions

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

Cash

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

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

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, 2020 and December 31, 2019. 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 2016.

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 for the six months ended June 30, 2020 and 2019.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 2 - PARTNERS’ CAPITAL

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.

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, 2020 and 2019.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS

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, 2020 and 2019 are shown on the Statements of Income (Loss) as a Management Fee.

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, 2020, administrative fees for Class A Interests were $23,748 and $52,755, respectively and administrative fees for Class B Interests were $11,964 and $26,464 respectively. 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. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)

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

At June 30, 2020 and December 31, 2019, the Partnership had commissions and brokerage fees payable to its introducing broker of $67,523 and $93,519, respectively, and service fees payable to Altegris Investments of $8,888 and $13,865, 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, 2020 and 2019:

	Three months ended	Six months ended	Three months ended	Six months ended
	June 30, 2020	June 30, 2020	June 30, 2019	June 30, 2019

Altegris Clearing Solutions - Brokerage Commission fees	$ 228,014	$ 495,674	$ 333,891	$ 723,800
Altegris Investments- Service fees	28,904	65,871	46,172	96,504
Total	$ 256,918	$ 561,545	$ 380,063	$ 820,304

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

NOTE 4 - ADVISORY CONTRACT

The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three and six months ended June 30, 2020 and 2019 are shown on the Statements of Income (Loss).

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 4 - ADVISORY CONTRACT (CONTINUED)

All Interest holders will be assessed a monthly management fee paid to Winton of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three and six months ended June 30, 2020, management fees for Class A Interests were $71,964 and $159,866, respectively, management fees for Class B Interests were $36,255 and $80,194, respectively, management fees for Original Class B Interests were $426 and $947, respectively, management fees for Special Interests were $41,666 and $87,517, respectively and management fees for Institutional Interests were $27,075 and $56,872, respectively. 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. 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, 2020, service fees for General Partner’s Interest, were $15 and $32, respectively, service fees for Class A Interests were $137,658 and $305,197, respectively, service fees for Original Class A Interests were $19,947 and $43,847, respectively and service fees for Institutional Interests were $nil and $nil, respectively. 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. Class B, Original Class B and Special Interests did not get charged the service fees.

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

The following presents the fair value of derivatives contracts at June 30, 2020 and December 31, 2019. The fair value of derivatives contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition.

June 30, 2020

		Assets		Liability
Type of		Derivatives		Derivatives			Net
Derivatives Contracts		Fair Value		Fair Value			Fair Value

Futures Contracts
Agriculture	$	74,125	$	(227,412	)	$	(153,287	)
Currencies		197,325		(81,494	)		115,831
Energy		47,633		(416,858	)		(369,225	)
Interest Rates		391,188		(6,712	)		384,476
Metals		407,969		(1,406,307	)		(998,338	)
Stock Indices		136,611		(150,812	)		(14,201	)
Treasury Rates		78,008		–			78,008

Total Futures Contracts	$	1,332,859	$	(2,289,595	)	$	(956,736	)

Forward Currency Contracts	$	139,081	$	(245,004	)	$	(105,923	)

Total Gross Fair Value of Derivatives Contracts	$	1,471,940	$	(2,534,599	)	$	(1,062,659	)

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

December 31, 2019

		Assets		Liability
Type of		Derivatives		Derivatives			Net
Derivatives Contracts		Fair Value		Fair Value			Fair Value

Futures Contracts
Agriculture	$	80,153	$	(635,761	)	$	(555,608	)
Currencies		247,206		(519,542	)		(272,336	)
Energy		453,237		(9,753	)		443,484
Interest Rates		21,185		(353,792	)		(332,607	)
Metals		1,091,050		(1,144,048	)		(52,998	)
Stock Indices		345,173		(149,865	)		195,308
Treasury Rates		39,164		(339,453	)		(300,289	)

Total Futures Contracts	$	2,277,168	$	(3,152,214	)	$	(875,046	)

Forward Currency Contracts	$	403,817	$	(264,739	)	$	139,078

Total Gross Fair Value of Derivatives Contracts	$	2,680,985	$	(3,416,953	)	$	(735,968	)

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, 2020 and 2019.

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, 2020
Type of Derivatives Contracts	Realized			Change in Unrealized			Average Notional Value of Contracts
Futures Contracts
Agriculture	$	158,086		$	(194,862	)
Currencies		(959,646	)		(69,636	)
Energy		(9,236	)		(899,756	)
Interest Rates		(237,492	)		437,657
Metals		(1,190,160	)		(1,594,183	)
Stock Indices		(1,130,114	)		129,475
Treasury Rates		339,625			(278,164	)

Total Future Contracts	$	(3,028,937	)	$	(2,469,469	)	$	372,345,111	(1)

Forward Currency Contracts	$	(551,738	)	$	497,834		$	29,519,011	(2)

Total Gain (loss) from Derivatives Contracts	$	(3,580,675	)	$	(1,971,635	)

Six Months Ended June 30, 2020
Type of Derivatives Contracts	Realized			Change in Unrealized			Average Notional Value of Contracts
Futures Contracts
Agriculture	$	(580,885	)	$	402,321
Currencies		(2,345,756	)		388,167
Energy		(1,248,463	)		(812,709	)
Interest Rates		(776,019	)		717,083
Metals		(1,552,962	)		(945,340	)
Stock Indices		(6,340,890	)		(209,509	)
Treasury Rates		916,453			378,297

Total Future Contracts	$	(11,928,522	)	$	(81,690	)	$	365,539,007	(1)

Forward Currency Contracts	$	(875,357	)	$	(245,001	)	$	37,926,526	(2)

Total Gain (loss) from Derivatives Contracts	$	(12,803,879	)	$	(326,691	)

(1)

The average notional value of futures contracts are representative of the Partnership’s volume of derivative activity for futures contracts during the respective periods under review.

(2)

The average notional value of forward currency contracts are representative of the Partnership’s volume of derivative activity for forward currency contracts during the respective periods under review.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Three Months Ended June 30, 2019
Type of Derivatives Contracts	Realized			Change in Unrealized			Average Notional Value of Contracts
Futures Contracts
Agriculture	$	(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

Total Futures Contracts	$	(902,130	)	$	(185,757	)	$	652,042,349	(1)

Forward Currency Contracts	$	69,957		$	368,424		$	77,516,181	(2)

Total Gain (loss) from Derivatives Contracts	$	(832,173	)	$	182,667

Six Months Ended June 30, 2019
Type of Derivatives Contracts	Realized			Change in Unrealized			Average Notional Value of Contracts
Futures Contracts
Agriculture	$	(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

Total Futures Contracts	$	(4,486,208	)	$	4,017,285		$	586,376,245	(1)

Forward Currency Contracts	$	248,068		$	282,601		$	70,927,454	(2)

Total Gain (loss) from Derivatives Contracts	$	(4,238,140	)	$	4,299,886

(1)

The average notional value of futures contracts are representative of the Partnership’s volume of derivative activity for futures contracts during the respective periods under review.

(2)

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

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

Gross Amounts Not Offset in the Statements of Financial Condition

As of June 30, 2020

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

139,081

(139,081

)

–

Total

139,081

(139,081

)

–

Offsetting the Financial Liabilities and Derivative Liabilities

Gross Amounts Not Offset in the Statements of Financial Condition

As of June 30, 2020

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

(245,004

)

139,081

(105,923

)

–

105,923

–

Total

(245,004

)

139,081

(105,923

)

–

105,923

–

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)

Offsetting the Financial Assets and Derivative Assets

Gross Amounts Not Offset in the Statements of Financial Condition

As of December 31, 2019

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

403,817

(264,739

)

139,078

–

139,078

Total

403,817

(264,739

)

139,078

–

139,078

Offsetting the Financial Liabilities and Derivative Liabilities

Gross Amounts Not Offset in the Statements of Financial Condition

As of December 31, 2019

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 Received (1)

Net Amount

Forward contracts

(264,739

)

264,739

–

Total

(264,739

)

264,739

–

(1) The Partnership posted additional collateral of $447,527 as of June 30, 2020 and $1,582,675 for December 31, 2019 with the Clearing Broker. There was no cash collateral receivable by the Partnership from the Clearing Broker as of June 30, 2020 and December 31, 2019. 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.

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).

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 10 - FINANCIAL HIGHLIGHTS

The following information presents the financial highlights of the Partnership for the three and six months ended June 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

	Three months ended June 30, 2020
	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		(8.36)%		(8.14)%		(8.09)%		(8.78)%		(8.35)%		(8.14)%
Incentive fees		(0.00)%		(0.00)%		(0.00)%		(0.00)%		(0.00)%		(0.00)%

Total return after incentive fees		(8.36)%		(8.14)%		(8.09)%		(8.78)%		(8.35)%		(8.14)%

Ratio to average net asset value
Expenses prior to incentive fees (2)		3.29%		2.30%		2.04%		5.14%		3.21%		2.30%
Incentive fees (3)		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%

Total expenses		3.29%		2.30%		2.04%		5.14%		3.21%		2.30%

Net investment (loss) (1) (2)		(3.12)%		(2.16)%		(1.90)%		(4.97)%		(3.06)%		(2.16)%

	Six months ended June 30, 2020
	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	(16.96)%	(16.58)%	(16.48)%	(17.76)%	(16.94)%	(16.58)%
Incentive fees	(0.00)%	(0.00)%	(0.00)%	(0.00)%	(0.00)%	(0.00)%

Total return after incentive fees	(16.96)%	(16.58)%	(16.48)%	(17.76)%	(16.94)%	(16.58)%

Ratio to average net asset value
Expenses prior to incentive fees (2)	3.26%	2.29%	2.02%	5.13%	3.17%	2.27%
Incentive fees (3)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Total expenses	3.26%	2.29%	2.02%	5.13%	3.17%	2.27%

Net investment (loss) (1) (2)	(2.48)%	(1.53)%	(1.31)%	(4.35)%	(2.41)%	(1.56)%

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)%

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.

ALTEGRIS Winton Futures Fund, L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

_______________

NOTE 11 - SUBSEQUENT EVENTS

Management of the Partnership evaluated subsequent events through the date these financial statements were issued, and concluded that no events subsequent to June 30, 2020 have occurred that would require recognition or disclosure, except as noted below.

From July 1, 2020 through August 10, 2020, the Partnership had subscriptions of $310,400 and redemptions of $2,680,444.

PART I – FINANCIAL INFORMATION (continued)

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

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

Liquidity

The Partnership’s assets are generally held as cash or cash equivalents, which are used to margin the Partnership’s futures positions and are sold to pay redemptions and expenses as needed. Other than any potential market-imposed limitations on liquidity, the Partnership’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures trading. A portion of the Partnership’s assets not used for margin and held with the Custodian are invested in liquid, high quality securities. Through June 30, 2020, 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.

Performance Summary

Three Months Ended June 30, 2020

During the second quarter of 2020, the Partnership achieved net realized and unrealized losses of $5,787,831 from its trading activities, and net of brokerage commissions of $281,709. The Partnership accrued total expenses of $647,253 including $184,548 in management fees paid to the General Partner, $0 in incentive fees, and $244,884 in service and professional fees. The Partnership earned $22,386 in interest income during the second quarter of 2020. An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the second quarter of 2020 is set forth below.

Second Quarter 2020. Global equities recovered most of their year-to-date losses in the second quarter of 2020, as surging technology stocks drove the MSCI World up 19.4%, the index’s largest quarterly gain since 2009. Several other sectors experienced a “risk on” rally: prices in energies, base metals and commodity currencies all rose. WTI crude climbed back to near US$40 a barrel; copper prices increased by a quarter; and the Australian dollar, Norwegian krone and Russian ruble posted high single to double-digit gains against the US dollar. Elsewhere, returns in fixed income and agricultural commodities were mixed. While performance was varied across the fund’s portfolio, its overall defensive positioning during the quarter resulted in a negative return. Technical signals accounted for most of the negative performance, largely due to losses in major-market futures trend following, while fundamental signals also added to negative returns. The fund made money from long fixed income exposure, particularly in emerging markets. However, these profits were not enough to offset losses from short positions in metals, stock market indices and energies. The negative performance in currencies was largely due to short positions in G10 currencies versus the US dollar. By contrast, appreciating emerging market currencies were slightly profitable for the fund overall. The fund maintained its defensive posture throughout the quarter, leaving it positioned to profit from any further market declines.

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 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.

Six Months Ended June 30, 2020

During the six months ended June 30, 2020, the Partnership achieved net realized and unrealized losses of $13,744,200 from its trading activities, and net of brokerage commissions of $612,515. The Partnership accrued total expenses of $1,416,642 including $404,408 in management fees paid to the General Partner, $0 in incentive fees, and $526,137 in service and professional fees. The Partnership earned $294,594 in interest income during the six months ended June 30, 2020 . An analysis of the profits and losses generated from the Partnership’s commodity futures trading activities for the six months ended June 30, 2020 is set forth below.

First Quarter 2020.The first quarter of 2020 was a tumultuous time for the world as the Covid-19 crisis escalated, leading to increased volatility across financial and commodities markets. Stocks suffered their largest fall since 2008, with the MSCI World falling 34.0% below its peak and crude oil prices sliding by around two thirds, reaching lows not seen since 2003. The Partnership’s returns for the quarter were largely driven by long positions in equity index futures, with the remaining losses mostly split between currencies and energies. From a strategy perspective, technical signals (mostly trend following) were positive, while losses were concentrated in fundamental signals. Trend-following signals performed well over the quarter, despite the sharp reversal in equity markets. Faster versions of the signal caught onto the developing bear market and went short quickly enough to profit from some of the downward movement in March. Even the slower trend-following signals that remained long stocks still made profits in commodities, currencies and fixed income that outweighed losses from equity indices. Fundamental signals, on the other hand, performed poorly, because they were positioned long equities, short fixed income, long oil and long emerging market currencies. In summary, these signals were positioned against the “risk-off” sentiment that swept over markets as the potential economic impact of the virus became apparent.

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.

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.

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, 2020.

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.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings.

None.

Item 1A: Risk Factors.

None.

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

(a) None.

(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 2020:

Month	Amount Redeemed
April 30, 2020	$	1,177,685
May 31, 2020	$	2,175,703
June 30, 2020	$	2,020,509

Item 3: Defaults Upon Senior Securities.

(a) None.

(b) None.

Item 4: Mine Safety Disclosure.

Not applicable.

Item 5: Other Information.

(a) None.

(b) Not applicable.

Item 6: Exhibits.

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

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

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

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

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

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

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
31.1	Rule 13a-14(a)/15d-14(a) Certification
31.2	Rule 13a-14(a)/15d-14(a) Certification
32.1	Section 1350 Certification
32.2	Section 1350 Certification

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

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

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, 2020

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